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)
William J. Fenrich, Esq.
Principal and Chief Legal Officer
AQR Capital Management, LLC
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: 203-742-3600
Date of fiscal year end: September 30
Date of reporting period: October 1, 2016 to September 30, 2017
Item 1. Reports to Shareholders.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1.)
Annual Report
September 30, 2017
AQR Large Cap Multi-Style Fund
AQR Small Cap Multi-Style Fund
AQR International Multi-Style Fund
AQR Emerging Multi-Style Fund
AQR TM Large Cap Multi-Style Fund
AQR TM Small Cap Multi-Style Fund
AQR TM International Multi-Style Fund
AQR TM Emerging Multi-Style Fund
AQR Large Cap Momentum Style Fund
AQR Small Cap Momentum Style Fund
AQR International Momentum Style Fund
AQR Emerging Momentum Style Fund
AQR TM Large Cap Momentum Style Fund
AQR TM Small Cap Momentum Style Fund
AQR TM International Momentum Style Fund
AQR Large Cap Defensive Style Fund
AQR International Defensive Style Fund
AQR Emerging Defensive Style Fund
AQR Global Equity Fund
AQR International Equity Fund
AQR Large Cap Relaxed Constraint Equity Fund
AQR Small Cap Relaxed Constraint Equity Fund
AQR International Relaxed Constraint Equity Fund
AQR Emerging Relaxed Constraint Equity Fund
Table of Contents
Shareholder Letter (Unaudited)
| | | | |
| AQR LARGE CAP MULTI-STYLE FUND | | | | |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR Large Cap Multi-Style Fund (the “Fund”) invests in stocks of attractively valued U.S. large and mid-cap companies that have positive momentum and strong profitability. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 22.01% while its benchmark, the Russell 1000® Index Total Return, returned 18.54% over the period. The Fund’s outperformance was driven primarily by stock selection within sectors. In particular, stock selection within industrials and within information technology contributed to positive returns. The Fund’s performance was negatively impacted by stock selection within financials and within consumer discretionary.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to information technology and financials; the Fund was underweight energy and health care.
| | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017
AQR LARGE CAP MULTI-STYLE FUND | |
| | | 1 Year | | | 3 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QCELX | | | 22.01% | | | | 9.14% | | | | 13.22% | | | | 3/26/2013 | |
| Fund - Class N: QCENX | | | 21.69% | | | | 8.88% | | | | 12.96% | | | | 3/26/2013 | |
| Fund - Class R6: QCERX | | | 22.18% | | | | 9.27% | | | | 8.70% | | | | 7/10/2014 | |
| | | | |
| Russell 1000® Index Total Return | | | 18.54% | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.46%, 0.71% and 0.37%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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2
Shareholder Letter (Unaudited)
| | | | |
| AQR LARGE CAP MULTI-STYLE FUND | | | | |
|
AQR LARGE CAP MULTI-STYLE FUND VS. RUSSELL 1000® INDEX TOTAL RETURN VALUE OF $10,000 INVESTED ON 3/26/2013 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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3
Shareholder Letter (Unaudited)
| | | | |
| AQR SMALL CAP MULTI-STYLE FUND | | | | |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR Small Cap Multi-Style Fund (the “Fund”) invests in stocks of attractively valued U.S. small-cap companies that have positive momentum and strong profitability. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 18.12% while its benchmark, the Russell 2000® Total Return Index, returned 20.74% over the period. The Fund’s underperformance was driven primarily by stock selection within sectors. In particular, stock selection within industrials and within consumer discretionary contributed to negative returns. The Fund’s performance was positively impacted by stock selection within consumer staples and within health care.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to financials and consumer discretionary; the Fund was underweight health care and utilities.
| | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR SMALL CAP MULTI-STYLE FUND | |
| | | 1 Year | | | 3 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QSMLX | | | 18.12% | | | | 10.72% | | | | 12.40% | | | | 3/26/2013 | |
| Fund - Class N: QSMNX | | | 17.79% | | | | 10.43% | | | | 12.10% | | | | 3/26/2013 | |
| Fund - Class R6: QSERX | | | 18.17% | | | | 10.80% | | | | 8.40% | | | | 7/10/2014 | |
| | | | |
| Russell 2000® Total Return Index | | | 20.74% | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.76%, 1.00% and 0.63%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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4
Shareholder Letter (Unaudited)
| | | | |
| AQR SMALL CAP MULTI-STYLE FUND | | | | |
|
AQR SMALL CAP MULTI-STYLE FUND VS. RUSSELL 2000® TOTAL RETURN INDEX VALUE OF $10,000 INVESTED ON 3/26/2013 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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5
Shareholder Letter (Unaudited)
| | | | |
| AQR INTERNATIONAL MULTI-STYLE FUND | | | | |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR International Multi-Style Fund (the “Fund”) invests in stocks of attractively valued large and mid-cap non-U.S. companies that have positive momentum and strong profitability. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 19.91% while its benchmark, the MSCI Daily TR Net World Ex USA Index**, returned 18.73% over the period. The Fund’s outperformance was driven primarily by stock selection within sectors. In particular, stock selection within consumer discretionary and within industrials contributed to positive returns. The Fund’s performance was negatively impacted by stock selection within information technology and within energy.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to information technology and industrials; the Fund was underweight energy and consumer staples. Notable active positions also included a country overweight to Switzerland and Germany and an underweight to Norway.
| | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR INTERNATIONAL MULTI-STYLE FUND | |
| | | 1 Year | | | 3 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QICLX | | | 19.91% | | | | 3.59% | | | | 5.72% | | | | 3/26/2013 | |
| Fund - Class N: QICNX | | | 19.69% | | | | 3.32% | | | | 5.46% | | | | 3/26/2013 | |
| Fund - Class R6: QICRX | | | 20.04% | | | | 3.70% | | | | 2.15% | | | | 7/10/2014 | |
| | | | |
| MSCI Daily TR Net World Ex USA Index** | | | 18.73% | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.69%, 0.94% and 0.60%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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6
Shareholder Letter (Unaudited)
| | | | |
| AQR INTERNATIONAL MULTI-STYLE FUND | | | | |
|
AQR INTERNATIONAL MULTI-STYLE FUND VS. MSCI DAILY TR NET WORLD EX USA INDEX** VALUE OF $10,000 INVESTED ON 3/26/2013 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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7
Shareholder Letter (Unaudited)
| | | | |
| AQR EMERGING MULTI-STYLE FUND | | | | |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR Emerging Multi-Style Fund (the “Fund”) invests in stocks of attractively valued large and mid-cap emerging countries’ companies that have positive momentum and strong profitability. The Fund’s investment universe is currently comprised of approximately the top 85% of stocks by market capitalization in emerging countries. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 22.17% while its benchmark, the MSCI Daily TR Net Emerging Markets Index**, returned 22.46% over the period. The Fund’s underperformance was driven primarily by stock selection within information technology and within financials. The Fund’s performance was positively impacted by stock selection within sectors.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to information technology and telecommunication services; the Fund was underweight financials and consumer staples. Notable active positions also included a country overweight to Indonesia and an underweight to the United Arab Emirates.
| | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR EMERGING MULTI-STYLE FUND | |
| | | 1 Year | | | 3 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QEMLX | | | 22.17% | | | | 4.27% | | | | 3.65% | | | | 5/13/2014 | |
| Fund - Class N: QEMNX | | | 21.82% | | | | 4.01% | | | | 3.39% | | | | 5/13/2014 | |
| Fund - Class R6: QECRX | | | 22.13% | | | | 4.34% | | | | 2.43% | | | | 7/10/2014 | |
| | | | |
| MSCI Daily TR Net Emerging Market Index** | | | 22.46% | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.96%, 1.21% and 0.86%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
8
Shareholder Letter (Unaudited)
| | | | |
| AQR EMERGING MULTI-STYLE FUND | | | | |
|
AQR EMERGING MULTI-STYLE FUND VS. MSCI DAILY TR NET EMERGING MARKETS INDEX** VALUE OF $10,000 INVESTED ON 5/13/2014 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
9
Shareholder Letter (Unaudited)
| | | | |
| AQR TM LARGE CAP MULTI-STYLE FUND | | | | |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR TM Large Cap Multi-Style Fund (the “Fund”) invests in stocks of attractively valued U.S. large and mid-cap companies that have positive momentum and strong profitability. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 22.33% while its benchmark, the Russell 1000® Index Total Return, returned 18.54% over the period. The Fund’s outperformance was driven primarily by stock selection within sectors. In particular, stock selection within industrials and within information technology contributed to positive returns. The Fund’s performance was negatively impacted by stock selection within financials and within consumer discretionary.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to information technology and financials; the Fund was underweight energy and health care.
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR TM LARGE CAP MULTI-STYLE FUND | |
| | | 1 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QTLLX | | | 22.33% | | | | 8.21% | | | | 2/11/2015 | |
| Fund - Class N: QTLNX | | | 22.04% | | | | 7.89% | | | | 2/11/2015 | |
| Fund - Class R6: QTLRX | | | 22.37% | | | | 8.28% | | | | 2/11/2015 | |
| | | |
| Russell 1000® Index Total Return | | | 18.54% | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.60%, 0.85% and 0.54%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
10
Shareholder Letter (Unaudited)
| | | | |
| AQR TM LARGE CAP MULTI-STYLE FUND | | | | |
|
AQR TM LARGE CAP MULTI-STYLE FUND VS. RUSSELL 1000® INDEX TOTAL RETURN VALUE OF $10,000 INVESTED ON 2/11/2015 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
11
Shareholder Letter (Unaudited)
| | | | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | | | |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR TM Small Cap Multi-Style Fund (the “Fund”) invests in stocks of attractively valued U.S. small-cap companies that have positive momentum and strong profitability. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 17.79% while its benchmark, the Russell 2000® Total Return Index, returned 20.74% over the period. The Fund’s underperformance was driven primarily by stock selection within sectors. In particular, stock selection within industrials and within consumer discretionary contributed to negative returns. The Fund’s performance was positively impacted by stock selection within consumer staples and within health care.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to consumer discretionary and consumer staples; the Fund was underweight health care and utilities.
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR TM SMALL CAP MULTI-STYLE FUND | |
| | | 1 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QSSLX | | | 17.79% | | | | 7.91% | | | | 2/11/2015 | |
| Fund - Class N: QSSNX | | | 17.56% | * | | | 7.64% | | | | 2/11/2015 | |
| Fund - Class R6: QSSRX | | | 18.04% | | | | 8.04% | | | | 2/11/2015 | |
| | | |
| Russell 2000® Total Return Index | | | 20.74% | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.92%, 2.05% and 2.31%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | * | Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 9/30/2017 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting. |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
12
Shareholder Letter (Unaudited)
| | | | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | | | |
|
AQR TM SMALL CAP MULTI-STYLE FUND VS. RUSSELL 2000® TOTAL RETURN INDEX VALUE OF $10,000 INVESTED ON 2/11/2015 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
13
Shareholder Letter (Unaudited)
| | | | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND | | | | |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR TM International Multi-Style Fund (the “Fund”) invests in stocks of attractively valued large and mid-cap non-U.S. companies that have positive momentum and strong profitability. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 20.71% while its benchmark, the MSCI Daily TR Net World Ex USA Index**, returned 18.73% over the period. The Fund’s outperformance was driven primarily by stock selection within sectors. In particular, stock selection within industrials contributed to positive returns. The Fund’s performance was negatively impacted by stock selection within information technology and within telecommunication services.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to information technology and industrials; the Fund was underweight energy. Notable active positions also included a country overweight to Germany and an underweight to Norway.
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR TM INTERNATIONAL MULTI-STYLE FUND | |
| | | 1 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QIMLX | | | 20.71% | | | | 5.58% | | | | 2/11/2015 | |
| Fund - Class N: QIMNX | | | 20.39% | | | | 5.33% | | | | 2/11/2015 | |
| Fund - Class R6: QIMRX | | | 20.89% | | | | 5.69% | | | | 2/11/2015 | |
| | | |
| MSCI Daily TR Net World Ex USA Index** | | | 18.73% | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.82%, 1.08% and 0.73%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
14
Shareholder Letter (Unaudited)
| | | | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND | | | | |
|
AQR TM INTERNATIONAL MULTI-STYLE FUND VS. MSCI DAILY TR NET WORLD EX USA INDEX** VALUE OF $10,000 INVESTED ON 2/11/2015 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
15
Shareholder Letter (Unaudited)
| | | | |
| AQR TM EMERGING MULTI-STYLE FUND | | | | |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR TM Emerging Multi-Style Fund (the “Fund”) invests in stocks of attractively valued large and mid-cap emerging countries’ companies that have positive momentum and strong profitability. The Fund’s investment universe is currently comprised of approximately the top 85% of stocks by market capitalization in emerging countries. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that rank high on a combined score of Value, Momentum and Profitability styles. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 22.85% while its benchmark, the MSCI Daily TR Net Emerging Markets Index**, returned 20.46% over the period. The Fund’s outperformance was driven primarily by stock selection within sectors. In particular, stock selection within consumer discretionary and within energy contributed to positive returns. The Fund’s performance was negatively impacted by stock selection within information technology and within financials.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to information technology and telecommunication services; the Fund was underweight financials and consumer staples. Notable active positions also included a country overweight to Indonesia and an underweight to the United Arab Emirates.
| | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR TM EMERGING MULTI-STYLE FUND | |
| | | 1 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QTELX | | | 22.85% | * | | | 5.27% | | | | 2/11/2015 | |
| Fund - Class N: QTENX | | | 22.64% | | | | 5.03% | | | | 2/11/2015 | |
| Fund - Class R6: QTERX | | | 23.05% | | | | 5.35% | | | | 2/11/2015 | |
| | | |
| MSCI Daily TR Net Emerging Market Index** | | | 20.46% | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.96%, 1.22% and 0.89%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | * | Total return information is based on net asset values calculated for shareholder transactions. Certain adjustments were made to the net assets of the Fund at 9/30/2017 for financial reporting purposes, and as a result, the net asset values for shareholder transactions and the total returns based on those net asset values differ from the adjusted net asset values and total returns for financial reporting. |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
16
Shareholder Letter (Unaudited)
| | | | |
| AQR TM EMERGING MULTI-STYLE FUND | | | | |
|
AQR TM EMERGING MULTI-STYLE FUND VS. MSCI DAILY TR NET EMERGING MARKETS INDEX** VALUE OF $10,000 INVESTED ON 2/11/2015 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
17
Shareholder Letter (Unaudited)
| | | | |
| AQR LARGE CAP MOMENTUM STYLE FUND | | | | |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR Large Cap Momentum Style Fund (the “Fund”) invests in stocks of large and mid-cap U.S. companies with positive momentum. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 16.37% while its benchmark, the Russell 1000® Index Total Return, returned 18.54% over the period. The Fund’s underperformance was driven primarily by stock selection within information technology and within industrials. The Fund’s performance was negatively impacted by stock selection within financials and within energy.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to information technology and industrials; the Fund was underweight health care and consumer staples.
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR LARGE CAP MOMENTUM STYLE FUND | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: AMOMX | | | 16.37% | | | | 9.01% | | | | 13.04% | | | | 14.98% | | | | 7/9/2009 | |
| Fund - Class N: AMONX | | | 16.07% | | | | 8.74% | | | | na | | | | 13.52% | | | | 12/17/2012 | |
| Fund - Class R6: QMORX | | | 16.47% | | | | 9.11% | | | | na | | | | 8.44% | | | | 7/10/2014 | |
| | | | | |
| Russell 1000® Index Total Return | | | 18.54% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.42%, 0.66% and 0.32%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
18
Shareholder Letter (Unaudited)
| | | | |
| AQR LARGE CAP MOMENTUM STYLE FUND | | | | |
|
AQR LARGE CAP MOMENTUM STYLE FUND VS. RUSSELL 1000® INDEX TOTAL RETURN VALUE OF $10,000 INVESTED ON 7/9/2009 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
19
Shareholder Letter (Unaudited)
| | | | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | | | |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR Small Cap Momentum Style Fund (the “Fund”) invests in stocks of small-cap U.S. companies with positive momentum. The Fund’s investment universe is comprised of U.S. companies smaller than the 1000th largest and larger than the 3000th largest company by market capitalization. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 20.30% while its benchmark, the Russell 2000® Total Return Index, returned 20.74% over the period. The Fund’s underperformance was driven primarily by stock selection within financials. The Fund’s performance was positively impacted by stock selection within sectors.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to information technology and health care; the Fund was underweight real estate and consumer discretionary.
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR SMALL CAP MOMENTUM STYLE FUND | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: ASMOX | | | 20.30% | | | | 10.29% | | | | 13.31% | | | | 15.64% | | | | 7/9/2009 | |
| Fund - Class N: ASMNX | | | 20.02% | | | | 10.01% | | | | na | | | | 13.70% | | | | 12/17/2012 | |
| Fund - Class R6: QSMRX | | | 20.39% | | | | 10.37% | | | | na | | | | 8.08% | | | | 7/10/2014 | |
| | | | | |
| Russell 2000® Total Return Index | | | 20.74% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.65%, 0.91% and 0.56%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
20
Shareholder Letter (Unaudited)
| | | | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | | | |
|
AQR SMALL CAP MOMENTUM STYLE FUND VS. RUSSELL 2000® TOTAL RETURN INDEX VALUE OF $10,000 INVESTED ON 7/9/2009 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
21
Shareholder Letter (Unaudited)
| | | | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND | | | | |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR International Momentum Style Fund (the “Fund”) invests in stocks of non-U.S. companies with positive momentum. The Fund’s investment universe is comprised of approximately the top 85% of stocks by market capitalization of each of the major developed markets outside the U.S. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 14.67% while its benchmark, the MSCI Daily TR Net World Ex USA Index**, returned 18.73% over the period. The Fund’s underperformance was driven primarily by stock selection within sectors. In particular, stock selection within financials and within materials contributed to negative returns. The Fund’s performance was positively impacted by stock selection within consumer discretionary and within information technology.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to materials and industrials; the Fund was underweight health care and consumer staples. Notable active positions also included a country overweight to the United Kingdom and Canada and an underweight to Switzerland and Japan.
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR INTERNATIONAL MOMENTUM STYLE FUND | | | | | | | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: AIMOX | | | 14.67% | | | | 3.77% | | | | 6.49% | | | | 7.69% | | | | 7/9/2009 | |
| Fund - Class N: AIONX | | | 14.38% | | | | 3.53% | | | | na | | | | 5.55% | | | | 12/17/2012 | |
| Fund - Class R6: QIORX | | | 14.80% | | | | 3.92% | | | | na | | | | 2.38% | | | | 7/10/2014 | |
| | | | | |
| MSCI Daily TR Net World Ex USA Index** | | | 18.73% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.63%, 0.87% and 0.53%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
22
Shareholder Letter (Unaudited)
| | | | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND | | | | |
|
AQR INTERNATIONAL MOMENTUM STYLE FUND VS. MSCI DAILY TR NET WORLD EX USA INDEX** VALUE OF $10,000 INVESTED ON 7/9/2009 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
23
Shareholder Letter (Unaudited)
| | | | |
| AQR EMERGING MOMENTUM STYLE FUND | | | | |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR Emerging Momentum Style Fund (the “Fund”) invests in stocks of emerging market companies with positive momentum. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 23.48% while its benchmark, the MSCI Daily TR Net Emerging Markets Index**, returned 22.46% over the period. The Fund’s outperformance was driven primarily by stock selection within sectors. In particular, stock selection within real estate and within information technology contributed to positive returns. The Fund’s performance was negatively impacted by stock selection within financials and within materials.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to materials and financials; the Fund was underweight telecommunication services and consumer discretionary. Notable active positions also included a country overweight to China and Brazil and an underweight to India and South Africa.
| | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR EMERGING MOMENTUM STYLE FUND | |
| | | 1 Year | | | 3 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QEMLX | | | 23.48% | | | | 3.84% | | | | 3.46% | | | | 5/13/2014 | |
| Fund - Class N: QEMNX | | | 23.06% | | | | 3.56% | | | | 3.18% | | | | 5/13/2014 | |
| Fund - Class R6: QEMRX | | | 23.52% | | | | 3.93% | | | | 1.77% | | | | 7/10/2014 | |
| | | | |
| MSCI Daily TR Net Emerging Market Index** | | | 22.46% | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 2.77%, 2.97% and 2.71%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
24
Shareholder Letter (Unaudited)
| | | | |
| AQR EMERGING MOMENTUM STYLE FUND | | | | |
|
AQR EMERGING MOMENTUM STYLE FUND VS. MSCI DAILY TR NET EMERGING MARKETS INDEX** VALUE OF $10,000 INVESTED ON 5/13/2014 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
25
Shareholder Letter (Unaudited)
| | | | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND | | | | |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR TM Large Cap Momentum Style Fund (the “Fund”) invests in stocks of large and mid-cap U.S. companies with positive momentum. The Fund’s investment universe is comprised of the 1000 largest U.S . companies by market capitalization. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 16.16% while its benchmark, the Russell 1000® Index Total Return, returned 18.54% over the period. The Fund’s underperformance was driven primarily by stock selection within sectors. In particular, stock selection within energy and within materials contributed to negative returns. The Fund’s performance was positively impacted by stock selection within information technology and within industrials.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to information technology and industrials; the Fund was underweight health care and consumer staples.
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR TM LARGE CAP MOMENTUM STYLE FUND | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: ATMOX | | | 16.16% | | | | 8.53% | | | | 12.97% | | | | 13.94% | | | | 1/27/2012 | |
| Fund - Class N: ATMNX | | | 15.89% | | | | 8.32% | | | | na | | | | 13.42% | | | | 12/17/2012 | |
| Fund - Class R6: QTMRX | | | 16.30% | | | | 8.63% | | | | na | | | | 8.26% | | | | 7/10/2014 | |
| | | | | |
| Russell 1000® Index Total Return | | | 18.54% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.49%, 0.65% and 0.39%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
26
Shareholder Letter (Unaudited)
| | | | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND | | | | |
|
AQR TM LARGE CAP MOMENTUM STYLE FUND VS. RUSSELL 1000® INDEX TOTAL RETURN VALUE OF $10,000 INVESTED ON 1/27/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
27
Shareholder Letter (Unaudited)
| | | | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | | | |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR TM Small Cap Momentum Style Fund (the “Fund”) invests in stocks of small-cap U.S. companies with positive momentum. The Fund’s investment universe is comprised of U.S. companies smaller than the 1000th largest and larger than the 3000th largest company by market capitalization. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 21.02% while its benchmark, the Russell 2000® Total Return Index, returned 20.74% over the period. The Fund’s outperformance was driven primarily by stock selection within sectors. In particular, stock selection within health care and within consumer discretionary contributed to positive returns. The Fund’s performance was negatively impacted by stock selection within energy.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to information technology and health care; the Fund was underweight consumer discretionary and industrials.
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR TM SMALL CAP MOMENTUM STYLE FUND | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: ATSMX | | | 21.02% | | | | 10.80% | | | | 13.37% | | | | 13.65% | | | | 1/27/2012 | |
| Fund - Class N: ATSNX | | | 20.73% | | | | 10.59% | | | | na | | | | 13.70% | | | | 12/17/2012 | |
| Fund - Class R6: QTSRX | | | 21.11% | | | | 10.93% | | | | na | | | | 8.49% | | | | 7/10/2014 | |
| | | | | |
| Russell 2000® Total Return Index | | | 20.74% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.11%, 1.27% and 1.01%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
28
Shareholder Letter (Unaudited)
| | | | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | | | |
|
AQR TM SMALL CAP MOMENTUM STYLE FUND VS. RUSSELL 2000® TOTAL RETURN INDEX VALUE OF $10,000 INVESTED ON 1/27/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
29
Shareholder Letter (Unaudited)
| | | | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND | | | | |
Cliff Asness
Managing & Founding Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholder:
The AQR TM International Momentum Style Fund (the “Fund”) invests in stocks of large and mid-cap non-U.S. companies with positive momentum. The Fund’s investment universe is comprised of approximately the top 85% of stocks by market capitalization of each of the major developed markets outside the U.S. The Fund is not actively managed to outperform a growth, value or core benchmark. Rather, it seeks to provide systematic exposure to stocks that share the common characteristic of positive momentum. The Fund employs a tax management strategy which considers the potential impact of taxes on investment return.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 14.49% while its benchmark, the MSCI Daily TR Net World Ex USA Index**, returned 18.73% over the period. The Fund’s underperformance was driven primarily by stock selection within sectors. In particular, stock selection within materials and within industrials contributed to negative returns. The Fund’s performance was positively impacted by stock selection within information technology.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to information technology and materials; the Fund was underweight health care and consumer staples. Notable active positions also included a country overweight to the United Kingdom and Canada and an underweight to Japan and Switzerland.
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR TM INTERNATIONAL MOMENTUM STYLE FUND | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: ATIMX | | | 14.49% | | | | 3.66% | | | | 6.85% | | | | 7.53% | | | | 1/27/2012 | |
| Fund - Class N: ATNNX | | | 14.23% | | | | 3.47% | | | | na | | | | 5.92% | | | | 12/17/2012 | |
| Fund - Class R6: QTIRX | | | 14.66% | | | | 3.78% | | | | na | | | | 2.16% | | | | 7/10/2014 | |
| | | | | |
| MSCI Daily TR Net World Ex USA Index** | | | 18.73% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.77%, 0.94% and 0.67%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
30
Shareholder Letter (Unaudited)
| | | | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND | | | | |
|
AQR TM INTERNATIONAL MOMENTUM STYLE FUND VS. MSCI DAILY TR NET WORLD EX USA INDEX** VALUE OF $10,000 INVESTED ON 1/27/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
31
Shareholder Letter (Unaudited)
| | | | |
| AQR LARGE CAP DEFENSIVE STYLE FUND | | | | |
Michele Aghassi
Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Hoon Kim
Principal
Dear Shareholder:
The AQR Large Cap Defensive Style Fund (the “Fund”) pursues a defensive strategy in the U.S. market, meaning it seeks to participate in rising equity markets while mitigating downside risk in declining markets. To achieve this objective, the Fund invests in a broadly diversified set of large/mid-cap companies that we believe to be profitable, stable, low-risk businesses. Profitable and stable companies are identified through measures including profit margins, asset efficiency, leverage, and earnings variability. The Fund also favors lower beta stocks, which tend to be less sensitive to fluctuations in the overall economy and the stock market. We expect lower beta stocks to produce higher risk-adjusted returns than higher beta stocks over the long term.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 18.32% while its benchmark, the Russell 1000® Index Total Return, returned 18.54% over the period. The Fund’s underperformance was driven primarily by stock selection within financials and within consumer discretionary. The Fund’s performance was positively impacted by stock selection within sectors.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to consumer staples and utilities; the Fund was underweight information technology and energy.
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR LARGE CAP DEFENSIVE STYLE FUND | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: AUEIX | | | 18.32% | | | | 13.76% | | | | 15.34% | | | | 15.32% | | | | 7/9/2012 | |
| Fund - Class N: AUENX | | | 17.99% | | | | 13.49% | | | | 15.07% | | | | 15.04% | | | | 7/9/2012 | |
| Fund - Class R6: QUERX | | | 18.43% | | | | 13.87% | | | | na | | | | 13.34% | | | | 9/2/2014 | |
| | | | | |
| Russell 1000® Index Total Return | | | 18.54% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.43%, 0.69% and 0.34%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
32
Shareholder Letter (Unaudited)
| | | | |
| AQR LARGE CAP DEFENSIVE STYLE FUND | | | | |
|
AQR LARGE CAP DEFENSIVE STYLE FUND VS. RUSSELL 1000® INDEX TOTAL RETURN VALUE OF $10,000 INVESTED ON 7/9/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
33
Shareholder Letter (Unaudited)
| | | | |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND | | | | |
Michele Aghassi
Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Hoon Kim
Principal
Dear Shareholder:
The AQR International Defensive Style Fund (the “Fund”) pursues a defensive strategy in developed markets outside of the U.S., meaning it seeks to participate in rising equity markets while mitigating downside risk in declining markets. To achieve this objective, the Fund invests in a broadly diversified set of large/mid-cap companies that we believe to be profitable, stable, low-risk businesses. Profitable and stable companies are identified through measures including profit margins, asset efficiency, leverage, and earnings variability. The Fund also favors lower beta stocks, which tend to be less sensitive to fluctuations in the overall economy and the stock market. We expect lower beta stocks to produce higher risk-adjusted returns than higher beta stocks over the long term.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 11.29% while its benchmark, the MSCI Daily TR Net World Ex USA Index**, returned 18.73% over the period. The Fund’s underperformance was driven primarily by stock selection within sectors. In particular, stock selection within materials contributed to negative returns. The Fund’s performance was positively impacted by stock selection within information technology and within consumer staples.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to consumer staples and utilities; the Fund was underweight financials and energy. Notable active positions also included a country overweight to Japan and Canada and an underweight to the United Kingdom and Germany.
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR INTERNATIONAL DEFENSIVE STYLE FUND | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: ANDIX | | | 11.29% | | | | 5.35% | | | | 7.03% | | | | 8.00% | | | | 7/9/2012 | |
| Fund - Class N: ANDNX | | | 11.01% | | | | 5.08% | | | | 6.74% | | | | 7.73% | | | | 7/9/2012 | |
| Fund - Class R6: ANDRX | | | 11.38% | | | | 5.46% | | | | na | | | | 3.58% | | | | 9/2/2014 | |
| | | | | |
| MSCI Daily TR Net World Ex USA Index** | | | 18.73% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.84%, 1.09% and 0.68%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
34
Shareholder Letter (Unaudited)
| | | | |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND | | | | |
|
AQR INTERNATIONAL DEFENSIVE STYLE FUND VS. MSCI DAILY TR NET WORLD EX USA INDEX** VALUE OF $10,000 INVESTED ON 7/9/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
35
Shareholder Letter (Unaudited)
| | | | |
| AQR EMERGING DEFENSIVE STYLE FUND | | | | |
Michele Aghassi
Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Hoon Kim
Principal
Dear Shareholder:
The AQR Emerging Defensive Style Fund (the “Fund”) pursues a defensive strategy in emerging markets, meaning it seeks to participate in rising equity markets while mitigating downside risk in declining markets. To achieve this objective, the Fund invests in a broadly diversified set of large/mid-cap companies that we believe to be profitable, stable, low-risk businesses. Profitable and stable companies are identified through measures including profit margins, asset efficiency, leverage, and earnings variability. The Fund also favors lower beta stocks, which tend to be less sensitive to fluctuations in the overall economy and the stock market. We expect lower beta stocks to produce higher risk-adjusted returns than higher beta stocks over the long term.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 9.17% while its benchmark, the MSCI Daily TR Net Emerging Markets Index**, returned 22.46% over the period. The Fund’s underperformance was driven primarily by stock selection within sectors. In particular, stock selection within information technology and within financials contributed to negative returns. The Fund’s performance was positively impacted by stock selection within health care and within energy.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to consumer staples (10.7%) and telecommunication services; the Fund was underweight information technology and financials. Notable active positions also included a country overweight to Malaysia and Thailand and an underweight to China and Russia.
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR EMERGING DEFENSIVE STYLE FUND | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: AZEIX | | | 9.17% | | | | -1.14% | | | | -0.33% | | | | 0.59% | | | | 7/9/2012 | |
| Fund - Class N: AZENX | | | 9.04% | | | | -1.32% | | | | -0.54% | | | | 0.38% | | | | 7/9/2012 | |
| Fund - Class R6: AZERX | | | 9.40% | | | | -1.04% | | | | na | | | | -3.05% | | | | 9/2/2014 | |
| | | | | |
| MSCI Daily TR Net Emerging Markets Index** | | | 22.46% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.16%, 1.39% and 1.06%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
36
Shareholder Letter (Unaudited)
| | | | |
| AQR EMERGING DEFENSIVE STYLE FUND | | | | |
|
AQR EMERGING DEFENSIVE STYLE FUND VS. MSCI DAILY TR NET EMERGING MARKETS INDEX** VALUE OF $10,000 INVESTED ON 7/9/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
37
Shareholder Letter (Unaudited)
Cliff Asness
Managing & Founding Principal
John Liew
Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Michael Katz
Principal
Oktay Kurbanov
Principal
Dear Shareholder:
The AQR Global Equity Fund (the “Fund”) is actively managed, and it seeks to outperform its benchmark in three ways: by selecting stocks within each country and by using futures, forwards, and swap contracts to over-and under-weight countries and currencies relative to the benchmark.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 20.70% while its benchmark, the MSCI Daily TR Net World Index**, returned 18.17% over the period. The Fund’s outperformance was driven primarily by the stock selection strategy and the country selection strategy. In particular, stock selection within industrials and within energy contributed to positive returns. The Fund’s performance was negatively impacted by stock selection within consumer staples and within telecommunication services.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to industrials and materials; the Fund was underweight consumer staples and energy.
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR GLOBAL EQUITY FUND PERFORMANCE SINCE COMMENCEMENT OF OPERATIONS AS A MUTUAL FUND | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: AQGIX | | | 20.70% | | | | 9.74% | | | | 12.85% | | | | 10.67% | | | | 12/31/2009 | |
| Fund - Class N: AQGNX | | | 20.57% | | | | 9.49% | | | | 12.58% | | | | 10.37% | | | | 12/31/2009 | |
| Fund - Class R6: AQGRX | | | 20.98% | | | | 9.93% | | | | na | | | | 8.75% | | | | 1/08/2014 | |
| | | | | |
| MSCI Daily TR Net World Index** | | | 18.17% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.88%, 1.14% and 0.78%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
38
Shareholder Letter (Unaudited)
|
AQR GLOBAL EQUITY FUND VS. MSCI DAILY TR NET WORLD INDEX** VALUE OF $10,000 INVESTED ON 12/31/2009 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR GLOBAL EQUITY FUND PERFORMANCE SINCE INCEPTION OF PREDECESSOR LIMITED PARTNERSHIP | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | 10 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: AQGIX | | | 20.70% | | | | 9.74% | | | | 12.85% | | | | 4.83% | | | | 6.22% | | | | 6/30/2006 | |
| Fund - Class N: AQGNX | | | 20.57% | | | | 9.49% | | | | 12.58% | | | | 4.53% | | | | 5.91% | | | | 6/30/2006 | |
| Fund - Class R6: AQGRX | | | 20.98% | | | | 9.93% | | | | na | | | | na | | | | 8.75% | | | | 1/08/2014 | |
| | | | | | |
| MSCI Daily TR Net World Index** | | | 18.17% | | | | | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.88%, 1.14% and 0.78, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
39
Shareholder Letter (Unaudited)
|
AQR GLOBAL EQUITY FUND VS. MSCI DAILY TR NET WORLD INDEX** VALUE OF $10,000 INVESTED ON 6/30/2006 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
40
Shareholder Letter (Unaudited)
| | | | |
| AQR INTERNATIONAL EQUITY FUND | | | | |
Cliff Asness
Managing & Founding Principal
John Liew
Founding Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Michael Katz
Principal
Oktay Kurbanov
Principal
Dear Shareholder:
The AQR International Equity Fund (the “Fund”) is actively managed, and it seeks to outperform its benchmark in three ways: by selecting stocks within each country and by using futures, forwards, and swap contracts to over-and under-weight countries and currencies relative to the benchmark.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 19.96% while its benchmark, the MSCI Daily TR Net EAFE Index**, returned 19.10% over the period. The Fund’s outperformance was driven primarily by the country selection strategy and the stock selection strategy. In particular, stock selection within consumer discretionary and within industrials contributed to positive returns. The Fund’s performance was negatively impacted by stock selection within financials and within energy.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to materials and information technology; the Fund was underweight consumer staples and telecommunication services.
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR INTERNATIONAL EQUITY FUND PERFORMANCE SINCE COMMENCEMENT OF OPERATIONS AS A MUTUAL FUND | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: AQIIX | | | 19.96% | | | | 7.69% | | | | 10.12% | | | | 7.09% | | | | 9/29/2009 | |
| Fund - Class N: AQINX | | | 19.68% | | | | 7.43% | | | | 9.79% | | | | 6.79% | | | | 9/29/2009 | |
| Fund - Class R6: AQIRX | | | 20.20% | | | | 7.86% | | | | na | | | | 5.03% | | | | 1/08/2014 | |
| | | | | |
| MSCI Daily TR Net EAFE Index** | | | 19.10% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.93%, 1.18% and 0.83%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
41
Shareholder Letter (Unaudited)
| | | | |
| AQR INTERNATIONAL EQUITY FUND | | | | |
|
AQR INTERNATIONAL EQUITY FUND VS. MSCI DAILY TR NET EAFE INDEX** VALUE OF $10,000 INVESTED ON 9/29/2009 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR INTERNATIONAL EQUITY FUND PERFORMANCE SINCE INCEPTION OF PREDECESSOR LIMITED PARTNERSHIP | | | | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | 10 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: AQIIX | | | 19.96% | | | | 7.69% | | | | 10.12% | | | | 1.90% | | | | 6.68% | | | | 7/31/2004 | |
| Fund - Class N: AQINX | | | 19.68% | | | | 7.43% | | | | 9.79% | | | | 1.60% | | | | 6.35% | | | | 7/31/2004 | |
| Fund - Class R6: AQIRX | | | 20.20% | | | | 7.86% | | | | na | | | | na | | | | 5.03% | | | | 1/08/2014 | |
| | | | | | |
| MSCI Daily TR Net EAFE Index** | | | 19.10% | | | | | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 0.93%, 1.18% and 0.83%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
42
Shareholder Letter (Unaudited)
| | | | |
| AQR INTERNATIONAL EQUITY FUND | | | | |
|
AQR INTERNATIONAL EQUITY FUND VS. MSCI DAILY TR NET EAFE INDEX** VALUE OF $10,000 INVESTED ON 7/31/2004 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
43
Shareholder Letter (Unaudited)
| | | | |
| AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND | | | | |
Michele Aghassi
Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Hoon Kim
Principal
Dear Shareholder:
Using a systematic, multi-factor investment research process, the AQR Large Cap Relaxed Constraint Equity Fund (the “Fund”) develops a ranking of every stock in the investable universe. Based on these rankings, the Fund over- and underweights securities, industries, and sectors relative to its benchmark index. “Relaxed Constraint” reflects the Fund’s ability to take long and short positions in the equity securities in which it invests. The Fund invests approximately 130% of the portfolio’s assets long, and 30% short, targeting 100% net exposure to the market.
Selling securities short allows the Fund to reflect to a greater extent, compared to a long-only approach, the Fund’s views on securities it expects to underperform. Reinvesting the short sale proceeds allows the Fund to take additional long positions, increasing the portfolio’s exposure to securities the Manager expects to outperform.
For the fiscal year ended September 30, 2017, the Fund returned 13.00% while its benchmark, the Russell 1000® Index, returned 16.31% over the period. The Fund’s underperformance was driven primarily by stock selection within sectors. In particular, stock selection within information technology and within energy led to negative returns.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to industrials and financials; the Fund was underweight health care and consumer staples.
| | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND | |
| | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QLRIX | | | 13.00% | | | | 12/14/2016 | |
| Fund - Class N: QLRNX | | | 12.70% | | | | 12/14/2016 | |
| Fund - Class R6: QLRRX | | | 13.00% | | | | 12/14/2016 | |
| | |
| Russell 1000® Index Total Return | | | 16.31% | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.65%, 1.90% and 1.55%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
44
Shareholder Letter (Unaudited)
| | | | |
| AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND | | | | |
|
AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND VS. RUSSELL 1000® TR INDEX VALUE OF $10,000 INVESTED ON 12/14/2016 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
45
Shareholder Letter (Unaudited)
| | | | |
| AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | | | | |
Michele Aghassi
Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Hoon Kim
Principal
Dear Shareholder:
Using a systematic, multi-factor investment research process, the AQR Small Cap Relaxed Constraint Equity Fund (the “Fund”) develops a ranking of every stock in the investable universe. Based on these rankings, the Fund over- and underweights securities, industries, and sectors relative to its benchmark index. “Relaxed Constraint” reflects the Fund’s ability to take long and short positions in the equity securities in which it invests. The Fund invests approximately 130% of the portfolio’s assets long, and 30% short, targeting 100% net exposure to the market.
Selling securities short allows the Fund to reflect to a greater extent, compared to a long-only approach, the Fund’s views on securities it expects to underperform. Reinvesting the short sale proceeds allows the Fund to take additional long positions, increasing the portfolio’s exposure to securities the Manager expects to outperform.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 3.50% while its benchmark, the Russell 2000® Index, returned 14.05% over the period. The Fund’s underperformance was driven primarily by stock selection within sectors. In particular, stock selection within consumer discretionary and within information technology contributed to negative returns. The Fund’s performance was positively impacted by stock selection within health care and within energy.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to industrials and financials; the Fund was underweight health care and real estate.
| | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | |
| | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QSRIX | | | 3.50% | | | | 12/14/2016 | |
| Fund - Class N: QSRNX | | | 3.20% | | | | 12/14/2016 | |
| Fund - Class R6: QSRRX | | | 3.50% | | | | 12/14/2016 | |
| | |
| Russell 2000® Total Return Index | | | 14.05% | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.52%, 1.77% and 1.42%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
46
Shareholder Letter (Unaudited)
| | | | |
| AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | | | | |
|
AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND VS. RUSSELL 2000® INDEX VALUE OF $10,000 INVESTED ON 12/14/2016 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
47
Shareholder Letter (Unaudited)
| | | | |
| AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | | | | |
Michele Aghassi
Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Hoon Kim
Principal
Dear Shareholder:
Using a systematic, multi-factor investment research process, the AQR International Relaxed Constraint Equity Fund (the “Fund”) develops a ranking of every stock in the investable universe. Based on these rankings, the Fund over- and underweights securities, industries, and sectors relative to its benchmark index. “Relaxed Constraint” reflects the Fund’s ability to take long and short positions in the equity securities in which it invests. The Fund invests approximately 130% of the portfolio’s assets long, and 30% short, targeting 100% net exposure to the market.
Selling securities short allows the Fund to reflect to a greater extent, compared to a long-only approach, the Fund’s views on securities it expects to underperform. Reinvesting the short sale proceeds allows the Fund to take additional long positions, increasing the portfolio’s exposure to securities the Manager expects to outperform.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 27.60% while its benchmark, the MSCI EAFE Index**, returned 24.95% over the period. The Fund’s outperformance was driven primarily by stock selection within sectors. In particular, stock selection within health care contributed to positive returns. The Fund’s performance was negatively impacted by stock selection within telecommunication services and within consumer staples.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to information technology and industrials; the Fund was underweight consumer staples and telecommunication services. Notable active positions also included a country overweight to Germany and an underweight to Japan and Israel.
| | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | |
| | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QIRIX | | | 27.60% | | | | 12/14/2016 | |
| Fund - Class N: QIRNX | | | 27.30% | | | | 12/14/2016 | |
| Fund - Class R6: QIRRX | | | 27.70% | | | | 12/14/2016 | |
| | |
| MSCI Daily TR Net EAFE Index** | | | 24.95% | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.86%, 2.11% and 1.76%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
48
Shareholder Letter (Unaudited)
| | | | |
| AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | | | | |
|
AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND VS. MSCI EAFE INDEX VALUE OF $10,000 INVESTED ON 12/14/2016 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
49
Shareholder Letter (Unaudited)
| | | | |
| AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | | | | |
Michele Aghassi
Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Hoon Kim
Principal
Dear Shareholder:
Using a systematic, multi-factor investment research process, the AQR Emerging Relaxed Constraint Equity Fund (the “Fund”) develops a ranking of every stock in the investable universe. Based on these rankings, the Fund over- and underweights securities, industries, and sectors relative to its benchmark index. “Relaxed Constraint” reflects the Fund’s ability to take long and short positions in the equity securities in which it invests. The Fund invests approximately 130% of the portfolio’s assets long, and 30% short, targeting 100% net exposure to the market.
Selling securities short allows the Fund to reflect to a greater extent, compared to a long-only approach, the Fund’s views on securities it expects to underperform. Reinvesting the short sale proceeds allows the Fund to take additional long positions, increasing the portfolio’s exposure to securities the Manager expects to outperform.
For the fiscal year ended September 30, 2017, the Fund’s Class I returned 26.90% while its benchmark, MSCI Emerging Markets Index**, returned 28.06% over the period. The Fund’s underperformance was driven primarily by the stock selection strategy within sectors. In particular, stock selection within information technology and within health care contributed to negative returns. The Fund’s performance was positively impacted by stock selection within materials and within energy.
Over the course of the fiscal year, the Fund’s largest active positions within the stock selection strategy included sector overweights to materials and information technology; the Fund was underweight consumer staples and consumer discretionary. Notable active positions also included a country overweight to Chile and an underweight to the United Arab Emirates.
| | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 9/30/2017 AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | |
| | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QERIX | | | 26.90% | | | | 12/14/2016 | |
| Fund - Class N: QERNX | | | 26.60% | | | | 12/14/2016 | |
| Fund - Class R6: QERRX | | | 27.00% | | | | 12/14/2016 | |
| | |
| MSCI Daily TR Net Emerging Market Index** | | | 28.06% | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.30%, 1.55% and 1.20%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
50
Shareholder Letter (Unaudited)
| | | | |
| AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | | | | |
|
AQR EMERGING RELAXED CONSTRAINT EQUITY FUND VS. MSCI EMERGING MARKETS INDEX VALUE OF $10,000 INVESTED ON 12/14/2016 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
51
Shareholder Letter (Unaudited)
DEFINITIONS:
Beta: is a measure of volatility of a security or portfolio in comparison to an index or the market as a whole. A beta of 1.0 means the security or portfolio will generally move in tandem with the index or market it is being compared to. A beta greater than 1.0 means the security or portfolio will be more volatile and a beta less than 1.0 means the security or portfolio will be less volatile than the index or market it is being compared to.
Correlation: is computed into what is known as the correlation coefficient, which ranges between -1 and +1. Perfect positive correlation (+1) implies that as one security moves, either up or down, the other security will move in lockstep, in the same direction. Alternatively, perfect negative correlation (-1) means that if one security moves in either direction the security that is perfectly negatively correlated will move in the opposite direction. If the correlation is 0, the movements of the securities are said to have no correlation; they are completely random.
Credit: This strategy purchases attractively priced securities on a hedged basis, typically around event induced capital flows.
Excess Returns: Returns in excess of a Fund’s benchmark.
Industry-Neutral: An industry-neutral bet overweights stocks within an industry versus other stocks within the same industry.
Macroeconomics: is focused on the movement and trends of the whole economy as a whole, including changes such as unemployment, national income, rate of growth, GDP, inflation and price levels.
Momentum: An investment style wherein an asset is deemed to have positive momentum if it has performed well in the past relative to other assets in the same universe.
Profitability: An investment style wherein an asset as certain identifiable characteristics including, profit margin, asset efficiency, leverage and earnings variability.
The MSCI Daily TR Net EAFE Index**: is a free float-adjusted market capitalization index that is designed to measure the performance of equities in developed markets, excluding the United States and Canada. Indexes are unmanaged and one cannot invest directly in an index.
The MSCI Daily TR Net Emerging Markets Index**: is a free float-adjusted market capitalization index that is designed to measure the performance of equities in 23 global emerging markets. Indexes are unmanaged and one cannot invest directly in an index.
The MSCI Daily TR Net World Ex USA Index**: captures large and mid cap securities exhibiting overall growth style characteristics across 22 Developed Markets countries and 23 Emerging Markets countries. The growth investment style characteristics for index construction are defined using five variables: long-term forward EPS growth rate, short-term forward EPS growth rate, current internal growth rate and long-term historical EPS growth trend and long-term historical sales per share growth trend. Indexes are unmanaged and one cannot invest directly in an index.
The MSCI Daily TR Net World Index**: is a free float-adjusted market capitalization index that is designed to measure the performance of equities in developed markets, including the United States and Canada. Indexes are unmanaged and one cannot invest directly in an index.
The Russell 1000® Index Total Return: measures the performance of the large and mid-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000® Index Total Return represents approximately 90% of the U.S. market. Indexes are unmanaged and one cannot invest directly in an index.
The Russell 2000® Total Return Index: measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Total Return Index is a subset of the Russell 3000® Index representing approximately 8% of the total market capitalization of that index. It includes approximately 2,000 of the smallest securities based on a combination of their market cap and current index membership. Indexes are unmanaged and one cannot invest directly in an index.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
52
Shareholder Letter (Unaudited)
Tracking Error: A measure of how closely a portfolio follows the index to which it is benchmarked. It measures the standard deviation of the difference between the portfolio and index returns.
Volatility: is a statistical measurement of up and down asset price fluctuations over time. If an asset has rapid dramatic price swings, its “volatility” will likely be relatively high. If prices are consistent and rarely change, “volatility” of that asset will likely be relatively low. “Volatility” can be measured as the standard deviation of an asset with a specific time horizon. It is often used to quantify the risk of such asset over a time period, typically expressed in annualized terms.
| | ** | MSCI makes no express or implied warranties or representations and shall have no liability whatsoever with respect to any MSCI data contained herein. The MSCI data may not be further redistributed or used as a basis for other indices or any securities or financial products. This report is not approved, reviewed, or produced by MSCI. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
53
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| COMMON STOCKS - 97.0% | | | | | | |
| | |
| Aerospace & Defense - 4.7% | | | | | | |
| Boeing Co. (The) | | | 114,280 | | | $ | 29,051,119 | |
| General Dynamics Corp. | | | 4,681 | | | | 962,320 | |
| Huntington Ingalls Industries, Inc. | | | 53,274 | | | | 12,063,365 | |
| Northrop Grumman Corp. | | | 26,078 | | | | 7,503,162 | |
| Raytheon Co. | | | 97,287 | | | | 18,151,808 | |
| Spirit AeroSystems Holdings, Inc., Class A | | | 188,249 | | | | 14,630,712 | |
| | | | | | | | |
| | | | | | | 82,362,486 | |
| | | | | | | | |
| Air Freight & Logistics - 0.4% | | | | | | |
| FedEx Corp. | | | 28,222 | | | | 6,366,319 | |
| | | | | | | | |
| | |
| Airlines - 1.9% | | | | | | |
| Copa Holdings SA, Class A (Panama) | | | 11,640 | | | | 1,449,529 | |
| Delta Air Lines, Inc. | | | 80,804 | | | | 3,896,369 | |
| JetBlue Airways Corp.* | | | 480,555 | | | | 8,904,684 | |
| Southwest Airlines Co. | | | 86,807 | | | | 4,859,456 | |
| United Continental Holdings, Inc.* | | | 227,033 | | | | 13,821,769 | |
| | | | | | | | |
| | | | | | | 32,931,807 | |
| | | | | | | | |
| Auto Components - 0.6% | | | | | | |
| Lear Corp. | | | 65,195 | | | | 11,283,951 | |
| | | | | | | | |
| | |
| Automobiles - 0.7% | | | | | | |
| General Motors Co. | | | 167,230 | | | | 6,752,747 | |
| Thor Industries, Inc. | | | 39,590 | | | | 4,984,777 | |
| | | | | | | | |
| | | | | | | 11,737,524 | |
| | | | | | | | |
| Banks - 6.6% | | | | | | |
| Bank of America Corp. | | | 454,952 | | | | 11,528,484 | |
| Citigroup, Inc. | | | 206,752 | | | | 15,039,140 | |
| East West Bancorp, Inc. | | | 14,895 | | | | 890,423 | |
| JPMorgan Chase & Co. | | | 394,743 | | | | 37,701,904 | |
| M&T Bank Corp. | | | 13,538 | | | | 2,180,159 | |
| PNC Financial Services Group, Inc. (The) | | | 93,068 | | | | 12,542,774 | |
| SunTrust Banks, Inc. | | | 134,928 | | | | 8,064,647 | |
| US Bancorp | | | 229,101 | | | | 12,277,523 | |
| Wells Fargo & Co. | | | 307,991 | | | | 16,985,704 | |
| | | | | | | | |
| | | | | | | 117,210,758 | |
| | | | | | | | |
| Beverages - 0.8% | | | | | | |
| Constellation Brands, Inc., Class A | | | 39,872 | | | | 7,952,471 | |
| PepsiCo, Inc. | | | 60,410 | | | | 6,731,486 | |
| | | | | | | | |
| | | | | | | 14,683,957 | |
| | | | | | | | |
| Biotechnology - 3.0% | | | | | | |
| AbbVie, Inc. | | | 33,244 | | | | 2,954,062 | |
| Amgen, Inc. | | | 14,816 | | | | 2,762,443 | |
| Biogen, Inc.* | | | 16,567 | | | | 5,187,459 | |
| Bioverativ, Inc.* | | | 8,283 | | | | 472,711 | |
| Celgene Corp.* | | | 41,657 | | | | 6,074,424 | |
| Exelixis, Inc.* | | | 403,492 | | | | 9,776,611 | |
| Gilead Sciences, Inc. | | | 164,167 | | | | 13,300,810 | |
| United Therapeutics Corp.* | | | 61,238 | | | | 7,176,481 | |
| Vertex Pharmaceuticals, Inc.* | | | 35,461 | | | | 5,391,491 | |
| | | | | | | | |
| | | | | | | 53,096,492 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Building Products - 0.8% | | | | | | |
| Owens Corning | | | 177,732 | | | $ | 13,747,570 | |
| | | | | | | | |
| | |
| Capital Markets - 1.3% | | | | | | |
| Bank of New York Mellon Corp. (The) | | | 111,687 | | | | 5,921,645 | |
| FactSet Research Systems, Inc. | | | 9,436 | | | | 1,699,518 | |
| Goldman Sachs Group, Inc. (The) | | | 20,691 | | | | 4,907,698 | |
| Morgan Stanley | | | 13,276 | | | | 639,505 | |
| S&P Global, Inc. | | | 17,709 | | | | 2,768,094 | |
| State Street Corp. | | | 81,114 | | | | 7,749,631 | |
| | | | | | | | |
| | | | | | | 23,686,091 | |
| | | | | | | | |
| Chemicals - 2.6% | | | | | | |
| Cabot Corp. | | | 12,817 | | | | 715,189 | |
| Chemours Co. (The) | | | 215,052 | | | | 10,883,782 | |
| DowDuPont, Inc. | | | 40,723 | | | | 2,819,253 | |
| Huntsman Corp. | | | 72,620 | | | | 1,991,240 | |
| LyondellBasell Industries NV, Class A | | | 262,020 | | | | 25,953,081 | |
| Monsanto Co. | | | 28,162 | | | | 3,374,371 | |
| | | | | | | | |
| | | | | | | 45,736,916 | |
| | | | | | | | |
| Commercial Services & Supplies - 0.4% | | | | |
| Cintas Corp. | | | 18,464 | | | | 2,663,986 | |
| Republic Services, Inc. | | | 13,617 | | | | 899,539 | |
| Rollins, Inc. | | | 16,121 | | | | 743,823 | |
| Waste Management, Inc. | | | 33,664 | | | | 2,634,881 | |
| | | | | | | | |
| | | | | | | 6,942,229 | |
| | | | | | | | |
| Communications Equipment - 1.2% | | | | |
| Brocade Communications Systems, Inc. | | | 34,368 | | | | 410,698 | |
| Cisco Systems, Inc. | | | 492,845 | | | | 16,574,377 | |
| Juniper Networks, Inc. | | | 154,641 | | | | 4,303,659 | |
| | | | | | | | |
| | | | | | | 21,288,734 | |
| | | | | | | | |
| Consumer Finance - 0.1% | | | | | | |
| Discover Financial Services | | | 35,549 | | | | 2,292,200 | |
| | | | | | | | |
| | |
| Distributors - 0.1% | | | | | | |
| LKQ Corp.* | | | 30,523 | | | | 1,098,523 | |
| | | | | | | | |
| |
| Diversified Consumer Services - 0.3% | | | | |
| Graham Holdings Co., Class B | | | 1,454 | | | | 850,735 | |
| H&R Block, Inc. | | | 159,937 | | | | 4,235,132 | |
| | | | | | | | |
| | | | | | | 5,085,867 | |
| | | | | | | | |
| Diversified Financial Services - 1.4% | | | | |
| Berkshire Hathaway, Inc., Class B* | | | 131,492 | | | | 24,105,113 | |
| | | | | | | | |
| |
| Diversified Telecommunication Services - 0.8% | | | | |
| AT&T, Inc. | | | 380,240 | | | | 14,894,001 | |
| | | | | | | | |
| | |
| Electric Utilities - 2.8% | | | | | | |
| Edison International | | | 15,877 | | | | 1,225,228 | |
| Eversource Energy | | | 38,708 | | | | 2,339,512 | |
| Exelon Corp. | | | 375,676 | | | | 14,151,715 | |
| Great Plains Energy, Inc. | | | 41,596 | | | | 1,260,359 | |
| Hawaiian Electric Industries, Inc. | | | 24,525 | | | | 818,399 | |
| NextEra Energy, Inc. | | | 25,426 | | | | 3,726,180 | |
| PG&E Corp. | | | 250,799 | | | | 17,076,904 | |
| Pinnacle West Capital Corp. | | | 80,348 | | | | 6,794,227 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
54
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Electric Utilities - 2.8% (continued) | | | | | | |
| Xcel Energy, Inc. | | | 27,806 | | | $ | 1,315,780 | |
| | | | | | | | |
| | | | | | | 48,708,304 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components - 0.5% | |
| Corning, Inc. | | | 259,570 | | | | 7,766,334 | |
| Jabil, Inc. | | | 31,871 | | | | 909,917 | |
| | | | | | | | |
| | | | | | | 8,676,251 | |
| | | | | | | | |
| Energy Equipment & Services - 0.1% | |
| Baker Hughes a GE Co. | | | 30,914 | | | | 1,132,071 | |
| Oceaneering International, Inc. | | | 31,976 | | | | 840,009 | |
| RPC, Inc. (a) | | | 24,057 | | | | 596,373 | |
| | | | | | | | |
| | | | | | | 2,568,453 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (REITs) - 3.0% | |
| American Tower Corp. | | | 31,544 | | | | 4,311,434 | |
| AvalonBay Communities, Inc. | | | 10,236 | | | | 1,826,307 | |
| Boston Properties, Inc. | | | 11,170 | | | | 1,372,570 | |
| Crown Castle International Corp. | | | 20,620 | | | | 2,061,588 | |
| Digital Realty Trust, Inc. | | | 58,944 | | | | 6,974,844 | |
| Equinix, Inc. | | | 7,311 | | | | 3,262,899 | |
| Equity Residential | | | 45,227 | | | | 2,981,816 | |
| Essex Property Trust, Inc. | | | 2,826 | | | | 717,889 | |
| GGP, Inc. | | | 80,952 | | | | 1,681,373 | |
| HCP, Inc. | | | 74,734 | | | | 2,079,847 | |
| Host Hotels & Resorts, Inc. | | | 97,937 | | | | 1,810,855 | |
| Prologis, Inc. | | | 38,097 | | | | 2,417,636 | |
| Public Storage | | | 23,955 | | | | 5,126,130 | |
| Realty Income Corp. | | | 46,031 | | | | 2,632,513 | |
| Simon Property Group, Inc. | | | 28,970 | | | | 4,664,460 | |
| Ventas, Inc. | | | 65,952 | | | | 4,295,454 | |
| Vornado Realty Trust | | | 12,491 | | | | 960,308 | |
| Welltower, Inc. | | | 27,691 | | | | 1,946,123 | |
| Weyerhaeuser Co. | | | 75,677 | | | | 2,575,288 | |
| | | | | | | | |
| | | | | | | 53,699,334 | |
| | | | | | | | |
| Food & Staples Retailing - 2.2% | |
| Costco Wholesale Corp. | | | 7,308 | | | | 1,200,631 | |
| CVS Health Corp. | | | 78,291 | | | | 6,366,624 | |
| Wal-Mart Stores, Inc. | | | 405,474 | | | | 31,683,739 | |
| | | | | | | | |
| | | | | | | 39,250,994 | |
| | | | | | | | |
| Food Products - 1.8% | | | | | | |
| Archer-Daniels-Midland Co. | | | 148,439 | | | | 6,310,142 | |
| Bunge Ltd. | | | 9,706 | | | | 674,179 | |
| Conagra Brands, Inc. | | | 115,473 | | | | 3,896,059 | |
| Flowers Foods, Inc. | | | 77,842 | | | | 1,464,208 | |
| Ingredion, Inc. | | | 58,127 | | | | 7,012,441 | |
| Pilgrim’s Pride Corp. * | | | 292,253 | | | | 8,302,908 | |
| Tyson Foods, Inc., Class A | | | 58,377 | | | | 4,112,659 | |
| | | | | | | | |
| | | | | | | 31,772,596 | |
| | | | | | | | |
| Health Care Equipment & Supplies - 0.6% | |
| Baxter International, Inc. | | | 143,507 | | | | 9,005,064 | |
| Varian Medical Systems, Inc. * | | | 9,117 | | | | 912,247 | |
| | | | | | | | |
| | | | | | | 9,917,311 | |
| | | | | | | | |
| Health Care Providers & Services - 4.9% | |
| Anthem, Inc. | | | 90,282 | | | | 17,142,746 | |
| Centene Corp. * | | | 84,743 | | | | 8,200,580 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Health Care Providers & Services - 4.9% (continued) | |
| Cigna Corp. | | | 14,323 | | | $ | 2,677,542 | |
| Express Scripts Holding Co. * | | | 88,742 | | | | 5,619,143 | |
| Humana, Inc. | | | 60,450 | | | | 14,727,434 | |
| McKesson Corp. | | | 32,317 | | | | 4,964,214 | |
| UnitedHealth Group, Inc. | | | 98,735 | | | | 19,337,250 | |
| WellCare Health Plans, Inc. * | | | 82,993 | | | | 14,253,218 | |
| | | | | | | | |
| | | | | | | 86,922,127 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure - 2.6% | |
| Carnival Corp. | | | 185,768 | | | | 11,995,040 | |
| Darden Restaurants, Inc. | | | 196,325 | | | | 15,466,483 | |
| Las Vegas Sands Corp. | | | 30,572 | | | | 1,961,500 | |
| McDonald’s Corp. | | | 16,798 | | | | 2,631,911 | |
| Royal Caribbean Cruises Ltd. | | | 106,078 | | | | 12,574,486 | |
| Wyndham Worldwide Corp. | | | 8,200 | | | | 864,362 | |
| | | | | | | | |
| | | | | | | 45,493,782 | |
| | | | | | | | |
| Household Durables - 0.6% | |
| DR Horton, Inc. | | | 67,255 | | | | 2,685,492 | |
| NVR, Inc. * | | | 1,296 | | | | 3,700,080 | |
| PulteGroup, Inc. | | | 132,554 | | | | 3,622,701 | |
| Toll Brothers, Inc. | | | 37,692 | | | | 1,563,087 | |
| | | | | | | | |
| | | | | | | 11,571,360 | |
| | | | | | | | |
| Household Products - 1.4% | |
| Procter & Gamble Co. (The) | | | 265,550 | | | | 24,159,739 | |
| | | | | | | | |
|
| Industrial Conglomerates - 0.1% | |
| 3M Co. | | | 5,269 | | | | 1,105,963 | |
| | | | | | | | |
| | |
| Insurance - 6.4% | | | | | | |
| Aflac, Inc. | | | 119,729 | | | | 9,744,743 | |
| Allstate Corp. (The) | | | 224,653 | | | | 20,647,857 | |
| American Financial Group, Inc. | | | 92,559 | | | | 9,575,229 | |
| Assured Guaranty Ltd. | | | 212,201 | | | | 8,010,588 | |
| Chubb Ltd. | | | 34,239 | | | | 4,880,769 | |
| CNA Financial Corp. | | | 47,370 | | | | 2,380,343 | |
| Everest Re Group Ltd. | | | 87,275 | | | | 19,932,737 | |
| First American Financial Corp. | | | 26,485 | | | | 1,323,455 | |
| Lincoln National Corp. | | | 84,912 | | | | 6,239,334 | |
| Progressive Corp. (The) | | | 13,035 | | | | 631,155 | |
| Prudential Financial, Inc. | | | 34,140 | | | | 3,629,765 | |
| Reinsurance Group of America, Inc. | | | 73,148 | | | | 10,206,340 | |
| Travelers Cos., Inc. (The) | | | 115,307 | | | | 14,127,414 | |
| Unum Group | | | 29,505 | | | | 1,508,591 | |
| WR Berkley Corp. | | | 8,660 | | | | 577,968 | |
| | | | | | | | |
| | | | | | | 113,416,288 | |
| | | | | | | | |
| Internet & Direct Marketing Retail - 1.4% | |
| Amazon.com, Inc. * | | | 20,686 | | | | 19,886,486 | |
| Liberty Interactive Corp. QVC Group, Class A * | | | 61,705 | | | | 1,454,387 | |
| Netflix, Inc. * | | | 15,625 | | | | 2,833,594 | |
| Priceline Group, Inc. (The) * | | | 613 | | | | 1,122,292 | |
| | | | | | | | |
| | | | | | | 25,296,759 | |
| | | | | | | | |
| Internet Software & Services - 5.7% | |
| Akamai Technologies, Inc. * | | | 69,783 | | | | 3,399,828 | |
| Alphabet, Inc., Class A * | | | 25,625 | | | | 24,951,575 | |
| Alphabet, Inc., Class C * | | | 21,385 | | | | 20,510,567 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
55
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Internet Software & Services - 5.7% (continued) | |
| eBay, Inc. * | | | 494,571 | | | $ | 19,021,201 | |
| Facebook, Inc., Class A * | | | 164,116 | | | | 28,042,501 | |
| IAC/InterActiveCorp * | | | 46,459 | | | | 5,462,649 | |
| | | | | | | | |
| | | | | | | 101,388,321 | |
| | | | | | | | |
| IT Services - 1.9% | |
| Accenture plc, Class A | | | 54,344 | | | | 7,340,244 | |
| Amdocs Ltd. | | | 28,015 | | | | 1,801,925 | |
| Booz Allen Hamilton Holding Corp. | | | 106,917 | | | | 3,997,627 | |
| Cognizant Technology Solutions Corp., Class A | | | 20,753 | | | | 1,505,422 | |
| Fiserv, Inc. * | | | 21,651 | | | | 2,792,113 | |
| International Business Machines Corp. | | | 64,916 | | | | 9,418,013 | |
| Visa, Inc., Class A | | | 59,121 | | | | 6,221,894 | |
| | | | | | | | |
| | | | | | | 33,077,238 | |
| | | | | | | | |
| Life Sciences Tools & Services - 0.1% | |
| Charles River Laboratories International, Inc. * | | | 17,876 | | | | 1,930,966 | |
| | | | | | | | |
|
| Machinery - 1.8% | |
| Caterpillar, Inc. | | | 9,922 | | | | 1,237,372 | |
| Cummins, Inc. | | | 52,103 | | | | 8,754,867 | |
| Deere & Co. | | | 45,474 | | | | 5,711,080 | |
| Ingersoll-Rand plc | | | 23,061 | | | | 2,056,349 | |
| Oshkosh Corp. | | | 164,242 | | | | 13,556,535 | |
| Trinity Industries, Inc. | | | 24,673 | | | | 787,069 | |
| | | | | | | | |
| | | | | | | 32,103,272 | |
| | | | | | | | |
| Media - 2.1% | |
| Cable One, Inc. | | | 1,970 | | | | 1,422,576 | |
| Comcast Corp., Class A | | | 388,563 | | | | 14,951,904 | |
| John Wiley & Sons, Inc., Class A | | | 12,594 | | | | 673,779 | |
| Time Warner, Inc. | | | 54,921 | | | | 5,626,657 | |
| Walt Disney Co. (The) | | | 143,797 | | | | 14,174,070 | |
| | | | | | | | |
| | | | | | | 36,848,986 | |
| | | | | | | | |
| Metals & Mining - 0.3% | |
| Newmont Mining Corp. | | | 34,694 | | | | 1,301,372 | |
| Royal Gold, Inc. | | | 4,696 | | | | 404,044 | |
| Steel Dynamics, Inc. | | | 124,402 | | | | 4,288,137 | |
| | | | | | | | |
| | | | | | | 5,993,553 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (REITs) - 0.1% | |
| Annaly Capital Management, Inc. | | | 204,172 | | | | 2,488,857 | |
| | | | | | | | |
|
| Multiline Retail - 0.8% | |
| Kohl’s Corp. | | | 158,260 | | | | 7,224,569 | |
| Target Corp. | | | 119,835 | | | | 7,071,463 | |
| | | | | | | | |
| | | | | | | 14,296,032 | |
| | | | | | | | |
| Multi-Utilities - 2.2% | |
| Ameren Corp. | | | 265,955 | | | | 15,382,837 | |
| Consolidated Edison, Inc. | | | 154,507 | | | | 12,465,625 | |
| DTE Energy Co. | | | 83,223 | | | | 8,934,821 | |
| Public Service Enterprise Group, Inc. | | | 28,658 | | | | 1,325,433 | |
| | | | | | | | |
| | | | | | | 38,108,716 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels - 1.3% | |
| Devon Energy Corp. | | | 27,240 | | | | 999,980 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Oil, Gas & Consumable Fuels - 1.3% (continued) | |
| Exxon Mobil Corp. | | | 21,584 | | | $ | 1,769,456 | |
| Marathon Petroleum Corp. | | | 94,020 | | | | 5,272,642 | |
| Murphy Oil Corp. | | | 27,815 | | | | 738,767 | |
| Pioneer Natural Resources Co. | | | 10,426 | | | | 1,538,252 | |
| Valero Energy Corp. | | | 154,172 | | | | 11,860,452 | |
| | | | | | | | |
| | | | | | | 22,179,549 | |
| | | | | | | | |
| Pharmaceuticals - 2.9% | | | | | | |
| Johnson & Johnson | | | 197,339 | | | | 25,656,043 | |
| Merck & Co., Inc. | | | 167,080 | | | | 10,698,132 | |
| Pfizer, Inc. | | | 417,658 | | | | 14,910,391 | |
| | | | | | | | |
| | | | | | | 51,264,566 | |
| | | | | | | | |
| Professional Services - 0.3% | |
| ManpowerGroup, Inc. | | | 45,526 | | | | 5,363,873 | |
| | | | | | | | |
|
| Real Estate Management & Development - 0.1% | |
| CBRE Group, Inc., Class A * | | | 18,438 | | | | 698,431 | |
| Jones Lang LaSalle, Inc. | | | 2,862 | | | | 353,457 | |
| | | | | | | | |
| | | | | | | 1,051,888 | |
| | | | | | | | |
| Road & Rail - 0.6% | | | | | | |
| CSX Corp. | | | 28,099 | | | | 1,524,652 | |
| Norfolk Southern Corp. | | | 16,325 | | | | 2,158,818 | |
| Union Pacific Corp. | | | 53,306 | | | | 6,181,897 | |
| | | | | | | | |
| | | | | | | 9,865,367 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment - 6.4% | |
| Applied Materials, Inc. | | | 264,858 | | | | 13,796,453 | |
| Intel Corp. | | | 649,920 | | | | 24,748,954 | |
| Lam Research Corp. | | | 75,338 | | | | 13,940,543 | |
| Micron Technology, Inc. * | | | 753,707 | | | | 29,643,296 | |
| NVIDIA Corp. | | | 36,658 | | | | 6,553,351 | |
| ON Semiconductor Corp. * | | | 260,091 | | | | 4,803,881 | |
| Skyworks Solutions, Inc. | | | 89,710 | | | | 9,141,449 | |
| Texas Instruments, Inc. | | | 113,603 | | | | 10,183,373 | |
| | | | | | | | |
| | | | | | | 112,811,300 | |
| | | | | | | | |
| Software - 4.0% | | | | | | |
| Activision Blizzard, Inc. | | | 182,309 | | | | 11,760,753 | |
| Cadence Design Systems, Inc. * | | | 19,993 | | | | 789,124 | |
| Electronic Arts, Inc. * | | | 61,548 | | | | 7,266,357 | |
| Microsoft Corp. | | | 494,189 | | | | 36,812,138 | |
| Oracle Corp. | | | 88,414 | | | | 4,274,817 | |
| VMware, Inc., Class A *(a) | | | 98,225 | | | | 10,725,188 | |
| | | | | | | | |
| | | | | | | 71,628,377 | |
| | | | | | | | |
| Specialty Retail - 3.4% | | | | | | |
| Best Buy Co., Inc. | | | 369,114 | | | | 21,024,733 | |
| Burlington Stores, Inc. * | | | 28,491 | | | | 2,719,751 | |
| Dick’s Sporting Goods, Inc. | | | 44,501 | | | | 1,201,972 | |
| Foot Locker, Inc. | | | 83,664 | | | | 2,946,646 | |
| Gap, Inc. (The) | | | 150,684 | | | | 4,449,699 | |
| Home Depot, Inc. (The) | | | 83,322 | | | | 13,628,146 | |
| Lowe’s Cos., Inc. | | | 25,933 | | | | 2,073,084 | |
| Murphy USA, Inc. * | | | 9,493 | | | | 655,017 | |
| Ross Stores, Inc. | | | 61,057 | | | | 3,942,451 | |
| TJX Cos., Inc. (The) | | | 39,333 | | | | 2,900,022 | |
| Williams-Sonoma, Inc. | | | 94,638 | | | | 4,718,651 | |
| | | | | | | | |
| | | | | | | 60,260,172 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
56
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Technology Hardware, Storage & Peripherals - 5.2% | |
| Apple, Inc. | | | 417,213 | | | $ | 64,300,867 | |
| HP, Inc. | | | 263,173 | | | | 5,252,933 | |
| NetApp, Inc. | | | 58,440 | | | | 2,557,334 | |
| Western Digital Corp. | | | 223,585 | | | | 19,317,744 | |
| | | | | | | | |
| | | | | | | 91,428,878 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods - 0.3% | |
| Michael Kors Holdings Ltd. * | | | 89,611 | | | | 4,287,887 | |
| Skechers U.S.A., Inc., Class A * | | | 51,824 | | | | 1,300,264 | |
| | | | | | | | |
| | | | | | | 5,588,151 | |
| | | | | | | | |
| Thrifts & Mortgage Finance - 0.0% (b) | |
| New York Community Bancorp, Inc. | | | 31,509 | | | | 406,151 | |
| | | | | | | | |
| | |
| Tobacco - 1.1% | | | | | | |
| Altria Group, Inc. | | | 127,125 | | | | 8,062,267 | |
| Philip Morris International, Inc. | | | 100,862 | | | | 11,196,691 | |
| | | | | | | | |
| | | | | | | 19,258,958 | |
| | | | | | | | |
| Trading Companies & Distributors - 0.2% | |
| United Rentals, Inc. * | | | 27,225 | | | | 3,777,196 | |
| | | | | | | | |
|
| Transportation Infrastructure - 0.1% | |
Macquarie Infrastructure Corp. | | | 14,016 | | | | 1,011,675 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $1,388,198,200) | | | | | | | 1,713,241,841 | |
| | | | | | | | |
|
| SHORT-TERM INVESTMENT - 2.9% | |
| |
| Investment Company - 2.9% | | | | |
| Limited Purpose Cash Investment Fund, 0.97% (2)(c) | | | | | | | | |
(Cost $51,105,407) | | | 51,110,518 | | | | 51,105,407 | |
| | | | | | | | |
|
| SECURITIES LENDING COLLATERAL - 0.6% | |
| |
| Investment Companies - 0.6% | | | | |
| Investments in a Pooled Account through Securities Lending Program with Citibank NA | | | | | | | | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.91% (2)(c)(d) | | | 1,619,578 | | | | 1,619,578 | |
| UBS Asset Management Americas, Inc. 1.10% (2)(c)(d) | | | 7,528,331 | | | | 7,528,331 | |
| 1.16% (2)(c)(d) | | | 1,254,722 | | | | 1,254,722 | |
| | | | | | | | |
TOTAL SECURITIES LENDING COLLATERAL
(Cost $10,402,631) | | | | | | | 10,402,631 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.5%
(Cost $1,449,706,238) | | | | | | | 1,774,749,879 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (0.5)% (e) | | | | | (8,704,072) | |
| | | | | | | | |
NET ASSETS - 100.0% | | | $ | 1,766,045,807 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 228,561,107 | | | | 12.9 | % |
| Consumer Staples | | | 129,126,244 | | | | 7.3 | |
| Energy | | | 24,748,002 | | | | 1.4 | |
| Financials | | | 283,605,458 | | | | 16.1 | |
| Health Care | | | 203,131,462 | | | | 11.5 | |
| Industrials | | | 195,577,758 | | | | 11.1 | |
| Information Technology | | | 440,299,100 | | | | 25.0 | |
| Materials | | | 51,730,468 | | | | 2.9 | |
| Real Estate | | | 54,751,222 | | | | 3.1 | |
| Telecommunication Services | | | 14,894,001 | | | | 0.8 | |
| Utilities | | | 86,817,019 | | | | 4.9 | |
| Short-Term Investment | | | 51,105,407 | | | | 2.9 | |
| Securities Lending Collateral | | | 10,402,631 | | | | 0.6 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 1,774,749,879 | | | | 100.5 | |
| Liabilities in Excess of Other Assets (e) | | | (8,704,072 | ) | | | (0.5 | ) |
| | | | | | | | |
Net Assets | | $ | 1,766,045,807 | | | | 100.0 | % |
| | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| * | Non-income producing security. |
| (a) | The security or a portion of this security is on loan at September 30, 2017. The total value of securities on loan at September 30, 2017 was $10,184,606. |
| (b) | Represents less than 0.05% of net assets. |
| (c) | Represents 7-day effective yield as of September 30, 2017. |
| (d) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
| (e) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 4). |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
57
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP MULTI-STYLE FUND | | | | |
Futures contracts outstanding as of September 30, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF CONTRACTS | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | |
| S&P 500 E-Mini Index | | 237 | | 12/2017 | | | USD | | | | $29,815,785 | | | | $464,951 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $464,951 | |
| | | | | | | | | | | | | | | | |
USD - United States Dollar
Collateral pledged to, or (received from), each counterparty at September 30, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED | | | TOTAL | |
| GSCO | | | | | | | | | |
| Cash | | | $— | | | | $700,894 | | | | $700,894 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
58
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| COMMON STOCKS - 96.6% | |
|
| Aerospace & Defense - 1.3% | |
| Curtiss-Wright Corp. | | | 21,437 | | | $ | 2,241,024 | |
| DigitalGlobe, Inc. * | | | 23,843 | | | | 840,466 | |
| Ducommun, Inc. * | | | 9,749 | | | | 312,455 | |
| Esterline Technologies Corp. * | | | 15,928 | | | | 1,435,909 | |
| Moog, Inc., Class A * | | | 20,096 | | | | 1,676,609 | |
| National Presto Industries, Inc. | | | 9,582 | | | | 1,020,004 | |
| Triumph Group, Inc. | | | 11,060 | | | | 329,035 | |
| Vectrus, Inc. * | | | 69,684 | | | | 2,149,055 | |
| | | | | | | | |
| | | | | | | 10,004,557 | |
| | | | | | | | |
| Air Freight & Logistics - 0.3% | | | | | | |
| Air Transport Services Group, Inc. * | | | 37,962 | | | | 923,995 | |
| Atlas Air Worldwide Holdings, Inc. * | | | 5,702 | | | | 375,192 | |
| Hub Group, Inc., Class A * | | | 19,920 | | | | 855,564 | |
| | | | | | | | |
| | | | | | | 2,154,751 | |
| | | | | | | | |
| Airlines - 0.4% | | | | | | |
| Allegiant Travel Co. | | | 5,157 | | | | 679,177 | |
| Hawaiian Holdings, Inc. * | | | 18,265 | | | | 685,851 | |
| SkyWest, Inc. | | | 36,908 | | | | 1,620,261 | |
| | | | | | | | |
| | | | | | | 2,985,289 | |
| | | | | | | | |
| Auto Components - 4.1% | | | | | | |
| American Axle & Manufacturing Holdings, Inc. * | | | 234,554 | | | | 4,123,459 | |
| Cooper Tire & Rubber Co. (a) | | | 123,462 | | | | 4,617,479 | |
| Cooper-Standard Holdings, Inc. * | | | 56,656 | | | | 6,570,396 | |
| Dana, Inc. | | | 209,501 | | | | 5,857,648 | |
| Dorman Products, Inc. * | | | 25,667 | | | | 1,838,271 | |
| LCI Industries | | | 33,188 | | | | 3,844,830 | |
| Standard Motor Products, Inc. | | | 4,963 | | | | 239,465 | |
| Stoneridge, Inc. * | | | 75,842 | | | | 1,502,430 | |
| Superior Industries International, Inc. | | | 18,522 | | | | 308,391 | |
| Tenneco, Inc. | | | 45,050 | | | | 2,733,184 | |
| Tower International, Inc. | | | 25,947 | | | | 705,758 | |
| | | | | | | | |
| | | | | | | 32,341,311 | |
| | | | | | | | |
| Automobiles - 0.1% | | | | | | |
| Winnebago Industries, Inc. | | | 21,124 | | | | 945,299 | |
| | | | | | | | |
| | |
| Banks - 7.7% | | | | | | |
| 1st Source Corp. | | | 12,341 | | | | 626,923 | |
| Ameris Bancorp | | | 13,565 | | | | 651,120 | |
| BancorpSouth, Inc. | | | 16,434 | | | | 526,710 | |
| Brookline Bancorp, Inc. | | | 68,576 | | | | 1,062,928 | |
| Cathay General Bancorp | | | 30,589 | | | | 1,229,678 | |
| CenterState Bank Corp. | | | 45,102 | | | | 1,208,734 | |
| City Holding Co. | | | 5,517 | | | | 396,727 | |
| Community Bank System, Inc. | | | 4,534 | | | | 250,503 | |
| Community Trust Bancorp, Inc. | | | 6,366 | | | | 296,019 | |
| Customers Bancorp, Inc. * | | | 47,060 | | | | 1,535,097 | |
| Eagle Bancorp, Inc. * | | | 8,567 | | | | 574,417 | |
| Enterprise Financial Services Corp. | | | 29,209 | | | | 1,237,001 | |
| FCB Financial Holdings, Inc., Class A * | | | 5,256 | | | | 253,865 | |
| Fidelity Southern Corp. | | | 34,506 | | | | 815,722 | |
| First Bancorp * | | | 197,042 | | | | 1,008,855 | |
| First Busey Corp. | | | 10,793 | | | | 338,468 | |
| First Citizens BancShares, Inc., Class A | | | 7,518 | | | | 2,810,905 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Banks - 7.7% (continued) | | | | | | |
| First Commonwealth Financial Corp. | | | 20,485 | | | $ | 289,453 | |
| First Financial Bancorp | | | 50,378 | | | | 1,317,385 | |
| First Financial Corp. | | | 5,448 | | | | 259,325 | |
| First Interstate BancSystem, Inc., Class A | | | 54,005 | | | | 2,065,691 | |
| First Merchants Corp. | | | 53,707 | | | | 2,305,642 | |
| Flushing Financial Corp. | | | 14,191 | | | | 421,757 | |
| Fulton Financial Corp. | | | 98,410 | | | | 1,845,188 | |
| Great Southern Bancorp, Inc. | | | 12,259 | | | | 682,213 | |
| Great Western Bancorp, Inc. | | | 119,922 | | | | 4,950,380 | |
| Hancock Holding Co. | | | 73,444 | | | | 3,558,362 | |
| Hanmi Financial Corp. | | | 32,421 | | | | 1,003,430 | |
| Heartland Financial USA, Inc. | | | 30,526 | | | | 1,507,984 | |
| Heritage Financial Corp. | | | 15,782 | | | | 465,569 | |
| Hilltop Holdings, Inc. | | | 53,591 | | | | 1,393,366 | |
| Home BancShares, Inc. | | | 24,680 | | | | 622,430 | |
| Hope Bancorp, Inc. | | | 43,833 | | | | 776,282 | |
| IBERIABANK Corp. | | | 5,480 | | | | 450,182 | |
| International Bancshares Corp. | | | 64,947 | | | | 2,604,375 | |
| LegacyTexas Financial Group, Inc. | | | 48,669 | | | | 1,942,866 | |
| MB Financial, Inc. | | | 23,805 | | | | 1,071,701 | |
| Midland States Bancorp, Inc. | | | 11,069 | | | | 350,666 | |
| NBT Bancorp, Inc. | | | 31,465 | | | | 1,155,395 | |
| Old National Bancorp | | | 17,158 | | | | 313,991 | |
| Preferred Bank | | | 14,946 | | | | 901,991 | |
| Renasant Corp. | | | 24,309 | | | | 1,042,856 | |
| S&T Bancorp, Inc. | | | 7,320 | | | | 289,726 | |
| Sandy Spring Bancorp, Inc. | | | 19,049 | | | | 789,391 | |
| ServisFirst Bancshares, Inc. | | | 71,288 | | | | 2,769,539 | |
| Simmons First National Corp., Class A | | | 7,766 | | | | 449,651 | |
| Stock Yards Bancorp, Inc. | | | 7,609 | | | | 289,142 | |
| Texas Capital Bancshares, Inc. * | | | 19,062 | | | | 1,635,520 | |
| Tompkins Financial Corp. | | | 2,852 | | | | 245,671 | |
| Towne Bank | | | 9,351 | | | | 313,259 | |
| TriCo Bancshares | | | 11,642 | | | | 474,411 | |
| Trustmark Corp. | | | 43,983 | | | | 1,456,717 | |
| UMB Financial Corp. | | | 5,831 | | | | 434,351 | |
| Union Bankshares Corp. | | | 19,508 | | | | 688,632 | |
| Wintrust Financial Corp. | | | 41,307 | | | | 3,234,751 | |
| | | | | | | | |
| | | | | | | 61,192,913 | |
| | | | | | | | |
| Beverages - 1.1% | | | | | | |
| Boston Beer Co., Inc. (The), Class A * | | | 1,621 | | | | 253,200 | |
| Coca-Cola Bottling Co. Consolidated | | | 8,964 | | | | 1,933,983 | |
| MGP Ingredients, Inc. (a) | | | 29,359 | | | | 1,780,036 | |
| National Beverage Corp. | | | 38,487 | | | | 4,774,313 | |
| | | | | | | | |
| | | | | | | 8,741,532 | |
| | | | | | | | |
| Biotechnology - 5.8% | | | | | | |
| Acorda Therapeutics, Inc. * | | | 15,860 | | | | 375,089 | |
| AMAG Pharmaceuticals, Inc. *(a) | | | 53,499 | | | | 987,057 | |
| Amicus Therapeutics, Inc. * | | | 61,340 | | | | 925,007 | |
| Array BioPharma, Inc. * | | | 62,800 | | | | 772,440 | |
| Avexis, Inc. * | | | 9,252 | | | | 894,946 | |
| BioSpecifics Technologies Corp. * | | | 15,957 | | | | 742,320 | |
| Bluebird Bio, Inc. * | | | 15,210 | | | | 2,089,093 | |
| Blueprint Medicines Corp. * | | | 12,175 | | | | 848,232 | |
| Calithera Biosciences, Inc. *(a) | | | 137,275 | | | | 2,162,081 | |
| Clovis Oncology, Inc. * | | | 15,212 | | | | 1,253,469 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
59
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Biotechnology - 5.8% (continued) | | | | | | |
| Conatus Pharmaceuticals, Inc. * | | | 111,308 | | | $ | 611,081 | |
| Eagle Pharmaceuticals, Inc. *(a) | | | 67,709 | | | | 4,038,165 | |
| Emergent BioSolutions, Inc. * | | | 87,140 | | | | 3,524,813 | |
| Enanta Pharmaceuticals, Inc. * | | | 14,345 | | | | 671,346 | |
| Esperion Therapeutics, Inc. * | | | 23,471 | | | | 1,176,366 | |
| Exact Sciences Corp. * | | | 85,821 | | | | 4,043,886 | |
| FibroGen, Inc. * | | | 34,741 | | | | 1,869,066 | |
| Halozyme Therapeutics, Inc. * | | | 44,786 | | | | 777,933 | |
| Insmed, Inc. * | | | 27,807 | | | | 867,856 | |
| Kite Pharma, Inc. * | | | 18,279 | | | | 3,286,747 | |
| Loxo Oncology, Inc. * | | | 8,484 | | | | 781,546 | |
| Momenta Pharmaceuticals, Inc. * | | | 26,540 | | | | 490,990 | |
| Myriad Genetics, Inc. * | | | 39,386 | | | | 1,424,985 | |
| PDL BioPharma, Inc. * | | | 560,204 | | | | 1,899,092 | |
| Portola Pharmaceuticals, Inc. * | | | 18,850 | | | | 1,018,465 | |
| Prothena Corp. plc (Ireland) * | | | 14,289 | | | | 925,499 | |
| PTC Therapeutics, Inc. * | | | 43,479 | | | | 870,015 | |
| Puma Biotechnology, Inc. * | | | 10,780 | | | | 1,290,905 | |
| Repligen Corp. * | | | 60,158 | | | | 2,305,255 | |
| Retrophin, Inc. * | | | 24,279 | | | | 604,304 | |
| Sage Therapeutics, Inc. * | | | 3,630 | | | | 226,149 | |
| Sarepta Therapeutics, Inc. * | | | 23,120 | | | | 1,048,723 | |
| Xencor, Inc. * | | | 56,553 | | | | 1,296,195 | |
| | | | | | | | |
| | | | | | | 46,099,116 | |
| | | | | | | | |
| Building Products - 1.9% | |
| American Woodmark Corp. * | | | 13,429 | | | | 1,292,541 | |
| Apogee Enterprises, Inc. | | | 61,417 | | | | 2,963,985 | |
| Builders FirstSource, Inc. * | | | 22,229 | | | | 399,900 | |
| Insteel Industries, Inc. | | | 56,500 | | | | 1,475,215 | |
| Patrick Industries, Inc. * | | | 55,970 | | | | 4,707,077 | |
| Ply Gem Holdings, Inc. * | | | 14,505 | | | | 247,310 | |
| Trex Co., Inc. * | | | 14,333 | | | | 1,290,973 | |
| Universal Forest Products, Inc. | | | 30,314 | | | | 2,975,622 | |
| | | | | | | | |
| | | | | | | 15,352,623 | |
| | | | | | | | |
| Capital Markets - 1.0% | | | | | | |
| Cohen & Steers, Inc. | | | 12,766 | | | | 504,129 | |
| Evercore, Inc., Class A | | | 18,372 | | | | 1,474,353 | |
| Financial Engines, Inc. | | | 27,174 | | | | 944,297 | |
| INTL. FCStone, Inc. * | | | 42,003 | | | | 1,609,555 | |
| Stifel Financial Corp. | | | 39,372 | | | | 2,104,827 | |
| Waddell & Reed Financial, Inc., Class A (a) | | | 64,974 | | | | 1,304,028 | |
| | | | | | | | |
| | | | | | | 7,941,189 | |
| | | | | | | | |
| Chemicals - 1.7% | | | | | | |
| American Vanguard Corp. | | | 26,223 | | | | 600,507 | |
| FutureFuel Corp. | | | 33,434 | | | | 526,251 | |
| Ingevity Corp. * | | | 8,753 | | | | 546,800 | |
| Innospec, Inc. | | | 14,473 | | | | 892,260 | |
| KMG Chemicals, Inc. | | | 10,413 | | | | 571,465 | |
| Kronos Worldwide, Inc. | | | 120,592 | | | | 2,753,115 | |
| Rayonier Advanced Materials, Inc. (a) | | | 30,716 | | | | 420,809 | |
| Stepan Co. | | | 29,730 | | | | 2,487,212 | |
| Trinseo SA | | | 60,018 | | | | 4,027,208 | |
| Tronox Ltd., Class A | | | 29,285 | | | | 617,914 | |
| | | | | | | | |
| | | | | | | 13,443,541 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Commercial Services & Supplies - 2.3% | |
| ABM Industries, Inc. | | | 8,516 | | | $ | 355,202 | |
| ACCO Brands Corp. * | | | 179,479 | | | | 2,135,800 | |
| Brady Corp., Class A | | | 6,648 | | | | 252,292 | |
| Brink’s Co. (The) | | | 16,181 | | | | 1,363,249 | |
| Deluxe Corp. | | | 39,224 | | | | 2,861,783 | |
| Ennis, Inc. | | | 78,064 | | | | 1,533,958 | |
| Herman Miller, Inc. | | | 41,279 | | | | 1,481,916 | |
| HNI Corp. | | | 33,164 | | | | 1,375,311 | |
| Hudson Technologies, Inc. * | | | 102,702 | | | | 802,103 | |
| Kimball International, Inc., Class B | | | 29,639 | | | | 585,963 | |
| Knoll, Inc. | | | 12,478 | | | | 249,560 | |
| Multi-Color Corp. | | | 2,813 | | | | 230,525 | |
| Quad/Graphics, Inc. | | | 68,807 | | | | 1,555,726 | |
| Steelcase, Inc., Class A | | | 52,549 | | | | 809,255 | |
| Tetra Tech, Inc. | | | 11,804 | | | | 549,476 | |
| UniFirst Corp. | | | 5,911 | | | | 895,517 | |
| Viad Corp. | | | 16,359 | | | | 996,263 | |
| West Corp. | | | 27,470 | | | | 644,721 | |
| | | | | | | | |
| | | | | | | 18,678,620 | |
| | | | | | | | |
| Communications Equipment - 1.0% | | | | | | |
| Applied Optoelectronics, Inc. *(a) | | | 47,424 | | | | 3,066,910 | |
| Finisar Corp. * | | | 58,994 | | | | 1,307,897 | |
| InterDigital, Inc. | | | 15,167 | | | | 1,118,566 | |
| NETGEAR, Inc. * | | | 5,964 | | | | 283,886 | |
| NetScout Systems, Inc. * | | | 14,056 | | | | 454,712 | |
| Oclaro, Inc. *(a) | | | 142,466 | | | | 1,229,482 | |
| Plantronics, Inc. | | | 8,624 | | | | 381,353 | |
| | | | | | | | |
| | | | | | | 7,842,806 | |
| | | | | | | | |
| Construction & Engineering - 2.0% | | | | | | |
| Argan, Inc. | | | 84,431 | | | | 5,677,985 | |
| Dycom Industries, Inc. * | | | 6,204 | | | | 532,799 | |
| EMCOR Group, Inc. | | | 60,662 | | | | 4,208,729 | |
| MasTec, Inc. * | | | 51,829 | | | | 2,404,866 | |
| MYR Group, Inc. * | | | 10,433 | | | | 304,018 | |
| Tutor Perini Corp. * | | | 102,358 | | | | 2,906,967 | |
| | | | | | | | |
| | | | | | | 16,035,364 | |
| | | | | | | | |
| Construction Materials - 0.2% | | | | | | |
| Summit Materials, Inc., Class A * | | | 30,505 | | | | 977,075 | |
| US Concrete, Inc. *(a) | | | 5,720 | | | | 436,436 | |
| | | | | | | | |
| | | | | | | 1,413,511 | |
| | | | | | | | |
| Consumer Finance - 0.8% | | | | | | |
| FirstCash, Inc. | | | 12,405 | | | | 783,376 | |
| Green Dot Corp., Class A * | | | 17,461 | | | | 865,716 | |
| LendingClub Corp. * | | | 136,429 | | | | 830,852 | |
| Nelnet, Inc., Class A | | | 22,032 | | | | 1,112,616 | |
| Regional Management Corp. * | | | 14,908 | | | | 360,923 | |
| World Acceptance Corp. * | | | 31,508 | | | | 2,611,698 | |
| | | | | | | | |
| | | | | | | 6,565,181 | |
| | | | | | | | |
| Distributors - 0.1% | | | | | | |
| Core-Mark Holding Co., Inc. | | | 17,918 | | | | 575,884 | |
| | | | | | | | |
|
| Diversified Consumer Services - 1.8% | |
| Adtalem Global Education, Inc. | | | 109,484 | | | | 3,925,002 | |
| American Public Education, Inc. * | | | 47,605 | | | | 1,002,085 | |
| Capella Education Co. | | | 23,183 | | | | 1,626,288 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
60
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Diversified Consumer Services - 1.8% (continued) | |
| Career Education Corp. * | | | 72,875 | | | $ | 757,171 | |
| Grand Canyon Education, Inc. * | | | 41,439 | | | | 3,763,490 | |
| K12, Inc. * | | | 55,617 | | | | 992,207 | |
| Weight Watchers International, Inc. *(a) | | | 48,624 | | | | 2,117,575 | |
| | | | | | | | |
| | | | | | | 14,183,818 | |
| | | | | | | | |
| Diversified Telecommunication Services - 0.4% | |
| General Communication, Inc., Class A * | | | 13,639 | | | | 556,335 | |
| IDT Corp., Class B | | | 81,649 | | | | 1,149,618 | |
| Vonage Holdings Corp. * | | | 160,064 | | | | 1,302,921 | |
| | | | | | | | |
| | | | | | | 3,008,874 | |
| | | | | | | | |
| Electric Utilities - 0.3% | | | | | | |
| Spark Energy, Inc., Class A (a) | | | 185,879 | | | | 2,788,185 | |
| | | | | | | | |
| | |
| Electrical Equipment - 0.2% | | | | | | |
| Encore Wire Corp. | | | 8,566 | | | | 383,543 | |
| EnerSys | | | 7,160 | | | | 495,257 | |
| Sunrun, Inc. *(a) | | | 114,902 | | | | 637,706 | |
| | | | | | | | |
| | | | | | | 1,516,506 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components - 4.2% | |
| Anixter International, Inc. * | | | 13,647 | | | | 1,159,995 | |
| AVX Corp. | | | 42,519 | | | | 775,121 | |
| Benchmark Electronics, Inc. * | | | 28,300 | | | | 966,445 | |
| Control4 Corp. * | | | 54,077 | | | | 1,593,108 | |
| CTS Corp. | | | 10,541 | | | | 254,038 | |
| ePlus, Inc. * | | | 19,819 | | | | 1,832,267 | |
| II-VI, Inc. * | | | 44,418 | | | | 1,827,801 | |
| Insight Enterprises, Inc. * | | | 29,994 | | | | 1,377,324 | |
| KEMET Corp. * | | | 117,027 | | | | 2,472,780 | |
| Kimball Electronics, Inc. * | | | 15,665 | | | | 339,147 | |
| Littelfuse, Inc. | | | 3,816 | | | | 747,478 | |
| Methode Electronics, Inc. | | | 92,098 | | | | 3,900,350 | |
| PCM, Inc. * | | | 31,723 | | | | 444,122 | |
| Plexus Corp. * | | | 13,071 | | | | 733,022 | |
| Rogers Corp. * | | | 14,152 | | | | 1,886,179 | |
| Sanmina Corp. * | | | 181,465 | | | | 6,741,425 | |
| SYNNEX Corp. | | | 2,415 | | | | 305,522 | |
| Tech Data Corp. * | | | 16,581 | | | | 1,473,222 | |
| TTM Technologies, Inc. * | | | 247,164 | | | | 3,798,911 | |
| Vishay Intertechnology, Inc. | | | 60,218 | | | | 1,132,098 | |
| | | | | | | | |
| | | | | | | 33,760,355 | |
| | | | | | | | |
| Energy Equipment & Services - 1.0% | | | | | | |
| Atwood Oceanics, Inc. *(a) | | | 31,466 | | | | 295,466 | |
| Diamond Offshore Drilling, Inc. *(a) | | | 22,630 | | | | 328,135 | |
| Exterran Corp. * | | | 25,828 | | | | 816,423 | |
| Fairmount Santrol Holdings, Inc. *(a) | | | 163,909 | | | | 783,485 | |
| Matrix Service Co. * | | | 23,270 | | | | 353,704 | |
| McDermott International, Inc. * | | | 192,736 | | | | 1,401,191 | |
| Newpark Resources, Inc. * | | | 31,134 | | | | 311,340 | |
| Parker Drilling Co. * | | | 66,661 | | | | 73,327 | |
| Unit Corp. * | | | 27,638 | | | | 568,790 | |
| US Silica Holdings, Inc. | | | 89,916 | | | | 2,793,690 | |
| | | | | | | | |
| | | | | | | 7,725,551 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (REITs) - 5.9% | |
| Acadia Realty Trust | | | 22,872 | | | | 654,597 | |
| Agree Realty Corp. | | | 28,285 | | | | 1,388,228 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Equity Real Estate Investment Trusts (REITs) - 5.9% (continued) | |
| Alexander & Baldwin, Inc. | | | 17,385 | | | $ | 805,447 | |
| American Assets Trust, Inc. | | | 13,359 | | | | 531,287 | |
| CareTrust REIT, Inc. | | | 20,459 | | | | 389,539 | |
| CBL & Associates Properties, Inc. (a) | | | 76,168 | | | | 639,049 | |
| Chesapeake Lodging Trust | | | 23,409 | | | | 631,341 | |
| Cousins Properties, Inc. | | | 152,602 | | | | 1,425,303 | |
| DiamondRock Hospitality Co. | | | 98,561 | | | | 1,079,243 | |
| EastGroup Properties, Inc. | | | 8,424 | | | | 742,323 | |
| Education Realty Trust, Inc. | | | 29,191 | | | | 1,048,833 | |
| First Industrial Realty Trust, Inc. | | | 50,404 | | | | 1,516,656 | |
| Four Corners Property Trust, Inc. | | | 50,568 | | | | 1,260,155 | |
| Franklin Street Properties Corp. | | | 62,690 | | | | 665,768 | |
| GEO Group, Inc. (The) | | | 52,351 | | | | 1,408,242 | |
| Global Net Lease, Inc. | | | 21,603 | | | | 472,890 | |
| Government Properties Income Trust | | | 27,835 | | | | 522,463 | |
| Gramercy Property Trust | | | 53,933 | | | | 1,631,473 | |
| Healthcare Realty Trust, Inc. | | | 49,334 | | | | 1,595,462 | |
| Kite Realty Group Trust | | | 29,359 | | | | 594,520 | |
| LaSalle Hotel Properties | | | 47,297 | | | | 1,372,559 | |
| Lexington Realty Trust | | | 86,129 | | | | 880,238 | |
| LTC Properties, Inc. | | | 15,264 | | | | 717,103 | |
| Mack-Cali Realty Corp. | | | 57,265 | | | | 1,357,753 | |
| Monmouth Real Estate Investment Corp. | | | 74,001 | | | | 1,198,076 | |
| National Health Investors, Inc. | | | 12,852 | | | | 993,331 | |
| Pebblebrook Hotel Trust (a) | | | 32,404 | | | | 1,171,081 | |
| Physicians Realty Trust | | | 48,583 | | | | 861,377 | |
| Potlatch Corp. | | | 15,775 | | | | 804,525 | |
| PS Business Parks, Inc. | | | 4,743 | | | | 633,190 | |
| QTS Realty Trust, Inc., Class A | | | 20,958 | | | | 1,097,361 | |
| Quality Care Properties, Inc. * | | | 20,374 | | | | 315,797 | |
| Ramco-Gershenson Properties Trust | | | 36,446 | | | | 474,162 | |
| Retail Opportunity Investments Corp. | | | 31,613 | | | | 600,963 | |
| Rexford Industrial Realty, Inc. | | | 45,584 | | | | 1,304,614 | |
| RLJ Lodging Trust | | | 56,430 | | | | 1,241,460 | |
| Ryman Hospitality Properties, Inc. | | | 19,404 | | | | 1,212,556 | |
| Sabra Health Care REIT, Inc. | | | 71,436 | | | | 1,567,306 | |
| Select Income REIT | | | 28,994 | | | | 679,039 | |
| Seritage Growth Properties, Class A (a) | | | 15,237 | | | | 701,969 | |
| STAG Industrial, Inc. | | | 23,309 | | | | 640,298 | |
| Starwood Waypoint Homes * | | | 47,606 | | | | 1,731,430 | |
| Summit Hotel Properties, Inc. | | | 66,119 | | | | 1,057,243 | |
| Sunstone Hotel Investors, Inc. | | | 92,362 | | | | 1,484,257 | |
| Terreno Realty Corp. | | | 31,022 | | | | 1,122,376 | |
| Universal Health Realty Income Trust | | | 4,892 | | | | 369,297 | |
| Urban Edge Properties | | | 37,635 | | | | 907,756 | |
| Washington Prime Group, Inc. | | | 62,209 | | | | 518,201 | |
| Washington REIT | | | 15,381 | | | | 503,882 | |
| Xenia Hotels & Resorts, Inc. | | | 39,930 | | | | 840,526 | |
| | | | | | | | |
| | | | | | | 47,362,545 | |
| | | | | | | | |
| Food & Staples Retailing - 0.3% | |
| Ingles Markets, Inc., Class A | | | 56,123 | | | | 1,442,361 | |
| United Natural Foods, Inc. * | | | 5,782 | | | | 240,473 | |
| Weis Markets, Inc. | | | 24,258 | | | | 1,055,223 | |
| | | | | | | | |
| | | | | | | 2,738,057 | |
| | | | | | | | |
| Food Products - 2.1% | |
| Darling Ingredients, Inc. * | | | 58,953 | | | | 1,032,856 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
61
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Food Products - 2.1% (continued) | |
| Dean Foods Co. | | | 91,249 | | | $ | 992,789 | |
| Fresh Del Monte Produce, Inc. | | | 5,050 | | | | 229,573 | |
| John B Sanfilippo & Son, Inc. | | | 51,654 | | | | 3,476,831 | |
| Omega Protein Corp. | | | 123,116 | | | | 2,049,881 | |
| Sanderson Farms, Inc. | | | 56,580 | | | | 9,138,802 | |
| | | | | | | | |
| | | | | | | 16,920,732 | |
| | | | | | | | |
| Gas Utilities - 1.0% | |
| New Jersey Resources Corp. | | | 5,237 | | | | 220,739 | |
| ONE Gas, Inc. | | | 40,190 | | | | 2,959,592 | |
| Southwest Gas Holdings, Inc. | | | 37,247 | | | | 2,891,112 | |
| WGL Holdings, Inc. | | | 19,538 | | | | 1,645,100 | |
| | | | | | | | |
| | | | | | | 7,716,543 | |
| | | | | | | | |
| Health Care Equipment & Supplies - 2.2% | |
| Anika Therapeutics, Inc. * | | | 25,844 | | | | 1,498,952 | |
| Cutera, Inc. * | | | 10,519 | | | | 434,961 | |
| Globus Medical, Inc., Class A * | | | 120,500 | | | | 3,581,260 | |
| Heska Corp. * | | | 12,527 | | | | 1,103,503 | |
| Integer Holdings Corp. * | | | 9,093 | | | | 465,107 | |
| iRadimed Corp. *(a) | | | 23,534 | | | | 225,926 | |
| Lantheus Holdings, Inc. * | | | 120,011 | | | | 2,136,196 | |
| LeMaitre Vascular, Inc. | | | 30,851 | | | | 1,154,444 | |
| Masimo Corp. * | | | 51,221 | | | | 4,433,690 | |
| Merit Medical Systems, Inc. * | | | 24,507 | | | | 1,037,871 | |
| NxStage Medical, Inc. * | | | 25,100 | | | | 692,760 | |
| OraSure Technologies, Inc. * | | | 28,373 | | | | 638,393 | |
| | | | | | | | |
| | | | | | | 17,403,063 | |
| | | | | | | | |
| Health Care Providers & Services - 1.4% | |
| AMN Healthcare Services, Inc. * | | | 98,874 | | | | 4,518,542 | |
| Chemed Corp. | | | 12,285 | | | | 2,482,184 | |
| Cross Country Healthcare, Inc. * | | | 32,104 | | | | 456,840 | |
| HealthEquity, Inc. * | | | 26,214 | | | | 1,325,904 | |
| Molina Healthcare, Inc. * | | | 13,607 | | | | 935,617 | |
| Select Medical Holdings Corp. * | | | 30,983 | | | | 594,874 | |
| Tivity Health, Inc. * | | | 10,360 | | | | 422,688 | |
| Triple-S Management Corp., Class B * | | | 33,270 | | | | 787,834 | |
| | | | | | | | |
| | | | | | | 11,524,483 | |
| | | | | | | | |
| Health Care Technology - 0.2% | |
| Cotiviti Holdings, Inc. * | | | 39,263 | | | | 1,412,683 | |
| | | | | | | | |
|
| Hotels, Restaurants & Leisure - 1.9% | |
| Bloomin’ Brands, Inc. | | | 45,367 | | | | 798,459 | |
| Caesars Entertainment Corp. *(a) | | | 61,192 | | | | 816,913 | |
| Carrols Restaurant Group, Inc. * | | | 24,352 | | | | 265,437 | |
| Cheesecake Factory, Inc. (The) | | | 29,239 | | | | 1,231,547 | |
| Cracker Barrel Old Country Store, Inc. (a) | | | 8,727 | | | | 1,323,188 | |
| Dave & Buster’s Entertainment, Inc. * | | | 57,171 | | | | 3,000,334 | |
| Denny’s Corp. * | | | 23,901 | | | | 297,567 | |
| Eldorado Resorts, Inc. * | | | 37,720 | | | | 967,518 | |
| Jack in the Box, Inc. | | | 10,715 | | | | 1,092,073 | |
| Marcus Corp. (The) | | | 17,587 | | | | 487,160 | |
| Marriott Vacations Worldwide Corp. | | | 21,967 | | | | 2,735,550 | |
| Papa John’s International, Inc. | | | 3,027 | | | | 221,183 | |
| Ruth’s Hospitality Group, Inc. | | | 50,342 | | | | 1,054,665 | |
| Scientific Games Corp., Class A * | | | 6,147 | | | | 281,840 | |
| Texas Roadhouse, Inc. | | | 14,685 | | | | 721,621 | |
| | | | | | | | |
| | | | | | | 15,295,055 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Household Durables - 1.8% | |
| Bassett Furniture Industries, Inc. | | | 18,490 | | | $ | 697,073 | |
| Flexsteel Industries, Inc. | | | 14,703 | | | | 745,442 | |
| Hooker Furniture Corp. | | | 27,183 | | | | 1,297,988 | |
| Installed Building Products, Inc. * | | | 6,082 | | | | 394,114 | |
| iRobot Corp. *(a) | | | 41,317 | | | | 3,183,888 | |
| KB Home | | | 81,663 | | | | 1,969,712 | |
| La-Z-Boy, Inc. | | | 87,486 | | | | 2,353,373 | |
| Libbey, Inc. | | | 32,037 | | | | 296,663 | |
| MDC Holdings, Inc. | | | 53,480 | | | | 1,776,071 | |
| TopBuild Corp. * | | | 28,090 | | | | 1,830,625 | |
| | | | | | | | |
| | | | | | | 14,544,949 | |
| | | | | | | | |
| Household Products - 0.2% | |
| Central Garden & Pet Co., Class A * | | | 43,118 | | | | 1,603,558 | |
| | | | | | | | |
|
| Insurance - 5.4% | |
| Ambac Financial Group, Inc. * | | | 76,649 | | | | 1,322,962 | |
| American Equity Investment Life Holding Co. | | | 130,113 | | | | 3,783,686 | |
| AMERISAFE, Inc. | | | 15,090 | | | | 878,238 | |
| Argo Group International Holdings Ltd. | | | 35,779 | | | | 2,200,409 | |
| CNO Financial Group, Inc. | | | 122,664 | | | | 2,862,978 | |
| Employers Holdings, Inc. | | | 90,626 | | | | 4,118,952 | |
| Enstar Group Ltd. * | | | 4,552 | | | | 1,012,137 | |
| FBL Financial Group, Inc., Class A | | | 9,283 | | | | 691,583 | |
| Federated National Holding Co. | | | 9,173 | | | | 143,191 | |
| Genworth Financial, Inc., Class A * | | | 280,193 | | | | 1,078,743 | |
| HCI Group, Inc. (a) | | | 20,725 | | | | 792,731 | |
| Heritage Insurance Holdings, Inc. (a) | | | 121,101 | | | | 1,599,744 | |
| Horace Mann Educators Corp. | | | 29,668 | | | | 1,167,436 | |
| Infinity Property & Casualty Corp. | | | 2,869 | | | | 270,260 | |
| James River Group Holdings Ltd. | | | 7,824 | | | | 324,540 | |
| National General Holdings Corp. | | | 21,749 | | | | 415,623 | |
| National Western Life Group, Inc., Class A | | | 6,616 | | | | 2,308,984 | |
| Navigators Group, Inc. (The) | | | 31,358 | | | | 1,829,739 | |
| Primerica, Inc. | | | 85,523 | | | | 6,974,401 | |
| Selective Insurance Group, Inc. | | | 73,984 | | | | 3,984,038 | |
| United Fire Group, Inc. | | | 18,775 | | | | 860,270 | |
| Universal Insurance Holdings, Inc. (a) | | | 200,639 | | | | 4,614,697 | |
| | | | | | | | |
| | | | | | | 43,235,342 | |
| | | | | | | | |
| Internet & Direct Marketing Retail - 0.8% | |
| 1-800-Flowers.com, Inc., Class A * | | | 58,848 | | | | 579,653 | |
| Nutrisystem, Inc. | | | 77,178 | | | | 4,314,250 | |
| PetMed Express, Inc. (a) | | | 56,587 | | | | 1,875,859 | |
| | | | | | | | |
| | | | | | | 6,769,762 | |
| | | | | | | | |
| Internet Software & Services - 1.7% | |
| Alarm.com Holdings, Inc. * | | | 13,495 | | | | 609,704 | |
| Appfolio, Inc., Class A * | | | 4,980 | | | | 238,791 | |
| Blucora, Inc. * | | | 72,854 | | | | 1,843,206 | |
| Brightcove, Inc. * | | | 35,667 | | | | 256,802 | |
| GrubHub, Inc. *(a) | | | 38,375 | | | | 2,020,828 | |
| j2 Global, Inc. | | | 25,479 | | | | 1,882,389 | |
| Meet Group, Inc. (The) *(a) | | | 206,484 | | | | 751,602 | |
| NIC, Inc. | | | 18,335 | | | | 314,445 | |
| Shutterstock, Inc. *(a) | | | 10,629 | | | | 353,840 | |
| Stamps.com, Inc. * | | | 17,488 | | | | 3,543,943 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
62
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Internet Software & Services - 1.7% (continued) | |
| TrueCar, Inc. * | | | 43,300 | | | $ | 683,707 | |
| Yelp, Inc. * | | | 29,158 | | | | 1,262,541 | |
| | | | | | | | |
| | | | | | | 13,761,798 | |
| | | | | | | | |
| IT Services - 1.4% | |
| CACI International, Inc., Class A * | | | 5,392 | | | | 751,375 | |
| Convergys Corp. | | | 80,089 | | | | 2,073,504 | |
| CSG Systems International, Inc. | | | 9,537 | | | | 382,434 | |
| Hackett Group, Inc. (The) | | | 89,537 | | | | 1,360,067 | |
| MAXIMUS, Inc. | | | 16,530 | | | | 1,066,185 | |
| Perficient, Inc. * | | | 12,894 | | | | 253,625 | |
| Science Applications International Corp. | | | 31,399 | | | | 2,099,023 | |
| Sykes Enterprises, Inc. * | | | 72,637 | | | | 2,118,095 | |
| TeleTech Holdings, Inc. | | | 21,765 | | | | 908,689 | |
| | | | | | | | |
| | | | | | | 11,012,997 | |
| | | | | | | | |
| Leisure Products - 0.8% | |
| American Outdoor Brands Corp. *(a) | | | 203,018 | | | | 3,096,024 | |
| Callaway Golf Co. | | | 28,314 | | | | 408,571 | |
| JAKKS Pacific, Inc. * | | | 5,372 | | | | 16,116 | |
| Nautilus, Inc. * | | | 78,133 | | | | 1,320,448 | |
| Sturm Ruger & Co., Inc. (a) | | | 31,209 | | | | 1,613,505 | |
| | | | | | | | |
| | | | | | | 6,454,664 | |
| | | | | | | | |
| Life Sciences Tools & Services - 1.1% | |
| Cambrex Corp. * | | | 68,816 | | | | 3,784,880 | |
| INC Research Holdings, Inc., Class A * | | | 33,117 | | | | 1,732,019 | |
| PAREXEL International Corp. * | | | 19,311 | | | | 1,700,913 | |
| PRA Health Sciences, Inc. * | | | 21,728 | | | | 1,655,022 | |
| | | | | | | | |
| | | | | | | 8,872,834 | |
| | | | | | | | |
| Machinery - 3.4% | |
| Alamo Group, Inc. | | | 27,873 | | | | 2,992,724 | |
| American Railcar Industries, Inc. (a) | | | 10,227 | | | | 394,762 | |
| Astec Industries, Inc. | | | 24,413 | | | | 1,367,372 | |
| Barnes Group, Inc. | | | 24,410 | | | | 1,719,441 | |
| Columbus McKinnon Corp. | | | 13,131 | | | | 497,271 | |
| Douglas Dynamics, Inc. | | | 11,240 | | | | 442,856 | |
| Energy Recovery, Inc. *(a) | | | 43,247 | | | | 341,651 | |
| Federal Signal Corp. | | | 19,219 | | | | 408,980 | |
| Global Brass & Copper Holdings, Inc. | | | 25,523 | | | | 862,677 | |
| Greenbrier Cos., Inc. (The) (a) | | | 69,803 | | | | 3,361,015 | |
| Hyster-Yale Materials Handling, Inc. | | | 3,777 | | | | 288,714 | |
| Kadant, Inc. | | | 13,271 | | | | 1,307,857 | |
| Lydall, Inc. * | | | 25,049 | | | | 1,435,308 | |
| Meritor, Inc. * | | | 235,915 | | | | 6,136,149 | |
| Mueller Industries, Inc. | | | 8,140 | | | | 284,493 | |
| Standex International Corp. | | | 2,962 | | | | 314,564 | |
| Wabash National Corp. | | | 203,305 | | | | 4,639,420 | |
| | | | | | | | |
| | | | | | | 26,795,254 | |
| | | | | | | | |
| Marine - 0.1% | | | | | | |
| Matson, Inc. | | | 16,596 | | | | 467,675 | |
| | | | | | | | |
| | |
| Media - 1.4% | | | | | | |
| Entravision Communications Corp., Class A | | | 43,565 | | | | 248,321 | |
| Gannett Co., Inc. | | | 76,005 | | | | 684,045 | |
| Gray Television, Inc. * | | | 239,315 | | | | 3,757,245 | |
| Meredith Corp. | | | 28,794 | | | | 1,598,067 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Media - 1.4% (continued) | | | | | | |
| MSG Networks, Inc., Class A * | | | 83,625 | | | $ | 1,772,850 | |
| New York Times Co. (The), Class A | | | 27,456 | | | | 538,138 | |
| Scholastic Corp. | | | 22,947 | | | | 853,628 | |
| Sinclair Broadcast Group, Inc., Class A | | | 56,406 | | | | 1,807,812 | |
| | | | | | | | |
| | | | | | | 11,260,106 | |
| | | | | | | | |
| Metals & Mining - 1.1% | | | | | | |
| AK Steel Holding Corp. *(a) | | | 65,771 | | | | 367,660 | |
| Cleveland-Cliffs, Inc. * | | | 577,418 | | | | 4,128,539 | |
| Coeur Mining, Inc. * | | | 63,088 | | | | 579,779 | |
| Hecla Mining Co. | | | 155,710 | | | | 781,664 | |
| Ryerson Holding Corp. * | | | 26,758 | | | | 290,324 | |
| SunCoke Energy, Inc. * | | | 32,912 | | | | 300,815 | |
| Worthington Industries, Inc. | | | 44,979 | | | | 2,069,034 | |
| | | | | | | | |
| | | | | | | 8,517,815 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (REITs) - 1.0% | |
| Apollo Commercial Real Estate Finance, Inc. (a) | | | 65,268 | | | | 1,182,003 | |
| Capstead Mortgage Corp. | | | 116,801 | | | | 1,127,130 | |
| CYS Investments, Inc. | | | 166,414 | | | | 1,437,817 | |
| Hannon Armstrong Sustainable Infrastructure Capital, Inc. | | | 21,023 | | | | 512,331 | |
| Invesco Mortgage Capital, Inc. | | | 94,224 | | | | 1,614,057 | |
| PennyMac Mortgage Investment Trust | | | 49,113 | | | | 854,075 | |
| Redwood Trust, Inc. | | | 79,131 | | | | 1,289,044 | |
| | | | | | | | |
| | | | | | | 8,016,457 | |
| | | | | | | | |
| Multiline Retail - 0.1% | | | | | | |
| Big Lots, Inc. (a) | | | 16,104 | | | | 862,691 | |
| Dillard’s, Inc., Class A (a) | | | 4,562 | | | | 255,792 | |
| | | | | | | | |
| | | | | | | 1,118,483 | |
| | | | | | | | |
| Multi-Utilities - 0.4% | | | | | | |
| Avista Corp. | | | 25,054 | | | | 1,297,045 | |
| Black Hills Corp. | | | 15,062 | | | | 1,037,320 | |
| NorthWestern Corp. | | | 18,706 | | | | 1,065,120 | |
| | | | | | | | |
| | | | | | | 3,399,485 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels - 0.6% | | | | | | |
| Arch Coal, Inc., Class A (a) | | | 21,626 | | | | 1,551,449 | |
| Cloud Peak Energy, Inc. *(a) | | | 95,505 | | | | 349,548 | |
| Jones Energy, Inc., Class A *(a) | | | 72,562 | | | | 139,319 | |
| Renewable Energy Group, Inc. *(a) | | | 18,881 | | | | 229,404 | |
| REX American Resources Corp. * | | | 23,313 | | | | 2,187,459 | |
| Ultra Petroleum Corp. * | | | 76,700 | | | | 664,989 | |
| | | | | | | | |
| | | | | | | 5,122,168 | |
| | | | | | | | |
| Paper & Forest Products - 0.8% | | | | | | |
| Boise Cascade Co. * | | | 21,683 | | | | 756,736 | |
| Clearwater Paper Corp. * | | | 6,515 | | | | 320,864 | |
| Louisiana-Pacific Corp. * | | | 138,564 | | | | 3,752,313 | |
| Neenah Paper, Inc. | | | 12,256 | | | | 1,048,501 | |
| PH Glatfelter Co. | | | 14,653 | | | | 285,001 | |
| Schweitzer-Mauduit International, Inc. | | | 6,292 | | | | 260,866 | |
| | | | | | | | |
| | | | | | | 6,424,281 | |
| | | | | | | | |
| Personal Products - 0.7% | | | | | | |
| Medifast, Inc. | | | 5,499 | | | | 326,476 | |
| Natural Health Trends Corp. (a) | | | 63,202 | | | | 1,510,528 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
63
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Personal Products - 0.7% (continued) | | | | | | |
| USANA Health Sciences, Inc. * | | | 61,025 | | | $ | 3,521,142 | |
| | | | | | | | |
| | | | | | | 5,358,146 | |
| | | | | | | | |
| Pharmaceuticals - 1.9% | | | | | | |
| Aerie Pharmaceuticals, Inc. * | | | 9,633 | | | | 468,164 | |
| Amphastar Pharmaceuticals, Inc. * | | | 15,774 | | | | 281,881 | |
| Catalent, Inc. * | | | 37,944 | | | | 1,514,724 | |
| Corcept Therapeutics, Inc. * | | | 250,439 | | | | 4,833,473 | |
| Innoviva, Inc. *(a) | | | 35,934 | | | | 507,388 | |
| Lannett Co., Inc. *(a) | | | 39,381 | | | | 726,579 | |
| MyoKardia, Inc. * | | | 4,663 | | | | 199,810 | |
| Omeros Corp. *(a) | | | 29,714 | | | | 642,417 | |
| Phibro Animal Health Corp., Class A | | | 35,294 | | | | 1,307,643 | |
| SciClone Pharmaceuticals, Inc. * | | | 189,285 | | | | 2,119,992 | |
| Sucampo Pharmaceuticals, Inc., Class A *(a) | | | 45,031 | | | | 531,366 | |
| Supernus Pharmaceuticals, Inc. * | | | 53,583 | | | | 2,143,320 | |
| | | | | | | | |
| | | | | | | 15,276,757 | |
| | | | | | | | |
| Professional Services - 1.4% | | | | | | |
| Advisory Board Co. (The) * | | | 15,184 | | | | 814,242 | |
| Barrett Business Services, Inc. | | | 36,102 | | | | 2,040,846 | |
| CBIZ, Inc. * | | | 21,255 | | | | 345,394 | |
| ICF International, Inc. * | | | 15,268 | | | | 823,709 | |
| Insperity, Inc. | | | 36,852 | | | | 3,242,976 | |
| Kelly Services, Inc., Class A | | | 42,296 | | | | 1,061,207 | |
| Mistras Group, Inc. * | | | 10,827 | | | | 221,953 | |
| On Assignment, Inc. * | | | 14,529 | | | | 779,917 | |
| RPX Corp. * | | | 21,011 | | | | 279,026 | |
| TrueBlue, Inc. * | | | 45,588 | | | | 1,023,450 | |
| Willdan Group, Inc. * | | | 24,113 | | | | 782,708 | |
| | | | | | | | |
| | | | | | | 11,415,428 | |
| | | | | | | | |
| Road & Rail - 0.8% | | | | | | |
| ArcBest Corp. | | | 11,334 | | | | 379,122 | |
| Knight-Swift Transportation Holdings, Inc. * | | | 20,080 | | | | 834,324 | |
| Roadrunner Transportation Systems, Inc. * | | | 33,328 | | | | 317,616 | |
| Saia, Inc. * | | | 62,412 | | | | 3,910,112 | |
| Werner Enterprises, Inc. | | | 15,074 | | | | 550,955 | |
| | | | | | | | |
| | | | | | | 5,992,129 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment - 4.8% | |
| Advanced Energy Industries, Inc. * | | | 77,229 | | | | 6,237,014 | |
| Alpha & Omega Semiconductor Ltd. * | | | 55,116 | | | | 908,863 | |
| Ambarella, Inc. *(a) | | | 7,495 | | | | 367,330 | |
| Amkor Technology, Inc. * | | | 315,633 | | | | 3,329,928 | |
| AXT, Inc. * | | | 104,855 | | | | 959,423 | |
| Brooks Automation, Inc. | | | 78,080 | | | | 2,370,509 | |
| Cabot Microelectronics Corp. | | | 25,864 | | | | 2,067,310 | |
| Cirrus Logic, Inc. * | | | 97,626 | | | | 5,205,418 | |
| Entegris, Inc. * | | | 113,845 | | | | 3,284,428 | |
| Integrated Device Technology, Inc. * | | | 19,306 | | | | 513,154 | |
| MKS Instruments, Inc. | | | 51,505 | | | | 4,864,647 | |
| Monolithic Power Systems, Inc. | | | 2,523 | | | | 268,826 | |
| Photronics, Inc. * | | | 114,677 | | | | 1,014,891 | |
| Rudolph Technologies, Inc. * | | | 85,708 | | | | 2,254,120 | |
| Silicon Laboratories, Inc. * | | | 8,594 | | | | 686,661 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Semiconductors & Semiconductor Equipment - 4.8% (continued) | |
| SunPower Corp. *(a) | | | 76,290 | | | $ | 556,154 | |
| Synaptics, Inc. * | | | 11,164 | | | | 437,406 | |
| Ultra Clean Holdings, Inc. * | | | 86,184 | | | | 2,638,954 | |
| | | | | | | | |
| | | | | | | 37,965,036 | |
| | | | | | | | |
| Software - 1.3% | | | | | | |
| Aspen Technology, Inc. * | | | 17,872 | | | | 1,122,540 | |
| Barracuda Networks, Inc. * | | | 10,079 | | | | 244,214 | |
| Blackbaud, Inc. | | | 3,259 | | | | 286,140 | |
| Ebix, Inc. (a) | | | 50,436 | | | | 3,290,949 | |
| Ellie Mae, Inc. * | | | 3,263 | | | | 267,990 | |
| Fair Isaac Corp. | | | 6,658 | | | | 935,449 | |
| Mitek Systems, Inc. * | | | 60,903 | | | | 578,579 | |
| Paycom Software, Inc. * | | | 20,060 | | | | 1,503,698 | |
| Pegasystems, Inc. | | | 18,880 | | | | 1,088,432 | |
| RingCentral, Inc., Class A * | | | 20,086 | | | | 838,591 | |
| Synchronoss Technologies, Inc. * | | | 19,739 | | | | 184,165 | |
| Zix Corp. * | | | 64,269 | | | | 314,275 | |
| | | | | | | | |
| | | | | | | 10,655,022 | |
| | | | | | | | |
| Specialty Retail - 2.1% | | | | | | |
| Aaron’s, Inc. | | | 49,417 | | | | 2,156,064 | |
| American Eagle Outfitters, Inc. | | | 45,317 | | | | 648,033 | |
| Asbury Automotive Group, Inc. * | | | 4,202 | | | | 256,742 | |
| Big 5 Sporting Goods Corp. (a) | | | 83,054 | | | | 635,363 | |
| Buckle, Inc. (The) | | | 14,294 | | | | 240,854 | |
| Build-A-Bear Workshop, Inc. * | | | 19,531 | | | | 178,709 | |
| Caleres, Inc. | | | 51,191 | | | | 1,562,349 | |
| Chico’s FAS, Inc. | | | 45,811 | | | | 410,009 | |
| Children’s Place, Inc. (The) | | | 23,352 | | | | 2,759,039 | |
| Citi Trends, Inc. | | | 12,661 | | | | 251,574 | |
| DSW, Inc., Class A | | | 11,013 | | | | 236,559 | |
| Express, Inc. * | | | 56,282 | | | | 380,466 | |
| Francesca’s Holdings Corp. * | | | 150,701 | | | | 1,109,159 | |
| Genesco, Inc. * | | | 23,065 | | | | 613,529 | |
| Group 1 Automotive, Inc. | | | 7,970 | | | | 577,506 | |
| Haverty Furniture Cos., Inc. | | | 11,225 | | | | 293,534 | |
| Hibbett Sports, Inc. * | | | 37,889 | | | | 539,918 | |
| Kirkland’s, Inc. * | | | 27,981 | | | | 319,823 | |
| Office Depot, Inc. | | | 411,727 | | | | 1,869,241 | |
| Select Comfort Corp. * | | | 33,706 | | | | 1,046,571 | |
| Tilly’s, Inc., Class A | | | 28,257 | | | | 338,802 | |
| | | | | | | | |
| | | | | | | 16,423,844 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods - 1.0% | |
| Culp, Inc. | | | 5,818 | | | | 190,539 | |
| Deckers Outdoor Corp. * | | | 26,633 | | | | 1,821,964 | |
| Movado Group, Inc. | | | 75,780 | | | | 2,121,840 | |
| Perry Ellis International, Inc. * | | | 17,248 | | | | 408,088 | |
| Steven Madden Ltd. * | | | 20,326 | | | | 880,116 | |
| Vera Bradley, Inc. * | | | 59,431 | | | | 523,587 | |
| Wolverine World Wide, Inc. | | | 82,107 | | | | 2,368,787 | |
| | | | | | | | |
| | | | | | | 8,314,921 | |
| | | | | | | | |
| Thrifts & Mortgage Finance - 4.3% | |
| Astoria Financial Corp. | | | 34,259 | | | | 736,568 | |
| BofI Holding, Inc. *(a) | | | 144,987 | | | | 4,127,780 | |
| Dime Community Bancshares, Inc. | | | 26,665 | | | | 573,297 | |
| Essent Group Ltd. * | | | 22,222 | | | | 899,991 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
64
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Thrifts & Mortgage Finance - 4.3% (continued) | |
| Federal Agricultural Mortgage Corp., Class C | | | 20,009 | | | $ | 1,455,455 | |
| First Defiance Financial Corp. | | | 15,248 | | | | 800,368 | |
| Flagstar Bancorp, Inc. * | | | 36,526 | | | | 1,295,942 | |
| HomeStreet, Inc. * | | | 31,003 | | | | 837,081 | |
| Meta Financial Group, Inc. | | | 23,565 | | | | 1,847,496 | |
| MGIC Investment Corp. * | | | 463,952 | | | | 5,813,319 | |
| Oritani Financial Corp. | | | 21,901 | | | | 367,937 | |
| Provident Financial Services, Inc. | | | 25,335 | | | | 675,684 | |
| Radian Group, Inc. | | | 380,655 | | | | 7,114,442 | |
| United Financial Bancorp, Inc. | | | 16,318 | | | | 298,456 | |
| Walker & Dunlop, Inc. * | | | 87,444 | | | | 4,575,945 | |
| Washington Federal, Inc. | | | 47,910 | | | | 1,612,172 | |
| WSFS Financial Corp. | | | 19,443 | | | | 947,846 | |
| | | | | | | | |
| | | | | | | 33,979,779 | |
| | | | | | | | |
| Tobacco - 0.2% | | | | | | |
| Universal Corp. | | | 14,685 | | | | 841,451 | |
| Vector Group Ltd. | | | 37,105 | | | | 759,537 | |
| | | | | | | | |
| | | | | | | 1,600,988 | |
| | | | | | | | |
| Trading Companies & Distributors - 1.0% | |
| CAI International, Inc. * | | | 12,560 | | | | 380,819 | |
| DXP Enterprises, Inc. * | | | 33,112 | | | | 1,042,697 | |
| GATX Corp. | | | 49,786 | | | | 3,064,826 | |
| GMS, Inc. * | | | 25,258 | | | | 894,133 | |
| H&E Equipment Services, Inc. | | | 18,828 | | | | 549,778 | |
| Rush Enterprises, Inc., Class A * | | | 36,269 | | | | 1,678,892 | |
| Triton International Ltd. * | | | 21,714 | | | | 722,642 | |
| | | | | | | | |
| | | | | | | 8,333,787 | |
| | | | | | | | |
| Water Utilities - 0.2% | | | | | | |
| American States Water Co. | | | 5,732 | | | | 282,301 | |
| SJW Group | | | 18,235 | | | | 1,032,101 | |
| | | | | | | | |
| | | | | | | 1,314,402 | |
| | | | | | | | |
| Wireless Telecommunication Services - 0.1% | |
| Shenandoah Telecommunications Co. | | | 31,025 | | | | 1,154,130 | |
| | | | | | | | |
TOTAL COMMON STOCKS (Cost $620,628,766) | | | | | | | 770,831,934 | |
| | | | | | | | |
| | |
| RIGHT - 0.0% (b) | | NO. OF
RIGHTS | | | | |
| | |
| Media - 0.0% (b) | | | | | | |
| Media General, Inc., CVR (3)*(c) | | | | | | | | |
(Cost $10,985) | | | 36,985 | | | | 627 | |
| | | | | | | | |
| | |
| SHORT-TERM INVESTMENT - 3.3% | | SHARES | | | | |
|
| Investment Company - 3.3% | |
| Limited Purpose Cash Investment Fund, 0.97% (2)(d) | | | | | | | | |
(Cost $26,045,645) | | | 26,048,249 | | | | 26,045,645 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| SECURITIES LENDING COLLATERAL - 5.8% | |
| | |
| Investment Companies - 5.8% | | | | | | |
| Investments in a Pooled Account through Securities Lending Program with Citibank NA | | | | | | | | |
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares
0.91% (2)(d)(e) | | | 7,154,964 | | | $ | 7,154,964 | |
| UBS Asset Management Americas, Inc. | | | | | | | | |
1.10% (2)(d)(e) | | | 33,258,613 | | | | 33,258,613 | |
1.16% (2)(d)(e) | | | 5,543,102 | | | | 5,543,102 | |
| | | | | | | | |
TOTAL SECURITIES LENDING COLLATERAL
(Cost $45,956,679) | | | | | | | 45,956,679 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES
AT VALUE - 105.7%
(Cost $692,642,075) | | | | | | | 842,834,885 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (5.7)% (f) | | | | | (45,111,657) | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 797,723,228 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 128,228,722 | | | | 16.1 | % |
| Consumer Staples | | | 36,963,014 | | | | 4.6 | |
| Energy | | | 12,847,719 | | | | 1.6 | |
| Financials | | | 160,930,860 | | | | 20.3 | |
| Health Care | | | 100,588,935 | | | | 12.6 | |
| Industrials | | | 119,731,983 | | | | 15.0 | |
| Information Technology | | | 114,998,014 | | | | 14.4 | |
| Materials | | | 29,799,150 | | | | 3.7 | |
| Real Estate | | | 47,362,545 | | | | 5.9 | |
| Telecommunication Services | | | 4,163,004 | | | | 0.5 | |
| Utilities | | | 15,218,615 | | | | 1.9 | |
| Short-Term Investment | | | 26,045,645 | | | | 3.3 | |
| Securities Lending Collateral | | | 45,956,679 | | | | 5.8 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 842,834,885 | | | | 105.7 | |
| Liabilities in Excess of Other Assets (f) | | | (45,111,657 | ) | | | (5.7 | ) |
| | | | | | | | |
Net Assets | | $ | 797,723,228 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
65
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP MULTI-STYLE FUND | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| * | Non-income producing security. |
| (a) | The security or a portion of this security is on loan at September 30, 2017. The total value of securities on loan at September 30, 2017 was $44,717,044. |
| (b) | Represents less than 0.05% of net assets. |
| (c) | Security fair valued as of September 30, 2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2017 amounted to $627, which represents approximately 0.00% of net assets of the fund. |
| (d) | Represents 7-day effective yield as of September 30, 2017. |
| (e) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
| (f) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 4). |
| (3) | Level 3 security (See Note 4). |
Abbreviations
| CVR | - Contingent Value Rights |
Futures contracts outstanding as of September 30, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | |
| Russell 2000 E-Mini Index | | 252 | | 12/2017 | | | USD | | | | $18,810,540 | | | | $715,579 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $715,579 | |
| | | | | | | | | | | | | | | | |
| USD | - United States Dollar |
Collateral pledged to, or (received from), each counterparty at September 30, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED | | | TOTAL | |
| JPMS | | | | | | | | | |
| Cash | | | $— | | | | $(180,377 | ) | | | $(180,377 | ) |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
66
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| COMMON STOCKS - 97.2% | |
|
| Australia - 5.7% | |
| Amcor Ltd. | | | 29,675 | | | $ | 354,924 | |
| Aristocrat Leisure Ltd. | | | 246,710 | | | | 4,075,048 | |
| Australia & New Zealand Banking Group Ltd. | | | 46,711 | | | | 1,088,067 | |
| BHP Billiton Ltd. | | | 77,989 | | | | 1,581,601 | |
| BHP Billiton plc | | | 77,984 | | | | 1,376,106 | |
| BlueScope Steel Ltd. | | | 111,957 | | | | 967,142 | |
| Caltex Australia Ltd. | | | 36,652 | | | | 924,782 | |
| CIMIC Group Ltd. | | | 51,751 | | | | 1,798,436 | |
| Coca-Cola Amatil Ltd. | | | 74,588 | | | | 452,753 | |
| Cochlear Ltd. | | | 2,686 | | | | 335,976 | |
| Commonwealth Bank of Australia | | | 10,373 | | | | 614,219 | |
| CSL Ltd. | | | 11,411 | | | | 1,201,273 | |
| Dexus, REIT | | | 104,929 | | | | 783,023 | |
| Fortescue Metals Group Ltd. | | | 1,066,615 | | | | 4,319,517 | |
| Goodman Group, REIT | | | 41,832 | | | | 270,844 | |
| GPT Group (The), REIT | | | 196,673 | | | | 766,373 | |
| National Australia Bank Ltd. | | | 9,458 | | | | 234,491 | |
| Scentre Group, REIT | | | 235,569 | | | | 727,183 | |
| South32 Ltd. | | | 1,474,217 | | | | 3,813,810 | |
| Treasury Wine Estates Ltd. | | | 96,024 | | | | 1,033,004 | |
| | | | | | | | |
| | | | | | | 26,718,572 | |
| | | | | | | | |
| Belgium - 1.0% | | | | | | |
| Ageas | | | 28,862 | | | | 1,357,487 | |
| KBC Group NV | | | 34,174 | | | | 2,899,320 | |
| Solvay SA | | | 1,899 | | | | 283,898 | |
| Umicore SA | | | 3,345 | | | | 276,918 | |
| | | | | | | | |
| | | | | | | 4,817,623 | |
| | | | | | | | |
| Canada - 8.2% | | | | | | |
| Agrium, Inc. (1) | | | 3,542 | | | | 379,592 | |
| Alimentation Couche-Tard, Inc., Class B (1) | | | 2,754 | | | | 125,588 | |
| Bank of Montreal (1) | | | 21,684 | | | | 1,641,050 | |
| Bank of Nova Scotia (The) (1) | | | 39,774 | | | | 2,556,502 | |
| Brookfield Asset Management, Inc., Class A (1) | | | 24,823 | | | | 1,024,950 | |
| Canadian Imperial Bank of Commerce (1) | | | 15,845 | | | | 1,386,334 | |
| Canadian National Railway Co. (1) | | | 38,068 | | | | 3,154,053 | |
| Canadian Tire Corp. Ltd., Class A (1) | | | 8,065 | | | | 1,004,061 | |
| CCL Industries, Inc., Class B (1) | | | 7,415 | | | | 358,820 | |
| CGI Group, Inc., Class A (1)* | | | 24,253 | | | | 1,257,599 | |
| Constellation Software, Inc. (1) | | | 1,391 | | | | 758,893 | |
| Dollarama, Inc. (1) | | | 6,101 | | | | 667,577 | |
| Great-West Lifeco, Inc. (1) | | | 3,723 | | | | 107,147 | |
| Kinross Gold Corp. (1)* | | | 109,024 | | | | 462,222 | |
| Linamar Corp. (1) | | | 10,770 | | | | 657,205 | |
| Magna International, Inc. (1) | | | 46,040 | | | | 2,457,066 | |
| Methanex Corp. (1) | | | 5,148 | | | | 258,689 | |
| Open Text Corp. (1) | | | 53,351 | | | | 1,721,428 | |
| Power Corp. of Canada (1) | | | 5,259 | | | | 133,651 | |
| Royal Bank of Canada (1) | | | 57,836 | | | | 4,474,845 | |
| Saputo, Inc. (1) | | | 78,749 | | | | 2,725,842 | |
| Shopify, Inc., Class A (1)* | | | 4,851 | | | | 564,197 | |
| Teck Resources Ltd., Class B (1) | | | 217,868 | | | | 4,586,970 | |
| Thomson Reuters Corp. (1) | | | 9,048 | | | | 415,146 | |
| Toronto-Dominion Bank (The) (1) | | | 60,966 | | | | 3,432,468 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Canada - 8.2% (continued) | | | | | | |
| West Fraser Timber Co. Ltd. (1) | | | 35,197 | | | $ | 2,031,003 | |
| | | | | | | | |
| | | | | | | 38,342,898 | |
| | | | | | | | |
| China - 0.6% | | | | | | |
| Yangzijiang Shipbuilding Holdings Ltd. | | | 2,445,500 | | | | 2,584,984 | |
| | | | | | | | |
| | |
| Denmark - 2.1% | | | | | | |
| Danske Bank A/S | | | 51,146 | | | | 2,049,604 | |
| Genmab A/S * | | | 1,661 | | | | 367,322 | |
| H Lundbeck A/S | | | 22,121 | | | | 1,278,861 | |
| ISS A/S | | | 3,438 | | | | 138,607 | |
| Novo Nordisk A/S, Class B | | | 41,930 | | | | 2,015,941 | |
| TDC A/S | | | 59,238 | | | | 347,405 | |
| Vestas Wind Systems A/S | | | 43,302 | | | | 3,892,234 | |
| | | | | | | | |
| | | | | | | 10,089,974 | |
| | | | | | | | |
| Finland - 1.3% | | | | | | |
| Neste OYJ | | | 90,794 | | | | 3,968,103 | |
| Nokia OYJ | | | 143,842 | | | | 864,275 | |
| Orion OYJ, Class B | | | 26,859 | | | | 1,247,122 | |
| | | | | | | | |
| | | | | | | 6,079,500 | |
| | | | | | | | |
| France - 9.1% | | | | | | |
| Airbus SE | | | 2,014 | | | | 191,723 | |
| Arkema SA | | | 1,725 | | | | 211,661 | |
| Atos SE | | | 27,670 | | | | 4,291,838 | |
| AXA SA | | | 43,757 | | | | 1,322,868 | |
| BNP Paribas SA | | | 63,329 | | | | 5,109,117 | |
| Bouygues SA | | | 21,661 | | | | 1,028,267 | |
| Cie Generale des Etablissements Michelin | | | 9,159 | | | | 1,336,312 | |
| CNP Assurances | | | 106,427 | | | | 2,494,991 | |
| Eutelsat Communications SA | | | 64,313 | | | | 1,903,839 | |
| Kering | | | 2,101 | | | | 836,970 | |
| Lagardere SCA | | | 13,189 | | | | 441,837 | |
| L’Oreal SA | | | 7,490 | | | | 1,588,207 | |
| LVMH Moet Hennessy Louis Vuitton SE | | | 1,913 | | | | 528,824 | |
| Peugeot SA | | | 137,214 | | | | 3,266,404 | |
| Sanofi | | | 77,049 | | | | 7,669,972 | |
| Societe Generale SA | | | 49,037 | | | | 2,873,637 | |
| Sodexo SA | | | 3,415 | | | | 425,717 | |
| Thales SA | | | 23,392 | | | | 2,649,153 | |
| TOTAL SA | | | 87,165 | | | | 4,680,276 | |
| | | | | | | | |
| | | | | | | 42,851,613 | |
| | | | | | | | |
| Germany - 9.2% | | | | | | |
| Allianz SE (Registered) | | | 22,743 | | | | 5,107,778 | |
| BASF SE | | | 6,801 | | | | 724,553 | |
| Bayer AG (Registered) | | | 47,906 | | | | 6,544,120 | |
| Covestro AG (a) | | | 73,328 | | | | 6,309,925 | |
| Deutsche Boerse AG | | | 5,562 | | | | 603,869 | |
| Deutsche Lufthansa AG (Registered) | | | 242,508 | | | | 6,743,877 | |
| Deutsche Post AG (Registered) | | | 24,027 | | | | 1,070,987 | |
| Fresenius SE & Co. KGaA | | | 9,490 | | | | 767,456 | |
| Hannover Rueck SE | | | 7,094 | | | | 855,591 | |
| Henkel AG & Co. KGaA (Preference) | | | 5,264 | | | | 717,180 | |
| HOCHTIEF AG | | | 1,352 | | | | 228,357 | |
| Infineon Technologies AG | | | 39,390 | | | | 993,117 | |
| Linde AG | | | 4,967 | | | | 1,032,877 | |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | | | 17,830 | | | | 3,816,084 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
67
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Germany - 9.2% (continued) | | | | | | |
| SAP SE | | | 9,801 | | | $ | 1,074,633 | |
| Siemens AG (Registered) | | | 44,572 | | | | 6,289,529 | |
| Vonovia SE | | | 11,443 | | | | 487,332 | |
| | | | | | | | |
| | | | | | | 43,367,265 | |
| | | | | | | | |
| Hong Kong - 3.5% | | | | | | |
| CK Asset Holdings Ltd. | | | 139,500 | | | | 1,159,710 | |
| CK Hutchison Holdings Ltd. | | | 85,000 | | | | 1,088,705 | |
| CLP Holdings Ltd. | | | 243,000 | | | | 2,494,788 | |
| Galaxy Entertainment Group Ltd. | | | 81,000 | | | | 572,625 | |
| Hong Kong Exchanges & Clearing Ltd. | | | 28,400 | | | | 767,030 | |
| I-CABLE Communications Ltd. * | | | 66,017 | | | | 2,169 | |
| Kerry Properties Ltd. | | | 104,500 | | | | 434,047 | |
| Link REIT | | | 26,000 | | | | 211,431 | |
| NWS Holdings Ltd. | | | 129,000 | | | | 252,153 | |
| PCCW Ltd. | | | 269,000 | | | | 146,011 | |
| SJM Holdings Ltd. | | | 1,281,000 | | | | 1,176,796 | |
| Sun Hung Kai Properties Ltd. | | | 91,000 | | | | 1,482,413 | |
| WH Group Ltd. (a) | | | 4,763,000 | | | | 5,072,609 | |
| Wheelock & Co. Ltd. | | | 94,000 | | | | 663,536 | |
| Yue Yuen Industrial Holdings Ltd. | | | 207,000 | | | | 789,813 | |
| | | | | | | | |
| | | | | | | 16,313,836 | |
| | | | | | | | |
| Italy - 1.6% | | | | | | |
| Enel SpA | | | 281,656 | | | | 1,696,784 | |
| GEDI Gruppo Editoriale SpA * | | | 17,422 | | | | 15,445 | |
| Intesa Sanpaolo SpA | | | 486,265 | | | | 1,721,529 | |
| Leonardo SpA | | | 176,028 | | | | 3,300,548 | |
| Recordati SpA | | | 13,384 | | | | 617,628 | |
| Telecom Italia SpA * | | | 160,215 | | | | 150,288 | |
| | | | | | | | |
| | | | | | | 7,502,222 | |
| | | | | | | | |
| Japan - 20.3% | | | | | | |
| Acom Co. Ltd. * | | | 10,000 | | | | 38,799 | |
| AEON Financial Service Co. Ltd. | | | 2,700 | | | | 56,483 | |
| Asahi Glass Co. Ltd. | | | 10,800 | | | | 401,145 | |
| Asahi Kasei Corp. | | | 240,000 | | | | 2,957,394 | |
| Astellas Pharma, Inc. | | | 84,300 | | | | 1,072,932 | |
| Bandai Namco Holdings, Inc. | | | 52,800 | | | | 1,813,935 | |
| Brother Industries Ltd. | | | 12,900 | | | | 300,774 | |
| Central Japan Railway Co. | | | 8,400 | | | | 1,474,114 | |
| Credit Saison Co. Ltd. | | | 16,800 | | | | 348,594 | |
| Dai-ichi Life Holdings, Inc. | | | 36,300 | | | | 651,134 | |
| Daiwa House Industry Co. Ltd. | | | 15,100 | | | | 521,592 | |
| East Japan Railway Co. | | | 4,200 | | | | 387,695 | |
| Fujitsu Ltd. | | | 681,000 | | | | 5,068,373 | |
| Hitachi Chemical Co. Ltd. | | | 37,300 | | | | 1,023,536 | |
| Hitachi High-Technologies Corp. | | | 59,400 | | | | 2,157,337 | |
| Hitachi Ltd. | | | 667,000 | | | | 4,702,919 | |
| Hoya Corp. | | | 25,600 | | | | 1,384,418 | |
| Idemitsu Kosan Co. Ltd. | | | 47,000 | | | | 1,328,308 | |
| Iida Group Holdings Co. Ltd. | | | 3,800 | | | | 67,789 | |
| ITOCHU Corp. | | | 131,600 | | | | 2,156,238 | |
| Japan Tobacco, Inc. | | | 27,100 | | | | 888,093 | |
| Kamigumi Co. Ltd. | | | 10,000 | | | | 231,677 | |
| Kansai Electric Power Co., Inc. (The) | | | 381,900 | | | | 4,888,126 | |
| KDDI Corp. | | | 37,100 | | | | 977,955 | |
| Kirin Holdings Co. Ltd. | | | 104,400 | | | | 2,452,763 | |
| Konami Holdings Corp. | | | 36,100 | | | | 1,737,972 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - 20.3% (continued) | | | | | | |
| Kuraray Co. Ltd. | | | 15,600 | | | $ | 291,873 | |
| Lion Corp. | | | 9,900 | | | | 180,892 | |
| Marubeni Corp. | | | 435,000 | | | | 2,973,748 | |
| MINEBEA MITSUMI, Inc. | | | 34,900 | | | | 546,612 | |
| Mitsubishi Chemical Holdings Corp. | | | 91,400 | | | | 871,405 | |
| Mitsubishi Estate Co. Ltd. | | | 31,000 | | | | 538,761 | |
| Mitsubishi Gas Chemical Co., Inc. | | | 147,300 | | | | 3,456,177 | |
| Mitsubishi Tanabe Pharma Corp. | | | 49,300 | | | | 1,131,781 | |
| Mitsubishi UFJ Financial Group, Inc. | | | 340,300 | | | | 2,212,575 | |
| Mitsui Fudosan Co. Ltd. | | | 24,000 | | | | 520,392 | |
| Mixi, Inc. | | | 14,000 | | | | 676,144 | |
| MS&AD Insurance Group Holdings, Inc. | | | 71,300 | | | | 2,297,741 | |
| Nexon Co. Ltd. * | | | 73,600 | | | | 1,924,073 | |
| NH Foods Ltd. | | | 103,000 | | | | 2,830,844 | |
| Nippon Electric Glass Co. Ltd. | | | 31,000 | | | | 1,201,685 | |
| Nippon Express Co. Ltd. | | | 57,200 | | | | 3,728,987 | |
| Nippon Telegraph & Telephone Corp. | | | 166,400 | | | | 7,624,568 | |
| Nomura Holdings, Inc. | | | 262,100 | | | | 1,470,641 | |
| Nomura Real Estate Holdings, Inc. | | | 8,000 | | | | 170,657 | |
| NTT DOCOMO, Inc. | | | 35,400 | | | | 809,130 | |
| Obayashi Corp. | | | 20,100 | | | | 241,088 | |
| Omron Corp. | | | 7,200 | | | | 367,146 | |
| Sekisui House Ltd. | | | 26,900 | | | | 453,419 | |
| Shin-Etsu Chemical Co. Ltd. | | | 25,000 | | | | 2,237,499 | |
| Shionogi & Co. Ltd. | | | 24,700 | | | | 1,350,272 | |
| Sompo Holdings, Inc. | | | 34,500 | | | | 1,344,445 | |
| Sumitomo Dainippon Pharma Co. Ltd. | | | 53,400 | | | | 695,646 | |
| Sumitomo Heavy Industries Ltd. | | | 64,600 | | | | 2,592,985 | |
| Sumitomo Mitsui Financial Group, Inc. | | | 50,500 | | | | 1,941,179 | |
| Suzuki Motor Corp. | | | 72,500 | | | | 3,805,169 | |
| Tokyo Electric Power Co. Holdings, Inc. * | | | 550,400 | | | | 2,223,497 | |
| Tokyo Electron Ltd. | | | 8,000 | | | | 1,231,593 | |
| Toyo Seikan Group Holdings Ltd. | | | 4,200 | | | | 70,186 | |
| Toyota Tsusho Corp. | | | 5,600 | | | | 184,047 | |
| West Japan Railway Co. | | | 21,600 | | | | 1,501,687 | |
| Yokogawa Electric Corp. | | | 42,700 | | | | 727,637 | |
| | | | | | | | |
| | | | | | | 95,516,276 | |
| | | | | | | | |
| Netherlands - 4.4% | | | | | | |
| ABN AMRO Group NV, CVA (a) | | | 8,055 | | | | 241,201 | |
| Aegon NV | | | 109,702 | | | | 639,455 | |
| Akzo Nobel NV | | | 1,486 | | | | 137,053 | |
| ING Groep NV | | | 96,440 | | | | 1,777,616 | |
| Koninklijke Philips NV | | | 67,291 | | | | 2,776,425 | |
| NN Group NV | | | 58,957 | | | | 2,468,905 | |
| Randstad Holding NV | | | 29,147 | | | | 1,801,392 | |
| Royal Dutch Shell plc, Class A | | | 111,022 | | | | 3,355,291 | |
| Royal Dutch Shell plc, Class B | | | 97,616 | | | | 3,005,218 | |
| Wolters Kluwer NV | | | 94,380 | | | | 4,361,777 | |
| | | | | | | | |
| | | | | | | 20,564,333 | |
| | | | | | | | |
| Singapore - 0.6% | | | | | | |
| CapitaLand Commercial Trust, REIT | | | 273,500 | | | | 334,443 | |
| DBS Group Holdings Ltd. | | | 66,200 | | | | 1,019,087 | |
| Genting Singapore plc | | | 1,236,500 | | | | 1,069,218 | |
| Oversea-Chinese Banking Corp. Ltd. | | | 27,600 | | | | 227,597 | |
| United Overseas Bank Ltd. | | | 21,900 | | | | 380,310 | |
| | | | | | | | |
| | | | | | | 3,030,655 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
68
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| South Africa - 0.4% | | | | | | |
| Investec plc | | | 230,142 | | | $ | 1,682,423 | |
| | | | | | | | |
| | |
| Spain - 3.5% | | | | | | |
| Aena SME SA (a) | | | 28,418 | | | | 5,135,908 | |
| Banco Bilbao Vizcaya Argentaria SA | | | 58,182 | | | | 520,170 | |
| Banco Santander SA | | | 719,290 | | | | 5,031,325 | |
| CaixaBank SA | | | 56,504 | | | | 283,622 | |
| Endesa SA | | | 27,385 | | | | 617,944 | |
| Grifols SA | | | 7,841 | | | | 228,825 | |
| Iberdrola SA | | | 211,075 | | | | 1,641,242 | |
| Mapfre SA | | | 258,234 | | | | 841,477 | |
| Repsol SA | | | 125,567 | | | | 2,317,260 | |
| | | | | | | | |
| | | | | | | 16,617,773 | |
| | | | | | | | |
| Sweden - 2.1% | | | | | | |
| Essity AB, Class B * | | | 14,930 | | | | 407,052 | |
| Investor AB, Class B | | | 8,330 | | | | 412,120 | |
| Nordea Bank AB | | | 222,423 | | | | 3,019,886 | |
| Sandvik AB | | | 112,359 | | | | 1,940,517 | |
| Securitas AB, Class B | | | 44,759 | | | | 750,468 | |
| Swedbank AB, Class A | | | 11,778 | | | | 326,151 | |
| Telefonaktiebolaget LM Ericsson, Class B | | | 74,353 | | | | 428,652 | |
| Volvo AB, Class B | | | 142,864 | | | | 2,758,424 | |
| | | | | | | | |
| | | | | | | 10,043,270 | |
| | | | | | | | |
| Switzerland - 8.6% | | | | | | |
| ABB Ltd. (Registered) | | | 93,106 | | | | 2,302,324 | |
| Adecco Group AG (Registered) * | | | 16,750 | | | | 1,304,901 | |
| Baloise Holding AG (Registered) | | | 3,204 | | | | 507,363 | |
| Coca-Cola HBC AG * | | | 33,552 | | | | 1,136,029 | |
| Glencore plc * | | | 94,604 | | | | 434,234 | |
| Lonza Group AG (Registered) * | | | 2,171 | | | | 570,462 | |
| Nestle SA (Registered) | | | 55,405 | | | | 4,650,765 | |
| Novartis AG (Registered) | | | 69,784 | | | | 5,985,719 | |
| Roche Holding AG | | | 31,481 | | | | 8,047,178 | |
| Sika AG | | | 218 | | | | 1,623,160 | |
| STMicroelectronics NV | | | 124,352 | | | | 2,412,348 | |
| Straumann Holding AG (Registered) | | | 1,189 | | | | 764,663 | |
| Swiss Life Holding AG (Registered) * | | | 8,121 | | | | 2,862,994 | |
| Swiss Re AG | | | 28,481 | | | | 2,581,643 | |
| Zurich Insurance Group AG | | | 17,230 | | | | 5,265,134 | |
| | | | | | | | |
| | | | | | | 40,448,917 | |
| | | | | | | | |
| United Kingdom - 14.7% | | | | | | |
| 3i Group plc | | | 23,824 | | | | 291,680 | |
| Anglo American plc | | | 96,537 | | | | 1,735,581 | |
| Ashtead Group plc | | | 36,497 | | | | 880,455 | |
| AstraZeneca plc | | | 4,834 | | | | 321,468 | |
| Auto Trader Group plc (a) | | | 80,971 | | | | 425,988 | |
| BAE Systems plc | | | 67,524 | | | | 571,844 | |
| Barclays plc | | | 387,956 | | | | 1,005,963 | |
| Barratt Developments plc | | | 425,246 | | | | 3,503,254 | |
| Berkeley Group Holdings plc | | | 31,044 | | | | 1,547,132 | |
| BP plc | | | 226,561 | | | | 1,451,350 | |
| British American Tobacco plc | | | 66,191 | | | | 4,143,806 | |
| British Land Co. plc (The), REIT | | | 80,014 | | | | 646,009 | |
| BT Group plc | | | 965,415 | | | | 3,671,951 | |
| Burberry Group plc | | | 19,333 | | | | 456,482 | |
| Compass Group plc | | | 91,809 | | | | 1,947,962 | |
| Diageo plc | | | 12,475 | | | | 410,247 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United Kingdom - 14.7% (continued) | | | | | | |
| Direct Line Insurance Group plc | | | 131,893 | | | $ | 642,991 | |
| Dixons Carphone plc | | | 150,583 | | | | 390,433 | |
| Fiat Chrysler Automobiles NV * | | | 212,688 | | | | 3,811,664 | |
| GlaxoSmithKline plc | | | 34,566 | | | | 690,996 | |
| Hammerson plc, REIT | | | 43,773 | | | | 315,180 | |
| HSBC Holdings plc | | | 658,054 | | | | 6,505,414 | |
| Imperial Brands plc | | | 25,501 | | | | 1,088,403 | |
| J Sainsbury plc | | | 355,007 | | | | 1,131,873 | |
| Land Securities Group plc, REIT | | | 25,856 | | | | 337,230 | |
| Legal & General Group plc | | | 406,558 | | | | 1,417,049 | |
| Lloyds Banking Group plc | | | 3,829,583 | | | | 3,480,161 | |
| London Stock Exchange Group plc | | | 9,340 | | | | 479,571 | |
| National Grid plc | | | 102,135 | | | | 1,264,999 | |
| Persimmon plc | | | 128,567 | | | | 4,449,368 | |
| Prudential plc | | | 87,891 | | | | 2,103,276 | |
| Reckitt Benckiser Group plc | | | 15,601 | | | | 1,425,434 | |
| RELX plc | | | 27,020 | | | | 592,989 | |
| Rio Tinto Ltd. | | | 10,260 | | | | 537,777 | |
| Rio Tinto plc | | | 8,839 | | | | 411,448 | |
| Royal Mail plc | | | 22,363 | | | | 115,149 | |
| Segro plc, REIT | | | 105,872 | | | | 761,189 | |
| Sky plc | | | 27,519 | | | | 337,599 | |
| Taylor Wimpey plc | | | 1,076,156 | | | | 2,820,550 | |
| Unilever NV, CVA | | | 48,776 | | | | 2,883,195 | |
| Unilever plc | | | 31,184 | | | | 1,804,911 | |
| Vodafone Group plc | | | 212,804 | | | | 595,892 | |
| Wm Morrison Supermarkets plc | | | 1,175,480 | | | | 3,688,538 | |
| WPP plc | | | 115,721 | | | | 2,147,330 | |
| | | | | | | | |
| | | | | | | 69,241,781 | |
| | | | | | | | |
| United States - 0.3% | | | | | | |
| Shire plc | | | 25,582 | | | | 1,302,989 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $391,397,981) | | | | 457,116,904 | |
| | | | | | | | |
| | |
| RIGHT - 0.0% (b) | | NO. OF
RIGHTS | | | | |
| | |
| Singapore - 0.0% (b) | | | | | | |
CapitaLand Commercial Trust, expiring 10/19/2017 *
(Cost $–) | | | 45,401 | | | | 9,897 | |
| | | | | | | | |
| | |
| SHORT-TERM INVESTMENT - 2.1% | | SHARES | | | | |
|
| Investment Company - 2.1% | |
| Limited Purpose Cash Investment Fund, 0.97% (c) | | | | | | | | |
(Cost $9,658,632) | | | 9,659,598 | | | | 9,658,632 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 99.3%
(Cost $401,056,613) | | | | | | | 466,785,433 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 0.7% (d) | | | | | 3,483,247 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 470,268,680 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
69
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL MULTI-STYLE FUND | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 48,779,013 | | | | 10.4 | % |
| Consumer Staples | | | 40,838,029 | | | | 8.7 | |
| Energy | | | 21,030,588 | | | | 4.5 | |
| Financials | | | 104,463,952 | | | | 22.1 | |
| Health Care | | | 48,369,444 | | | | 10.3 | |
| Industrials | | | 73,347,784 | | | | 15.6 | |
| Information Technology | | | 34,888,621 | | | | 7.4 | |
| Materials | | | 45,117,551 | | | | 9.6 | |
| Real Estate | | | 11,141,242 | | | | 2.4 | |
| Telecommunication Services | | | 14,323,199 | | | | 3.0 | |
| Utilities | | | 14,827,378 | | | | 3.2 | |
| Short-Term Investment | | | 9,658,632 | | | | 2.1 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 466,785,433 | | | | 99.3 | |
| Other Assets in Excess of Liabilities (d) | | | 3,483,247 | | | | 0.7 | |
| | | | | | | | |
Net Assets | | $ | 470,268,680 | | | | 100.0 | % |
| | | | | | | | |
| * | Non-income producing security. |
| (a) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been |
| | determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2017 amounted to $17,185,631, which represents approximately 3.65% of net assets of the fund. |
| (b) | Represents less than 0.05% of net assets. |
| (c) | Represents 7-day effective yield as of September 30, 2017. |
| (d) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) Level 1 security (See Note 4).
Abbreviations
CVA - Dutch Certification
OYJ - Public Traded Company
Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
REIT - Real Estate Investment Trust
SCA - Limited partnership with share capital
Futures contracts outstanding as of September 30, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | |
| MSCI Emerging Markets E-Mini Index | | 80 | | 12/2017 | | | USD | | | | $7,913,600 | | | | $42,386 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $42,386 | |
| | | | | | | | | | | | | | | | |
USD - United States Dollar
Collateral pledged to, or (received from), each counterparty at September 30, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE
TRADED | | | TOTAL | |
| JPMS | | | | | | | | | |
| Cash | | $ | — | | | $ | 286,768 | | | $ | 286,768 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
70
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| COMMON STOCKS - 96.5% | |
|
| Brazil - 6.8% | |
| Banco Bradesco SA, ADR (1)* | | | 71,959 | | | $ | 796,586 | |
| Banco do Brasil SA (1)* | | | 135,300 | | | | 1,493,057 | |
| Banco Santander Brasil SA, ADR (1) | | | 126,497 | | | | 1,105,584 | |
| BR Malls Participacoes SA (1) | | | 27,485 | | | | 122,882 | |
| Braskem SA (Preference), Class A (1) | | | 191,300 | | | | 2,558,599 | |
| Centrais Eletricas Brasileiras SA (1)* | | | 172,300 | | | | 1,072,268 | |
| Cia Brasileira de Distribuicao, ADR (1)*(a) | | | 10,551 | | | | 249,742 | |
| Cia de Saneamento Basico do Estado de Sao Paulo, ADR (1)* | | | 8,727 | | | | 91,284 | |
| Cia Paranaense de Energia, ADR (1)(a) | | | 16,878 | | | | 149,539 | |
| CPFL Energia SA (1) | | | 10,200 | | | | 87,760 | |
| Embraer SA, ADR (1) | | | 16,136 | | | | 364,835 | |
| Itau Unibanco Holding SA, ADR (1) | | | 159,631 | | | | 2,186,945 | |
| Itausa—Investimentos Itau SA (Preference) (1) | | | 247,841 | | | | 864,703 | |
| M Dias Branco SA (1)* | | | 81,100 | | | | 1,280,331 | |
| Natura Cosmeticos SA (1) | | | 34,800 | | | | 343,918 | |
| Petroleo Brasileiro SA (Preference) (1)* | | | 126,500 | | | | 612,699 | |
| Porto Seguro SA (1)* | | | 10,800 | | | | 128,455 | |
| Qualicorp SA (1) | | | 152,100 | | | | 1,801,870 | |
| Sul America SA (1) | | | 157,997 | | | | 890,468 | |
| TIM Participacoes SA, ADR (1) | | | 146,357 | | | | 2,675,406 | |
| Vale SA (Preference) (1)* | | | 358,900 | | | | 3,342,927 | |
| | | | | | | | |
| | | | | | | 22,219,858 | |
| | | | | | | | |
| Chile - 1.8% | | | | | | |
| Banco Santander Chile, ADR (1) | | | 19,196 | | | | 570,313 | |
| Cencosud SA (1) | | | 307,840 | | | | 941,051 | |
| Enel Americas SA, ADR (1) | | | 98,351 | | | | 1,005,148 | |
| Enel Chile SA, ADR (1) | | | 42,874 | | | | 257,244 | |
| Latam Airlines Group SA, ADR (1) | | | 61,260 | | | | 811,695 | |
| Sociedad Quimica y Minera de Chile SA, ADR (1) | | | 39,506 | | | | 2,198,904 | |
| | | | | | | | |
| | | | | | | 5,784,355 | |
| | | | | | | | |
| China - 26.6% | | | | | | |
| 58.com, Inc., ADR (1)*(a) | | | 4,817 | | | | 304,145 | |
| Agricultural Bank of China Ltd., Class H | | | 3,791,000 | | | | 1,706,521 | |
| Air China Ltd., Class H | | | 1,064,000 | | | | 884,981 | |
| Alibaba Group Holding Ltd., ADR (1)* | | | 72,746 | | | | 12,563,962 | |
| Anhui Conch Cement Co. Ltd., Class H | | | 478,500 | | | | 1,920,568 | |
| ANTA Sports Products Ltd. | | | 64,000 | | | | 269,814 | |
| Baidu, Inc., ADR (1)* | | | 16,444 | | | | 4,073,014 | |
| Bank of China Ltd., Class H | | | 3,258,000 | | | | 1,618,324 | |
| Beijing Capital International Airport Co. Ltd., Class H | | | 122,000 | | | | 182,095 | |
| China Cinda Asset Management Co. Ltd., Class H | | | 1,430,000 | | | | 529,133 | |
| China Communications Services Corp. Ltd., Class H | | | 1,848,000 | | | | 954,107 | |
| China Construction Bank Corp., Class H | | | 6,476,000 | | | | 5,410,386 | |
| China Everbright Bank Co. Ltd., Class H | | | 200,000 | | | | 92,625 | |
| China Evergrande Group * | | | 585,000 | | | | 2,051,374 | |
| China Huarong Asset Management Co. Ltd., Class H (b) | | | 491,000 | | | | 219,858 | |
| China Medical System Holdings Ltd. | | | 59,000 | | | | 103,324 | |
| China Merchants Bank Co. Ltd., Class H | | | 404,000 | | | | 1,430,585 | |
| China Mobile Ltd. | | | 589,175 | | | | 5,981,279 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| China - 26.6% (continued) | | | | | | |
| China Overseas Land & Investment Ltd. | | | 380,000 | | | $ | 1,239,832 | |
| China Petroleum & Chemical Corp., Class H | | | 240,000 | | | | 180,884 | |
| China Resources Land Ltd. | | | 290,000 | | | | 891,666 | |
| China Resources Power Holdings Co. Ltd. | | | 340,000 | | | | 615,797 | |
| China Shenhua Energy Co. Ltd., Class H | | | 696,000 | | | | 1,645,586 | |
| China Southern Airlines Co. Ltd., Class H | | | 1,428,000 | | | | 984,223 | |
| China Vanke Co. Ltd., Class H | | | 214,000 | | | | 708,022 | |
| Chongqing Rural Commercial Bank Co. Ltd., Class H | | | 1,953,000 | | | | 1,243,286 | |
| CNOOC Ltd., ADR (1)(a) | | | 10,156 | | | | 1,317,233 | |
| Country Garden Holdings Co. Ltd. | | | 1,591,000 | | | | 2,539,738 | |
| CSPC Pharmaceutical Group Ltd. | | | 1,090,000 | | | | 1,831,852 | |
| Ctrip.com International Ltd., ADR (1)* | | | 20,700 | | | | 1,091,718 | |
| Far East Horizon Ltd. | | | 305,000 | | | | 286,821 | |
| Geely Automobile Holdings Ltd. | | | 738,000 | | | | 2,095,708 | |
| Great Wall Motor Co. Ltd., Class H | | | 1,177,500 | | | | 1,457,350 | |
| Haitian International Holdings Ltd. | | | 165,000 | | | | 474,812 | |
| Industrial & Commercial Bank of China Ltd., Class H | | | 5,532,000 | | | | 4,135,224 | |
| JD.com, Inc., ADR (1)* | | | 41,989 | | | | 1,603,980 | |
| NetEase, Inc., ADR (1) | | | 4,926 | | | | 1,299,528 | |
| New Oriental Education & Technology Group, Inc., ADR (1) | | | 7,867 | | | | 694,341 | |
| Ping An Insurance Group Co. of China Ltd., Class H | | | 193,000 | | | | 1,490,812 | |
| SINA Corp. (1)* | | | 3,734 | | | | 428,103 | |
| Sinopec Engineering Group Co. Ltd., Class H | | | 514,000 | | | | 454,210 | |
| Sinopec Shanghai Petrochemical Co. Ltd., Class H | | | 2,846,000 | | | | 1,700,335 | |
| Sinotrans Ltd., Class H | | | 682,000 | | | | 347,366 | |
| Sunny Optical Technology Group Co. Ltd. | | | 60,000 | | | | 963,239 | |
| TAL Education Group, ADR (1) | | | 16,458 | | | | 554,799 | |
| Tencent Holdings Ltd. | | | 238,100 | | | | 10,409,897 | |
| Tingyi Cayman Islands Holding Corp. | | | 338,000 | | | | 509,517 | |
| TravelSky Technology Ltd., Class H | | | 306,000 | | | | 800,481 | |
| Vipshop Holdings Ltd., ADR (1)* | | | 24,408 | | | | 214,546 | |
| Weichai Power Co. Ltd., Class H | | | 2,209,000 | | | | 2,436,319 | |
| | | | | | | | |
| | | | | | | 86,943,320 | |
| | | | | | | | |
| Hong Kong - 2.0% | | | | | | |
| Haier Electronics Group Co. Ltd. * | | | 580,000 | | | | 1,419,605 | |
| Nine Dragons Paper Holdings Ltd. | | | 1,389,000 | | | | 2,748,904 | |
| Sino Biopharmaceutical Ltd. | | | 621,000 | | | | 657,910 | |
| Sun Art Retail Group Ltd. | | | 1,676,500 | | | | 1,561,730 | |
| | | | | | | | |
| | | | | | | 6,388,149 | |
| | | | | | | | |
| Hungary - 0.2% | | | | | | |
| MOL Hungarian Oil & Gas plc | | | 38,304 | | | | 435,614 | |
| Richter Gedeon Nyrt | | | 11,164 | | | | 277,414 | |
| | | | | | | | |
| | | | | | | 713,028 | |
| | | | | | | | |
| India - 7.8% | | | | | | |
| Axis Bank Ltd., GDR(c) | | | 11,906 | | | | 460,002 | |
| Dr Reddy’s Laboratories Ltd., ADR (1)(a) | | | 71,075 | | | | 2,535,956 | |
| ICICI Bank Ltd., ADR (1) | | | 636,929 | | | | 5,452,112 | |
| Infosys Ltd., ADR (1) | | | 540,403 | | | | 7,884,480 | |
| Larsen & Toubro Ltd., GDR (c) | | | 10,829 | | | | 191,260 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
71
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| India - 7.8% (continued) | | | | | | |
| Reliance Industries Ltd., GDR (b) | | | 95,960 | | | $ | 2,291,119 | |
| State Bank of India, GDR (c) | | | 20,793 | | | | 800,419 | |
| Tata Motors Ltd., ADR (1)* | | | 107,555 | | | | 3,363,245 | |
| Wipro Ltd., ADR (1)(a) | | | 415,215 | | | | 2,358,421 | |
| | | | | | | | |
| | | | | | | 25,337,014 | |
| | | | | | | | |
| Indonesia - 2.6% | | | | | | |
| Adaro Energy Tbk. PT | | | 5,742,700 | | | | 779,546 | |
| Bank Negara Indonesia Persero Tbk. PT | | | 346,400 | | | | 190,477 | |
| Bank Rakyat Indonesia Persero Tbk. PT | | | 639,900 | | | | 726,491 | |
| Gudang Garam Tbk. PT | | | 186,400 | | | | 911,045 | |
| Indofood CBP Sukses Makmur Tbk. PT | | | 198,200 | | | | 128,492 | |
| Indofood Sukses Makmur Tbk. PT | | | 1,201,500 | | | | 752,397 | |
| Telekomunikasi Indonesia Persero Tbk. PT | | | 10,654,900 | | | | 3,705,555 | |
| United Tractors Tbk. PT | | | 550,300 | | | | 1,308,518 | |
| Waskita Karya Persero Tbk. PT | | | 866,100 | | | | 114,295 | |
| | | | | | | | |
| | | | | | | 8,616,816 | |
| | | | | | | | |
| Malaysia - 2.6% | | | | | | |
| AirAsia Bhd. | | | 2,929,392 | | | | 2,395,710 | |
| Genting Bhd. | | | 549,900 | | | | 1,244,581 | |
| Genting Malaysia Bhd. | | | 722,800 | | | | 921,244 | |
| Malayan Banking Bhd. | | | 485,600 | | | | 1,096,755 | |
| Malaysia Airports Holdings Bhd. | | | 140,300 | | | | 282,466 | |
| MISC Bhd. | | | 138,300 | | | | 239,424 | |
| Public Bank Bhd. | | | 257,900 | | | | 1,248,882 | |
| Tenaga Nasional Bhd. | | | 293,800 | | | | 996,961 | |
| YTL Corp. Bhd. | | | 394,000 | | | | 127,013 | |
| | | | | | | | |
| | | | | | | 8,553,036 | |
| | | | | | | | |
| Mexico - 3.6% | | | | | | |
| America Movil SAB de CV, Class L, ADR (1) | | | 237,576 | | | | 4,216,974 | |
| Arca Continental SAB de CV (1) | | | 102,000 | | | | 697,252 | |
| Coca-Cola Femsa SAB de CV, ADR (1)(a) | | | 9,531 | | | | 735,126 | |
| Fomento Economico Mexicano SAB de CV, ADR (1) | | | 11,960 | | | | 1,142,539 | |
| Gentera SAB de CV (1) | | | 153,900 | | | | 249,401 | |
| Gruma SAB de CV, Class B (1) | | | 82,385 | | | | 1,204,468 | |
| Grupo Aeroportuario del Pacifico SAB de CV, Class B (1) | | | 115,100 | | | | 1,178,179 | |
| Grupo Aeroportuario del Sureste SAB de CV, ADR (1) | | | 5,477 | | | | 1,045,121 | |
| Grupo Bimbo SAB de CV, Series A (1) | | | 52,100 | | | | 125,801 | |
Grupo Financiero Banorte SAB de CV,
Class O (1) | | | 148,000 | | | | 1,020,639 | |
Grupo Financiero Santander Mexico SAB
de CV, Class B, ADR (1) | | | 9,891 | | | | 99,800 | |
| | | | | | | | |
| | | | | | | 11,715,300 | |
| | | | | | | | |
| Peru - 0.2% | | | | | | |
| Credicorp Ltd. (1) | | | 3,587 | | | | 735,407 | |
| | | | | | | | |
| | |
| Philippines - 1.1% | | | | | | |
| Ayala Corp. | | | 12,620 | | | | 241,180 | |
| Ayala Land, Inc. | | | 183,900 | | | | 157,704 | |
| Bank of the Philippine Islands | | | 125,120 | | | | 245,086 | |
| BDO Unibank, Inc. | | | 152,970 | | | | 393,984 | |
| Globe Telecom, Inc. | | | 12,310 | | | | 497,368 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Philippines - 1.1% (continued) | | | | | | |
| International Container Terminal Services, Inc. | | | 208,460 | | | $ | 427,698 | |
| JG Summit Holdings, Inc. | | | 233,930 | | | | 345,420 | |
| Jollibee Foods Corp. | | | 26,930 | | | | 129,247 | |
| Security Bank Corp. | | | 109,660 | | | | 525,592 | |
| SM Investments Corp. | | | 30,410 | | | | 529,010 | |
| | | | | | | | |
| | | | | | | 3,492,289 | |
| | | | | | | | |
| Poland - 1.8% | | | | | | |
| Bank Zachodni WBK SA | | | 1,228 | | | | 117,654 | |
| Grupa Azoty SA | | | 2,049 | | | | 44,811 | |
| Grupa Lotos SA | | | 32,372 | | | | 530,290 | |
| Jastrzebska Spolka Weglowa SA * | | | 20,255 | | | | 535,990 | |
| Polski Koncern Naftowy ORLEN SA | | | 105,628 | | | | 3,524,428 | |
| Polskie Gornictwo Naftowe i Gazownictwo SA | | | 245,613 | | | | 457,323 | |
| Powszechny Zaklad Ubezpieczen SA | | | 19,426 | | | | 245,174 | |
| Tauron Polska Energia SA * | | | 245,273 | | | | 252,194 | |
| | | | | | | | |
| | | | | | | 5,707,864 | |
| | | | | | | | |
| Russia - 2.9% | | | | | | |
| Gazprom PJSC, ADR (1) | | | 350,088 | | | | 1,466,869 | |
| LUKOIL PJSC, ADR | | | 29,278 | | | | 1,552,767 | |
| Mobile TeleSystems PJSC, ADR (1) | | | 246,837 | | | | 2,576,978 | |
| Novatek PJSC, GDR (c) | | | 5,239 | | | | 615,559 | |
| Rosneft Oil Co. PJSC, GDR (c) | | | 68,272 | | | | 379,898 | |
| Severstal PJSC, GDR (c) | | | 89,292 | | | | 1,336,454 | |
| Surgutneftegas OJSC, ADR (1) | | | 88,464 | | | | 448,513 | |
| Tatneft PJSC, ADR | | | 26,709 | | | | 1,142,665 | |
| | | | | | | | |
| | | | | | | 9,519,703 | |
| | | | | | | | |
| South Africa - 5.8% | | | | | | |
| Bid Corp. Ltd. | | | 19,957 | | | | 447,676 | |
| Bidvest Group Ltd. (The) | | | 186,125 | | | | 2,373,685 | |
| Capitec Bank Holdings Ltd. | | | 3,627 | | | | 230,092 | |
| Exxaro Resources Ltd. | | | 139,805 | | | | 1,273,063 | |
| FirstRand Ltd. | | | 162,042 | | | | 623,110 | |
| Foschini Group Ltd. (The) | | | 109,715 | | | | 1,100,512 | |
| Hyprop Investments Ltd., REIT | | | 13,672 | | | | 106,671 | |
| Imperial Holdings Ltd. | | | 101,945 | | | | 1,440,478 | |
| Investec Ltd. | | | 193,372 | | | | 1,399,219 | |
| Massmart Holdings Ltd. | | | 23,555 | | | | 193,826 | |
| Mondi Ltd. | | | 33,517 | | | | 895,628 | |
| Naspers Ltd., Class N | | | 11,699 | | | | 2,529,004 | |
| Redefine Properties Ltd., REIT | | | 130,202 | | | | 102,764 | |
| Remgro Ltd. | | | 28,077 | | | | 426,116 | |
| Resilient REIT Ltd. | | | 80,551 | | | | 793,331 | |
| RMB Holdings Ltd. | | | 43,486 | | | | 203,836 | |
| Sappi Ltd. | | | 107,450 | | | | 731,813 | |
| Standard Bank Group Ltd. | | | 116,610 | | | | 1,360,435 | |
| Telkom SA SOC Ltd. | | | 275,238 | | | | 1,205,727 | |
| Tiger Brands Ltd. | | | 11,362 | | | | 316,777 | |
| Truworths International Ltd. | | | 219,751 | | | | 1,252,986 | |
| | | | | | | | |
| | | | | | | 19,006,749 | |
| | | | | | | | |
| South Korea - 15.0% | | | | | | |
| AMOREPACIFIC Group | | | 1,259 | | | | 135,948 | |
| Dongbu Insurance Co. Ltd. | | | 4,429 | | | | 282,963 | |
| E-MART, Inc. | | | 2,801 | | | | 510,944 | |
| Hana Financial Group, Inc. | | | 22,706 | | | | 941,998 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
72
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| South Korea - 15.0% (continued) | | | | | | |
| Hanwha Chemical Corp. | | | 16,167 | | | $ | 459,990 | |
| Hanwha Corp. | | | 54,779 | | | | 2,111,623 | |
| Hanwha Life Insurance Co. Ltd. | | | 61,659 | | | | 369,359 | |
| Hyundai Engineering & Construction Co. Ltd. | | | 41,558 | | | | 1,396,439 | |
| Hyundai Marine & Fire Insurance Co. Ltd. | | | 63,590 | | | | 2,522,032 | |
| Hyundai Robotics Co. Ltd. * | | | 413 | | | | 154,207 | |
| KB Financial Group, Inc. | | | 28,012 | | | | 1,378,166 | |
| Korea Investment Holdings Co. Ltd. | | | 4,018 | | | | 215,547 | |
| Korea Zinc Co. Ltd. | | | 207 | | | | 89,689 | |
| Korean Air Lines Co. Ltd. * | | | 15,096 | | | | 406,953 | |
| KT Corp. | | | 9,941 | | | | 253,437 | |
| LG Corp. | | | 6,405 | | | | 452,268 | |
| LG Electronics, Inc. | | | 18,455 | | | | 1,332,845 | |
| LG Uplus Corp. | | | 115,665 | | | | 1,350,473 | |
| Lotte Chemical Corp. | | | 3,717 | | | | 1,230,696 | |
| POSCO | | | 1,754 | | | | 487,409 | |
| Posco Daewoo Corp. | | | 10,492 | | | | 177,298 | |
| S-1 Corp. | | | 1,090 | | | | 85,059 | |
| Samsung Electronics Co. Ltd. | | | 9,520 | | | | 21,422,131 | |
| SK Hynix, Inc. | | | 103,239 | | | | 7,529,254 | |
| SK Innovation Co. Ltd. | | | 3,637 | | | | 633,908 | |
| SK Telecom Co. Ltd. | | | 8,360 | | | | 1,865,357 | |
| Woori Bank | | | 82,268 | | | | 1,284,350 | |
| | | | | | | | |
| | | | | | | 49,080,343 | |
| | | | | | | | |
| Taiwan - 11.4% | | | | | | |
| Catcher Technology Co. Ltd. | | | 112,000 | | | | 1,047,685 | |
| Cathay Financial Holding Co. Ltd. | | | 374,000 | | | | 596,007 | |
| Chailease Holding Co. Ltd. | | | 160,000 | | | | 386,475 | |
| China Life Insurance Co. Ltd. | | | 1,612,720 | | | | 1,520,878 | |
| CTBC Financial Holding Co. Ltd. | | | 1,070,559 | | | | 671,989 | |
| E.Sun Financial Holding Co. Ltd. | | | 1,180,310 | | | | 705,405 | |
| Eva Airways Corp. | | | 316,879 | | | | 154,724 | |
| Far EasTone Telecommunications Co. Ltd. | | | 123,000 | | | | 292,637 | |
| Feng TAY Enterprise Co. Ltd. | | | 31,014 | | | | 141,383 | |
| First Financial Holding Co. Ltd. | | | 2,009,720 | | | | 1,290,784 | |
| Fubon Financial Holding Co. Ltd. | | | 400,000 | | | | 625,109 | |
| Hon Hai Precision Industry Co. Ltd. | | | 1,580,493 | | | | 5,488,907 | |
| Innolux Corp. | | | 3,848,000 | | | | 1,801,191 | |
| Largan Precision Co. Ltd. | | | 3,000 | | | | 529,245 | |
| Lite-On Technology Corp. | | | 574,410 | | | | 822,813 | |
| Mega Financial Holding Co. Ltd. | | | 450,000 | | | | 352,235 | |
| Nien Made Enterprise Co. Ltd. | | | 61,000 | | | | 626,388 | |
| Pegatron Corp. | | | 402,000 | | | | 1,046,736 | |
| Phison Electronics Corp. | | | 112,000 | | | | 1,331,456 | |
| Pou Chen Corp. | | | 755,000 | | | | 949,261 | |
| Powertech Technology, Inc. | | | 487,000 | | | | 1,407,494 | |
| Realtek Semiconductor Corp. | | | 322,000 | | | | 1,112,402 | |
| Shin Kong Financial Holding Co. Ltd. | | | 632,000 | | | | 189,637 | |
| Taishin Financial Holding Co. Ltd. | | | 345,248 | | | | 148,775 | |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR (1) | | | 320,511 | | | | 12,035,188 | |
| Uni-President Enterprises Corp. | | | 292,000 | | | | 612,248 | |
| Wistron Corp. | | | 1,783,181 | | | | 1,430,094 | |
| | | | | | | | |
| | | | | | | 37,317,146 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Thailand - 2.5% | | | | | | |
| Airports of Thailand PCL, NVDR | | | 230,300 | | | $ | 408,097 | |
| Charoen Pokphand Foods PCL, NVDR | | | 478,600 | | | | 384,633 | |
| Home Product Center PCL, NVDR | | | 307,000 | | | | 112,499 | |
| Krung Thai Bank PCL, NVDR | | | 1,538,300 | | | | 868,285 | |
| PTT Global Chemical PCL, NVDR | | | 1,398,300 | | | | 3,231,959 | |
| PTT PCL, NVDR | | | 61,700 | | | | 755,525 | |
| Robinson PCL, NVDR | | | 70,500 | | | | 136,519 | |
| Thai Oil PCL, NVDR | | | 774,600 | | | | 2,150,027 | |
| Thai Union Group PCL, NVDR | | | 205,504 | | | | 123,333 | |
| | | | | | | | |
| | | | | | | 8,170,877 | |
| | | | | | | | |
| Turkey - 1.5% | | | | | | |
| Akbank Turk A/S | | | 33,251 | | | | 87,751 | |
| Arcelik A/S | | | 153,439 | | | | 978,570 | |
| BIM Birlesik Magazalar A/S | | | 15,393 | | | | 320,949 | |
| Turkiye Garanti Bankasi A/S | | | 54,457 | | | | 147,962 | |
| Turkiye Halk Bankasi A/S | | | 33,547 | | | | 114,095 | |
| Turkiye Is Bankasi, Class C | | | 778,254 | | | | 1,480,824 | |
| Turkiye Sise ve Cam Fabrikalari A/S | | | 556,140 | | | | 639,965 | |
| Turkiye Vakiflar Bankasi TAO, Class D | | | 559,234 | | | | 984,510 | |
| | | | | | | | |
| | | | | | | 4,754,626 | |
| | | | | | | | |
| United States - 0.3% | | | | | | |
| Yum China Holdings, Inc. (1)* | | | 25,244 | | | | 1,009,003 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $245,846,352) | | | | 315,064,883 | |
| | | | | | | | |
| | |
| SHORT-TERM INVESTMENT - 2.5% | | | | | | |
| | |
| Investment Company - 2.5% | | | | | | |
| Limited Purpose Cash Investment Fund, 0.97% (d) | | | | | | | | |
(Cost $8,181,462) | | | 8,182,280 | | | | 8,181,462 | |
| | | | | | | | |
| |
| SECURITIES LENDING COLLATERAL - 1.3% | | | | |
| Investment Companies - 1.3% | | | | | | |
| Investments in a Pooled Account through Securities Lending Program with Citibank NA | | | | | | | | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 0.91% (d)(e) | | | 665,045 | | | | 665,045 | |
| UBS Asset Management Americas, Inc. | | | | | | | | |
| 1.10% (d)(e) | | | 3,091,347 | | | | 3,091,347 | |
| 1.16% (d)(e) | | | 515,225 | | | | 515,225 | |
| | | | | | | | |
TOTAL SECURITIES LENDING COLLATERAL
(Cost $4,271,617) | | | | 4,271,617 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES
AT VALUE - 100.3%
(Cost $258,299,431) | | | | 327,517,962 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER ASSETS - (0.3)% (f) | | | (1,017,078) | |
| | | | | | | | |
NET ASSETS - 100.0% | | | $ | 326,500,884 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
73
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING MULTI-STYLE FUND | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 26,669,626 | | | | 8.2 | % |
| Consumer Staples | | | 13,629,744 | | | | 4.2 | |
| Energy | | | 23,502,034 | | | | 7.2 | |
| Financials | | | 61,456,684 | | | | 18.8 | |
| Health Care | | | 7,208,325 | | | | 2.2 | |
| Industrials | | | 21,895,232 | | | | 6.7 | |
| Information Technology | | | 98,244,074 | | | | 30.1 | |
| Materials | | | 23,514,676 | | | | 7.2 | |
| Real Estate | | | 8,713,983 | | | | 2.7 | |
| Telecommunication Services | | | 25,575,298 | | | | 7.8 | |
| Utilities | | | 4,655,207 | | | | 1.4 | |
| Short-Term Investment | | | 8,181,462 | | | | 2.5 | |
| Securities Lending Collateral | | | 4,271,617 | | | | 1.3 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 327,517,962 | | | | 100.3 | |
| Liabilities in Excess of Other Assets (f) | | | (1,017,078 | ) | | | (0.3 | ) |
| | | | | | | | |
Net Assets | | $ | 326,500,884 | | | | 100.0 | % |
| | | | | | | | |
| * | Non-income producing security. |
| (a) | The security or a portion of this security is on loan at September 30, 2017. The total value of securities on loan at September 30, 2017 was $4,084,323. |
| (b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions |
| | exempt from registration. Total value of all such securities at September 30, 2017 amounted to $2,510,977, which represents approximately 0.77% of net assets of the fund. |
| (c) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At September 30, 2017, the value of these securities amounted to $3,783,592 or 1.16% of net assets. |
| (d) | Represents 7-day effective yield as of September 30, 2017. |
| (e) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
| (f) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 4). |
Abbreviations
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
NVDR - Non-Voting Depositary Receipt
OJSC - Open Joint Stock Company
PJSC - Public Joint Stock Company
Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
REIT - Real Estate Investment Trust
Futures contracts outstanding as of September 30, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | |
| MSCI Emerging Markets E-Mini Index | | 91 | | 12/2017 | | | USD | | | | $4,956,315 | | | | $(22,978 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $(22,978 | ) |
| | | | | | | | | | | | | | | | |
USD - United States Dollar
Collateral pledged to, or (received from), each counterparty at September 30, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED | | | TOTAL | |
| BARC | | | | | | | | | |
| Cash | | | $— | | | | $179,236 | | | | $179,236 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
74
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM LARGE CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| COMMON STOCKS - 96.5% | |
|
| Aerospace & Defense - 4.7% | |
| Boeing Co. (The) | | | 14,359 | | | $ | 3,650,201 | |
| BWX Technologies, Inc. | | | 1,495 | | | | 83,750 | |
| General Dynamics Corp. | | | 2,116 | | | | 435,007 | |
| Huntington Ingalls Industries, Inc. | | | 7,742 | | | | 1,753,098 | |
| Northrop Grumman Corp. | | | 3,569 | | | | 1,026,873 | |
| Raytheon Co. | | | 11,163 | | | | 2,082,793 | |
| Spirit AeroSystems Holdings, Inc., Class A | | | 20,707 | | | | 1,609,348 | |
| | | | | | | | |
| | | | | | | 10,641,070 | |
| | | | | | | | |
| Air Freight & Logistics - 0.3% | | | | | | |
| FedEx Corp. | | | 2,819 | | | | 635,910 | |
| | | | | | | | |
| | |
| Airlines - 1.5% | | | | | | |
| Copa Holdings SA, Class A (Panama) | | | 2,604 | | | | 324,276 | |
| Delta Air Lines, Inc. | | | 9,395 | | | | 453,027 | |
| JetBlue Airways Corp. * | | | 50,901 | | | | 943,195 | |
| Southwest Airlines Co. | | | 8,666 | | | | 485,123 | |
| United Continental Holdings, Inc. * | | | 19,712 | | | | 1,200,067 | |
| | | | | | | | |
| | | | | | | 3,405,688 | |
| | | | | | | | |
| Auto Components - 0.6% | | | | | | |
| Goodyear Tire & Rubber Co. (The) | | | 2,279 | | | | 75,777 | |
| Lear Corp. | | | 7,667 | | | | 1,327,004 | |
| | | | | | | | |
| | | | | | | 1,402,781 | |
| | | | | | | | |
| Automobiles - 0.5% | | | | | | |
| General Motors Co. | | | 19,687 | | | | 794,961 | |
| Thor Industries, Inc. | | | 2,329 | | | | 293,244 | |
| | | | | | | | |
| | | | | | | 1,088,205 | |
| | | | | | | | |
| Banks - 6.7% | | | | | | |
| Bank of America Corp. | | | 69,166 | | | | 1,752,666 | |
| Citigroup, Inc. | | | 21,870 | | | | 1,590,824 | |
| East West Bancorp, Inc. | | | 3,240 | | | | 193,687 | |
| Fifth Third Bancorp | | | 15,549 | | | | 435,061 | |
| JPMorgan Chase & Co. | | | 47,907 | | | | 4,575,598 | |
| PNC Financial Services Group, Inc. (The) | | | 10,155 | | | | 1,368,589 | |
| Popular, Inc. | | | 3,317 | | | | 119,213 | |
| Regions Financial Corp. | | | 31,659 | | | | 482,167 | |
| SunTrust Banks, Inc. | | | 19,632 | | | | 1,173,405 | |
| US Bancorp | | | 27,273 | | | | 1,461,560 | |
| Wells Fargo & Co. | | | 38,721 | | | | 2,135,463 | |
| | | | | | | | |
| | | | | | | 15,288,233 | |
| | | | | | | | |
| Beverages - 1.0% | | | | | | |
| Constellation Brands, Inc., Class A | | | 5,091 | | | | 1,015,400 | |
| Molson Coors Brewing Co., Class B | | | 2,182 | | | | 178,138 | |
| PepsiCo, Inc. | | | 10,497 | | | | 1,169,681 | |
| | | | | | | | |
| | | | | | | 2,363,219 | |
| | | | | | | | |
| Biotechnology - 3.0% | | | | | | |
| AbbVie, Inc. | | | 5,935 | | | | 527,384 | |
| Amgen, Inc. | | | 2,059 | | | | 383,901 | |
| Biogen, Inc. * | | | 1,936 | | | | 606,200 | |
| Bioverativ, Inc. * | | | 803 | | | | 45,827 | |
| Celgene Corp. * | | | 5,935 | | | | 865,442 | |
| Exelixis, Inc. * | | | 54,750 | | | | 1,326,592 | |
| Gilead Sciences, Inc. | | | 22,627 | | | | 1,833,239 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Biotechnology - 3.0% (continued) | | | | | | |
| United Therapeutics Corp. * | | | 5,910 | | | $ | 692,593 | |
| Vertex Pharmaceuticals, Inc. * | | | 3,664 | | | | 557,075 | |
| | | | | | | | |
| | | | | | | 6,838,253 | |
| | | | | | | | |
| Building Products - 0.7% | | | | | | |
| Owens Corning | | | 21,173 | | | | 1,637,732 | |
| | | | | | | | |
| | |
| Capital Markets - 1.2% | | | | | | |
| Bank of New York Mellon Corp. (The) | | | 16,093 | | | | 853,251 | |
| BlackRock, Inc. | | | 230 | | | | 102,831 | |
| Goldman Sachs Group, Inc. (The) | | | 1,271 | | | | 301,468 | |
| Morgan Stanley | | | 7,455 | | | | 359,107 | |
| S&P Global, Inc. | | | 1,350 | | | | 211,019 | |
| State Street Corp. | | | 9,798 | | | | 936,101 | |
| | | | | | | | |
| | | | | | | 2,763,777 | |
| | | | | | | | |
| Chemicals - 2.8% | | | | | | |
| Chemours Co. (The) | | | 25,695 | | | | 1,300,424 | |
| DowDuPont, Inc. | | | 18,426 | | | | 1,275,632 | |
| Huntsman Corp. | | | 4,529 | | | | 124,185 | |
| LyondellBasell Industries NV, Class A | | | 34,883 | | | | 3,455,161 | |
| Monsanto Co. | | | 2,354 | | | | 282,056 | |
| | | | | | | | |
| | | | | | | 6,437,458 | |
| | | | | | | | |
| Commercial Services & Supplies - 0.5% | | | | | | |
| Cintas Corp. | | | 1,937 | | | | 279,470 | |
| Republic Services, Inc. | | | 1,912 | | | | 126,307 | |
| Rollins, Inc. | | | 2,483 | | | | 114,566 | |
| Waste Management, Inc. | | | 7,196 | | | | 563,231 | |
| | | | | | | | |
| | | | | | | 1,083,574 | |
| | | | | | | | |
| Communications Equipment - 1.0% | | | | | | |
| Brocade Communications Systems, Inc. | | | 2,783 | | | | 33,257 | |
| Cisco Systems, Inc. | | | 56,610 | | | | 1,903,794 | |
| Juniper Networks, Inc. | | | 9,102 | | | | 253,309 | |
| | | | | | | | |
| | | | | | | 2,190,360 | |
| | | | | | | | |
| Consumer Finance - 0.2% | | | | | | |
| Capital One Financial Corp. | | | 2,959 | | | | 250,509 | |
| Discover Financial Services | | | 2,721 | | | | 175,450 | |
| | | | | | | | |
| | | | | | | 425,959 | |
| | | | | | | | |
| Containers & Packaging - 0.2% | | | | | | |
| Avery Dennison Corp. | | | 1,201 | | | | 118,106 | |
| Packaging Corp. of America | | | 1,962 | | | | 225,002 | |
| | | | | | | | |
| | | | | | | 343,108 | |
| | | | | | | | |
| Distributors - 0.0% (a) | | | | | | |
| LKQ Corp. * | | | 2,069 | | | | 74,463 | |
| | | | | | | | |
| | |
| Diversified Consumer Services - 0.2% | | | | | | |
| Graham Holdings Co., Class B | | | 127 | | | | 74,308 | |
| H&R Block, Inc. | | | 13,884 | | | | 367,648 | |
| | | | | | | | |
| | | | | | | 441,956 | |
| | | | | | | | |
| Diversified Financial Services - 1.4% | | | | | | |
| Berkshire Hathaway, Inc., Class B * | | | 17,183 | | | | 3,149,988 | |
| | | | | | | | |
|
| Diversified Telecommunication Services - 0.9% | |
| AT&T, Inc. | | | 50,740 | | | | 1,987,486 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
75
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM LARGE CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Electric Utilities - 3.0% | | | | | | |
| Edison International | | | 2,059 | | | $ | 158,893 | |
| Eversource Energy | | | 5,224 | | | | 315,739 | |
| Exelon Corp. | | | 51,791 | | | | 1,950,967 | |
| Great Plains Energy, Inc. | | | 1,921 | | | | 58,206 | |
| NextEra Energy, Inc. | | | 3,907 | | | | 572,571 | |
| PG&E Corp. | | | 32,370 | | | | 2,204,073 | |
| Pinnacle West Capital Corp. | | | 15,375 | | | | 1,300,110 | |
| Xcel Energy, Inc. | | | 4,568 | | | | 216,158 | |
| | | | | | | | |
| | | | | | | 6,776,717 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components - 0.7% | |
| Arrow Electronics, Inc. * | | | 5,338 | | | | 429,228 | |
| CDW Corp. | | | 2,471 | | | | 163,086 | |
| Corning, Inc. | | | 32,067 | | | | 959,445 | |
| | | | | | | | |
| | | | | | | 1,551,759 | |
| | | | | | | | |
| Energy Equipment & Services - 0.2% | | | | | | |
| Baker Hughes a GE Co. | | | 3,064 | | | | 112,204 | |
| Oceaneering International, Inc. | | | 5,604 | | | | 147,217 | |
| RPC, Inc. | | | 4,256 | | | | 105,506 | |
| | | | | | | | |
| | | | | | | 364,927 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (REITs) - 2.9% | | | | |
| American Tower Corp. | | | 3,811 | | | | 520,888 | |
| AvalonBay Communities, Inc. | | | 1,100 | | | | 196,262 | |
| Boston Properties, Inc. | | | 2,258 | | | | 277,463 | |
| Crown Castle International Corp. | | | 2,435 | | | | 243,451 | |
| Digital Realty Trust, Inc. | | | 5,753 | | | | 680,753 | |
| Equinix, Inc. | | | 908 | | | | 405,240 | |
| Equity Residential | | | 6,814 | | | | 449,247 | |
| Essex Property Trust, Inc. | | | 523 | | | | 132,858 | |
| GGP, Inc. | | | 8,721 | | | | 181,135 | |
| HCP, Inc. | | | 14,281 | | | | 397,440 | |
| Host Hotels & Resorts, Inc. | | | 12,303 | | | | 227,482 | |
| Prologis, Inc. | | | 8,185 | | | | 519,420 | |
| Public Storage | | | 2,231 | | | | 477,412 | |
| Realty Income Corp. | | | 6,144 | | | | 351,375 | |
| Simon Property Group, Inc. | | | 3,193 | | | | 514,105 | |
| Ventas, Inc. | | | 7,001 | | | | 455,975 | |
| Vornado Realty Trust | | | 2,869 | | | | 220,569 | |
| Welltower, Inc. | | | 3,145 | | | | 221,031 | |
| Weyerhaeuser Co. | | | 4,966 | | | | 168,993 | |
| | | | | | | | |
| | | | | | | 6,641,099 | |
| | | | | | | | |
| Food & Staples Retailing - 2.3% | | | | | | |
| Costco Wholesale Corp. | | | 439 | | | | 72,123 | |
| CVS Health Corp. | | | 11,810 | | | | 960,389 | |
| Walgreens Boots Alliance, Inc. | | | 1,043 | | | | 80,541 | |
| Wal-Mart Stores, Inc. | | | 52,580 | | | | 4,108,601 | |
| | | | | | | | |
| | | | | | | 5,221,654 | |
| | | | | | | | |
| Food Products - 1.5% | | | | | | |
| Archer-Daniels-Midland Co. | | | 17,225 | | | | 732,235 | |
| Bunge Ltd. | | | 1,179 | | | | 81,893 | |
| Conagra Brands, Inc. | | | 15,538 | | | | 524,252 | |
| Flowers Foods, Inc. | | | 9,313 | | | | 175,177 | |
| Ingredion, Inc. | | | 4,937 | | | | 595,600 | |
| Pilgrim’s Pride Corp. * | | | 30,302 | | | | 860,880 | |
| Tyson Foods, Inc., Class A | | | 7,709 | | | | 543,099 | |
| | | | | | | | |
| | | | | | | 3,513,136 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Health Care Equipment & Supplies - 0.6% | | | | | | |
| Baxter International, Inc. | | | 17,159 | | | $ | 1,076,727 | |
| Danaher Corp. | | | 3,850 | | | | 330,253 | |
| | | | | | | | |
| | | | | | | 1,406,980 | |
| | | | | | | | |
| Health Care Providers & Services - 4.8% | | | | | | |
| Aetna, Inc. | | | 4,609 | | | | 732,877 | |
| Anthem, Inc. | | | 8,489 | | | | 1,611,891 | |
| Centene Corp. * | | | 9,130 | | | | 883,510 | |
| Cigna Corp. | | | 1,272 | | | | 237,788 | |
| Express Scripts Holding Co. * | | | 9,627 | | | | 609,582 | |
| Humana, Inc. | | | 7,137 | | | | 1,738,787 | |
| McKesson Corp. | | | 1,917 | | | | 294,470 | |
| UnitedHealth Group, Inc. | | | 10,791 | | | | 2,113,417 | |
| WellCare Health Plans, Inc. * | | | 15,944 | | | | 2,738,223 | |
| | | | | | | | |
| | | | | | | 10,960,545 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure - 2.1% | | | | | | |
| Carnival Corp. | | | 21,082 | | | | 1,361,265 | |
| Darden Restaurants, Inc. | | | 16,951 | | | | 1,335,400 | |
| Las Vegas Sands Corp. | | | 2,669 | | | | 171,243 | |
| McDonald’s Corp. | | | 1,933 | | | | 302,863 | |
| Royal Caribbean Cruises Ltd. | | | 13,060 | | | | 1,548,132 | |
| Wyndham Worldwide Corp. | | | 1,323 | | | | 139,457 | |
| | | | | | | | |
| | | | | | | 4,858,360 | |
| | | | | | | | |
| Household Durables - 0.6% | | | | | | |
| DR Horton, Inc. | | | 12,581 | | | | 502,359 | |
| NVR, Inc. * | | | 151 | | | | 431,105 | |
| PulteGroup, Inc. | | | 15,185 | | | | 415,006 | |
| Toll Brothers, Inc. | | | 1,776 | | | | 73,651 | |
| | | | | | | | |
| | | | | | | 1,422,121 | |
| | | | | | | | |
| Household Products - 1.4% | | | | | | |
| Procter & Gamble Co. (The) | | | 35,873 | | | | 3,263,726 | |
| | | | | | | | |
| | |
| Industrial Conglomerates - 0.2% | | | | | | |
| 3M Co. | | | 1,376 | | | | 288,823 | |
| General Electric Co. | | | 3,374 | | | | 81,583 | |
| | | | | | | | |
| | | | | | | 370,406 | |
| | | | | | | | |
| Insurance - 6.1% | | | | | | |
| Aflac, Inc. | | | 16,109 | | | | 1,311,111 | |
| Allstate Corp. (The) | | | 28,843 | | | | 2,650,960 | |
| American Financial Group, Inc. | | | 8,002 | | | | 827,807 | |
| Assured Guaranty Ltd. | | | 49,801 | | | | 1,879,988 | |
| Chubb Ltd. | | | 7,280 | | | | 1,037,764 | |
| CNA Financial Corp. | | | 1,634 | | | | 82,108 | |
| Everest Re Group Ltd. | | | 10,005 | | | | 2,285,042 | |
| First American Financial Corp. | | | 3,974 | | | | 198,581 | |
| Lincoln National Corp. | | | 3,716 | | | | 273,052 | |
| Prudential Financial, Inc. | | | 4,330 | | | | 460,366 | |
| Reinsurance Group of America, Inc. | | | 9,783 | | | | 1,365,022 | |
| Travelers Cos., Inc. (The) | | | 12,093 | | | | 1,481,634 | |
| Unum Group | | | 2,416 | | | | 123,530 | |
| | | | | | | | |
| | | | | | | 13,976,965 | |
| | | | | | | | |
| Internet & Direct Marketing Retail - 1.5% | | | | |
| Amazon.com, Inc. * | | | 2,457 | | | | 2,362,037 | |
| Liberty Interactive Corp. QVC Group, Class A * | | | 8,067 | | | | 190,139 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
76
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM LARGE CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Internet & Direct Marketing Retail - 1.5% (continued) | | | | |
| Netflix, Inc. * | | | 2,068 | | | $ | 375,032 | |
| Priceline Group, Inc. (The) * | | | 216 | | | | 395,457 | |
| | | | | | | | |
| | | | | | | 3,322,665 | |
| | | | | | | | |
| Internet Software & Services - 5.5% | | | | | | |
| Akamai Technologies, Inc. * | | | 5,431 | | | | 264,598 | |
| Alphabet, Inc., Class A * | | | 3,130 | | | | 3,047,744 | |
| Alphabet, Inc., Class C * | | | 2,644 | | | | 2,535,887 | |
| eBay, Inc. * | | | 63,140 | | | | 2,428,364 | |
| Facebook, Inc., Class A * | | | 20,889 | | | | 3,569,304 | |
| IAC/InterActiveCorp * | | | 6,383 | | | | 750,513 | |
| | | | | | | | |
| | | | | | | 12,596,410 | |
| | | | | | | | |
| IT Services - 1.9% | | | | | | |
| Accenture plc, Class A | | | 7,680 | | | | 1,037,338 | |
| Amdocs Ltd. | | | 4,246 | | | | 273,103 | |
| Booz Allen Hamilton Holding Corp. | | | 7,483 | | | | 279,789 | |
| Cognizant Technology Solutions Corp., Class A | | | 2,714 | | | | 196,873 | |
| DXC Technology Co. | | | 2,410 | | | | 206,971 | |
| Fiserv, Inc. * | | | 889 | | | | 114,645 | |
| International Business Machines Corp. | | | 7,713 | | | | 1,119,002 | |
| Leidos Holdings, Inc. | | | 1,612 | | | | 95,463 | |
| Visa, Inc., Class A | | | 8,619 | | | | 907,064 | |
| | | | | | | | |
| | | | | | | 4,230,248 | |
| | | | | | | | |
| Life Sciences Tools & Services - 0.2% | | | | | | |
| Charles River Laboratories International, Inc. * | | | 3,517 | | | | 379,906 | |
| Mettler-Toledo International, Inc. * | | | 173 | | | | 108,326 | |
| | | | | | | | |
| | | | | | | 488,232 | |
| | | | | | | | |
| Machinery - 2.5% | | | | | | |
| Caterpillar, Inc. | | | 1,367 | | | | 170,479 | |
| Cummins, Inc. | | | 6,483 | | | | 1,089,339 | |
| Deere & Co. | | | 5,999 | | | | 753,415 | |
| Ingersoll-Rand plc | | | 2,842 | | | | 253,421 | |
| Oshkosh Corp. | | | 31,537 | | | | 2,603,064 | |
| Stanley Black & Decker, Inc. | | | 2,321 | | | | 350,401 | |
| Toro Co. (The) | | | 1,122 | | | | 69,631 | |
| Trinity Industries, Inc. | | | 15,417 | | | | 491,802 | |
| | | | | | | | |
| | | | | | | 5,781,552 | |
| | | | | | | | |
| Media - 1.9% | | | | | | |
| Cable One, Inc. | | | 205 | | | | 148,034 | |
| Comcast Corp., Class A | | | 48,518 | | | | 1,866,973 | |
| John Wiley & Sons, Inc., Class A | | | 1,815 | | | | 97,102 | |
| Scripps Networks Interactive, Inc., Class A | | | 1,916 | | | | 164,565 | |
| Time Warner, Inc. | | | 5,444 | | | | 557,738 | |
| Walt Disney Co. (The) | | | 15,210 | | | | 1,499,250 | |
| | | | | | | | |
| | | | | | | 4,333,662 | |
| | | | | | | | |
| Metals & Mining - 0.2% | | | | | | |
| Newmont Mining Corp. | | | 2,949 | | | | 110,617 | |
| Royal Gold, Inc. | | | 592 | | | | 50,936 | |
| Steel Dynamics, Inc. | | | 10,249 | | | | 353,283 | |
| | | | | | | | |
| | | | | | | 514,836 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (REITs) - 0.2% | |
| Annaly Capital Management, Inc. | | | 45,232 | | | | 551,378 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Multiline Retail - 0.9% | | | | | | |
| Kohl’s Corp. | | | 23,012 | | | $ | 1,050,498 | |
| Target Corp. | | | 16,679 | | | | 984,228 | |
| | | | | | | | |
| | | | | | | 2,034,726 | |
| | | | | | | | |
| Multi-Utilities - 2.2% | | | | | | |
| Ameren Corp. | | | 32,260 | | | | 1,865,918 | |
| Consolidated Edison, Inc. | | | 19,556 | | | | 1,577,778 | |
| DTE Energy Co. | | | 10,643 | | | | 1,142,633 | |
| Public Service Enterprise Group, Inc. | | | 10,287 | | | | 475,774 | |
| | | | | | | | |
| | | | | | | 5,062,103 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels - 1.2% | | | | | | |
| Devon Energy Corp. | | | 4,735 | | | | 173,822 | |
| Exxon Mobil Corp. | | | 2,166 | | | | 177,568 | |
| Marathon Petroleum Corp. | | | 10,502 | | | | 588,952 | |
| Murphy Oil Corp. | | | 4,112 | | | | 109,215 | |
| Pioneer Natural Resources Co. | | | 794 | | | | 117,147 | |
| Valero Energy Corp. | | | 18,829 | | | | 1,448,515 | |
| | | | | | | | |
| | | | | | | 2,615,219 | |
| | | | | | | | |
| Personal Products - 0.1% | | | | | | |
| Nu Skin Enterprises, Inc., Class A | | | 1,653 | | | | 101,626 | |
| | | | | | | | |
| | |
| Pharmaceuticals - 2.8% | | | | | | |
| Johnson & Johnson | | | 22,914 | | | | 2,979,049 | |
| Merck & Co., Inc. | | | 19,697 | | | | 1,261,199 | |
| Pfizer, Inc. | | | 58,030 | | | | 2,071,671 | |
| | | | | | | | |
| | | | | | | 6,311,919 | |
| | | | | | | | |
| Professional Services - 0.2% | | | | | | |
| ManpowerGroup, Inc. | | | 4,658 | | | | 548,806 | |
| | | | | | | | |
|
| Real Estate Management & Development - 0.1% | |
| CBRE Group, Inc., Class A * | | | 4,543 | | | | 172,089 | |
| Jones Lang LaSalle, Inc. | | | 772 | | | | 95,342 | |
| | | | | | | | |
| | | | | | | 267,431 | |
| | | | | | | | |
| Road & Rail - 0.5% | | | | | | |
| CSX Corp. | | | 5,373 | | | | 291,539 | |
| Norfolk Southern Corp. | | | 991 | | | | 131,050 | |
| Union Pacific Corp. | | | 6,503 | | | | 754,153 | |
| | | | | | | | |
| | | | | | | 1,176,742 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment - 6.4% | |
| Applied Materials, Inc. | | | 49,090 | | | | 2,557,098 | |
| Intel Corp. | | | 78,238 | | | | 2,979,303 | |
| Lam Research Corp. | | | 8,722 | | | | 1,613,919 | |
| Micron Technology, Inc. * | | | 90,803 | | | | 3,571,282 | |
| NVIDIA Corp. | | | 7,704 | | | | 1,377,244 | |
| ON Semiconductor Corp. * | | | 6,682 | | | | 123,417 | |
| Skyworks Solutions, Inc. | | | 8,386 | | | | 854,533 | |
| Teradyne, Inc. | | | 3,157 | | | | 117,725 | |
| Texas Instruments, Inc. | | | 15,716 | | | | 1,408,782 | |
| | | | | | | | |
| | | | | | | 14,603,303 | |
| | | | | | | | |
| Software - 4.4% | | | | | | |
| Activision Blizzard, Inc. | | | 26,354 | | | | 1,700,097 | |
| Adobe Systems, Inc. * | | | 2,751 | | | | 410,394 | |
| Cadence Design Systems, Inc. * | | | 3,460 | | | | 136,566 | |
| Citrix Systems, Inc. * | | | 3,148 | | | | 241,829 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
77
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM LARGE CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Software - 4.4% (continued) | | | | | | |
| Electronic Arts, Inc. * | | | 8,700 | | | $ | 1,027,122 | |
| Micro Focus International plc, ADR (United Kingdom) * | | | 7,054 | | | | 225,023 | |
| Microsoft Corp. | | | 58,007 | | | | 4,320,941 | |
| Oracle Corp. | | | 12,228 | | | | 591,224 | |
| Synopsys, Inc. * | | | 1,540 | | | | 124,016 | |
| VMware, Inc., Class A *(b) | | | 11,650 | | | | 1,272,064 | |
| | | | | | | | |
| | | | | | | 10,049,276 | |
| | | | | | | | |
| Specialty Retail - 3.2% | | | | | | |
| Best Buy Co., Inc. | | | 47,726 | | | | 2,718,473 | |
| Burlington Stores, Inc. * | | | 4,008 | | | | 382,604 | |
| Gap, Inc. (The) | | | 18,676 | | | | 551,502 | |
| Home Depot, Inc. (The) | | | 10,523 | | | | 1,721,142 | |
| Lowe’s Cos., Inc. | | | 4,338 | | | | 346,780 | |
| Ross Stores, Inc. | | | 8,340 | | | | 538,514 | |
| TJX Cos., Inc. (The) | | | 5,587 | | | | 411,929 | |
| Williams-Sonoma, Inc. (b) | | | 11,418 | | | | 569,301 | |
| | | | | | | | |
| | | | | | | 7,240,245 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals - 5.1% | |
| Apple, Inc. | | | 53,643 | | | | 8,267,459 | |
| Hewlett Packard Enterprise Co. | | | 4,830 | | | | 71,049 | |
| HP, Inc. | | | 33,050 | | | | 659,678 | |
| NetApp, Inc. | | | 3,703 | | | | 162,043 | |
| Western Digital Corp. | | | 28,086 | | | | 2,426,631 | |
| | | | | | | | |
| | | | | | | 11,586,860 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods - 0.4% | | | | | | |
| Michael Kors Holdings Ltd. * | | | 11,609 | | | | 555,491 | |
| PVH Corp. | | | 1,360 | | | | 171,442 | |
| Skechers U.S.A., Inc., Class A * | | | 6,150 | | | | 154,303 | |
| | | | | | | | |
| | | | | | | 881,236 | |
| | | | | | | | |
| Thrifts & Mortgage Finance - 0.0% (a) | | | | |
| New York Community Bancorp, Inc. | | | 5,186 | | | | 66,847 | |
| | | | | | | | |
| | |
| Tobacco - 1.1% | | | | | | |
| Altria Group, Inc. | | | 14,357 | | | | 910,521 | |
| Philip Morris International, Inc. | | | 13,396 | | | | 1,487,090 | |
| | | | | | | | |
| | | | | | | 2,397,611 | |
| | | | | | | | |
| Trading Companies & Distributors - 0.2% | |
| United Rentals, Inc. * | | | 2,683 | | | | 372,239 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $179,802,214) | | | | 219,662,787 | |
| | | | | | | | |
| |
| EXCHANGE TRADED FUND - 2.3% | | | | |
| SPDR S&P500 Fund Trust | | | | | | | | |
(Cost $4,365,619) | | | 20,681 | | | | 5,195,687 | |
| | | | | | | | |
| | |
| SHORT-TERM INVESTMENT - 1.5% | | | | | | |
| | |
| Investment Company - 1.5% | | | | | | |
| Limited Purpose Cash Investment Fund, 0.97% (2)(c) | | | | | | | | |
(Cost $3,489,933) | | | 3,490,282 | | | | 3,489,933 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| SECURITIES LENDING COLLATERAL - 0.7% | |
| | |
| Investment Companies - 0.7% | | | | | | |
| Investments in a Pooled Account through Securities Lending Program with Citibank NA | | | | | | | | |
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares
0.91% (2)(c)(d) | | | 264,540 | | | $ | 264,540 | |
| UBS Asset Management Americas, Inc. | | | | | | | | |
1.10% (2)(c)(d) | | | 1,229,668 | | | | 1,229,668 | |
1.16% (2)(c)(d) | | | 204,944 | | | | 204,944 | |
| | | | | | | | |
TOTAL SECURITIES LENDING COLLATERAL
(Cost $1,699,152) | | | | | | | 1,699,152 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 101.0%
(Cost $189,356,918) | | | | | | | 230,047,559 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER ASSETS - (1.0)% | | | | | (2,271,937) | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 227,775,622 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 27,100,421 | | | | 11.9 | % |
| Consumer Staples | | | 16,860,973 | | | | 7.4 | |
| Energy | | | 2,980,146 | | | | 1.3 | |
| Exchange Traded Fund | | | 5,195,687 | | | | 2.3 | |
| Financials | | | 36,223,147 | | | | 15.9 | |
| Health Care | | | 26,005,930 | | | | 11.4 | |
| Industrials | | | 25,653,717 | | | | 11.3 | |
| Information Technology | | | 56,808,215 | | | | 25.0 | |
| Materials | | | 7,295,403 | | | | 3.2 | |
| Real Estate | | | 6,908,530 | | | | 3.0 | |
| Telecommunication Services | | | 1,987,486 | | | | 0.9 | |
| Utilities | | | 11,838,819 | | | | 5.2 | |
| Short-Term Investment | | | 3,489,933 | | | | 1.5 | |
| Securities Lending Collateral | | | 1,699,152 | | | | 0.7 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 230,047,559 | | | | 101.0 | |
| Liabilities in Excess of Other Assets | | | (2,271,937 | ) | | | (1.0 | ) |
| | | | | | | | |
Net Assets | | $ | 227,775,622 | | | | 100.0 | % |
| | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| * | Non-income producing security. |
| (a) | Represents less than 0.05% of net assets. |
| (b) | The security or a portion of this security is on loan at September 30, 2017. The total value of securities on loan at September 30, 2017 was $1,656,365. |
| (c) | Represents 7-day effective yield as of September 30, 2017. |
| (d) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
Abbreviations
ADR - American Depositary Receipt
SPDR - Standard & Poor’s Depository Receipts
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 4). |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
78
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| COMMON STOCKS - 95.7% | |
|
| Aerospace & Defense - 1.4% | |
| AAR Corp. | | | 216 | | | $ | 8,160 | |
| Curtiss-Wright Corp. | | | 441 | | | | 46,102 | |
| DigitalGlobe, Inc. * | | | 820 | | | | 28,905 | |
| Ducommun, Inc. * | | | 1,659 | | | | 53,171 | |
| Esterline Technologies Corp. * | | | 664 | | | | 59,859 | |
| Moog, Inc., Class A * | | | 620 | | | | 51,727 | |
| National Presto Industries, Inc. | | | 153 | | | | 16,287 | |
| Triumph Group, Inc. | | | 327 | | | | 9,728 | |
| Vectrus, Inc. * | | | 4,540 | | | | 140,014 | |
| | | | | | | | |
| | | | | | | 413,953 | |
| | | | | | | | |
| Air Freight & Logistics - 0.3% | |
| Air Transport Services Group, Inc. * | | | 424 | | | | 10,320 | |
| Atlas Air Worldwide Holdings, Inc. * | | | 488 | | | | 32,111 | |
| Hub Group, Inc., Class A * | | | 901 | | | | 38,698 | |
| | | | | | | | |
| | | | | | | 81,129 | |
| | | | | | | | |
| Airlines - 0.2% | |
| Allegiant Travel Co. | | | 100 | | | | 13,170 | |
| Hawaiian Holdings, Inc. * | | | 353 | | | | 13,255 | |
| SkyWest, Inc. | | | 613 | | | | 26,911 | |
| | | | | | | | |
| | | | | | | 53,336 | |
| | | | | | | | |
| Auto Components - 3.8% | |
| American Axle & Manufacturing Holdings, Inc. * | | | 7,733 | | | | 135,946 | |
| Cooper Tire & Rubber Co. | | | 3,829 | | | | 143,205 | |
| Cooper-Standard Holdings, Inc. * | | | 1,963 | | | | 227,649 | |
| Dana, Inc. | | | 8,236 | | | | 230,279 | |
| Dorman Products, Inc. * | | | 955 | | | | 68,397 | |
| LCI Industries | | | 832 | | | | 96,387 | |
| Standard Motor Products, Inc. | | | 409 | | | | 19,734 | |
| Stoneridge, Inc. * | | | 2,663 | | | | 52,754 | |
| Tenneco, Inc. | | | 1,576 | | | | 95,616 | |
| Tower International, Inc. | | | 910 | | | | 24,752 | |
| | | | | | | | |
| | | | | | | 1,094,719 | |
| | | | | | | | |
| Automobiles - 0.0% (a) | |
| Winnebago Industries, Inc. | | | 192 | | | | 8,592 | |
| | | | | | | | |
|
| Banks - 7.8% | |
| 1st Source Corp. | | | 596 | | | | 30,277 | |
| Ameris Bancorp | | | 415 | | | | 19,920 | |
| BancFirst Corp. | | | 454 | | | | 25,764 | |
| BancorpSouth, Inc. | | | 1,587 | | | | 50,863 | |
| Brookline Bancorp, Inc. | | | 960 | | | | 14,880 | |
| Cathay General Bancorp | | | 1,997 | | | | 80,279 | |
| CenterState Bank Corp. | | | 1,055 | | | | 28,274 | |
| Chemical Financial Corp. | | | 260 | | | | 13,588 | |
| City Holding Co. | | | 216 | | | | 15,533 | |
| Columbia Banking System, Inc. | | | 372 | | | | 15,665 | |
| Community Bank System, Inc. | | | 237 | | | | 13,094 | |
| Community Trust Bancorp, Inc. | | | 222 | | | | 10,323 | |
| Customers Bancorp, Inc. * | | | 1,062 | | | | 34,642 | |
| Eagle Bancorp, Inc. * | | | 507 | | | | 33,994 | |
| Enterprise Financial Services Corp. | | | 914 | | | | 38,708 | |
| FCB Financial Holdings, Inc., Class A * | | | 390 | | | | 18,837 | |
| Fidelity Southern Corp. | | | 1,092 | | | | 25,815 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Banks - 7.8% (continued) | |
| First Bancorp* | | | 6,344 | | | $ | 32,481 | |
| First Busey Corp. | | | 462 | | | | 14,488 | |
| First Citizens BancShares, Inc., Class A | | | 240 | | | | 89,734 | |
| First Commonwealth Financial Corp. | | | 899 | | | | 12,703 | |
| First Financial Bancorp | | | 1,301 | | | | 34,021 | |
| First Financial Corp. | | | 204 | | | | 9,710 | |
| First Interstate BancSystem, Inc., Class A | | | 2,036 | | | | 77,877 | |
| First Merchants Corp. | | | 1,693 | | | | 72,680 | |
| First Midwest Bancorp, Inc. | | | 601 | | | | 14,075 | |
| Flushing Financial Corp. | | | 605 | | | | 17,981 | |
| Fulton Financial Corp. | | | 3,838 | | | | 71,963 | |
| Great Southern Bancorp, Inc. | | | 321 | | | | 17,864 | |
| Great Western Bancorp, Inc. | | | 3,368 | | | | 139,031 | |
| Hancock Holding Co. | | | 2,862 | | | | 138,664 | |
| Hanmi Financial Corp. | | | 598 | | | | 18,508 | |
| Heartland Financial USA, Inc. | | | 1,496 | | | | 73,902 | |
| Heritage Financial Corp. | | | 437 | | | | 12,892 | |
| Hilltop Holdings, Inc. | | | 1,412 | | | | 36,712 | |
| Home BancShares, Inc. | | | 828 | | | | 20,882 | |
| Hope Bancorp, Inc. | | | 603 | | | | 10,679 | |
| IBERIABANK Corp. | | | 342 | | | | 28,095 | |
| Independent Bank Corp. | | | 200 | | | | 14,930 | |
| Independent Bank Group, Inc. | | | 221 | | | | 13,326 | |
| International Bancshares Corp. | | | 2,092 | | | | 83,889 | |
| LegacyTexas Financial Group, Inc. | | | 1,654 | | | | 66,028 | |
| MB Financial, Inc. | | | 1,204 | | | | 54,204 | |
| Midland States Bancorp, Inc. | | | 586 | | | | 18,564 | |
| NBT Bancorp, Inc. | | | 821 | | | | 30,147 | |
| Old National Bancorp | | | 1,544 | | | | 28,255 | |
| Pacific Premier Bancorp, Inc. * | | | 310 | | | | 11,703 | |
| Preferred Bank | | | 1,016 | | | | 61,316 | |
| Renasant Corp. | | | 315 | | | | 13,514 | |
| Sandy Spring Bancorp, Inc. | | | 415 | | | | 17,198 | |
| ServisFirst Bancshares, Inc. | | | 2,223 | | | | 86,364 | |
| Simmons First National Corp., Class A | | | 253 | | | | 14,649 | |
| Texas Capital Bancshares, Inc. * | | | 682 | | | | 58,516 | |
| Towne Bank | | | 838 | | | | 28,073 | |
| TriCo Bancshares | | | 365 | | | | 14,874 | |
| Trustmark Corp. | | | 1,520 | | | | 50,342 | |
| UMB Financial Corp. | | | 392 | | | | 29,200 | |
| Umpqua Holdings Corp. | | | 1,836 | | | | 35,820 | |
| Wintrust Financial Corp. | | | 1,674 | | | | 131,091 | |
| | | | | | | | |
| | | | | | | 2,277,401 | |
| | | | | | | | |
| Beverages - 1.2% | |
| Boston Beer Co., Inc. (The), Class A * | | | 75 | | | | 11,715 | |
| Coca-Cola Bottling Co. Consolidated | | | 311 | | | | 67,098 | |
| Craft Brew Alliance, Inc. * | | | 676 | | | | 11,864 | |
| MGP Ingredients, Inc. | | | 1,189 | | | | 72,089 | |
| National Beverage Corp. | | | 1,604 | | | | 198,976 | |
| | | | | | | | |
| | | | | | | 361,742 | |
| | | | | | | | |
| Biotechnology - 5.8% | |
| Acorda Therapeutics, Inc. * | | | 1,428 | | | | 33,772 | |
| AMAG Pharmaceuticals, Inc. * | | | 1,811 | | | | 33,413 | |
| Amicus Therapeutics, Inc. * | | | 1,954 | | | | 29,466 | |
| Array BioPharma, Inc. * | | | 2,096 | | | | 25,781 | |
| Avexis, Inc. * | | | 345 | | | | 33,372 | |
| BioSpecifics Technologies Corp. * | | | 830 | | | | 38,612 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
79
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Biotechnology - 5.8% (continued) | |
| Bluebird Bio, Inc. * | | | 544 | | | $ | 74,718 | |
| Blueprint Medicines Corp. * | | | 549 | | | | 38,249 | |
| Calithera Biosciences, Inc. * | | | 5,047 | | | | 79,490 | |
| Clovis Oncology, Inc. * | | | 479 | | | | 39,470 | |
| Conatus Pharmaceuticals, Inc. * | | | 4,838 | | | | 26,561 | |
| Eagle Pharmaceuticals, Inc. * | | | 2,152 | | | | 128,345 | |
| Emergent BioSolutions, Inc. * | | | 3,564 | | | | 144,164 | |
| Enanta Pharmaceuticals, Inc. * | | | 516 | | | | 24,149 | |
| Epizyme, Inc. * | | | 417 | | | | 7,944 | |
| Esperion Therapeutics, Inc. * | | | 664 | | | | 33,280 | |
| Exact Sciences Corp. * | | | 3,627 | | | | 170,904 | |
| FibroGen, Inc. * | | | 1,681 | | | | 90,438 | |
| Halozyme Therapeutics, Inc. * | | | 1,617 | | | | 28,087 | |
| Insmed, Inc. * | | | 1,004 | | | | 31,335 | |
| Kite Pharma, Inc. * | | | 666 | | | | 119,753 | |
| Loxo Oncology, Inc. * | | | 306 | | | | 28,189 | |
| Momenta Pharmaceuticals, Inc. * | | | 1,442 | | | | 26,677 | |
| Myriad Genetics, Inc. * | | | 2,100 | | | | 75,978 | |
| PDL BioPharma, Inc. * | | | 7,288 | | | | 24,706 | |
| Portola Pharmaceuticals, Inc. * | | | 648 | | | | 35,011 | |
| Prothena Corp. plc (Ireland) * | | | 347 | | | | 22,475 | |
| PTC Therapeutics, Inc. * | | | 820 | | | | 16,408 | |
| Puma Biotechnology, Inc. * | | | 386 | | | | 46,224 | |
| Repligen Corp. * | | | 2,445 | | | | 93,692 | |
| Retrophin, Inc. * | | | 707 | | | | 17,597 | |
| Sarepta Therapeutics, Inc. * | | | 863 | | | | 39,146 | |
| Xencor, Inc. * | | | 746 | | | | 17,098 | |
| | | | | | | | |
| | | | | | | 1,674,504 | |
| | | | | | | | |
| Building Products - 1.8% | |
| American Woodmark Corp. * | | | 589 | | | | 56,691 | |
| Apogee Enterprises, Inc. | | | 2,460 | | | | 118,720 | |
| Builders FirstSource, Inc. * | | | 550 | | | | 9,894 | |
| Continental Building Products, Inc. * | | | 491 | | | | 12,766 | |
| Insteel Industries, Inc. | | | 1,217 | | | | 31,776 | |
| Patrick Industries, Inc. * | | | 1,949 | | | | 163,911 | |
| Ply Gem Holdings, Inc. * | | | 510 | | | | 8,695 | |
| Trex Co., Inc. * | | | 508 | | | | 45,756 | |
| Universal Forest Products, Inc. | | | 723 | | | | 70,970 | |
| | | | | | | | |
| | | | | | | 519,179 | |
| | | | | | | | |
| Capital Markets - 0.9% | |
| Cohen & Steers, Inc. | | | 445 | | | | 17,573 | |
| Evercore, Inc., Class A | | | 611 | | | | 49,033 | |
| Financial Engines, Inc. | | | 793 | | | | 27,557 | |
| INTL. FCStone, Inc. * | | | 893 | | | | 34,220 | |
| Stifel Financial Corp. | | | 1,508 | | | | 80,617 | |
| Waddell & Reed Financial, Inc., Class A | | | 2,917 | | | | 58,544 | |
| | | | | | | | |
| | | | | | | 267,544 | |
| | | | | | | | |
| Chemicals - 1.7% | |
| American Vanguard Corp. | | | 513 | | | | 11,748 | |
| Chase Corp. | | | 349 | | | | 38,879 | |
| FutureFuel Corp. | | | 1,364 | | | | 21,469 | |
| Ingevity Corp. * | | | 517 | | | | 32,297 | |
| Innospec, Inc. | | | 465 | | | | 28,667 | |
| KMG Chemicals, Inc. | | | 342 | | | | 18,769 | |
| Kronos Worldwide, Inc. | | | 5,025 | | | | 114,721 | |
| Rayonier Advanced Materials, Inc. | | | 587 | | | | 8,042 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Chemicals - 1.7% (continued) | |
| Stepan Co. | | | 626 | | | $ | 52,371 | |
| Trinseo SA | | | 2,136 | | | | 143,326 | |
| Tronox Ltd., Class A | | | 525 | | | | 11,077 | |
| | | | | | | | |
| | | | | | | 481,366 | |
| | | | | | | | |
| Commercial Services & Supplies - 2.1% | |
| ABM Industries, Inc. | | | 344 | | | | 14,348 | |
| ACCO Brands Corp. * | | | 7,255 | | | | 86,334 | |
| Brady Corp., Class A | | | 339 | | | | 12,865 | |
| Brink’s Co. (The) | | | 652 | | | | 54,931 | |
| Deluxe Corp. | | | 973 | | | | 70,990 | |
| Ennis, Inc. | | | 4,170 | | | | 81,941 | |
| Herman Miller, Inc. | | | 1,351 | | | | 48,501 | |
| HNI Corp. | | | 497 | | | | 20,611 | |
| Hudson Technologies, Inc. * | | | 4,075 | | | | 31,826 | |
| Interface, Inc. | | | 864 | | | | 18,922 | |
| Kimball International, Inc., Class B | | | 1,084 | | | | 21,431 | |
| Multi-Color Corp. | | | 154 | | | | 12,620 | |
| Quad/Graphics, Inc. | | | 435 | | | | 9,835 | |
| Steelcase, Inc., Class A | | | 1,633 | | | | 25,148 | |
| Tetra Tech, Inc. | | | 377 | | | | 17,549 | |
| UniFirst Corp. | | | 160 | | | | 24,240 | |
| Viad Corp. | | | 593 | | | | 36,114 | |
| West Corp. | | | 471 | | | | 11,054 | |
| | | | | | | | |
| | | | | | | 599,260 | |
| | | | | | | | |
| Communications Equipment - 1.0% | |
| Applied Optoelectronics, Inc. *(b) | | | 1,758 | | | | 113,690 | |
| Ciena Corp. * | | | 459 | | | | 10,084 | |
| Finisar Corp. * | | | 2,471 | | | | 54,782 | |
| InterDigital, Inc. | | | 369 | | | | 27,214 | |
| NetScout Systems, Inc. * | | | 293 | | | | 9,478 | |
| Oclaro, Inc. * | | | 4,889 | | | | 42,192 | |
| Plantronics, Inc. | | | 480 | | | | 21,226 | |
| Ubiquiti Networks, Inc. *(b) | | | 190 | | | | 10,644 | |
| | | | | | | | |
| | | | | | | 289,310 | |
| | | | | | | | |
| Construction & Engineering - 2.0% | |
| Argan, Inc. | | | 3,081 | | | | 207,197 | |
| Comfort Systems USA, Inc. | | | 260 | | | | 9,282 | |
| Dycom Industries, Inc. * | | | 271 | | | | 23,273 | |
| EMCOR Group, Inc. | | | 2,083 | | | | 144,519 | |
| MasTec, Inc. * | | | 2,039 | | | | 94,610 | |
| Tutor Perini Corp. * | | | 3,511 | | | | 99,712 | |
| | | | | | | | |
| | | | | | | 578,593 | |
| | | | | | | | |
| Construction Materials - 0.2% | |
| Summit Materials, Inc., Class A * | | | 1,350 | | | | 43,241 | |
| US Concrete, Inc. * | | | 110 | | | | 8,393 | |
| | | | | | | | |
| | | | | | | 51,634 | |
| | | | | | | | |
| Consumer Finance - 0.9% | |
| FirstCash, Inc. | | | 490 | | | | 30,944 | |
| Green Dot Corp., Class A * | | | 652 | | | | 32,326 | |
| LendingClub Corp. * | | | 3,386 | | | | 20,621 | |
| Nelnet, Inc., Class A | | | 1,242 | | | | 62,721 | |
| World Acceptance Corp. * | | | 1,297 | | | | 107,508 | |
| | | | | | | | |
| | | | | | | 254,120 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
80
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Distributors - 0.0% (a) | |
| Core-Mark Holding Co., Inc. | | | 182 | | | $ | 5,849 | |
| | | | | | | | |
|
| Diversified Consumer Services - 1.8% | |
| Adtalem Global Education, Inc. | | | 3,636 | | | | 130,350 | |
| American Public Education, Inc. * | | | 2,067 | | | | 43,510 | |
| Capella Education Co. | | | 1,579 | | | | 110,767 | |
| Career Education Corp. * | | | 1,079 | | | | 11,211 | |
| Grand Canyon Education, Inc. * | | | 1,571 | | | | 142,678 | |
| K12, Inc. * | | | 733 | | | | 13,077 | |
| Weight Watchers International, Inc. *(b) | | | 1,807 | | | | 78,695 | |
| | | | | | | | |
| | | | | | | 530,288 | |
| | | | | | | | |
| Diversified Telecommunication Services - 0.4% | |
| Cincinnati Bell, Inc. * | | | 406 | | | | 8,059 | |
| General Communication, Inc., Class A * | | | 525 | | | | 21,415 | |
| IDT Corp., Class B | | | 1,978 | | | | 27,850 | |
| Vonage Holdings Corp. * | | | 7,102 | | | | 57,810 | |
| | | | | | | | |
| | | | | | | 115,134 | |
| | | | | | | | |
| Electric Utilities - 0.4% | |
| Portland General Electric Co. | | | 285 | | | | 13,007 | |
| Spark Energy, Inc., Class A | | | 7,543 | | | | 113,145 | |
| | | | | | | | |
| | | | | | | 126,152 | |
| | | | | | | | |
| Electrical Equipment - 0.2% | |
| Encore Wire Corp. | | | 284 | | | | 12,716 | |
| EnerSys | | | 337 | | | | 23,311 | |
| Sunrun, Inc. * | | | 5,213 | | | | 28,932 | |
| | | | | | | | |
| | | | | | | 64,959 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components - 4.1% | |
| Anixter International, Inc. * | | | 491 | | | | 41,735 | |
| AVX Corp. | | | 825 | | | | 15,040 | |
| Benchmark Electronics, Inc. * | | | 1,481 | | | | 50,576 | |
| Control4 Corp. * | | | 2,299 | | | | 67,728 | |
| ePlus, Inc. * | | | 911 | | | | 84,222 | |
| II-VI, Inc. * | | | 1,385 | | | | 56,993 | |
| Insight Enterprises, Inc. * | | | 755 | | | | 34,670 | |
| KEMET Corp. * | | | 4,244 | | | | 89,676 | |
| Kimball Electronics, Inc. * | | | 653 | | | | 14,137 | |
| Methode Electronics, Inc. | | | 3,020 | | | | 127,897 | |
| PCM, Inc. * | | | 1,173 | | | | 16,422 | |
| Plexus Corp. * | | | 496 | | | | 27,816 | |
| Rogers Corp. * | | | 558 | | | | 74,370 | |
| Sanmina Corp. * | | | 5,265 | | | | 195,595 | |
| SYNNEX Corp. | | | 277 | | | | 35,043 | |
| Tech Data Corp. * | | | 902 | | | | 80,143 | |
| TTM Technologies, Inc. * | | | 8,047 | | | | 123,682 | |
| Vishay Intertechnology, Inc. | | | 2,321 | | | | 43,635 | |
| | | | | | | | |
| | | | | | | 1,179,380 | |
| | | | | | | | |
| Energy Equipment & Services - 1.1% | |
| Atwood Oceanics, Inc. * | | | 3,485 | | | | 32,724 | |
| Diamond Offshore Drilling, Inc. *(b) | | | 1,387 | | | | 20,111 | |
| Exterran Corp. * | | | 1,357 | | | | 42,895 | |
| Fairmount Santrol Holdings, Inc. * | | | 5,665 | | | | 27,079 | |
| Helix Energy Solutions Group, Inc. * | | | 1,090 | | | | 8,055 | |
| McDermott International, Inc. * | | | 4,728 | | | | 34,373 | |
| Newpark Resources, Inc. * | | | 1,149 | | | | 11,490 | |
| Unit Corp. * | | | 1,495 | | | | 30,767 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Energy Equipment & Services - 1.1% (continued) | |
| US Silica Holdings, Inc. | | | 3,440 | | | $ | 106,881 | |
| | | | | | | | |
| | | | | | | 314,375 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (REITs) - 6.2% | |
| Acadia Realty Trust | | | 1,231 | | | | 35,231 | |
| Agree Realty Corp. | | | 839 | | | | 41,178 | |
| Alexander & Baldwin, Inc. | | | 361 | | | | 16,725 | |
| American Assets Trust, Inc. | | | 543 | | | | 21,595 | |
| CareTrust REIT, Inc. | | | 1,659 | | | | 31,587 | |
| CBL & Associates Properties, Inc. | | | 2,967 | | | | 24,893 | |
| Chesapeake Lodging Trust | | | 765 | | | | 20,632 | |
| Cousins Properties, Inc. | | | 4,398 | | | | 41,077 | |
| DiamondRock Hospitality Co. | | | 4,030 | | | | 44,128 | |
| EastGroup Properties, Inc. | | | 408 | | | | 35,953 | |
| Education Realty Trust, Inc. | | | 774 | | | | 27,810 | |
| First Industrial Realty Trust, Inc. | | | 1,565 | | | | 47,091 | |
| Four Corners Property Trust, Inc. | | | 2,206 | | | | 54,974 | |
| Franklin Street Properties Corp. | | | 3,946 | | | | 41,907 | |
| GEO Group, Inc. (The) | | | 2,109 | | | | 56,732 | |
| Global Net Lease, Inc. | | | 501 | | | | 10,967 | |
| Government Properties Income Trust | | | 2,069 | | | | 38,835 | |
| Gramercy Property Trust | | | 2,337 | | | | 70,694 | |
| Healthcare Realty Trust, Inc. | | | 1,651 | | | | 53,393 | |
| Kite Realty Group Trust | | | 1,564 | | | | 31,671 | |
| LaSalle Hotel Properties | | | 1,494 | | | | 43,356 | |
| Lexington Realty Trust | | | 3,470 | | | | 35,463 | |
| LTC Properties, Inc. | | | 343 | | | | 16,114 | |
| Mack-Cali Realty Corp. | | | 1,735 | | | | 41,137 | |
| Monmouth Real Estate Investment Corp. | | | 2,604 | | | | 42,159 | |
| National Health Investors, Inc. | | | 344 | | | | 26,588 | |
| Pebblebrook Hotel Trust | | | 1,063 | | | | 38,417 | |
| Physicians Realty Trust | | | 2,815 | | | | 49,910 | |
| Potlatch Corp. | | | 748 | | | | 38,148 | |
| PS Business Parks, Inc. | | | 158 | | | | 21,093 | |
| QTS Realty Trust, Inc., Class A | | | 703 | | | | 36,809 | |
| Quality Care Properties, Inc. * | | | 1,994 | | | | 30,907 | |
| Ramco-Gershenson Properties Trust | | | 1,220 | | | | 15,872 | |
| Retail Opportunity Investments Corp. | | | 955 | | | | 18,155 | |
| Rexford Industrial Realty, Inc. | | | 1,175 | | | | 33,629 | |
| RLJ Lodging Trust | | | 1,646 | | | | 36,212 | |
| Ryman Hospitality Properties, Inc. | | | 689 | | | | 43,056 | |
| Sabra Health Care REIT, Inc. | | | 2,999 | | | | 65,798 | |
| Select Income REIT | | | 922 | | | | 21,593 | |
| Seritage Growth Properties, Class A | | | 414 | | | | 19,073 | |
| STAG Industrial, Inc. | | | 1,114 | | | | 30,602 | |
| Starwood Waypoint Homes * | | | 1,719 | | | | 62,520 | |
| Summit Hotel Properties, Inc. | | | 2,091 | | | | 33,435 | |
| Sunstone Hotel Investors, Inc. | | | 3,628 | | | | 58,302 | |
| Terreno Realty Corp. | | | 1,043 | | | | 37,736 | |
| Universal Health Realty Income Trust | | | 281 | | | | 21,213 | |
| Urban Edge Properties | | | 942 | | | | 22,721 | |
| Washington Prime Group, Inc. | | | 2,685 | | | | 22,366 | |
| Washington REIT | | | 1,244 | | | | 40,753 | |
| Xenia Hotels & Resorts, Inc. | | | 1,802 | | | | 37,932 | |
| | | | | | | | |
| | | | | | | 1,788,142 | |
| | | | | | | | |
| Food & Staples Retailing - 0.3% | |
| Ingles Markets, Inc., Class A | | | 790 | | | | 20,303 | |
| United Natural Foods, Inc. * | | | 258 | | | | 10,730 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
81
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Food & Staples Retailing - 0.3% (continued) | |
| Weis Markets, Inc. | | | 1,110 | | | $ | 48,285 | |
| | | | | | | | |
| | | | | | | 79,318 | |
| | | | | | | | |
| Food Products - 2.1% | |
| Darling Ingredients, Inc. * | | | 2,391 | | | | 41,890 | |
| Dean Foods Co. | | | 3,310 | | | | 36,013 | |
| John B Sanfilippo & Son, Inc. | | | 1,660 | | | | 111,735 | |
| Omega Protein Corp. | | | 2,443 | | | | 40,676 | |
| Sanderson Farms, Inc. | | | 2,294 | | | | 370,527 | |
| | | | | | | | |
| | | | | | | 600,841 | |
| | | | | | | | |
| Gas Utilities - 0.9% | |
| ONE Gas, Inc. | | | 1,128 | | | | 83,066 | |
| Southwest Gas Holdings, Inc. | | | 1,570 | | | | 121,863 | |
| WGL Holdings, Inc. | | | 625 | | | | 52,625 | |
| | | | | | | | |
| | | | | | | 257,554 | |
| | | | | | | | |
| Health Care Equipment & Supplies - 2.2% | |
| Anika Therapeutics, Inc. * | | | 509 | | | | 29,522 | |
| Cutera, Inc. * | | | 382 | | | | 15,796 | |
| Globus Medical, Inc., Class A * | | | 4,292 | | | | 127,558 | |
| Heska Corp. * | | | 499 | | | | 43,957 | |
| ICU Medical, Inc. * | | | 129 | | | | 23,975 | |
| Inogen, Inc. * | | | 121 | | | | 11,507 | |
| Integer Holdings Corp. * | | | 346 | | | | 17,698 | |
| iRadimed Corp. * | | | 318 | | | | 3,053 | |
| Lantheus Holdings, Inc. * | | | 4,266 | | | | 75,935 | |
| LeMaitre Vascular, Inc. | | | 836 | | | | 31,283 | |
| Masimo Corp. * | | | 1,716 | | | | 148,537 | |
| Merit Medical Systems, Inc. * | | | 633 | | | | 26,807 | |
| NxStage Medical, Inc. * | | | 937 | | | | 25,861 | |
| OraSure Technologies, Inc. * | | | 2,197 | | | | 49,432 | |
| | | | | | | | |
| | | | | | | 630,921 | |
| | | | | | | | |
| Health Care Providers & Services - 1.5% | |
| AMN Healthcare Services, Inc. * | | | 3,796 | | | | 173,477 | |
| BioTelemetry, Inc. * | | | 602 | | | | 19,866 | |
| Chemed Corp. | | | 398 | | | | 80,416 | |
| HealthEquity, Inc. * | | | 774 | | | | 39,149 | |
| Molina Healthcare, Inc. * | | | 429 | | | | 29,498 | |
| Select Medical Holdings Corp. * | | | 871 | | | | 16,723 | |
| Tivity Health, Inc. * | | | 864 | | | | 35,251 | |
| Triple-S Management Corp., Class B * | | | 1,169 | | | | 27,682 | |
| | | | | | | | |
| | | | | | | 422,062 | |
| | | | | | | | |
| Health Care Technology - 0.2% | |
| Cotiviti Holdings, Inc. * | | | 1,424 | | | | 51,236 | |
| | | | | | | | |
|
| Hotels, Restaurants & Leisure - 1.7% | |
| Bloomin’ Brands, Inc. | | | 1,971 | | | | 34,690 | |
| Caesars Entertainment Corp. *(b) | | | 2,006 | | | | 26,780 | |
| Cheesecake Factory, Inc. (The) | | | 475 | | | | 20,007 | |
| Cracker Barrel Old Country Store, Inc. | | | 424 | | | | 64,287 | |
| Dave & Buster’s Entertainment, Inc. * | | | 2,047 | | | | 107,427 | |
| Eldorado Resorts, Inc. *(b) | | | 2,433 | | | | 62,406 | |
| Jack in the Box, Inc. | | | 134 | | | | 13,657 | |
| Marcus Corp. (The) | | | 552 | | | | 15,290 | |
| Marriott Vacations Worldwide Corp. | | | 705 | | | | 87,794 | |
| Ruth’s Hospitality Group, Inc. | | | 1,008 | | | | 21,118 | |
| Texas Roadhouse, Inc. | | | 636 | | | | 31,253 | |
| | | | | | | | |
| | | | | | | 484,709 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Household Durables - 2.0% | |
| Bassett Furniture Industries, Inc. | | | 678 | | | $ | 25,561 | |
| Flexsteel Industries, Inc. | | | 1,412 | | | | 71,588 | |
| Hooker Furniture Corp. | | | 1,101 | | | | 52,573 | |
| Installed Building Products, Inc. * | | | 210 | | | | 13,608 | |
| iRobot Corp. *(b) | | | 1,503 | | | | 115,821 | |
| KB Home | | | 2,196 | | | | 52,968 | |
| La-Z-Boy, Inc. | | | 2,585 | | | | 69,537 | |
| MDC Holdings, Inc. | | | 1,664 | | | | 55,261 | |
| NACCO Industries, Inc., Class A | | | 783 | | | | 67,181 | |
| TopBuild Corp. * | | | 772 | | | | 50,311 | |
| | | | | | | | |
| | | | | | | 574,409 | |
| | | | | | | | |
| Household Products - 0.0% (a) | |
| Central Garden & Pet Co., Class A * | | | 316 | | | | 11,752 | |
| | | | | | | | |
|
| Insurance - 4.9% | |
| American Equity Investment Life Holding Co. | | | 5,209 | | | | 151,478 | |
| AMERISAFE, Inc. | | | 400 | | | | 23,280 | |
| Argo Group International Holdings Ltd. | | | 1,163 | | | | 71,525 | |
| CNO Financial Group, Inc. | | | 5,362 | | | | 125,149 | |
| Employers Holdings, Inc. | | | 3,538 | | | | 160,802 | |
| Enstar Group Ltd. * | | | 107 | | | | 23,791 | |
| FBL Financial Group, Inc., Class A | | | 241 | | | | 17,955 | |
| Genworth Financial, Inc., Class A * | | | 7,815 | | | | 30,088 | |
| HCI Group, Inc. | | | 1,062 | | | | 40,622 | |
| Heritage Insurance Holdings, Inc. | | | 2,916 | | | | 38,520 | |
| Horace Mann Educators Corp. | | | 702 | | | | 27,624 | |
| James River Group Holdings Ltd. | | | 384 | | | | 15,928 | |
| National General Holdings Corp. | | | 765 | | | | 14,619 | |
| National Western Life Group, Inc., Class A | | | 265 | | | | 92,485 | |
| Navigators Group, Inc. (The) | | | 846 | | | | 49,364 | |
| Primerica, Inc. | | | 3,047 | | | | 248,483 | |
| Selective Insurance Group, Inc. | | | 1,957 | | | | 105,384 | |
| Universal Insurance Holdings, Inc. | | | 7,842 | | | | 180,366 | |
| | | | | | | | |
| | | | | | | 1,417,463 | |
| | | | | | | | |
| Internet & Direct Marketing Retail - 0.8% | |
| 1-800-Flowers.com, Inc., Class A * | | | 2,307 | | | | 22,724 | |
| Nutrisystem, Inc. | | | 2,415 | | | | 134,999 | |
| PetMed Express, Inc. | | | 2,123 | | | | 70,377 | |
| | | | | | | | |
| | | | | | | 228,100 | |
| | | | | | | | |
| Internet Software & Services - 1.6% | |
| Alarm.com Holdings, Inc. * | | | 340 | | | | 15,361 | |
| Appfolio, Inc., Class A * | | | 180 | | | | 8,631 | |
| Blucora, Inc. * | | | 2,571 | | | | 65,046 | |
| GrubHub, Inc. *(b) | | | 1,415 | | | | 74,514 | |
| j2 Global, Inc. | | | 772 | | | | 57,035 | |
| Meet Group, Inc. (The) * | | | 5,312 | | | | 19,336 | |
| NIC, Inc. | | | 666 | | | | 11,422 | |
| Shutterstock, Inc. *(b) | | | 274 | | | | 9,122 | |
| Stamps.com, Inc. * | | | 639 | | | | 129,493 | |
| TrueCar, Inc. * | | | 1,879 | | | | 29,670 | |
| Yelp, Inc. * | | | 1,124 | | | | 48,669 | |
| | | | | | | | |
| | | | | | | 468,299 | |
| | | | | | | | |
| IT Services - 1.3% | |
| CACI International, Inc., Class A * | | | 279 | | | | 38,879 | |
| Convergys Corp. | | | 2,290 | | | | 59,288 | |
| Hackett Group, Inc. (The) | | | 3,663 | | | | 55,641 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
82
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| IT Services - 1.3% (continued) | |
| MAXIMUS, Inc. | | | 809 | | | $ | 52,180 | |
| Science Applications International Corp. | | | 905 | | | | 60,499 | |
| Sykes Enterprises, Inc. * | | | 3,059 | | | | 89,200 | |
| TeleTech Holdings, Inc. | | | 878 | | | | 36,657 | |
| | | | | | | | |
| | | | | | | 392,344 | |
| | | | | | | | |
| Leisure Products - 1.6% | |
| American Outdoor Brands Corp. * | | | 6,512 | | | | 99,308 | |
| Callaway Golf Co. | | | 668 | | | | 9,639 | |
| Johnson Outdoors, Inc., Class A | | | 2,942 | | | | 215,590 | |
| MCBC Holdings, Inc. * | | | 1,696 | | | | 34,564 | |
| Nautilus, Inc. * | | | 3,108 | | | | 52,525 | |
| Sturm Ruger & Co., Inc. (b) | | | 1,098 | | | | 56,767 | |
| | | | | | | | |
| | | | | | | 468,393 | |
| | | | | | | | |
| Life Sciences Tools & Services - 1.1% | |
| Cambrex Corp. * | | | 2,720 | | | | 149,600 | |
| INC Research Holdings, Inc., Class A * | | | 1,335 | | | | 69,821 | |
| PAREXEL International Corp. * | | | 713 | | | | 62,801 | |
| PRA Health Sciences, Inc. * | | | 666 | | | | 50,729 | |
| | | | | | | | |
| | | | | | | 332,951 | |
| | | | | | | | |
| Machinery - 3.5% | |
| Alamo Group, Inc. | | | 854 | | | | 91,694 | |
| Altra Industrial Motion Corp. | | | 302 | | | | 14,526 | |
| Astec Industries, Inc. | | | 615 | | | | 34,446 | |
| Barnes Group, Inc. | | | 1,140 | | | | 80,302 | |
| Columbus McKinnon Corp. | | | 489 | | | | 18,518 | |
| Federal Signal Corp. | | | 721 | | | | 15,343 | |
| FreightCar America, Inc. | | | 640 | | | | 12,518 | |
| Global Brass & Copper Holdings, Inc. | | | 905 | | | | 30,589 | |
| Greenbrier Cos., Inc. (The) | | | 2,523 | | | | 121,483 | |
| Hillenbrand, Inc. | | | 380 | | | | 14,763 | |
| Hyster-Yale Materials Handling, Inc. | | | 144 | | | | 11,007 | |
| John Bean Technologies Corp. | | | 342 | | | | 34,576 | |
| Kadant, Inc. | | | 399 | | | | 39,322 | |
| Lydall, Inc. * | | | 501 | | | | 28,707 | |
| Meritor, Inc. * | | | 8,477 | | | | 220,487 | |
| Mueller Industries, Inc. | | | 449 | | | | 15,693 | |
| Spartan Motors, Inc. | | | 5,723 | | | | 63,239 | |
| Wabash National Corp. | | | 7,448 | | | | 169,963 | |
| | | | | | | | |
| | | | | | | 1,017,176 | |
| | | | | | | | |
| Marine - 0.0% (a) | |
| Matson, Inc. | | | 320 | | | | 9,018 | |
| | | | | | | | |
|
| Media - 1.3% | |
| Gray Television, Inc. * | | | 9,482 | | | | 148,867 | |
| Meredith Corp. | | | 694 | | | | 38,517 | |
| MSG Networks, Inc., Class A * | | | 2,834 | | | | 60,081 | |
| New York Times Co. (The), Class A | | | 809 | | | | 15,856 | |
| Scholastic Corp. | | | 1,000 | | | | 37,200 | |
| Sinclair Broadcast Group, Inc., Class A | | | 2,209 | | | | 70,799 | |
| | | | | | | | |
| | | | | | | 371,320 | |
| | | | | | | | |
| Metals & Mining - 1.2% | |
| AK Steel Holding Corp. * | | | 3,958 | | | | 22,125 | |
| Cleveland-Cliffs, Inc. * | | | 22,042 | | | | 157,601 | |
| Coeur Mining, Inc. * | | | 1,480 | | | | 13,601 | |
| Commercial Metals Co. | | | 874 | | | | 16,632 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Metals & Mining - 1.2% (continued) | |
| Hecla Mining Co. | | | 3,653 | | | $ | 18,338 | |
| Schnitzer Steel Industries, Inc., Class A | | | 444 | | | | 12,499 | |
| Worthington Industries, Inc. | | | 2,326 | | | | 106,996 | |
| | | | | | | | |
| | | | | | | 347,792 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (REITs) - 0.9% | |
| Apollo Commercial Real Estate Finance, Inc. (b) | | | 1,429 | | | | 25,879 | |
| Capstead Mortgage Corp. | | | 4,188 | | | | 40,414 | |
| CYS Investments, Inc. | | | 4,773 | | | | 41,239 | |
| Hannon Armstrong Sustainable Infrastructure Capital, Inc. | | | 990 | | | | 24,126 | |
| Invesco Mortgage Capital, Inc. | | | 3,132 | | | | 53,651 | |
| PennyMac Mortgage Investment Trust | | | 2,166 | | | | 37,667 | |
| Redwood Trust, Inc. | | | 2,616 | | | | 42,615 | |
| | | | | | | | |
| | | | | | | 265,591 | |
| | | | | | | | |
| Multiline Retail - 0.1% | |
| Big Lots, Inc. | | | 563 | | | | 30,160 | |
| Dillard’s, Inc., Class A | | | 142 | | | | 7,962 | |
| | | | | | | | |
| | | | | | | 38,122 | |
| | | | | | | | |
| Multi-Utilities - 0.4% | |
| Avista Corp. | | | 935 | | | | 48,405 | |
| Black Hills Corp. | | | 573 | | | | 39,463 | |
| NorthWestern Corp. | | | 698 | | | | 39,744 | |
| | | | | | | | |
| | | | | | | 127,612 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels - 0.6% | |
| Arch Coal, Inc., Class A | | | 784 | | | | 56,244 | |
| Jones Energy, Inc., Class A * | | | 4,706 | | | | 9,036 | |
| Renewable Energy Group, Inc. * | | | 705 | | | | 8,566 | |
| REX American Resources Corp. * | | | 899 | | | | 84,353 | |
| Ultra Petroleum Corp. * | | | 2,832 | | | | 24,553 | |
| | | | | | | | |
| | | | | | | 182,752 | |
| | | | | | | | |
| Paper & Forest Products - 0.7% | | | | | | |
| Boise Cascade Co. * | | | 924 | | | | 32,248 | |
| Louisiana-Pacific Corp. * | | | 5,156 | | | | 139,624 | |
| Neenah Paper, Inc. | | | 279 | | | | 23,868 | |
| PH Glatfelter Co. | | | 622 | | | | 12,098 | |
| | | | | | | | |
| | | | | | | 207,838 | |
| | | | | | | | |
| Personal Products - 0.6% | | | | | | |
| Medifast, Inc. | | | 218 | | | | 12,942 | |
| Natural Health Trends Corp. | | | 2,043 | | | | 48,828 | |
| USANA Health Sciences, Inc. * | | | 2,021 | | | | 116,612 | |
| | | | | | | | |
| | | | | | | 178,382 | |
| | | | | | | | |
| Pharmaceuticals - 1.9% | | | | | | |
| Aerie Pharmaceuticals, Inc. * | | | 416 | | | | 20,217 | |
| Catalent, Inc. * | | | 1,497 | | | | 59,760 | |
| Corcept Therapeutics, Inc. * | | | 9,224 | | | | 178,023 | |
| Horizon Pharma plc* | | | 1,116 | | | | 14,151 | |
| Innoviva, Inc. * | | | 1,707 | | | | 24,103 | |
| Lannett Co., Inc. * | | | 808 | | | | 14,908 | |
| MyoKardia, Inc. * | | | 229 | | | | 9,813 | |
| Omeros Corp. *(b) | | | 1,120 | | | | 24,214 | |
| Phibro Animal Health Corp., Class A | | | 1,654 | | | | 61,281 | |
| SciClone Pharmaceuticals, Inc. * | | | 4,021 | | | | 45,035 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
83
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Pharmaceuticals - 1.9% (continued) | | | | | | |
| Sucampo Pharmaceuticals, Inc., Class A * | | | 2,112 | | | $ | 24,922 | |
| Supernus Pharmaceuticals, Inc. * | | | 1,944 | | | | 77,760 | |
| | | | | | | | |
| | | | | | | 554,187 | |
| | | | | | | | |
| Professional Services - 1.5% | | | | | | |
| Advisory Board Co. (The) * | | | 550 | | | | 29,494 | |
| Barrett Business Services, Inc. | | | 1,074 | | | | 60,713 | |
| CBIZ, Inc. * | | | 559 | | | | 9,084 | |
| ICF International, Inc. * | | | 362 | | | | 19,530 | |
| Insperity, Inc. | | | 1,548 | | | | 136,224 | |
| Kelly Services, Inc., Class A | | | 1,421 | | | | 35,653 | |
| Korn/Ferry International | | | 335 | | | | 13,209 | |
| Navigant Consulting, Inc. * | | | 838 | | | | 14,179 | |
| On Assignment, Inc. * | | | 801 | | | | 42,997 | |
| RPX Corp. * | | | 745 | | | | 9,893 | |
| TrueBlue, Inc. * | | | 1,922 | | | | 43,149 | |
| Willdan Group, Inc. * | | | 882 | | | | 28,630 | |
| | | | | | | | |
| | | | | | | 442,755 | |
| | | | | | | | |
| Road & Rail - 0.9% | | | | | | |
| ArcBest Corp. | | | 433 | | | | 14,484 | |
| Knight-Swift Transportation Holdings, Inc. * | | | 706 | | | | 29,334 | |
| Marten Transport Ltd. | | | 1,020 | | | | 20,961 | |
| Saia, Inc. * | | | 2,991 | | | | 187,386 | |
| Werner Enterprises, Inc. | | | 597 | | | | 21,821 | |
| | | | | | | | |
| | | | | | | 273,986 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment - 4.7% | |
| Advanced Energy Industries, Inc. * | | | 2,608 | | | | 210,622 | |
| Alpha & Omega Semiconductor Ltd. * | | | 2,016 | | | | 33,244 | |
| Ambarella, Inc. * | | | 263 | | | | 12,890 | |
| Amkor Technology, Inc. * | | | 9,297 | | | | 98,083 | |
| AXT, Inc. * | | | 3,857 | | | | 35,292 | |
| Brooks Automation, Inc. | | | 3,110 | | | | 94,420 | |
| Cabot Microelectronics Corp. | | | 1,094 | | | | 87,443 | |
| Cirrus Logic, Inc. * | | | 3,368 | | | | 179,582 | |
| Entegris, Inc. * | | | 4,311 | | | | 124,372 | |
| Integrated Device Technology, Inc. * | | | 1,046 | | | | 27,803 | |
| MKS Instruments, Inc. | | | 1,903 | | | | 179,738 | |
| Monolithic Power Systems, Inc. | | | 99 | | | | 10,549 | |
| Nanometrics, Inc. * | | | 488 | | | | 14,054 | |
| Photronics, Inc. * | | | 2,971 | | | | 26,293 | |
| Power Integrations, Inc. | | | 244 | | | | 17,861 | |
| Rudolph Technologies, Inc. * | | | 1,818 | | | | 47,813 | |
| Silicon Laboratories, Inc. * | | | 414 | | | | 33,079 | |
| SunPower Corp. * | | | 1,611 | | | | 11,744 | |
| Synaptics, Inc. * | | | 262 | | | | 10,265 | |
| Ultra Clean Holdings, Inc. * | | | 3,163 | | | | 96,851 | |
| | | | | | | | |
| | | | | | | 1,351,998 | |
| | | | | | | | |
| Software - 1.3% | | | | | | |
| Aspen Technology, Inc. * | | | 572 | | | | 35,927 | |
| Barracuda Networks, Inc. * | | | 474 | | | | 11,485 | |
| Blackbaud, Inc. | | | 104 | | | | 9,131 | |
| Ebix, Inc. | | | 1,465 | | | | 95,591 | |
| Ellie Mae, Inc. * | | | 208 | | | | 17,083 | |
| Fair Isaac Corp. | | | 251 | | | | 35,265 | |
| Mitek Systems, Inc. * | | | 2,473 | | | | 23,493 | |
| Paycom Software, Inc. * | | | 705 | | | | 52,847 | |
| Pegasystems, Inc. | | | 792 | | | | 45,659 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Software - 1.3% (continued) | | | | | | |
| RingCentral, Inc., Class A * | | | 653 | | | $ | 27,263 | |
| Synchronoss Technologies, Inc. * | | | 835 | | | | 7,791 | |
| Zix Corp. * | | | 2,413 | | | | 11,800 | |
| | | | | | | | |
| | | | | | | 373,335 | |
| | | | | | | | |
| Specialty Retail - 2.0% | | | | | | |
| Aaron’s, Inc. | | | 1,812 | | | | 79,058 | |
| American Eagle Outfitters, Inc. | | | 2,416 | | | | 34,549 | |
| Asbury Automotive Group, Inc. * | | | 157 | | | | 9,593 | |
| Big 5 Sporting Goods Corp. | | | 1,501 | | | | 11,483 | |
| Buckle, Inc. (The) | | | 725 | | | | 12,216 | |
| Caleres, Inc. | | | 1,977 | | | | 60,338 | |
| Chico’s FAS, Inc. | | | 1,414 | | | | 12,655 | |
| Children’s Place, Inc. (The) | | | 797 | | | | 94,166 | |
| Citi Trends, Inc. | | | 505 | | | | 10,034 | |
| DSW, Inc., Class A | | | 586 | | | | 12,587 | |
| Francesca’s Holdings Corp. * | | | 4,988 | | | | 36,712 | |
| Genesco, Inc. * | | | 1,087 | | | | 28,914 | |
| Group 1 Automotive, Inc. | | | 242 | | | | 17,535 | |
| Haverty Furniture Cos., Inc. | | | 511 | | | | 13,363 | |
| Hibbett Sports, Inc. * | | | 1,442 | | | | 20,548 | |
| Office Depot, Inc. | | | 15,208 | | | | 69,044 | |
| Select Comfort Corp. * | | | 1,258 | | | | 39,061 | |
| Sportsman’s Warehouse Holdings, Inc. * | | | 1,956 | | | | 8,822 | |
| Zumiez, Inc. * | | | 675 | | | | 12,217 | |
| | | | | | | | |
| | | | | | | 582,895 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods - 0.8% | |
| Deckers Outdoor Corp. * | | | 894 | | | | 61,158 | |
| Movado Group, Inc. | | | 2,135 | | | | 59,780 | |
| Steven Madden Ltd. * | | | 884 | | | | 38,277 | |
| Vera Bradley, Inc. * | | | 1,423 | | | | 12,537 | |
| Wolverine World Wide, Inc. | | | 2,561 | | | | 73,885 | |
| | | | | | | | |
| | | | | | | 245,637 | |
| | | | | | | | |
| Thrifts & Mortgage Finance - 4.1% | | | | | | |
| Astoria Financial Corp. | | | 1,178 | | | | 25,327 | |
| BofI Holding, Inc. *(b) | | | 6,303 | | | | 179,446 | |
| Dime Community Bancshares, Inc. | | | 671 | | | | 14,426 | |
| Essent Group Ltd. * | | | 744 | | | | 30,132 | |
| Federal Agricultural Mortgage Corp., Class C | | | 690 | | | | 50,191 | |
| First Defiance Financial Corp. | | | 718 | | | | 37,688 | |
| Flagstar Bancorp, Inc. * | | | 364 | | | | 12,915 | |
| HomeStreet, Inc. * | | | 697 | | | | 18,819 | |
| Meta Financial Group, Inc. | | | 872 | | | | 68,365 | |
| MGIC Investment Corp. * | | | 17,767 | | | | 222,620 | |
| Oritani Financial Corp. | | | 820 | | | | 13,776 | |
| Provident Financial Services, Inc. | | | 940 | | | | 25,070 | |
| Radian Group, Inc. | | | 15,173 | | | | 283,583 | |
| United Financial Bancorp, Inc. | | | 672 | | | | 12,291 | |
| Walker & Dunlop, Inc. * | | | 2,547 | | | | 133,284 | |
| Washington Federal, Inc. | | | 1,812 | | | | 60,974 | |
| WSFS Financial Corp. | | | 309 | | | | 15,064 | |
| | | | | | | | |
| | | | | | | 1,203,971 | |
| | | | | | | | |
| Tobacco - 0.1% | | | | | | |
| Universal Corp. | | | 169 | | | | 9,684 | |
| Vector Group Ltd. | | | 812 | | | | 16,614 | |
| | | | | | | | |
| | | | | | | 26,298 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
84
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Trading Companies & Distributors - 1.2% | |
| Applied Industrial Technologies, Inc. | | | 193 | | | $ | 12,700 | |
| CAI International, Inc. * | | | 478 | | | | 14,493 | |
| DXP Enterprises, Inc. * | | | 1,399 | | | | 44,055 | |
| GATX Corp. | | | 1,682 | | | | 103,544 | |
| GMS, Inc. * | | | 916 | | | | 32,426 | |
| H&E Equipment Services, Inc. | | | 1,259 | | | | 36,763 | |
| Rush Enterprises, Inc., Class A * | | | 1,501 | | | | 69,481 | |
| Triton International Ltd. * | | | 826 | | | | 27,489 | |
| | | | | | | | |
| | | | | | | 340,951 | |
| | | | | | | | |
| Water Utilities - 0.3% | | | | | | |
| American States Water Co. | | | 208 | | | | 10,244 | |
| SJW Group | | | 1,546 | | | | 87,504 | |
| | | | | | | | |
| | | | | | | 97,748 | |
| | | | | | | | |
| Wireless Telecommunication Services - 0.1% | |
| Shenandoah Telecommunications Co. | | | 760 | | | | 28,272 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $22,735,434) | | | | | | | 27,818,649 | |
| | | | | | | | |
| | |
| EXCHANGE TRADED FUND - 2.6% | | | | | | |
iShares Russell 2000 Fund
(Cost $679,474) | | | 5,034 | | | | 745,938 | |
| | | | | | | | |
| | |
| RIGHT - 0.0% (a) | | NO. OF
RIGHTS | | | | |
| | |
| Media - 0.0% (a) | | | | | | |
Media General, Inc., CVR (3)*(c)
(Cost $221) | | | 744 | | | | 13 | |
| | | | | | | | |
| | |
| SHORT-TERM INVESTMENT - 1.9% | | SHARES | | | | |
| | |
| Investment Company - 1.9% | | | | | | |
| Limited Purpose Cash Investment Fund, 0.97% (2)(d) | | | | | | | | |
(Cost $553,061) | | | 553,116 | | | | 553,061 | |
| | | | | | | | |
|
| SECURITIES LENDING COLLATERAL - 2.1% | |
| | |
| Investment Companies - 2.1% | | | | | | |
Investments in a Pooled Account
through Securities Lending Program
with Citibank NA | | | | | | | | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares | | | | | | | | |
0.91% (2)(d)(e) | | | 94,961 | | | | 94,961 | |
UBS Asset Management Americas, Inc. | | | | | | | | |
| 1.10% (2)(d)(e) | | | 441,409 | | | | 441,409 | |
1.16% (2)(d)(e) | | | 73,568 | | | | 73,568 | |
| | | | | | | | |
TOTAL SECURITIES LENDING COLLATERAL
(Cost $609,938) | | | | | | | 609,938 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 102.3%
(Cost $24,578,128) | | | | | | | 29,727,599 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (2.3)% | | | | | (665,740) | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 29,061,859 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 4,633,047 | | | | 15.9 | % |
| Consumer Staples | | | 1,258,333 | | | | 4.3 | |
| Energy | | | 497,127 | | | | 1.7 | |
| Exchange Traded Fund | | | 745,938 | | | | 2.6 | |
| Financials | | | 5,686,091 | | | | 19.6 | |
| Health Care | | | 3,665,861 | | | | 12.6 | |
| Industrials | | | 4,394,294 | | | | 15.1 | |
| Information Technology | | | 4,054,666 | | | | 14.0 | |
| Materials | | | 1,088,629 | | | | 3.7 | |
| Real Estate | | | 1,788,142 | | | | 6.2 | |
| Telecommunication Services | | | 143,406 | | | | 0.5 | |
| Utilities | | | 609,066 | | | | 2.1 | |
| Short-Term Investment | | | 553,061 | | | | 1.9 | |
| Securities Lending Collateral | | | 609,938 | | | | 2.1 | |
| | | | | | | | |
Total Investments In Securities
At Value | | | 29,727,599 | | | | 102.3 | |
| Liabilities in Excess of Other Assets | | | (665,740 | ) | | | (2.3 | ) |
| | | | | | | | |
Net Assets | | $ | 29,061,859 | | | | 100.0 | % |
| | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses
| * | Non-income producing security. |
| (a) | Represents less than 0.05% of net assets. |
| (b) | The security or a portion of this security is on loan at September 30, 2017. The total value of securities on loan at September 30, 2017 was $590,702. |
| (c) | Security fair valued as of September 30, 2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2017 amounted to $13, which represents approximately 0.00% of net assets of the fund. |
| (d) | Represents 7-day effective yield as of September 30, 2017. |
| (e) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 4). |
| (3) | Level 3 security (See Note 4). |
Abbreviations
CVR - Contingent Value Rights
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
85
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| COMMON STOCKS - 96.6% | |
|
| Australia - 6.4% | |
| Amcor Ltd. | | | 10,220 | | | $ | 122,235 | |
| Aristocrat Leisure Ltd. | | | 92,558 | | | | 1,528,832 | |
| Australia & New Zealand Banking Group Ltd. | | | 6,673 | | | | 155,438 | |
| BHP Billiton Ltd. | | | 31,889 | | | | 646,702 | |
| BHP Billiton plc | | | 44,642 | | | | 787,753 | |
| BlueScope Steel Ltd. | | | 63,140 | | | | 545,436 | |
| CIMIC Group Ltd. | | | 29,098 | | | | 1,011,205 | |
| Cochlear Ltd. | | | 3,464 | | | | 433,292 | |
| Commonwealth Bank of Australia | | | 5,778 | | | | 342,134 | |
| CSL Ltd. | | | 4,834 | | | | 508,891 | |
| Dexus, REIT | | | 33,527 | | | | 250,192 | |
| Flight Centre Travel Group Ltd. | | | 3,287 | | | | 116,334 | |
| Fortescue Metals Group Ltd. | | | 376,536 | | | | 1,524,874 | |
| Goodman Group, REIT | | | 30,886 | | | | 199,974 | |
| GPT Group (The), REIT | | | 19,876 | | | | 77,451 | |
| Macquarie Group Ltd. | | | 5,407 | | | | 387,120 | |
| Newcrest Mining Ltd. | | | 15,892 | | | | 261,578 | |
| Scentre Group, REIT | | | 71,981 | | | | 222,200 | |
| South32 Ltd. | | | 504,480 | | | | 1,305,094 | |
| Treasury Wine Estates Ltd. | | | 62,484 | | | | 672,188 | |
| Westpac Banking Corp. | | | 8,476 | | | | 213,201 | |
| Woodside Petroleum Ltd. | | | 5,055 | | | | 115,750 | |
| | | | | | | | |
| | | | | | | 11,427,874 | |
| | | | | | | | |
| Belgium - 1.4% | |
| Ageas | | | 17,982 | | | | 845,760 | |
| Groupe Bruxelles Lambert SA | | | 1,467 | | | | 154,420 | |
| KBC Group NV | | | 10,845 | | | | 920,089 | |
| UCB SA | | | 3,823 | | | | 272,458 | |
| Umicore SA | | | 4,215 | | | | 348,942 | |
| | | | | | | | |
| | | | | | | 2,541,669 | |
| | | | | | | | |
| Canada - 8.1% | |
| Agrium, Inc. (1) | | | 1,305 | | | | 139,855 | |
| Alimentation Couche-Tard, Inc., Class B (1) | | | 5,822 | | | | 265,495 | |
| Bank of Montreal (1) | | | 8,976 | | | | 679,306 | |
| Bank of Nova Scotia (The) (1) | | | 20,419 | | | | 1,312,446 | |
| Barrick Gold Corp. (1) | | | 9,802 | | | | 157,743 | |
| Brookfield Asset Management, Inc., Class A (1) | | | 9,234 | | | | 381,275 | |
| Canadian Imperial Bank of Commerce (1) | | | 5,176 | | | | 452,866 | |
| Canadian National Railway Co. (1) | | | 10,550 | | | | 874,101 | |
| Canadian Tire Corp. Ltd., Class A (1) | | | 2,858 | | | | 355,810 | |
| CCL Industries, Inc., Class B (1) | | | 2,455 | | | | 118,800 | |
| CGI Group, Inc., Class A (1)* | | | 10,573 | | | | 548,245 | |
| Constellation Software, Inc. (1) | | | 288 | | | | 157,125 | |
| Dollarama, Inc. (1) | | | 1,471 | | | | 160,958 | |
| Great-West Lifeco, Inc. (1) | | | 2,283 | | | | 65,704 | |
| Kinross Gold Corp. (1)* | | | 58,422 | | | | 247,688 | |
| Linamar Corp. (1) | | | 4,068 | | | | 248,237 | |
| Magna International, Inc. (1) | | | 27,706 | | | | 1,478,616 | |
| Methanex Corp. (1) | | | 1,331 | | | | 66,883 | |
| Open Text Corp. (1) | | | 25,505 | | | | 822,946 | |
| Royal Bank of Canada (1) | | | 22,603 | | | | 1,748,823 | |
| Saputo, Inc. (1) | | | 15,261 | | | | 528,249 | |
| Teck Resources Ltd., Class B (1) | | | 61,861 | | | | 1,302,415 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Canada - 8.1% (continued) | |
| Thomson Reuters Corp. (1) | | | 3,340 | | | $ | 153,248 | |
| Toronto-Dominion Bank (The) (1) | | | 27,150 | | | | 1,528,582 | |
| West Fraser Timber Co. Ltd. (1) | | | 13,150 | | | | 758,806 | |
| | | | | | | | |
| | | | | | | 14,554,222 | |
| | | | | | | | |
| China - 0.9% | |
| BOC Hong Kong Holdings Ltd. | | | 108,500 | | | | 528,503 | |
| Yangzijiang Shipbuilding Holdings Ltd. | | | 966,800 | | | | 1,021,943 | |
| | | | | | | | |
| | | | | | | 1,550,446 | |
| | | | | | | | |
| Denmark - 2.1% | |
| Danske Bank A/S | | | 18,866 | | | | 756,028 | |
| DSV A/S | | | 8,024 | | | | 607,866 | |
| Genmab A/S * | | | 618 | | | | 136,668 | |
| H Lundbeck A/S | | | 5,551 | | | | 320,915 | |
| ISS A/S | | | 2,031 | | | | 81,882 | |
| Novo Nordisk A/S, Class B | | | 19,683 | | | | 946,334 | |
| TDC A/S | | | 8,905 | | | | 52,224 | |
| Vestas Wind Systems A/S | | | 10,427 | | | | 937,239 | |
| | | | | | | | |
| | | | | | | 3,839,156 | |
| | | | | | | | |
| Finland - 1.2% | |
| Neste OYJ | | | 39,123 | | | | 1,709,850 | |
| Nokia OYJ | | | 42,143 | | | | 253,216 | |
| Orion OYJ, Class B | | | 4,260 | | | | 197,801 | |
| UPM-Kymmene OYJ | | | 2,816 | | | | 76,401 | |
| | | | | | | | |
| | | | | | | 2,237,268 | |
| | | | | | | | |
| France - 9.2% | |
| Airbus SE | | | 1,221 | | | | 116,233 | |
| Atos SE | | | 10,300 | | | | 1,597,612 | |
| AXA SA | | | 19,281 | | | | 582,906 | |
| BNP Paribas SA | | | 19,830 | | | | 1,599,801 | |
| Bouygues SA | | | 2,613 | | | | 124,041 | |
| Cie Generale des Etablissements Michelin | | | 6,126 | | | | 893,793 | |
| CNP Assurances | | | 79,558 | | | | 1,865,096 | |
| Eutelsat Communications SA | | | 25,692 | | | | 760,553 | |
| Gecina SA, REIT | | | 483 | | | | 78,365 | |
| Lagardere SCA | | | 2,591 | | | | 86,800 | |
| L’Oreal SA | | | 1,040 | | | | 220,525 | |
| Peugeot SA | | | 52,549 | | | | 1,250,939 | |
| Sanofi | | | 27,112 | | | | 2,698,910 | |
| Societe Generale SA | | | 22,795 | | | | 1,335,819 | |
| Sodexo SA | | | 951 | | | | 118,552 | |
| Thales SA | | | 8,824 | | | | 999,321 | |
| TOTAL SA | | | 32,305 | | | | 1,734,599 | |
| Unibail-Rodamco SE, REIT | | | 333 | | | | 81,033 | |
| Valeo SA | | | 4,895 | | | | 363,213 | |
| | | | | | | | |
| | | | | | | 16,508,111 | |
| | | | | | | | |
| Germany - 9.1% | |
| adidas AG | | | 5,496 | | | | 1,244,662 | |
| Allianz SE (Registered) | | | 8,033 | | | | 1,804,106 | |
| Bayer AG (Registered) | | | 13,565 | | | | 1,853,024 | |
| Covestro AG (a) | | | 25,906 | | | | 2,229,229 | |
| Deutsche Boerse AG | | | 2,105 | | | | 228,541 | |
| Deutsche Lufthansa AG (Registered) | | | 89,841 | | | | 2,498,378 | |
| Deutsche Post AG (Registered) | | | 7,039 | | | | 313,759 | |
| Fresenius SE & Co. KGaA | | | 2,780 | | | | 224,818 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
86
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Germany - 9.1% (continued) | |
| Hannover Rueck SE | | | 3,453 | | | $ | 416,459 | |
| Henkel AG & Co. KGaA (Preference) | | | 1,973 | | | | 268,806 | |
| HOCHTIEF AG | | | 489 | | | | 82,594 | |
| Infineon Technologies AG | | | 49,167 | | | | 1,239,618 | |
| Linde AG | | | 1,919 | | | | 399,052 | |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | | | 4,607 | | | | 986,018 | |
| SAP SE | | | 6,543 | | | | 717,409 | |
| Siemens AG (Registered) | | | 12,219 | | | | 1,724,216 | |
| Vonovia SE | | | 3,353 | | | | 142,797 | |
| | | | | | | | |
| | | | | | | 16,373,486 | |
| | | | | | | | |
| Hong Kong - 3.1% | |
| CK Asset Holdings Ltd. | | | 46,500 | | | | 386,570 | |
| CK Hutchison Holdings Ltd. | | | 17,500 | | | | 224,145 | |
| CLP Holdings Ltd. | | | 91,000 | | | | 934,262 | |
| HKT Trust & HKT Ltd. | | | 64,000 | | | | 77,778 | |
| Hong Kong Exchanges & Clearing Ltd. | | | 8,300 | | | | 224,167 | |
| I-CABLE Communications Ltd. * | | | 19,665 | | | | 646 | |
| Kerry Properties Ltd. | | | 36,000 | | | | 149,528 | |
| Link REIT | | | 13,000 | | | | 105,716 | |
| NWS Holdings Ltd. | | | 50,000 | | | | 97,734 | |
| PCCW Ltd. | | | 30,000 | | | | 16,284 | |
| SJM Holdings Ltd. | | | 384,000 | | | | 352,763 | |
| Sun Hung Kai Properties Ltd. | | | 30,000 | | | | 488,707 | |
| WH Group Ltd. (a) | | | 1,876,000 | | | | 1,997,946 | |
| Wheelock & Co. Ltd. | | | 28,000 | | | | 197,649 | |
| Yue Yuen Industrial Holdings Ltd. | | | 103,000 | | | | 392,998 | |
| | | | | | | | |
| | | | | | | 5,646,893 | |
| | | | | | | | |
| Italy - 1.0% | |
| Enel SpA | | | 116,795 | | | | 703,609 | |
| GEDI Gruppo Editoriale SpA * | | | 6,015 | | | | 5,333 | |
| Intesa Sanpaolo SpA | | | 45,636 | | | | 161,566 | |
| Leonardo SpA | | | 44,830 | | | | 840,568 | |
| | | | | | | | |
| | | | | | | 1,711,076 | |
| | | | | | | | |
| Japan - 19.9% | |
| Acom Co. Ltd. * | | | 16,500 | | | | 64,019 | |
| AEON Financial Service Co. Ltd. | | | 800 | | | | 16,736 | |
| Amada Holdings Co. Ltd. | | | 15,400 | | | | 169,082 | |
| Asahi Kasei Corp. | | | 95,000 | | | | 1,170,635 | |
| Astellas Pharma, Inc. | | | 11,100 | | | | 141,276 | |
| Bandai Namco Holdings, Inc. | | | 22,200 | | | | 762,677 | |
| Brother Industries Ltd. | | | 11,500 | | | | 268,132 | |
| Central Japan Railway Co. | | | 2,300 | | | | 403,626 | |
| Credit Saison Co. Ltd. | | | 2,900 | | | | 60,174 | |
| Dai-ichi Life Holdings, Inc. | | | 6,600 | | | | 118,388 | |
| Daikin Industries Ltd. | | | 700 | | | | 70,891 | |
| Daiwa House Industry Co. Ltd. | | | 4,400 | | | | 151,987 | |
| Fujitsu Ltd. | | | 212,000 | | | | 1,577,820 | |
| Hitachi Chemical Co. Ltd. | | | 29,700 | | | | 814,987 | |
| Hitachi High-Technologies Corp. | | | 12,500 | | | | 453,985 | |
| Hitachi Ltd. | | | 190,000 | | | | 1,339,662 | |
| Hoya Corp. | | | 2,100 | | | | 113,566 | |
| Idemitsu Kosan Co. Ltd. | | | 18,900 | | | | 534,149 | |
| Iida Group Holdings Co. Ltd. | | | 1,100 | | | | 19,623 | |
| ITOCHU Corp. | | | 65,300 | | | | 1,069,926 | |
| Japan Real Estate Investment Corp., REIT | | | 15 | | | | 72,122 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - 19.9% (continued) | |
| Japan Tobacco, Inc. | | | 7,900 | | | $ | 258,891 | |
| Kansai Electric Power Co., Inc. (The) | | | 134,800 | | | | 1,725,371 | |
| KDDI Corp. | | | 17,300 | | | | 456,028 | |
| Kirin Holdings Co. Ltd. | | | 22,400 | | | | 526,263 | |
| Konami Holdings Corp. | | | 28,200 | | | | 1,357,640 | |
| Kuraray Co. Ltd. | | | 12,200 | | | | 228,260 | |
| Kyocera Corp. | | | 1,300 | | | | 80,686 | |
| Lion Corp. | | | 4,800 | | | | 87,705 | |
| Marubeni Corp. | | | 221,400 | | | | 1,513,535 | |
| Mitsubishi Chemical Holdings Corp. | | | 32,800 | | | | 312,714 | |
| Mitsubishi Electric Corp. | | | 67,200 | | | | 1,051,234 | |
| Mitsubishi Estate Co. Ltd. | | | 9,000 | | | | 156,414 | |
| Mitsubishi Gas Chemical Co., Inc. | | | 57,900 | | | | 1,358,538 | |
| Mitsubishi Tanabe Pharma Corp. | | | 17,900 | | | | 410,931 | |
| Mitsubishi UFJ Financial Group, Inc. | | | 123,200 | | | | 801,026 | |
| Mitsui Fudosan Co. Ltd. | | | 7,000 | | | | 151,781 | |
| Mixi, Inc. | | | 6,400 | | | | 309,094 | |
| Mizuho Financial Group, Inc. | | | 114,500 | | | | 200,723 | |
| MS&AD Insurance Group Holdings, Inc. | | | 35,600 | | | | 1,147,259 | |
| Nexon Co. Ltd. * | | | 29,900 | | | | 781,655 | |
| NH Foods Ltd. | | | 46,000 | | | | 1,264,261 | |
| Nippon Electric Glass Co. Ltd. | | | 11,800 | | | | 457,416 | |
| Nippon Express Co. Ltd. | | | 18,000 | | | | 1,173,457 | |
| Nippon Telegraph & Telephone Corp. | | | 57,900 | | | | 2,653,020 | |
| Nomura Holdings, Inc. | | | 27,200 | | | | 152,619 | |
| Nomura Real Estate Holdings, Inc. | | | 2,700 | | | | 57,597 | |
| Nomura Real Estate Master Fund, Inc., REIT | | | 65 | | | | 84,535 | |
| NTT DOCOMO, Inc. | | | 10,400 | | | | 237,710 | |
| Omron Corp. | | | 1,100 | | | | 56,092 | |
| Sekisui House Ltd. | | | 4,400 | | | | 74,165 | |
| Shin-Etsu Chemical Co. Ltd. | | | 5,300 | | | | 474,350 | |
| Shionogi & Co. Ltd. | | | 8,000 | | | | 437,335 | |
| Sompo Holdings, Inc. | | | 13,200 | | | | 514,396 | |
| Sumitomo Corp. | | | 25,200 | | | | 362,815 | |
| Sumitomo Heavy Industries Ltd. | | | 26,000 | | | | 1,043,616 | |
| Sumitomo Mitsui Financial Group, Inc. | | | 14,000 | | | | 538,149 | |
| Suzuki Motor Corp. | | | 27,000 | | | | 1,417,097 | |
| T&D Holdings, Inc. | | | 17,700 | | | | 256,780 | |
| Tokyo Electric Power Co. Holdings, Inc. * | | | 189,100 | | | | 763,923 | |
| Tokyo Electron Ltd. | | | 2,800 | | | | 431,057 | |
| Toyo Seikan Group Holdings Ltd. | | | 5,000 | | | | 83,555 | |
| Toyota Tsusho Corp. | | | 2,700 | | | | 88,737 | |
| West Japan Railway Co. | | | 4,400 | | | | 305,899 | |
| Yokogawa Electric Corp. | | | 27,500 | | | | 468,619 | |
| | | | | | | | |
| | | | | | | 35,706,411 | |
| | | | | | | | |
| Netherlands - 4.9% | |
| ABN AMRO Group NV, CVA (a) | | | 10,203 | | | | 305,521 | |
| Aegon NV | | | 107,402 | | | | 626,049 | |
| Akzo Nobel NV | | | 1,675 | | | | 154,484 | |
| ING Groep NV | | | 38,548 | | | | 710,530 | |
| Koninklijke Philips NV | | | 6,106 | | | | 251,933 | |
| NN Group NV | | | 31,476 | | | | 1,318,100 | |
| Randstad Holding NV | | | 3,125 | | | | 193,137 | |
| Royal Dutch Shell plc, Class A | | | 77,365 | | | | 2,338,114 | |
| Royal Dutch Shell plc, Class B | | | 35,605 | | | | 1,096,140 | |
| Wolters Kluwer NV | | | 37,405 | | | | 1,728,674 | |
| | | | | | | | |
| | | | | | | 8,722,682 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
87
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Singapore - 0.4% | |
| CapitaLand Commercial Trust, REIT | | | 42,100 | | | $ | 51,481 | |
| DBS Group Holdings Ltd. | | | 6,700 | | | | 103,140 | |
| Genting Singapore plc | | | 568,300 | | | | 491,417 | |
| United Overseas Bank Ltd. | | | 4,900 | | | | 85,092 | |
| | | | | | | | |
| | | | | | | 731,130 | |
| | | | | | | | |
| South Africa - 0.6% | |
| Investec plc | | | 95,068 | | | | 694,983 | |
| Mondi plc | | | 13,262 | | | | 356,551 | |
| | | | | | | | |
| | | | | | | 1,051,534 | |
| | | | | | | | |
| Spain - 3.5% | |
| Aena SME SA (a) | | | 12,640 | | | | 2,284,393 | |
| Banco Bilbao Vizcaya Argentaria SA | | | 13,955 | | | | 124,763 | |
| Banco Santander SA | | | 244,058 | | | | 1,707,149 | |
| Endesa SA | | | 12,688 | | | | 286,305 | |
| Iberdrola SA | | | 59,296 | | | | 461,064 | |
| Industria de Diseno Textil SA | | | 3,691 | | | | 139,151 | |
| Mapfre SA | | | 110,048 | | | | 358,601 | |
| Repsol SA | | | 49,991 | | | | 922,553 | |
| | | | | | | | |
| | | | | | | 6,283,979 | |
| | | | | | | | |
| Sweden - 2.1% | |
| Essity AB, Class B * | | | 4,374 | | | | 119,253 | |
| Investor AB, Class B | | | 2,740 | | | | 135,559 | |
| Nordea Bank AB | | | 103,928 | | | | 1,411,054 | |
| Sandvik AB | | | 31,328 | | | | 541,056 | |
| Securitas AB, Class B | | | 10,323 | | | | 173,084 | |
| Skandinaviska Enskilda Banken AB, Class A | | | 21,055 | | | | 277,783 | |
| Skanska AB, Class B | | | 5,790 | | | | 134,265 | |
| Swedbank AB, Class A | | | 4,320 | | | | 119,627 | |
| Swedish Match AB | | | 1,210 | | | | 42,497 | |
| Telefonaktiebolaget LM Ericsson, Class B | | | 21,784 | | | | 125,587 | |
| Volvo AB, Class B | | | 37,984 | | | | 733,397 | |
| | | | | | | | |
| | | | | | | 3,813,162 | |
| | | | | | | | |
| Switzerland - 8.3% | |
| ABB Ltd. (Registered) | | | 21,087 | | | | 521,439 | |
| Adecco Group AG (Registered) * | | | 5,758 | | | | 448,574 | |
| Baloise Holding AG (Registered) | | | 3,966 | | | | 628,028 | |
| Coca-Cola HBC AG * | | | 14,323 | | | | 484,959 | |
| LafargeHolcim Ltd. (Registered) * | | | 3,380 | | | | 197,882 | |
| Lonza Group AG (Registered) * | | | 814 | | | | 213,890 | |
| Nestle SA (Registered) | | | 20,202 | | | | 1,695,781 | |
| Novartis AG (Registered) | | | 28,013 | | | | 2,402,814 | |
| Roche Holding AG | | | 14,178 | | | | 3,624,182 | |
| SGS SA (Registered) | | | 61 | | | | 146,478 | |
| Sika AG | | | 36 | | | | 268,045 | |
| STMicroelectronics NV | | | 27,367 | | | | 530,902 | |
| Straumann Holding AG (Registered) | | | 383 | | | | 246,313 | |
| Swiss Life Holding AG (Registered) * | | | 2,494 | | | | 879,240 | |
| Swiss Re AG | | | 7,533 | | | | 682,824 | |
| Zurich Insurance Group AG | | | 6,103 | | | | 1,864,952 | |
| | | | | | | | |
| | | | | | | 14,836,303 | |
| | | | | | | | |
| United Kingdom - 14.1% | |
| 3i Group plc | | | 6,980 | | | | 85,457 | |
| Anglo American plc | | | 55,511 | | | | 997,999 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United Kingdom - 14.1% (continued) | |
| Ashtead Group plc | | | 19,007 | | | $ | 458,525 | |
| Auto Trader Group plc (a) | | | 14,982 | | | | 78,820 | |
| BAE Systems plc | | | 19,261 | | | | 163,117 | |
| Barclays plc | | | 105,101 | | | | 272,525 | |
| Barratt Developments plc | | | 94,234 | | | | 776,317 | |
| Berkeley Group Holdings plc | | | 12,551 | | | | 625,501 | |
| BP plc | | | 114,815 | | | | 735,505 | |
| British American Tobacco plc | | | 25,048 | | | | 1,568,099 | |
| British Land Co. plc (The), REIT | | | 9,564 | | | | 77,217 | |
| BT Group plc | | | 405,776 | | | | 1,543,367 | |
| Burberry Group plc | | | 13,799 | | | | 325,816 | |
| Centrica plc | | | 221,954 | | | | 556,297 | |
| Compass Group plc | | | 41,205 | | | | 874,269 | |
| Diageo plc | | | 5,686 | | | | 186,987 | |
| Fiat Chrysler Automobiles NV * | | | 124,284 | | | | 2,227,342 | |
| GlaxoSmithKline plc | | | 17,387 | | | | 347,577 | |
| Hammerson plc, REIT | | | 10,122 | | | | 72,882 | |
| HSBC Holdings plc | | | 310,411 | | | | 3,068,672 | |
| Imperial Brands plc | | | 10,124 | | | | 432,100 | |
| J Sainsbury plc | | | 144,844 | | | | 461,808 | |
| Land Securities Group plc, REIT | | | 3,773 | | | | 49,215 | |
| Legal & General Group plc | | | 91,772 | | | | 319,869 | |
| Lloyds Banking Group plc | | | 674,812 | | | | 613,240 | |
| London Stock Exchange Group plc | | | 3,501 | | | | 179,762 | |
| Persimmon plc | | | 42,836 | | | | 1,482,442 | |
| Prudential plc | | | 33,716 | | | | 806,841 | |
| Reckitt Benckiser Group plc | | | 6,067 | | | | 554,330 | |
| RELX plc | | | 7,916 | | | | 173,727 | |
| Rio Tinto Ltd. | | | 3,006 | | | | 157,559 | |
| Royal Mail plc | | | 6,552 | | | | 33,737 | |
| Segro plc, REIT | | | 68,409 | | | | 491,841 | |
| Sky plc | | | 10,586 | | | | 129,868 | |
| Standard Chartered plc * | | | 24,171 | | | | 240,335 | |
| Taylor Wimpey plc | | | 180,016 | | | | 471,813 | |
| Unilever NV, CVA | | | 19,725 | | | | 1,165,963 | |
| Unilever plc | | | 12,180 | | | | 704,971 | |
| Wm Morrison Supermarkets plc | | | 461,536 | | | | 1,448,253 | |
| WPP plc | | | 13,889 | | | | 257,726 | |
| | | | | | | | |
| | | | | | | 25,217,691 | |
| | | | | | | | |
| United States - 0.3% | |
| Shire plc | | | 9,516 | | | | 484,686 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $141,806,329) | | | | 173,237,779 | |
| | | | | |
| | |
| RIGHT - 0.0% (b) | | NO. OF RIGHTS | | | | |
|
| Singapore - 0.0% (b) | |
CapitaLand Commercial Trust, expiring 10/19/2017 *
(Cost $—) | | | 6,988 | | | | 1,524 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
88
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| SHORT-TERM INVESTMENT - 2.5% | |
|
| Investment Company - 2.5% | |
| Limited Purpose Cash Investment Fund, 0.97% (c) | | | | | | | | |
(Cost $4,437,727) | | | 4,438,171 | | | $ | 4,437,727 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES
AT VALUE - 99.1%
(Cost $146,244,056) | | | | | | | 177,677,030 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 0.9% (d) | | | | | 1,592,161 | |
| | | | | |
NET ASSETS - 100.0% | | | $ | 179,269,191 | |
| | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 19,434,262 | | | | 10.8 | % |
| Consumer Staples | | | 14,955,332 | | | | 8.3 | |
| Energy | | | 9,186,659 | | | | 5.1 | |
| Financials | | | 41,319,386 | | | | 23.1 | |
| Health Care | | | 16,267,613 | | | | 9.1 | |
| Industrials | | | 26,541,648 | | | | 14.9 | |
| Information Technology | | | 13,653,339 | | | | 7.6 | |
| Materials | | | 17,615,046 | | | | 9.8 | |
| Real Estate | | | 3,798,776 | | | | 2.1 | |
| Telecommunication Services | | | 5,036,410 | | | | 2.8 | |
| Utilities | | | 5,430,832 | | | | 3.0 | |
| Short-Term Investment | | | 4,437,727 | | | | 2.5 | |
| | | | | | | | |
Total Investments In Securities
At Value | | | 177,677,030 | | | | 99.1 | |
| Other Assets in Excess of Liabilities (d) | | | 1,592,161 | | | | 0.9 | |
| | | | | | | | |
Net Assets | | $ | 179,269,191 | | | | 100.0 | % |
| | | | | | | | |
| * | Non-income producing security. |
| (a) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2017 amounted to $6,895,909, which represents approximately 3.85% of net assets of the fund. |
| (b) | Represents less than 0.05% of net assets. |
| (c) | Represents 7-day effective yield as of September 30, 2017. |
| (d) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 4). |
Abbreviations
CVA - Dutch Certification
OYJ - Public Traded Company
Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
REIT - Real Estate Investment Trust
SCA - Limited partnership with share capital
Futures contracts outstanding as of September 30, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF CONTRACTS | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL AMOUNT | | | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |
| Long Contracts | |
| MSCI Emerging Markets E-Mini Index | | 34 | | 12/2017 | | | USD | | | | $3,363,280 | | | | $21,966 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $21,966 | |
| | | | | | | | | | | | | | | | |
USD - United States Dollar
Collateral pledged to, or (received from), each counterparty at September 30, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED | | | TOTAL | |
| JPMS | | | | | | | | | |
| Cash | | | $— | | | | $118,415 | | | | $118,415 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
89
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM EMERGING MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| COMMON STOCKS - 97.2% | |
|
| Brazil - 7.0% | |
| Banco Bradesco SA, ADR (1)* | | | 277,339 | | | $ | 3,070,143 | |
| Banco do Brasil SA (1)* | | | 33,500 | | | | 369,678 | |
| Banco Santander Brasil SA, ADR (1) | | | 64,792 | | | | 566,282 | |
| Braskem SA (Preference), Class A (1) | | | 275,000 | | | | 3,678,070 | |
| Cia Brasileira de Distribuicao, ADR (1)*(a) | | | 6,390 | | | | 151,251 | |
| Cia de Saneamento Basico do Estado de Sao Paulo, ADR (1)* | | | 117,834 | | | | 1,232,544 | |
| Cia Paranaense de Energia, ADR (1)(a) | | | 14,856 | | | | 131,624 | |
| Engie Brasil Energia SA (1) | | | 8,800 | | | | 101,527 | |
| Itau Unibanco Holding SA, ADR (1) | | | 220,423 | | | | 3,019,795 | |
| Itausa - Investimentos Itau SA (Preference) (1) | | | 461,000 | | | | 1,608,402 | |
| M Dias Branco SA (1)* | | | 106,400 | | | | 1,679,744 | |
| Petroleo Brasileiro SA (Preference) (1)* | | | 63,100 | | | | 305,623 | |
| Porto Seguro SA (1)* | | | 12,100 | | | | 143,917 | |
| Qualicorp SA (1) | | | 200,600 | | | | 2,376,430 | |
| Sul America SA (1) | | | 170,885 | | | | 963,105 | |
| TIM Participacoes SA, ADR (1) | | | 157,197 | | | | 2,873,561 | |
| Vale SA (Preference) (1)* | | | 263,100 | | | | 2,450,610 | |
| | | | | | | | |
| | | | | | | 24,722,306 | |
| | | | | | | | |
| Chile - 1.7% | |
| Banco Santander Chile, ADR (1) | | | 24,225 | | | | 719,725 | |
| Cencosud SA (1) | | | 465,490 | | | | 1,422,979 | |
| Cia Cervecerias Unidas SA, ADR (1) | | | 14,791 | | | | 398,322 | |
| Embotelladora Andina SA (Preference), Class B (1) | | | 253 | | | | 1,182 | |
| Empresas COPEC SA (1) | | | 11,712 | | | | 153,348 | |
| Enel Americas SA, ADR (1) | | | 104,109 | | | | 1,063,994 | |
| Enel Chile SA, ADR (1) | | | 54,039 | | | | 324,234 | |
| Latam Airlines Group SA, ADR (1) | | | 60,942 | | | | 807,481 | |
| Sociedad Quimica y Minera de Chile SA, ADR (1) | | | 22,492 | | | | 1,251,905 | |
| | | | | | | | |
| | | | | | | 6,143,170 | |
| | | | | | | | |
| China - 26.7% | |
| 58.com, Inc., ADR (1)*(a) | | | 5,066 | | | | 319,867 | |
| Agricultural Bank of China Ltd., Class H | | | 3,595,000 | | | | 1,618,292 | |
| Air China Ltd., Class H | | | 1,450,000 | | | | 1,206,036 | |
| Alibaba Group Holding Ltd., ADR (1)* | | | 78,166 | | | | 13,500,050 | |
| Anhui Conch Cement Co. Ltd., Class H | | | 229,000 | | | | 919,143 | |
| Baidu, Inc., ADR (1)* | | | 18,474 | | | | 4,575,825 | |
| Bank of China Ltd., Class H | | | 4,098,000 | | | | 2,035,571 | |
| China Cinda Asset Management Co. Ltd., Class H | | | 1,237,000 | | | | 457,718 | |
| China Communications Services Corp. Ltd., Class H | | | 1,878,000 | | | | 969,595 | |
| China Construction Bank Corp., Class H | | | 6,795,000 | | | | 5,676,896 | |
| China Everbright Bank Co. Ltd., Class H | | | 897,000 | | | | 415,421 | |
| China Evergrande Group *(a) | | | 786,000 | | | | 2,756,205 | |
| China Huarong Asset Management Co. Ltd., Class H (b) | | | 1,050,000 | | | | 470,166 | |
| China Merchants Bank Co. Ltd., Class H | | | 621,000 | | | | 2,198,994 | |
| China Minsheng Banking Corp. Ltd., Class H | | | 267,500 | | | | 246,377 | |
| China Mobile Ltd. | | | 496,975 | | | | 5,045,268 | |
| China Overseas Land & Investment Ltd. | | | 400,000 | | | | 1,305,086 | |
| China Petroleum & Chemical Corp., Class H | | | 612,000 | | | | 461,253 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| China - 26.7% (continued) | |
| China Resources Land Ltd. | | | 302,000 | | | $ | 928,562 | |
| China Resources Power Holdings Co. Ltd. | | | 470,000 | | | | 851,249 | |
| China Shenhua Energy Co. Ltd., Class H | | | 337,000 | | | | 796,785 | |
| China Southern Airlines Co. Ltd., Class H | | | 1,670,000 | | | | 1,151,018 | |
| China Telecom Corp. Ltd., Class H | | | 728,000 | | | | 374,548 | |
| China Vanke Co. Ltd., Class H | | | 373,700 | | | | 1,236,392 | |
| Chongqing Rural Commercial Bank Co. Ltd., Class H | | | 1,443,000 | | | | 918,618 | |
| CNOOC Ltd., ADR (1)(a) | | | 9,769 | | | | 1,267,039 | |
| Country Garden Holdings Co. Ltd. | | | 1,935,000 | | | | 3,088,870 | |
| CSPC Pharmaceutical Group Ltd. | | | 1,014,000 | | | | 1,704,127 | |
| Ctrip.com International Ltd., ADR (1)* | | | 22,693 | | | | 1,196,829 | |
| Far East Horizon Ltd. | | | 240,000 | | | | 225,695 | |
| Geely Automobile Holdings Ltd. | | | 2,510,000 | | | | 7,127,679 | |
| Great Wall Motor Co. Ltd., Class H | | | 492,500 | | | | 609,550 | |
| Haitian International Holdings Ltd. | | | 82,000 | | | | 235,967 | |
| Industrial & Commercial Bank of China Ltd., Class H | | | 5,453,000 | | | | 4,076,171 | |
| JD.com, Inc., ADR (1)* | | | 46,823 | | | | 1,788,639 | |
| NetEase, Inc., ADR (1) | | | 5,427 | | | | 1,431,697 | |
| New Oriental Education & Technology Group, Inc., ADR (1) | | | 8,807 | | | | 777,306 | |
| Ping An Insurance Group Co. of China Ltd., Class H | | | 90,500 | | | | 699,059 | |
| SINA Corp. (1)* | | | 4,017 | | | | 460,549 | |
| Sinopec Engineering Group Co. Ltd., Class H | | | 523,000 | | | | 462,163 | |
| Sinopec Shanghai Petrochemical Co. Ltd., Class H | | | 3,028,000 | | | | 1,809,070 | |
| Sinotrans Ltd., Class H | | | 611,000 | | | | 311,203 | |
| TAL Education Group, ADR (1) | | | 17,856 | | | | 601,926 | |
| Tencent Holdings Ltd. | | | 249,400 | | | | 10,903,941 | |
| Tingyi Cayman Islands Holding Corp. | | | 284,000 | | | | 428,115 | |
| TravelSky Technology Ltd., Class H | | | 634,000 | | | | 1,658,513 | |
| Vipshop Holdings Ltd., ADR (1)* | | | 27,558 | | | | 242,235 | |
| Weichai Power Co. Ltd., Class H | | | 2,322,000 | | | | 2,560,948 | |
| | | | | | | | |
| | | | | | | 94,102,226 | |
| | | | | | | | |
| Hong Kong - 1.9% | |
| Haier Electronics Group Co. Ltd. * | | | 532,000 | | | | 1,302,120 | |
| Nine Dragons Paper Holdings Ltd. | | | 2,095,000 | | | | 4,146,116 | |
| Sino Biopharmaceutical Ltd. | | | 734,000 | | | | 777,626 | |
| Sun Art Retail Group Ltd. | | | 727,500 | | | | 677,697 | |
| | | | | | | | |
| | | | | | | 6,903,559 | |
| | | | | | | | |
| Hungary - 0.4% | |
| MOL Hungarian Oil & Gas plc | | | 59,392 | | | | 675,439 | |
| Richter Gedeon Nyrt | | | 33,207 | | | | 825,160 | |
| | | | | | | | |
| | | | | | | 1,500,599 | |
| | | | | | | | |
| India - 7.8% | |
| Axis Bank Ltd., GDR (c) | | | 11,892 | | | | 459,461 | |
| Dr Reddy’s Laboratories Ltd., ADR (1)(a) | | | 53,226 | | | | 1,899,104 | |
| ICICI Bank Ltd., ADR (1) | | | 751,353 | | | | 6,431,582 | |
| Infosys Ltd., ADR (1) | | | 460,230 | | | | 6,714,756 | |
| Larsen & Toubro Ltd., GDR (c) | | | 11,579 | | | | 204,506 | |
| Reliance Industries Ltd., GDR (b) | | | 91,108 | | | | 2,175,273 | |
| State Bank of India, GDR (c) | | | 22,055 | | | | 848,999 | |
| Tata Motors Ltd., ADR (1)* | | | 206,490 | | | | 6,456,942 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
90
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM EMERGING MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| India - 7.8% (continued) | |
| Wipro Ltd., ADR (1)(a) | | | 420,851 | | | $ | 2,390,434 | |
| | | | | | | | |
| | | | | | | 27,581,057 | |
| | | | | | | | |
| Indonesia - 2.6% | |
| Adaro Energy Tbk. PT | | | 6,075,000 | | | | 824,654 | |
| Bank Negara Indonesia Persero Tbk. PT | | | 190,100 | | | | 104,532 | |
| Bank Rakyat Indonesia Persero Tbk. PT | | | 1,236,200 | | | | 1,403,481 | |
| Gudang Garam Tbk. PT | | | 146,300 | | | | 715,053 | |
| Indofood CBP Sukses Makmur Tbk. PT | | | 220,500 | | | | 142,950 | |
| Indofood Sukses Makmur Tbk. PT | | | 734,800 | | | | 460,143 | |
| Telekomunikasi Indonesia Persero Tbk. PT | | | 12,806,600 | | | | 4,453,872 | |
| United Tractors Tbk. PT | | | 478,300 | | | | 1,137,314 | |
| Waskita Karya Persero Tbk. PT | | | 892,300 | | | | 117,752 | |
| | | | | | | | |
| | | | | | | 9,359,751 | |
| | | | | | | | |
| Malaysia - 2.7% | |
| AirAsia Bhd. | | | 2,970,008 | | | | 2,428,926 | |
| CIMB Group Holdings Bhd. | | | 76,600 | | | | 114,432 | |
| Genting Bhd. | | | 667,700 | | | | 1,511,195 | |
| Genting Malaysia Bhd. | | | 747,900 | | | | 953,236 | |
| Malayan Banking Bhd. | | | 795,900 | | | | 1,797,585 | |
| Malaysia Airports Holdings Bhd. | | | 49,800 | | | | 100,262 | |
| MISC Bhd. | | | 62,000 | | | | 107,334 | |
| Petronas Chemicals Group Bhd. | | | 87,400 | | | | 150,974 | |
| Public Bank Bhd. | | | 253,800 | | | | 1,229,028 | |
| Tenaga Nasional Bhd. | | | 289,300 | | | | 981,691 | |
| | | | | | | | |
| | | | | | | 9,374,663 | |
| | | | | | | | |
| Mexico - 3.6% | |
| America Movil SAB de CV, Class L, ADR (1) | | | 263,011 | | | | 4,668,445 | |
| Arca Continental SAB de CV (1) | | | 139,800 | | | | 955,646 | |
| Cemex SAB de CV, ADR (1)* | | | 26,795 | | | | 243,299 | |
| Coca-Cola Femsa SAB de CV, ADR (1) | | | 10,064 | | | | 776,236 | |
| Fomento Economico Mexicano SAB de CV, ADR (1) | | | 10,174 | | | | 971,922 | |
| Gentera SAB de CV (1) | | | 66,900 | | | | 108,414 | |
| Gruma SAB de CV, Class B (1) | | | 58,390 | | | | 853,661 | |
| Grupo Aeroportuario del Pacifico SAB de CV, Class B (1) | | | 137,600 | | | | 1,408,492 | |
| Grupo Aeroportuario del Sureste SAB de CV, ADR (1) | | | 3,265 | | | | 623,027 | |
| Grupo Financiero Banorte SAB de CV, Class O (1) | | | 206,800 | | | | 1,426,137 | |
| Grupo Financiero Santander Mexico SAB de CV, Class B, ADR (1) | | | 16,746 | | | | 168,967 | |
| Mexichem SAB de CV (1) | | | 111,000 | | | | 293,074 | |
| Wal-Mart de Mexico SAB de CV (1) | | | 42,800 | | | | 98,010 | |
| | | | | | | | |
| | | | | | | 12,595,330 | |
| | | | | | | | |
| Peru - 0.3% | |
| Credicorp Ltd. (1) | | | 4,593 | | | | 941,657 | |
| | | | | | | | |
|
| Philippines - 0.9% | |
| Ayala Corp. | | | 14,440 | | | | 275,962 | |
| Bank of the Philippine Islands | | | 129,910 | | | | 254,469 | |
| BDO Unibank, Inc. | | | 244,390 | | | | 629,442 | |
| Globe Telecom, Inc. | | | 10,580 | | | | 427,469 | |
| International Container Terminal Services, Inc. | | | 154,070 | | | | 316,106 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Philippines - 0.9% (continued) | |
| JG Summit Holdings, Inc. | | | 141,560 | | | $ | 209,027 | |
| Jollibee Foods Corp. | | | 29,250 | | | | 140,381 | |
| Security Bank Corp. | | | 83,930 | | | | 402,270 | |
| SM Investments Corp. | | | 39,465 | | | | 686,531 | |
| | | | | | | | |
| | | | | | | 3,341,657 | |
| | | | | | | | |
| Poland - 1.8% | |
| Bank Zachodni WBK SA | | | 2,023 | | | | 193,822 | |
| Grupa Lotos SA | | | 15,452 | | | | 253,121 | |
| Jastrzebska Spolka Weglowa SA * | | | 21,787 | | | | 576,530 | |
| Polski Koncern Naftowy ORLEN SA | | | 127,042 | | | | 4,238,937 | |
| Polskie Gornictwo Naftowe i Gazownictwo SA | | | 319,417 | | | | 594,744 | |
| Tauron Polska Energia SA * | | | 357,530 | | | | 367,618 | |
| | | | | | | | |
| | | | | | | 6,224,772 | |
| | | | | | | | |
| Russia - 3.0% | |
| Gazprom PJSC, ADR (1) | | | 400,359 | | | | 1,677,504 | |
| LUKOIL PJSC, ADR | | | 28,399 | | | | 1,506,148 | |
| Mobile TeleSystems PJSC, ADR (1) | | | 264,654 | | | | 2,762,988 | |
| Novatek PJSC, GDR (c) | | | 5,992 | | | | 704,034 | |
| Rosneft Oil Co. PJSC, GDR (c) | | | 78,075 | | | | 434,446 | |
| Severstal PJSC, GDR (c) | | | 95,902 | | | | 1,435,388 | |
| Surgutneftegas OJSC, ADR (1) | | | 101,167 | | | | 512,917 | |
| Tatneft PJSC, ADR | | | 33,379 | | | | 1,428,021 | |
| | | | | | | | |
| | | | | | | 10,461,446 | |
| | | | | | | | |
| South Africa - 5.8% | |
| Bid Corp. Ltd. | | | 21,970 | | | | 492,831 | |
| Bidvest Group Ltd. (The) | | | 201,357 | | | | 2,567,942 | |
| Capitec Bank Holdings Ltd. | | | 13,233 | | | | 839,485 | |
| Coronation Fund Managers Ltd. | | | 23,994 | | | | 119,489 | |
| Exxaro Resources Ltd. | | | 191,260 | | | | 1,741,611 | |
| FirstRand Ltd. | | | 254,822 | | | | 979,883 | |
| Foschini Group Ltd. (The) | | | 35,702 | | | | 358,114 | |
| Gold Fields Ltd., ADR (1) | | | 60,964 | | | | 262,755 | |
| Hyprop Investments Ltd., REIT | | | 4,482 | | | | 34,969 | |
| Imperial Holdings Ltd. | | | 125,302 | | | | 1,770,511 | |
| Investec Ltd. | | | 128,057 | | | | 926,607 | |
| Massmart Holdings Ltd. | | | 15,263 | | | | 125,594 | |
| Mondi Ltd. | | | 28,797 | | | | 769,502 | |
| Naspers Ltd., Class N | | | 15,593 | | | | 3,370,780 | |
| Pick n Pay Stores Ltd. | | | 22,001 | | | | 93,624 | |
| Redefine Properties Ltd., REIT | | | 425,319 | | | | 335,690 | |
| Remgro Ltd. | | | 32,110 | | | | 487,324 | |
| Resilient REIT Ltd. | | | 74,141 | | | | 730,200 | |
| RMB Holdings Ltd. | | | 77,841 | | | | 364,871 | |
| Sanlam Ltd. | | | 41,311 | | | | 206,382 | |
| Sappi Ltd. | | | 84,083 | | | | 572,667 | |
| Standard Bank Group Ltd. | | | 133,057 | | | | 1,552,315 | |
| Telkom SA SOC Ltd. | | | 143,316 | | | | 627,820 | |
| Tiger Brands Ltd. | | | 9,061 | | | | 252,624 | |
| Truworths International Ltd. | | | 171,466 | | | | 977,672 | |
| | | | | | | | |
| | | | | | | 20,561,262 | |
| | | | | | | | |
| South Korea - 15.1% | |
| AMOREPACIFIC Group | | | 2,555 | | | | 275,891 | |
| DGB Financial Group, Inc. | | | 13,816 | | | | 126,807 | |
| Dongbu Insurance Co. Ltd. | | | 9,971 | | | | 637,033 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
91
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM EMERGING MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| South Korea - 15.1% (continued) | |
| E-MART, Inc. | | | 2,801 | | | $ | 510,944 | |
| Hana Financial Group, Inc. | | | 5,895 | | | | 244,564 | |
| Hankook Tire Co. Ltd. | | | 2,205 | | | | 116,116 | |
| Hanwha Chemical Corp. | | | 12,119 | | | | 344,815 | |
| Hanwha Corp. | | | 47,514 | | | | 1,831,571 | |
| Hanwha Life Insurance Co. Ltd. | | | 44,250 | | | | 265,073 | |
| Hyundai Engineering & Construction Co. Ltd. | | | 7,906 | | | | 265,659 | |
| Hyundai Heavy Industries Co. Ltd. * | | | 7,409 | | | | 943,146 | |
| Hyundai Marine & Fire Insurance Co. Ltd. | | | 67,884 | | | | 2,692,335 | |
| Hyundai Robotics Co. Ltd. * | | | 451 | | | | 168,395 | |
| KB Financial Group, Inc. | | | 20,061 | | | | 986,984 | |
| KT Corp. | | | 5,523 | | | | 140,804 | |
| LG Electronics, Inc. | | | 3,495 | | | | 252,414 | |
| LG Uplus Corp. | | | 121,490 | | | | 1,418,484 | |
| Lotte Chemical Corp. | | | 10,539 | | | | 3,489,454 | |
| POSCO | | | 2,272 | | | | 631,354 | |
| Posco Daewoo Corp. | | | 10,522 | | | | 177,805 | |
| S-1 Corp. | | | 2,690 | | | | 209,916 | |
| Samsung Electronics Co. Ltd. | | | 9,836 | | | | 22,133,201 | |
| Shinhan Financial Group Co. Ltd. | | | 4,160 | | | | 183,865 | |
| SK Hynix, Inc. | | | 114,818 | | | | 8,373,715 | |
| SK Innovation Co. Ltd. | | | 18,795 | | | | 3,275,858 | |
| SK Telecom Co. Ltd. | | | 7,608 | | | | 1,697,564 | |
| Woori Bank | | | 126,902 | | | | 1,981,166 | |
| | | | | | | | |
| | | | | | | 53,374,933 | |
| | | | | | | | |
| Taiwan - 11.5% | |
| Advanced Semiconductor Engineering, Inc. | | | 152,000 | | | | 186,454 | |
| AU Optronics Corp. | | | 597,000 | | | | 239,926 | |
| Catcher Technology Co. Ltd. | | | 85,000 | | | | 795,118 | |
| Cathay Financial Holding Co. Ltd. | | | 353,000 | | | | 562,541 | |
| Chailease Holding Co. Ltd. | | | 171,000 | | | | 413,045 | |
| China Airlines Ltd. * | | | 355,000 | | | | 134,079 | |
| China Life Insurance Co. Ltd. | | | 2,385,129 | | | | 2,249,300 | |
| Chunghwa Telecom Co. Ltd. | | | 98,000 | | | | 337,603 | |
| Compal Electronics, Inc. | | | 272,000 | | | | 193,482 | |
| CTBC Financial Holding Co. Ltd. | | | 1,356,480 | | | | 851,462 | |
| E.Sun Financial Holding Co. Ltd. | | | 560,027 | | | | 334,697 | |
| Eva Airways Corp. | | | 237,466 | | | | 115,948 | |
| Far EasTone Telecommunications Co. Ltd. | | | 164,000 | | | | 390,182 | |
| Feng TAY Enterprise Co. Ltd. | | | 33,180 | | | | 151,257 | |
| First Financial Holding Co. Ltd. | | | 1,480,340 | | | | 950,779 | |
| Formosa Chemicals & Fibre Corp. | | | 62,000 | | | | 188,795 | |
| Formosa Petrochemical Corp. | | | 53,000 | | | | 183,069 | |
| Foxconn Technology Co. Ltd. | | | 197,582 | | | | 571,805 | |
| Fubon Financial Holding Co. Ltd. | | | 518,000 | | | | 809,516 | |
| Hon Hai Precision Industry Co. Ltd. | | | 1,490,545 | | | | 5,176,526 | |
| Hua Nan Financial Holdings Co. Ltd. | | | 317,000 | | | | 172,158 | |
| Innolux Corp. | | | 943,000 | | | | 441,404 | |
| Inventec Corp. | | | 211,000 | | | | 156,224 | |
| Largan Precision Co. Ltd. | | | 5,000 | | | | 882,076 | |
| Lite-On Technology Corp. | | | 820,533 | | | | 1,175,371 | |
| Mega Financial Holding Co. Ltd. | | | 954,000 | | | | 746,738 | |
| Nien Made Enterprise Co. Ltd. | | | 46,000 | | | | 472,358 | |
| Pegatron Corp. | | | 634,000 | | | | 1,650,822 | |
| Phison Electronics Corp. | | | 84,000 | | | | 998,592 | |
| Pou Chen Corp. | | | 701,000 | | | | 881,367 | |
| Powertech Technology, Inc. | | | 614,000 | | | | 1,774,540 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Taiwan - 11.5% (continued) | |
| Realtek Semiconductor Corp. | | | 378,000 | | | $ | 1,305,863 | |
| Shin Kong Financial Holding Co. Ltd. | | | 380,000 | | | | 114,023 | |
| Taishin Financial Holding Co. Ltd. | | | 1,013,568 | | | | 436,770 | |
| Taiwan Cooperative Financial Holding Co. Ltd. | | | 471,520 | | | | 243,610 | |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR (1) | | | 307,706 | | | | 11,554,360 | |
| Uni-President Enterprises Corp. | | | 379,000 | | | | 794,665 | |
| United Microelectronics Corp. | | | 1,081,000 | | | | 541,602 | |
| Wistron Corp. | | | 1,490,435 | | | | 1,195,315 | |
| WPG Holdings Ltd. | | | 109,000 | | | | 145,288 | |
| | | | | | | | |
| | | | | | | 40,518,730 | |
| | | | | | | | |
| Thailand - 2.6% | |
| Advanced Info Service PCL, NVDR | | | 18,000 | | | | 103,143 | |
| Bangkok Bank PCL, NVDR | | | 38,200 | | | | 213,888 | |
| Bumrungrad Hospital PCL, NVDR | | | 18,200 | | | | 117,409 | |
| Charoen Pokphand Foods PCL, NVDR | | | 769,400 | | | | 618,338 | |
| Glow Energy PCL, NVDR | | | 44,200 | | | | 118,332 | |
| Home Product Center PCL, NVDR | | | 582,300 | | | | 213,382 | |
| Krung Thai Bank PCL, NVDR | | | 2,341,200 | | | | 1,321,477 | |
| PTT Exploration & Production PCL, NVDR | | | 91,900 | | | | 247,010 | |
| PTT Global Chemical PCL, NVDR | | | 850,500 | | | | 1,965,802 | |
| PTT PCL, NVDR | | | 83,500 | | | | 1,022,469 | |
| Robinson PCL, NVDR | | | 69,100 | | | | 133,808 | |
| Siam Cement PCL (The), NVDR | | | 41,100 | | | | 616,771 | |
| Thai Oil PCL, NVDR | | | 716,500 | | | | 1,988,761 | |
| Thai Union Group PCL, NVDR | | | 857,596 | | | | 514,685 | |
| | | | | | | | |
| | | | | | | 9,195,275 | |
| | | | | | | | |
| Turkey - 1.5% | |
| Akbank Turk A/S | | | 53,757 | | | | 141,868 | |
| Arcelik A/S | | | 175,893 | | | | 1,121,772 | |
| BIM Birlesik Magazalar A/S | | | 5,137 | | | | 107,108 | |
| KOC Holding A/S | | | 160,995 | | | | 738,540 | |
| Turkiye Garanti Bankasi A/S | | | 60,788 | | | | 165,163 | |
| Turkiye Halk Bankasi A/S | | | 30,853 | | | | 104,933 | |
| Turkiye Is Bankasi, Class C | | | 657,000 | | | | 1,250,107 | |
| Turkiye Sise ve Cam Fabrikalari A/S | | | 625,265 | | | | 719,508 | |
| Turkiye Vakiflar Bankasi TAO, Class D | | | 450,440 | | | | 792,983 | |
| | | | | | | | |
| | | | | | | 5,141,982 | |
| | | | | | | | |
| United States - 0.3% | |
| Yum China Holdings, Inc. (1)* | | | 27,400 | | | | 1,095,178 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $252,499,500) | | | | 343,139,553 | |
| | | | | |
|
| SHORT-TERM INVESTMENT - 2.2% | |
|
| Investment Company - 2.2% | |
Limited Purpose Cash Investment Fund, 0.97% (d) (Cost $7,682,159) | | | 7,682,927 | | | | 7,682,159 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
92
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM EMERGING MULTI-STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| SECURITIES LENDING COLLATERAL - 2.1% | |
|
| Investment Companies - 2.1% | |
| Investments in a Pooled Account through Securities Lending Program with Citibank NA | | | | | | | | |
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares
0.91% (d)(e) | | | 1,148,432 | | | $ | 1,148,432 | |
UBS Asset Management Americas, Inc.
1.10% (d)(e) | | | 5,338,286 | | | | 5,338,286 | |
| 1.16% (d)(e) | | | 889,714 | | | | 889,714 | |
| | | | | | | | |
TOTAL SECURITIES LENDING COLLATERAL
(Cost $7,376,432) | | | | 7,376,432 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES
AT VALUE - 101.5%
(Cost $267,558,091) | | | | | | | 358,198,144 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (1.5)% (f) | | | | | (5,343,747) | |
| | | | | |
NET ASSETS - 100.0% | | | $ | 352,854,397 | |
| | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 33,622,768 | | | | 9.5 | % |
| Consumer Staples | | | 13,519,215 | | | | 3.8 | |
| Energy | | | 27,605,381 | | | | 7.8 | |
| Financials | | | 70,759,500 | | | | 20.1 | |
| Health Care | | | 7,699,855 | | | | 2.2 | |
| Industrials | | | 20,640,895 | | | | 5.8 | |
| Information Technology | | | 101,615,710 | | | | 28.7 | |
| Materials | | | 25,796,093 | | | | 7.3 | |
| Real Estate | | | 10,415,975 | | | | 3.0 | |
| Telecommunication Services | | | 26,291,349 | | | | 7.5 | |
| Utilities | | | 5,172,812 | | | | 1.5 | |
| Short-Term Investment | | | 7,682,159 | | | | 2.2 | |
| Securities Lending Collateral | | | 7,376,432 | | | | 2.1 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 358,198,144 | | | | 101.5 | |
| Liabilities in Excess of Other Assets (f) | | | (5,343,747 | ) | | | (1.5 | ) |
| | | | | | | | |
Net Assets | | $ | 352,854,397 | | | | 100.0 | % |
| | | | | | | | |
| * | Non-income producing security. |
| (a) | The security or a portion of this security is on loan at September 30, 2017. The total value of securities on loan at September 30, 2017 was $7,071,986. |
| (b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2017 amounted to $2,645,439, which represents approximately 0.75% of net assets of the fund. |
| (c) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At September 30, 2017, the value of these securities amounted to $4,086,834 or 1.16% of net assets. |
| (d) | Represents 7-day effective yield as of September 30, 2017. |
| (e) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
| (f) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 4). |
Abbreviations
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
NVDR - Non-Voting Depositary Receipt
OJSC - Open Joint Stock Company
PJSC - Public Joint Stock Company
Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
REIT - Real Estate Investment Trust
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
93
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM EMERGING MULTI-STYLE FUND | | | | |
Futures contracts outstanding as of September 30, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF CONTRACTS | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL AMOUNT | | | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |
| Long Contracts | |
| MSCI Emerging Markets E-Mini Index | | 98 | | 12/2017 | | | USD | | | | $5,337,570 | | | | $(59,640 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $(59,640 | ) |
| | | | | | | | | | | | | | | | |
USD - United States Dollar
Collateral pledged to, or (received from), each counterparty at September 30, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED | | | TOTAL | |
| JPMS | | | | | | | | | |
| Cash | | | $— | | | | $328,331 | | | | $328,331 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
94
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| COMMON STOCKS - 97.3% | |
|
| Aerospace & Defense - 3.5% | |
| Boeing Co. (The) | | | 48,757 | | �� | $ | 12,394,517 | |
| BWX Technologies, Inc. | | | 15,551 | | | | 871,167 | |
| General Dynamics Corp. | | | 20,562 | | | | 4,227,136 | |
| Huntington Ingalls Industries, Inc. | | | 8,196 | | | | 1,855,902 | |
| L3 Technologies, Inc. | | | 2,267 | | | | 427,171 | |
| Lockheed Martin Corp. | | | 14,334 | | | | 4,447,697 | |
| Northrop Grumman Corp. | | | 15,233 | | | | 4,382,839 | |
| Orbital ATK, Inc. | | | 8,225 | | | | 1,095,241 | |
| Raytheon Co. | | | 21,317 | | | | 3,977,326 | |
| TransDigm Group, Inc. | | | 3,178 | | | | 812,455 | |
| | | | | | | | |
| | | | | | | 34,491,451 | |
| | | | | | | | |
| Air Freight & Logistics - 0.3% | | | | | | |
| FedEx Corp. | | | 10,165 | | | | 2,293,021 | |
| XPO Logistics, Inc. * | | | 14,079 | | | | 954,274 | |
| | | | | | | | |
| | | | | | | 3,247,295 | |
| | | | | | | | |
| Airlines - 1.0% | | | | | | |
| Alaska Air Group, Inc. | | | 16,108 | | | | 1,228,557 | |
| American Airlines Group, Inc. | | | 34,740 | | | | 1,649,803 | |
| Copa Holdings SA, Class A (Panama) | | | 7,145 | | | | 889,767 | |
| Delta Air Lines, Inc. | | | 40,607 | | | | 1,958,069 | |
| JetBlue Airways Corp. * | | | 19,424 | | | | 359,927 | |
| Southwest Airlines Co. | | | 49,805 | | | | 2,788,084 | |
| United Continental Holdings, Inc. * | | | 26,104 | | | | 1,589,211 | |
| | | | | | | | |
| | | | | | | 10,463,418 | |
| | | | | | | | |
| Auto Components - 0.3% | | | | | | |
| Delphi Automotive plc | | | 9,620 | | | | 946,608 | |
| Gentex Corp. | | | 26,000 | | | | 514,800 | |
| Goodyear Tire & Rubber Co. (The) | | | 23,409 | | | | 778,349 | |
| Lear Corp. | | | 5,514 | | | | 954,363 | |
| | | | | | | | |
| | | | | | | 3,194,120 | |
| | | | | | | | |
| Automobiles - 0.7% | | | | | | |
| Harley-Davidson, Inc. (a) | | | 7,387 | | | | 356,127 | |
| Tesla, Inc. *(a) | | | 14,816 | | | | 5,053,738 | |
| Thor Industries, Inc. | | | 11,293 | | | | 1,421,902 | |
| | | | | | | | |
| | | | | | | 6,831,767 | |
| | | | | | | | |
| Banks - 10.5% | | | | | | |
| Bank of America Corp. | | | 784,705 | | | | 19,884,425 | |
| Bank of Hawaii Corp. | | | 12,152 | | | | 1,012,991 | |
| BankUnited, Inc. | | | 13,348 | | | | 474,788 | |
| Citigroup, Inc. | | | 195,602 | | | | 14,228,089 | |
| Citizens Financial Group, Inc. | | | 106,354 | | | | 4,027,626 | |
| Comerica, Inc. | | | 47,211 | | | | 3,600,311 | |
| Commerce Bancshares, Inc. | | | 20,473 | | | | 1,182,725 | |
| Cullen/Frost Bankers, Inc. | | | 9,648 | | | | 915,788 | |
| East West Bancorp, Inc. | | | 31,001 | | | | 1,853,240 | |
| Fifth Third Bancorp | | | 78,622 | | | | 2,199,844 | |
| First Horizon National Corp. | | | 21,787 | | | | 417,221 | |
| First Republic Bank | | | 14,059 | | | | 1,468,603 | |
| Huntington Bancshares, Inc. | | | 151,321 | | | | 2,112,441 | |
| JPMorgan Chase & Co. | | | 261,280 | | | | 24,954,853 | |
| KeyCorp | | | 135,682 | | | | 2,553,535 | |
| M&T Bank Corp. | | | 2,884 | | | | 464,439 | |
| PacWest Bancorp | | | 8,785 | | | | 443,730 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Banks - 10.5% (continued) | | | | | | |
| PNC Financial Services Group, Inc. (The) | | | 19,400 | | | $ | 2,614,538 | |
| Popular, Inc. | | | 33,169 | | | | 1,192,094 | |
| Regions Financial Corp. | | | 230,415 | | | | 3,509,220 | |
| SunTrust Banks, Inc. | | | 22,388 | | | | 1,338,131 | |
| SVB Financial Group * | | | 17,074 | | | | 3,194,375 | |
| TCF Financial Corp. | | | 64,514 | | | | 1,099,319 | |
| US Bancorp | | | 60,815 | | | | 3,259,076 | |
| Western Alliance Bancorp * | | | 45,363 | | | | 2,407,868 | |
| Zions Bancorp | | | 79,916 | | | | 3,770,437 | |
| | | | | | | | |
| | | | | | | 104,179,707 | |
| | | | | | | | |
| Beverages - 0.2% | | | | | | |
| Constellation Brands, Inc., Class A | | | 8,291 | | | | 1,653,640 | |
| Monster Beverage Corp. * | | | 5,827 | | | | 321,942 | |
| | | | | | | | |
| | | | | | | 1,975,582 | |
| | | | | | | | |
| Biotechnology - 2.1% | | | | | | |
| AbbVie, Inc. | | | 11,949 | | | | 1,061,788 | |
| ACADIA Pharmaceuticals, Inc. * | | | 29,525 | | | | 1,112,207 | |
| Alkermes plc * | | | 9,735 | | | | 494,927 | |
| Celgene Corp. * | | | 40,727 | | | | 5,938,811 | |
| Exelixis, Inc. * | | | 66,225 | | | | 1,604,632 | |
| Incyte Corp. * | | | 26,639 | | | | 3,109,837 | |
| Ionis Pharmaceuticals, Inc. * | | | 14,450 | | | | 732,615 | |
| Regeneron Pharmaceuticals, Inc. * | | | 3,757 | | | | 1,679,830 | |
| Seattle Genetics, Inc. * | | | 21,318 | | | | 1,159,912 | |
| TESARO, Inc. *(a) | | | 8,210 | | | | 1,059,911 | |
| Vertex Pharmaceuticals, Inc. * | | | 20,717 | | | | 3,149,813 | |
| | | | | | | | |
| | | | | | | 21,104,283 | |
| | | | | | | | |
| Building Products - 0.9% | | | | | | |
| Allegion plc | | | 8,013 | | | | 692,884 | |
| AO Smith Corp. | | | 42,651 | | | | 2,534,749 | |
| Fortune Brands Home & Security, Inc. | | | 26,008 | | | | 1,748,518 | |
| Lennox International, Inc. | | | 5,769 | | | | 1,032,478 | |
| Masco Corp. | | | 29,168 | | | | 1,137,844 | |
| Owens Corning | | | 12,800 | | | | 990,080 | |
| USG Corp. * | | | 14,608 | | | | 476,951 | |
| | | | | | | | |
| | | | | | | 8,613,504 | |
| | | | | | | | |
| Capital Markets - 4.7% | | | | | | |
| Ameriprise Financial, Inc. | | | 3,708 | | | | 550,675 | |
| Bank of New York Mellon Corp. (The) | | | 8,033 | | | | 425,910 | |
| CBOE Holdings, Inc. | | | 7,038 | | | | 757,500 | |
| Charles Schwab Corp. (The) | | | 130,885 | | | | 5,724,910 | |
| CME Group, Inc. | | | 27,791 | | | | 3,770,683 | |
| E*TRADE Financial Corp. * | | | 50,633 | | | | 2,208,105 | |
| FactSet Research Systems, Inc. | | | 2,228 | | | | 401,285 | |
| Goldman Sachs Group, Inc. (The) | | | 32,209 | | | | 7,639,653 | |
| Interactive Brokers Group, Inc., Class A | | | 41,795 | | | | 1,882,447 | |
| Intercontinental Exchange, Inc. | | | 36,951 | | | | 2,538,534 | |
| LPL Financial Holdings, Inc. | | | 14,621 | | | | 754,005 | |
| MarketAxess Holdings, Inc. | | | 6,866 | | | | 1,266,846 | |
| Morgan Stanley | | | 189,178 | | | | 9,112,704 | |
| Morningstar, Inc. | | | 7,785 | | | | 661,647 | |
| MSCI, Inc. | | | 14,254 | | | | 1,666,293 | |
| Nasdaq, Inc. | | | 18,693 | | | | 1,450,016 | |
| Raymond James Financial, Inc. | | | 15,267 | | | | 1,287,466 | |
| S&P Global, Inc. | | | 16,289 | | | | 2,546,133 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
95
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Capital Markets - 4.7% (continued) | | | | | | |
| State Street Corp. | | | 25,201 | | | $ | 2,407,703 | |
| | | | | | | | |
| | | | | | | 47,052,515 | |
| | | | | | | | |
| Chemicals - 1.5% | | | | | | |
| Albemarle Corp. | | | 18,805 | | | | 2,563,310 | |
| Celanese Corp., Series A | | | 7,078 | | | | 738,023 | |
| Chemours Co. (The) | | | 39,056 | | | | 1,976,624 | |
| DowDuPont, Inc. | | | 109,112 | | | | 7,553,824 | |
| FMC Corp. | | | 11,809 | | | | 1,054,662 | |
| International Flavors & Fragrances, Inc. | | | 2,263 | | | | 323,405 | |
| NewMarket Corp. | | | 1,600 | | | | 681,200 | |
| Sherwin-Williams Co. (The) | | | 1,080 | | | | 386,683 | |
| | | | | | | | |
| | | | | | | 15,277,731 | |
| | | | | | | | |
| Commercial Services & Supplies - 1.0% | |
| Cintas Corp. | | | 23,846 | | | | 3,440,501 | |
| Copart, Inc. * | | | 34,368 | | | | 1,181,228 | |
| Republic Services, Inc. | | | 25,599 | | | | 1,691,070 | |
| Rollins, Inc. | | | 21,305 | | | | 983,013 | |
| Waste Management, Inc. | | | 28,401 | | | | 2,222,946 | |
| | | | | | | | |
| | | | | | | 9,518,758 | |
| | | | | | | | |
| Communications Equipment - 0.8% | | | | | | |
| Arista Networks, Inc. * | | | 17,299 | | | | 3,280,063 | |
| Cisco Systems, Inc. | | | 50,017 | | | | 1,682,072 | |
| CommScope Holding Co., Inc. * | | | 23,044 | | | | 765,291 | |
| F5 Networks, Inc. * | | | 3,403 | | | | 410,266 | |
| Harris Corp. | | | 8,866 | | | | 1,167,475 | |
| Motorola Solutions, Inc. | | | 11,008 | | | | 934,249 | |
| | | | | | | | |
| | | | | | | 8,239,416 | |
| | | | | | | | |
| Construction & Engineering - 0.1% | | | | | | |
| Quanta Services, Inc. * | | | 15,443 | | | | 577,105 | |
| | | | | | | | |
|
| Construction Materials - 0.2% | |
| Eagle Materials, Inc. | | | 4,574 | | | | 488,046 | |
| Martin Marietta Materials, Inc. | | | 5,816 | | | | 1,199,433 | |
| Vulcan Materials Co. | | | 5,560 | | | | 664,976 | |
| | | | | | | | |
| | | | | | | 2,352,455 | |
| | | | | | | | |
| Consumer Finance - 0.8% | |
| American Express Co. | | | 47,165 | | | | 4,266,546 | |
| Credit Acceptance Corp. *(a) | | | 2,491 | | | | 697,903 | |
| Discover Financial Services | | | 9,296 | | | | 599,406 | |
| Navient Corp. | | | 60,001 | | | | 901,215 | |
| SLM Corp. * | | | 95,312 | | | | 1,093,229 | |
| | | | | | | | |
| | | | | | | 7,558,299 | |
| | | | | | | | |
| Containers & Packaging - 0.4% | | | | | | |
| Avery Dennison Corp. | | | 6,491 | | | | 638,325 | |
| Ball Corp. | | | 7,790 | | | | 321,727 | |
| Berry Global Group, Inc. * | | | 15,470 | | | | 876,376 | |
| International Paper Co. | | | 8,537 | | | | 485,072 | |
| Packaging Corp. of America | | | 5,028 | | | | 576,611 | |
| Sealed Air Corp. | | | 10,067 | | | | 430,062 | |
| WestRock Co. | | | 6,631 | | | | 376,177 | |
| | | | | | | | |
| | | | | | | 3,704,350 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Distributors - 0.1% | | | | | | |
| Genuine Parts Co. | | | 5,747 | | | $ | 549,700 | |
| LKQ Corp. * | | | 20,635 | | | | 742,654 | |
| | | | | | | | |
| | | | | | | 1,292,354 | |
| | | | | | | | |
| Diversified Consumer Services - 0.2% | |
| Graham Holdings Co., Class B | | | 737 | | | | 431,219 | |
| Service Corp. International | | | 15,037 | | | | 518,776 | |
| ServiceMaster Global Holdings, Inc. * | | | 20,653 | | | | 965,115 | |
| | | | | | | | |
| | | | | | | 1,915,110 | |
| | | | | | | | |
| Diversified Financial Services - 0.0% (b) | |
| Leucadia National Corp. | | | 17,814 | | | | 449,804 | |
| | | | | | | | |
|
| Diversified Telecommunication Services - 0.0% (b) | |
| Zayo Group Holdings, Inc. * | | | 13,596 | | | | 467,974 | |
| | | | | | | | |
|
| Electric Utilities - 0.4% | |
| Alliant Energy Corp. | | | 9,282 | | | | 385,853 | |
| Eversource Energy | | | 4,682 | | | | 282,980 | |
| NextEra Energy, Inc. | | | 12,155 | | | | 1,781,315 | |
| Pinnacle West Capital Corp. | | | 3,265 | | | | 276,089 | |
| PPL Corp. | | | 8,953 | | | | 339,766 | |
| Xcel Energy, Inc. | | | 9,884 | | | | 467,711 | |
| | | | | | | | |
| | | | | | | 3,533,714 | |
| | | | | | | | |
| Electrical Equipment - 0.2% | |
| Acuity Brands, Inc. | | | 2,321 | | | | 397,541 | |
| Eaton Corp. plc | | | 17,055 | | | | 1,309,653 | |
| Rockwell Automation, Inc. | | | 4,228 | | | | 753,472 | |
| | | | | | | | |
| | | | | | | 2,460,666 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components - 1.4% | |
| Amphenol Corp., Class A | | | 21,046 | | | | 1,781,333 | |
| Arrow Electronics, Inc. * | | | 8,600 | | | | 691,526 | |
| CDW Corp. | | | 25,023 | | | | 1,651,518 | |
| Cognex Corp. | | | 17,998 | | | | 1,984,819 | |
| Coherent, Inc. * | | | 4,734 | | | | 1,113,295 | |
| Corning, Inc. | | | 86,142 | | | | 2,577,369 | |
| Dolby Laboratories, Inc., Class A | | | 9,601 | | | | 552,249 | |
| IPG Photonics Corp. * | | | 7,186 | | | | 1,329,841 | |
| Trimble, Inc. * | | | 21,559 | | | | 846,191 | |
| Universal Display Corp. | | | 5,516 | | | | 710,737 | |
| Zebra Technologies Corp., Class A * | | | 2,786 | | | | 302,504 | |
| | | | | | | | |
| | | | | | | 13,541,382 | |
| | | | | | | | |
| Energy Equipment & Services - 0.2% | |
| RPC, Inc. (a) | | | 88,947 | | | | 2,204,996 | |
| | | | | | | | |
|
| Equity Real Estate Investment Trusts (REITs) - 1.5% | |
| Alexandria Real Estate Equities, Inc. | | | 3,486 | | | | 414,729 | |
| American Campus Communities, Inc. | | | 13,022 | | | | 574,921 | |
| American Homes 4 Rent, Class A | | | 20,868 | | | | 453,044 | |
| American Tower Corp. | | | 6,983 | | | | 954,437 | |
| Apartment Investment & Management Co., Class A | | | 21,062 | | | | 923,779 | |
| Camden Property Trust | | | 4,628 | | | | 423,231 | |
| CyrusOne, Inc. | | | 15,049 | | | | 886,838 | |
| Digital Realty Trust, Inc. | | | 14,945 | | | | 1,768,442 | |
| Duke Realty Corp. | | | 19,237 | | | | 554,410 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
96
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Equity Real Estate Investment Trusts (REITs) - 1.5% (continued) | |
| EPR Properties | | | 6,107 | | | $ | 425,902 | |
| Equinix, Inc. | | | 1,873 | | | | 835,920 | |
| Equity LifeStyle Properties, Inc. | | | 23,643 | | | | 2,011,547 | |
| Essex Property Trust, Inc. | | | 1,109 | | | | 281,719 | |
| Healthcare Trust of America, Inc., Class A | | | 23,441 | | | | 698,542 | |
| Iron Mountain, Inc. | | | 8,502 | | | | 330,728 | |
| Lamar Advertising Co., Class A | | | 12,300 | | | | 842,919 | |
| National Retail Properties, Inc. | | | 8,095 | | | | 337,238 | |
| Omega Healthcare Investors, Inc. (a) | | | 11,537 | | | | 368,146 | |
| Prologis, Inc. | | | 7,642 | | | | 484,961 | |
| SBA Communications Corp. * | | | 3,328 | | | | 479,398 | |
| Senior Housing Properties Trust | | | 21,759 | | | | 425,389 | |
| STORE Capital Corp. | | | 16,605 | | | | 412,966 | |
| Uniti Group, Inc. (a) | | | 16,608 | | | | 243,473 | |
| | | | | | | | |
| | | | | | | 15,132,679 | |
| | | | | | | | |
| Food & Staples Retailing - 0.1% | |
| Sysco Corp. | | | 11,004 | | | | 593,666 | |
| | | | | | | | |
|
| Food Products - 0.4% | |
| Blue Buffalo Pet Products, Inc. *(a) | | | 19,021 | | | | 539,245 | |
| Conagra Brands, Inc. | | | 11,943 | | | | 402,957 | |
| Ingredion, Inc. | | | 6,219 | | | | 750,260 | |
| Kraft Heinz Co. (The) | | | 3,776 | | | | 292,829 | |
| Lamb Weston Holdings, Inc. | | | 9,490 | | | | 444,986 | |
| Pilgrim’s Pride Corp. * | | | 18,200 | | | | 517,062 | |
| Pinnacle Foods, Inc. | | | 20,716 | | | | 1,184,334 | |
| Tyson Foods, Inc., Class A | | | 5,385 | | | | 379,373 | |
| | | | | | | | |
| | | | | | | 4,511,046 | |
| | | | | | | | |
| Health Care Equipment & Supplies - 2.2% | |
| Abbott Laboratories | | | 5,554 | | | | 296,361 | |
| ABIOMED, Inc. * | | | 3,696 | | | | 623,146 | |
| Align Technology, Inc. * | | | 13,852 | | | | 2,580,212 | |
| Baxter International, Inc. | | | 42,790 | | | | 2,685,073 | |
| Becton Dickinson and Co. | | | 3,478 | | | | 681,514 | |
| Boston Scientific Corp. * | | | 94,067 | | | | 2,743,934 | |
| Cooper Cos., Inc. (The) | | | 5,006 | | | | 1,186,973 | |
| Danaher Corp. | | | 5,979 | | | | 512,879 | |
| DexCom, Inc. * | | | 12,332 | | | | 603,343 | |
| Edwards Lifesciences Corp. * | | | 4,398 | | | | 480,745 | |
| Hologic, Inc. * | | | 16,786 | | | | 615,878 | |
| IDEXX Laboratories, Inc. * | | | 14,528 | | | | 2,258,959 | |
| Intuitive Surgical, Inc. * | | | 2,794 | | | | 2,922,189 | |
| ResMed, Inc. | | | 10,915 | | | | 840,018 | |
| Stryker Corp. | | | 9,229 | | | | 1,310,703 | |
| Teleflex, Inc. | | | 6,118 | | | | 1,480,372 | |
| | | | | | | | |
| | | | | | | 21,822,299 | |
| | | | | | | | |
| Health Care Providers & Services - 3.4% | |
| Aetna, Inc. | | | 16,287 | | | | 2,589,796 | |
| Anthem, Inc. | | | 20,448 | | | | 3,882,666 | |
| Centene Corp. * | | | 3,049 | | | | 295,052 | |
| Cigna Corp. | | | 16,376 | | | | 3,061,329 | |
| Henry Schein, Inc. * | | | 10,398 | | | | 852,532 | |
| Humana, Inc. | | | 12,548 | | | | 3,057,069 | |
| Laboratory Corp. of America Holdings * | | | 3,555 | | | | 536,698 | |
| Quest Diagnostics, Inc. | | | 10,318 | | | | 966,178 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Health Care Providers & Services - 3.4% (continued) | |
| UnitedHealth Group, Inc. | | | 88,844 | | | $ | 17,400,097 | |
| Universal Health Services, Inc., Class B | | | 3,522 | | | | 390,731 | |
| WellCare Health Plans, Inc. * | | | 6,090 | | | | 1,045,897 | |
| | | | | | | | |
| | | | | | | 34,078,045 | |
| | | | | | | | |
| Health Care Technology - 0.2% | |
| athenahealth, Inc. * | | | 3,316 | | | | 412,378 | |
| Veeva Systems, Inc., Class A * | | | 30,116 | | | | 1,698,843 | |
| | | | | | | | |
| | | | | | | 2,111,221 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure - 3.2% | |
| Aramark | | | 23,714 | | | | 963,026 | |
| Carnival Corp. | | | 38,027 | | | | 2,455,403 | |
| Darden Restaurants, Inc. | | | 17,509 | | | | 1,379,359 | |
| Domino’s Pizza, Inc. | | | 12,719 | | | | 2,525,358 | |
| Hilton Worldwide Holdings, Inc. | | | 10,362 | | | | 719,641 | |
| International Game Technology plc | | | 33,817 | | | | 830,207 | |
| Las Vegas Sands Corp. | | | 55,159 | | | | 3,539,001 | |
| Marriott International, Inc., Class A | | | 33,538 | | | | 3,697,900 | |
| McDonald’s Corp. | | | 41,183 | | | | 6,452,552 | |
| MGM Resorts International | | | 52,076 | | | | 1,697,157 | |
| Royal Caribbean Cruises Ltd. | | | 19,999 | | | | 2,370,682 | |
| Six Flags Entertainment Corp. | | | 25,645 | | | | 1,562,806 | |
| Vail Resorts, Inc. | | | 3,751 | | | | 855,678 | |
| Wynn Resorts Ltd. | | | 10,846 | | | | 1,615,186 | |
| Yum Brands, Inc. | | | 10,531 | | | | 775,187 | |
| | | | | | | | |
| | | | | | | 31,439,143 | |
| | | | | | | | |
| Household Durables - 0.6% | |
| DR Horton, Inc. | | | 21,408 | | | | 854,822 | |
| Garmin Ltd. | | | 22,664 | | | | 1,223,176 | |
| Leggett & Platt, Inc. | | | 10,455 | | | | 499,017 | |
| Mohawk Industries, Inc. * | | | 5,932 | | | | 1,468,229 | |
| Newell Brands, Inc. | | | 8,696 | | | | 371,058 | |
| NVR, Inc. * | | | 599 | | | | 1,710,145 | |
| | | | | | | | |
| | | | | | | 6,126,447 | |
| | | | | | | | |
| Household Products - 0.1% | |
| Church & Dwight Co., Inc. | | | 7,319 | | | | 354,606 | |
| Energizer Holdings, Inc. | | | 13,144 | | | | 605,281 | |
| Spectrum Brands Holdings, Inc. | | | 5,012 | | | | 530,871 | |
| | | | | | | | |
| | | | | | | 1,490,758 | |
| | | | | | | | |
| Industrial Conglomerates - 0.3% | |
| 3M Co. | | | 2,340 | | | | 491,166 | |
| Honeywell International, Inc. | | | 13,808 | | | | 1,957,146 | |
| Roper Technologies, Inc. | | | 4,379 | | | | 1,065,849 | |
| | | | | | | | |
| | | | | | | 3,514,161 | |
| | | | | | | | |
| Insurance - 3.3% | |
| Allstate Corp. (The) | | | 17,495 | | | | 1,607,965 | |
| American Financial Group, Inc. | | | 11,412 | | | | 1,180,571 | |
| Aon plc | | | 13,680 | | | | 1,998,648 | |
| Arch Capital Group Ltd. * | | | 13,686 | | | | 1,348,071 | |
| Aspen Insurance Holdings Ltd. | | | 8,457 | | | | 341,663 | |
| Assurant, Inc. | | | 6,148 | | | | 587,257 | |
| Assured Guaranty Ltd. | | | 24,340 | | | | 918,835 | |
| Axis Capital Holdings Ltd. | | | 7,392 | | | | 423,636 | |
| Chubb Ltd. | | | 8,235 | | | | 1,173,899 | |
| Cincinnati Financial Corp. | | | 23,463 | | | | 1,796,562 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
97
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Insurance - 3.3% (continued) | |
| Erie Indemnity Co., Class A | | | 6,993 | | | $ | 843,146 | |
| Everest Re Group Ltd. | | | 3,469 | | | | 792,285 | |
| FNF Group | | | 22,711 | | | | 1,077,864 | |
| Hanover Insurance Group, Inc. (The) | | | 11,713 | | | | 1,135,341 | |
| Hartford Financial Services Group, Inc. (The) | | | 5,364 | | | | 297,327 | |
| Lincoln National Corp. | | | 31,526 | | | | 2,316,531 | |
| Markel Corp. * | | | 611 | | | | 652,536 | |
| Marsh & McLennan Cos., Inc. | | | 19,320 | | | | 1,619,209 | |
| Principal Financial Group, Inc. | | | 27,144 | | | | 1,746,445 | |
| ProAssurance Corp. | | | 20,042 | | | | 1,095,295 | |
| Progressive Corp. (The) | | | 29,714 | | | | 1,438,752 | |
| Prudential Financial, Inc. | | | 38,770 | | | | 4,122,026 | |
| RenaissanceRe Holdings Ltd. | | | 5,901 | | | | 797,461 | |
| Torchmark Corp. | | | 11,199 | | | | 896,928 | |
| Unum Group | | | 12,016 | | | | 614,378 | |
| Validus Holdings Ltd. | | | 11,878 | | | | 584,516 | |
| White Mountains Insurance Group Ltd. | | | 337 | | | | 288,809 | |
| WR Berkley Corp. | | | 10,543 | | | | 703,640 | |
| | | | | | | | |
| | | | | | | 32,399,596 | |
| | | | | | | | |
| Internet & Direct Marketing Retail - 4.0% | |
| Amazon.com, Inc. * | | | 23,687 | | | | 22,771,497 | |
| Expedia, Inc. | | | 7,678 | | | | 1,105,171 | |
| Netflix, Inc. * | | | 42,670 | | | | 7,738,205 | |
| Priceline Group, Inc. (The) * | | | 3,997 | | | | 7,317,788 | |
| Wayfair, Inc., Class A *(a) | | | 12,111 | | | | 816,281 | |
| | | | | | | | |
| | | | | | | 39,748,942 | |
| | | | | | | | |
| Internet Software & Services - 7.7% | |
| Alphabet, Inc., Class A * | | | 33,515 | | | | 32,634,226 | |
| CoStar Group, Inc. * | | | 3,684 | | | | 988,233 | |
| eBay, Inc. * | | | 59,478 | | | | 2,287,524 | |
| Facebook, Inc., Class A * | | | 207,985 | | | | 35,538,397 | |
| GoDaddy, Inc., Class A * | | | 15,274 | | | | 664,572 | |
| IAC/InterActiveCorp* | | | 9,212 | | | | 1,083,147 | |
| LogMeIn, Inc. | | | 4,906 | | | | 539,905 | |
| VeriSign, Inc. *(a) | | | 13,036 | | | | 1,386,900 | |
| Zillow Group, Inc., Class C *(a) | | | 25,352 | | | | 1,019,404 | |
| | | | | | | | |
| | | | | | | 76,142,308 | |
| | | | | | | | |
| IT Services - 4.8% | |
| Amdocs Ltd. | | | 12,968 | | | | 834,102 | |
| Automatic Data Processing, Inc. | | | 5,383 | | | | 588,470 | |
| Booz Allen Hamilton Holding Corp. | | | 14,749 | | | | 551,465 | |
| Broadridge Financial Solutions, Inc. | | | 11,087 | | | | 896,051 | |
| Cognizant Technology Solutions Corp., Class A | | | 4,022 | | | | 291,756 | |
| CoreLogic, Inc. * | | | 18,100 | | | | 836,582 | |
| DXC Technology Co. | | | 54,379 | | | | 4,670,068 | |
| Fidelity National Information Services, Inc. | | | 5,663 | | | | 528,868 | |
| Fiserv, Inc. * | | | 13,153 | | | | 1,696,211 | |
| Gartner, Inc. * | | | 6,200 | | | | 771,342 | |
| Genpact Ltd. | | | 37,076 | | | | 1,065,935 | |
| Global Payments, Inc. | | | 25,397 | | | | 2,413,477 | |
| Jack Henry & Associates, Inc. | | | 17,949 | | | | 1,844,978 | |
| Mastercard, Inc., Class A | | | 55,542 | | | | 7,842,530 | |
| Paychex, Inc. | | | 9,440 | | | | 566,022 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| IT Services - 4.8% (continued) | |
| PayPal Holdings, Inc. * | | | 77,299 | | | $ | 4,949,455 | |
| Sabre Corp. | | | 27,749 | | | | 502,257 | |
| Square, Inc., Class A* | | | 64,696 | | | | 1,863,892 | |
| Total System Services, Inc. | | | 17,389 | | | | 1,138,979 | |
| Vantiv, Inc., Class A * | | | 19,761 | | | | 1,392,558 | |
| Visa, Inc., Class A | | | 112,093 | | | | 11,796,667 | |
| Western Union Co. (The) | | | 15,876 | | | | 304,819 | |
| | | | | | | | |
| | | | | | | 47,346,484 | |
| | | | | | | | |
| Leisure Products - 0.2% | |
| Hasbro, Inc. | | | 18,329 | | | | 1,790,193 | |
| | | | | | | | |
|
| Life Sciences Tools & Services - 1.1% | |
| Agilent Technologies, Inc. | | | 12,794 | | | | 821,375 | |
| Bio-Rad Laboratories, Inc., Class A * | | | 5,986 | | | | 1,330,209 | |
| Bruker Corp. | | | 24,778 | | | | 737,146 | |
| Charles River Laboratories International, Inc. * | | | 6,903 | | | | 745,662 | |
| Illumina, Inc. * | | | 3,093 | | | | 616,126 | |
| Mettler-Toledo International, Inc. * | | | 2,907 | | | | 1,820,247 | |
| PerkinElmer, Inc. | | | 9,553 | | | | 658,870 | |
| QIAGEN NV * | | | 20,348 | | | | 640,962 | |
| Quintiles IMS Holdings, Inc. * | | | 13,079 | | | | 1,243,421 | |
| Thermo Fisher Scientific, Inc. | | | 4,936 | | | | 933,891 | |
| Waters Corp. * | | | 6,470 | | | | 1,161,494 | |
| | | | | | | | |
| | | | | | | 10,709,403 | |
| | | | | | | | |
| Machinery - 3.3% | |
| Caterpillar, Inc. | | | 44,701 | | | | 5,574,662 | |
| Colfax Corp. * | | | 22,860 | | | | 951,890 | |
| Crane Co. | | | 5,907 | | | | 472,501 | |
| Cummins, Inc. | | | 10,655 | | | | 1,790,360 | |
| Deere & Co. | | | 24,895 | | | | 3,126,563 | |
| Fortive Corp. | | | 28,938 | | | | 2,048,521 | |
| Illinois Tool Works, Inc. | | | 31,382 | | | | 4,643,281 | |
| Ingersoll-Rand plc | | | 22,376 | | | | 1,995,268 | |
| Middleby Corp. (The) * | | | 3,107 | | | | 398,224 | |
| Nordson Corp. | | | 6,333 | | | | 750,460 | |
| Oshkosh Corp. | | | 35,669 | | | | 2,944,119 | |
| PACCAR, Inc. | | | 9,482 | | | | 685,928 | |
| Parker-Hannifin Corp. | | | 7,923 | | | | 1,386,683 | |
| Snap-on, Inc. | | | 4,119 | | | | 613,772 | |
| Stanley Black & Decker, Inc. | | | 5,348 | | | | 807,388 | |
| Toro Co. (The) | | | 36,514 | | | | 2,266,059 | |
| Trinity Industries, Inc. | | | 24,985 | | | | 797,022 | |
| Xylem, Inc. | | | 20,472 | | | | 1,282,161 | |
| | | | | | | | |
| | | | | | | 32,534,862 | |
| | | | | | | | |
| Media - 2.6% | |
| CBS Corp. (Non-Voting), Class B | | | 20,748 | | | | 1,203,384 | |
| Charter Communications, Inc., Class A * | | | 28,372 | | | | 10,310,952 | |
| Comcast Corp., Class A | | | 276,913 | | | | 10,655,612 | |
| DISH Network Corp., Class A * | | | 13,142 | | | | 712,691 | |
| Liberty Broadband Corp. * | | | 11,950 | | | | 1,138,835 | |
| Madison Square Garden Co. (The), Class A * | | | 2,525 | | | | 540,603 | |
| Sirius XM Holdings, Inc. (a) | | | 173,308 | | | | 956,660 | |
| | | | | | | | |
| | | | | | | 25,518,737 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
98
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Metals & Mining - 0.4% | |
| Nucor Corp. | | | 7,182 | | | $ | 402,479 | |
| Reliance Steel & Aluminum Co. | | | 5,371 | | | | 409,109 | |
| Royal Gold, Inc. | | | 7,745 | | | | 666,380 | |
| Steel Dynamics, Inc. | | | 61,620 | | | | 2,124,042 | |
| | | | | | | | |
| | | | | | | 3,602,010 | |
| | | | | | | | |
| Multi-Utilities - 0.2% | |
| Ameren Corp. | | | 4,874 | | | | 281,912 | |
| CenterPoint Energy, Inc. | | | 18,804 | | | | 549,265 | |
| DTE Energy Co. | | | 5,161 | | | | 554,085 | |
| MDU Resources Group, Inc. | | | 15,343 | | | | 398,151 | |
| NiSource, Inc. | | | 27,883 | | | | 713,526 | |
| | | | | | | | |
| | | | | | | 2,496,939 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels - 0.8% | |
| Andeavor | | | 5,167 | | | | 532,976 | |
| CONSOL Energy, Inc. * | | | 41,045 | | | | 695,302 | |
| Diamondback Energy, Inc. * | | | 3,315 | | | | 324,738 | |
| Laredo Petroleum, Inc. * | | | 48,596 | | | | 628,346 | |
| Marathon Petroleum Corp. | | | 26,053 | | | | 1,461,052 | |
| Parsley Energy, Inc., Class A * | | | 15,135 | | | | 398,656 | |
| PBF Energy, Inc., Class A (a) | | | 19,928 | | | | 550,212 | |
| Targa Resources Corp. | | | 17,119 | | | | 809,729 | |
| Valero Energy Corp. | | | 6,967 | | | | 535,971 | |
| Williams Cos., Inc. (The) | | | 52,864 | | | | 1,586,449 | |
| | | | | | | | |
| | | | | | | 7,523,431 | |
| | | | | | | | |
| Personal Products - 0.1% | |
| Edgewell Personal Care Co. * | | | 4,753 | | | | 345,876 | |
| Nu Skin Enterprises, Inc., Class A | | | 8,923 | | | | 548,586 | |
| | | | | | | | |
| | | | | | | 894,462 | |
| | | | | | | | |
| Pharmaceuticals - 0.3% | |
| Merck & Co., Inc. | | | 11,263 | | | | 721,170 | |
| Zoetis, Inc. | | | 29,619 | | | | 1,888,507 | |
| | | | | | | | |
| | | | | | | 2,609,677 | |
| | | | | | | | |
| Professional Services - 0.2% | |
| Equifax, Inc. | | | 10,815 | | | | 1,146,282 | |
| Verisk Analytics, Inc. * | | | 10,952 | | | | 911,097 | |
| | | | | | | | |
| | | | | | | 2,057,379 | |
| | | | | | | | |
| Road & Rail - 1.5% | |
| AMERCO | | | 3,404 | | | | 1,276,160 | |
| CSX Corp. | | | 109,619 | | | | 5,947,927 | |
| Genesee & Wyoming, Inc., Class A * | | | 6,857 | | | | 507,486 | |
| JB Hunt Transport Services, Inc. | | | 4,202 | | | | 466,758 | |
| Norfolk Southern Corp. | | | 24,887 | | | | 3,291,057 | |
| Old Dominion Freight Line, Inc. | | | 7,162 | | | | 788,608 | |
| Union Pacific Corp. | | | 22,422 | | | | 2,600,279 | |
| | | | | | | | |
| | | | | | | 14,878,275 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment - 5.7% | |
| Advanced Micro Devices, Inc. * | | | 121,156 | | | | 1,544,739 | |
| Analog Devices, Inc. | | | 28,428 | | | | 2,449,641 | |
| Applied Materials, Inc. | | | 118,044 | | | | 6,148,912 | |
| Broadcom Ltd. | | | 39,001 | | | | 9,459,303 | |
| Cavium, Inc. * | | | 7,726 | | | | 509,452 | |
| Cypress Semiconductor Corp. (a) | | | 19,917 | | | | 299,153 | |
| First Solar, Inc. * | | | 7,828 | | | | 359,149 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Semiconductors & Semiconductor Equipment - 5.7% (continued) | |
| KLA-Tencor Corp. | | | 5,142 | | | $ | 545,052 | |
| Lam Research Corp. | | | 20,109 | | | | 3,720,969 | |
| Marvell Technology Group Ltd. | | | 65,049 | | | | 1,164,377 | |
| Maxim Integrated Products, Inc. | | | 23,643 | | | | 1,128,008 | |
| Microchip Technology, Inc. | | | 24,027 | | | | 2,157,144 | |
| Micron Technology, Inc. * | | | 128,536 | | | | 5,055,321 | |
| NVIDIA Corp. | | | 56,075 | | | | 10,024,528 | |
| ON Semiconductor Corp. * | | | 82,670 | | | | 1,526,915 | |
| Qorvo, Inc. * | | | 6,702 | | | | 473,697 | |
| Skyworks Solutions, Inc. | | | 18,116 | | | | 1,846,020 | |
| Teradyne, Inc. | | | 24,948 | | | | 930,311 | |
| Texas Instruments, Inc. | | | 62,332 | | | | 5,587,440 | |
| Xilinx, Inc. | | | 29,171 | | | | 2,066,182 | |
| | | | | | | | |
| | | | | | | 56,996,313 | |
| | | | | | | | |
| Software - 8.7% | |
| Activision Blizzard, Inc. | | | 86,340 | | | | 5,569,793 | |
| Adobe Systems, Inc. * | | | 49,849 | | | | 7,436,474 | |
| ANSYS, Inc. * | | | 5,600 | | | | 687,288 | |
| Autodesk, Inc. * | | | 24,649 | | | | 2,767,097 | |
| Cadence Design Systems, Inc. * | | | 31,925 | | | | 1,260,080 | |
| CDK Global, Inc. | | | 22,987 | | | | 1,450,250 | |
| Citrix Systems, Inc. * | | | 12,021 | | | | 923,453 | |
| Electronic Arts, Inc. * | | | 38,424 | | | | 4,536,337 | |
| Intuit, Inc. | | | 14,124 | | | | 2,007,585 | |
| Microsoft Corp. | | | 537,365 | | | | 40,028,319 | |
| Nuance Communications, Inc. * | | | 49,154 | | | | 772,701 | |
| Oracle Corp. | | | 90,257 | | | | 4,363,926 | |
| PTC, Inc. * | | | 12,514 | | | | 704,288 | |
| Red Hat, Inc. * | | | 4,254 | | | | 471,598 | |
| salesforce.com, Inc. * | | | 6,930 | | | | 647,401 | |
| ServiceNow, Inc. * | | | 19,849 | | | | 2,332,853 | |
| SS&C Technologies Holdings, Inc. | | | 16,904 | | | | 678,696 | |
| Symantec Corp. | | | 75,689 | | | | 2,483,356 | |
| Synopsys, Inc. * | | | 15,227 | | | | 1,226,230 | |
| Take-Two Interactive Software, Inc. * | | | 20,096 | | | | 2,054,414 | |
| Ultimate Software Group, Inc. (The) * | | | 5,637 | | | | 1,068,775 | |
| VMware, Inc., Class A *(a) | | | 29,663 | | | | 3,238,903 | |
| | | | | | | | |
| | | | | | | 86,709,817 | |
| | | | | | | | |
| Specialty Retail - 0.6% | |
| Best Buy Co., Inc. | | | 38,862 | | | | 2,213,580 | |
| Burlington Stores, Inc. * | | | 19,291 | | | | 1,841,519 | |
| Michaels Cos., Inc. (The) * | | | 21,313 | | | | 457,590 | |
| Murphy USA, Inc. * | | | 6,252 | | | | 431,388 | |
| Ulta Beauty, Inc. * | | | 5,602 | | | | 1,266,388 | |
| | | | | | | | |
| | | | | | | 6,210,465 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals - 6.3% | |
| Apple, Inc. | | | 342,441 | | | | 52,777,007 | |
| Hewlett Packard Enterprise Co. | | | 95,354 | | | | 1,402,657 | |
| HP, Inc. | | | 157,397 | | | | 3,141,644 | |
| NCR Corp. * | | | 25,340 | | | | 950,757 | |
| NetApp, Inc. | | | 17,556 | | | | 768,251 | |
| Western Digital Corp. | | | 38,626 | | | | 3,337,286 | |
| | | | | | | | |
| | | | | | | 62,377,602 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
99
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Textiles, Apparel & Luxury Goods - 0.1% | |
| PVH Corp. | | | 4,356 | | | $ | 549,118 | |
| Skechers U.S.A., Inc., Class A * | | | 21,170 | | | | 531,155 | |
| | | | | | | | |
| | | | | | | 1,080,273 | |
| | | | | | | | |
| Thrifts & Mortgage Finance - 0.1% | | | | | | |
| TFS Financial Corp. | | | 41,075 | | | | 662,540 | |
| | | | | | | | |
| | |
| Tobacco - 0.4% | | | | | | |
| Altria Group, Inc. | | | 16,731 | | | | 1,061,080 | |
| Philip Morris International, Inc. | | | 29,198 | | | | 3,241,270 | |
| | | | | | | | |
| | | | | | | 4,302,350 | |
| | | | | | | | |
| Trading Companies & Distributors - 0.4% | |
| MSC Industrial Direct Co., Inc., Class A | | | 4,795 | | | | 362,358 | |
| United Rentals, Inc. * | | | 19,901 | | | | 2,761,065 | |
| Watsco, Inc. | | | 3,619 | | | | 582,912 | |
| WESCO International, Inc. * | | | 8,625 | | | | 502,406 | |
| | | | | | | | |
| | | | | | | 4,208,741 | |
| | | | | | | | |
| Water Utilities - 0.1% | | | | | | |
| American Water Works Co., Inc. | | | 13,415 | | | | 1,085,408 | |
| Aqua America, Inc. | | | 9,149 | | | | 303,655 | |
| | | | | | | | |
| | | | | | | 1,389,063 | |
| | | | | | | | |
| Wireless Telecommunication Services - 0.9% | |
| Sprint Corp. *(a) | | | 466,550 | | | | 3,629,759 | |
| T-Mobile US, Inc. * | | | 79,800 | | | | 4,920,468 | |
| | | | | | | | |
| | | | | | | 8,550,227 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $762,260,210) | | | | | | | 967,807,310 | |
| | | | | | | | |
| | |
| SHORT-TERM INVESTMENT - 2.7% | | | | | | |
| | |
| Investment Company - 2.7% | | | | | | |
| Limited Purpose Cash Investment Fund, 0.97% (2)(c) | | | | | | | | |
(Cost $26,952,776) | | | 26,955,472 | | | | 26,952,776 | |
| | | | | | | | |
|
| SECURITIES LENDING COLLATERAL - 1.7% | |
| | |
| Investment Companies - 1.7% | | | | | | |
| Investments in a Pooled Account through Securities Lending Program with Citibank NA | | | | | | | | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.91% (2)(c)(d) | | | 2,625,763 | | | | 2,625,763 | |
UBS Asset Management Americas, Inc. 1.10% (2)(c)(d) | | | 12,205,405 | | | | 12,205,405 | |
| 1.16% (2)(c)(d) | | | 2,034,234 | | | | 2,034,234 | |
| | | | | | | | |
TOTAL SECURITIES LENDING COLLATERAL
(Cost $16,865,402) | | | | | | | 16,865,402 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 101.7%
(Cost $806,078,388) | | | | | | | 1,011,625,488 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (1.7)% (e) | | | | | (16,973,985) | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 994,651,503 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 125,147,551 | | | | 12.6 | % |
| Consumer Staples | | | 13,767,863 | | | | 1.4 | |
| Energy | | | 9,728,427 | | | | 1.0 | |
| Financials | | | 192,302,460 | | | | 19.3 | |
| Health Care | | | 92,434,928 | | | | 9.3 | |
| Industrials | | | 126,565,616 | | | | 12.7 | |
| Information Technology | | | 351,353,323 | | | | 35.4 | |
| Materials | | | 24,936,546 | | | | 2.5 | |
| Real Estate | | | 15,132,679 | | | | 1.5 | |
| Telecommunication Services | | | 9,018,201 | | | | 0.9 | |
| Utilities | | | 7,419,716 | | | | 0.7 | |
| Short-Term Investment | | | 26,952,776 | | | | 2.7 | |
| Securities Lending Collateral | | | 16,865,402 | | | | 1.7 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 1,011,625,488 | | | | 101.7 | |
| | | | | | | | |
| Liabilities in Excess of Other Assets (e) | | | (16,973,985 | ) | | | (1.7 | ) |
| | | | | | | | |
Net Assets | | $ | 994,651,503 | | | | 100.0 | % |
| | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| * | Non-income producing security. |
| (a) | The security or a portion of this security is on loan at September 30, 2017. The total value of securities on loan at September 30, 2017 was $16,410,473. |
| (b) | Represents less than 0.05% of net assets. |
| (c) | Represents 7-day effective yield as of September 30, 2017. |
| (d) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
| (e) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 4). |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
100
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP MOMENTUM STYLE FUND | | | | |
Futures contracts outstanding as of September 30, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | |
| S&P 500 E-Mini Index | | 127 | | 12/2017 | | | USD | | | | $15,977,235 | | | | $226,391 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $226,391 | |
| | | | | | | | | | | | | | | | |
USD - United States Dollar
Collateral pledged to, or (received from), each counterparty at September 30, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED | | | TOTAL | |
| BARC | | | | | | | | | |
| Cash | | $ | — | | | $ | 398,648 | | | $ | 398,648 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
101
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| COMMON STOCKS - 98.3% | |
|
| Aerospace & Defense - 1.5% | |
| AAR Corp. | | | 8,237 | | | $ | 311,194 | |
| Aerojet Rocketdyne Holdings, Inc. * | | | 15,184 | | | | 531,592 | |
| Aerovironment, Inc. * | | | 6,982 | | | | 377,866 | |
| Axon Enterprise, Inc. *(a) | | | 7,761 | | | | 175,942 | |
| Curtiss-Wright Corp. | | | 2,253 | | | | 235,528 | |
| Ducommun, Inc. * | | | 7,860 | | | | 251,913 | |
| Engility Holdings, Inc. * | | | 8,188 | | | | 283,960 | |
| Esterline Technologies Corp. * | | | 2,736 | | | | 246,650 | |
| KeyW Holding Corp. (The) * | | | 16,357 | | | | 124,477 | |
| KLX, Inc. * | | | 11,804 | | | | 624,786 | |
| Kratos Defense & Security Solutions, Inc. * | | | 57,558 | | | | 752,859 | |
| Mercury Systems, Inc. * | | | 23,223 | | | | 1,204,809 | |
| National Presto Industries, Inc. | | | 1,715 | | | | 182,562 | |
| Vectrus, Inc. * | | | 4,424 | | | | 136,436 | |
| | | | | | | | |
| | | | | | | 5,440,574 | |
| | | | | | | | |
| Air Freight & Logistics - 0.3% | | | | | | |
| Air Transport Services Group, Inc. * | | | 27,367 | | | | 666,113 | |
| Atlas Air Worldwide Holdings, Inc. * | | | 4,941 | | | | 325,118 | |
| | | | | | | | |
| | | | | | | 991,231 | |
| | | | | | | | |
| Airlines - 0.2% | | | | | | |
| SkyWest, Inc. | | | 17,903 | | | | 785,942 | |
| | | | | | | | |
|
| Auto Components - 1.1% | |
| Cooper-Standard Holdings, Inc. * | | | 3,366 | | | | 390,355 | |
| Dana, Inc. | | | 37,648 | | | | 1,052,638 | |
| Dorman Products, Inc. * | | | 8,559 | | | | 612,995 | |
| Fox Factory Holding Corp. * | | | 16,818 | | | | 724,856 | |
| LCI Industries | | | 2,396 | | | | 277,577 | |
| Modine Manufacturing Co. * | | | 10,588 | | | | 203,819 | |
| Motorcar Parts of America, Inc. * | | | 6,430 | | | | 189,428 | |
| Standard Motor Products, Inc. | | | 3,856 | | | | 186,052 | |
| Stoneridge, Inc. * | | | 11,593 | | | | 229,657 | |
| Tower International, Inc. | | | 5,389 | | | | 146,581 | |
| | | | | | | | |
| | | | | | | 4,013,958 | |
| | | | | | | | |
| Automobiles - 0.1% | |
| Winnebago Industries, Inc. | | | 8,584 | | | | 384,134 | |
| | | | | | | | |
|
| Banks - 11.5% | |
| 1st Source Corp. | | | 6,435 | | | | 326,898 | |
| Ameris Bancorp | | | 15,452 | | | | 741,696 | |
| BancFirst Corp. | | | 9,420 | | | | 534,585 | |
| BancorpSouth, Inc. | | | 6,691 | | | | 214,447 | |
| Berkshire Hills Bancorp, Inc. | | | 4,880 | | | | 189,100 | |
| Boston Private Financial Holdings, Inc. | | | 30,780 | | | | 509,409 | |
| Brookline Bancorp, Inc. | | | 8,843 | | | | 137,067 | |
| Bryn Mawr Bank Corp. | | | 4,081 | | | | 178,748 | |
| Camden National Corp. | | | 3,937 | | | | 171,811 | |
| Carolina Financial Corp. | | | 6,203 | | | | 222,564 | |
| CenterState Bank Corp. | | | 36,559 | | | | 979,781 | |
| Central Pacific Financial Corp. | | | 12,758 | | | | 410,552 | |
| Chemical Financial Corp. | | | 4,969 | | | | 259,680 | |
| City Holding Co. | | | 2,567 | | | | 184,593 | |
| Columbia Banking System, Inc. | | | 4,340 | | | | 182,757 | |
| Community Bank System, Inc. | | | 15,792 | | | | 872,508 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Banks - 11.5% (continued) | |
| ConnectOne Bancorp, Inc. | | | 14,637 | | | $ | 360,070 | |
| Customers Bancorp, Inc. * | | | 3,792 | | | | 123,695 | |
| CVB Financial Corp. | | | 7,436 | | | | 179,728 | |
| Eagle Bancorp, Inc. * | | | 11,805 | | | | 791,525 | |
| Enterprise Financial Services Corp. | | | 15,527 | | | | 657,568 | |
| Farmers Capital Bank Corp. | | | 3,251 | | | | 136,705 | |
| FCB Financial Holdings, Inc., Class A * | | | 16,616 | | | | 802,553 | |
| Fidelity Southern Corp. | | | 17,798 | | | | 420,745 | |
| First Bancorp | | | 3,337 | | | | 114,826 | |
| First Bancorp * | | | 68,203 | | | | 349,199 | |
| First Busey Corp. | | | 8,297 | | | | 260,194 | |
| First Citizens BancShares, Inc., Class A | | | 2,093 | | | | 782,552 | |
| First Commonwealth Financial Corp. | | | 45,442 | | | | 642,095 | |
| First Financial Bancorp | | | 17,714 | | | | 463,221 | |
| First Financial Bankshares, Inc. (a) | | | 10,172 | | | | 459,774 | |
| First Interstate BancSystem, Inc., Class A | | | 18,329 | | | | 701,084 | |
| First Merchants Corp. | | | 19,729 | | | | 846,966 | |
| Flushing Financial Corp. | | | 7,004 | | | | 208,159 | |
| Franklin Financial Network, Inc. * | | | 4,121 | | | | 146,914 | |
| Fulton Financial Corp. | | | 39,429 | | | | 739,294 | |
| German American Bancorp, Inc. | | | 3,585 | | | | 136,338 | |
| Glacier Bancorp, Inc. | | | 7,663 | | | | 289,355 | |
| Great Southern Bancorp, Inc. | | | 4,133 | | | | 230,001 | |
| Great Western Bancorp, Inc. | | | 15,227 | | | | 628,571 | |
| Green Bancorp, Inc. * | | | 23,620 | | | | 558,613 | |
| Guaranty Bancorp | | | 13,125 | | | | 364,875 | |
| Hancock Holding Co. | | | 40,709 | | | | 1,972,351 | |
| Hanmi Financial Corp. | | | 13,205 | | | | 408,695 | |
| Heartland Financial USA, Inc. | | | 12,207 | | | | 603,026 | |
| Hilltop Holdings, Inc. | | | 13,540 | | | | 352,040 | |
| Home BancShares, Inc. | | | 8,752 | | | | 220,725 | |
| IBERIABANK Corp. | | | 2,992 | | | | 245,793 | |
| Independent Bank Corp./MA | | | 7,977 | | | | 595,483 | |
| Independent Bank Corp./MI | | | 31,317 | | | | 709,330 | |
| Independent Bank Group, Inc. | | | 11,331 | | | | 683,259 | |
| International Bancshares Corp. | | | 10,287 | | | | 412,509 | |
| Lakeland Bancorp, Inc. | | | 23,423 | | | | 477,829 | |
| Lakeland Financial Corp. | | | 15,871 | | | | 773,235 | |
| LegacyTexas Financial Group, Inc. | | | 11,220 | | | | 447,902 | |
| Live Oak Bancshares, Inc. | | | 7,942 | | | | 186,240 | |
| MB Financial, Inc. | | | 3,866 | | | | 174,047 | |
| National Bank Holdings Corp., Class A | | | 12,051 | | | | 430,100 | |
| NBT Bancorp, Inc. | | | 9,702 | | | | 356,257 | |
| OFG Bancorp (a) | | | 27,612 | | | | 252,650 | |
| Old National Bancorp | | | 12,686 | | | | 232,154 | |
| Pacific Premier Bancorp, Inc. * | | | 14,080 | | | | 531,520 | |
| Preferred Bank | | | 13,009 | | | | 785,093 | |
| QCR Holdings, Inc. | | | 9,243 | | | | 420,557 | |
| Renasant Corp. | | | 3,073 | | | | 131,832 | |
| Republic First Bancorp, Inc. *(a) | | | 35,119 | | | | 324,851 | |
| S&T Bancorp, Inc. | | | 3,731 | | | | 147,673 | |
| Sandy Spring Bancorp, Inc. | | | 8,198 | | | | 339,725 | |
| Seacoast Banking Corp. of Florida * | | | 23,688 | | | | 565,906 | |
| ServisFirst Bancshares, Inc. | | | 36,620 | | | | 1,422,687 | |
| Southside Bancshares, Inc. | | | 16,748 | | | | 608,957 | |
| State Bank Financial Corp. | | | 5,880 | | | | 168,462 | |
| Sterling Bancorp | | | 58,623 | | | | 1,445,057 | |
| Stock Yards Bancorp, Inc. | | | 8,250 | | | | 313,500 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
102
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Banks - 11.5% (continued) | |
| Texas Capital Bancshares, Inc. * | | | 21,006 | | | $ | 1,802,315 | |
| Tompkins Financial Corp. | | | 5,057 | | | | 435,610 | |
| Towne Bank | | | 30,432 | | | | 1,019,472 | |
| TriState Capital Holdings, Inc. * | | | 13,169 | | | | 301,570 | |
| Triumph Bancorp, Inc. * | | | 9,529 | | | | 307,310 | |
| Trustmark Corp. | | | 13,962 | | | | 462,421 | |
| UMB Financial Corp. | | | 12,667 | | | | 943,565 | |
| Union Bankshares Corp. | | | 11,576 | | | | 408,633 | |
| United Community Banks, Inc. | | | 31,765 | | | | 906,573 | |
| Univest Corp. of Pennsylvania | | | 8,294 | | | | 265,408 | |
| Veritex Holdings, Inc. * | | | 11,255 | | | | 303,435 | |
| Washington Trust Bancorp, Inc. | | | 3,886 | | | | 222,474 | |
| Wintrust Financial Corp. | | | 14,581 | | | | 1,141,838 | |
| | | | | | | | |
| | | | | | | 42,770,885 | |
| | | | | | | | |
| Beverages - 1.1% | |
| Castle Brands, Inc. *(a) | | | 143,592 | | | | 192,413 | |
| Coca-Cola Bottling Co. Consolidated | | | 2,775 | | | | 598,706 | |
| Craft Brew Alliance, Inc. * | | | 13,506 | | | | 237,031 | |
| MGP Ingredients, Inc. (a) | | | 14,063 | | | | 852,640 | |
| National Beverage Corp. | | | 19,300 | | | | 2,394,165 | |
| | | | | | | | |
| | | | | | | 4,274,955 | |
| | | | | | | | |
| Biotechnology - 10.6% | |
| Abeona Therapeutics, Inc.*(a) | | | 38,497 | | | | 656,374 | |
| Achaogen, Inc. *(a) | | | 28,492 | | | | 454,447 | |
| Aimmune Therapeutics, Inc. * | | | 26,060 | | | | 646,027 | |
| Akebia Therapeutics, Inc. * | | | 21,111 | | | | 415,253 | |
| Amicus Therapeutics, Inc. * | | | 66,758 | | | | 1,006,711 | |
| Arena Pharmaceuticals, Inc. * | | | 5,082 | | | | 129,591 | |
| Array BioPharma, Inc. *(a) | | | 98,308 | | | | 1,209,188 | |
| Avexis, Inc. * | | | 15,867 | | | | 1,534,815 | |
| Axovant Sciences Ltd. *(a) | | | 22,474 | | | | 154,621 | |
| BioCryst Pharmaceuticals, Inc. *(a) | | | 61,801 | | | | 323,837 | |
| BioSpecifics Technologies Corp. * | | | 3,380 | | | | 157,238 | |
| Bluebird Bio, Inc. * | | | 20,714 | | | | 2,845,068 | |
| Blueprint Medicines Corp. * | | | 22,108 | | | | 1,540,264 | |
| Calithera Biosciences, Inc. * | | | 30,789 | | | | 484,927 | |
| Cara Therapeutics, Inc. *(a) | | | 26,544 | | | | 363,387 | |
| Catalyst Pharmaceuticals, Inc. * | | | 86,974 | | | | 219,174 | |
| Clovis Oncology, Inc. * | | | 20,590 | | | | 1,696,616 | |
| Conatus Pharmaceuticals, Inc. * | | | 37,639 | | | | 206,638 | |
| Corbus Pharmaceuticals Holdings, Inc. *(a) | | | 43,746 | | | | 312,784 | |
| CTI BioPharma Corp. * | | | 7,700 | | | | 24,563 | |
| Cytokinetics, Inc. * | | | 23,734 | | | | 344,143 | |
| CytomX Therapeutics, Inc. * | | | 16,047 | | | | 291,574 | |
| Dynavax Technologies Corp. * | | | 5,125 | | | | 110,187 | |
| Eagle Pharmaceuticals, Inc. *(a) | | | 5,706 | | | | 340,306 | |
| Enanta Pharmaceuticals, Inc. * | | | 7,995 | | | | 374,166 | |
| Epizyme, Inc. * | | | 20,024 | | | | 381,457 | |
| Esperion Therapeutics, Inc. *(a) | | | 17,960 | | | | 900,155 | |
| Exact Sciences Corp. * | | | 51,115 | | | | 2,408,539 | |
| FibroGen, Inc. * | | | 37,229 | | | | 2,002,920 | |
| Flexion Therapeutics, Inc. * | | | 5,453 | | | | 131,854 | |
| Foundation Medicine, Inc. *(a) | | | 16,549 | | | | 665,270 | |
| Global Blood Therapeutics, Inc. * | | | 15,873 | | | | 492,857 | |
| Halozyme Therapeutics, Inc. * | | | 37,536 | | | | 652,000 | |
| Ignyta, Inc. * | | | 40,551 | | | | 500,805 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Biotechnology - 10.6% (continued) | |
| ImmunoGen, Inc. *(a) | | | 57,121 | | | $ | 436,976 | |
| Immunomedics, Inc. *(a) | | | 81,742 | | | | 1,142,753 | |
| Insmed, Inc. *(a) | | | 3,937 | | | | 122,874 | |
| Ironwood Pharmaceuticals, Inc. * | | | 23,531 | | | | 371,084 | |
| Keryx Biopharmaceuticals, Inc. * | | | 28,069 | | | | 199,290 | |
| Lexicon Pharmaceuticals, Inc. *(a) | | | 9,957 | | | | 122,372 | |
| Loxo Oncology, Inc. * | | | 14,807 | | | | 1,364,021 | |
| MiMedx Group, Inc. *(a) | | | 51,770 | | | | 615,028 | |
| Minerva Neurosciences, Inc. * | | | 18,386 | | | | 139,734 | |
| Momenta Pharmaceuticals, Inc. * | | | 12,254 | | | | 226,699 | |
| Myriad Genetics, Inc. * | | | 3,505 | | | | 126,811 | |
| Ohr Pharmaceutical, Inc. * | | | 7,600 | | | | 5,472 | |
| Peregrine Pharmaceuticals, Inc. * | | | 25,915 | | | | 81,373 | |
| Pieris Pharmaceuticals, Inc. * | | | 62,341 | | | | 359,084 | |
| Portola Pharmaceuticals, Inc. * | | | 27,130 | | | | 1,465,834 | |
| Progenics Pharmaceuticals, Inc. * | | | 15,241 | | | | 112,174 | |
| Prothena Corp. plc (Ireland) * | | | 2,118 | | | | 137,183 | |
| PTC Therapeutics, Inc. * | | | 25,642 | | | | 513,096 | |
| Puma Biotechnology, Inc. * | | | 15,916 | | | | 1,905,941 | |
| REGENXBIO, Inc. * | | | 28,559 | | | | 941,019 | |
| Repligen Corp. * | | | 14,547 | | | | 557,441 | |
| Retrophin, Inc. * | | | 9,432 | | | | 234,762 | |
| Sage Therapeutics, Inc. * | | | 14,941 | | | | 930,824 | |
| Sangamo Therapeutics, Inc. * | | | 51,312 | | | | 769,680 | |
| Sarepta Therapeutics, Inc. * | | | 23,019 | | | | 1,044,142 | |
| Spark Therapeutics, Inc. * | | | 2,549 | | | | 227,269 | |
| Spectrum Pharmaceuticals, Inc. * | | | 10,431 | | | | 146,764 | |
| Stemline Therapeutics, Inc. * | | | 17,327 | | | | 192,330 | |
| TG Therapeutics, Inc. *(a) | | | 42,766 | | | | 506,777 | |
| Vanda Pharmaceuticals, Inc. * | | | 10,145 | | | | 181,596 | |
| Versartis, Inc. * | | | 10,971 | | | | 26,879 | |
| Xencor, Inc. * | | | 9,810 | | | | 224,845 | |
| | | | | | | | |
| | | | | | | 39,409,883 | |
| | | | | | | | |
| Building Products - 0.9% | |
| AAON, Inc. | | | 11,411 | | | | 393,394 | |
| American Woodmark Corp. * | | | 2,199 | | | | 211,654 | |
| Builders FirstSource, Inc. * | | | 9,381 | | | | 168,764 | |
| Gibraltar Industries, Inc. * | | | 5,685 | | | | 177,088 | |
| Griffon Corp. | | | 14,851 | | | | 329,692 | |
| Insteel Industries, Inc. | | | 5,358 | | | | 139,897 | |
| NCI Building Systems, Inc. * | | | 11,901 | | | | 185,656 | |
| Patrick Industries, Inc. * | | | 5,960 | | | | 501,236 | |
| PGT Innovations, Inc. * | | | 16,718 | | | | 249,934 | |
| Ply Gem Holdings, Inc. * | | | 7,520 | | | | 128,216 | |
| Trex Co., Inc. * | | | 10,340 | | | | 931,324 | |
| | | | | | | | |
| | | | | | | 3,416,855 | |
| | | | | | | | |
| Capital Markets - 1.6% | |
| Arlington Asset Investment Corp., Class A (a) | | | 9,426 | | | | 119,993 | |
| B. Riley Financial, Inc. | | | 12,270 | | | | 209,203 | |
| Diamond Hill Investment Group, Inc. | | | 1,639 | | | | 348,042 | |
| Evercore, Inc., Class A | | | 10,903 | | | | 874,966 | |
| Financial Engines, Inc. | | | 6,121 | | | | 212,705 | |
| GAIN Capital Holdings, Inc. | | | 24,292 | | | | 155,226 | |
| Houlihan Lokey, Inc. | | | 22,957 | | | | 898,307 | |
| INTL. FCStone, Inc. * | | | 6,700 | | | | 256,744 | |
| Moelis& Co., Class A | | | 22,631 | | | | 974,264 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
103
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Capital Markets - 1.6% (continued) | |
| Piper Jaffray Cos. | | | 7,162 | | | $ | 425,065 | |
| PJT Partners, Inc., Class A | | | 14,422 | | | | 552,507 | |
| Stifel Financial Corp. | | | 14,594 | | | | 780,195 | |
| | | | | | | | |
| | | | | | | 5,807,217 | |
| | | | | | | | |
| Chemicals - 2.2% | |
| American Vanguard Corp. | | | 9,893 | | | | 226,550 | |
| Balchem Corp. | | | 1,382 | | | | 112,343 | |
| Chase Corp. | | | 3,665 | | | | 408,281 | |
| Ferro Corp. * | | | 26,155 | | | | 583,256 | |
| GCP Applied Technologies, Inc. * | | | 5,784 | | | | 177,569 | |
| Ingevity Corp. * | | | 14,708 | | | | 918,809 | |
| Innophos Holdings, Inc. | | | 3,701 | | | | 182,052 | |
| Innospec, Inc. | | | 3,814 | | | | 235,133 | |
| Intrepid Potash, Inc. *(a) | | | 95,924 | | | | 418,228 | |
| KMG Chemicals, Inc. | | | 10,063 | | | | 552,257 | |
| Koppers Holdings, Inc. * | | | 5,945 | | | | 274,362 | |
| Kraton Corp. * | | | 3,175 | | | | 128,397 | |
| Kronos Worldwide, Inc. | | | 54,953 | | | | 1,254,577 | |
| Minerals Technologies, Inc. | | | 1,646 | | | | 116,290 | |
| Quaker Chemical Corp. | | | 3,374 | | | | 499,183 | |
| Sensient Technologies Corp. | | | 1,677 | | | | 128,995 | |
| Stepan Co. | | | 6,009 | | | | 502,713 | |
| Trinseo SA | | | 4,378 | | | | 293,764 | |
| Tronox Ltd., Class A | | | 58,167 | | | | 1,227,324 | |
| | | | | | | | |
| | | | | | | 8,240,083 | |
| | | | | | | | |
| Commercial Services & Supplies - 2.0% | |
| ABM Industries, Inc. | | | 8,276 | | | | 345,192 | |
| ACCO Brands Corp. * | | | 14,106 | | | | 167,861 | |
| Aqua Metals, Inc. *(a) | | | 16,382 | | | | 112,217 | |
| Brady Corp., Class A | | | 11,844 | | | | 449,480 | |
| Brink’s Co. (The) | | | 21,820 | | | | 1,838,335 | |
| Casella Waste Systems, Inc., Class A * | | | 31,416 | | | | 590,621 | |
| CECO Environmental Corp. | | | 14,459 | | | | 122,323 | |
| Ennis, Inc. | | | 10,681 | | | | 209,882 | |
| Healthcare Services Group, Inc. | | | 14,541 | | | | 784,778 | |
| Hudson Technologies, Inc. * | | | 21,628 | | | | 168,915 | |
| Kimball International, Inc., Class B | | | 9,927 | | | | 196,257 | |
| Matthews International Corp., Class A | | | 4,486 | | | | 279,253 | |
| MSA Safety, Inc. | | | 7,103 | | | | 564,759 | |
| Multi-Color Corp. | | | 2,315 | | | | 189,714 | |
| Quad/Graphics, Inc. | | | 6,078 | | | | 137,424 | |
| Tetra Tech, Inc. | | | 14,182 | | | | 660,172 | |
| US Ecology, Inc. | | | 3,206 | | | | 172,483 | |
| Viad Corp. | | | 8,505 | | | | 517,954 | |
| | | | | | | | |
| | | | | | | 7,507,620 | |
| | | | | | | | |
| Communications Equipment - 2.0% | |
| Applied Optoelectronics, Inc. *(a) | | | 10,463 | | | | 676,642 | |
| CalAmp Corp. * | | | 8,803 | | | | 204,670 | |
| Ciena Corp. * | | | 27,001 | | | | 593,212 | |
| Clearfield, Inc. * | | | 1,743 | | | | 23,705 | |
| Comtech Telecommunications Corp. | | | 7,139 | | | | 146,564 | |
| EMCORE Corp. * | | | 47,259 | | | | 387,524 | |
| Extreme Networks, Inc. * | | | 67,662 | | | | 804,501 | |
| Finisar Corp. * | | | 28,929 | | | | 641,356 | |
| Harmonic, Inc. * | | | 54,830 | | | | 167,231 | |
| InterDigital, Inc. | | | 3,978 | | | | 293,378 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Communications Equipment - 2.0% (continued) | |
| Lumentum Holdings, Inc. *(a) | | | 27,387 | | | $ | 1,488,483 | |
| NetScout Systems, Inc. * | | | 13,663 | | | | 441,998 | |
| Oclaro, Inc. *(a) | | | 61,512 | | | | 530,849 | |
| Sonus Networks, Inc. * | | | 14,857 | | | | 113,656 | |
| Ubiquiti Networks, Inc. *(a) | | | 6,623 | | | | 371,020 | |
| Viavi Solutions, Inc. * | | | 66,529 | | | | 629,364 | |
| | | | | | | | |
| | | | | | | 7,514,153 | |
| | | | | | | | |
| Construction & Engineering - 1.4% | |
| Aegion Corp. * | | | 6,788 | | | | 158,025 | |
| Argan, Inc. | | | 8,380 | | | | 563,555 | |
| Comfort Systems USA, Inc. | | | 6,501 | | | | 232,086 | |
| EMCOR Group, Inc. | | | 10,613 | | | | 736,330 | |
| HC2 Holdings, Inc. * | | | 27,896 | | | | 147,291 | |
| MasTec, Inc. * | | | 34,650 | | | | 1,607,760 | |
| MYR Group, Inc. * | | | 5,924 | | | | 172,625 | |
| NV5 Global, Inc. * | | | 12,212 | | | | 667,386 | |
| Orion Group Holdings, Inc. * | | | 11,898 | | | | 78,051 | |
| Primoris Services Corp. | | | 11,585 | | | | 340,831 | |
| Sterling Construction Co., Inc. * | | | 31,820 | | | | 484,618 | |
| Tutor Perini Corp. * | | | 8,464 | | | | 240,377 | |
| | | | | | | | |
| | | | | | | 5,428,935 | |
| | | | | | | | |
| Construction Materials - 0.3% | |
| Summit Materials, Inc., Class A* | | | 29,523 | | | | 945,622 | |
| US Concrete, Inc. *(a) | | | 3,660 | | | | 279,258 | |
| | | | | | | | |
| | | | | | | 1,224,880 | |
| | | | | | | | |
| Consumer Finance - 0.6% | |
| Encore Capital Group, Inc. *(a) | | | 6,634 | | | | 293,886 | |
| Enova International, Inc. * | | | 16,541 | | | | 222,476 | |
| Green Dot Corp., Class A * | | | 20,572 | | | | 1,019,960 | |
| Nelnet, Inc., Class A | | | 4,465 | | | | 225,483 | |
| Regional Management Corp. * | | | 7,164 | | | | 173,440 | |
| World Acceptance Corp. * | | | 2,365 | | | | 196,035 | |
| | | | | | | | |
| | | | | | | 2,131,280 | |
| | | | | | | | |
| Containers & Packaging - 0.3% | |
| Greif, Inc., Class A | | | 18,407 | | | | 1,077,546 | |
| | | | | | | | |
|
| Diversified Consumer Services - 1.9% | |
| Adtalem Global Education, Inc. | | | 20,429 | | | | 732,380 | |
| American Public Education, Inc. * | | | 756 | | | | 15,914 | |
| Bridgepoint Education, Inc. * | | | 14,224 | | | | 136,550 | |
| Capella Education Co. | | | 5,030 | | | | 352,854 | |
| Career Education Corp. * | | | 44,975 | | | | 467,290 | |
| Carriage Services, Inc. | | | 7,513 | | | | 192,333 | |
| Chegg, Inc. *(a) | | | 58,413 | | | | 866,849 | |
| Grand Canyon Education, Inc. * | | | 18,472 | | | | 1,677,627 | |
| K12, Inc. * | | | 15,726 | | | | 280,552 | |
| Sotheby’s * | | | 15,756 | | | | 726,509 | |
| Strayer Education, Inc. | | | 3,617 | | | | 315,656 | |
| Weight Watchers International, Inc. *(a) | | | 28,753 | | | | 1,252,193 | |
| | | | | | | | |
| | | | | | | 7,016,707 | |
| | | | | | | | |
| Diversified Telecommunication Services - 0.4% | |
| Cogent Communications Holdings, Inc. | | | 2,222 | | | | 108,656 | |
| Globalstar, Inc. *(a) | | | 379,174 | | | | 618,053 | |
| IDT Corp., Class B | | | 12,066 | | | | 169,889 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
104
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Diversified Telecommunication Services - 0.4% (continued) | |
| ORBCOMM, Inc. * | | | 27,576 | | | $ | 288,721 | |
| Vonage Holdings Corp. * | | | 17,798 | | | | 144,876 | |
| | | | | | | | |
| | | | | | | 1,330,195 | |
| | | | | | | | |
| Electric Utilities - 0.3% | |
| ALLETE, Inc. | | | 1,369 | | | | 105,810 | |
| MGE Energy, Inc. | | | 3,239 | | | | 209,240 | |
| Otter Tail Corp. | | | 3,477 | | | | 150,728 | |
| PNM Resources, Inc. | | | 4,731 | | | | 190,659 | |
| Spark Energy, Inc., Class A (a) | | | 23,632 | | | | 354,480 | |
| | | | | | | | |
| | | | | | | 1,010,917 | |
| | | | | | | | |
| Electrical Equipment - 0.1% | |
| Energous Corp. *(a) | | | 9,192 | | | | 116,371 | |
| EnerSys | | | 2,746 | | | | 189,941 | |
| Vivint Solar, Inc. *(a) | | | 29,759 | | | | 101,180 | |
| | | | | | | | |
| | | | | | | 407,492 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components - 3.7% | |
| Anixter International, Inc. * | | | 3,800 | | | | 323,000 | |
| AVX Corp. | | | 12,390 | | | | 225,870 | |
| Badger Meter, Inc. | | | 7,765 | | | | 380,485 | |
| Benchmark Electronics, Inc. * | | | 5,128 | | | | 175,121 | |
| Control4 Corp. * | | | 23,760 | | | | 699,970 | |
| CTS Corp. | | | 12,200 | | | | 294,020 | |
| Electro Scientific Industries, Inc. * | | | 13,751 | | | | 191,414 | |
| ePlus, Inc. * | | | 6,757 | | | | 624,685 | |
| Fabrinet (Thailand) * | | | 3,562 | | | | 132,008 | |
| II-VI, Inc. * | | | 27,273 | | | | 1,122,284 | |
| Insight Enterprises, Inc. * | | | 8,212 | | | | 377,095 | |
| Itron, Inc. * | | | 16,010 | | | | 1,239,974 | |
| KEMET Corp. * | | | 38,569 | | | | 814,963 | |
| Littelfuse, Inc. | | | 6,562 | | | | 1,285,364 | |
| Mesa Laboratories, Inc. (a) | | | 2,830 | | | | 422,576 | |
| Methode Electronics, Inc. | | | 8,212 | | | | 347,778 | |
| MicroVision, Inc. *(a) | | | 43,067 | | | | 119,726 | |
| Novanta, Inc. * | | | 18,678 | | | | 814,361 | |
| PC Connection, Inc. | | | 7,181 | | | | 202,432 | |
| PCM, Inc. * | | | 12,043 | | | | 168,602 | |
| Plexus Corp. * | | | 3,071 | | | | 172,222 | |
| Rogers Corp. * | | | 7,520 | | | | 1,002,266 | |
| Sanmina Corp. * | | | 25,396 | | | | 943,461 | |
| SYNNEX Corp. | | | 3,200 | | | | 404,832 | |
| Systemax, Inc. | | | 8,770 | | | | 231,791 | |
| Tech Data Corp. * | | | 3,190 | | | | 283,431 | |
| TTM Technologies, Inc. * | | | 40,172 | | | | 617,444 | |
| Vishay Intertechnology, Inc. | | | 9,569 | | | | 179,897 | |
| | | | | | | | |
| | | | | | | 13,797,072 | |
| | | | | | | | |
| Energy Equipment & Services - 0.5% | |
| Archrock, Inc. | | | 11,319 | | | | 142,053 | |
| Exterran Corp. * | | | 28,496 | | | | 900,759 | |
| McDermott International, Inc. * | | | 89,192 | | | | 648,426 | |
| Newpark Resources, Inc. * | | | 14,013 | | | | 140,130 | |
| | | | | | | | |
| | | | | | | 1,831,368 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (REITs) - 1.7% | |
| Agree Realty Corp. | | | 3,787 | | | | 185,866 | |
| Altisource Residential Corp. | | | 12,764 | | | | 141,808 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Equity Real Estate Investment Trusts (REITs) - 1.7% (continued) | |
| Bluerock Residential Growth REIT, Inc. | | | 11,974 | | | $ | 132,432 | |
| CareTrust REIT, Inc. | | | 6,037 | | | | 114,945 | |
| Community Healthcare Trust, Inc. | | | 9,346 | | | | 251,968 | |
| Four Corners Property Trust, Inc. | | | 5,023 | | | | 125,173 | |
| GEO Group, Inc. (The) | | | 43,208 | | | | 1,162,295 | |
| Getty Realty Corp. | | | 4,321 | | | | 123,624 | |
| Gladstone Commercial Corp. | | | 12,197 | | | | 271,627 | |
| Independence Realty Trust, Inc. | | | 11,681 | | | | 118,796 | |
| Jernigan Capital, Inc. | | | 12,237 | | | | 251,470 | |
| Monmouth Real Estate Investment Corp. | | | 28,817 | | | | 466,547 | |
| National Storage Affiliates Trust | | | 18,837 | | | | 456,609 | |
| NexPoint Residential Trust, Inc. | | | 20,310 | | | | 481,956 | |
| Potlatch Corp. | | | 2,640 | | | | 134,640 | |
| Preferred Apartment Communities, Inc., Class A | | | 12,783 | | | | 241,343 | |
| Rexford Industrial Realty, Inc. | | | 21,438 | | | | 613,556 | |
| Saul Centers, Inc. | | | 1,960 | | | | 121,344 | |
| STAG Industrial, Inc. | | | 6,571 | | | | 180,505 | |
| Summit Hotel Properties, Inc. | | | 15,735 | | | | 251,603 | |
| Sunstone Hotel Investors, Inc. | | | 6,752 | | | | 108,505 | |
| Terreno Realty Corp. | | | 5,752 | | | | 208,107 | |
| UMH Properties, Inc. | | | 9,125 | | | | 141,894 | |
| Universal Health Realty Income Trust | | | 1,929 | | | | 145,620 | |
| | | | | | | | |
| | | | | | | 6,432,233 | |
| | | | | | | | |
| Food & Staples Retailing - 0.0% (b) | |
| Weis Markets, Inc. | | | 2,771 | | | | 120,538 | |
| | | | | | | | |
|
| Food Products - 0.7% | |
| Calavo Growers, Inc. (a) | | | 1,907 | | | | 139,592 | |
| Freshpet, Inc. *(a) | | | 11,946 | | | | 186,955 | |
| John B Sanfilippo & Son, Inc. | | | 8,351 | | | | 562,106 | |
| Omega Protein Corp. | | | 9,601 | | | | 159,857 | |
| Sanderson Farms, Inc. | | | 8,191 | | | | 1,323,010 | |
| Tootsie Roll Industries, Inc. (a) | | | 5,071 | | | | 192,698 | |
| | | | | | | | |
| | | | | | | 2,564,218 | |
| | | | | | | | |
| Gas Utilities - 0.1% | |
| Chesapeake Utilities Corp. | | | 1,406 | | | | 110,019 | |
| New Jersey Resources Corp. | | | 3,240 | | | | 136,566 | |
| ONE Gas, Inc. | | | 4,543 | | | | 334,547 | |
| | | | | | | | |
| | | | | | | 581,132 | |
| | | | | | | | |
| Health Care Equipment & Supplies - 4.6% | |
| Anika Therapeutics, Inc. * | | | 3,754 | | | | 217,732 | |
| Antares Pharma, Inc. * | | | 126,662 | | | | 410,385 | |
| AtriCure, Inc. * | | | 10,862 | | | | 242,983 | |
| Atrion Corp. | | | 378 | | | | 254,016 | |
| AxoGen, Inc. * | | | 33,610 | | | | 650,353 | |
| Cantel Medical Corp. | | | 4,152 | | | | 390,994 | |
| Cardiovascular Systems, Inc. * | | | 16,321 | | | | 459,436 | |
| CryoLife, Inc. * | | | 16,949 | | | | 384,742 | |
| Cutera, Inc. * | | | 15,176 | | | | 627,528 | |
| GenMark Diagnostics, Inc. * | | | 20,403 | | | | 196,481 | |
| Glaukos Corp. * | | | 3,416 | | | | 112,728 | |
| Globus Medical, Inc., Class A * | | | 4,147 | | | | 123,249 | |
| Haemonetics Corp. * | | | 4,150 | | | | 186,210 | |
| Halyard Health, Inc. * | | | 2,724 | | | | 122,662 | |
| Heska Corp. * | | | 9,691 | | | | 853,680 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
105
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Health Care Equipment & Supplies - 4.6% (continued) | |
| ICU Medical, Inc. * | | | 5,172 | | | $ | 961,216 | |
| Inogen, Inc. * | | | 11,892 | | | | 1,130,929 | |
| Insulet Corp. * | | | 14,781 | | | | 814,137 | |
| Integer Holdings Corp. * | | | 4,990 | | | | 255,238 | |
| Integra LifeSciences Holdings Corp. * | | | 13,750 | | | | 694,100 | |
| K2M Group Holdings, Inc. * | | | 13,163 | | | | 279,187 | |
| Lantheus Holdings, Inc. * | | | 40,287 | | | | 717,109 | |
| LeMaitre Vascular, Inc. | | | 16,749 | | | | 626,748 | |
| Masimo Corp. * | | | 20,087 | | | | 1,738,731 | |
| Merit Medical Systems, Inc. * | | | 19,266 | | | | 815,915 | |
| Nevro Corp. * | | | 2,436 | | | | 221,384 | |
| Novocure Ltd. *(a) | | | 24,250 | | | | 481,363 | |
| NuVasive, Inc. * | | | 1,973 | | | | 109,423 | |
| OraSure Technologies, Inc. * | | | 33,053 | | | | 743,693 | |
| Orthofix International NV * | | | 2,774 | | | | 131,072 | |
| Penumbra, Inc. * | | | 9,924 | | | | 896,137 | |
| Pulse Biosciences, Inc. *(a) | | | 18,869 | | | | 351,152 | |
| Quidel Corp. * | | | 9,412 | | | | 412,810 | |
| Sientra, Inc. * | | | 6,785 | | | | 104,489 | |
| ViewRay, Inc. *(a) | | | 41,091 | | | | 236,684 | |
| Wright Medical Group NV * | | | 8,622 | | | | 223,051 | |
| | | | | | | | |
| | | | | | | 17,177,747 | |
| | | | | | | | |
| Health Care Providers & Services - 2.1% | |
| Addus HomeCare Corp. * | | | 10,894 | | | | 384,558 | |
| Almost Family, Inc. * | | | 2,340 | | | | 125,658 | |
| AMN Healthcare Services, Inc. * | | | 4,715 | | | | 215,476 | |
| BioTelemetry, Inc. * | | | 25,845 | | | | 852,885 | |
| Chemed Corp. | | | 3,325 | | | | 671,816 | |
| Civitas Solutions, Inc. * | | | 5,386 | | | | 99,372 | |
| CorVel Corp. * | | | 6,100 | | | | 331,840 | |
| Cross Country Healthcare, Inc. * | | | 14,589 | | | | 207,602 | |
| HealthEquity, Inc. * | | | 21,958 | | | | 1,110,636 | |
| LHC Group, Inc. * | | | 8,130 | | | | 576,580 | |
| MedCath Corp. (3)*(c) | | | 10,300 | | | | - | |
| Molina Healthcare, Inc. * | | | 5,586 | | | | 384,093 | |
| National HealthCare Corp. | | | 1,886 | | | | 118,007 | |
| Select Medical Holdings Corp. * | | | 18,407 | | | | 353,414 | |
| Teladoc, Inc. *(a) | | | 26,182 | | | | 867,933 | |
| Tivity Health, Inc. * | | | 30,681 | | | | 1,251,785 | |
| US Physical Therapy, Inc. | | | 3,234 | | | | 198,729 | |
| | | | | | | | |
| | | | | | | 7,750,384 | |
| | | | | | | | |
| Health Care Technology - 1.0% | |
| Cotiviti Holdings, Inc. * | | | 27,619 | | | | 993,732 | |
| HealthStream, Inc. * | | | 7,258 | | | | 169,619 | |
| Medidata Solutions, Inc. * | | | 18,582 | | | | 1,450,511 | |
| Omnicell, Inc. * | | | 6,070 | | | | 309,874 | |
| Quality Systems, Inc. * | | | 7,215 | | | | 113,492 | |
| Vocera Communications, Inc. * | | | 21,185 | | | | 664,573 | |
| | | | | | | | |
| | | | | | | 3,701,801 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure - 3.7% | |
| Bob Evans Farms, Inc. | | | 9,118 | | | | 706,736 | |
| Boyd Gaming Corp. | | | 17,919 | | | | 466,790 | |
| Caesars Entertainment Corp. *(a) | | | 66,872 | | | | 892,741 | |
| Carrols Restaurant Group, Inc. * | | | 16,986 | | | | 185,147 | |
| Churchill Downs, Inc. | | | 3,311 | | | | 682,728 | |
| Dave & Buster’s Entertainment, Inc. * | | | 16,866 | | | | 885,128 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Hotels, Restaurants & Leisure - 3.7% (continued) | |
| Del Taco Restaurants, Inc. * | | | 12,276 | | | $ | 188,314 | |
| Denny’s Corp. * | | | 16,550 | | | | 206,048 | |
| Eldorado Resorts, Inc. *(a) | | | 28,663 | | | | 735,206 | |
| ILG, Inc. | | | 34,872 | | | | 932,129 | |
| International Speedway Corp., Class A | | | 3,567 | | | | 128,412 | |
| Jack in the Box, Inc. | | | 3,922 | | | | 399,730 | |
| Marcus Corp. (The) | | | 6,900 | | | | 191,130 | |
| Marriott Vacations Worldwide Corp. | | | 8,976 | | | | 1,117,781 | |
| Monarch Casino & Resort, Inc. * | | | 7,349 | | | | 290,506 | |
| Papa John’s International, Inc. | | | 4,004 | | | | 292,572 | |
| Penn National Gaming, Inc. * | | | 31,524 | | | | 737,346 | |
| Pinnacle Entertainment, Inc. * | | | 36,691 | | | | 781,885 | |
| Planet Fitness, Inc., Class A | | | 33,523 | | | | 904,451 | |
| RCI Hospitality Holdings, Inc. | | | 11,399 | | | | 282,125 | |
| Red Robin Gourmet Burgers, Inc. * | | | 2,544 | | | | 170,448 | |
| Ruth’s Hospitality Group, Inc. | | | 9,641 | | | | 201,979 | |
| Scientific Games Corp., Class A * | | | 49,547 | | | | 2,271,730 | |
| Wingstop, Inc. (a) | | | 3,864 | | | | 128,478 | |
| | | | | | | | |
| | | | | | | 13,779,540 | |
| | | | | | | | |
| Household Durables - 1.8% | |
| Bassett Furniture Industries, Inc. | | | 12,552 | | | | 473,210 | |
| Beazer Homes USA, Inc. * | | | 7,571 | | | | 141,881 | |
| Cavco Industries, Inc. * | | | 2,640 | | | | 389,532 | |
| Flexsteel Industries, Inc. | | | 2,686 | | | | 136,180 | |
| Hooker Furniture Corp. | | | 10,743 | | | | 512,978 | |
| Installed Building Products, Inc. * | | | 14,200 | | | | 920,160 | |
| iRobot Corp. * | | | 13,504 | | | | 1,040,618 | |
| KB Home | | | 19,342 | | | | 466,529 | |
| LGI Homes, Inc. *(a) | | | 5,346 | | | | 259,655 | |
| MDC Holdings, Inc. | | | 3,314 | | | | 110,058 | |
| NACCO Industries, Inc., Class A | | | 3,287 | | | | 282,025 | |
| Taylor Morrison Home Corp., Class A * | | | 18,723 | | | | 412,842 | |
| TopBuild Corp. * | | | 14,164 | | | | 923,068 | |
| Universal Electronics, Inc. * | | | 1,934 | | | | 122,616 | |
| William Lyon Homes, Class A * | | | 5,382 | | | | 123,732 | |
| ZAGG, Inc. * | | | 17,070 | | | | 268,853 | |
| | | | | | | | |
| | | | | | | 6,583,937 | |
| | | | | | | | |
| Household Products - 0.4% | |
| Central Garden & Pet Co., Class A * | | | 25,171 | | | | 936,109 | |
| HRG Group, Inc. * | | | 29,441 | | | | 459,574 | |
| | | | | | | | |
| | | | | | | 1,395,683 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers - 0.2% | |
| Ormat Technologies, Inc. | | | 11,307 | | | | 690,292 | |
| TerraForm Power, Inc., Class A * | | | 7,555 | | | | 99,877 | |
| | | | | | | | |
| | | | | | | 790,169 | |
| | | | | | | | |
| Industrial Conglomerates - 0.1% | |
| Raven Industries, Inc. | | | 8,805 | | | | 285,282 | |
| | | | | | | | |
|
| Insurance - 2.0% | |
| American Equity Investment Life Holding Co. | | | 21,730 | | | | 631,908 | |
| AMERISAFE, Inc. | | | 4,224 | | | | 245,837 | |
| Argo Group International Holdings Ltd. | | | 3,368 | | | | 207,132 | |
| CNO Financial Group, Inc. | | | 11,705 | | | | 273,195 | |
| eHealth, Inc. * | | | 6,772 | | | | 161,783 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
106
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Insurance - 2.0% (continued) | |
| Employers Holdings, Inc. | | | 6,048 | | | $ | 274,882 | |
| Enstar Group Ltd. * | | | 725 | | | | 161,204 | |
| FBL Financial Group, Inc., Class A | | | 7,378 | | | | 549,661 | |
| HCI Group, Inc. | | | 4,590 | | | | 175,567 | |
| Health Insurance Innovations, Inc., Class A *(a) | | | 25,853 | | | | 374,868 | |
| Horace Mann Educators Corp. | | | 3,809 | | | | 149,884 | |
| James River Group Holdings Ltd. | | | 10,221 | | | | 423,967 | |
| Kemper Corp. | | | 3,161 | | | | 167,533 | |
| MBIA, Inc. * | | | 22,686 | | | | 197,368 | |
| National Western Life Group, Inc., Class A | | | 314 | | | | 109,586 | |
| Navigators Group, Inc. (The) | | | 3,083 | | | | 179,893 | |
| Primerica, Inc. | | | 16,110 | | | | 1,313,770 | |
| Safety Insurance Group, Inc. | | | 1,836 | | | | 140,087 | |
| Selective Insurance Group, Inc. | | | 9,894 | | | | 532,792 | |
| Stewart Information Services Corp. | | | 3,674 | | | | 138,730 | |
| Trupanion, Inc. *(a) | | | 20,746 | | | | 547,902 | |
| United Fire Group, Inc. | | | 6,763 | | | | 309,881 | |
| United Insurance Holdings Corp. | | | 8,652 | | | | 141,028 | |
| Universal Insurance Holdings, Inc. | | | 9,481 | | | | 218,063 | |
| | | | | | | | |
| | | | | | | 7,626,521 | |
| | | | | | | | |
| Internet & Direct Marketing Retail - 0.4% | |
| Nutrisystem, Inc. | | | 15,960 | | | | 892,164 | |
| Overstock.com, Inc. * | | | 7,033 | | | | 208,880 | |
| PetMed Express, Inc. (a) | | | 14,244 | | | | 472,189 | |
| | | | | | | | |
| | | | | | | 1,573,233 | |
| | | | | | | | |
| Internet Software & Services - 4.0% | |
| 2U, Inc. *(a) | | | 18,950 | | | | 1,061,958 | |
| Alarm.com Holdings, Inc. * | | | 15,461 | | | | 698,528 | |
| Amber Road, Inc. * | | | 15,971 | | | | 122,657 | |
| Appfolio, Inc., Class A * | | | 19,003 | | | | 911,194 | |
| Blucora, Inc. * | | | 27,073 | | | | 684,947 | |
| Box, Inc., Class A * | | | 35,063 | | | | 677,417 | |
| Brightcove, Inc. * | | | 21,470 | | | | 154,584 | |
| Carbonite, Inc. * | | | 26,884 | | | | 591,448 | |
| Care.com, Inc. * | | | 12,036 | | | | 191,252 | |
| ChannelAdvisor Corp. * | | | 12,592 | | | | 144,808 | |
| Cimpress NV (Netherlands) *(a) | | | 1,499 | | | | 146,392 | |
| CommerceHub, Inc., Series C * | | | 5,414 | | | | 115,589 | |
| Envestnet, Inc. * | | | 2,729 | | | | 139,179 | |
| Five9, Inc. * | | | 41,921 | | | | 1,001,912 | |
| Gogo, Inc. *(a) | | | 9,287 | | | | 109,679 | |
| GrubHub, Inc. *(a) | | | 33,011 | | | | 1,738,359 | |
| GTT Communications, Inc. * | | | 15,960 | | | | 505,134 | |
| Hortonworks, Inc. * | | | 18,078 | | | | 306,422 | |
| Internap Corp. *(a) | | | 60,966 | | | | 265,202 | |
| j2 Global, Inc. | | | 2,016 | | | | 148,942 | |
| LivePerson, Inc. * | | | 22,583 | | | | 306,000 | |
| MINDBODY, Inc., Class A *(a) | | | 25,810 | | | | 667,189 | |
| New Relic, Inc. * | | | 11,266 | | | | 561,047 | |
| Q2 Holdings, Inc. * | | | 12,299 | | | | 512,253 | |
| Stamps.com, Inc. * | | | 7,271 | | | | 1,473,468 | |
| TrueCar, Inc. * | | | 49,153 | | | | 776,126 | |
| Tucows, Inc., Class A *(a) | | | 8,012 | | | | 469,103 | |
| Web.com Group, Inc. * | | | 6,346 | | | | 158,650 | |
| XO Group, Inc. * | | | 16,852 | | | | 331,479 | |
| | | | | | | | |
| | | | | | | 14,970,918 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| IT Services - 0.8% | |
| Acxiom Corp. * | | | 6,873 | | | $ | 169,351 | |
| Blackhawk Network Holdings, Inc. * | | | 5,050 | | | | 221,190 | |
| CACI International, Inc., Class A * | | | 4,246 | | | | 591,680 | |
| CSG Systems International, Inc. | | | 3,860 | | | | 154,786 | |
| Everi Holdings, Inc. * | | | 69,206 | | | | 525,273 | |
| Hackett Group, Inc. (The) | | | 15,924 | | | | 241,886 | |
| ManTech International Corp., Class A | | | 6,644 | | | | 293,333 | |
| Perficient, Inc. * | | | 7,395 | | | | 145,460 | |
| Science Applications International Corp. | | | 4,030 | | | | 269,405 | |
| TeleTech Holdings, Inc. | | | 8,888 | | | | 371,074 | |
| Unisys Corp. *(a) | | | 13,016 | | | | 110,636 | |
| | | | | | | | |
| | | | | | | 3,094,074 | |
| | | | | | | | |
| Leisure Products - 0.3% | |
| Callaway Golf Co. | | | 13,688 | | | | 197,518 | |
| Johnson Outdoors, Inc., Class A | | | 4,566 | | | | 334,597 | |
| Malibu Boats, Inc., Class A * | | | 12,549 | | | | 397,050 | |
| MCBC Holdings, Inc. * | | | 11,366 | | | | 231,639 | |
| Nautilus, Inc. * | | | 8,397 | | | | 141,909 | |
| | | | | | | | |
| | | | | | | 1,302,713 | |
| | | | | | | | |
| Life Sciences Tools & Services - 1.2% | |
| Accelerate Diagnostics, Inc. *(a) | | | 15,687 | | | | 352,173 | |
| Cambrex Corp. * | | | 2,200 | | | | 121,000 | |
| Enzo Biochem, Inc. * | | | 30,080 | | | | 314,937 | |
| INC Research Holdings, Inc., Class A * | | | 31,106 | | | | 1,626,844 | |
| NanoString Technologies, Inc. * | | | 11,562 | | | | 186,842 | |
| NeoGenomics, Inc. *(a) | | | 19,448 | | | | 216,456 | |
| PRA Health Sciences, Inc. * | | | 22,051 | | | | 1,679,625 | |
| | | | | | | | |
| | | | | | 4,497,877 | |
| | | | | | | | |
| Machinery - 4.3% | |
| Alamo Group, Inc. | | | 4,338 | | | | 465,771 | |
| Altra Industrial Motion Corp. | | | 8,812 | | | | 423,857 | |
| Astec Industries, Inc. | | | 4,465 | | | | 250,085 | |
| Barnes Group, Inc. | | | 12,832 | | | | 903,886 | |
| Chart Industries, Inc. * | | | 5,721 | | | | 224,435 | |
| CIRCOR International, Inc. | | | 2,080 | | | | 113,214 | |
| Columbus McKinnon Corp. | | | 10,083 | | | | 381,843 | |
| Commercial Vehicle Group, Inc. * | | | 22,354 | | | | 164,302 | |
| Douglas Dynamics, Inc. | | | 10,849 | | | | 427,451 | |
| EnPro Industries, Inc. | | | 3,851 | | | | 310,121 | |
| ESCO Technologies, Inc. | | | 2,964 | | | | 177,692 | |
| Federal Signal Corp. | | | 10,357 | | | | 220,397 | |
| Franklin Electric Co., Inc. | | | 3,130 | | | | 140,380 | |
| Global Brass & Copper Holdings, Inc. | | | 10,438 | | | | 352,804 | |
| Greenbrier Cos., Inc. (The) (a) | | | 6,432 | | | | 309,701 | |
| Harsco Corp. * | | | 32,113 | | | | 671,162 | |
| Hyster-Yale Materials Handling, Inc. | | | 1,438 | | | | 109,921 | |
| John Bean Technologies Corp. | | | 14,921 | | | | 1,508,513 | |
| Kadant, Inc. | | | 4,357 | | | | 429,382 | |
| Kennametal, Inc. | | | 26,006 | | | | 1,049,082 | |
| Lydall, Inc. * | | | 8,342 | | | | 477,997 | |
| Manitowoc Co., Inc. (The) * | | | 23,594 | | | | 212,346 | |
| Meritor, Inc. * | | | 32,900 | | | | 855,729 | |
| Mueller Water Products, Inc., Class A | | | 19,934 | | | | 255,155 | |
| Navistar International Corp. * | | | 42,902 | | | | 1,890,691 | |
| NN, Inc. | | | 9,792 | | | | 283,968 | |
| RBC Bearings, Inc. * | | | 3,999 | | | | 500,475 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
107
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Machinery - 4.3% (continued) | |
| Spartan Motors, Inc. | | | 25,080 | | | $ | 277,134 | |
| SPX Corp. * | | | 28,258 | | | | 829,090 | |
| Standex International Corp. | | | 2,682 | | | | 284,828 | |
| Sun Hydraulics Corp. | | | 5,805 | | | | 313,470 | |
| Tennant Co. | | | 3,269 | | | | 216,408 | |
| Titan International, Inc. | | | 30,565 | | | | 310,235 | |
| Wabash National Corp. | | | 16,454 | | | | 375,480 | |
| Woodward, Inc. | | | 5,342 | | | | 414,593 | |
| | | | | | | | |
| | | | | | | 16,131,598 | |
| | | | | | | | |
| Marine - 0.1% | |
| Safe Bulkers, Inc. (Greece) * | | | 35,852 | | | | 98,234 | |
| Scorpio Bulkers, Inc. * | | | 37,433 | | | | 263,903 | |
| | | | | | | | |
| | | | | | | 362,137 | |
| | | | | | | | |
| Media - 0.7% | |
| Entravision Communications Corp., Class A | | | 28,539 | | | | 162,672 | |
| EW Scripps Co. (The), Class A * | | | 8,418 | | | | 160,868 | |
| Liberty Media Corp.-Liberty Braves, Class C * | | | 10,060 | | | | 254,216 | |
| Meredith Corp. | | | 4,067 | | | | 225,719 | |
| MSG Networks, Inc., Class A * | | | 7,805 | | | | 165,466 | |
| New Media Investment Group, Inc. | | | 8,166 | | | | 120,775 | |
| New York Times Co. (The), Class A | | | 48,958 | | | | 959,577 | |
| Nexstar Media Group, Inc., Class A (a) | | | 4,262 | | | | 265,523 | |
| Sinclair Broadcast Group, Inc., Class A | | | 4,206 | | | | 134,802 | |
| World Wrestling Entertainment, Inc., Class A (a) | | | 8,365 | | | | 196,996 | |
| | | | | | | | |
| | | | | | | 2,646,614 | |
| | | | | | | | |
| Metals & Mining - 0.7% | |
| Century Aluminum Co. * | | | 53,137 | | | | 881,011 | |
| Cleveland-Cliffs, Inc. * | | | 44,244 | | | | 316,345 | |
| Gold Resource Corp. | | | 27,843 | | | | 104,411 | |
| Materion Corp. | | | 4,614 | | | | 199,094 | |
| Schnitzer Steel Industries, Inc., Class A | | | 3,833 | | | | 107,899 | |
| SunCoke Energy, Inc. * | | | 46,141 | | | | 421,729 | |
| TimkenSteel Corp. * | | | 15,982 | | | | 263,703 | |
| Worthington Industries, Inc. | | | 4,601 | | | | 211,646 | |
| | | | | | | | |
| | | | | | | 2,505,838 | |
| | | | | | | | |
| Multiline Retail - 0.3% | |
| Ollie’s Bargain Outlet Holdings, Inc. * | | | 24,198 | | | | 1,122,787 | |
| | | | | | | | |
|
| Multi-Utilities - 0.1% | |
| Unitil Corp. | | | 6,391 | | | | 316,099 | |
| | | | | | | | |
|
| Oil, Gas & Consumable Fuels - 1.1% | |
| Abraxas Petroleum Corp. * | | | 129,164 | | | | 242,828 | |
| Approach Resources, Inc. *(a) | | | 65,375 | | | | 164,091 | |
| Cloud Peak Energy, Inc. * | | | 51,306 | | | | 187,780 | |
| CVR Energy, Inc. (a) | | | 27,230 | | | | 705,257 | |
| Delek US Energy, Inc. | | | 27,301 | | | | 729,756 | |
| GasLog Ltd. (Monaco) (a) | | | 13,038 | | | | 227,513 | |
| Golar LNG Ltd. (Norway) (a) | | | 9,747 | | | | 220,380 | |
| Green Plains, Inc. | | | 5,162 | | | | 104,014 | |
| Par Pacific Holdings, Inc. * | | | 5,397 | | | | 112,258 | |
| Renewable Energy Group, Inc. * | | | 10,705 | | | | 130,066 | |
| Resolute Energy Corp. * | | | 15,121 | | | | 448,942 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Oil, Gas & Consumable Fuels - 1.1% (continued) | |
| REX American Resources Corp. * | | | 3,271 | | | $ | 306,918 | |
| Ring Energy, Inc. * | | | 26,148 | | | | 378,885 | |
| Uranium Energy Corp. * | | | 124,327 | | | | 171,571 | |
| | | | | | | | |
| | | | | | | 4,130,259 | |
| | | | | | | | |
| Paper & Forest Products - 0.3% | |
| KapStone Paper and Packaging Corp. | | | 14,804 | | | | 318,138 | |
| Louisiana-Pacific Corp. * | | | 28,099 | | | | 760,921 | |
| Neenah Paper, Inc. | | | 2,788 | | | | 238,513 | |
| | | | | | | | |
| | | | | | | 1,317,572 | |
| | | | | | | | |
| Personal Products - 0.1% | |
| Inter Parfums, Inc. | | | 4,301 | | | | 177,416 | |
| Natural Health Trends Corp. (a) | | | 6,691 | | | | 159,915 | |
| | | | | | | | |
| | | | | | | 337,331 | |
| | | | | | | | |
| Pharmaceuticals - 2.8% | |
| Aclaris Therapeutics, Inc. * | | | 9,862 | | | | 254,538 | |
| Aerie Pharmaceuticals, Inc. * | | | 21,487 | | | | 1,044,268 | |
| Amphastar Pharmaceuticals, Inc. * | | | 6,748 | | | | 120,587 | |
| Aratana Therapeutics, Inc. *(a) | | | 21,183 | | | | 129,852 | |
| Assembly Biosciences, Inc. * | | | 11,588 | | | | 404,653 | |
| Catalent, Inc. * | | | 45,089 | | | | 1,799,953 | |
| Corcept Therapeutics, Inc. * | | | 62,160 | | | | 1,199,688 | |
| Intersect ENT, Inc. * | | | 15,317 | | | | 477,125 | |
| MyoKardia, Inc. * | | | 5,016 | | | | 214,936 | |
| Nektar Therapeutics * | | | 4,848 | | | | 116,352 | |
| Ocular Therapeutix, Inc. *(a) | | | 21,256 | | | | 131,362 | |
| Omeros Corp. *(a) | | | 24,549 | | | | 530,749 | |
| Paratek Pharmaceuticals, Inc. *(a) | | | 16,800 | | | | 421,680 | |
| Phibro Animal Health Corp., Class A | | | 15,395 | | | | 570,385 | |
| Reata Pharmaceuticals, Inc., Class A * | | | 12,425 | | | | 386,418 | |
| Revance Therapeutics, Inc. *(a) | | | 10,391 | | | | 286,272 | |
| SciClone Pharmaceuticals, Inc. * | | | 11,210 | | | | 125,552 | |
| Supernus Pharmaceuticals, Inc. * | | | 27,674 | | | | 1,106,960 | |
| Teligent, Inc. *(a) | | | 25,462 | | | | 170,850 | |
| Tetraphase Pharmaceuticals, Inc. * | | | 34,148 | | | | 233,572 | |
| WaVe Life Sciences Ltd. *(a) | | | 4,515 | | | | 98,201 | |
| Zogenix, Inc. * | | | 15,946 | | | | 558,907 | |
| | | | | | | | |
| | | | | | | 10,382,860 | |
| | | | | | | | |
| Professional Services - 1.2% | |
| Barrett Business Services, Inc. | | | 3,741 | | | | 211,479 | |
| CBIZ, Inc. * | | | 11,492 | | | | 186,745 | |
| CRA International, Inc. | | | 8,044 | | | | 330,206 | |
| Exponent, Inc. | | | 2,798 | | | | 206,772 | |
| Heidrick & Struggles International, Inc. | | | 6,742 | | | | 142,593 | |
| ICF International, Inc. * | | | 3,076 | | | | 165,950 | |
| Insperity, Inc. | | | 4,393 | | | | 386,584 | |
| Kelly Services, Inc., Class A | | | 6,667 | | | | 167,275 | |
| Kforce, Inc. | | | 6,514 | | | | 131,583 | |
| Korn/Ferry International | | | 13,730 | | | | 541,374 | |
| Mistras Group, Inc. * | | | 8,171 | | | | 167,506 | |
| Navigant Consulting, Inc. * | | | 10,627 | | | | 179,809 | |
| On Assignment, Inc. * | | | 4,611 | | | | 247,518 | |
| TriNet Group, Inc. * | | | 20,950 | | | | 704,339 | |
| WageWorks, Inc. * | | | 3,808 | | | | 231,146 | |
| Willdan Group, Inc. *(a) | | | 11,019 | | | | 357,677 | |
| | | | | | | | |
| | | | | | | 4,358,556 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
108
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Real Estate Management & Development - 0.4% | |
| HFF, Inc., Class A | | | 3,756 | | | $ | 148,587 | |
| Marcus & Millichap, Inc. * | | | 5,385 | | | | 145,341 | |
| Maui Land & Pineapple Co., Inc. * | | | 12,016 | | | | 167,623 | |
| RE/MAX Holdings, Inc., Class A | | | 5,481 | | | | 348,318 | |
| RMR Group, Inc. (The), Class A | | | 10,745 | | | | 551,756 | |
| | | | | | | | |
| | | | | | | 1,361,625 | |
| | | | | | | | |
| Road & Rail - 0.5% | |
| ArcBest Corp. | | | 3,627 | | | | 121,323 | |
| Marten Transport Ltd. | | | 11,529 | | | | 236,921 | |
| Saia, Inc. * | | | 15,288 | | | | 957,793 | |
| Werner Enterprises, Inc. | | | 19,338 | | | | 706,804 | |
| | | | | | | | |
| | | | | | | 2,022,841 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment - 4.9% | |
| Advanced Energy Industries, Inc. * | | | 19,613 | | | | 1,583,946 | |
| Alpha & Omega Semiconductor Ltd. * | | | 14,897 | | | | 245,651 | |
| Amkor Technology, Inc. * | | | 43,909 | | | | 463,240 | |
| Axcelis Technologies, Inc. * | | | 24,754 | | | | 677,022 | |
| AXT, Inc. * | | | 52,806 | | | | 483,175 | |
| Brooks Automation, Inc. | | | 34,398 | | | | 1,044,323 | |
| Cabot Microelectronics Corp. | | | 6,746 | | | | 539,208 | |
| CEVA, Inc. * | | | 12,403 | | | | 530,848 | |
| Cirrus Logic, Inc. * | | | 13,565 | | | | 723,286 | |
| Cohu, Inc. | | | 15,049 | | | | 358,768 | |
| Diodes, Inc. * | | | 5,977 | | | | 178,892 | |
| Entegris, Inc. * | | | 50,031 | | | | 1,443,394 | |
| FormFactor, Inc. * | | | 33,034 | | | | 556,623 | |
| Inphi Corp. * | | | 2,694 | | | | 106,925 | |
| MACOM Technology Solutions Holdings, Inc. *(a) | | | 16,348 | | | | 729,284 | |
| MaxLinear, Inc. * | | | 28,028 | | | | 665,665 | |
| MKS Instruments, Inc. | | | 20,356 | | | | 1,922,624 | |
| Monolithic Power Systems, Inc. | | | 14,543 | | | | 1,549,557 | |
| Nanometrics, Inc. * | | | 9,875 | | | | 284,400 | |
| PDF Solutions, Inc. *(a) | | | 11,205 | | | | 173,565 | |
| Photronics, Inc. * | | | 17,287 | | | | 152,990 | |
| Power Integrations, Inc. | | | 2,978 | | | | 217,990 | |
| Rudolph Technologies, Inc. * | | | 14,942 | | | | 392,975 | |
| Semtech Corp. * | | | 24,266 | | | | 911,188 | |
| Sigma Designs, Inc. * | | | 22,053 | | | | 138,934 | |
| Silicon Laboratories, Inc. * | | | 11,232 | | | | 897,437 | |
| Ultra Clean Holdings, Inc. * | | | 31,710 | | | | 970,960 | |
| Veeco Instruments, Inc. * | | | 15,322 | | | | 327,891 | |
| | | | | | | | |
| | | | | | | 18,270,761 | |
| | | | | | | | |
| Software - 3.7% | |
| 8x8, Inc. * | | | 16,016 | | | | 216,216 | |
| Aspen Technology, Inc. * | | | 22,497 | | | | 1,413,037 | |
| Barracuda Networks, Inc. * | | | 4,344 | | | | 105,255 | |
| Blackbaud, Inc. | | | 11,019 | | | | 967,468 | |
| BroadSoft, Inc. *(a) | | | 2,909 | | | | 146,323 | |
| Callidus Software, Inc. * | | | 7,613 | | | | 187,660 | |
| CommVault Systems, Inc. * | | | 2,269 | | | | 137,955 | |
| Digimarc Corp. * | | | 4,179 | | | | 152,951 | |
| Ebix, Inc. (a) | | | 4,190 | | | | 273,398 | |
| Ellie Mae, Inc. * | | | 1,616 | | | | 132,722 | |
| Fair Isaac Corp. | | | 2,751 | | | | 386,516 | |
| HubSpot, Inc. * | | | 6,742 | | | | 566,665 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Software - 3.7% (continued) | |
| Mitek Systems, Inc. * | | | 27,452 | | | $ | 260,794 | |
| MobileIron, Inc. * | | | 34,224 | | | | 126,629 | |
| Paycom Software, Inc. * | | | 22,745 | | | | 1,704,965 | |
| Paylocity Holding Corp. * | | | 3,207 | | | | 156,566 | |
| Pegasystems, Inc. | | | 30,305 | | | | 1,747,083 | |
| Progress Software Corp. | | | 3,731 | | | | 142,412 | |
| Proofpoint, Inc. * | | | 8,918 | | | | 777,828 | |
| PROS Holdings, Inc. * | | | 9,268 | | | | 223,637 | |
| Qualys, Inc. * | | | 5,041 | | | | 261,124 | |
| RealPage, Inc. * | | | 27,480 | | | | 1,096,452 | |
| RingCentral, Inc., Class A * | | | 29,676 | | | | 1,238,973 | |
| TiVo Corp. | | | 6,341 | | | | 125,869 | |
| Upland Software, Inc. * | | | 17,368 | | | | 367,507 | |
| Varonis Systems, Inc. * | | | 9,802 | | | | 410,704 | |
| Workiva, Inc. * | | | 8,952 | | | | 186,649 | |
| Zix Corp. * | | | 44,752 | | | | 218,837 | |
| | | | | | | | |
| | | | | | | 13,732,195 | |
| | | | | | | | |
| Specialty Retail - 1.6% | |
| Aaron’s, Inc. | | | 28,671 | | | | 1,250,916 | |
| Big 5 Sporting Goods Corp. (a) | | | 14,041 | | | | 107,414 | |
| Children’s Place, Inc. (The) | | | 6,148 | | | | 726,386 | |
| Citi Trends, Inc. | | | 7,878 | | | | 156,536 | |
| Conn’s, Inc. *(a) | | | 26,120 | | | | 735,278 | |
| Haverty Furniture Cos., Inc. | | | 10,519 | | | | 275,072 | |
| Lumber Liquidators Holdings, Inc. * | | | 14,709 | | | | 573,357 | |
| Office Depot, Inc. | | | 130,962 | | | | 594,567 | |
| Restoration Hardware Holdings, Inc. *(a) | | | 10,404 | | | | 731,609 | |
| Select Comfort Corp. * | | | 11,697 | | | | 363,192 | |
| Tile Shop Holdings, Inc. | | | 7,409 | | | | 94,094 | |
| Tilly’s, Inc., Class A | | | 28,476 | | | | 341,427 | |
| | | | | | | | |
| | | | | | | 5,949,848 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals - 0.1% | |
| Intevac, Inc. * | | | 21,392 | | | | 180,763 | |
| Quantum Corp. * | | | 30,220 | | | | 184,946 | |
| | | | | | | | |
| | | | | | | 365,709 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods - 0.3% | |
| Culp, Inc. | | | 11,894 | | | | 389,529 | |
| Movado Group, Inc. | | | 5,631 | | | | 157,668 | |
| Perry Ellis International, Inc. * | | | 7,211 | | | | 170,612 | |
| Unifi, Inc. * | | | 5,876 | | | | 209,362 | |
| Wolverine World Wide, Inc. | | | 5,045 | | | | 145,548 | |
| | | | | | | | |
| | | | | | | 1,072,719 | |
| | | | | | | | |
| Thrifts & Mortgage Finance - 3.5% | |
| Beneficial Bancorp, Inc. | | | 18,111 | | | | 300,643 | |
| BofI Holding, Inc. * | | | 5,347 | | | | 152,229 | |
| Capitol Federal Financial, Inc. | | | 9,167 | | | | 134,755 | |
| Dime Community Bancshares, Inc. | | | 8,591 | | | | 184,706 | |
| Essent Group Ltd. * | | | 31,534 | | | | 1,277,127 | |
| Federal Agricultural Mortgage Corp., Class C | | | 6,143 | | | | 446,842 | |
| First Defiance Financial Corp. | | | 5,710 | | | | 299,718 | |
| Flagstar Bancorp, Inc. * | | | 12,085 | | | | 428,776 | |
| HomeStreet, Inc. * | | | 8,667 | | | | 234,009 | |
| Kearny Financial Corp. | | | 18,710 | | | | 287,198 | |
| LendingTree, Inc. *(a) | | | 6,680 | | | | 1,632,926 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
109
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Thrifts & Mortgage Finance - 3.5% (continued) | |
| Meridian Bancorp, Inc. | | | 29,164 | | | $ | 543,909 | |
| Meta Financial Group, Inc. | | | 5,656 | | | | 443,430 | |
| MGIC Investment Corp. * | | | 127,086 | | | | 1,592,388 | |
| Nationstar Mortgage Holdings, Inc. * | | | 18,671 | | | | 346,720 | |
| NMI Holdings, Inc., Class A * | | | 31,611 | | | | 391,976 | |
| Northfield Bancorp, Inc. | | | 9,328 | | | | 161,841 | |
| Northwest Bancshares, Inc. | | | 12,996 | | | | 224,441 | |
| Oritani Financial Corp. | | | 6,634 | | | | 111,451 | |
| Provident Financial Services, Inc. | | | 5,922 | | | | 157,940 | |
| Radian Group, Inc. | | | 55,226 | | | | 1,032,174 | |
| Walker & Dunlop, Inc. * | | | 12,133 | | | | 634,920 | |
| Washington Federal, Inc. | | | 20,844 | | | | 701,401 | |
| Waterstone Financial, Inc. | | | 33,935 | | | | 661,733 | |
| WSFS Financial Corp. | | | 10,598 | | | | 516,652 | |
| | | | | | | | |
| | | | | | | 12,899,905 | |
| | | | | | | | |
| Tobacco - 0.0% (b) | |
| Universal Corp. | | | 2,355 | | | | 134,941 | |
| | | | | | | | |
|
| Trading Companies & Distributors - 1.3% | |
| Aircastle Ltd. | | | 5,512 | | | | 122,863 | |
| Applied Industrial Technologies, Inc. | | | 6,185 | | | | 406,973 | |
| CAI International, Inc. * | | | 17,416 | | | | 528,053 | |
| DXP Enterprises, Inc. * | | | 6,458 | | | | 203,362 | |
| GATX Corp. (a) | | | 7,865 | | | | 484,169 | |
| H&E Equipment Services, Inc. | | | 8,078 | | | | 235,878 | |
| Kaman Corp. | | | 2,836 | | | | 158,192 | |
| Rush Enterprises, Inc., Class A * | | | 15,097 | | | | 698,840 | |
| SiteOne Landscape Supply, Inc. * | | | 13,181 | | | | 765,816 | |
| Textainer Group Holdings Ltd. *(a) | | | 11,295 | | | | 193,709 | |
| Triton International Ltd. * | | | 29,606 | | | | 985,288 | |
| | | | | | | | |
| | | | | | | 4,783,143 | |
| | | | | | | | |
| Water Utilities - 0.3% | |
| American States Water Co. | | | 2,078 | | | | 102,341 | |
| Cadiz, Inc. * | | | 9,114 | | | | 115,748 | |
| California Water Service Group | | | 3,113 | | | | 118,761 | |
| Connecticut Water Service, Inc. | | | 3,531 | | | | 209,388 | |
| Middlesex Water Co. | | | 7,010 | | | | 275,283 | |
| SJW Group | | | 6,372 | | | | 360,655 | |
| | | | | | | | |
| | | | | | | 1,182,176 | |
| | | | | | | | |
| Wireless Telecommunication Services - 0.3% | |
| Boingo Wireless, Inc. * | | | 29,727 | | | | 635,266 | |
| Shenandoah Telecommunications Co. | | | 6,531 | | | | 242,953 | |
| Spok Holdings, Inc. | | | 7,837 | | | | 120,298 | |
| | | | | | | | |
| | | | | | | 998,517 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $282,449,882) | | | | | | | 366,427,913 | |
| | | | | |
| | |
| RIGHTS - 0.0% (b) | | NO. OF
RIGHTS | | | | |
| Biotechnology - 0.0% (b) | |
Durata Therapeutics, Inc., CVR (3)*(c) | | | 9,900 | | | | 1,712 | |
| | | | | | | | |
|
| Electronic Equipment, Instruments & Components - 0.0% | |
| Gerber Scientific, Inc., CVR (3)*(c) | | | 4,000 | | | | — | |
| | | | | | | | |
TOTAL RIGHTS
(Cost $—) | | | | | | | 1,712 | |
| | | | | |
| | | | | | | | |
| INVESTMENTS | | NO. OF
WARRANTS | | | VALUE | |
| WARRANT - 0.0% | | | | | | |
|
| Diversified Consumer Services - 0.0% | |
Education Management LLC,
expiring 1/5/2022 (3)*(c)
(Cost $—) | | | 6,600 | | | $ | — | |
| | | | | | | | |
| | |
| SHORT-TERM INVESTMENT - 1.8% | | SHARES | | | | |
|
| Investment Company - 1.8% | |
Limited Purpose Cash
Investment Fund,
0.97% (2)(d) | | | | | |
(Cost $6,840,974) | | | 6,841,658 | | | | 6,840,974 | |
| | | | | | | | |
|
| SECURITIES LENDING COLLATERAL - 7.7% | |
|
| Investment Companies - 7.7% | |
Investments in a Pooled Account
through Securities Lending Program
with Citibank NA | | | | | | | | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares 0.91% (2)(d)(e) | | | 4,478,650 | | | | 4,478,650 | |
| UBS Asset Management Americas, Inc. 1.10% (2)(d)(e) | | | 20,818,228 | | | | 20,818,228 | |
| 1.16% (2)(d)(e) | | | 3,469,704 | | | | 3,469,704 | |
| | | | | | | | |
TOTAL SECURITIES LENDING COLLATERAL
(Cost $28,766,582) | | | | | | | 28,766,582 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 107.8%
(Cost $318,057,438) | | | | | | | 402,037,181 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (7.8)% (f) | | | | | (28,933,657) | |
| | | | | | | | |
Net Assets - 100.0% | | | | | | $ | 373,103,524 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 45,446,190 | | | | 12.2 | % |
| Consumer Staples | | | 8,827,667 | | | | 2.4 | |
| Energy | | | 5,961,627 | | | | 1.6 | |
| Financials | | | 71,235,808 | | | | 19.1 | |
| Health Care | | | 82,922,264 | | | | 22.3 | |
| Industrials | | | 51,922,205 | | | | 13.9 | |
| Information Technology | | | 71,744,882 | | | | 19.2 | |
| Materials | | | 14,365,919 | | | | 3.9 | |
| Real Estate | | | 7,793,858 | | | | 2.1 | |
| Telecommunication Services | | | 2,328,712 | | | | 0.6 | |
| Utilities | | | 3,880,493 | | | | 1.0 | |
| Short-Term Investment | | | 6,840,974 | | | | 1.8 | |
| Securities Lending Collateral | | | 28,766,582 | | | | 7.7 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 402,037,181 | | | | 107.8 | |
| Liabilities in Excess of Other Assets (f) | | | (28,933,657 | ) | | | (7.8 | ) |
| | | | | | | | |
Net Assets | | $ | 373,103,524 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
110
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| * | Non-income producing security. |
| (a) | The security or a portion of this security is on loan at September 30, 2017. The total value of securities on loan at September 30, 2017 was $27,885,606. |
| (b) | Represents less than 0.05% of net assets. |
| (c) | Security fair valued as of September 30, 2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2017 amounted to $1,712, which represents approximately 0.00% of net assets of the fund. |
| (d) | Represents 7-day effective yield as of September 30, 2017. |
| (e) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
| (f) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 4). |
| (3) | Level 3 security (See Note 4). |
Abbreviations
CVR - Contingent Value Rights
Futures contracts outstanding as of September 30, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | EXPIRATION DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | |
| Russell 2000 E-Mini Index | | 53 | | 12/2017 | | | USD | | | | $3,956,185 | | | | $188,091 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $188,091 | |
| | | | | | | | | | | | | | | | |
USD - United States Dollar
Collateral pledged to, or (received from), each counterparty at September 30, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED | | | TOTAL | |
| BARC | | | | | | | | | |
| Cash | | | $— | | | | $(41,064 | ) | | | $(41,064 | ) |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
111
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| COMMON STOCKS - 96.7% | |
| | |
| Australia - 3.5% | | | | | | |
| AGL Energy Ltd. | | | 35,608 | | | $ | 653,857 | |
| Alumina Ltd. | | | 187,658 | | | | 325,208 | |
| Amcor Ltd. | | | 19,354 | | | | 231,481 | |
| Aristocrat Leisure Ltd. | | | 67,187 | | | | 1,109,765 | |
| ASX Ltd. | | | 4,892 | | | | 201,630 | |
| AusNet Services | | | 141,964 | | | | 188,381 | |
| Australia & New Zealand Banking Group Ltd. | | | 4,898 | | | | 114,092 | |
| BHP Billiton plc | | | 234,139 | | | | 4,131,617 | |
| BlueScope Steel Ltd. | | | 32,846 | | | | 283,741 | |
| Challenger Ltd. | | | 34,434 | | | | 337,531 | |
| CIMIC Group Ltd. | | | 9,795 | | | | 340,393 | |
| Cochlear Ltd. | | | 2,343 | | | | 293,072 | |
| Computershare Ltd. | | | 16,435 | | | | 186,985 | |
| CSL Ltd. | | | 1,130 | | | | 118,959 | |
| Fortescue Metals Group Ltd. | | | 115,083 | | | | 466,057 | |
| Goodman Group, REIT | | | 19,229 | | | | 124,499 | |
| Incitec Pivot Ltd. | | | 54,550 | | | | 154,547 | |
| Insurance Australia Group Ltd. | | | 33,454 | | | | 167,551 | |
| Macquarie Group Ltd. | | | 7,263 | | | | 520,002 | |
| Medibank Pvt Ltd. | | | 92,539 | | | | 212,320 | |
| National Australia Bank Ltd. | | | 9,265 | | | | 229,706 | |
| Orica Ltd. | | | 7,394 | | | | 115,095 | |
| Origin Energy Ltd. * | | | 55,153 | | | | 324,810 | |
| Qantas Airways Ltd. | | | 159,934 | | | | 732,550 | |
| REA Group Ltd. | | | 3,516 | | | | 185,201 | |
| SEEK Ltd. | | | 8,938 | | | | 116,705 | |
| South32 Ltd. | | | 475,467 | | | | 1,230,037 | |
| Treasury Wine Estates Ltd. | | | 92,556 | | | | 995,696 | |
| | | | | | | | |
| | | | | | | 14,091,488 | |
| | | | | | | | |
| Austria - 1.0% | |
| ANDRITZ AG | | | 8,061 | | | | 465,878 | |
| Erste Group Bank AG * | | | 11,724 | | | | 506,536 | |
| OMV AG | | | 29,529 | | | | 1,721,547 | |
| Raiffeisen Bank International AG * | | | 29,632 | | | | 993,189 | |
| voestalpine AG | | | 5,354 | | | | 273,030 | |
| | | | | | | | |
| | | | | | | 3,960,180 | |
| | | | | | | | |
| Belgium - 0.9% | |
| Ageas | | | 10,441 | | | | 491,079 | |
| KBC Group NV | | | 21,387 | | | | 1,814,471 | |
| Solvay SA | | | 5,383 | | | | 804,751 | |
| Telenet Group Holding NV * | | | 1,780 | | | | 117,824 | |
| Umicore SA | | | 6,438 | | | | 532,974 | |
| | | | | | | | |
| | | | | | | 3,761,099 | |
| | | | | | | | |
| Canada - 2.9% | |
| BlackBerry Ltd. (1)* | | | 24,718 | | | | 276,350 | |
| Bombardier, Inc., Class B (1)* | | | 154,839 | | | | 280,454 | |
| CAE, Inc. (1) | | | 10,652 | | | | 186,362 | |
| Canadian National Railway Co. (1) | | | 5,545 | | | | 459,421 | |
| CCL Industries, Inc., Class B (1) | | | 12,467 | | | | 603,292 | |
| Constellation Software, Inc. (1) | | | 1,224 | | | | 667,783 | |
| Dollarama, Inc. (1) | | | 9,309 | | | | 1,018,600 | |
| Industrial Alliance Insurance & Financial Services, Inc. (1) | | | 6,685 | | | | 302,707 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Canada - 2.9% (continued) | |
| International Petroleum Corp. * | | | 14,226 | | | $ | 61,823 | |
| Manulife Financial Corp. (1) | | | 113,369 | | | | 2,299,635 | |
| Methanex Corp. (1) | | | 10,338 | | | | 519,489 | |
| National Bank of Canada (1) | | | 8,616 | | | | 414,659 | |
| Onex Corp. (1) | | | 3,817 | | | | 294,561 | |
| Open Text Corp. (1) | | | 5,026 | | | | 162,169 | |
| Restaurant Brands International, Inc. (1) | | | 28,055 | | | | 1,792,462 | |
| Rogers Communications, Inc., Class B (1) | | | 2,840 | | | | 146,444 | |
| Shopify, Inc., Class A (1)* | | | 13,866 | | | | 1,612,690 | |
| Turquoise Hill Resources Ltd. (1)* | | | 52,331 | | | | 161,889 | |
| West Fraser Timber Co. Ltd. (1) | | | 9,115 | | | | 525,971 | |
| | | | | | | | |
| | | | | | | 11,786,761 | |
| | | | | | | | |
| Chile - 0.1% | |
| Antofagasta plc | | | 16,513 | | | | 210,343 | |
| | | | | | | | |
| | |
| China - 0.7% | | | | | | |
| BOC Hong Kong Holdings Ltd. | | | 470,500 | | | | 2,291,804 | |
| Yangzijiang Shipbuilding Holdings Ltd. | | | 354,600 | | | | 374,825 | |
| | | | | | | | |
| | | | | | | 2,666,629 | |
| | | | | | | | |
| Denmark - 1.6% | |
| AP Moller - Maersk A/S, Class B | | | 719 | | | | 1,369,021 | |
| Danske Bank A/S | | | 46,467 | | | | 1,862,100 | |
| DSV A/S | | | 12,376 | | | | 937,556 | |
| Genmab A/S * | | | 3,645 | | | | 806,073 | |
| H Lundbeck A/S | | | 11,731 | | | | 678,193 | |
| Tryg A/S | | | 15,092 | | | | 348,947 | |
| Vestas Wind Systems A/S | | | 6,778 | | | | 609,246 | |
| | | | | | | | |
| | | | | | | 6,611,136 | |
| | | | | | | | |
| Finland - 1.0% | |
| Metso OYJ | | | 11,587 | | | | 425,250 | |
| Nokian Renkaat OYJ | | | 4,704 | | | | 209,316 | |
| Orion OYJ, Class B | | | 16,563 | | | | 769,056 | |
| Sampo OYJ, Class A | | | 2,563 | | | | 135,646 | |
| Stora Enso OYJ, Class R | | | 47,685 | | | | 674,512 | |
| UPM-Kymmene OYJ | | | 46,133 | | | | 1,251,640 | |
| Wartsila OYJ Abp | | | 8,997 | | | | 637,161 | |
| | | | | | | | |
| | | | | | | 4,102,581 | |
| | | | | | | | |
| France - 10.5% | |
| Accor SA | | | 3,636 | | | | 180,831 | |
| Air Liquide SA | | �� | 2,890 | | | | 385,398 | |
| Airbus SE | | | 25,875 | | | | 2,463,175 | |
| AXA SA | | | 23,258 | | | | 703,139 | |
| BNP Paribas SA | | | 58,630 | | | | 4,730,021 | |
| Bouygues SA | | | 5,122 | | | | 243,146 | |
| Capgemini SE | | | 10,168 | | | | 1,191,940 | |
| Cie Generale des Etablissements Michelin | | | 4,645 | | | | 677,713 | |
| CNP Assurances | | | 10,550 | | | | 247,326 | |
| Credit Agricole SA | | | 107,130 | | | | 1,950,207 | |
| Danone SA | | | 2,756 | | | | 216,467 | |
| Dassault Systemes SE | | | 13,270 | | | | 1,342,563 | |
| Edenred | | | 7,656 | | | | 208,127 | |
| Essilor International SA | | | 5,156 | | | | 639,022 | |
| Hermes International | | | 2,446 | | | | 1,234,078 | |
| Ingenico Group SA | | | 1,511 | | | | 143,248 | |
| Ipsen SA | | | 4,868 | | | | 647,703 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
112
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| France - 10.5% (continued) | |
| JCDecaux SA | | | 3,627 | | | $ | 135,981 | |
| Kering | | | 5,684 | | | | 2,264,321 | |
| Legrand SA | | | 2,988 | | | | 215,644 | |
| L’Oreal SA | | | 2,566 | | | | 544,104 | |
| LVMH Moet Hennessy Louis Vuitton SE | | | 16,345 | | | | 4,518,366 | |
| Natixis SA | | | 69,229 | | | | 554,036 | |
| Orange SA | | | 33,131 | | | | 542,485 | |
| Pernod Ricard SA | | | 4,394 | | | | 607,841 | |
| Peugeot SA | | | 17,342 | | | | 412,829 | |
| Safran SA | | | 6,111 | | | | 624,478 | |
| Sanofi | | | 36,809 | | | | 3,664,214 | |
| Schneider Electric SE * | | | 10,401 | | | | 905,730 | |
| SCOR SE | | | 9,686 | | | | 406,221 | |
| SEB SA | | | 1,036 | | | | 190,128 | |
| Societe BIC SA | | | 1,113 | | | | 133,416 | |
| Societe Generale SA | | | 42,705 | | | | 2,502,573 | |
| Sodexo SA | | | 3,300 | | | | 411,381 | |
| Thales SA | | | 10,677 | | | | 1,209,174 | |
| TOTAL SA | | | 13,221 | | | | 709,894 | |
| Valeo SA | | | 12,850 | | | | 953,480 | |
| Veolia Environnement SA | | | 28,559 | | | | 659,941 | |
| Vinci SA | | | 27,859 | | | | 2,646,970 | |
| Vivendi SA | | | 30,525 | | | | 773,315 | |
| | | | | | | | |
| | | | | | | 42,790,626 | |
| | | | | | | | |
| Germany - 8.5% | | | | | | |
| adidas AG | | | 13,936 | | | | 3,156,042 | |
| Allianz SE (Registered) | | | 32,903 | | | | 7,389,580 | |
| Bayer AG (Registered) | | | 22,143 | | | | 3,024,808 | |
| Brenntag AG | | | 3,516 | | | | 196,002 | |
| Commerzbank AG * | | | 108,647 | | | | 1,481,673 | |
| Covestro AG (a) | | | 14,786 | | | | 1,272,346 | |
| Deutsche Bank AG (Registered) | | | 41,595 | | | | 720,040 | |
| Deutsche Boerse AG | | | 5,371 | | | | 583,132 | |
| Deutsche Post AG (Registered) | | | 29,717 | | | | 1,324,615 | |
| E.ON SE | | | 35,205 | | | | 399,099 | |
| Fraport AG Frankfurt Airport Services Worldwide | | | 4,567 | | | | 434,079 | |
| Hannover Rueck SE | | | 8,927 | | | | 1,076,665 | |
| HOCHTIEF AG | | | 4,025 | | | | 679,834 | |
| HUGO BOSS AG | | | 4,462 | | | | 393,715 | |
| Infineon Technologies AG | | | 106,936 | | | | 2,696,114 | |
| KION Group AG | | | 3,098 | | | | 296,774 | |
| LANXESS AG | | | 11,672 | | | | 921,752 | |
| Merck KGaA | | | 5,612 | | | | 625,027 | |
| OSRAM Licht AG | | | 3,010 | | | | 240,407 | |
| RWE AG * | | | 31,060 | | | | 706,614 | |
| SAP SE | | | 27,707 | | | | 3,037,941 | |
| Siemens AG (Registered) | | | 19,892 | | | | 2,806,948 | |
| United Internet AG (Registered) | | | 2,271 | | | | 141,558 | |
| Volkswagen AG | | | 1,099 | | | | 185,895 | |
| Zalando SE *(a) | | | 11,698 | | | | 587,154 | |
| | | | | | | | |
| | | | | | | 34,377,814 | |
| | | | | | | | |
| Hong Kong - 2.9% | | | | | | |
| AIA Group Ltd. | | | 155,600 | | | | 1,151,954 | |
| ASM Pacific Technology Ltd. | | | 36,900 | | | | 533,011 | |
| Bank of East Asia Ltd. (The) | | | 38,600 | | | | 167,315 | |
| CLP Holdings Ltd. | | | 27,500 | | | | 282,332 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Hong Kong - 2.9% (continued) | | | | | | |
| Galaxy Entertainment Group Ltd. | | | 239,000 | | | $ | 1,689,599 | |
| Hang Lung Group Ltd. | | | 44,000 | | | | 158,448 | |
| Hang Lung Properties Ltd. | | | 113,000 | | | | 269,033 | |
| Hang Seng Bank Ltd. | | | 22,600 | | | | 552,517 | |
| Hong Kong & China Gas Co. Ltd. | | | 77,749 | | | | 146,505 | |
| Hysan Development Co. Ltd. | | | 39,000 | | | | 184,004 | |
| I-CABLE Communications Ltd. * | | | 165,915 | | | | 5,452 | |
| Kerry Properties Ltd. | | | 52,500 | | | | 218,062 | |
| Link REIT | | | 30,000 | | | | 243,959 | |
| MTR Corp. Ltd. | | | 46,500 | | | | 272,268 | |
| New World Development Co. Ltd. | | | 381,000 | | | | 549,753 | |
| NWS Holdings Ltd. | | | 109,000 | | | | 213,059 | |
| PCCW Ltd. | | | 302,000 | | | | 163,923 | |
| Power Assets Holdings Ltd. | | | 16,500 | | | | 143,221 | |
| Sands China Ltd. | | | 88,800 | | | | 464,433 | |
| Shangri-La Asia Ltd. | | | 114,000 | | | | 211,593 | |
| Sino Land Co. Ltd. | | | 134,000 | | | | 236,240 | |
| SJM Holdings Ltd. | | | 411,000 | | | | 377,567 | |
| Sun Hung Kai Properties Ltd. | | | 31,000 | | | | 504,998 | |
| Techtronic Industries Co. Ltd. | | | 45,500 | | | | 243,565 | |
| WH Group Ltd. (a) | | | 752,500 | | | | 801,415 | |
| Wharf Holdings Ltd. (The) | | | 123,000 | | | | 1,100,380 | |
| Wheelock & Co. Ltd. | | | 102,000 | | | | 720,007 | |
| Yue Yuen Industrial Holdings Ltd. | | | 44,000 | | | | 167,883 | |
| | | | | | | | |
| | | | | | | 11,772,496 | |
| | | | | | | | |
| Italy - 3.1% | | | | | | |
| Assicurazioni Generali SpA | | | 68,514 | | | | 1,277,875 | |
| Atlantia SpA | | | 12,192 | | | | 385,239 | |
| Enel SpA | | | 19,162 | | | | 115,438 | |
| Ferrari NV | | | 17,399 | | | | 1,925,170 | |
| GEDI Gruppo Editoriale SpA * | | | 5,703 | | | | 5,056 | |
| Intesa Sanpaolo SpA | | | 882,116 | | | | 3,122,965 | |
| Leonardo SpA | | | 35,355 | | | | 662,911 | |
| Mediobanca SpA | | | 83,414 | | | | 896,402 | |
| Prysmian SpA | | | 23,402 | | | | 790,691 | |
| Recordati SpA | | | 8,232 | | | | 379,880 | |
| UniCredit SpA * | | | 126,155 | | | | 2,692,109 | |
| UnipolSai Assicurazioni SpA | | | 82,147 | | | | 192,088 | |
| | | | | | | | |
| | | | | | | 12,445,824 | |
| | | | | | | | |
| Japan - 26.5% | | | | | | |
| Aisin Seiki Co. Ltd. | | | 7,400 | | | | 390,148 | |
| Alps Electric Co. Ltd. | | | 19,200 | | | | 507,432 | |
| Amada Holdings Co. Ltd. | | | 14,000 | | | | 153,711 | |
| ANA Holdings, Inc. | | | 19,400 | | | | 734,852 | |
| Asahi Glass Co. Ltd. | | | 17,100 | | | | 635,147 | |
| Asahi Group Holdings Ltd. | | | 13,600 | | | | 549,966 | |
| Asahi Kasei Corp. | | | 108,000 | | | | 1,330,827 | |
| Bandai Namco Holdings, Inc. | | | 13,600 | | | | 467,226 | |
| Bank of Kyoto Ltd. (The) | | | 3,400 | | | | 173,061 | |
| Benesse Holdings, Inc. | | | 13,600 | | | | 490,674 | |
| Bridgestone Corp. | | | 30,800 | | | | 1,398,435 | |
| Brother Industries Ltd. | | | 37,300 | | | | 869,679 | |
| Canon, Inc. | | | 41,500 | | | | 1,420,171 | |
| Chiba Bank Ltd. (The) | | | 92,000 | | | | 658,860 | |
| Chugoku Bank Ltd. (The) | | | 13,000 | | | | 178,298 | |
| Coca-Cola Bottlers Japan, Inc. | | | 6,200 | | | | 200,816 | |
| Daicel Corp. | | | 9,900 | | | | 119,372 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
113
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - 26.5% (continued) | | | | | | |
| Dai-ichi Life Holdings, Inc. | | | 66,200 | | | $ | 1,187,468 | |
| Daikin Industries Ltd. | | | 2,500 | | | | 253,181 | |
| Daito Trust Construction Co. Ltd. | | | 1,400 | | | | 255,056 | |
| Daiwa House Industry Co. Ltd. | | | 31,100 | | | | 1,074,273 | |
| Denso Corp. | | | 2,400 | | | | 121,465 | |
| Disco Corp. | | | 3,900 | | | | 794,841 | |
| FANUC Corp. | | | 2,000 | | | | 405,507 | |
| Fuji Electric Co. Ltd. | | | 61,000 | | | | 338,469 | |
| Fujitsu Ltd. | | | 187,000 | | | | 1,391,756 | |
| Fukuoka Financial Group, Inc. | | | 79,000 | | | | 365,429 | |
| Hachijuni Bank Ltd. (The) | | | 30,700 | | | | 192,087 | |
| Hikari Tsushin, Inc. | | | 3,600 | | | | 451,630 | |
| Hisamitsu Pharmaceutical Co., Inc. | | | 4,000 | | | | 192,228 | |
| Hitachi Chemical Co. Ltd. | | | 20,000 | | | | 548,813 | |
| Hitachi Construction Machinery Co. Ltd. | | | 23,400 | | | | 693,476 | |
| Hitachi High-Technologies Corp. | | | 7,000 | | | | 254,232 | |
| Hitachi Ltd. | | | 292,000 | | | | 2,058,849 | |
| Hoshizaki Corp. | | | 2,300 | | | | 202,039 | |
| Hoya Corp. | | | 28,400 | | | | 1,535,839 | |
| Idemitsu Kosan Co. Ltd. | | | 15,300 | | | | 432,407 | |
| IHI Corp. | | | 6,100 | | | | 212,638 | |
| Inpex Corp. | | | 15,100 | | | | 160,857 | |
| Isuzu Motors Ltd. | | | 11,200 | | | | 148,499 | |
| ITOCHU Corp. | | | 68,000 | | | | 1,114,165 | |
| JFE Holdings, Inc. | | | 28,400 | | | | 555,498 | |
| JXTG Holdings, Inc. | | | 23,200 | | | | 119,624 | |
| Kajima Corp. | | | 70,000 | | | | 695,759 | |
| Kaneka Corp. | | | 21,000 | | | | 163,170 | |
| Kansai Electric Power Co., Inc. (The) | | | 71,900 | | | | 920,283 | |
| Kansai Paint Co. Ltd. | | | 10,400 | | | | 261,985 | |
| Keikyu Corp. (b) | | | 7,000 | | | | 141,958 | |
| Keyence Corp. | | | 6,480 | | | | 3,446,504 | |
| Kirin Holdings Co. Ltd. | | | 50,700 | | | | 1,191,141 | |
| Kobe Steel Ltd. | | | 15,600 | | | | 178,655 | |
| Koito Manufacturing Co. Ltd. | | | 10,500 | | | | 659,349 | |
| Komatsu Ltd. | | | 48,700 | | | | 1,379,039 | |
| Konami Holdings Corp. | | | 13,400 | | | | 645,120 | |
| Kose Corp. | | | 1,700 | | | | 194,858 | |
| Kuraray Co. Ltd. | | | 19,500 | | | | 364,841 | |
| Kyocera Corp. | | | 6,000 | | | | 372,395 | |
| Kyushu Electric Power Co., Inc. | | | 16,200 | | | | 172,100 | |
| Lion Corp. | | | 32,100 | | | | 586,529 | |
| LIXIL Group Corp. | | | 15,900 | | | | 422,242 | |
| M3, Inc. | | | 8,200 | | | | 233,793 | |
| Makita Corp. | | | 8,900 | | | | 359,210 | |
| Marubeni Corp. | | | 64,400 | | | | 440,251 | |
| McDonald’s Holdings Co. Japan Ltd. | | | 7,300 | | | | 322,964 | |
| Mebuki Financial Group, Inc. | | | 60,700 | | | | 234,859 | |
| Medipal Holdings Corp. | | | 8,800 | | | | 152,939 | |
| MINEBEA MITSUMI, Inc. | | | 58,300 | | | | 913,108 | |
| MISUMI Group, Inc. | | | 26,200 | | | | 690,555 | |
| Mitsubishi Chemical Holdings Corp. | | | 119,400 | | | | 1,138,357 | |
| Mitsubishi Corp. | | | 29,600 | | | | 688,669 | |
| Mitsubishi Electric Corp. | | | 28,000 | | | | 438,014 | |
| Mitsubishi Gas Chemical Co., Inc. | | | 40,600 | | | | 952,619 | |
| Mitsubishi Motors Corp. | | | 78,300 | | | | 619,928 | |
| Mitsubishi Tanabe Pharma Corp. | | | 21,900 | | | | 502,759 | |
| Mitsubishi UFJ Financial Group, Inc. | | | 640,300 | | | | 4,163,126 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - 26.5% (continued) | | | | | | |
| Mitsui & Co. Ltd. | | | 45,700 | | | $ | 675,945 | |
| Mitsui Chemicals, Inc. | | | 10,600 | | | | 322,425 | |
| Mitsui OSK Lines Ltd. | | | 12,000 | | | | 364,126 | |
| Mixi, Inc. | | | 5,500 | | | | 265,628 | |
| MS&AD Insurance Group Holdings, Inc. | | | 11,000 | | | | 354,490 | |
| Murata Manufacturing Co. Ltd. | | | 2,600 | | | | 382,767 | |
| Nabtesco Corp. | | | 9,600 | | | | 357,185 | |
| Nexon Co. Ltd. * | | | 22,300 | | | | 582,973 | |
| NGK Spark Plug Co. Ltd. | | | 5,900 | | | | 125,650 | |
| NH Foods Ltd. | | | 14,000 | | | | 384,775 | |
| Nidec Corp. | | | 15,200 | | | | 1,868,550 | |
| Nintendo Co. Ltd. | | | 7,800 | | | | 2,876,120 | |
| Nippon Electric Glass Co. Ltd. | | | 13,100 | | | | 507,809 | |
| Nippon Express Co. Ltd. | | | 7,500 | | | | 488,941 | |
| Nippon Paint Holdings Co. Ltd. | | | 15,100 | | | | 513,692 | |
| Nissan Chemical Industries Ltd. | | | 5,700 | | | | 200,593 | |
| Nitori Holdings Co. Ltd. | | | 7,200 | | | | 1,029,685 | |
| Nitto Denko Corp. | | | 11,000 | | | | 917,525 | |
| Nomura Holdings, Inc. | | | 269,200 | | | | 1,510,479 | |
| Nomura Real Estate Master Fund, Inc., REIT | | | 123 | | | | 159,965 | |
| Nomura Research Institute Ltd. | | | 4,500 | | | | 175,739 | |
| NSK Ltd. | | | 46,700 | | | | 630,501 | |
| Obayashi Corp. | | | 24,900 | | | | 298,662 | |
| Obic Co. Ltd. | | | 2,200 | | | | 138,511 | |
| Omron Corp. | | | 15,900 | | | | 810,780 | |
| Oriental Land Co. Ltd. | | | 4,400 | | | | 335,455 | |
| Otsuka Corp. | | | 7,200 | | | | 461,776 | |
| Otsuka Holdings Co. Ltd. | | | 9,400 | | | | 373,759 | |
| Panasonic Corp. | | | 113,900 | | | | 1,652,914 | |
| Pola Orbis Holdings, Inc. | | | 8,400 | | | | 253,997 | |
| Recruit Holdings Co. Ltd. | | | 96,300 | | | | 2,085,230 | |
| Renesas Electronics Corp. * | | | 41,000 | | | | 446,838 | |
| Resona Holdings, Inc. | | | 152,500 | | | | 784,064 | |
| Rohm Co. Ltd. | | | 11,800 | | | | 1,012,543 | |
| Ryohin Keikaku Co. Ltd. | | | 1,100 | | | | 324,260 | |
| Sega Sammy Holdings, Inc. | | | 12,000 | | | | 167,743 | |
| Seiko Epson Corp. | | | 26,400 | | | | 639,300 | |
| Sekisui Chemical Co. Ltd. | | | 22,600 | | | | 445,256 | |
| Sharp Corp. *(b) | | | 26,800 | | | | 810,530 | |
| Shimadzu Corp. | | | 12,000 | | | | 236,684 | |
| Shin-Etsu Chemical Co. Ltd. | | | 27,100 | | | | 2,425,449 | |
| Shionogi & Co. Ltd. | | | 4,700 | | | | 256,934 | |
| Shiseido Co. Ltd. | | | 26,600 | | | | 1,064,589 | |
| SMC Corp. | | | 1,000 | | | | 353,361 | |
| SoftBank Group Corp. | | | 50,800 | | | | 4,119,692 | |
| Sohgo Security Services Co. Ltd. | | | 2,900 | | | | 133,119 | |
| Sompo Holdings, Inc. | | | 14,300 | | | | 557,263 | |
| Sony Corp. | | | 73,600 | | | | 2,745,918 | |
| Sony Financial Holdings, Inc. | | | 11,300 | | | | 185,428 | |
| Stanley Electric Co. Ltd. | | | 11,500 | | | | 394,434 | |
| Start Today Co. Ltd. | | | 34,900 | | | | 1,105,986 | |
| Sumitomo Chemical Co. Ltd. | | | 33,000 | | | | 206,450 | |
| Sumitomo Corp. | | | 52,300 | | | | 752,984 | |
| Sumitomo Dainippon Pharma Co. Ltd. | | | 11,200 | | | | 145,903 | |
| Sumitomo Electric Industries Ltd. | | | 8,500 | | | | 138,958 | |
| Sumitomo Heavy Industries Ltd. | | | 18,800 | | | | 754,615 | |
| Sumitomo Metal Mining Co. Ltd. | | | 13,000 | | | | 418,513 | |
| Sumitomo Mitsui Financial Group, Inc. | | | 6,500 | | | | 249,855 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
114
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - 26.5% (continued) | | | | | | |
| Sundrug Co. Ltd. | | | 4,400 | | | $ | 182,333 | |
| Suzuki Motor Corp. | | | 32,400 | | | | 1,700,517 | |
| T&D Holdings, Inc. | | | 57,800 | | | | 838,526 | |
| Taiheiyo Cement Corp. | | | 11,500 | | | | 444,293 | |
| Taisei Corp. | | | 10,000 | | | | 524,419 | |
| Taisho Pharmaceutical Holdings Co. Ltd. | | | 1,900 | | | | 144,370 | |
| Takeda Pharmaceutical Co. Ltd. | | | 43,100 | | | | 2,383,255 | |
| Terumo Corp. | | | 3,900 | | | | 153,400 | |
| THK Co. Ltd. | | | 16,700 | | | | 569,615 | |
| Toho Co. Ltd. | | | 5,500 | | | | 192,049 | |
| Toho Gas Co. Ltd. | | | 4,000 | | | | 117,147 | |
| Tokio Marine Holdings, Inc. | | | 10,300 | | | | 403,115 | |
| Tokyo Electron Ltd. | | | 12,700 | | | | 1,955,153 | |
| Toppan Printing Co. Ltd. | | | 14,000 | | | | 138,884 | |
| Tosoh Corp. | | | 42,500 | | | | 959,316 | |
| TOTO Ltd. | | | 4,800 | | | | 202,294 | |
| Toyoda Gosei Co. Ltd. | | | 7,500 | | | | 177,242 | |
| Toyota Tsusho Corp. | | | 16,800 | | | | 552,142 | |
| Trend Micro, Inc. | | | 12,300 | | | | 605,972 | |
| Tsuruha Holdings, Inc. | | | 1,400 | | | | 167,392 | |
| Unicharm Corp. | | | 7,400 | | | | 169,500 | |
| USS Co. Ltd. | | | 6,400 | | | | 129,171 | |
| West Japan Railway Co. | | | 6,900 | | | | 479,705 | |
| Yakult Honsha Co. Ltd. | | | 9,300 | | | | 669,258 | |
| Yamada Denki Co. Ltd. | | | 24,800 | | | | 135,609 | |
| Yamaha Corp. | | | 8,700 | | | | 321,217 | |
| Yamaha Motor Co. Ltd. | | | 27,500 | | | | 823,215 | |
| Yaskawa Electric Corp. | | | 35,700 | | | | 1,133,107 | |
| Yokogawa Electric Corp. | | | 26,400 | | | | 449,874 | |
| Yokohama Rubber Co. Ltd. (The) | | | 9,400 | | | | 193,857 | |
| | | | | | | | |
| | | | | | | 107,885,343 | |
| | | | | | | | |
| Luxembourg - 0.4% | | | | | | |
| ArcelorMittal * | | | 62,393 | | | | 1,609,508 | |
| | | | | | | | |
| | |
| Macau - 0.3% | | | | | | |
| MGM China Holdings Ltd. (b) | | | 194,400 | | | | 466,552 | |
| Wynn Macau Ltd. | | | 264,000 | | | | 713,983 | |
| | | | | | | | |
| | | | | | | 1,180,535 | |
| | | | | | | | |
| Mexico - 0.1% | | | | | | |
| Fresnillo plc | | | 13,066 | | | | 246,193 | |
| | | | | | | | |
| | |
| Netherlands - 4.4% | | | | | | |
| ABN AMRO Group NV, CVA (a) | | | 41,416 | | | | 1,240,170 | |
| Aegon NV | | | 81,866 | | | | 477,198 | |
| Akzo Nobel NV | | | 2,822 | | | | 260,271 | |
| Altice NV, Class A * | | | 62,921 | | | | 1,260,679 | |
| ASML Holding NV | | | 23,188 | | | | 3,962,311 | |
| EXOR NV | | | 17,289 | | | | 1,097,244 | |
| ING Groep NV | | | 286,816 | | | | 5,286,694 | |
| Koninklijke DSM NV | | | 8,954 | | | | 733,029 | |
| Koninklijke Philips NV | | | 55,962 | | | | 2,308,991 | |
| NN Group NV | | | 22,829 | | | | 955,995 | |
| Randstad Holding NV | | | 3,205 | | | | 198,081 | |
| Wolters Kluwer NV | | | 4,254 | | | | 196,599 | |
| | | | | | | | |
| | | | | | | 17,977,262 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Norway - 0.6% | | | | | | |
| DNB ASA | | | 81,209 | | | $ | 1,639,616 | |
| Golar LNG Ltd. (3)(c) | | | 2,009 | | | | 42,881 | |
| Norsk Hydro ASA | | | 126,354 | | | | 921,978 | |
| | | | | | | | |
| | | | | | | 2,604,475 | |
| | | | | | | | |
| Portugal - 0.0% (d) | | | | | | |
| Jeronimo Martins SGPS SA | | | 7,219 | | | | 142,496 | |
| | | | | | | | |
| | |
| Singapore - 1.1% | | | | | | |
| Ascendas REIT | | | 103,900 | | | | 204,198 | |
| CapitaLand Commercial Trust, REIT | | | 140,800 | | | | 172,174 | |
| CapitaLand Mall Trust, REIT | | | 113,500 | | | | 167,507 | |
| ComfortDelGro Corp. Ltd. | | | 125,500 | | | | 192,850 | |
| DBS Group Holdings Ltd. | | | 102,000 | | | | 1,570,195 | |
| Genting Singapore plc | | | 512,500 | | | | 443,166 | |
| Global Logistic Properties Ltd. | | | 213,800 | | | | 520,931 | |
| Jardine Cycle & Carriage Ltd. | | | 6,800 | | | | 197,881 | |
| Oversea-Chinese Banking Corp. Ltd. | | | 29,400 | | | | 242,440 | |
| United Overseas Bank Ltd. | | | 48,100 | | | | 835,293 | |
| | | | | | | | |
| | | | | | | 4,546,635 | |
| | | | | | | | |
| South Africa - 0.1% | | | | | | |
| Mondi plc | | | 10,030 | | | | 269,658 | |
| | | | | | | | |
| | |
| Spain - 4.8% | | | | | | |
| ACS Actividades de Construccion y Servicios SA | | | 4,951 | | | | 183,670 | |
| Aena SME SA (a) | | | 6,752 | | | | 1,220,271 | |
| Amadeus IT Group SA | | | 14,004 | | | | 910,803 | |
| Banco Bilbao Vizcaya Argentaria SA | | | 407,695 | | | | 3,644,955 | |
| Banco de Sabadell SA | | | 424,849 | | | | 888,166 | |
| Banco Santander SA | | | 1,100,100 | | | | 7,695,032 | |
| Bankia SA | | | 155,771 | | | | 752,031 | |
| Bankinter SA | | | 26,098 | | | | 247,175 | |
| CaixaBank SA | | | 471,572 | | | | 2,367,057 | |
| Grifols SA | | | 26,576 | | | | 775,572 | |
| Mapfre SA | | | 246,439 | | | | 803,042 | |
| | | | | | | | |
| | | | | | | 19,487,774 | |
| | | | | | | | |
| Sweden - 4.1% | | | | | | |
| Alfa Laval AB | | | 10,973 | | | | 268,398 | |
| Atlas Copco AB, Class A | | | 50,060 | | | | 2,123,663 | |
| Boliden AB | | | 33,439 | | | | 1,134,229 | |
| Hexagon AB, Class B | | | 4,005 | | | | 198,680 | |
| Husqvarna AB, Class B | | | 47,017 | | | | 484,184 | |
| Industrivarden AB, Class C | | | 17,386 | | | | 441,041 | |
| Investor AB, Class B | | | 44,325 | | | | 2,192,945 | |
| L E Lundbergforetagen AB, Class B | | | 2,349 | | | | 187,962 | |
| Nordea Bank AB | | | 189,217 | | | | 2,569,041 | |
| Sandvik AB | | | 110,007 | | | | 1,899,897 | |
| Skandinaviska Enskilda Banken AB, Class A | | | 103,389 | | | | 1,364,031 | |
| Svenska Handelsbanken AB, Class A | | | 11,485 | | | | 173,519 | |
| Swedbank AB, Class A | | | 39,324 | | | | 1,088,942 | |
| Tele2 AB, Class B | | | 11,897 | | | | 136,329 | |
| Volvo AB, Class B | | | 128,950 | | | | 2,489,772 | |
| | | | | | | | |
| | | | | | | 16,752,633 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
115
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Switzerland - 6.0% | | | | | | |
| ABB Ltd. (Registered) | | | 38,045 | | | $ | 940,776 | |
| Adecco Group AG (Registered) * | | | 2,978 | | | | 232,000 | |
| Baloise Holding AG (Registered) | | | 4,695 | | | | 743,468 | |
| Cie Financiere Richemont SA (Registered) | | | 29,121 | | | | 2,665,620 | |
| Coca-Cola HBC AG * | | | 15,239 | | | | 515,974 | |
| Credit Suisse Group AG (Registered) * | | | 41,924 | | | | 664,269 | |
| Dufry AG (Registered) * | | | 3,000 | | | | 476,861 | |
| EMS-Chemie Holding AG (Registered) | | | 901 | | | | 599,615 | |
| Ferguson plc | | | 7,753 | | | | 508,669 | |
| Geberit AG (Registered) | | | 1,437 | | | | 680,299 | |
| Glencore plc * | | | 723,610 | | | | 3,321,378 | |
| Julius Baer Group Ltd. * | | | 11,902 | | | | 706,266 | |
| LafargeHolcim Ltd. (Registered) * | | | 17,407 | | | | 1,019,091 | |
| Lonza Group AG (Registered) * | | | 6,509 | | | | 1,710,334 | |
| Partners Group Holding AG | | | 2,964 | | | | 2,012,254 | |
| Schindler Holding AG | | | 1,000 | | | | 220,996 | |
| Sika AG | | | 202 | | | | 1,504,029 | |
| STMicroelectronics NV | | | 80,448 | | | | 1,560,639 | |
| Straumann Holding AG (Registered) | | | 784 | | | | 504,202 | |
| Swatch Group AG (The) | | | 1,584 | | | | 660,079 | |
| Swiss Life Holding AG (Registered) * | | | 1,339 | | | | 472,054 | |
| Zurich Insurance Group AG | | | 8,211 | | | | 2,509,113 | |
| | | | | | | | |
| | | | | | | 24,227,986 | |
| | | | | | | | |
| United Kingdom - 11.5% | | | | | | |
| 3i Group plc | | | 56,789 | | | | 695,275 | |
| Admiral Group plc | | | 13,052 | | | | 318,045 | |
| Anglo American plc | | | 96,198 | | | | 1,729,486 | |
| Ashtead Group plc | | | 29,553 | | | | 712,937 | |
| Associated British Foods plc | | | 3,319 | | | | 142,092 | |
| AstraZeneca plc | | | 6,894 | | | | 458,461 | |
| Auto Trader Group plc (a) | | | 55,734 | | | | 293,216 | |
| Aviva plc | | | 36,331 | | | | 250,754 | |
| BAE Systems plc | | | 189,769 | | | | 1,607,107 | |
| Barclays plc | | | 381,169 | | | | 988,365 | |
| Barratt Developments plc | | | 64,724 | | | | 533,208 | |
| Berkeley Group Holdings plc | | | 5,516 | | | | 274,899 | |
| British American Tobacco plc | | | 21,919 | | | | 1,372,212 | |
| Bunzl plc | | | 15,969 | | | | 485,127 | |
| CNH Industrial NV | | | 94,055 | | | | 1,129,162 | |
| Compass Group plc | | | 107,117 | | | | 2,272,760 | |
| Croda International plc | | | 4,629 | | | | 235,376 | |
| DCC plc | | | 1,961 | | | | 190,416 | |
| Diageo plc | | | 49,803 | | | | 1,637,797 | |
| Direct Line Insurance Group plc | | | 141,918 | | | | 691,864 | |
| easyJet plc | | | 16,101 | | | | 262,747 | |
| Experian plc | | | 44,643 | | | | 896,729 | |
| Fiat Chrysler Automobiles NV * | | | 124,386 | | | | 2,229,170 | |
| GlaxoSmithKline plc | | | 32,511 | | | | 649,915 | |
| Hargreaves Lansdown plc | | | 25,853 | | | | 513,007 | |
| HSBC Holdings plc | | | 973,305 | | | | 9,621,934 | |
| Inmarsat plc | | | 21,388 | | | | 184,590 | |
| InterContinental Hotels Group plc | | | 4,330 | | | | 229,060 | |
| International Consolidated Airlines Group SA | | | 155,104 | | | | 1,236,108 | |
| Intertek Group plc | | | 14,454 | | | | 966,150 | |
| ITV plc | | | 218,085 | | | | 510,952 | |
| Kingfisher plc | | | 42,770 | | | | 171,238 | |
| Legal & General Group plc | | | 133,260 | | | | 464,475 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United Kingdom - 11.5% (continued) | | | | | | |
| Merlin Entertainments plc (a) | | | 36,725 | | | $ | 219,175 | |
| National Grid plc | | | 37,232 | | | | 461,139 | |
| Old Mutual plc | | | 78,992 | | | | 205,773 | |
| Persimmon plc | | | 33,854 | | | | 1,171,599 | |
| Prudential plc | | | 51,752 | | | | 1,238,452 | |
| Reckitt Benckiser Group plc | | | 8,348 | | | | 762,741 | |
| Rio Tinto plc | | | 59,677 | | | | 2,777,913 | |
| Rolls-Royce Holdings plc * | | | 13,134 | | | | 156,219 | |
| Royal Mail plc | | | 29,034 | | | | 149,499 | |
| Sage Group plc (The) | | | 75,004 | | | | 702,401 | |
| Schroders plc | | | 3,675 | | | | 165,326 | |
| Severn Trent plc | | | 5,220 | | | | 152,051 | |
| Smith & Nephew plc | | | 18,671 | | | | 337,482 | |
| St James’s Place plc | | | 20,354 | | | | 312,837 | |
| Standard Chartered plc * | | | 173,064 | | | | 1,720,792 | |
| Taylor Wimpey plc | | | 76,654 | | | | 200,906 | |
| Vodafone Group plc | | | 246,481 | | | | 690,194 | |
| Weir Group plc (The) | | | 16,675 | | | | 438,911 | |
| Whitbread plc | | | 7,536 | | | | 380,391 | |
| WPP plc | | | 32,978 | | | | 611,943 | |
| | | | | | | | |
| | | | | | 46,810,378 | |
| | | | | | | | |
| United States - 0.1% | |
| QIAGEN NV * | | | 19,488 | | | | 616,016 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $325,443,849) | | | | 392,933,869 | |
| | | | | |
| | |
RIGHT - 0.0% (d) | | NO. OF
RIGHTS | | | | |
|
| Singapore - 0.0% (d) | |
CapitaLand Commercial Trust, expiring 10/19/2017 *
(Cost $—) | | | 23,372 | | | | 5,095 | |
| | | | | | | | |
| | |
SHORT-TERM INVESTMENTS - 2.5% | | SHARES | | | | |
|
| Investment Companies - 2.5% | |
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares,
0.92% (e) | | | 15 | | | | 15 | |
| Limited Purpose Cash Investment Fund, 0.97% (e) | | | 10,221,087 | | | | 10,220,065 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(Cost $10,220,080) | | | | | | | 10,220,080 | |
| | | | | | | | |
SECURITIES LENDING COLLATERAL - 0.3% | |
|
| Investment Companies - 0.3% | |
| Investments in a Pooled Account through Securities Lending Program with Citibank NA | | | | | | | | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares | | | | | | | | |
| 0.91% (e)(f) | | | 177,017 | | | | 177,017 | |
| UBS Asset Management Americas, Inc. | | | | | | | | |
| 1.10% (e)(f) | | | 822,831 | | | | 822,831 | |
| 1.16% (e)(f) | | | 137,139 | | | | 137,139 | |
| | | | | | | | |
TOTAL INVESTMENT COMPANIES
(Cost $1,136,987) | | | | | | | 1,136,987 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
116
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
|
| U.S. Treasury Obligations - 0.0% (d) | |
| Investments in a Pooled Account through Securities Lending Program with Citibank NA | | | | | | | | |
| U.S. Treasury Bills | | | | | | | | |
| 0.00%, 10/12/2017 (f) | | $ | 5,379 | | | $ | 5,379 | |
| 0.00%, 11/9/2017 (f) | | | 58,994 | | | | 58,994 | |
| 0.00%, 12/14/2017 (f) | | | 27,469 | | | | 27,469 | |
| U.S. Treasury Bonds, | | | | | | | | |
| 3.63%, 8/15/2043 (f) | | | 1 | | | | 1 | |
| U.S. Treasury Notes | | | | | | | | |
| 1.12%, 4/30/2019 (f) | | | 50 | | | | 50 | |
| 1.00%, 8/31/2019 (f) | | | 2,551 | | | | 2,551 | |
| 2.63%, 8/15/2020 (f) | | | 17,393 | | | | 17,393 | |
| 2.13%, 8/15/2021 (f) | | | 6,077 | | | | 6,077 | |
| 0.13%, 7/15/2022 (f) | | | 15,562 | | | | 15,562 | |
| | | | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $133,476) | | | | | | | 133,476 | |
| | | | | | | | |
TOTAL SECURITIES LENDING COLLATERAL
(Cost $1,270,463) | | | | | | | 1,270,463 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 99.5%
(Cost $336,934,392) | | | | | | | 404,429,507 | |
| | | | | | | | |
| OTHER ASSETS IN EXCESS OF LIABILITIES - 0.5% (g) | | | | | | | 2,039,012 | |
| | | | | |
NET ASSETS - 100.0% | | | $ | 406,468,519 | |
| | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 59,019,691 | | | | 14.5 | % |
| Consumer Staples | | | 13,353,987 | | | | 3.3 | |
| Energy | | | 3,573,844 | | | | 0.9 | |
| Financials | | | 120,026,518 | | | | 29.5 | |
| Health Care | | | 25,082,159 | | | | 6.2 | |
| Industrials | | | 65,616,829 | | | | 16.1 | |
| Information Technology | | | 44,062,956 | | | | 10.8 | |
| Materials | | | 43,459,318 | | | | 10.7 | |
| Real Estate | | | 6,868,584 | | | | 1.7 | |
| Telecommunication Services | | | 6,756,971 | | | | 1.7 | |
| Utilities | | | 5,118,107 | | | | 1.3 | |
| Short-Term Investments | | | 10,220,080 | | | | 2.5 | |
| Securities Lending Collateral | | | 1,270,463 | | | | 0.3 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 404,429,507 | | | | 99.5 | |
| Other Assets in Excess of Liabilities (g) | | | 2,039,012 | | | | 0.5 | |
| | | | | | | | |
Net Assets | | $ | 406,468,519 | | | | 100.0 | % |
| | | | | | | | |
| * | Non-income producing security. |
| (a) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2017 amounted to $5,633,747, which represents approximately 1.39% of net assets of the fund. |
| (b) | The security or a portion of this security is on loan at September 30, 2017. The total value of securities on loan at September 30, 2017 was $1,112,864. |
| (c) | Security fair valued as of September 30, 2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2017 amounted to $42,881, which represents approximately 0.01% of net assets of the fund. |
| (d) | Represents less than 0.05% of net assets. |
| (e) | Represents 7-day effective yield as of September 30, 2017. |
| (f) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
| (g) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 4). |
| (3) | Level 3 security (See Note 4). |
Abbreviations
CVA - Dutch Certification
OYJ - Public Traded Company
REIT - Real Estate Investment Trust
SGPS - Sociedade Gestora de Participacões Sociais
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
117
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND | | | | |
Futures contracts outstanding as of September 30, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | |
| MSCI Emerging Markets E-Mini Index | | 88 | | 12/2017 | | | USD | | | | $8,704,960 | | | | $53,633 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 53,633 | |
| | | | | | | | | | | | | | | | |
USD - United States Dollar
Collateral pledged to, or (received from), each counterparty at September 30, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED | | | TOTAL | |
| BARC | | | | | | | | | |
| Cash | | | $— | | | | $308,598 | | | | $308,598 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
118
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| COMMON STOCKS - 96.7% | | | | | | |
| | |
| Brazil - 8.9% | | | | | | |
| B3 SA - Brasil Bolsa Balcao (1)* | | | 6,200 | | | $ | 46,728 | |
| Banco Bradesco SA, ADR (1)* | | | 9,878 | | | | 109,349 | |
| Banco do Brasil SA (1)* | | | 7,600 | | | | 83,867 | |
| Banco Santander Brasil SA, ADR (1) | | | 6,139 | | | | 53,655 | |
| BB Seguridade Participacoes SA (1) | | | 900 | | | | 8,099 | |
| BR Malls Participacoes SA (1) | | | 1,820 | | | | 8,137 | |
| Braskem SA (Preference), Class A (1) | | | 2,600 | | | | 34,774 | |
| Cia Brasileira de Distribuicao, ADR (1)* | | | 1,323 | | | | 31,315 | |
| Cia de Saneamento Basico do Estado de Sao Paulo, ADR (1)* | | | 1,948 | | | | 20,376 | |
| Cia Energetica de Minas Gerais, ADR (1) | | | 3,298 | | | | 8,179 | |
| Cia Siderurgica Nacional SA (1)* | | | 2,100 | | | | 6,365 | |
| EDP - Energias do Brasil SA (1)* | | | 2,700 | | | | 12,941 | |
| Equatorial Energia SA (1) | | | 2,300 | | | | 44,567 | |
| Fibria Celulose SA, ADR (1) | | | 2,112 | | | | 28,597 | |
| Gerdau SA (Preference) (1) | | | 12,900 | | | | 44,926 | |
| Hypermarcas SA (1) | | | 1,300 | | | | 13,172 | |
| Itau Unibanco Holding SA, ADR (1) | | | 15,963 | | | | 218,693 | |
| Itausa - Investimentos Itau SA (Preference) (1) | | | 14,000 | | | | 48,845 | |
| Kroton Educacional SA (1) | | | 2,200 | | | | 13,872 | |
| Localiza Rent a Car SA (1)* | | | 1,995 | | | | 36,434 | |
| Lojas Americanas SA (Preference) (1)* | | | 1,540 | | | | 9,370 | |
| Lojas Renner SA (1)* | | | 3,160 | | | | 35,919 | |
| M Dias Branco SA (1)* | | | 1,800 | | | | 28,417 | |
| Multiplan Empreendimentos Imobiliarios SA (1)* | | | 200 | | | | 4,646 | |
| Petroleo Brasileiro SA (Preference) (1)* | | | 9,200 | | | | 44,560 | |
| Qualicorp SA (1) | | | 3,400 | | | | 40,278 | |
| Raia Drogasil SA (1)* | | | 2,500 | | | | 59,178 | |
| Rumo SA (1)* | | | 2,300 | | | | 8,773 | |
| Sul America SA (1) | | | 3,197 | | | | 18,018 | |
| Suzano Papel e Celulose SA (Preference), Class A (1) | | | 5,500 | | | | 31,953 | |
| Telefonica Brasil SA, ADR (1) | | | 1,078 | | | | 17,076 | |
| TIM Participacoes SA, ADR (1) | | | 1,408 | | | | 25,738 | |
| Ultrapar Participacoes SA (1) | | | 300 | | | | 7,161 | |
| WEG SA (1) | | | 2,300 | | | | 15,584 | |
| | | | | | | | |
| | | | | | | 1,219,562 | |
| | | | | | | | |
| Chile - 2.0% | | | | | | |
| Banco de Chile, ADR (1) | | | 296 | | | | 26,986 | |
| Banco Santander Chile, ADR (1) | | | 1,550 | | | | 46,050 | |
| Cencosud SA (1) | | | 3,489 | | | | 10,666 | |
| Cia Cervecerias Unidas SA, ADR (1) | | | 238 | | | | 6,409 | |
| Embotelladora Andina SA (Preference), Class B (1) | | | 2,599 | | | | 12,147 | |
| Empresas COPEC SA (1) | | | 1,532 | | | | 20,059 | |
| Enel Americas SA, ADR (1) | | | 2,166 | | | | 22,137 | |
| Latam Airlines Group SA, ADR (1) | | | 3,470 | | | | 45,977 | |
| SACI Falabella (1) | | | 852 | | | | 8,309 | |
| Sociedad Quimica y Minera de Chile SA, ADR (1) | | | 1,319 | | | | 73,416 | |
| | | | | | | | |
| | | | | | | 272,156 | |
| | | | | | | | |
| China - 34.9% | | | | | | |
| 3SBio, Inc. *(a) | | | 10,000 | | | | 16,085 | |
| AAC Technologies Holdings, Inc. | | | 7,500 | | | | 126,912 | |
| Agricultural Bank of China Ltd., Class H | | | 90,000 | | | | 40,514 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| China - 34.9% (continued) | | | | | | |
| Air China Ltd., Class H | | | 4,000 | | | $ | 3,327 | |
| Aluminum Corp. of China Ltd., Class H * | | | 104,000 | | | | 93,306 | |
| Anhui Conch Cement Co. Ltd., Class H | | | 15,000 | | | | 60,206 | |
| ANTA Sports Products Ltd. | | | 10,000 | | | | 42,158 | |
| Bank of China Ltd., Class H | | | 55,000 | | | | 27,320 | |
| Bank of Communications Co. Ltd., Class H | | | 39,000 | | | | 28,627 | |
| Beijing Capital International Airport Co. Ltd., Class H | | | 10,000 | | | | 14,926 | |
| Beijing Enterprises Water Group Ltd. | | | 40,000 | | | | 32,349 | |
| Brilliance China Automotive Holdings Ltd. | | | 36,000 | | | | 96,171 | |
| BYD Co. Ltd., Class H | | | 1,000 | | | | 9,485 | |
| China Cinda Asset Management Co. Ltd., Class H | | | 40,000 | | | | 14,801 | |
| China Coal Energy Co. Ltd., Class H | | | 15,000 | | | | 7,113 | |
| China Communications Construction Co. Ltd., Class H | | | 13,000 | | | | 16,305 | |
| China Construction Bank Corp., Class H | | | 83,000 | | | | 69,343 | |
| China Everbright International Ltd. | | | 6,000 | | | | 7,561 | |
| China Evergrande Group * | | | 34,000 | | | | 119,225 | |
| China Galaxy Securities Co. Ltd., Class H | | | 5,000 | | | | 4,406 | |
| China Huarong Asset Management Co. Ltd., Class H (a) | | | 43,000 | | | | 19,254 | |
| China Jinmao Holdings Group Ltd. | | | 12,000 | | | | 6,058 | |
| China Life Insurance Co. Ltd., Class H | | | 31,000 | | | | 92,924 | |
| China Medical System Holdings Ltd. | | | 11,000 | | | | 19,264 | |
| China Mengniu Dairy Co. Ltd. * | | | 15,000 | | | | 42,077 | |
| China Merchants Bank Co. Ltd., Class H | | | 79,000 | | | | 279,743 | |
| China National Building Material Co. Ltd., Class H | | | 24,000 | | | | 16,705 | |
| China Petroleum & Chemical Corp., Class H | | | 46,000 | | | | 34,669 | |
| China Railway Construction Corp. Ltd., Class H | | | 5,000 | | | | 6,360 | |
| China Railway Group Ltd., Class H | | | 11,000 | | | | 9,140 | |
| China Resources Beer Holdings Co. Ltd. | | | 16,000 | | | | 43,410 | |
| China Resources Gas Group Ltd. | | | 4,000 | | | | 13,963 | |
| China Resources Land Ltd. | | | 4,000 | | | | 12,299 | |
| China Shenhua Energy Co. Ltd., Class H | | | 61,000 | | | | 144,225 | |
| China Southern Airlines Co. Ltd., Class H | | | 18,000 | | | | 12,406 | |
| China Taiping Insurance Holdings Co. Ltd. | | | 8,000 | | | | 21,527 | |
| China Unicom Hong Kong Ltd. * | | | 38,000 | | | | 53,127 | |
| China Vanke Co. Ltd., Class H | | | 16,500 | | | | 54,590 | |
| Chongqing Rural Commercial Bank Co. Ltd., Class H | | | 14,000 | | | | 8,912 | |
| CITIC Securities Co. Ltd., Class H | | | 2,000 | | | | 4,414 | |
| Country Garden Holdings Co. Ltd. | | | 87,000 | | | | 138,879 | |
| CSPC Pharmaceutical Group Ltd. | | | 26,000 | | | | 43,696 | |
| Dongfeng Motor Group Co. Ltd., Class H | | | 4,000 | | | | 5,308 | |
| ENN Energy Holdings Ltd. | | | 2,000 | | | | 14,489 | |
| Fuyao Glass Industry Group Co. Ltd., Class H (a) | | | 8,400 | | | | 30,584 | |
| Geely Automobile Holdings Ltd. | | | 55,000 | | | | 156,184 | |
| GF Securities Co. Ltd., Class H | | | 3,200 | | | | 6,982 | |
| Great Wall Motor Co. Ltd., Class H | | | 41,500 | | | | 51,363 | |
| Guangdong Investment Ltd. | | | 4,000 | | | | 5,712 | |
| Guangzhou Automobile Group Co. Ltd., Class H | | | 32,000 | | | | 74,403 | |
| Guangzhou R&F Properties Co. Ltd., Class H | | | 17,200 | | | | 39,943 | |
| Haitian International Holdings Ltd. | | | 8,000 | | | | 23,021 | |
| Haitong Securities Co. Ltd., Class H | | | 2,400 | | | | 3,893 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
119
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| China - 34.9% (continued) | | | | | | |
| Hanergy Thin Film Power Group Ltd. (3)*(b) | | | 86,000 | | | $ | — | |
| Huatai Securities Co. Ltd., Class H (a) | | | 2,800 | | | | 6,226 | |
| Industrial & Commercial Bank of China Ltd., Class H | | | 94,000 | | | | 70,266 | |
| Jiangsu Expressway Co. Ltd., Class H | | | 6,000 | | | | 9,214 | |
| Jiangxi Copper Co. Ltd., Class H | | | 17,000 | | | | 27,010 | |
| Kingsoft Corp. Ltd. | | | 4,000 | | | | 9,371 | |
| Longfor Properties Co. Ltd. | | | 17,500 | | | | 44,245 | |
| Minth Group Ltd. | | | 4,000 | | | | 21,020 | |
| New China Life Insurance Co. Ltd., Class H | | | 12,800 | | | | 72,798 | |
| Ping An Insurance Group Co. of China Ltd., Class H | | | 81,000 | | | | 625,678 | |
| Shanghai Fosun Pharmaceutical Group Co. Ltd., Class H | | | 10,500 | | | | 43,591 | |
| Shanghai Industrial Holdings Ltd. | | | 7,000 | | | | 21,252 | |
| Shanghai Pharmaceuticals Holding Co. Ltd., Class H | | | 2,700 | | | | 6,615 | |
| Shenzhou International Group Holdings Ltd. | | | 5,000 | | | | 39,212 | |
| Sihuan Pharmaceutical Holdings Group Ltd. | | | 27,000 | | | | 9,859 | |
| Sinopec Engineering Group Co. Ltd., Class H | | | 7,500 | | | | 6,628 | |
| Sinopec Shanghai Petrochemical Co. Ltd., Class H | | | 52,000 | | | | 31,067 | |
| SOHO China Ltd. * | | | 20,500 | | | | 11,765 | |
| Sunac China Holdings Ltd. | | | 23,000 | | | | 105,628 | |
| Sunny Optical Technology Group Co. Ltd. | | | 6,000 | | | | 96,324 | |
| Tencent Holdings Ltd. | | | 23,100 | | | | 1,009,948 | |
| TravelSky Technology Ltd., Class H | | | 15,000 | | | | 39,239 | |
| Weichai Power Co. Ltd., Class H | | | 34,000 | | | | 37,499 | |
| Yanzhou Coal Mining Co. Ltd., Class H | | | 34,000 | | | | 33,615 | |
| Zhejiang Expressway Co. Ltd., Class H | | | 10,000 | | | | 12,457 | |
| Zhuzhou CRRC Times Electric Co. Ltd., Class H | | | 1,000 | | | | 5,613 | |
| ZTE Corp., Class H * | | | 19,000 | | | | 62,518 | |
| | | | | | | | |
| | | | | | | 4,778,322 | |
| | | | | | | | |
| Hong Kong - 1.3% | | | | | | |
| China Gas Holdings Ltd. | | | 18,000 | | | | 54,024 | |
| Haier Electronics Group Co. Ltd. * | | | 11,000 | | | | 26,924 | |
| Nine Dragons Paper Holdings Ltd. | | | 28,000 | | | | 55,413 | |
| Shimao Property Holdings Ltd. | | | 11,000 | | | | 23,989 | |
| Sino Biopharmaceutical Ltd. | | | 9,000 | | | | 9,535 | |
| Sun Art Retail Group Ltd. | | | 15,500 | | | | 14,439 | |
| | | | | | | | |
| | | | | | | 184,324 | |
| | | | | | | | |
| Hungary - 1.0% | | | | | | |
| MOL Hungarian Oil & Gas plc | | | 4,832 | | | | 54,952 | |
| OTP Bank plc | | | 1,704 | | | | 63,971 | |
| Richter Gedeon Nyrt | | | 1,001 | | | | 24,874 | |
| | | | | | | | |
| | | | | | | 143,797 | |
| | | | | | | | |
| India - 2.0% | | | | | | |
| ICICI Bank Ltd., ADR (1) | | | 17,429 | | | | 149,192 | |
| Larsen & Toubro Ltd., GDR (c) | | | 1,071 | | | | 18,916 | |
| State Bank of India, GDR (c) | | | 657 | | | | 25,291 | |
| Vedanta Ltd., ADR (1) | | | 4,537 | | | | 87,836 | |
| | | | | | | | |
| | | | | | | 281,235 | |
| | | | | | | | |
| Indonesia - 3.1% | | | | | | |
| Adaro Energy Tbk. PT | | | 240,600 | | | | 32,660 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Indonesia - 3.1% (continued) | | | | | | |
| Astra International Tbk. PT | | | 24,600 | | | $ | 14,443 | |
| Bank Central Asia Tbk. PT | | | 52,100 | | | | 78,563 | |
| Bank Danamon Indonesia Tbk. PT | | | 50,100 | | | | 19,351 | |
| Bank Mandiri Persero Tbk. PT | | | 62,600 | | | | 31,283 | |
| Bank Negara Indonesia Persero Tbk. PT | | | 48,800 | | | | 26,834 | |
| Bank Rakyat Indonesia Persero Tbk. PT | | | 61,800 | | | | 70,163 | |
| Indofood CBP Sukses Makmur Tbk. PT | | | 11,300 | | | | 7,326 | |
| Pakuwon Jati Tbk. PT | | | 258,000 | | | | 11,705 | |
| Telekomunikasi Indonesia Persero Tbk. PT | | | 222,800 | | | | 77,485 | |
| Unilever Indonesia Tbk. PT | | | 2,100 | | | | 7,638 | |
| United Tractors Tbk. PT | | | 17,800 | | | | 42,325 | |
| | | | | | | | |
| | | | | | | 419,776 | |
| | | | | | | | |
| Malaysia - 0.9% | | | | | | |
| AirAsia Bhd. | | | 35,700 | | | | 29,196 | |
| CIMB Group Holdings Bhd. | | | 16,400 | | | | 24,500 | |
| Dialog Group Bhd. | | | 9,500 | | | | 4,504 | |
| Felda Global Ventures Holdings Bhd. | | | 16,000 | | | | 6,415 | |
| Genting Malaysia Bhd. | | | 25,500 | | | | 32,501 | |
| HAP Seng Consolidated Bhd. | | | 7,600 | | | | 16,384 | |
| Malaysia Airports Holdings Bhd. | | | 3,600 | | | | 7,248 | |
| | | | | | | | |
| | | | | | | 120,748 | |
| | | | | | | | |
| Mexico - 2.3% | | | | | | |
| America Movil SAB de CV, Class L, ADR (1) | | | 5,464 | | | | 96,986 | |
| Cemex SAB de CV, ADR (1)* | | | 5,082 | | | | 46,144 | |
| Grupo Aeroportuario del Pacifico SAB de CV, Class B (1) | | | 2,100 | | | | 21,496 | |
| Grupo Aeroportuario del Sureste SAB de CV, ADR (1) | | | 139 | | | | 26,524 | |
| Grupo Financiero Banorte SAB de CV, Class O (1) | | | 5,600 | | | | 38,619 | |
| Grupo Mexico SAB de CV, Series B (1) | | | 17,300 | | | | 52,907 | |
| Industrias Penoles SAB de CV (1) | | | 225 | | | | 5,589 | |
| Infraestructura Energetica Nova SAB de CV (1) | | | 2,300 | | | | 12,878 | |
| Mexichem SAB de CV (1) | | | 7,000 | | | | 18,482 | |
| | | | | | | | |
| | | | | | | 319,625 | |
| | | | | | | | |
| Peru - 1.5% | | | | | | |
| Credicorp Ltd. (1) | | | 248 | | | | 50,845 | |
| Southern Copper Corp. (1) | | | 3,765 | | | | 149,696 | |
| | | | | | | | |
| | | | | | | 200,541 | |
| | | | | | | | |
| Poland - 3.7% | | | | | | |
| Alior Bank SA * | | | 887 | | | | 16,660 | |
| Bank Millennium SA * | | | 12,652 | | | | 24,335 | |
| Bank Zachodni WBK SA | | | 312 | | | | 29,892 | |
| CCC SA | | | 445 | | | | 33,673 | |
| Grupa Lotos SA | | | 1,845 | | | | 30,223 | |
| Jastrzebska Spolka Weglowa SA * | | | 1,508 | | | | 39,905 | |
| KGHM Polska Miedz SA | | | 1,694 | | | | 54,570 | |
| LPP SA | | | 12 | | | | 26,880 | |
| mBank SA * | | | 202 | | | | 23,225 | |
| Polski Koncern Naftowy ORLEN SA | | | 2,140 | | | | 71,404 | |
| Polskie Gornictwo Naftowe i Gazownictwo SA | | | 11,920 | | | | 22,195 | |
| Powszechna Kasa Oszczednosci Bank Polski SA * | | | 5,137 | | | | 49,801 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
120
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Poland - 3.7% (continued) | | | | | | |
| Powszechny Zaklad Ubezpieczen SA | | | 4,069 | | | $ | 51,355 | |
| Synthos SA | | | 14,729 | | | | 20,767 | |
| Tauron Polska Energia SA * | | | 11,086 | | | | 11,399 | |
| | | | | | | | |
| | | | | | | 506,284 | |
| | | | | | | | |
| Russia - 0.7% | | | | | | |
| Mobile TeleSystems PJSC, ADR (1) | | | 789 | | | | 8,237 | |
| Novolipetsk Steel PJSC, GDR (c) | | | 2,197 | | | | 50,045 | |
| PhosAgro PJSC, GDR (c) | | | 430 | | | | 6,131 | |
| Tatneft PJSC, ADR | | | 823 | | | | 35,209 | |
| | | | | | | | |
| | | | | | | 99,622 | |
| | | | | | | | |
| South Africa - 4.3% | | | | | | |
| Bid Corp. Ltd. | | | 1,353 | | | | 30,351 | |
| Bidvest Group Ltd. (The) | | | 2,733 | | | | 34,854 | |
| Capitec Bank Holdings Ltd. | | | 492 | | | | 31,212 | |
| Discovery Ltd. | | | 1,852 | | | | 19,259 | |
| Exxaro Resources Ltd. | | | 3,159 | | | | 28,766 | |
| Imperial Holdings Ltd. | | | 763 | | | | 10,781 | |
| Mondi Ltd. | | | 248 | | | | 6,627 | |
| Naspers Ltd., Class N | | | 1,322 | | | | 285,780 | |
| PSG Group Ltd. | | | 1,297 | | | | 22,425 | |
| Sappi Ltd. | | | 4,065 | | | | 27,686 | |
| Shoprite Holdings Ltd. | | | 1,158 | | | | 17,698 | |
| Standard Bank Group Ltd. | | | 4,663 | | | | 54,401 | |
| Tiger Brands Ltd. | | | 607 | | | | 16,923 | |
| | | | | | | | |
| | | | | | | 586,763 | |
| | | | | | | | |
| South Korea - 16.6% | | | | | | |
| Celltrion, Inc.* | | | 262 | | | | 32,552 | |
| Daelim Industrial Co. Ltd. | | | 60 | | | | 4,207 | |
| Daewoo Engineering & Construction Co. Ltd. * | | | 2,757 | | | | 17,392 | |
| DGB Financial Group, Inc. | | | 617 | | | | 5,663 | |
| Dongbu Insurance Co. Ltd. | | | 98 | | | | 6,261 | |
| E-MART, Inc. | | | 59 | | | | 10,762 | |
| GS Holdings Corp. | | | 395 | | | | 22,688 | |
| Hana Financial Group, Inc. | | | 1,723 | | | | 71,482 | |
| Hankook Tire Co. Ltd. | | | 125 | | | | 6,583 | |
| Hanwha Chemical Corp. | | | 459 | | | | 13,060 | |
| Hanwha Corp. | | | 181 | | | | 6,977 | |
| Hyosung Corp. | | | 150 | | | | 19,115 | |
| Hyundai Development Co.-Engineering & Construction | | | 177 | | | | 5,533 | |
| Hyundai Heavy Industries Co. Ltd. * | | | 206 | | | | 26,223 | |
| Hyundai Marine & Fire Insurance Co. Ltd. | | | 411 | | | | 16,301 | |
| Hyundai Motor Co. | | | 116 | | | | 15,260 | |
| Hyundai Robotics Co. Ltd. * | | | 43 | | | | 16,055 | |
| Hyundai Steel Co. | | | 96 | | | | 4,442 | |
| Kakao Corp. | | | 181 | | | | 22,836 | |
| KB Financial Group, Inc. | | | 1,758 | | | | 86,492 | |
| Korea Aerospace Industries Ltd. | | | 162 | | | | 6,190 | |
| Korea Gas Corp.* | | | 139 | | | | 5,118 | |
| Korea Investment Holdings Co. Ltd. | | | 327 | | | | 17,542 | |
| Kumho Petrochemical Co. Ltd. | | | 61 | | | | 3,854 | |
| LG Chem Ltd. | | | 114 | | | | 39,165 | |
| LG Display Co. Ltd. | | | 508 | | | | 13,608 | |
| LG Electronics, Inc. | | | 245 | | | | 17,694 | |
| LG Innotek Co. Ltd. | | | 235 | | | | 31,741 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| South Korea - 16.6% (continued) | | | | | | |
| Lotte Chemical Corp. | | | 68 | | | $ | 22,515 | |
| Lotte Shopping Co. Ltd. | | | 46 | | | | 9,949 | |
| Mirae Asset Daewoo Co. Ltd. | | | 744 | | | | 6,420 | |
| NAVER Corp. | | | 16 | | | | 10,439 | |
| NCSoft Corp. | | | 127 | | | | 51,632 | |
| NH Investment & Securities Co. Ltd. | | | 1,416 | | | | 16,912 | |
| Pan Ocean Co. Ltd. * | | | 4,799 | | | | 22,638 | |
| POSCO | | | 432 | | | | 120,046 | |
| Samsung Electro-Mechanics Co. Ltd. | | | 518 | | | | 46,297 | |
| Samsung Electronics Co. Ltd. | | | 436 | | | | 981,098 | |
| Samsung Heavy Industries Co. Ltd. * | | | 1,587 | | | | 15,570 | |
| Samsung Life Insurance Co. Ltd. | | | 200 | | | | 19,769 | |
| Samsung SDI Co. Ltd. | | | 299 | | | | 52,023 | |
| Shinhan Financial Group Co. Ltd. | | | 1,248 | | | | 55,159 | |
| SK Holdings Co. Ltd. | | | 74 | | | | 18,663 | |
| SK Hynix, Inc. | | | 2,546 | | | | 185,681 | |
| SK Innovation Co. Ltd. | | | 135 | | | | 23,530 | |
| S-Oil Corp. | | | 170 | | | | 18,986 | |
| Woori Bank | | | 2,933 | | | | 45,789 | |
| | | | | | | | |
| | | | | | | 2,267,912 | |
| | | | | | | | |
| Taiwan - 7.3% | | | | | | |
| Acer, Inc. * | | | 12,000 | | | | 6,006 | |
| Advantech Co. Ltd. | | | 1,317 | | | | 9,402 | |
| AU Optronics Corp. | | | 16,000 | | | | 6,430 | |
| Catcher Technology Co. Ltd. | | | 2,000 | | | | 18,709 | |
| Cathay Financial Holding Co. Ltd. | | | 48,600 | | | | 77,449 | |
| Chailease Holding Co. Ltd. | | | 15,960 | | | | 38,551 | |
| China Life Insurance Co. Ltd. | | | 45,248 | | | | 42,671 | |
| China Steel Corp. | | | 26,000 | | | | 20,902 | |
| Chunghwa Telecom Co. Ltd. | | | 3,000 | | | | 10,335 | |
| CTBC Financial Holding Co. Ltd. | | | 15,832 | | | | 9,938 | |
| E.Sun Financial Holding Co. Ltd. | | | 16,592 | | | | 9,916 | |
| Eclat Textile Co. Ltd. | | | 1,060 | | | | 12,929 | |
| Evergreen Marine Corp. Taiwan Ltd. * | | | 11,000 | | | | 6,359 | |
| First Financial Holding Co. Ltd. | | | 26,721 | | | | 17,162 | |
| Formosa Chemicals & Fibre Corp. | | | 14,000 | | | | 42,631 | |
| Formosa Petrochemical Corp. | | | 10,000 | | | | 34,541 | |
| Formosa Plastics Corp. | | | 17,000 | | | | 51,552 | |
| Foxconn Technology Co. Ltd. | | | 3,000 | | | | 8,682 | |
| General Interface Solution Holding Ltd. | | | 3,000 | | | | 29,944 | |
| Globalwafers Co. Ltd. | | | 2,000 | | | | 19,594 | |
| Highwealth Construction Corp. | | | 3,800 | | | | 5,051 | |
| Hiwin Technologies Corp. | | | 2,040 | | | | 18,054 | |
| Hon Hai Precision Industry Co. Ltd. | | | 43,441 | | | | 150,867 | |
| Innolux Corp. | | | 23,000 | | | | 10,766 | |
| Inventec Corp. | | | 8,000 | | | | 5,923 | |
| Nanya Technology Corp. | | | 8,000 | | | | 22,704 | |
| Pegatron Corp. | | | 6,000 | | | | 15,623 | |
| Powertech Technology, Inc. | | | 5,000 | | | | 14,451 | |
| President Chain Store Corp. | | | 1,000 | | | | 8,440 | |
| Quanta Computer, Inc. | | | 8,000 | | | | 18,457 | |
| Shin Kong Financial Holding Co. Ltd. | | | 84,000 | | | | 25,205 | |
| Standard Foods Corp. | | | 2,537 | | | | 6,194 | |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR (1) | | | 4,625 | | | | 173,669 | |
| Uni-President Enterprises Corp. | | | 7,000 | | | | 14,677 | |
| Wistron Corp. | | | 24,710 | | | | 19,817 | |
| Yuanta Financial Holding Co. Ltd. | | | 28,000 | | | | 12,073 | |
| | | | | | | | |
| | | | | | | 995,674 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
121
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Thailand - 3.2% | | | | | | |
| Airports of Thailand PCL, NVDR | | | 25,200 | | | $ | 44,655 | |
| Bangkok Expressway & Metro PCL, NVDR | | | 118,600 | | | | 28,670 | |
| Berli Jucker PCL, NVDR | | | 5,700 | | | | 9,031 | |
| Bumrungrad Hospital PCL, NVDR | | | 900 | | | | 5,806 | |
| Central Pattana PCL, NVDR | | | 13,200 | | | | 30,890 | |
| CP ALL PCL, NVDR | | | 31,200 | | | | 62,498 | |
| Electricity Generating PCL, NVDR | | | 600 | | | | 4,230 | |
| Energy Absolute PCL, NVDR | | | 8,500 | | | | 9,768 | |
| Indorama Ventures PCL, NVDR | | | 21,800 | | | | 27,662 | |
| IRPC PCL, NVDR | | | 162,600 | | | | 30,765 | |
| Kasikornbank PCL, NVDR | | | 3,600 | | | | 22,388 | |
| Minor International PCL, NVDR | | | 3,660 | | | | 4,478 | |
| PTT Global Chemical PCL, NVDR | | | 12,700 | | | | 29,354 | |
| PTT PCL, NVDR | | | 6,600 | | | | 80,818 | |
| Siam Cement PCL (The), NVDR | | | 950 | | | | 14,256 | |
| Siam Commercial Bank PCL (The), NVDR | | | 1,400 | | | | 6,437 | |
| Thai Oil PCL, NVDR | | | 8,100 | | | | 22,483 | |
| | | | | | | | |
| | | | | | | 434,189 | |
| | | | | | | | |
| Turkey - 3.0% | | | | | | |
| Akbank Turk A/S | | | 6,751 | | | | 17,816 | |
| Arcelik A/S | | | 897 | | | | 5,721 | |
| Aselsan Elektronik Sanayi ve Ticaret A/S | | | 6,313 | | | | 46,602 | |
| BIM Birlesik Magazalar A/S | | | 617 | | | | 12,865 | |
| Eregli Demir ve Celik Fabrikalari TAS | | | 33,116 | | | | 71,861 | |
| Ford Otomotiv Sanayi A/S | | | 1,066 | | | | 13,642 | |
| KOC Holding A/S | | | 1,596 | | | | 7,321 | |
| Petkim Petrokimya Holding A/S | | | 18,141 | | | | 30,440 | |
| TAV Havalimanlari Holding A/S | | | 2,851 | | | | 14,128 | |
| Tofas Turk Otomobil Fabrikasi A/S | | | 742 | | | | 6,429 | |
| Tupras Turkiye Petrol Rafinerileri A/S | | | 1,548 | | | | 52,828 | |
| Turk Hava Yollari AO * | | | 11,244 | | | | 27,608 | |
| Turkiye Garanti Bankasi A/S | | | 7,078 | | | | 19,231 | |
| Turkiye Halk Bankasi A/S | | | 5,888 | | | | 20,025 | |
| Turkiye Is Bankasi, Class C | | | 18,999 | | | | 36,150 | |
| Turkiye Sise ve Cam Fabrikalari A/S | | | 12,711 | | | | 14,627 | |
| Turkiye Vakiflar Bankasi TAO, Class D | | | 10,681 | | | | 18,804 | |
| | | | | | | | |
| | | | | | | 416,098 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $9,831,848) | | | | | | | 13,246,628 | |
| | | | | | | | |
| | |
| EXCHANGE TRADED FUND - 2.3% | | | | | | |
| | |
| United States - 2.3% | | | | | | |
| iShares MSCI Emerging Markets Fund (1) | | | | | | | | |
(Cost $271,653) | | | 6,910 | | | | 309,637 | |
| | | | | | | | |
| |
| SHORT-TERM INVESTMENT - 1.1% | | | | |
| | |
| Investment Company - 1.1% | | | | | | |
| Limited Purpose Cash Investment Fund, 0.97% (d) | | | | | | | | |
(Cost $147,693) | | | 147,708 | | | | 147,693 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES
AT VALUE - 100.1%
(Cost $10,251,194) | | | | 13,703,958 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (0.1)% | | | | | (12,030) | |
| | | | | | | | |
Net Assets - 100.0% | | | | | | $ | 13,691,928 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 1,117,023 | | | | 8.2 | % |
| Consumer Staples | | | 449,845 | | | | 3.3 | |
| Energy | | | 910,048 | | | | 6.6 | |
| Exchange Traded Fund | | | 309,637 | | | | 2.3 | |
| Financials | | | 3,680,702 | | | | 26.9 | |
| Health Care | | | 265,326 | | | | 1.9 | |
| Industrials | | | 787,542 | | | | 5.8 | |
| Information Technology | | | 3,286,765 | | | | 24.0 | |
| Materials | | | 1,580,980 | | | | 11.5 | |
| Real Estate | | | 617,052 | | | | 4.5 | |
| Telecommunication Services | | | 288,984 | | | | 2.1 | |
| Utilities | | | 262,361 | | | | 1.9 | |
| Short-Term Investment | | | 147,693 | | | | 1.1 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 13,703,958 | | | | 100.1 | |
| Liabilities in Excess of Other Assets | | | (12,030 | ) | | | (0.1 | ) |
| | | | | | | | |
Net Assets | | $ | 13,691,928 | | | | 100.0 | % |
| | | | | | | | |
| * | Non-income producing security. |
| (a) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2017 amounted to $72,149, which represents approximately 0.53% of net assets of the fund. |
| (b) | Security fair valued as of September 30, 2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2017 amounted to $0, which represents approximately 0.00% of net assets of the fund. |
| (c) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At September 30, 2017, the value of these securities amounted to $100,383 or 0.73% of net assets. |
| (d) | Represents 7-day effective yield as of September 30, 2017. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 4). |
| (3) | Level 3 security (See Note 4). |
Abbreviations
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
NVDR - Non-Voting Depositary Receipt
PJSC - Public Joint Stock Company
Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | �� | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
122
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| COMMON STOCKS - 96.8% | | | | | | |
| | |
| Aerospace & Defense - 4.4% | | | | | | |
| Boeing Co. (The) | | | 5,215 | | | $ | 1,325,705 | |
| BWX Technologies, Inc. | | | 1,788 | | | | 100,164 | |
| General Dynamics Corp. | | | 5,838 | | | | 1,200,176 | |
| Huntington Ingalls Industries, Inc. | | | 1,500 | | | | 339,660 | |
| Lockheed Martin Corp. | | | 6,294 | | | | 1,952,965 | |
| Northrop Grumman Corp. | | | 5,773 | | | | 1,661,007 | |
| Raytheon Co. | | | 6,465 | | | | 1,206,240 | |
| Textron, Inc. | | | 2,100 | | | | 113,148 | |
| | | | | | | | |
| | | | | | | 7,899,065 | |
| | | | | | | | |
| Air Freight & Logistics - 0.4% | | | | | | |
| FedEx Corp. | | | 2,748 | | | | 619,894 | |
| United Parcel Service, Inc., Class B | | | 939 | | | | 112,764 | |
| | | | | | | | |
| | | | | | | 732,658 | |
| | | | | | | | |
| Airlines - 0.9% | | | | | | |
| Alaska Air Group, Inc. | | | 2,312 | | | | 176,336 | |
| American Airlines Group, Inc. | | | 1,735 | | | | 82,395 | |
| Delta Air Lines, Inc. | | | 8,742 | | | | 421,539 | |
| JetBlue Airways Corp. * | | | 8,441 | | | | 156,412 | |
| Southwest Airlines Co. | | | 11,201 | | | | 627,032 | |
| United Continental Holdings, Inc. * | | | 3,145 | | | | 191,468 | |
| | | | | | | | |
| | | | | | | 1,655,182 | |
| | | | | | | | |
| Auto Components - 0.1% | | | | | | |
| Delphi Automotive plc | | | 862 | | | | 84,821 | |
| Goodyear Tire & Rubber Co. (The) | | | 3,168 | | | | 105,336 | |
| | | | | | | | |
| | | | | | | 190,157 | |
| | | | | | | | |
| Automobiles - 0.7% | | | | | | |
| Tesla, Inc. *(a) | | | 2,472 | | | | 843,199 | |
| Thor Industries, Inc. | | | 3,683 | | | | 463,727 | |
| | | | | | | | |
| | | | | | | 1,306,926 | |
| | | | | | | | |
| Banks - 10.8% | | | | | | |
| Bank of America Corp. | | | 165,989 | | | | 4,206,161 | |
| Citigroup, Inc. | | | 32,611 | | | | 2,372,124 | |
| Citizens Financial Group, Inc. | | | 46,858 | | | | 1,774,513 | |
| Comerica, Inc. | | | 9,741 | | | | 742,849 | |
| Cullen/Frost Bankers, Inc. | | | 673 | | | | 63,881 | |
| Fifth Third Bancorp | | | 12,279 | | | | 343,566 | |
| First Republic Bank | | | 4,040 | | | | 422,018 | |
| Huntington Bancshares, Inc. | | | 36,908 | | | | 515,236 | |
| JPMorgan Chase & Co. | | | 34,052 | | | | 3,252,307 | |
| KeyCorp | | | 40,665 | | | | 765,315 | |
| PNC Financial Services Group, Inc. (The) | | | 400 | | | | 53,908 | |
| Popular, Inc. | | | 5,959 | | | | 214,166 | |
| Regions Financial Corp. | | | 125,883 | | | | 1,917,198 | |
| Signature Bank * | | | 1,700 | | | | 217,668 | |
| SVB Financial Group * | | | 1,998 | | | | 373,806 | |
| TCF Financial Corp. | | | 35,523 | | | | 605,312 | |
| Western Alliance Bancorp * | | | 7,022 | | | | 372,728 | |
| Zions Bancorp | | | 28,133 | | | | 1,327,315 | |
| | | | | | | | |
| | | | | | | 19,540,071 | |
| | | | | | | | |
| Beverages - 0.9% | | | | | | |
| Constellation Brands, Inc., Class A | | | 4,163 | | | | 830,310 | |
| Dr Pepper Snapple Group, Inc. | | | 5,100 | | | | 451,197 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Beverages - 0.9% (continued) | | | | | | |
| Molson Coors Brewing Co., Class B | | | 962 | | | $ | 78,538 | |
| Monster Beverage Corp. * | | | 4,800 | | | | 265,200 | |
| PepsiCo, Inc. | | | 600 | | | | 66,858 | |
| | | | | | | | |
| | | | | | | 1,692,103 | |
| | | | | | | | |
| Biotechnology - 1.9% | | | | | | |
| AbbVie, Inc. | | | 2,036 | | | | 180,919 | |
| ACADIA Pharmaceuticals, Inc. * | | | 9,135 | | | | 344,115 | |
| Amgen, Inc. | | | 901 | | | | 167,991 | |
| BioMarin Pharmaceutical, Inc. * | | | 864 | | | | 80,413 | |
| Celgene Corp. * | | | 4,891 | | | | 713,206 | |
| Exelixis, Inc. * | | | 6,358 | | | | 154,054 | |
| Incyte Corp. * | | | 4,658 | | | | 543,775 | |
| Ionis Pharmaceuticals, Inc. * | | | 1,575 | | | | 79,853 | |
| Regeneron Pharmaceuticals, Inc. * | | | 1,078 | | | | 481,995 | |
| Seattle Genetics, Inc. * | | | 3,959 | | | | 215,409 | |
| TESARO, Inc. *(a) | | | 790 | | | | 101,989 | |
| Vertex Pharmaceuticals, Inc. * | | | 2,327 | | | | 353,797 | |
| | | | | | | | |
| | | | | | | 3,417,516 | |
| | | | | | | | |
| Building Products - 0.5% | | | | | | |
| AO Smith Corp. | | | 5,764 | | | | 342,554 | |
| Fortune Brands Home & Security, Inc. | | | 3,768 | | | | 253,323 | |
| Lennox International, Inc. | | | 462 | | | | 82,684 | |
| Masco Corp. | | | 4,334 | | | | 169,069 | |
| USG Corp. * | | | 3,769 | | | | 123,058 | |
| | | | | | | | |
| | | | | | | 970,688 | |
| | | | | | | | |
| Capital Markets - 4.4% | | | | | | |
| BlackRock, Inc. | | | 365 | | | | 163,188 | |
| CBOE Holdings, Inc. | | | 1,623 | | | | 174,683 | |
| Charles Schwab Corp. (The) | | | 20,906 | | | | 914,428 | |
| CME Group, Inc. | | | 4,535 | | | | 615,309 | |
| E*TRADE Financial Corp. * | | | 15,352 | | | | 669,501 | |
| Goldman Sachs Group, Inc. (The) | | | 5,733 | | | | 1,359,810 | |
| Interactive Brokers Group, Inc., Class A | | | 2,788 | | | | 125,572 | |
| Intercontinental Exchange, Inc. | | | 4,335 | | | | 297,815 | |
| LPL Financial Holdings, Inc. | | | 9,563 | | | | 493,164 | |
| MarketAxess Holdings, Inc. | | | 314 | | | | 57,936 | |
| Moody’s Corp. | | | 2,313 | | | | 321,993 | |
| Morgan Stanley | | | 36,913 | | | | 1,778,099 | |
| Northern Trust Corp. | | | 2,636 | | | | 242,327 | |
| Raymond James Financial, Inc. | | | 1,908 | | | | 160,902 | |
| S&P Global, Inc. | | | 3,044 | | | | 475,808 | |
| State Street Corp. | | | 547 | | | | 52,260 | |
| | | | | | | | |
| | | | | | | 7,902,795 | |
| | | | | | | | |
| Chemicals - 1.2% | | | | | | |
| Air Products & Chemicals, Inc. | | | 1,700 | | | | 257,074 | |
| Albemarle Corp. | | | 1,374 | | | | 187,290 | |
| Chemours Co. (The) | | | 2,775 | | | | 140,443 | |
| DowDuPont, Inc. | | | 4,807 | | | | 332,789 | |
| Ecolab, Inc. | | | 1,821 | | | | 234,199 | |
| Platform Specialty Products Corp. * | | | 22,444 | | | | 250,250 | |
| PPG Industries, Inc. | | | 3,220 | | | | 349,885 | |
| Sherwin-Williams Co. (The) | | | 961 | | | | 344,076 | |
| | | | | | | | |
| | | | | | | 2,096,006 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
123
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Commercial Services & Supplies - 0.0% (b) | | | | |
| Waste Management, Inc. | | | 665 | | | $ | 52,050 | |
| | | | | | | | |
| |
| Communications Equipment - 1.5% | | | | |
| Arista Networks, Inc. * | | | 3,977 | | | | 754,079 | |
| Cisco Systems, Inc. | | | 35,108 | | | | 1,180,682 | |
| CommScope Holding Co., Inc. * | | | 5,340 | | | | 177,342 | |
| EchoStar Corp., Class A * | | | 1,306 | | | | 74,742 | |
| F5 Networks, Inc. * | | | 1,500 | | | | 180,840 | |
| Juniper Networks, Inc. | | | 7,300 | | | | 203,159 | |
| Palo Alto Networks, Inc. * | | | 1,100 | | | | 158,510 | |
| | | | | | | | |
| | | | | | | 2,729,354 | |
| | | | | | | | |
| Construction & Engineering - 0.1% | | | | | | |
| Quanta Services, Inc. * | | | 5,017 | | | | 187,485 | |
| | | | | | | | |
| | |
| Construction Materials - 0.3% | | | | | | |
| Eagle Materials, Inc. | | | 1,342 | | | | 143,191 | |
| Martin Marietta Materials, Inc. | | | 681 | | | | 140,443 | |
| Vulcan Materials Co. | | | 2,710 | | | | 324,116 | |
| | | | | | | | |
| | | | | | | 607,750 | |
| | | | | | | | |
| Consumer Finance - 0.5% | | | | | | |
| American Express Co. | | | 1,566 | | | | 141,660 | |
| Discover Financial Services | | | 3,539 | | | | 228,195 | |
| Navient Corp. | | | 7,056 | | | | 105,981 | |
| Santander Consumer USA Holdings, Inc. * | | | 18,692 | | | | 287,296 | |
| SLM Corp. * | | | 7,967 | | | | 91,382 | |
| | | | | | | | |
| | | | | | | 854,514 | |
| | | | | | | | |
| Containers & Packaging - 0.1% | | | | | | |
| Ball Corp. | | | 2,800 | | | | 115,640 | |
| Berry Global Group, Inc. * | | | 1,537 | | | | 87,071 | |
| | | | | | | | |
| | | | | | | 202,711 | |
| | | | | | | | |
| Distributors - 0.1% | | | | | | |
| LKQ Corp. * | | | 2,515 | | | | 90,515 | |
| | | | | | | | |
| |
| Diversified Consumer Services - 0.1% | | | | |
| ServiceMaster Global Holdings, Inc. * | | | 2,514 | | | | 117,479 | |
| | | | | | | | |
| |
| Diversified Financial Services - 0.0% (b) | | | | |
| Berkshire Hathaway, Inc., Class B * | | | 365 | | | | 66,912 | |
| | | | | | | | |
|
| Diversified Telecommunication Services - 0.0% (b) | |
| Zayo Group Holdings, Inc. * | | | 2,420 | | | | 83,296 | |
| | | | | | | | |
| | |
| Electric Utilities - 0.7% | | | | | | |
| American Electric Power Co., Inc. | | | 2,331 | | | | 163,730 | |
| Edison International | | | 5,102 | | | | 393,721 | |
| NextEra Energy, Inc. | | | 1,002 | | | | 146,843 | |
| PG&E Corp. | | | 3,527 | | | | 240,153 | |
| Xcel Energy, Inc. | | | 5,724 | | | | 270,860 | |
| | | | | | | | |
| | | | | | | 1,215,307 | |
| | | | | | | | |
| Electrical Equipment - 0.4% | | | | | | |
| Acuity Brands, Inc. | | | 600 | | | | 102,768 | |
| Eaton Corp. plc | | | 2,886 | | | | 221,616 | |
| Rockwell Automation, Inc. | | | 2,600 | | | | 463,346 | |
| | | | | | | | |
| | | | | | | 787,730 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Electronic Equipment, Instruments & Components - 0.5% | |
| Cognex Corp. | | | 3,523 | | | $ | 388,517 | |
| Coherent, Inc. * | | | 360 | | | | 84,661 | |
| Corning, Inc. | | | 11,812 | | | | 353,415 | |
| Dolby Laboratories, Inc., Class A | | | 1,816 | | | | 104,456 | |
| | | | | | | | |
| | | | | | | 931,049 | |
| | | | | | | | |
| Energy Equipment & Services - 0.2% | | | | |
| Patterson-UTI Energy, Inc. | | | 8,267 | | | | 173,111 | |
| RPC, Inc. (a) | | | 9,564 | | | | 237,092 | |
| | | | | | | | |
| | | | | | | 410,203 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (REITs) - 1.8% | | | | |
| American Tower Corp. | | | 4,648 | | | | 635,289 | |
| AvalonBay Communities, Inc. | | | 3,772 | | | | 673,000 | |
| Colony NorthStar, Inc., Class A | | | 6,431 | | | | 80,773 | |
| CyrusOne, Inc. | | | 1,564 | | | | 92,167 | |
| Digital Realty Trust, Inc. | | | 4,422 | | | | 523,255 | |
| Equinix, Inc. | | | 661 | | | | 295,004 | |
| Essex Property Trust, Inc. | | | 1,200 | | | | 304,836 | |
| Extra Space Storage, Inc. | | | 1,500 | | | | 119,880 | |
| Prologis, Inc. | | | 803 | | | | 50,958 | |
| Public Storage | | | 1,321 | | | | 282,681 | |
| Realty Income Corp. | | | 1,500 | | | | 85,785 | |
| UDR, Inc. | | | 2,100 | | | | 79,863 | |
| | | | | | | | |
| | | | | | | 3,223,491 | |
| | | | | | | | |
| Food & Staples Retailing - 0.2% | | | | | | |
| Costco Wholesale Corp. | | | 816 | | | | 134,061 | |
| Kroger Co. (The) | | | 2,883 | | | | 57,833 | |
| Sysco Corp. | | | 1,418 | | | | 76,501 | |
| Walgreens Boots Alliance, Inc. | | | 1,551 | | | | 119,768 | |
| | | | | | | | |
| | | | | | | 388,163 | |
| | | | | | | | |
| Food Products - 0.4% | | | | | | |
| Blue Buffalo Pet Products, Inc. *(a) | | | 3,011 | | | | 85,362 | |
| Conagra Brands, Inc. | | | 1,869 | | | | 63,060 | |
| Pilgrim’s Pride Corp. * | | | 3,191 | | | | 90,656 | |
| Pinnacle Foods, Inc. | | | 1,572 | | | | 89,871 | |
| Tyson Foods, Inc., Class A | | | 5,589 | | | | 393,745 | |
| | | | | | | | |
| | | | | | | 722,694 | |
| | | | | | | | |
| Health Care Equipment & Supplies - 2.2% | | | | |
| Abbott Laboratories | | | 999 | | | | 53,307 | |
| ABIOMED, Inc. * | | | 413 | | | | 69,632 | |
| Align Technology, Inc. * | | | 2,008 | | | | 374,030 | |
| Baxter International, Inc. | | | 2,380 | | | | 149,345 | |
| Becton Dickinson and Co. | | | 1,193 | | | | 233,768 | |
| Boston Scientific Corp.* | | | 20,239 | | | | 590,372 | |
| Danaher Corp. | | | 5,248 | | | | 450,173 | |
| DexCom, Inc. * | | | 2,200 | | | | 107,635 | |
| Edwards Lifesciences Corp. * | | | 3,270 | | | | 357,444 | |
| Hologic, Inc. * | | | 1,943 | | | | 71,289 | |
| IDEXX Laboratories, Inc. * | | | 1,555 | | | | 241,787 | |
| Intuitive Surgical, Inc. * | | | 548 | | | | 573,142 | |
| Medtronic plc | | | 5,559 | | | | 432,323 | |
| Stryker Corp. | | | 1,874 | | | | 266,145 | |
| | | | | | | | |
| | | | | | | 3,970,392 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
124
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Health Care Providers & Services - 3.5% | | | | | | |
| Aetna, Inc. | | | 6,315 | | | $ | 1,004,148 | |
| AmerisourceBergen Corp. | | | 1,061 | | | | 87,798 | |
| Anthem, Inc. | | | 4,790 | | | | 909,525 | |
| Cardinal Health, Inc. | | | 1,861 | | | | 124,538 | |
| Centene Corp. * | | | 3,293 | | | | 318,664 | |
| Cigna Corp. | | | 1,703 | | | | 318,359 | |
| HCA Healthcare, Inc. * | | | 2,023 | | | | 161,010 | |
| Henry Schein, Inc. * | | | 1,296 | | | | 106,259 | |
| Humana, Inc. | | | 940 | | | | 229,012 | |
| UnitedHealth Group, Inc. | | | 15,849 | | | | 3,104,027 | |
| | | | | | | | |
| | | | | | | 6,363,340 | |
| | | | | | | | |
| Health Care Technology - 0.2% | | | | | | |
| athenahealth, Inc. * | | | 731 | | | | 90,907 | |
| Veeva Systems, Inc., Class A * | | | 3,215 | | | | 181,358 | |
| | | | | | | | |
| | | | | | | 272,265 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure - 1.9% | | | | | | |
| Carnival Corp. | | | 5,837 | | | | 376,895 | |
| Domino’s Pizza, Inc. | | | 432 | | | | 85,774 | |
| International Game Technology plc | | | 3,274 | | | | 80,377 | |
| Las Vegas Sands Corp. | | | 4,045 | | | | 259,527 | |
| Marriott International, Inc., Class A | | | 2,392 | | | | 263,742 | |
| McDonald’s Corp. | | | 5,618 | | | | 880,228 | |
| MGM Resorts International | | | 2,688 | | | | 87,602 | |
| Royal Caribbean Cruises Ltd. | | | 1,212 | | | | 143,670 | |
| Starbucks Corp. | | | 14,319 | | | | 769,074 | |
| Wynn Resorts Ltd. | | | 2,841 | | | | 423,082 | |
| Yum Brands, Inc. | | | 1,045 | | | | 76,922 | |
| | | | | | | | |
| | | | | | | 3,446,893 | |
| | | | | | | | |
| Household Durables - 0.4% | | | | | | |
| Garmin Ltd. | | | 2,624 | | | | 141,617 | |
| Mohawk Industries, Inc. * | | | 1,586 | | | | 392,551 | |
| Whirlpool Corp. | | | 1,142 | | | | 210,631 | |
| | | | | | | | |
| | | | | | | 744,799 | |
| | | | | | | | |
| Household Products - 0.1% | | | | | | |
| Spectrum Brands Holdings, Inc. | | | 901 | | | | 95,434 | |
| | | | | | | | |
| | |
| Industrial Conglomerates - 1.1% | | | | | | |
| 3M Co. | | | 5,514 | | | | 1,157,389 | |
| Honeywell International, Inc. | | | 5,752 | | | | 815,288 | |
| | | | | | | | |
| | | | | | | 1,972,677 | |
| | | | | | | | |
| Insurance - 2.0% | | | | | | |
| Allstate Corp. (The) | | | 1,005 | | | | 92,370 | |
| American Financial Group, Inc. | | | 1,717 | | | | 177,624 | |
| Aon plc | | | 428 | | | | 62,531 | |
| Arch Capital Group Ltd. * | | | 2,968 | | | | 292,348 | |
| Axis Capital Holdings Ltd. | | | 1,454 | | | | 83,329 | |
| Chubb Ltd. | | | 4,906 | | | | 699,350 | |
| Everest Re Group Ltd. | | | 999 | | | | 228,162 | |
| Hartford Financial Services Group, Inc. (The) | | | 3,282 | | | | 181,921 | |
| Lincoln National Corp. | | | 3,336 | | | | 245,129 | |
| Markel Corp.* | | | 231 | | | | 246,703 | |
| Principal Financial Group, Inc. | | | 1,500 | | | | 96,510 | |
| Progressive Corp. (The) | | | 6,506 | | | | 315,020 | |
| Prudential Financial, Inc. | | | 1,421 | | | | 151,081 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Insurance - 2.0% (continued) | | | | | | |
| RenaissanceRe Holdings Ltd. | | | 1,701 | | | $ | 229,873 | |
| Travelers Cos., Inc. (The) | | | 3,459 | | | | 423,797 | |
| White Mountains Insurance Group Ltd. | | | 19 | | | | 16,283 | |
| | | | | | | | |
| | | | | | | 3,542,031 | |
| | | | | | | | |
| Internet & Direct Marketing Retail - 5.2% | | | | |
| Amazon.com, Inc. * | | | 6,009 | | | | 5,776,752 | |
| Expedia, Inc. | | | 1,694 | | | | 243,835 | |
| Netflix, Inc. * | | | 9,920 | | | | 1,798,992 | |
| Priceline Group, Inc. (The) * | | | 811 | | | | 1,484,795 | |
| Wayfair, Inc., Class A * | | | 1,095 | | | | 73,803 | |
| | | | | | | | |
| | | | | | | 9,378,177 | |
| | | | | | | | |
| Internet Software & Services - 7.5% | | | | | | |
| Akamai Technologies, Inc. * | | | 1,700 | | | | 82,824 | |
| Alphabet, Inc., Class A * | | | 6,332 | | | | 6,165,595 | |
| CoStar Group, Inc. * | | | 500 | | | | 134,125 | |
| eBay, Inc. * | | | 15,732 | | | | 605,053 | |
| Facebook, Inc., Class A * | | | 36,403 | | | | 6,220,180 | |
| VeriSign, Inc. *(a) | | | 576 | | | | 61,281 | |
| Zillow Group, Inc., Class C * | | | 5,250 | | | | 211,102 | |
| | | | | | | | |
| | | | | | | 13,480,160 | |
| | | | | | | | |
| IT Services - 4.2% | | | | | | |
| Accenture plc, Class A | | | 7,038 | | | | 950,623 | |
| Alliance Data Systems Corp. | | | 634 | | | | 140,463 | |
| Amdocs Ltd. | | | 1,750 | | | | 112,560 | |
| Automatic Data Processing, Inc. | | | 4,005 | | | | 437,827 | |
| Cognizant Technology Solutions Corp., Class A | | | 4,940 | | | | 358,348 | |
| DXC Technology Co. | | | 7,944 | | | | 682,231 | |
| Fiserv, Inc.* | | | 3,342 | | | | 430,984 | |
| FleetCor Technologies, Inc. * | | | 1,395 | | | | 215,904 | |
| Jack Henry & Associates, Inc. | | | 1,350 | | | | 138,766 | |
| Mastercard, Inc., Class A | | | 8,421 | | | | 1,189,045 | |
| PayPal Holdings, Inc. * | | | 7,125 | | | | 456,214 | |
| Square, Inc., Class A * | | | 15,511 | | | | 446,872 | |
| Total System Services, Inc. | | | 2,043 | | | | 133,816 | |
| Vantiv, Inc., Class A * | | | 2,419 | | | | 170,467 | |
| Visa, Inc., Class A | | | 15,431 | | | | 1,623,958 | |
| | | | | | | | |
| | | | | | | 7,488,078 | |
| | | | | | | | |
| | |
| Leisure Products - 0.1% | | | | | | |
| Brunswick Corp. | | | 1,969 | | | | 110,205 | |
| | | | | | | | |
| | |
| Life Sciences Tools & Services - 0.8% | | | | | | |
| Illumina, Inc. * | | | 1,398 | | | | 278,482 | |
| Quintiles IMS Holdings, Inc. * | | | 1,644 | | | | 156,295 | |
| Thermo Fisher Scientific, Inc. | | | 5,346 | | | | 1,011,463 | |
| | | | | | | | |
| | | | | | | 1,446,240 | |
| | | | | | | | |
| Machinery - 2.9% | | | | | | |
| Caterpillar, Inc. | | | 7,666 | | | | 956,027 | |
| Colfax Corp. * | | | 2,368 | | | | 98,604 | |
| Cummins, Inc. | | | 1,475 | | | | 247,844 | |
| Deere & Co. | | | 2,479 | | | | 311,338 | |
| Dover Corp. | | | 2,116 | | | | 193,381 | |
| Fortive Corp. | | | 2,886 | | | | 204,300 | |
| Illinois Tool Works, Inc. | | | 4,089 | | | | 605,008 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
125
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Machinery - 2.9% (continued) | | | | | | |
| Ingersoll-Rand plc | | | 3,592 | | | $ | 320,299 | |
| Middleby Corp. (The) * | | | 1,800 | | | | 230,706 | |
| Nordson Corp. | | | 909 | | | | 107,716 | |
| Oshkosh Corp. | | | 6,874 | | | | 567,380 | |
| Parker-Hannifin Corp. | | | 1,500 | | | | 262,530 | |
| Trinity Industries, Inc. | | | 17,214 | | | | 549,127 | |
| WABCO Holdings, Inc. * | | | 800 | | | | 118,400 | |
| Wabtec Corp. (a) | | | 785 | | | | 59,464 | |
| Xylem, Inc. | | | 6,645 | | | | 416,176 | |
| | | | | | | | |
| | | | | | | 5,248,300 | |
| | | | | | | | |
| Media - 2.2% | | | | | | |
| CBS Corp. (Non-Voting), Class B | | | 2,587 | | | | 150,046 | |
| Charter Communications, Inc., Class A * | | | 4,514 | | | | 1,640,478 | |
| Comcast Corp., Class A | | | 38,808 | | | | 1,493,332 | |
| DISH Network Corp., Class A * | | | 3,014 | | | | 163,449 | |
| Liberty Broadband Corp. * | | | 1,573 | | | | 149,907 | |
| Madison Square Garden Co. (The), Class A * | | | 316 | | | | 67,655 | |
| Sirius XM Holdings, Inc. (a) | | | 30,863 | | | | 170,364 | |
| Walt Disney Co. (The) | | | 595 | | | | 58,649 | |
| | | | | | | | |
| | | | | | | 3,893,880 | |
| | | | | | | | |
| Metals & Mining - 0.6% | | | | | | |
| Freeport-McMoRan, Inc. * | | | 11,783 | | | | 165,433 | |
| Nucor Corp. | | | 2,292 | | | | 128,444 | |
| Royal Gold, Inc. | | | 1,671 | | | | 143,773 | |
| Steel Dynamics, Inc. | | | 10,719 | | | | 369,484 | |
| United States Steel Corp. | | | 10,021 | | | | 257,139 | |
| | | | | | | | |
| | | | | | | 1,064,273 | |
| | | | | | | | |
| Multiline Retail - 0.1% | | | | | | |
| Dollar Tree, Inc. * | | | 2,285 | | | | 198,384 | |
| | | | | | | | |
| | |
| Multi-Utilities - 0.3% | | | | | | |
| CMS Energy Corp. | | | 2,100 | | | | 97,272 | |
| Consolidated Edison, Inc. | | | 1,980 | | | | 159,747 | |
| DTE Energy Co. | | | 3,287 | | | | 352,892 | |
| | | | | | | | |
| | | | | | | 609,911 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels - 1.7% | | | | | | |
| Andeavor | | | 2,388 | | | | 246,322 | |
| CONSOL Energy, Inc. * | | | 23,134 | | | | 391,890 | |
| Diamondback Energy, Inc. * | | | 8,282 | | | | 811,305 | |
| Energen Corp. * | | | 3,110 | | | | 170,055 | |
| Laredo Petroleum, Inc. * | | | 28,674 | | | | 370,755 | |
| Newfield Exploration Co. * | | | 4,062 | | | | 120,520 | |
| ONEOK, Inc. | | | 1,754 | | | | 97,189 | |
| Parsley Energy, Inc., Class A * | | | 2,447 | | | | 64,454 | |
| Phillips 66 | | | 853 | | | | 78,143 | |
| Targa Resources Corp. | | | 1,310 | | | | 61,963 | |
| Valero Energy Corp. | | | 2,224 | | | | 171,092 | |
| Williams Cos., Inc. (The) | | | 10,002 | | | | 300,160 | |
| WPX Energy, Inc. * | | | 19,025 | | | | 218,787 | |
| | | | | | | | |
| | | | | | | 3,102,635 | |
| | | | | | | | |
| Personal Products - 0.0% (b) | | | | | | |
| Nu Skin Enterprises, Inc., Class A | | | 1,366 | | | | 83,982 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Pharmaceuticals - 0.9% | | | | | | |
| Bristol-Myers Squibb Co. | | | 1,287 | | | $ | 82,033 | |
| Eli Lilly & Co. | | | 7,307 | | | | 625,041 | |
| Johnson & Johnson | | | 4,675 | | | | 607,797 | |
| Zoetis, Inc. | | | 5,446 | | | | 347,237 | |
| | | | | | | | |
| | | | | | | 1,662,108 | |
| | | | | | | | |
| Professional Services - 0.1% | | | | | | |
| Equifax, Inc. | | | 651 | | | | 69,000 | |
| Verisk Analytics, Inc. * | | | 906 | | | | 75,370 | |
| | | | | | | | |
| | | | | | | 144,370 | |
| | | | | | | | |
| Road & Rail - 1.3% | | | | | | |
| CSX Corp. | | | 22,908 | | | | 1,242,988 | |
| Genesee & Wyoming, Inc., Class A * | | | 2,668 | | | | 197,459 | |
| Norfolk Southern Corp. | | | 2,500 | | | | 330,600 | |
| Old Dominion Freight Line, Inc. | | | 1,956 | | | | 215,375 | |
| Union Pacific Corp. | | | 2,312 | | | | 268,123 | |
| | | | | | | | |
| | | | | | | 2,254,545 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment - 6.7% | |
| Advanced Micro Devices, Inc. * | | | 13,069 | | | | 166,630 | |
| Analog Devices, Inc. | | | 977 | | | | 84,188 | |
| Applied Materials, Inc. | | | 26,910 | | | | 1,401,742 | |
| Broadcom Ltd. | | | 7,890 | | | | 1,913,641 | |
| Cypress Semiconductor Corp. (a) | | | 17,005 | | | | 255,415 | |
| Intel Corp. | | | 5,120 | | | | 194,970 | |
| Lam Research Corp. | | | 2,223 | | | | 411,344 | |
| Marvell Technology Group Ltd. | | | 6,200 | | | | 110,980 | |
| Microchip Technology, Inc. | | | 1,024 | | | | 91,935 | |
| Micron Technology, Inc. * | | | 38,396 | | | | 1,510,115 | |
| NVIDIA Corp. | | | 18,364 | | | | 3,282,932 | |
| ON Semiconductor Corp. * | | | 25,190 | | | | 465,259 | |
| Qorvo, Inc. * | | | 1,344 | | | | 94,994 | |
| Skyworks Solutions, Inc. | | | 3,805 | | | | 387,729 | |
| Texas Instruments, Inc. | | | 16,400 | | | | 1,470,096 | |
| Xilinx, Inc. | | | 2,840 | | | | 201,157 | |
| | | | | | | | |
| | | | | | | 12,043,127 | |
| | | | | | | | |
| Software - 7.3% | | | | | | |
| Activision Blizzard, Inc. | | | 16,034 | | | | 1,034,353 | |
| Adobe Systems, Inc. * | | | 10,301 | | | | 1,536,703 | |
| Autodesk, Inc. * | | | 2,296 | | | | 257,749 | |
| CA, Inc. | | | 2,700 | | | | 90,126 | |
| CDK Global, Inc. | | | 905 | | | | 57,097 | |
| Electronic Arts, Inc. * | | | 9,872 | | | | 1,165,488 | |
| Intuit, Inc. | | | 3,138 | | | | 446,035 | |
| Microsoft Corp. | | | 88,564 | | | | 6,597,132 | |
| Oracle Corp. | | | 4,429 | | | | 214,142 | |
| Red Hat, Inc. * | | | 1,240 | | | | 137,467 | |
| salesforce.com, Inc.* | | | 3,329 | | | | 310,995 | |
| ServiceNow, Inc. * | | | 3,482 | | | | 409,240 | |
| Splunk, Inc. * | | | 1,137 | | | | 75,531 | |
| SS&C Technologies Holdings, Inc. | | | 2,522 | | | | 101,258 | |
| Symantec Corp. | | | 6,438 | | | | 211,231 | |
| Take-Two Interactive Software, Inc. * | | | 1,453 | | | | 148,540 | |
| VMware, Inc., Class A *(a) | | | 2,638 | | | | 288,043 | |
| | | | | | | | |
| | | | | | | 13,081,130 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
126
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Specialty Retail - 1.9% | | | | | | |
| Best Buy Co., Inc. | | | 2,009 | | | $ | 114,433 | |
| Burlington Stores, Inc. * | | | 1,649 | | | | 157,413 | |
| Home Depot, Inc. (The) | | | 6,163 | | | | 1,008,020 | |
| Lowe’s Cos., Inc. | | | 5,259 | | | | 420,404 | |
| O’Reilly Automotive, Inc. * | | | 1,634 | | | | 351,915 | |
| Ross Stores, Inc. | | | 10,017 | | | | 646,798 | |
| TJX Cos., Inc. (The) | | | 2,984 | | | | 220,010 | |
| Ulta Beauty, Inc. * | | | 1,847 | | | | 417,533 | |
| | | | | | | | |
| | | | | | | 3,336,526 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals - 6.4% | | | | |
| Apple, Inc. | | | 60,817 | | | | 9,373,116 | |
| Hewlett Packard Enterprise Co. | | | 32,282 | | | | 474,868 | |
| HP, Inc. | | | 25,956 | | | | 518,082 | |
| NCR Corp. * | | | 8,244 | | | | 309,315 | |
| NetApp, Inc. | | | 1,936 | | | | 84,719 | |
| Western Digital Corp. | | | 7,453 | | | | 643,939 | |
| Xerox Corp. | | | 2,958 | | | | 98,472 | |
| | | | | | | | |
| | | | | | | 11,502,511 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods - 0.2% | | | | | | |
| Hanesbrands, Inc. | | | 3,600 | | | | 88,704 | |
| NIKE, Inc., Class B | | | 4,315 | | | | 223,733 | |
| | | | | | | | |
| | | | | | | 312,437 | |
| | | | | | | | |
| Tobacco - 0.8% | | | | | | |
| Altria Group, Inc. | | | 19,739 | | | | 1,251,847 | |
| Philip Morris International, Inc. | | | 1,147 | | | | 127,329 | |
| | | | | | | | |
| | | | | | | 1,379,176 | |
| | | | | | | | |
| Trading Companies & Distributors - 0.4% | | | | |
| HD Supply Holdings, Inc. * | | | 2,092 | | | | 75,458 | |
| United Rentals, Inc. * | | | 3,686 | | | | 511,396 | |
| WESCO International, Inc. * | | | 2,577 | | | | 150,110 | |
| | | | | | | | |
| | | | | | | 736,964 | |
| | | | | | | | |
| Transportation Infrastructure - 0.0% (b) | | | | | | |
| Macquarie Infrastructure Corp. | | | 800 | | | | 57,744 | |
| | | | | | | | |
| |
| Wireless Telecommunication Services - 0.7% | | | | |
| Sprint Corp. * | | | 83,583 | | | | 650,276 | |
| T-Mobile US, Inc. * | | | 10,856 | | | | 669,381 | |
| | | | | | | | |
| | | | | | | 1,319,657 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $131,213,109) | | | | | | | 174,416,221 | |
| | | | | | | | |
| | |
| SHORT-TERM INVESTMENT - 2.9% | | | | | | |
| | |
| Investment Company - 2.9% | | | | | | |
| Limited Purpose Cash Investment Fund, 0.97% | | | | | | | | |
(Cost $5,352,555) (2)(c) | | | 5,353,091 | | | | 5,352,555 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| SECURITIES LENDING COLLATERAL - 1.1% | | | | |
| | |
| Investment Companies - 1.1% | | | | | | |
| Investments in a Pooled Account through Securities Lending Program with Citibank NA | | | | | | | | |
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares
0.91% (2)(c)(d) | | | 296,811 | | | $ | 296,811 | |
UBS Asset Management Americas, Inc.
1.10% (2)(c)(d) | | | 1,379,673 | | | | 1,379,673 | |
1.16% (2)(c)(d) | | | 229,945 | | | | 229,945 | |
| | | | | | | | |
TOTAL SECURITIES LENDING COLLATERAL
(Cost $1,906,429) | | | | | | | 1,906,429 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.8%
(Cost $138,472,093) | | | | | | | 181,675,205 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (0.8)% (e) | | | | | (1,486,230) | |
| | | | | | | | |
Net Assets - 100.0% | | | | | | $ | 180,188,975 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 23,126,377 | | | | 12.8 | % |
| Consumer Staples | | | 4,361,552 | | | | 2.4 | |
| Energy | | | 3,512,838 | | | | 2.0 | |
| Financials | | | 31,906,322 | | | | 17.7 | |
| Health Care | | | 17,131,862 | | | | 9.5 | |
| Industrials | | | 22,699,458 | | | | 12.6 | |
| Information Technology | | | 61,255,410 | | | | 34.0 | |
| Materials | | | 3,970,740 | | | | 2.2 | |
| Real Estate | | | 3,223,491 | | | | 1.8 | |
| Telecommunication Services | | | 1,402,953 | | | | 0.8 | |
| Utilities | | | 1,825,218 | | | | 1.0 | |
| Short-Term Investment | | | 5,352,555 | | | | 2.9 | |
| Securities Lending Collateral | | | 1,906,429 | | | | 1.1 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 181,675,205 | | | | 100.8 | |
| Liabilities in Excess of Other Assets (e) | | | (1,486,230 | ) | | | (0.8 | ) |
| | | | | | | | |
Net Assets | | $ | 180,188,975 | | | | 100.0 | % |
| | | | | | | | |
| * | Non-income producing security. |
| (a) | The security or a portion of this security is on loan at September 30, 2017. The total value of securities on loan at September 30, 2017 was $1,844,771. |
| (b) | Represents less than 0.05% of net assets. |
| (c) | Represents 7-day effective yield as of September 30, 2017. |
| (d) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
| (e) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 4). |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
127
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND | | | | |
Futures contracts outstanding as of September 30, 2017:
Exchange Traded
| | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | EXPIRATION
DATE | | TRADING
CURRENCY | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | |
| S&P 500 E-Mini Index | | 24 | | 12/2017 | | USD | | $ | 3,019,320 | | | $ | 30,885 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | $30,885 | |
| | | | | | | | | | | | | | |
| USD | - United States Dollar |
Collateral pledged to, or (received from), each counterparty at September 30, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED | | | TOTAL | |
| GSCO | | | | | | | | | |
| Cash | | | $— | | | | $87,824 | | | | $87,824 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | �� | |
| | | | | | | | | | |
128
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| COMMON STOCKS - 95.0% | | | | | | |
| | |
| Aerospace & Defense - 1.3% | | | | | | |
| AAR Corp. | | | 1,190 | | | $ | 44,958 | |
| Aerojet Rocketdyne Holdings, Inc. * | | | 455 | | | | 15,930 | |
| Aerovironment, Inc. * | | | 283 | | | | 15,316 | |
| Astronics Corp. * | | | 515 | | | | 15,321 | |
| Axon Enterprise, Inc. * | | | 1,464 | | | | 33,189 | |
| Curtiss-Wright Corp. | | | 1,230 | | | | 128,584 | |
| Ducommun, Inc. * | | | 1,446 | | | | 46,344 | |
| Engility Holdings, Inc. * | | | 1,335 | | | | 46,298 | |
| Esterline Technologies Corp. * | | | 165 | | | | 14,875 | |
| KeyW Holding Corp. (The) * | | | 2,257 | | | | 17,176 | |
| KLX, Inc. * | | | 554 | | | | 29,323 | |
| Kratos Defense & Security Solutions, Inc. * | | | 7,810 | | | | 102,155 | |
| Mercury Systems, Inc. * | | | 2,445 | | | | 126,847 | |
| Vectrus, Inc. * | | | 904 | | | | 27,879 | |
| | | | | | | | |
| | | | | | | 664,195 | |
| | | | | | | | |
| Air Freight & Logistics - 0.2% | | | | | | |
| Air Transport Services Group, Inc. * | | | 1,652 | | | | 40,210 | |
| Atlas Air Worldwide Holdings, Inc. * | | | 400 | | | | 26,320 | |
| Radiant Logistics, Inc. * | | | 3,377 | | | | 17,932 | |
| | | | | | | | |
| | | | | | | 84,462 | |
| | | | | | | | |
| Airlines - 0.3% | | | | | | |
| Allegiant Travel Co. | | | 284 | | | | 37,403 | |
| Hawaiian Holdings, Inc. * | | | 1,800 | | | | 67,590 | |
| SkyWest, Inc. | | | 1,418 | | | | 62,250 | |
| | | | | | | | |
| | | | | | | 167,243 | |
| | | | | | | | |
| Auto Components - 1.2% | | | | | | |
| Cooper Tire & Rubber Co. | | | 576 | | | | 21,542 | |
| Cooper-Standard Holdings, Inc. * | | | 845 | | | | 97,995 | |
| Dana, Inc. | | | 2,352 | | | | 65,762 | |
| Dorman Products, Inc. * | | | 498 | | | | 35,667 | |
| Fox Factory Holding Corp. * | | | 1,371 | | | | 59,090 | |
| Gentherm, Inc. * | | | 1,057 | | | | 39,267 | |
| Horizon Global Corp. * | | | 1,404 | | | | 24,767 | |
| LCI Industries | | | 1,251 | | | | 144,928 | |
| Modine Manufacturing Co. * | | | 1,493 | | | | 28,740 | |
| Motorcar Parts of America, Inc. * | | | 1,306 | | | | 38,475 | |
| Standard Motor Products, Inc. | | | 641 | | | | 30,928 | |
| Tenneco, Inc. | | | 373 | | | | 22,630 | |
| Tower International, Inc. | | | 753 | | | | 20,482 | |
| | | | | | | | |
| | | | | | | 630,273 | |
| | | | | | | | |
| Automobiles - 0.1% | | | | | | |
| Winnebago Industries, Inc. | | | 619 | | | | 27,700 | |
| | | | | | | | |
| | |
| Banks - 11.3% | | | | | | |
| Allegiance Bancshares, Inc. * | | | 1,709 | | | | 62,891 | |
| Ameris Bancorp | | | 2,375 | | | | 114,000 | |
| Banc of California, Inc. | | | 1,710 | | | | 35,483 | |
| BancorpSouth, Inc. | | | 967 | | | | 30,992 | |
| Banner Corp. | | | 612 | | | | 37,503 | |
| Berkshire Hills Bancorp, Inc. | | | 647 | | | | 25,071 | |
| Blue Hills Bancorp, Inc. | | | 1,200 | | | | 23,040 | |
| Boston Private Financial Holdings, Inc. | | | 1,715 | | | | 28,383 | |
| Carolina Financial Corp. | | | 3,277 | | | | 117,579 | |
| Cathay General Bancorp | | | 853 | | | | 34,291 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Banks - 11.3% (continued) | | | | | | |
| CenterState Bank Corp. | | | 2,282 | | | $ | 61,158 | |
| Central Pacific Financial Corp. | | | 835 | | | | 26,870 | |
| Central Valley Community Bancorp | | | 2,448 | | | | 54,590 | |
| Chemical Financial Corp. | | | 1,196 | | | | 62,503 | |
| Columbia Banking System, Inc. | | | 589 | | | | 24,803 | |
| Community Bank System, Inc. | | | 533 | | | | 29,448 | |
| ConnectOne Bancorp, Inc. | | | 1,237 | | | | 30,430 | |
| Customers Bancorp, Inc. * | | | 1,988 | | | | 64,849 | |
| CVB Financial Corp. | | | 1,182 | | | | 28,569 | |
| Eagle Bancorp, Inc. * | | | 2,446 | | | | 164,004 | |
| Enterprise Financial Services Corp. | | | 1,755 | | | | 74,324 | |
| Farmers Capital Bank Corp. | | | 78 | | | | 3,280 | |
| Farmers National Banc Corp. | | | 2,649 | | | | 39,868 | |
| FCB Financial Holdings, Inc., Class A * | | | 2,830 | | | | 136,689 | |
| Fidelity Southern Corp. | | | 1,125 | | | | 26,595 | |
| First Bancorp * | | | 32,117 | | | | 164,439 | |
| First Citizens BancShares, Inc., Class A | | | 105 | | | | 39,259 | |
| First Commonwealth Financial Corp. | | | 2,123 | | | | 29,998 | |
| First Financial Bankshares, Inc. (a) | | | 508 | | | | 22,962 | |
| First Interstate BancSystem, Inc., Class A | | | 3,635 | | | | 139,039 | |
| First Merchants Corp. | | | 1,725 | | | | 74,054 | |
| Fulton Financial Corp. | | | 4,131 | | | | 77,456 | |
| Glacier Bancorp, Inc. | | | 857 | | | | 32,360 | |
| Great Western Bancorp, Inc. | | | 5,043 | | | | 208,175 | |
| Green Bancorp, Inc. * | | | 4,394 | | | | 103,918 | |
| Hancock Holding Co. | | | 5,251 | | | | 254,411 | |
| Hanmi Financial Corp. | | | 1,562 | | | | 48,344 | |
| Heartland Financial USA, Inc. | | | 581 | | | | 28,701 | |
| Hilltop Holdings, Inc. | | | 3,684 | | | | 95,784 | |
| Home BancShares, Inc. | | | 5,212 | | | | 131,447 | |
| Horizon Bancorp | | | 742 | | | | 21,644 | |
| IBERIABANK Corp. | | | 1,464 | | | | 120,268 | |
| Independent Bank Corp./MA | | | 866 | | | | 64,647 | |
| Independent Bank Corp./MI | | | 4,596 | | | | 104,099 | |
| Independent Bank Group, Inc. | | | 2,211 | | | | 133,323 | |
| International Bancshares Corp. | | | 2,624 | | | | 105,222 | |
| Lakeland Bancorp, Inc. | | | 1,589 | | | | 32,416 | |
| Lakeland Financial Corp. | | | 1,783 | | | | 86,868 | |
| LegacyTexas Financial Group, Inc. | | | 3,872 | | | | 154,570 | |
| MB Financial, Inc. | | | 813 | | | | 36,601 | |
| Mercantile Bank Corp. | | | 568 | | | | 19,823 | |
| National Bank Holdings Corp., Class A | | | 1,592 | | | | 56,819 | |
| National Commerce Corp. * | | | 585 | | | | 25,038 | |
| OFG Bancorp | | | 5,760 | | | | 52,704 | |
| Old National Bancorp | | | 1,683 | | | | 30,799 | |
| Old Second Bancorp, Inc. | | | 3,326 | | | | 44,735 | |
| Pacific Premier Bancorp, Inc. * | | | 2,195 | | | | 82,861 | |
| Peoples Bancorp, Inc. | | | 732 | | | | 24,588 | |
| People’s Utah Bancorp | | | 1,275 | | | | 41,374 | |
| Preferred Bank | | | 1,658 | | | | 100,060 | |
| QCR Holdings, Inc. | | | 921 | | | | 41,906 | |
| Renasant Corp. | | | 1,423 | | | | 61,047 | |
| Republic First Bancorp, Inc. * | | | 10,891 | | | | 100,742 | |
| Seacoast Banking Corp. of Florida * | | | 2,235 | | | | 53,394 | |
| ServisFirst Bancshares, Inc. | | | 5,693 | | | | 221,173 | |
| Simmons First National Corp., Class A | | | 600 | | | | 34,740 | |
| South State Corp. | | | 674 | | | | 60,694 | |
| Southside Bancshares, Inc. | | | 1,148 | | | | 41,741 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
129
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Banks - 11.3% (continued) | | | | | | |
| State Bank Financial Corp. | | | 672 | | | $ | 19,253 | |
| Sterling Bancorp | | | 6,073 | | | | 149,699 | |
| Texas Capital Bancshares, Inc. * | | | 4,098 | | | | 351,608 | |
| Towne Bank | | | 2,310 | | | | 77,385 | |
| TriState Capital Holdings, Inc. * | | | 1,846 | | | | 42,273 | |
| Triumph Bancorp, Inc. * | | | 1,976 | | | | 63,726 | |
| UMB Financial Corp. | | | 445 | | | | 33,148 | |
| Union Bankshares Corp. | | | 657 | | | | 23,192 | |
| United Community Banks, Inc. | | | 3,940 | | | | 112,448 | |
| Valley National Bancorp | | | 2,108 | | | | 25,401 | |
| Veritex Holdings, Inc. * | | | 2,280 | | | | 61,469 | |
| Wintrust Financial Corp. | | | 1,331 | | | | 104,231 | |
| | | | | | | | |
| | | | | | | 5,805,289 | |
| | | | | | | | |
| Beverages - 1.0% | | | | | | |
| Castle Brands, Inc. * | | | 19,470 | | | | 26,090 | |
| Coca-Cola Bottling Co. Consolidated | | | 334 | | | | 72,061 | |
| Craft Brew Alliance, Inc. * | | | 1,463 | | | | 25,676 | |
| MGP Ingredients, Inc. | | | 1,119 | | | | 67,845 | |
| National Beverage Corp. | | | 2,448 | | | | 303,674 | |
| Primo Water Corp. * | | | 1,330 | | | | 15,760 | |
| | | | | | | | |
| | | | | | | 511,106 | |
| | | | | | | | |
| Biotechnology - 10.6% | | | | | | |
| Abeona Therapeutics, Inc. * | | | 5,422 | | | | 92,445 | |
| Acceleron Pharma, Inc. * | | | 538 | | | | 20,078 | |
| Achaogen, Inc. * | | | 4,841 | | | | 77,214 | |
| Aimmune Therapeutics, Inc. * | | | 3,053 | | | | 75,684 | |
| Amicus Therapeutics, Inc. * | | | 5,721 | | | | 86,273 | |
| Array BioPharma, Inc. * | | | 13,892 | | | | 170,872 | |
| Avexis, Inc. * | | | 2,288 | | | | 221,318 | |
| Axovant Sciences Ltd. *(a) | | | 2,290 | | | | 15,755 | |
| BioCryst Pharmaceuticals, Inc. * | | | 4,092 | | | | 21,442 | |
| BioSpecifics Technologies Corp. * | | | 495 | | | | 23,027 | |
| Bluebird Bio, Inc. * | | | 2,818 | | | | 387,052 | |
| Blueprint Medicines Corp. * | | | 2,788 | | | | 194,240 | |
| Calithera Biosciences, Inc. * | | | 4,444 | | | | 69,993 | |
| Cara Therapeutics, Inc. *(a) | | | 4,761 | | | | 65,178 | |
| Catalyst Pharmaceuticals, Inc. * | | | 27,771 | | | | 69,983 | |
| ChemoCentryx, Inc. * | | | 2,016 | | | | 14,959 | |
| Clovis Oncology, Inc. * | | | 3,996 | | | | 329,270 | |
| Conatus Pharmaceuticals, Inc. * | | | 4,925 | | | | 27,038 | |
| Corbus Pharmaceuticals Holdings, Inc. *(a) | | | 4,505 | | | | 32,211 | |
| CTI BioPharma Corp. * | | | 370 | | | | 1,180 | |
| Cytokinetics, Inc. * | | | 1,865 | | | | 27,042 | |
| CytomX Therapeutics, Inc. * | | | 1,995 | | | | 36,249 | |
| Eagle Pharmaceuticals, Inc. * | | | 985 | | | | 58,745 | |
| Emergent BioSolutions, Inc. * | | | 500 | | | | 20,225 | |
| Enanta Pharmaceuticals, Inc. * | | | 543 | | | | 25,412 | |
| Epizyme, Inc. * | | | 1,514 | | | | 28,842 | |
| Esperion Therapeutics, Inc. * | | | 2,739 | | | | 137,279 | |
| Exact Sciences Corp. * | | | 8,121 | | | | 382,662 | |
| Fate Therapeutics, Inc. * | | | 4,662 | | | | 18,462 | |
| FibroGen, Inc. * | | | 3,712 | | | | 199,706 | |
| Five Prime Therapeutics, Inc. * | | | 969 | | | | 39,642 | |
| Flexion Therapeutics, Inc. *(a) | | | 1,781 | | | | 43,065 | |
| Fortress Biotech, Inc. * | | | 4,717 | | | | 20,849 | |
| Foundation Medicine, Inc. * | | | 1,960 | | | | 78,792 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Biotechnology - 10.6% (continued) | | | | | | |
| Genomic Health, Inc. * | | | 455 | | | $ | 14,601 | |
| Global Blood Therapeutics, Inc. * | | | 1,158 | | | | 35,956 | |
| Halozyme Therapeutics, Inc. * | | | 1,063 | | | | 18,464 | |
| Ignyta, Inc. * | | | 1,494 | | | | 18,451 | |
| ImmunoGen, Inc. * | | | 4,168 | | | | 31,885 | |
| Immunomedics, Inc. * | | | 13,443 | | | | 187,933 | |
| Insmed, Inc. * | | | 2,149 | | | | 67,070 | |
| Ironwood Pharmaceuticals, Inc. * | | | 3,767 | | | | 59,406 | |
| Lexicon Pharmaceuticals, Inc. *(a) | | | 3,291 | | | | 40,446 | |
| Ligand Pharmaceuticals, Inc. * | | | 449 | | | | 61,131 | |
| Loxo Oncology, Inc. * | | | 2,187 | | | | 201,466 | |
| Matinas BioPharma Holdings, Inc. * | | | 14,452 | | | | 19,077 | |
| MiMedx Group, Inc. *(a) | | | 5,961 | | | | 70,817 | |
| Momenta Pharmaceuticals, Inc. * | | | 1,455 | | | | 26,918 | |
| Nymox Pharmaceutical Corp. (Canada) * | | | 5,450 | | | | 20,819 | |
| Peregrine Pharmaceuticals, Inc. * | | | 1,371 | | | | 4,305 | |
| Pieris Pharmaceuticals, Inc. * | | | 6,644 | | | | 38,269 | |
| Portola Pharmaceuticals, Inc. * | | | 3,957 | | | | 213,797 | |
| Progenics Pharmaceuticals, Inc. * | | | 2,771 | | | | 20,395 | |
| Prothena Corp. plc (Ireland) * | | | 651 | | | | 42,165 | |
| PTC Therapeutics, Inc. * | | | 2,980 | | | | 59,630 | |
| Puma Biotechnology, Inc. * | | | 2,190 | | | | 262,253 | |
| REGENXBIO, Inc. * | | | 3,514 | | | | 115,786 | |
| Repligen Corp. * | | | 1,913 | | | | 73,306 | |
| Retrophin, Inc. * | | | 2,107 | | | | 52,443 | |
| Sage Therapeutics, Inc. * | | | 1,524 | | | | 94,945 | |
| Sangamo Therapeutics, Inc. * | | | 1,589 | | | | 23,835 | |
| Sarepta Therapeutics, Inc. * | | | 4,620 | | | | 209,563 | |
| Spark Therapeutics, Inc. * | | | 519 | | | | 46,274 | |
| Stemline Therapeutics, Inc. * | | | 1,747 | | | | 19,392 | |
| TG Therapeutics, Inc. * | | | 3,771 | | | | 44,686 | |
| Vanda Pharmaceuticals, Inc. * | | | 1,751 | | | | 31,343 | |
| Versartis, Inc. * | | | 943 | | | | 2,310 | |
| Xencor, Inc. * | | | 2,880 | | | | 66,010 | |
| | | | | | | | |
| | | | | | | 5,407,331 | |
| | | | | | | | |
| Building Products - 1.2% | | | | | | |
| AAON, Inc. | | | 1,050 | | | | 36,199 | |
| American Woodmark Corp. * | | | 658 | | | | 63,332 | |
| Apogee Enterprises, Inc. | | | 791 | | | | 38,174 | |
| Builders FirstSource, Inc. * | | | 1,831 | | | | 32,940 | |
| Continental Building Products, Inc. * | | | 1,526 | | | | 39,676 | |
| Gibraltar Industries, Inc. * | | | 1,568 | | | | 48,843 | |
| Insteel Industries, Inc. | | | 563 | | | | 14,700 | |
| Masonite International Corp. * | | | 1,077 | | | | 74,528 | |
| NCI Building Systems, Inc. * | | | 1,241 | | | | 19,360 | |
| Patrick Industries, Inc. * | | | 2,206 | | | | 185,525 | |
| Trex Co., Inc. * | | | 592 | | | | 53,321 | |
| | | | | | | | |
| | | | | | | 606,598 | |
| | | | | | | | |
| Capital Markets - 1.1% | | | | | | |
| Arlington Asset Investment Corp., Class A | | | 1,337 | | | | 17,020 | |
| Evercore, Inc., Class A | | | 1,026 | | | | 82,337 | |
| Financial Engines, Inc. | | | 671 | | | | 23,317 | |
| Houlihan Lokey, Inc. | | | 3,200 | | | | 125,216 | |
| Investment Technology Group, Inc. | | | 1,146 | | | | 25,373 | |
| Moelis & Co., Class A | | | 2,407 | | | | 103,621 | |
| Piper Jaffray Cos. | | | 826 | | | | 49,023 | |
| PJT Partners, Inc., Class A | | | 2,065 | | | | 79,110 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
130
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Capital Markets - 1.1% (continued) | | | | | | |
| Stifel Financial Corp. | | | 987 | | | $ | 52,765 | |
| | | | | | | | |
| | | | | | | 557,782 | |
| | | | | | | | |
| Chemicals - 2.0% | | | | | | |
| A Schulman, Inc. | | | 500 | | | | 17,075 | |
| Chase Corp. | | | 209 | | | | 23,283 | |
| Ferro Corp. * | | | 2,861 | | | | 63,800 | |
| FutureFuel Corp. | | | 1,187 | | | | 18,683 | |
| Ingevity Corp. * | | | 1,020 | | | | 63,719 | |
| Innophos Holdings, Inc. | | | 300 | | | | 14,757 | |
| Innospec, Inc. | | | 332 | | | | 20,468 | |
| KMG Chemicals, Inc. | | | 599 | | | | 32,873 | |
| Koppers Holdings, Inc. * | | | 549 | | | | 25,336 | |
| Kraton Corp. * | | | 946 | | | | 38,256 | |
| Kronos Worldwide, Inc. | | | 6,219 | | | | 141,980 | |
| Minerals Technologies, Inc. | | | 500 | | | | 35,325 | |
| Rayonier Advanced Materials, Inc. (a) | | | 1,897 | | | | 25,989 | |
| Sensient Technologies Corp. | | | 1,100 | | | | 84,612 | |
| Stepan Co. | | | 220 | | | | 18,405 | |
| Trinseo SA | | | 3,066 | | | | 205,729 | |
| Tronox Ltd., Class A | | | 8,617 | | | | 181,819 | |
| | | | | | | | |
| | | | | | | 1,012,109 | |
| | | | | | | | |
| Commercial Services & Supplies - 1.1% | | | | | | |
| ACCO Brands Corp. * | | | 1,709 | | | | 20,337 | |
| Aqua Metals, Inc. *(a) | | | 2,307 | | | | 15,803 | |
| Brady Corp., Class A | | | 570 | | | | 21,631 | |
| Brink’s Co. (The) | | | 2,183 | | | | 183,918 | |
| CECO Environmental Corp. | | | 2,299 | | | | 19,450 | |
| Deluxe Corp. | | | 267 | | | | 19,480 | |
| Healthcare Services Group, Inc. | | | 1,441 | | | | 77,771 | |
| Kimball International, Inc., Class B | | | 1,371 | | | | 27,105 | |
| MSA Safety, Inc. | | | 319 | | | | 25,364 | |
| Multi-Color Corp. | | | 444 | | | | 36,386 | |
| Quad/Graphics, Inc. | | | 1,804 | | | | 40,788 | |
| Steelcase, Inc., Class A | | | 1,047 | | | | 16,124 | |
| Tetra Tech, Inc. | | | 533 | | | | 24,811 | |
| UniFirst Corp. | | | 100 | | | | 15,150 | |
| US Ecology, Inc. | | | 349 | | | | 18,776 | |
| Viad Corp. | | | 250 | | | | 15,225 | |
| | | | | | | | |
| | | | | | | 578,119 | |
| | | | | | | | |
| Communications Equipment - 2.4% | | | | | | |
| ADTRAN, Inc. | | | 734 | | | | 17,616 | |
| Applied Optoelectronics, Inc. *(a) | | | 3,083 | | | | 199,378 | |
| Ciena Corp. * | | | 2,708 | | | | 59,495 | |
| EMCORE Corp. * | | | 5,074 | | | | 41,607 | |
| Extreme Networks, Inc. * | | | 8,108 | | | | 96,404 | |
| Finisar Corp. * | | | 3,135 | | | | 69,503 | |
| InterDigital, Inc. | | | 923 | | | | 68,071 | |
| Lumentum Holdings, Inc. * | | | 4,995 | | | | 271,478 | |
| NetScout Systems, Inc. * | | | 1,232 | | | | 39,855 | |
| Oclaro, Inc. *(a) | | | 15,302 | | | | 132,056 | |
| Ubiquiti Networks, Inc. *(a) | | | 3,268 | | | | 183,073 | |
| ViaSat, Inc. * | | | 411 | | | | 26,436 | |
| Viavi Solutions, Inc. * | | | 3,957 | | | | 37,433 | |
| | | | | | | | |
| | | | | | | 1,242,405 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Construction & Engineering - 1.3% | | | | | | |
| Argan, Inc. | | | 871 | | | $ | 58,575 | |
| Comfort Systems USA, Inc. | | | 1,346 | | | | 48,052 | |
| Dycom Industries, Inc. * | | | 1,182 | | | | 101,510 | |
| EMCOR Group, Inc. | | | 249 | | | | 17,276 | |
| Granite Construction, Inc. | | | 465 | | | | 26,947 | |
| HC2 Holdings, Inc. * | | | 962 | | | | 5,079 | |
| IES Holdings, Inc. * | | | 1,238 | | | | 21,417 | |
| MasTec, Inc. * | | | 4,048 | | | | 187,827 | |
| NV5 Global, Inc. * | | | 1,032 | | | | 56,399 | |
| Primoris Services Corp. | | | 1,042 | | | | 30,656 | |
| Sterling Construction Co., Inc. * | | | 4,619 | | | | 70,347 | |
| Tutor Perini Corp. * | | | 1,919 | | | | 54,500 | |
| | | | | | | | |
| | | | | | | 678,585 | |
| | | | | | | | |
| Construction Materials - 0.4% | | | | | | |
| Summit Materials, Inc., Class A * | | | 1,564 | | | | 50,095 | |
| US Concrete, Inc. *(a) | | | 1,863 | | | | 142,147 | |
| | | | | | | | |
| | | | | | | 192,242 | |
| | | | | | | | |
| Consumer Finance - 0.2% | | | | | | |
| Enova International, Inc. * | | | 1,257 | | | | 16,907 | |
| EZCORP, Inc., Class A * | | | 5,444 | | | | 51,718 | |
| Green Dot Corp., Class A * | | | 698 | | | | 34,607 | |
| Nelnet, Inc., Class A | | | 400 | | | | 20,200 | |
| | | | | | | | |
| | | | | | | 123,432 | |
| | | | | | | | |
| Containers & Packaging - 0.2% | | | | | | |
| Greif, Inc., Class A | | | 1,746 | | | | 102,211 | |
| | | | | | | | |
| | |
| Distributors - 0.1% | | | | | | |
| Core-Mark Holding Co., Inc. | | | 1,645 | | | | 52,870 | |
| | | | | | | | |
| | |
| Diversified Consumer Services - 1.2% | | | | | | |
| Adtalem Global Education, Inc. | | | 1,130 | | | | 40,511 | |
| Capella Education Co. | | | 293 | | | | 20,554 | |
| Career Education Corp. * | | | 9,718 | | | | 100,970 | |
| Chegg, Inc. * | | | 6,926 | | | | 102,782 | |
| Grand Canyon Education, Inc. * | | | 1,459 | | | | 132,507 | |
| K12, Inc. * | | | 1,067 | | | | 19,035 | |
| Sotheby’s * | | | 639 | | | | 29,464 | |
| Weight Watchers International, Inc. *(a) | | | 3,655 | | | | 159,175 | |
| | | | | | | | |
| | | | | | | 604,998 | |
| | | | | | | | |
| Diversified Telecommunication Services - 0.4% | |
| Cogent Communications Holdings, Inc. | | | 829 | | | | 40,538 | |
| Globalstar, Inc. *(a) | | | 23,066 | | | | 37,597 | |
| IDT Corp., Class B | | | 1,371 | | | | 19,304 | |
| Iridium Communications, Inc. * | | | 2,656 | | | | 27,357 | |
| ORBCOMM, Inc. * | | | 3,221 | | | | 33,724 | |
| Vonage Holdings Corp. * | | | 3,852 | | | | 31,355 | |
| | | | | | | | |
| | | | | | | 189,875 | |
| | | | | | | | |
| Electric Utilities - 0.5% | | | | | | |
| ALLETE, Inc. | | | 448 | | | | 34,626 | |
| El Paso Electric Co. | | | 258 | | | | 14,254 | |
| MGE Energy, Inc. | | | 1,156 | | | | 74,678 | |
| Otter Tail Corp. | | | 739 | | | | 32,036 | |
| PNM Resources, Inc. | | | 1,221 | | | | 49,206 | |
| Spark Energy, Inc., Class A | | | 3,072 | | | | 46,080 | |
| | | | | | | | |
| | | | | | | 250,880 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
131
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Electrical Equipment - 0.1% | | | | | | |
| Energous Corp. *(a) | | | 1,211 | | | $ | 15,331 | |
| EnerSys | | | 213 | | | | 14,733 | |
| Generac Holdings, Inc. * | | | 846 | | | | 38,857 | |
| | | | | | | | |
| | | | | | | 68,921 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components - 3.3% | |
| Badger Meter, Inc. | | | 936 | | | | 45,864 | |
| Belden, Inc. | | | 377 | | | | 30,360 | |
| Benchmark Electronics, Inc. * | | | 686 | | | | 23,427 | |
| Control4 Corp. * | | | 2,780 | | | | 81,899 | |
| CTS Corp. | | | 722 | | | | 17,400 | |
| ePlus, Inc. * | | | 994 | | | | 91,895 | |
| Fabrinet (Thailand) * | | | 2,922 | | | | 108,289 | |
| II-VI, Inc. * | | | 2,312 | | | | 95,139 | |
| Insight Enterprises, Inc. * | | | 904 | | | | 41,512 | |
| Itron, Inc. * | | | 1,022 | | | | 79,154 | |
| KEMET Corp. * | | | 6,091 | | | | 128,703 | |
| Littelfuse, Inc. | | | 1,033 | | | | 202,344 | |
| Mesa Laboratories, Inc. (a) | | | 432 | | | | 64,506 | |
| Methode Electronics, Inc. | | | 887 | | | | 37,564 | |
| Novanta, Inc. * | | | 1,658 | | | | 72,289 | |
| OSI Systems, Inc. * | | | 393 | | | | 35,908 | |
| PCM, Inc. * | | | 1,468 | | | | 20,552 | |
| Plexus Corp. * | | | 600 | | | | 33,648 | |
| Rogers Corp. * | | | 541 | | | | 72,105 | |
| Sanmina Corp. * | | | 2,442 | | | | 90,720 | |
| SYNNEX Corp. | | | 1,105 | | | | 139,794 | |
| Tech Data Corp. * | | | 1,228 | | | | 109,108 | |
| TTM Technologies, Inc. * | | | 4,917 | | | | 75,574 | |
| | | | | | | | |
| | | | | | | 1,697,754 | |
| | | | | | | | |
| Energy Equipment & Services - 0.6% | | | | | | |
| Archrock, Inc. | | | 5,634 | | | | 70,706 | |
| Exterran Corp. * | | | 2,326 | | | | 73,525 | |
| Geospace Technologies Corp. * | | | 1,179 | | | | 21,010 | |
| McDermott International, Inc. * | | | 11,159 | | | | 81,126 | |
| Unit Corp. * | | | 1,929 | | | | 39,699 | |
| US Silica Holdings, Inc. | | | 603 | | | | 18,735 | |
| | | | | | | | |
| | | | | | | 304,801 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (REITs) - 2.5% | |
| Agree Realty Corp. | | | 808 | | | | 39,657 | |
| American Assets Trust, Inc. | | | 830 | | | | 33,009 | |
| CareTrust REIT, Inc. | | | 846 | | | | 16,108 | |
| Community Healthcare Trust, Inc. | | | 554 | | | | 14,936 | |
| EastGroup Properties, Inc. | | | 302 | | | | 26,612 | |
| GEO Group, Inc. (The) | | | 2,646 | | | | 71,177 | |
| Gladstone Commercial Corp. | | | 2,247 | | | | 50,041 | |
| Healthcare Realty Trust, Inc. | | | 560 | | | | 18,110 | |
| Independence Realty Trust, Inc. | | | 1,737 | | | | 17,665 | |
| Jernigan Capital, Inc. | | | 1,105 | | | | 22,708 | |
| Mack-Cali Realty Corp. | | | 963 | | | | 22,833 | |
| Monmouth Real Estate Investment Corp. | | | 2,217 | | | | 35,893 | |
| National Storage Affiliates Trust | | | 3,606 | | | | 87,410 | |
| NexPoint Residential Trust, Inc. | | | 2,537 | | | | 60,203 | |
| Physicians Realty Trust | | | 1,800 | | | | 31,914 | |
| Preferred Apartment Communities, Inc., Class A | | | 780 | | | | 14,726 | |
| PS Business Parks, Inc. | | | 1,230 | | | | 164,205 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Equity Real Estate Investment Trusts (REITs) - 2.5% (continued) | |
| QTS Realty Trust, Inc., Class A | | | 1,262 | | | $ | 66,078 | |
| Retail Opportunity Investments Corp. | | | 1,898 | | | | 36,081 | |
| Rexford Industrial Realty, Inc. | | | 3,705 | | | | 106,037 | |
| Ryman Hospitality Properties, Inc. | | | 1,223 | | | | 76,425 | |
| STAG Industrial, Inc. | | | 1,825 | | | | 50,133 | |
| Summit Hotel Properties, Inc. | | | 2,178 | | | | 34,826 | |
| Sunstone Hotel Investors, Inc. | | | 1,432 | | | | 23,012 | |
| Terreno Realty Corp. | | | 1,683 | | | | 60,891 | |
| Tier REIT, Inc. | | | 928 | | | | 17,911 | |
| UMH Properties, Inc. | | | 984 | | | | 15,301 | |
| Universal Health Realty Income Trust | | | 409 | | | | 30,876 | |
| Washington REIT | | | 838 | | | | 27,453 | |
| | | | | | | | |
| | | | | | | 1,272,231 | |
| | | | | | | | |
| Food & Staples Retailing - 0.0% (b) | | | | | | |
| SpartanNash Co. | | | 755 | | | | 19,909 | |
| | | | | | | | |
| | |
| Food Products - 1.2% | | | | | | |
| B&G Foods, Inc. (a) | | | 791 | | | | 25,193 | |
| Calavo Growers, Inc. | | | 300 | | | | 21,960 | |
| Fresh Del Monte Produce, Inc. | | | 2,090 | | | | 95,011 | |
| J&J Snack Foods Corp. | | | 693 | | | | 90,991 | |
| John B Sanfilippo & Son, Inc. | | | 726 | | | | 48,867 | |
| Lancaster Colony Corp. | | | 812 | | | | 97,538 | |
| Sanderson Farms, Inc. | | | 993 | | | | 160,389 | |
| Snyder’s-Lance, Inc. | | | 1,413 | | | | 53,892 | |
| | | | | | | | |
| | | | | | | 593,841 | |
| | | | | | | | |
| Gas Utilities - 0.7% | |
| Chesapeake Utilities Corp. | | | 376 | | | | 29,422 | |
| New Jersey Resources Corp. | | | 436 | | | | 18,377 | |
| Northwest Natural Gas Co. | | | 369 | | | | 23,764 | |
| ONE Gas, Inc. | | | 2,576 | | | | 189,697 | |
| Southwest Gas Holdings, Inc. | | | 889 | | | | 69,004 | |
| Spire, Inc. | | | 247 | | | | 18,438 | |
| | | | | | | | |
| | | | | | | 348,702 | |
| | | | | | | | |
| Health Care Equipment & Supplies - 4.8% | |
| Abaxis, Inc. | | | 457 | | | | 20,405 | |
| Anika Therapeutics, Inc. * | | | 794 | | | | 46,052 | |
| Antares Pharma, Inc. * | | | 20,432 | | | | 66,200 | |
| AtriCure, Inc. * | | | 800 | | | | 17,896 | |
| AxoGen, Inc. * | | | 4,732 | | | | 91,564 | |
| Cantel Medical Corp. | | | 1,202 | | | | 113,192 | |
| Cardiovascular Systems, Inc. * | | | 1,382 | | | | 38,903 | |
| CONMED Corp. | | | 500 | | | | 26,235 | |
| Cutera, Inc. * | | | 2,285 | | | | 94,485 | |
| GenMark Diagnostics, Inc. * | | | 2,801 | | | | 26,974 | |
| Glaukos Corp. * | | | 1,056 | | | | 34,848 | |
| Globus Medical, Inc., Class A * | | | 2,053 | | | | 61,015 | |
| Haemonetics Corp. * | | | 533 | | | | 23,916 | |
| Heska Corp. * | | | 1,520 | | | | 133,897 | |
| ICU Medical, Inc. * | | | 802 | | | | 149,052 | |
| Inogen, Inc. * | | | 1,735 | | | | 164,998 | |
| Insulet Corp. * | | | 726 | | | | 39,988 | |
| Integer Holdings Corp. * | | | 285 | | | | 14,578 | |
| Integra LifeSciences Holdings Corp. * | | | 1,883 | | | | 95,054 | |
| K2M Group Holdings, Inc. * | | | 1,995 | | | | 42,314 | |
| Lantheus Holdings, Inc. * | | | 6,762 | | | | 120,364 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
132
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Health Care Equipment & Supplies - 4.8% (continued) | |
| LeMaitre Vascular, Inc. | | | 1,954 | | | $ | 73,119 | |
| Masimo Corp. * | | | 2,663 | | | | 230,509 | |
| Merit Medical Systems, Inc. * | | | 1,284 | | | | 54,377 | |
| Natus Medical, Inc. * | | | 1,478 | | | | 55,425 | |
| Neogen Corp. * | | | 480 | | | | 37,181 | |
| Nevro Corp. * | | | 1,494 | | | | 135,775 | |
| Novocure Ltd. * | | | 1,150 | | | | 22,827 | |
| NuVasive, Inc. * | | | 861 | | | | 47,751 | |
| OraSure Technologies, Inc. * | | | 4,911 | | | | 110,497 | |
| Oxford Immunotec Global plc * | | | 1,440 | | | | 24,192 | |
| Penumbra, Inc. * | | | 1,211 | | | | 109,353 | |
| Quidel Corp. * | | | 635 | | | | 27,851 | |
| STAAR Surgical Co. * | | | 1,257 | | | | 15,650 | |
| ViewRay, Inc. * | | | 4,125 | | | | 23,760 | |
| Viveve Medical, Inc. * | | | 2,973 | | | | 15,578 | |
| Wright Medical Group NV *(a) | | | 1,893 | | | | 48,972 | |
| | | | | | | | |
| | | | | | | 2,454,747 | |
| | | | | | | | |
| Health Care Providers & Services - 2.2% | | | | | | |
| Addus HomeCare Corp. * | | | 1,804 | | | | 63,681 | |
| Amedisys, Inc. * | | | 745 | | | | 41,690 | |
| AMN Healthcare Services, Inc. * | | | 1,210 | | | | 55,297 | |
| BioTelemetry, Inc. * | | | 3,032 | | | | 100,056 | |
| Chemed Corp. | | | 614 | | | | 124,059 | |
| CorVel Corp. * | | | 404 | | | | 21,978 | |
| Cross Country Healthcare, Inc. * | | | 1,400 | | | | 19,922 | |
| Ensign Group, Inc. (The) | | | 1,000 | | | | 22,590 | |
| HealthEquity, Inc. * | | | 3,039 | | | | 153,713 | |
| LHC Group, Inc. * | | | 621 | | | | 44,041 | |
| Molina Healthcare, Inc. * | | | 877 | | | | 60,302 | |
| PharMerica Corp. * | | | 900 | | | | 26,370 | |
| Providence Service Corp. (The) * | | | 400 | | | | 21,632 | |
| R1 RCM, Inc. * | | | 5,870 | | | | 21,778 | |
| Select Medical Holdings Corp. * | | | 2,344 | | | | 45,005 | |
| Teladoc, Inc. *(a) | | | 3,063 | | | | 101,538 | |
| Tivity Health, Inc. * | | | 4,260 | | | | 173,808 | |
| US Physical Therapy, Inc. | | | 280 | | | | 17,206 | |
| | | | | | | | |
| | | | | | | 1,114,666 | |
| | | | | | | | |
| Health Care Technology - 0.8% | | | | | | |
| Cotiviti Holdings, Inc. * | | | 2,813 | | | | 101,212 | |
| Evolent Health, Inc., Class A * | | | 2,519 | | | | 44,838 | |
| HMS Holdings Corp. * | | | 937 | | | | 18,609 | |
| Medidata Solutions, Inc. * | | | 2,081 | | | | 162,443 | |
| Omnicell, Inc. * | | | 1,035 | | | | 52,837 | |
| Vocera Communications, Inc. * | | | 901 | | | | 28,264 | |
| | | | | | | | |
| | | | | | | 408,203 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure - 3.4% | | | | | | |
| Bob Evans Farms, Inc. | | | 998 | | | | 77,355 | |
| Boyd Gaming Corp. | | | 1,922 | | | | 50,068 | |
| Caesars Entertainment Corp. *(a) | | | 5,795 | | | | 77,363 | |
| Carrols Restaurant Group, Inc. * | | | 1,505 | | | | 16,404 | |
| Churchill Downs, Inc. | | | 530 | | | | 109,286 | |
| Cracker Barrel Old Country Store, Inc. (a) | | | 385 | | | | 58,374 | |
| Dave & Buster’s Entertainment, Inc. * | | | 2,020 | | | | 106,010 | |
| Denny’s Corp. * | | | 2,000 | | | | 24,900 | |
| Eldorado Resorts, Inc. *(a) | | | 5,058 | | | | 129,738 | |
| ILG, Inc. | | | 2,124 | | | | 56,774 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Hotels, Restaurants & Leisure - 3.4% (continued) | | | | |
| Jack in the Box, Inc. | | | 1,105 | | | $ | 112,622 | |
| Marriott Vacations Worldwide Corp. | | | 1,125 | | | | 140,096 | |
| Nathan’s Famous, Inc. * | | | 443 | | | | 32,760 | |
| Papa John’s International, Inc. | | | 932 | | | | 68,101 | |
| Penn National Gaming, Inc. * | | | 1,833 | | | | 42,874 | |
| Pinnacle Entertainment, Inc. * | | | 3,376 | | | | 71,943 | |
| Planet Fitness, Inc., Class A | | | 2,152 | | | | 58,061 | |
| RCI Hospitality Holdings, Inc. | | | 2,273 | | | | 56,257 | |
| Red Robin Gourmet Burgers, Inc. * | | | 374 | | | | 25,058 | |
| Ruth’s Hospitality Group, Inc. | | | 1,436 | | | | 30,084 | |
| Scientific Games Corp., Class A * | | | 6,157 | | | | 282,298 | |
| Sonic Corp. (a) | | | 727 | | | | 18,502 | |
| Texas Roadhouse, Inc. | | | 2,000 | | | | 98,280 | |
| | | | | | | | |
| | | | | | | 1,743,208 | |
| | | | | | | | |
| Household Durables - 1.5% | | | | | | |
| Cavco Industries, Inc. * | | | 295 | | | | 43,527 | |
| Helen of Troy Ltd. * | | | 1,094 | | | | 106,009 | |
| Hooker Furniture Corp. | | | 465 | | | | 22,204 | |
| Installed Building Products, Inc. * | | | 2,183 | | | | 141,458 | |
| iRobot Corp. *(a) | | | 1,887 | | | | 145,412 | |
| KB Home | | | 662 | | | | 15,968 | |
| La-Z-Boy, Inc. | | | 722 | | | | 19,422 | |
| LGI Homes, Inc. *(a) | | | 2,476 | | | | 120,259 | |
| MDC Holdings, Inc. | | | 692 | | | | 22,981 | |
| NACCO Industries, Inc., Class A | | | 210 | | | | 18,018 | |
| Taylor Morrison Home Corp., Class A * | | | 816 | | | | 17,993 | |
| TopBuild Corp. * | | | 1,247 | | | | 81,267 | |
| Universal Electronics, Inc. * | | | 400 | | | | 25,360 | |
| | | | | | | | |
| | | | | | | 779,878 | |
| | | | | | | | |
| Household Products - 0.3% | | | | | | |
| Central Garden & Pet Co., Class A * | | | 2,807 | | | | 104,393 | |
| WD-40 Co. | | | 467 | | | | 52,257 | |
| | | | | | | | |
| | | | | | | 156,650 | |
| | | | | | | | |
| Insurance - 2.2% | | | | | | |
| American Equity Investment Life Holding Co. | | | 1,528 | | | | 44,434 | |
| AMERISAFE, Inc. | | | 907 | | | | 52,787 | |
| Argo Group International Holdings Ltd. | | | 1,756 | | | | 107,994 | |
| CNO Financial Group, Inc. | | | 2,318 | | | | 54,102 | |
| Enstar Group Ltd. * | | | 683 | | | | 151,865 | |
| FBL Financial Group, Inc., Class A | | | 241 | | | | 17,955 | |
| Health Insurance Innovations, Inc., Class A * | | | 5,241 | | | | 75,995 | |
| James River Group Holdings Ltd. | | | 2,244 | | | | 93,081 | |
| Kingstone Cos., Inc. | | | 1,221 | | | | 19,902 | |
| National General Holdings Corp. | | | 1,414 | | | | 27,022 | |
| Navigators Group, Inc. (The) | | | 766 | | | | 44,696 | |
| Primerica, Inc. | | | 1,772 | | | | 144,507 | |
| RLI Corp. | | | 1,284 | | | | 73,650 | |
| Selective Insurance Group, Inc. | | | 768 | | | | 41,357 | |
| Trupanion, Inc. *(a) | | | 1,445 | | | | 38,162 | |
| United Fire Group, Inc. | | | 1,284 | | | | 58,833 | |
| United Insurance Holdings Corp. | | | 2,600 | | | | 42,380 | |
| Universal Insurance Holdings, Inc. | | | 1,100 | | | | 25,300 | |
| | | | | | | | |
| | | | | | | 1,114,022 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
133
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Internet & Direct Marketing Retail - 0.4% | |
| 1-800-Flowers.com, Inc., Class A * | | | 3,613 | | | $ | 35,588 | |
| Nutrisystem, Inc. | | | 2,283 | | | | 127,620 | |
| PetMed Express, Inc. (a) | | | 1,481 | | | | 49,095 | |
| | | | | | | | |
| | | | | | | 212,303 | |
| | | | | | | | |
| Internet Software & Services - 4.0% | | | | | | |
| 2U, Inc. *(a) | | | 3,182 | | | | 178,319 | |
| Alarm.com Holdings, Inc. * | | | 2,715 | | | | 122,664 | |
| Amber Road, Inc. * | | | 2,748 | | | | 21,105 | |
| Appfolio, Inc., Class A * | | | 3,212 | | | | 154,015 | |
| Benefitfocus, Inc. *(a) | | | 592 | | | | 19,921 | |
| Blucora, Inc. * | | | 3,245 | | | | 82,099 | |
| Box, Inc., Class A * | | | 2,970 | | | | 57,380 | |
| Carbonite, Inc. * | | | 3,115 | | | | 68,530 | |
| Cimpress NV (Netherlands) *(a) | | | 585 | | | | 57,131 | |
| comScore, Inc. * | | | 429 | | | | 12,334 | |
| Etsy, Inc. * | | | 2,050 | | | | 34,604 | |
| Five9, Inc. * | | | 7,053 | | | | 168,567 | |
| GrubHub, Inc. *(a) | | | 4,446 | | | | 234,126 | |
| GTT Communications, Inc. * | | | 1,035 | | | | 32,758 | |
| Hortonworks, Inc. * | | | 1,443 | | | | 24,459 | |
| Instructure, Inc. * | | | 434 | | | | 14,387 | |
| Internap Corp. *(a) | | | 7,443 | | | | 32,377 | |
| j2 Global, Inc. | | | 800 | | | | 59,104 | |
| Limelight Networks, Inc. * | | | 5,392 | | | | 21,406 | |
| MINDBODY, Inc., Class A *(a) | | | 3,773 | | | | 97,532 | |
| New Relic, Inc. * | | | 813 | | | | 40,487 | |
| Q2 Holdings, Inc. * | | | 1,618 | | | | 67,390 | |
| Quotient Technology, Inc. * | | | 1,764 | | | | 27,607 | |
| SPS Commerce, Inc. * | | | 593 | | | | 33,629 | |
| Stamps.com, Inc. * | | | 1,056 | | | | 213,998 | |
| TrueCar, Inc. * | | | 7,100 | | | | 112,109 | |
| Tucows, Inc., Class A * | | | 1,164 | | | | 68,152 | |
| | | | | | | | |
| | | | | | | 2,056,190 | |
| | | | | | | | |
| IT Services - 1.3% | | | | | | |
| Acxiom Corp. * | | | 961 | | | | 23,679 | |
| Blackhawk Network Holdings, Inc. * | | | 1,980 | | | | 86,724 | |
| CACI International, Inc., Class A * | | | 385 | | | | 53,650 | |
| Convergys Corp. | | | 644 | | | | 16,673 | |
| CSG Systems International, Inc. | | | 958 | | | | 38,416 | |
| EPAM Systems, Inc. * | | | 1,305 | | | | 114,749 | |
| Everi Holdings, Inc. * | | | 11,920 | | | | 90,473 | |
| ExlService Holdings, Inc. * | | | 709 | | | | 41,349 | |
| Hackett Group, Inc. (The) | | | 955 | | | | 14,506 | |
| MAXIMUS, Inc. | | | 1,222 | | | | 78,819 | |
| Perficient, Inc. * | | | 927 | | | | 18,234 | |
| Science Applications International Corp. | | | 701 | | | | 46,862 | |
| Sykes Enterprises, Inc. * | | | 541 | | | | 15,775 | |
| Virtusa Corp. * | | | 479 | | | | 18,097 | |
| | | | | | | | |
| | | | | | | 658,006 | |
| | | | | | | | |
| Leisure Products - 0.1% | | | | | | |
| American Outdoor Brands Corp. *(a) | | | 991 | | | | 15,113 | |
| Nautilus, Inc. * | | | 1,157 | | | | 19,553 | |
| Sturm Ruger & Co., Inc. (a) | | | 385 | | | | 19,905 | |
| | | | | | | | |
| | | | | | | 54,571 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Life Sciences Tools & Services - 1.1% | |
| Accelerate Diagnostics, Inc. *(a) | | | 3,102 | | | $ | 69,640 | |
| Cambrex Corp. * | | | 1,200 | | | | 66,000 | |
| Enzo Biochem, Inc. * | | | 2,746 | | | | 28,751 | |
| INC Research Holdings, Inc., Class A * | | | 2,707 | | | | 141,576 | |
| NeoGenomics, Inc. * | | | 2,416 | | | | 26,890 | |
| PRA Health Sciences, Inc. * | | | 3,253 | | | | 247,781 | |
| | | | | | | | |
| | | | | | | 580,638 | |
| | | | | | | | |
| Machinery - 3.7% | | | | | | |
| Alamo Group, Inc. | | | 196 | | | | 21,045 | |
| Albany International Corp., Class A | | | 329 | | | | 18,885 | |
| Altra Industrial Motion Corp. | | | 492 | | | | 23,665 | |
| Astec Industries, Inc. | | | 509 | | | | 28,509 | |
| Barnes Group, Inc. | | | 635 | | | | 44,729 | |
| Briggs & Stratton Corp. | | | 731 | | | | 17,178 | |
| Chart Industries, Inc. * | | | 674 | | | | 26,441 | |
| CIRCOR International, Inc. | | | 296 | | | | 16,111 | |
| Columbus McKinnon Corp. | | | 620 | | | | 23,479 | |
| Douglas Dynamics, Inc. | | | 969 | | | | 38,179 | |
| EnPro Industries, Inc. | | | 521 | | | | 41,956 | |
| Federal Signal Corp. | | | 2,000 | | | | 42,560 | |
| Global Brass & Copper Holdings, Inc. | | | 3,107 | | | | 105,017 | |
| Greenbrier Cos., Inc. (The) (a) | | | 726 | | | | 34,957 | |
| Harsco Corp. * | | | 4,007 | | | | 83,746 | |
| Hyster-Yale Materials Handling, Inc. | | | 348 | | | | 26,601 | |
| John Bean Technologies Corp. | | | 1,481 | | | | 149,729 | |
| Kadant, Inc. | | | 354 | | | | 34,887 | |
| Kennametal, Inc. | | | 2,831 | | | | 114,203 | |
| Lydall, Inc. * | | | 1,067 | | | | 61,139 | |
| Manitowoc Co., Inc. (The) * | | | 4,381 | | | | 39,429 | |
| Meritor, Inc. * | | | 4,408 | | | | 114,652 | |
| Mueller Water Products, Inc., Class A | | | 5,126 | | | | 65,613 | |
| Navistar International Corp. * | | | 4,525 | | | | 199,417 | |
| NN, Inc. | | | 927 | | | | 26,883 | |
| RBC Bearings, Inc. * | | | 343 | | | | 42,926 | |
| Spartan Motors, Inc. | | | 7,354 | | | | 81,262 | |
| SPX Corp. * | | | 4,606 | | | | 135,140 | |
| Standex International Corp. | | | 358 | | | | 38,020 | |
| Tennant Co. | | | 497 | | | | 32,901 | |
| Titan International, Inc. | | | 7,037 | | | | 71,426 | |
| Wabash National Corp. | | | 1,075 | | | | 24,531 | |
| Watts Water Technologies, Inc., Class A | | | 425 | | | | 29,410 | |
| Woodward, Inc. | | | 689 | | | | 53,473 | |
| | | | | | | | |
| | | | | | | 1,908,099 | |
| | | | | | | | |
| Marine - 0.1% | | | | | | |
| Safe Bulkers, Inc. (Greece) * | | | 7,778 | | | | 21,312 | |
| Scorpio Bulkers, Inc. * | | | 4,339 | | | | 30,590 | |
| | | | | | | | |
| | | | | | | 51,902 | |
| | | | | | | | |
| Media - 0.5% | | | | | | |
| Central European Media Enterprises Ltd., Class A *(a) | | | 5,880 | | | | 23,814 | |
| Entravision Communications Corp., Class A | | | 2,467 | | | | 14,062 | |
| EW Scripps Co. (The), Class A * | | | 1,235 | | | | 23,601 | |
| Gray Television, Inc. * | | | 2,135 | | | | 33,519 | |
| Liberty Media Corp.-Liberty Braves, Class C * | | | 1,059 | | | | 26,761 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
134
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Media - 0.5% (continued) | | | | | | |
| New York Times Co. (The), Class A | | | 2,150 | | | $ | 42,140 | |
| Nexstar Media Group, Inc., Class A (a) | | | 356 | | | | 22,179 | |
| Sinclair Broadcast Group, Inc., Class A | | | 1,581 | | | | 50,671 | |
| World Wrestling Entertainment, Inc., Class A (a) | | | 1,183 | | | | 27,860 | |
| | | | | | | | |
| | | | | | | 264,607 | |
| | | | | | | | |
| Metals & Mining - 1.1% | | | | | | |
| AK Steel Holding Corp. * | | | 13,801 | | | | 77,148 | |
| Allegheny Technologies, Inc. * | | | 1,135 | | | | 27,126 | |
| Century Aluminum Co. * | | | 8,622 | | | | 142,953 | |
| Cleveland-Cliffs, Inc. * | | | 10,372 | | | | 74,160 | |
| Kaiser Aluminum Corp. | | | 680 | | | | 70,135 | |
| Olympic Steel, Inc. | | | 753 | | | | 16,566 | |
| SunCoke Energy, Inc. * | | | 3,986 | | | | 36,432 | |
| TimkenSteel Corp. * | | | 1,106 | | | | 18,249 | |
| Worthington Industries, Inc. | | | 1,849 | | | | 85,054 | |
| | | | | | | | |
| | | | | | | 547,823 | |
| | | | | | | | |
| Multiline Retail - 0.3% | | | | | | |
| Big Lots, Inc. (a) | | | 713 | | | | 38,195 | |
| Ollie’s Bargain Outlet Holdings, Inc. * | | | 2,620 | | | | 121,568 | |
| | | | | | | | |
| | | | | | | 159,763 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels - 0.9% | | | | | | |
| Abraxas Petroleum Corp. * | | | 19,535 | | | | 36,726 | |
| Callon Petroleum Co. * | | | 3,228 | | | | 36,283 | |
| Delek US Energy, Inc. | | | 2,013 | | | | 53,807 | |
| Eclipse Resources Corp. * | | | 10,900 | | | | 27,250 | |
| Evolution Petroleum Corp. | | | 2,084 | | | | 15,005 | |
| GasLog Ltd. (Monaco) (a) | | | 1,757 | | | | 30,660 | |
| Golar LNG Ltd. (Norway) (a) | | | 1,216 | | | | 27,494 | |
| Green Plains, Inc. | | | 1,031 | | | | 20,775 | |
| Hallador Energy Co. | | | 2,910 | | | | 16,645 | |
| Pacific Ethanol, Inc. * | | | 900 | | | | 4,995 | |
| Resolute Energy Corp. *(a) | | | 2,876 | | | | 85,388 | |
| REX American Resources Corp. * | | | 300 | | | | 28,149 | |
| Ring Energy, Inc. * | | | 5,063 | | | | 73,363 | |
| Uranium Energy Corp. * | | | 12,149 | | | | 16,765 | |
| | | | | | | | |
| | | | | | | 473,305 | |
| | | | | | | | |
| Paper & Forest Products - 0.2% | | | | | | |
| KapStone Paper and Packaging Corp. | | | 1,003 | | | | 21,554 | |
| Louisiana-Pacific Corp. * | | | 3,784 | | | | 102,471 | |
| | | | | | | | |
| | | | | | | 124,025 | |
| | | | | | | | |
| Personal Products - 0.1% | | | | | | |
| Natural Health Trends Corp. | | | 639 | | | | 15,272 | |
| USANA Health Sciences, Inc. * | | | 600 | | | | 34,620 | |
| | | | | | | | |
| | | | | | | 49,892 | |
| | | | | | | | |
| Pharmaceuticals - 2.5% | | | | | | |
| Aclaris Therapeutics, Inc. * | | | 763 | | | | 19,693 | |
| Aerie Pharmaceuticals, Inc. * | | | 3,482 | | | | 169,225 | |
| Amphastar Pharmaceuticals, Inc. * | | | 1,336 | | | | 23,874 | |
| ANI Pharmaceuticals, Inc. * | | | 400 | | | | 20,996 | |
| Aratana Therapeutics, Inc. * | | | 3,238 | | | | 19,849 | |
| Assembly Biosciences, Inc. * | | | 2,308 | | | | 80,595 | |
| Catalent, Inc. * | | | 2,795 | | | | 111,577 | |
| Corcept Therapeutics, Inc. * | | | 8,060 | | | | 155,558 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Pharmaceuticals - 2.5% (continued) | | | | | | |
| Dermira, Inc. * | | | 1,305 | | | $ | 35,235 | |
| Intersect ENT, Inc. * | | | 1,990 | | | | 61,989 | |
| Medicines Co. (The) * | | | 1,499 | | | | 55,523 | |
| MyoKardia, Inc. * | | | 306 | | | | 13,112 | |
| Nektar Therapeutics * | | | 1,662 | | | | 39,888 | |
| Omeros Corp. *(a) | | | 2,323 | | | | 50,223 | |
| Paratek Pharmaceuticals, Inc. * | | | 1,631 | | | | 40,938 | |
| Phibro Animal Health Corp., Class A | | | 2,245 | | | | 83,177 | |
| Prestige Brands Holdings, Inc. * | | | 1,126 | | | | 56,401 | |
| Reata Pharmaceuticals, Inc., Class A * | | | 1,012 | | | | 31,473 | |
| Supernus Pharmaceuticals, Inc. * | | | 2,833 | | | | 113,320 | |
| Teligent, Inc. * | | | 3,732 | | | | 25,042 | |
| Tetraphase Pharmaceuticals, Inc. * | | | 2,528 | | | | 17,292 | |
| TherapeuticsMD, Inc. * | | | 3,563 | | | | 18,848 | |
| Zogenix, Inc. * | | | 1,716 | | | | 60,146 | |
| | | | | | | | |
| | | | | | | 1,303,974 | |
| | | | | | | | |
| Professional Services - 0.7% | | | | | | |
| Exponent, Inc. | | | 576 | | | | 42,566 | |
| Insperity, Inc. | | | 534 | | | | 46,992 | |
| Korn/Ferry International | | | 1,543 | | | | 60,840 | |
| Mistras Group, Inc. * | | | 764 | | | | 15,662 | |
| On Assignment, Inc. * | | | 819 | | | | 43,964 | |
| TriNet Group, Inc. * | | | 657 | | | | 22,088 | |
| WageWorks, Inc. * | | | 655 | | | | 39,759 | |
| Willdan Group, Inc. * | | | 2,362 | | | | 76,671 | |
| | | | | | | | |
| | | | | | | 348,542 | |
| | | | | | | | |
| Real Estate Management & Development - 0.4% | |
| HFF, Inc., Class A | | | 1,331 | | | | 52,654 | |
| RE/MAX Holdings, Inc., Class A | | | 1,152 | | | | 73,210 | |
| RMR Group, Inc. (The), Class A | | | 1,492 | | | | 76,614 | |
| | | | | | | | |
| | | | | | | 202,478 | |
| | | | | | | | |
| Road & Rail - 0.6% | | | | | | |
| ArcBest Corp. | | | 1,021 | | | | 34,153 | |
| Covenant Transportation Group, Inc., Class A * | | | 1,000 | | | | 28,980 | |
| Heartland Express, Inc. | | | 1,825 | | | | 45,771 | |
| Knight-Swift Transportation Holdings, Inc. * | | | 1,521 | | | | 63,198 | |
| Marten Transport Ltd. | | | 1,333 | | | | 27,393 | |
| Saia, Inc. * | | | 1,113 | | | | 69,729 | |
| Werner Enterprises, Inc. | | | 919 | | | | 33,589 | |
| | | | | | | | |
| | | | | | | 302,813 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment - 4.6% | |
| Advanced Energy Industries, Inc. * | | | 2,641 | | | | 213,287 | |
| Alpha & Omega Semiconductor Ltd. * | | | 1,934 | | | | 31,892 | |
| Amkor Technology, Inc. * | | | 10,748 | | | | 113,391 | |
| Axcelis Technologies, Inc. * | | | 2,751 | | | | 75,240 | |
| AXT, Inc. * | | | 3,076 | | | | 28,145 | |
| Brooks Automation, Inc. | | | 2,847 | | | | 86,435 | |
| Cabot Microelectronics Corp. | | | 548 | | | | 43,802 | |
| CEVA, Inc. * | | | 875 | | | | 37,450 | |
| Cirrus Logic, Inc. * | | | 3,600 | | | | 191,952 | |
| Diodes, Inc. * | | | 1,023 | | | | 30,618 | |
| Entegris, Inc. * | | | 3,774 | | | | 108,880 | |
| FormFactor, Inc. * | | | 2,760 | | | | 46,506 | |
| Inphi Corp. * | | | 1,646 | | | | 65,330 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
135
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Semiconductors & Semiconductor Equipment - 4.6% (continued) | |
| Integrated Device Technology, Inc. * | | | 2,712 | | | $ | 72,085 | |
| MACOM Technology Solutions Holdings, Inc. * | | | 3,303 | | | | 147,347 | |
| MaxLinear, Inc. * | | | 5,449 | | | | 129,414 | |
| MKS Instruments, Inc. | | | 2,322 | | | | 219,313 | |
| Monolithic Power Systems, Inc. | | | 2,657 | | | | 283,103 | |
| Nanometrics, Inc. * | | | 818 | | | | 23,558 | |
| Pixelworks, Inc. * | | | 3,913 | | | | 18,430 | |
| Power Integrations, Inc. | | | 424 | | | | 31,037 | |
| Rambus, Inc. * | | | 3,205 | | | | 42,787 | |
| Rudolph Technologies, Inc. * | | | 786 | | | | 20,672 | |
| Semtech Corp. * | | | 1,257 | | | | 47,200 | |
| Silicon Laboratories, Inc. * | | | 586 | | | | 46,821 | |
| Ultra Clean Holdings, Inc. * | | | 5,666 | | | | 173,493 | |
| Xperi Corp. | | | 1,076 | | | | 27,223 | |
| | | | | | | | |
| | | | | | | 2,355,411 | |
| | | | | | | | |
| Software - 4.3% | | | | | | |
| 8x8, Inc. * | | | 4,163 | | | | 56,200 | |
| ACI Worldwide, Inc. * | | | 1,294 | | | | 29,477 | |
| Aspen Technology, Inc. * | | | 2,070 | | | | 130,017 | |
| Barracuda Networks, Inc. * | | | 1,541 | | | | 37,338 | |
| Blackbaud, Inc. | | | 1,257 | | | | 110,364 | |
| BroadSoft, Inc. *(a) | | | 1,139 | | | | 57,292 | |
| Callidus Software, Inc. * | | | 2,014 | | | | 49,645 | |
| CommVault Systems, Inc. * | | | 357 | | | | 21,706 | |
| Ebix, Inc. (a) | | | 1,032 | | | | 67,338 | |
| Ellie Mae, Inc. * | | | 1,769 | | | | 145,288 | |
| Fair Isaac Corp. | | | 880 | | | | 123,640 | |
| Gigamon, Inc. * | | | 1,252 | | | | 52,772 | |
| HubSpot, Inc. * | | | 1,276 | | | | 107,248 | |
| MicroStrategy, Inc., Class A * | | | 200 | | | | 25,542 | |
| Paycom Software, Inc. * | | | 3,573 | | | | 267,832 | |
| Paylocity Holding Corp. * | | | 1,367 | | | | 66,737 | |
| Pegasystems, Inc. | | | 2,743 | | | | 158,134 | |
| Proofpoint, Inc. * | | | 1,840 | | | | 160,485 | |
| PROS Holdings, Inc. * | | | 1,046 | | | | 25,240 | |
| Qualys, Inc. * | | | 988 | | | | 51,178 | |
| RealPage, Inc. * | | | 2,420 | | | | 96,558 | |
| RingCentral, Inc., Class A * | | | 3,371 | | | | 140,739 | |
| Telenav, Inc. * | | | 2,925 | | | | 18,574 | |
| TiVo Corp. | | | 1,667 | | | | 33,090 | |
| Upland Software, Inc. * | | | 2,470 | | | | 52,265 | |
| Varonis Systems, Inc. * | | | 812 | | | | 34,023 | |
| Verint Systems, Inc. * | | | 900 | | | | 37,665 | |
| VirnetX Holding Corp. * | | | 80 | | | | 312 | |
| Zendesk, Inc. * | | | 2,071 | | | | 60,287 | |
| | | | | | | | |
| | | | | | | 2,216,986 | |
| | | | | | | | |
| Specialty Retail - 1.4% | | | | | | |
| Aaron’s, Inc. | | | 1,849 | | | | 80,672 | |
| Caleres, Inc. | | | 931 | | | | 28,414 | |
| Children’s Place, Inc. (The) | | | 826 | | | | 97,592 | |
| Conn’s, Inc. *(a) | | | 3,131 | | | | 88,138 | |
| Five Below, Inc. * | | | 984 | | | | 54,002 | |
| Lithia Motors, Inc., Class A | | | 369 | | | | 44,394 | |
| Lumber Liquidators Holdings, Inc. * | | | 1,409 | | | | 54,923 | |
| Office Depot, Inc. | | | 9,562 | | | | 43,411 | |
| Party City Holdco, Inc. *(a) | | | 1,551 | | | | 21,016 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Specialty Retail - 1.4% (continued) | | | | | | |
| Restoration Hardware Holdings, Inc. * | | | 1,415 | | | $ | 99,503 | |
| Select Comfort Corp. * | | | 1,551 | | | | 48,159 | |
| Tile Shop Holdings, Inc. | | | 1,151 | | | | 14,618 | |
| Tilly’s, Inc., Class A | | | 5,051 | | | | 60,561 | |
| | | | | | | | |
| | | | | | | 735,403 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals - 0.2% | |
| 3D Systems Corp. *(a) | | | 2,501 | | | | 33,488 | |
| Electronics For Imaging, Inc. * | | | 983 | | | | 41,954 | |
| Intevac, Inc. * | | | 2,417 | | | | 20,424 | |
| Super Micro Computer, Inc. * | | | 1,027 | | | | 22,697 | |
| | | | | | | | |
| | | | | | | 118,563 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods - 0.2% | |
| Columbia Sportswear Co. | | | 1,013 | | | | 62,380 | |
| Steven Madden Ltd. * | | | 439 | | | | 19,009 | |
| | | | | | | | |
| | | | | | | 81,389 | |
| | | | | | | | |
| Thrifts & Mortgage Finance - 3.1% | |
| Beneficial Bancorp, Inc. | | | 1,856 | | | | 30,810 | |
| BofI Holding, Inc. *(a) | | | 3,235 | | | | 92,101 | |
| Capitol Federal Financial, Inc. | | | 4,102 | | | | 60,300 | |
| Essent Group Ltd. * | | | 4,748 | | | | 192,294 | |
| Federal Agricultural Mortgage Corp., Class C | | | 522 | | | | 37,970 | |
| First Defiance Financial Corp. | | | 725 | | | | 38,055 | |
| HomeStreet, Inc. * | | | 1,444 | | | | 38,988 | |
| Kearny Financial Corp. | | | 3,143 | | | | 48,245 | |
| LendingTree, Inc. *(a) | | | 898 | | | | 219,516 | |
| Meridian Bancorp, Inc. | | | 1,087 | | | | 20,273 | |
| Meta Financial Group, Inc. | | | 1,311 | | | | 102,782 | |
| MGIC Investment Corp. * | | | 12,963 | | | | 162,426 | |
| Nationstar Mortgage Holdings, Inc. * | | | 2,032 | | | | 37,734 | |
| Northwest Bancshares, Inc. | | | 7,532 | | | | 130,078 | |
| Oritani Financial Corp. | | | 2,501 | | | | 42,017 | |
| PennyMac Financial Services, Inc., Class A * | | | 835 | | | | 14,863 | |
| Radian Group, Inc. | | | 3,971 | | | | 74,218 | |
| Walker & Dunlop, Inc. * | | | 1,810 | | | | 94,717 | |
| Washington Federal, Inc. | | | 2,942 | | | | 98,998 | |
| Waterstone Financial, Inc. | | | 2,000 | | | | 39,000 | |
| | | | | | | | |
| | | | | | | 1,575,385 | |
| | | | | | | | |
| Tobacco - 0.1% | | | | | | |
| Universal Corp. | | | 323 | | | | 18,508 | |
| Vector Group Ltd. | | | 1,580 | | | | 32,348 | |
| | | | | | | | |
| | | | | | | 50,856 | |
| | | | | | | | |
| Trading Companies & Distributors - 0.9% | |
| Aircastle Ltd. | | | 1,474 | | | | 32,855 | |
| Beacon Roofing Supply, Inc. * | | | 1,573 | | | | 80,616 | |
| CAI International, Inc. * | | | 2,868 | | | | 86,958 | |
| DXP Enterprises, Inc. * | | | 1,558 | | | | 49,061 | |
| H&E Equipment Services, Inc. | | | 878 | | | | 25,638 | |
| MRC Global, Inc. * | | | 3,293 | | | | 57,594 | |
| Rush Enterprises, Inc., Class A * | | | 952 | | | | 44,068 | |
| SiteOne Landscape Supply, Inc. * | | | 656 | | | | 38,114 | |
| Triton International Ltd. * | | | 956 | | | | 31,816 | |
| | | | | | | | |
| | | | | | | 446,720 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
136
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Water Utilities - 0.3% | | | | | | |
| American States Water Co. | | | 486 | | | $ | 23,935 | |
| Cadiz, Inc. * | | | 2,241 | | | | 28,461 | |
| Connecticut Water Service, Inc. | | | 635 | | | | 37,656 | |
| Middlesex Water Co. | | | 1,085 | | | | 42,608 | |
| | | | | | | | |
| | | | | | | 132,660 | |
| | | | | | | | |
| Wireless Telecommunication Services - 0.2% | |
| Boingo Wireless, Inc. * | | | 2,368 | | | | 50,604 | |
| Shenandoah Telecommunications Co. | | | 2,014 | | | | 74,921 | |
| | | | | | | | |
| | | | | | | 125,525 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $37,988,290) | | | | | | | 48,705,067 | |
| | | | | | | | |
|
| EXCHANGE TRADED FUND - 4.0% | |
iShares Russell 2000 Fund (Cost $1,813,795) | | | 13,868 | | | | 2,054,960 | |
| | | | | | | | |
|
| SHORT-TERM INVESTMENT - 3.1% | |
|
| Investment Company - 3.1% | |
| Limited Purpose Cash Investment Fund, 0.97% (2)(c) | | | | | | | | |
(Cost $1,606,500) | | | 1,606,661 | | | | 1,606,500 | |
| | | | | | | | |
|
| SECURITIES LENDING COLLATERAL - 6.0% | |
|
| Investment Companies - 6.0% | |
| Investments in a Pooled Account through Securities Lending Program with Citibank NA | | | | | | | | |
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares
0.91% (2)(c)(d) | | | 479,581 | | | | 479,581 | |
| UBS Asset Management Americas, Inc. | | | | | | | | |
| 1.10% (2)(c)(d) | | | 2,229,249 | | | | 2,229,249 | |
| 1.16% (2)(c)(d) | | | 371,542 | | | | 371,542 | |
| | | | | | | | |
TOTAL SECURITIES LENDING COLLATERAL
(Cost $3,080,372) | | | | | | | 3,080,372 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES
AT VALUE - 108.1%
(Cost $44,488,957) | | | | | | | 55,446,899 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (8.1)% | | | (4,169,402) | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 51,277,497 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 5,346,963 | | | | 10.4 | % |
| Consumer Staples | | | 1,382,254 | | | | 2.7 | |
| Energy | | | 778,106 | | | | 1.5 | |
| Exchange Traded Fund | | | 2,054,960 | | | | 4.0 | |
| Financials | | | 9,175,909 | | | | 17.9 | |
| Health Care | | | 11,269,560 | | | | 22.0 | |
| Industrials | | | 5,906,198 | | | | 11.5 | |
| Information Technology | | | 10,345,316 | | | | 20.2 | |
| Materials | | | 1,978,410 | | | | 3.9 | |
| Real Estate | | | 1,474,709 | | | | 2.9 | |
| Telecommunication Services | | | 315,400 | | | | 0.6 | |
| Utilities | | | 732,242 | | | | 1.4 | |
| Short-Term Investment | | | 1,606,500 | | | | 3.1 | |
| Securities Lending Collateral | | | 3,080,372 | | | | 6.0 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 55,446,899 | | | | 108.1 | |
| Liabilities in Excess of Other Assets | | | (4,169,402 | ) | | | (8.1 | ) |
| | | | | | | | |
Net Assets | | $ | 51,277,497 | | | | 100.0 | % |
| | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| * | Non-income producing security. |
| (a) | The security or a portion of this security is on loan at September 30, 2017. The total value of securities on loan at September 30, 2017 was $2,987,539. |
| (b) | Represents less than 0.05% of net assets. |
| (c) | Represents 7-day effective yield as of September 30, 2017. |
| (d) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 4). |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
137
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| COMMON STOCKS - 96.3% | |
|
| Australia - 3.7% | |
| AGL Energy Ltd. | | | 13,172 | | | $ | 241,873 | |
| Amcor Ltd. | | | 28,362 | | | | 339,220 | |
| Aristocrat Leisure Ltd. | | | 10,915 | | | | 180,289 | |
| BHP Billiton plc | | | 55,288 | | | | 975,612 | |
| Commonwealth Bank of Australia | | | 525 | | | | 31,087 | |
| CSL Ltd. | | | 2,954 | | | | 310,977 | |
| Dexus, REIT | | | 12,369 | | | | 92,302 | |
| Fortescue Metals Group Ltd. | | | 43,194 | | | | 174,925 | |
| Insurance Australia Group Ltd. | | | 23,996 | | | | 120,181 | |
| Medibank Pvt Ltd. | | | 36,704 | | | | 84,213 | |
| Qantas Airways Ltd. | | | 35,049 | | | | 160,536 | |
| Ramsay Health Care Ltd. | | | 4,824 | | | | 236,035 | |
| South32 Ltd. | | | 136,113 | | | | 352,125 | |
| Treasury Wine Estates Ltd. | | | 54,769 | | | | 589,192 | |
| | | | | | | | |
| | | | | | | 3,888,567 | |
| | | | | | | | |
| Austria - 0.7% | | | | | | |
| ANDRITZ AG | | | 2,003 | | | | 115,761 | |
| OMV AG | | | 6,031 | | | | 351,609 | |
| Raiffeisen Bank International AG * | | | 8,448 | | | | 283,155 | |
| | | | | | | | |
| | | | | | | 750,525 | |
| | | | | | | | |
| Belgium - 1.1% | | | | | | |
| Ageas | | | 9,048 | | | | 425,561 | |
| KBC Group NV | | | 6,207 | | | | 526,601 | |
| Umicore SA | | | 2,521 | | | | 208,703 | |
| | | | | | | | |
| | | | | | | 1,160,865 | |
| | | | | | | | |
| Canada - 3.0% | | | | | | |
| Alimentation Couche-Tard, Inc., Class B (1) | | | 2,207 | | | | 100,644 | |
| Bank of Montreal (1) | | | 407 | | | | 30,802 | |
| Bank of Nova Scotia (The) (1) | | | 2,986 | | | | 191,927 | |
| Bombardier, Inc., Class B (1)* | | | 35,987 | | | | 65,182 | |
| Canadian National Railway Co. (1) | | | 1,203 | | | | 99,672 | |
| Canadian Tire Corp. Ltd., Class A (1) | | | 467 | | | | 58,140 | |
| CCL Industries, Inc., Class B (1) | | | 5,712 | | | | 276,410 | |
| CGI Group, Inc., Class A (1)* | | | 1,089 | | | | 56,468 | |
| Constellation Software, Inc. (1) | | | 299 | | | | 163,127 | |
| Dollarama, Inc. (1) | | | 2,778 | | | | 303,971 | |
| Gildan Activewear, Inc. (1) | | | 2,257 | | | | 70,527 | |
| International Petroleum Corp. * | | | 3,493 | | | | 15,180 | |
| Jean Coutu Group PJC, Inc. (The), Class A (1) | | | 2,305 | | | | 44,890 | |
| Manulife Financial Corp. (1) | | | 15,362 | | | | 311,611 | |
| Methanex Corp. (1) | | | 780 | | | | 39,195 | |
| Onex Corp. (1) | | | 1,464 | | | | 112,978 | |
| Open Text Corp. (1) | | | 1,890 | | | | 60,983 | |
| Restaurant Brands International, Inc. (1) | | | 5,343 | | | | 341,370 | |
| Royal Bank of Canada (1) | | | 2,512 | | | | 194,357 | |
| Shopify, Inc., Class A (1)* | | | 4,251 | | | | 494,414 | |
| Sun Life Financial, Inc. (1) | | | 3,004 | | | | 119,630 | |
| Thomson Reuters Corp. (1) | | | 671 | | | | 30,787 | |
| Toronto-Dominion Bank (The) (1) | | | 563 | | | | 31,698 | |
| | | | | | | | |
| | | | | | | 3,213,963 | |
| | | | | | | | |
| Chile - 0.0% (a) | | | | | | |
| Antofagasta plc | | | 3,557 | | | | 45,309 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| China - 0.4% | | | | | | |
| BOC Hong Kong Holdings Ltd. | | | 89,500 | | | $ | 435,954 | |
| | | | | | | | |
| | |
| Denmark - 1.6% | | | | | | |
| AP Moller - Maersk A/S, Class B | | | 95 | | | | 180,886 | |
| Chr Hansen Holding A/S | | | 1,123 | | | | 96,401 | |
| Danske Bank A/S | | | 7,538 | | | | 302,075 | |
| Genmab A/S * | | | 1,353 | | | | 299,209 | |
| H Lundbeck A/S | | | 2,591 | | | | 149,791 | |
| ISS A/S | | | 1,327 | | | | 53,500 | |
| Pandora A/S | | | 1,225 | | | | 121,118 | |
| Tryg A/S | | | 11,965 | | | | 276,647 | |
| Vestas Wind Systems A/S | | | 2,208 | | | | 198,468 | |
| | | | | | | | |
| | | | | | | 1,678,095 | |
| | | | | | | | |
| Finland - 1.0% | | | | | | |
| Kone OYJ, Class B | | | 2,741 | | | | 145,298 | |
| Metso OYJ | | | 1,670 | | | | 61,290 | |
| Neste OYJ | | | 1,101 | | | | 48,119 | |
| Nokian Renkaat OYJ | | | 1,449 | | | | 64,477 | |
| Orion OYJ, Class B | | | 3,268 | | | | 151,740 | |
| Sampo OYJ, Class A | | | 3,563 | | | | 188,570 | |
| Stora Enso OYJ, Class R | | | 7,430 | | | | 105,099 | |
| UPM-Kymmene OYJ | | | 6,976 | | | | 189,267 | |
| Wartsila OYJ Abp | | | 1,183 | | | | 83,779 | |
| | | | | | | | |
| | | | | | | 1,037,639 | |
| | | | | | | | |
| France - 6.2% | | | | | | |
| Accor SA | | | 917 | | | | 45,606 | |
| Airbus SE | | | 10,257 | | | | 976,417 | |
| AXA SA | | | 6,712 | | | | 202,918 | |
| BNP Paribas SA | | | 10,463 | | | | 844,111 | |
| Capgemini SE | | | 1,863 | | | | 218,390 | |
| Credit Agricole SA | | | 26,078 | | | | 474,727 | |
| Dassault Systemes SE | | | 2,145 | | | | 217,016 | |
| Essilor International SA | | | 726 | | | | 89,979 | |
| Hermes International | | | 304 | | | | 153,377 | |
| Iliad SA | | | 513 | | | | 136,357 | |
| L’Oreal SA | | | 548 | | | | 116,200 | |
| LVMH Moet Hennessy Louis Vuitton SE | | | 1,666 | | | | 460,544 | |
| Orange SA | | | 18,570 | | | | 304,064 | |
| Peugeot SA | | | 2,366 | | | | 56,323 | |
| Renault SA | | | 555 | | | | 54,533 | |
| Safran SA | | | 2,841 | | | | 290,319 | |
| Sanofi | | | 811 | | | | 80,732 | |
| Societe Generale SA | | | 14,482 | | | | 848,665 | |
| TOTAL SA | | | 10,152 | | | | 545,106 | |
| Valeo SA | | | 5,598 | | | | 415,376 | |
| | | | | | | | |
| | | | | | | 6,530,760 | |
| | | | | | | | |
| Germany - 11.0% | | | | | | |
| adidas AG | | | 4,540 | | | | 1,028,160 | |
| Allianz SE (Registered) | | | 8,607 | | | | 1,933,019 | |
| BASF SE | | | 2,962 | | | | 315,560 | |
| Bayer AG (Registered) | | | 7,312 | | | | 998,844 | |
| Brenntag AG | | | 1,040 | | | | 57,976 | |
| Commerzbank AG * | | | 38,608 | | | | 526,516 | |
| Continental AG | | | 724 | | | | 183,874 | |
| Covestro AG (b) | | | 3,603 | | | | 310,041 | |
| Deutsche Bank AG (Registered) | | | 10,242 | | | | 177,297 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
138
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Germany - 11.0% (continued) | | | | | | |
| Deutsche Boerse AG | | | 411 | | | $ | 44,622 | |
| Deutsche Post AG (Registered) | | | 5,125 | | | | 228,443 | |
| Deutsche Wohnen SE | | | 1,399 | | | | 59,455 | |
| E.ON SE | | | 2,781 | | | | 31,527 | |
| Fraport AG Frankfurt Airport Services Worldwide | | | 312 | | | | 29,655 | |
| Fresenius Medical Care AG & Co. KGaA | | | 459 | | | | 44,875 | |
| Hannover Rueck SE | | | 3,192 | | | | 384,980 | |
| HeidelbergCement AG | | | 1,072 | | | | 110,319 | |
| HOCHTIEF AG | | | 255 | | | | 43,070 | |
| HUGO BOSS AG | | | 369 | | | | 32,560 | |
| Infineon Technologies AG | | | 42,845 | | | | 1,080,225 | |
| KION Group AG | | | 525 | | | | 50,292 | |
| LANXESS AG | | | 1,584 | | | | 125,090 | |
| MAN SE | | | 419 | | | | 47,299 | |
| Merck KGaA | | | 2,500 | | | | 278,433 | |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | | | 264 | | | | 56,503 | |
| OSRAM Licht AG | | | 1,230 | | | | 98,239 | |
| RWE AG * | | | 5,913 | | | | 134,520 | |
| SAP SE | | | 12,021 | | | | 1,318,046 | |
| Siemens AG (Registered) | | | 10,247 | | | | 1,445,948 | |
| Symrise AG | | | 675 | | | | 51,317 | |
| thyssenkrupp AG | | | 8,104 | | | | 240,688 | |
| Vonovia SE | | | 1,258 | | | | 53,575 | |
| Zalando SE *(b) | | | 3,246 | | | | 162,925 | |
| | | | | | | | |
| | | | | | | 11,683,893 | |
| | | | | | | | |
| Hong Kong - 2.7% | | | | | | |
| AIA Group Ltd. | | | 69,200 | | | | 512,309 | |
| ASM Pacific Technology Ltd. | | | 5,100 | | | | 73,668 | |
| CK Asset Holdings Ltd. | | | 7,000 | | | | 58,193 | |
| CK Hutchison Holdings Ltd. | | | 7,000 | | | | 89,658 | |
| CLP Holdings Ltd. | | | 26,000 | | | | 266,932 | |
| Galaxy Entertainment Group Ltd. | | | 41,000 | | | | 289,848 | |
| Henderson Land Development Co. Ltd. | | | 19,965 | | | | 132,795 | |
| Hong Kong Exchanges & Clearing Ltd. | | | 3,200 | | | | 86,426 | |
| I-CABLE Communications Ltd. * | | | 18,585 | | | | 611 | |
| Link REIT | | | 26,000 | | | | 211,431 | |
| MTR Corp. Ltd. | | | 19,500 | | | | 114,177 | |
| PCCW Ltd. | | | 75,000 | | | | 40,709 | |
| Power Assets Holdings Ltd. | | | 4,000 | | | | 34,720 | |
| Sands China Ltd. | | | 45,200 | | | | 236,401 | |
| SJM Holdings Ltd. | | | 47,000 | | | | 43,177 | |
| Sun Hung Kai Properties Ltd. | | | 9,000 | | | | 146,612 | |
| Techtronic Industries Co. Ltd. | | | 14,000 | | | | 74,943 | |
| WH Group Ltd. (b) | | | 251,500 | | | | 267,848 | |
| Wharf Holdings Ltd. (The) | | | 16,000 | | | | 143,139 | |
| Wheelock & Co. Ltd. | | | 9,000 | | | | 63,530 | |
| | | | | | | | |
| | | | | | | 2,887,127 | |
| | | | | | | | |
| Italy - 2.5% | | | | | | |
| Assicurazioni Generali SpA | | | 6,913 | | | | 128,936 | |
| Atlantia SpA | | | 3,173 | | | | 100,259 | |
| Enel SpA | | | 9,323 | | | | 56,165 | |
| Eni SpA | | | 4,991 | | | | 82,659 | |
| Ferrari NV | | | 3,660 | | | | 404,973 | |
| GEDI Gruppo Editoriale SpA * | | | 1,552 | | | | 1,376 | |
| Intesa Sanpaolo SpA | | | 219,650 | | | | 777,629 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Italy - 2.5% (continued) | | | | | | |
| Leonardo SpA | | | 9,430 | | | $ | 176,814 | |
| Mediobanca SpA | | | 16,297 | | | | 175,135 | |
| Prysmian SpA | | | 2,292 | | | | 77,441 | |
| Recordati SpA | | | 1,120 | | | | 51,684 | |
| UniCredit SpA * | | | 30,019 | | | | 640,596 | |
| | | | | | | | |
| | | | | | | 2,673,667 | |
| | | | | | | | |
| Japan - 26.1% | | | | | | |
| Acom Co. Ltd. * | | | 9,400 | | | | 36,471 | |
| Aisin Seiki Co. Ltd. | | | 1,800 | | | | 94,901 | |
| Alps Electric Co. Ltd. | | | 5,800 | | | | 153,287 | |
| ANA Holdings, Inc. | | | 3,200 | | | | 121,213 | |
| Asahi Glass Co. Ltd. | | | 3,300 | | | | 122,572 | |
| Asahi Group Holdings Ltd. | | | 1,400 | | | | 56,614 | |
| Asahi Kasei Corp. | | | 21,000 | | | | 258,772 | |
| Bank of Kyoto Ltd. (The) | | | 1,000 | | | | 50,900 | |
| Benesse Holdings, Inc. | | | 2,100 | | | | 75,766 | |
| Bridgestone Corp. | | | 6,900 | | | | 313,286 | |
| Brother Industries Ltd. | | | 9,000 | | | | 209,842 | |
| Canon, Inc. | | | 5,700 | | | | 195,060 | |
| Chiba Bank Ltd. (The) | | | 15,000 | | | | 107,423 | |
| Coca-Cola Bottlers Japan, Inc. | | | 900 | | | | 29,151 | |
| Daicel Corp. | | | 3,400 | | | | 40,996 | |
| Dai-ichi Life Holdings, Inc. | | | 23,800 | | | | 426,915 | |
| Daiichi Sankyo Co. Ltd. | | | 2,400 | | | | 54,160 | |
| Daikin Industries Ltd. | | | 3,100 | | | | 313,945 | |
| Daito Trust Construction Co. Ltd. | | | 800 | | | | 145,746 | |
| Daiwa House Industry Co. Ltd. | | | 5,900 | | | | 203,801 | |
| DeNA Co. Ltd. | | | 1,400 | | | | 31,402 | |
| Disco Corp. | | | 1,000 | | | | 203,805 | |
| FamilyMart UNY Holdings Co. Ltd. | | | 800 | | | | 42,146 | |
| FANUC Corp. | | | 500 | | | | 101,377 | |
| Fuji Electric Co. Ltd. | | | 6,000 | | | | 33,292 | |
| FUJIFILM Holdings Corp. | | | 2,000 | | | | 77,703 | |
| Fujitsu Ltd. | | | 43,000 | | | | 320,029 | |
| Fukuoka Financial Group, Inc. | | | 12,000 | | | | 55,508 | |
| Hitachi Chemical Co. Ltd. | | | 3,300 | | | | 90,554 | |
| Hitachi Construction Machinery Co. Ltd. | | | 5,300 | | | | 157,069 | |
| Hitachi Ltd. | | | 70,000 | | | | 493,560 | |
| Hoshizaki Corp. | | | 1,200 | | | | 105,412 | |
| Hoya Corp. | | | 6,900 | | | | 373,144 | |
| Idemitsu Kosan Co. Ltd. | | | 10,100 | | | | 285,445 | |
| IHI Corp. | | | 1,900 | | | | 66,231 | |
| Iida Group Holdings Co. Ltd. | | | 2,400 | | | | 42,814 | |
| ITOCHU Corp. | | | 13,100 | | | | 214,641 | |
| Japan Airport Terminal Co. Ltd. | | | 900 | | | | 32,067 | |
| JFE Holdings, Inc. | | | 5,900 | | | | 115,403 | |
| JXTG Holdings, Inc. | | | 13,500 | | | | 69,609 | |
| Kajima Corp. | | | 15,000 | | | | 149,091 | |
| Kaneka Corp. | | | 4,000 | | | | 31,080 | |
| Kansai Electric Power Co., Inc. (The) | | | 9,900 | | | | 126,715 | |
| Keihan Holdings Co. Ltd. | | | 2,600 | | | | 76,151 | |
| Keisei Electric Railway Co. Ltd. | | | 1,900 | | | | 52,568 | |
| Keyence Corp. | | | 1,700 | | | | 904,175 | |
| Kikkoman Corp. | | | 2,300 | | | | 70,670 | |
| Kirin Holdings Co. Ltd. | | | 6,400 | | | | 150,361 | |
| Kobe Steel Ltd. | | | 4,000 | | | | 45,809 | |
| Koito Manufacturing Co. Ltd. | | | 5,000 | | | | 313,976 | |
| Komatsu Ltd. | | | 13,100 | | | | 370,953 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
139
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - 26.1% (continued) | | | | | | |
| Konami Holdings Corp. | | | 3,000 | | | $ | 144,430 | |
| Kose Corp. | | | 600 | | | | 68,773 | |
| Kuraray Co. Ltd. | | | 2,400 | | | | 44,903 | |
| Kyocera Corp. | | | 900 | | | | 55,859 | |
| Lion Corp. | | | 4,900 | | | | 89,532 | |
| M3, Inc. | | | 5,800 | | | | 165,366 | |
| Mabuchi Motor Co. Ltd. | | | 900 | | | | 45,089 | |
| Marubeni Corp. | | | 8,300 | | | | 56,740 | |
| Marui Group Co. Ltd. | | | 3,700 | | | | 52,966 | |
| McDonald’s Holdings Co. Japan Ltd. | | | 700 | | | | 30,969 | |
| Mebuki Financial Group, Inc. | | | 10,100 | | | | 39,079 | |
| MEIJI Holdings Co. Ltd. | | | 1,100 | | | | 87,107 | |
| MINEBEA MITSUMI, Inc. | | | 18,800 | | | | 294,450 | |
| MISUMI Group, Inc. | | | 4,400 | | | | 115,971 | |
| Mitsubishi Chemical Holdings Corp. | | | 29,200 | | | | 278,392 | |
| Mitsubishi Corp. | | | 6,800 | | | | 158,208 | |
| Mitsubishi Electric Corp. | | | 16,200 | | | | 253,422 | |
| Mitsubishi Gas Chemical Co., Inc. | | | 10,600 | | | | 248,713 | |
| Mitsubishi Motors Corp. | | | 20,000 | | | | 158,347 | |
| Mitsubishi Tanabe Pharma Corp. | | | 4,300 | | | | 98,715 | |
| Mitsubishi UFJ Financial Group, Inc. | | | 197,300 | | | | 1,282,812 | |
| Mitsui & Co. Ltd. | | | 2,800 | | | | 41,415 | |
| Mitsui Chemicals, Inc. | | | 2,000 | | | | 60,835 | |
| Mitsui OSK Lines Ltd. | | | 1,300 | | | | 39,447 | |
| Mixi, Inc. | | | 2,100 | | | | 101,422 | |
| MS&AD Insurance Group Holdings, Inc. | | | 1,900 | | | | 61,230 | |
| Murata Manufacturing Co. Ltd. | | | 700 | | | | 103,053 | |
| Nexon Co. Ltd. * | | | 7,900 | | | | 206,524 | |
| NH Foods Ltd. | | | 1,000 | | | | 27,484 | |
| Nidec Corp. | | | 3,700 | | | | 454,844 | |
| Nintendo Co. Ltd. | | | 2,100 | | | | 774,340 | |
| Nippon Electric Glass Co. Ltd. | | | 2,500 | | | | 96,910 | |
| Nippon Express Co. Ltd. | | | 700 | | | | 45,634 | |
| Nippon Paint Holdings Co. Ltd. | | | 4,000 | | | | 136,077 | |
| Nisshin Seifun Group, Inc. | | | 3,800 | | | | 63,612 | |
| Nitori Holdings Co. Ltd. | | | 2,700 | | | | 386,132 | |
| Nitto Denko Corp. | | | 2,200 | | | | 183,505 | |
| Nomura Holdings, Inc. | | | 77,500 | | | | 434,852 | |
| Nomura Research Institute Ltd. | | | 1,650 | | | | 64,437 | |
| NSK Ltd. | | | 17,000 | | | | 229,518 | |
| NTT Data Corp. | | | 12,500 | | | | 133,763 | |
| Obayashi Corp. | | | 15,000 | | | | 179,917 | |
| Obic Co. Ltd. | | | 1,600 | | | | 100,735 | |
| Olympus Corp. | | | 900 | | | | 30,498 | |
| Omron Corp. | | | 3,000 | | | | 152,977 | |
| Oriental Land Co. Ltd. | | | 800 | | | | 60,992 | |
| Otsuka Corp. | | | 1,600 | | | | 102,617 | |
| Otsuka Holdings Co. Ltd. | | | 5,500 | | | | 218,689 | |
| Panasonic Corp. | | | 24,200 | | | | 351,190 | |
| Park24 Co. Ltd. | | | 2,900 | | | | 70,623 | |
| Pola Orbis Holdings, Inc. | | | 1,400 | | | | 42,333 | |
| Recruit Holdings Co. Ltd. | | | 23,000 | | | | 498,030 | |
| Renesas Electronics Corp. * | | | 10,700 | | | | 116,614 | |
| Resona Holdings, Inc. | | | 40,000 | | | | 205,656 | |
| Rinnai Corp. | | | 500 | | | | 42,830 | |
| Rohm Co. Ltd. | | | 3,300 | | | | 283,169 | |
| Ryohin Keikaku Co. Ltd. | | | 500 | | | | 147,391 | |
| Secom Co. Ltd. | | | 700 | | | | 50,977 | |
| Seiko Epson Corp. | | | 5,800 | | | | 140,452 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - 26.1% (continued) | | | | | | |
| Sharp Corp. *(c) | | | 8,700 | | | $ | 263,120 | |
| Shimadzu Corp. | | | 5,000 | | | | 98,618 | |
| Shimamura Co. Ltd. | | | 300 | | | | 35,986 | |
| Shimano, Inc. | | | 1,100 | | | | 146,541 | |
| Shimizu Corp. | | | 12,000 | | | | 133,073 | |
| Shin-Etsu Chemical Co. Ltd. | | | 6,300 | | | | 563,850 | |
| Shionogi & Co. Ltd. | | | 4,300 | | | | 235,068 | |
| Shiseido Co. Ltd. | | | 7,100 | | | | 284,157 | |
| SMC Corp. | | | 100 | | | | 35,336 | |
| SoftBank Group Corp. | | | 12,600 | | | | 1,021,813 | |
| Sohgo Security Services Co. Ltd. | | | 2,000 | | | | 91,806 | |
| Sompo Holdings, Inc. | | | 2,300 | | | | 89,630 | |
| Sony Corp. | | | 18,700 | | | | 697,672 | |
| Sony Financial Holdings, Inc. | | | 2,900 | | | | 47,588 | |
| Stanley Electric Co. Ltd. | | | 900 | | | | 30,869 | |
| Start Today Co. Ltd. | | | 8,600 | | | | 272,535 | |
| Sumitomo Chemical Co. Ltd. | | | 5,000 | | | | 31,280 | |
| Sumitomo Corp. | | | 5,300 | | | | 76,306 | |
| Sumitomo Heavy Industries Ltd. | | | 4,800 | | | | 192,668 | |
| Sumitomo Mitsui Financial Group, Inc. | | | 7,800 | | | | 299,826 | |
| Suruga Bank Ltd. | | | 3,000 | | | | 64,739 | |
| Suzuki Motor Corp. | | | 9,300 | | | | 488,111 | |
| Sysmex Corp. | | | 2,500 | | | | 159,728 | |
| T&D Holdings, Inc. | | | 20,200 | | | | 293,049 | |
| Taiheiyo Cement Corp. | | | 1,200 | | | | 46,361 | |
| Taisei Corp. | | | 2,600 | | | | 136,349 | |
| Takeda Pharmaceutical Co. Ltd. | | | 8,600 | | | | 475,545 | |
| Teijin Ltd. | | | 1,800 | | | | 35,512 | |
| Terumo Corp. | | | 5,100 | | | | 200,600 | |
| THK Co. Ltd. | | | 3,400 | | | | 115,969 | |
| Toho Gas Co. Ltd. | | | 2,400 | | | | 70,288 | |
| Tokio Marine Holdings, Inc. | | | 1,900 | | | | 74,361 | |
| Tokyo Electron Ltd. | | | 3,500 | | | | 538,822 | |
| Toray Industries, Inc. | | | 5,000 | | | | 48,517 | |
| Tosoh Corp. | | | 13,000 | | | | 293,438 | |
| TOTO Ltd. | | | 3,500 | | | | 147,506 | |
| Toyota Tsusho Corp. | | | 3,100 | | | | 101,883 | |
| Trend Micro, Inc. | | | 2,500 | | | | 123,165 | |
| USS Co. Ltd. | | | 4,900 | | | | 98,897 | |
| West Japan Railway Co. | | | 700 | | | | 48,666 | |
| Yakult Honsha Co. Ltd. | | | 1,400 | | | | 100,748 | |
| Yamaha Corp. | | | 6,000 | | | | 221,529 | |
| Yamaha Motor Co. Ltd. | | | 6,900 | | | | 206,552 | |
| Yamato Holdings Co. Ltd. | | | 2,100 | | | | 42,420 | |
| Yaskawa Electric Corp. | | | 10,200 | | | | 323,745 | |
| Yokogawa Electric Corp. | | | 2,900 | | | | 49,418 | |
| | | | | | | | |
| | | | | | | 27,577,808 | |
| | | | | | | | |
| Luxembourg - 0.6% | | | | | | |
| ArcelorMittal * | | | 24,066 | | | | 620,814 | |
| | | | | | | | |
| | |
| Macau - 0.1% | | | | | | |
| MGM China Holdings Ltd. (c) | | | 16,000 | | | | 38,399 | |
| Wynn Macau Ltd. | | | 25,600 | | | | 69,235 | |
| | | | | | | | |
| | | | | | | 107,634 | |
| | | | | | | | |
| Mexico - 0.1% | | | | | | |
| Fresnillo plc | | | 7,577 | | | | 142,768 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
140
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Netherlands - 5.3% | | | | | | |
| ABN AMRO Group NV, CVA (b) | | | 12,366 | | | $ | 370,290 | |
| Aegon NV | | | 5,392 | | | | 31,430 | |
| Altice NV, Class A * | | | 13,367 | | | | 267,820 | |
| ASML Holding NV | | | 6,374 | | | | 1,089,174 | |
| EXOR NV | | | 2,559 | | | | 162,407 | |
| ING Groep NV | | | 99,931 | | | | 1,841,964 | |
| Koninklijke DSM NV | | | 1,536 | | | | 125,746 | |
| Koninklijke Philips NV | | | 8,133 | | | | 335,567 | |
| NN Group NV | | | 3,960 | | | | 165,830 | |
| Randstad Holding NV | | | 1,696 | | | | 104,819 | |
| Royal Dutch Shell plc, Class B | | | 26,908 | | | | 828,393 | |
| Wolters Kluwer NV | | | 5,281 | | | | 244,062 | |
| | | | | | | | |
| | | | | | | 5,567,502 | |
| | | | | | | | |
| Norway - 0.6% | | | | | | |
| DNB ASA | | | 17,192 | | | | 347,108 | |
| Golar LNG Ltd. (3)(d) | | | 70 | | | | 1,494 | |
| Norsk Hydro ASA | | | 41,750 | | | | 304,641 | |
| | | | | | | | |
| | | | | | | 653,243 | |
| | | | | | | | |
| Singapore - 0.4% | | | | | | |
| DBS Group Holdings Ltd. | | | 10,700 | | | | 164,717 | |
| Genting Singapore plc | | | 58,000 | | | | 50,154 | |
| Global Logistic Properties Ltd. | | | 12,600 | | | | 30,700 | |
| Singapore Telecommunications Ltd. | | | 54,500 | | | | 148,154 | |
| United Overseas Bank Ltd. | | | 2,800 | | | | 48,624 | |
| | | | | | | | |
| | | | | | | 442,349 | |
| | | | | | | | |
| Spain - 5.6% | | | | | | |
| Aena SME SA (b) | | | 716 | | | | 129,401 | |
| Amadeus IT Group SA | | | 6,461 | | | | 420,215 | |
| Banco Bilbao Vizcaya Argentaria SA | | | 110,337 | | | | 986,457 | |
| Banco de Sabadell SA | | | 119,703 | | | | 250,244 | |
| Banco Santander SA | | | 351,576 | | | | 2,459,221 | |
| Bankia SA | | | 35,473 | | | | 171,256 | |
| CaixaBank SA | | | 169,695 | | | | 851,785 | |
| Ferrovial SA | | | 8,844 | | | | 194,867 | |
| Gas Natural SDG SA | | | 1,448 | | | | 32,077 | |
| Grifols SA | | | 4,872 | | | | 142,180 | |
| Industria de Diseno Textil SA | | | 6,205 | | | | 233,930 | |
| Mapfre SA | | | 24,196 | | | | 78,845 | |
| | | | | | | | |
| | | | | | | 5,950,478 | |
| | | | | | | | |
| Sweden - 4.5% | | | | | | |
| Assa Abloy AB, Class B | | | 13,086 | | | | 299,609 | |
| Atlas Copco AB, Class A | | | 15,639 | | | | 663,443 | |
| Boliden AB | | | 13,259 | | | | 449,737 | |
| Electrolux AB, Series B | | | 2,915 | | | | 99,214 | |
| Hexagon AB, Class B | | | 1,945 | | | | 96,488 | |
| Industrivarden AB, Class C | | | 1,896 | | | | 48,097 | |
| Investor AB, Class B | | | 8,144 | | | | 402,918 | |
| Kinnevik AB, Class B | | | 2,239 | | | | 73,145 | |
| Lundin Petroleum AB * | | | 2,022 | | | | 44,308 | |
| Nordea Bank AB | | | 45,509 | | | | 617,886 | |
| Sandvik AB | | | 35,619 | | | | 615,165 | |
| Skandinaviska Enskilda Banken AB, Class A | | | 8,740 | | | | 115,309 | |
| Skanska AB, Class B | | | 3,766 | | | | 87,330 | |
| Svenska Handelsbanken AB, Class A | | | 13,049 | | | | 197,148 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Sweden - 4.5% (continued) | | | | | | |
| Swedbank AB, Class A | | | 11,274 | | | $ | 312,194 | |
| Volvo AB, Class B | | | 32,646 | | | | 630,330 | |
| | | | | | | | |
| | | | | | | 4,752,321 | |
| | | | | | | | |
| Switzerland - 6.1% | | | | | | |
| ABB Ltd. (Registered) | | | 27,649 | | | | 683,704 | |
| Baloise Holding AG (Registered) | | | 623 | | | | 98,654 | |
| Cie Financiere Richemont SA (Registered) | | | 6,798 | | | | 622,262 | |
| Coca-Cola HBC AG * | | | 2,201 | | | | 74,523 | |
| Credit Suisse Group AG (Registered) * | | | 7,664 | | | | 121,433 | |
| Dufry AG (Registered) * | | | 261 | | | | 41,487 | |
| EMS-Chemie Holding AG (Registered) | | | 460 | | | | 306,130 | |
| Geberit AG (Registered) | | | 528 | | | | 249,964 | |
| Givaudan SA (Registered) | | | 118 | | | | 256,885 | |
| Glencore plc * | | | 177,720 | | | | 815,737 | |
| Julius Baer Group Ltd. * | | | 1,875 | | | | 111,263 | |
| LafargeHolcim Ltd. (Registered) * | | | 5,357 | | | | 313,625 | |
| Lonza Group AG (Registered) * | | | 1,753 | | | | 460,626 | |
| Partners Group Holding AG | | | 1,400 | | | | 950,457 | |
| Schindler Holding AG | | | 238 | | | | 52,597 | |
| Sika AG | | | 37 | | | | 275,490 | |
| STMicroelectronics NV | | | 13,589 | | | | 263,618 | |
| Straumann Holding AG (Registered) | | | 146 | | | | 93,895 | |
| Swatch Group AG (The) | | | 257 | | | | 107,096 | |
| Swiss Life Holding AG (Registered) * | | | 184 | | | | 64,868 | |
| Swiss Re AG | | | 1,402 | | | | 127,083 | |
| Zurich Insurance Group AG | | | 1,007 | | | | 307,718 | |
| | | | | | | | |
| | | | | | | 6,399,115 | |
| | | | | | | | |
| United Kingdom - 12.9% | | | | | | |
| 3i Group plc | | | 5,219 | | | | 63,897 | |
| Admiral Group plc | | | 1,746 | | | | 42,546 | |
| Anglo American plc | | | 24,124 | | | | 433,711 | |
| Ashtead Group plc | | | 4,765 | | | | 114,951 | |
| Associated British Foods plc | | | 839 | | | | 35,919 | |
| AstraZeneca plc | | | 4,402 | | | | 292,739 | |
| Auto Trader Group plc (b) | | | 29,518 | | | | 155,294 | |
| BAE Systems plc | | | 37,113 | | | | 314,301 | |
| Barclays plc | | | 30,109 | | | | 78,072 | |
| Barratt Developments plc | | | 7,602 | | | | 62,627 | |
| British American Tobacco plc | | | 28,247 | | | | 1,768,369 | |
| BT Group plc | | | 11,010 | | | | 41,876 | |
| Bunzl plc | | | 6,811 | | | | 206,913 | |
| CNH Industrial NV | | | 14,972 | | | | 179,744 | |
| Compass Group plc | | | 27,316 | | | | 579,578 | |
| Diageo plc | | | 1,887 | | | | 62,055 | |
| Direct Line Insurance Group plc | | | 42,210 | | | | 205,778 | |
| Experian plc | | | 5,258 | | | | 105,616 | |
| Fiat Chrysler Automobiles NV * | | | 35,383 | | | | 634,112 | |
| GlaxoSmithKline plc | | | 39,536 | | | | 790,349 | |
| HSBC Holdings plc | | | 165,229 | | | | 1,633,427 | |
| Imperial Brands plc | | | 6,505 | | | | 277,639 | |
| Inmarsat plc | | | 6,370 | | | | 54,976 | |
| International Consolidated Airlines Group SA | | | 42,920 | | | | 342,053 | |
| Intertek Group plc | | | 3,758 | | | | 251,196 | |
| ITV plc | | | 51,707 | | | | 121,144 | |
| Kingfisher plc | | | 13,199 | | | | 52,845 | |
| Legal & General Group plc | | | 45,149 | | | | 157,366 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
141
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United Kingdom - 12.9% (continued) | | | | | | |
| Marks & Spencer Group plc | | | 8,119 | | | $ | 38,441 | |
| Merlin Entertainments plc (b) | | | 9,248 | | | | 55,192 | |
| National Grid plc | | | 30,312 | | | | 375,431 | |
| Persimmon plc | | | 12,600 | | | | 436,053 | |
| Prudential plc | | | 20,491 | | | | 490,360 | |
| Randgold Resources Ltd. | | | 1,577 | | | | 154,131 | |
| Reckitt Benckiser Group plc | | | 5,607 | | | | 512,301 | |
| RELX NV | | | 13,050 | | | | 277,619 | |
| Rio Tinto plc | | | 10,666 | | | | 496,493 | |
| Sage Group plc (The) | | | 32,325 | | | | 302,719 | |
| Smith & Nephew plc | | | 3,009 | | | | 54,388 | |
| SSE plc | | | 1,950 | | | | 36,489 | |
| Standard Chartered plc * | | | 37,014 | | | | 368,034 | |
| Taylor Wimpey plc | | | 76,759 | | | | 201,181 | |
| Vodafone Group plc | | | 255,688 | | | | 715,975 | |
| Whitbread plc | | | 1,309 | | | | 66,074 | |
| | | | | | | | |
| | | | | | | 13,639,974 | |
| | | | | | | | |
| United States - 0.1% | | | | | | |
| QIAGEN NV * | | | 1,704 | | | | 53,863 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $85,613,971) | | | | | | | 101,894,233 | |
| | | | | | | | |
| |
| SHORT-TERM INVESTMENT - 2.7% | | | | |
| |
| Investment Company - 2.7% | | | | |
Limited Purpose Cash Investment Fund, 0.97% (e)
| | | | | | | | |
(Cost $2,904,842) | | | 2,905,132 | | | | 2,904,842 | |
| | | | | | | | |
| |
| SECURITIES LENDING COLLATERAL - 0.3% | | | | |
| | |
| Investment Companies - 0.2% | | | | | | |
| Investments in a Pooled Account through Securities Lending Program with Citibank NA | | | | | | | | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares | | | | | | | | |
| 0.91% (e)(f) | | | 33,612 | | | | 33,612 | |
| UBS Asset Management Americas, Inc. | | | | | | | | |
| 1.10% (e)(f) | | | 156,237 | | | | 156,237 | |
| 1.16% (e)(f) | | | 26,040 | | | | 26,040 | |
| | | | | | | | |
TOTAL INVESTMENT COMPANIES
(Cost $215,889) | | | | | | | 215,889 | |
| | | | | | | | |
| | |
| | | PRINCIPAL
AMOUNT | | | | |
| U.S. TREASURY OBLIGATIONS - 0.1% | |
| Investments in a Pooled Account through Securities Lending Program with Citibank NA | | | | | | | | |
| U.S. Treasury Bills 0.00%, 12/14/2017 (f) | | $ | 1,996 | | | | 1,996 | |
| U.S. Treasury Notes | | | | | | | | |
| 4.00%, 8/15/2018 (f) | | | 51 | | | | 51 | |
| 1.12%, 4/30/2019 (f) | | | 50 | | | | 50 | |
| 1.00%, 8/31/2019 (f) | | | 1,603 | | | | 1,603 | |
| 2.63%, 8/15/2020 (f) | | | 12,938 | | | | 12,938 | |
| 2.13%, 8/15/2021 (f) | | | 35,523 | | | | 35,523 | |
| 0.13%, 7/15/2022 (f) | | | 2,681 | | | | 2,681 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| U.S. TREASURY OBLIGATIONS - 0.1% (continued) | |
| 2.00%, 7/31/2022 (f) | | $ | 1,428 | | | $ | 1,428 | |
| | | | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $56,270) | | | | | | | 56,270 | |
| | | | | | | | |
TOTAL SECURITIES LENDING COLLATERAL
(Cost $272,159) | | | | | | | 272,159 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES
AT VALUE - 99.3%
(Cost $88,790,972) | | | | | | | 105,071,234 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 0.7% (g) | | | | | 694,262 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | $ | 105,765,496 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 13,094,712 | | | | 12.4 | % |
| Consumer Staples | | | 4,962,267 | | | | 4.7 | |
| Energy | | | 2,271,921 | | | | 2.1 | |
| Financials | | | 29,600,092 | | | | 28.1 | |
| Health Care | | | 6,927,419 | | | | 6.5 | |
| Industrials | | | 16,310,915 | | | | 15.4 | |
| Information Technology | | | 12,309,778 | | | | 11.6 | |
| Materials | | | 11,205,186 | | | | 10.6 | |
| Real Estate | | | 1,341,281 | | | | 1.3 | |
| Telecommunication Services | | | 2,463,926 | | | | 2.3 | |
| Utilities | | | 1,406,736 | | | | 1.3 | |
| Short-Term Investment | | | 2,904,842 | | | | 2.7 | |
| Securities Lending Collateral | | | 272,159 | | | | 0.3 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 105,071,234 | | | | 99.3 | |
| Other Assets in Excess of Liabilities (g) | | | 694,262 | | | | 0.7 | |
| | | | | | | | |
Net Assets | | $ | 105,765,496 | | | | 100.0 | % |
| | | | | | | | |
| * | Non-income producing security. |
| (a) | Represents less than 0.05% of net assets. |
| (b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2017 amounted to $1,450,991, which represents approximately 1.37% of net assets of the fund. |
| (c) | The security or a portion of this security is on loan at September 30, 2017. The total value of securities on loan at September 30, 2017 was $257,617. |
| (d) | Security fair valued as of September 30, 2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2017 amounted to $1,494, which represents approximately 0.00% of net assets of the fund. |
| (e) | Represents 7-day effective yield as of September 30, 2017. |
| (f) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
| (g) | Includes appreciation/(depreciation) on futures contracts. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
142
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND | | | | |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 4). |
| (3) | Level 3 security (See Note 4). |
Abbreviations
CVA - Dutch Certification
OYJ - Public Traded Company
REIT - Real Estate Investment Trust
Futures contracts outstanding as of September 30, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | |
| MSCI Emerging Markets E-Mini Index | | 24 | | 12/2017 | | | USD | | | | $2,374,080 | | | | $13,443 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $13,443 | |
| | | | | | | | | | | | | | | | |
USD - United States Dollar
Collateral pledged to, or (received from), each counterparty at September 30, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED | | | TOTAL | |
| JPMS | | | | | | | | | |
| Cash | | | $— | | | | $86,034 | | | | $86,034 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
143
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP DEFENSIVE STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| COMMON STOCKS - 94.7% | |
|
| Aerospace & Defense - 4.1% | |
| Boeing Co. (The) | | | 63,882 | | | $ | 16,239,443 | |
| General Dynamics Corp. | | | 25,157 | | | | 5,171,776 | |
| Huntington Ingalls Industries, Inc. | | | 1,805 | | | | 408,724 | |
| Lockheed Martin Corp. | | | 22,239 | | | | 6,900,539 | |
| Northrop Grumman Corp. | | | 32,334 | | | | 9,303,139 | |
| Raytheon Co. | | | 46,345 | | | | 8,647,050 | |
| Rockwell Collins, Inc. | | | 3,469 | | | | 453,433 | |
| United Technologies Corp. | | | 24,858 | | | | 2,885,517 | |
| | | | | | | | |
| | | | | | | 50,009,621 | |
| | | | | | | | |
| Air Freight & Logistics - 1.0% | | | | | | |
| CH Robinson Worldwide, Inc. | | | 25,824 | | | | 1,965,206 | |
| Expeditors International of Washington, Inc. | | | 71,959 | | | | 4,307,466 | |
| FedEx Corp. | | | 4,513 | | | | 1,018,042 | |
| United Parcel Service, Inc., Class B | | | 44,385 | | | | 5,330,195 | |
| | | | | | | | |
| | | | | | | 12,620,909 | |
| | | | | | | | |
| Airlines - 0.5% | | | | | | |
| Alaska Air Group, Inc. | | | 9,763 | | | | 744,624 | |
| Southwest Airlines Co. | | | 95,059 | | | | 5,321,403 | |
| | | | | | | | |
| | | | | | | 6,066,027 | |
| | | | | | | | |
| Banks - 4.9% | | | | | | |
| Bank of Hawaii Corp. | | | 17,826 | | | | 1,485,975 | |
| Bank of the Ozarks, Inc. | | | 43,013 | | | | 2,066,775 | |
| BB&T Corp. | | | 37,331 | | | | 1,752,317 | |
| BOK Financial Corp. | | | 12,723 | | | | 1,133,365 | |
| Commerce Bancshares, Inc. | | | 33,191 | | | | 1,917,444 | |
| Cullen/Frost Bankers, Inc. | | | 11,255 | | | | 1,068,325 | |
| East West Bancorp, Inc. | | | 48,904 | | | | 2,923,481 | |
| First Republic Bank | | | 2,157 | | | | 225,320 | |
| JPMorgan Chase & Co. | | | 2,379 | | | | 227,218 | |
| M&T Bank Corp. | | | 49,427 | | | | 7,959,724 | |
| PacWest Bancorp | | | 26,130 | | | | 1,319,826 | |
| People’s United Financial, Inc. | | | 22,078 | | | | 400,495 | |
| PNC Financial Services Group, Inc. (The) | | | 43,562 | | | | 5,870,851 | |
| Signature Bank * | | | 4,728 | | | | 605,373 | |
| SunTrust Banks, Inc. | | | 15,300 | | | | 914,481 | |
| SVB Financial Group * | | | 19,443 | | | | 3,637,591 | |
| TCF Financial Corp. | | | 103,623 | | | | 1,765,736 | |
| US Bancorp | | | 266,016 | | | | 14,255,798 | |
| Wells Fargo & Co. | | | 192,781 | | | | 10,631,872 | |
| | | | | | | | |
| | | | | | | 60,161,967 | |
| | | | | | | | |
| Beverages - 3.7% | | | | | | |
| Brown-Forman Corp., Class B | | | 30,737 | | | | 1,669,019 | |
| Coca-Cola Co. (The) | �� | | 378,964 | | | | 17,057,170 | |
| Constellation Brands, Inc., Class A | | | 9,114 | | | | 1,817,787 | |
| Dr Pepper Snapple Group, Inc. | | | 53,145 | | | | 4,701,738 | |
| Monster Beverage Corp. * | | | 58,915 | | | | 3,255,054 | |
| PepsiCo, Inc. | | | 149,462 | | | | 16,654,551 | |
| | | | | | | | |
| | | | | | | 45,155,319 | |
| | | | | | | | |
| Biotechnology - 0.9% | | | | | | |
| Biogen, Inc. * | | | 4,242 | | | | 1,328,255 | |
| Bioverativ, Inc. * | | | 26,060 | | | | 1,487,244 | |
| Celgene Corp. * | | | 15,326 | | | | 2,234,838 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Biotechnology - 0.9% (continued) | | | | | | |
| Regeneron Pharmaceuticals, Inc. * | | | 3,401 | | | $ | 1,520,655 | |
| Seattle Genetics, Inc. * | | | 6,034 | | | | 328,310 | |
| United Therapeutics Corp. * | | | 19,374 | | | | 2,270,439 | |
| Vertex Pharmaceuticals, Inc. * | | | 11,076 | | | | 1,683,995 | |
| | | | | | | | |
| | | | | | | 10,853,736 | |
| | | | | | | | |
| Capital Markets - 1.8% | | | | | | |
| Bank of New York Mellon Corp. (The) | | | 12,985 | | | | 688,465 | |
| BlackRock, Inc. | | | 950 | | | | 424,735 | |
| CBOE Holdings, Inc. | | | 71,379 | | | | 7,682,522 | |
| CME Group, Inc. | | | 50,774 | | | | 6,889,016 | |
| FactSet Research Systems, Inc. | | | 7,520 | | | | 1,354,427 | |
| Franklin Resources, Inc. | | | 32,502 | | | | 1,446,664 | |
| Intercontinental Exchange, Inc. | | | 21,430 | | | | 1,472,241 | |
| MarketAxess Holdings, Inc. | | | 1,172 | | | | 216,246 | |
| SEI Investments Co. | | | 4,398 | | | | 268,542 | |
| T. Rowe Price Group, Inc. | | | 17,938 | | | | 1,626,080 | |
| | | | | | | | |
| | | | | | | 22,068,938 | |
| | | | | | | | |
| Chemicals - 2.0% | | | | | | |
| Air Products & Chemicals, Inc. | | | 25,689 | | | | 3,884,690 | |
| Ecolab, Inc. | | | 47,935 | | | | 6,164,920 | |
| NewMarket Corp. | | | 4,157 | | | | 1,769,843 | |
| PPG Industries, Inc. | | | 26,741 | | | | 2,905,677 | |
| Praxair, Inc. | | | 7,705 | | | | 1,076,697 | |
| Sherwin-Williams Co. (The) | | | 24,950 | | | | 8,933,098 | |
| | | | | | | | |
| | | | | | | 24,734,925 | |
| | | | | | | | |
| Commercial Services & Supplies - 2.0% | |
| Cintas Corp. | | | 13,680 | | | | 1,973,750 | |
| Clean Harbors, Inc. * | | | 12,491 | | | | 708,240 | |
| Republic Services, Inc. | | | 96,056 | | | | 6,345,459 | |
| Rollins, Inc. | | | 57,620 | | | | 2,658,587 | |
| Waste Management, Inc. | | | 171,188 | | | | 13,398,885 | |
| | | | | | | | |
| | | | | | | 25,084,921 | |
| | | | | | | | |
| Communications Equipment - 1.3% | | | | | | |
| Arista Networks, Inc. * | | | 17,410 | | | | 3,301,110 | |
| Cisco Systems, Inc. | | | 190,943 | | | | 6,421,413 | |
| F5 Networks, Inc. * | | | 45,301 | | | | 5,461,489 | |
| Harris Corp. | | | 5,457 | | | | 718,578 | |
| Palo Alto Networks, Inc. * | | | 975 | | | | 140,497 | |
| | | | | | | | |
| | | | | | | 16,043,087 | |
| | | | | | | | |
| Construction & Engineering - 0.2% | | | | | | |
| Jacobs Engineering Group, Inc. | | | 18,908 | | | | 1,101,769 | |
| Quanta Services, Inc. * | | | 41,772 | | | | 1,561,020 | |
| | | | | | | | |
| | | | | | | 2,662,789 | |
| | | | | | | | |
| Consumer Finance - 0.3% | | | | | | |
| American Express Co. | | | 19,451 | | | | 1,759,537 | |
| Discover Financial Services | | | 22,017 | | | | 1,419,656 | |
| SLM Corp. * | | | 12,784 | | | | 146,633 | |
| | | | | | | | |
| | | | | | | 3,325,826 | |
| | | | | | | | |
| Containers & Packaging - 0.0% (a) | | | | | | |
| Avery Dennison Corp. | | | 2,810 | | | | 276,335 | |
| | | | | | | | |
| | |
| Distributors - 0.2% | | | | | | |
| Genuine Parts Co. | | | 12,315 | | | | 1,177,930 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
144
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP DEFENSIVE STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Distributors - 0.2% (continued) | | | | | | |
| Pool Corp. | | | 10,717 | | | $ | 1,159,258 | |
| | | | | | | | |
| | | | | | | 2,337,188 | |
| | | | | | | | |
| Diversified Consumer Services - 0.5% | |
| H&R Block, Inc. | | | 236,571 | | | | 6,264,400 | |
| | | | | | | | |
|
| Diversified Telecommunication Services - 1.3% | |
| AT&T, Inc. | | | 214,076 | | | | 8,385,357 | |
| Verizon Communications, Inc. | | | 142,033 | | | | 7,029,213 | |
| | | | | | | | |
| | | | | | | 15,414,570 | |
| | | | | | | | |
| Electric Utilities - 4.9% | | | | | | |
| Alliant Energy Corp. | | | 9,681 | | | | 402,439 | |
| American Electric Power Co., Inc. | | | 173,939 | | | | 12,217,475 | |
| Duke Energy Corp. | | | 53,406 | | | | 4,481,832 | |
| Edison International | | | 78,435 | | | | 6,052,829 | |
| Eversource Energy | | | 5,106 | | | | 308,607 | |
| Exelon Corp. | | | 40,444 | | | | 1,523,525 | |
| NextEra Energy, Inc. | | | 52,582 | | | | 7,705,892 | |
| OGE Energy Corp. | | | 95,514 | | | | 3,441,369 | |
| PG&E Corp. | | | 129,196 | | | | 8,796,956 | |
| Pinnacle West Capital Corp. | | | 65,840 | | | | 5,567,430 | |
| PPL Corp. | | | 34,422 | | | | 1,306,315 | |
| Southern Co. (The) | | | 89,692 | | | | 4,407,465 | |
| Xcel Energy, Inc. | | | 87,827 | | | | 4,155,974 | |
| | | | | | | | |
| | | | | | | 60,368,108 | |
| | | | | | | | |
| Electrical Equipment - 0.2% | | | | | | |
| Emerson Electric Co. | | | 8,792 | | | | 552,489 | |
| Rockwell Automation, Inc. | | | 10,199 | | | | 1,817,564 | |
| | | | | | | | |
| | | | | | | 2,370,053 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components - 0.9% | |
| Amphenol Corp., Class A | | | 19,003 | | | | 1,608,414 | |
| Cognex Corp. | | | 33,232 | | | | 3,664,825 | |
| Dolby Laboratories, Inc., Class A | | | 16,241 | | | | 934,182 | |
| FLIR Systems, Inc. | | | 69,769 | | | | 2,714,712 | |
| IPG Photonics Corp. * | | | 2,054 | | | | 380,113 | |
| National Instruments Corp. | | | 34,094 | | | | 1,437,744 | |
| | | | | | | | |
| | | | | | | 10,739,990 | |
| | | | | | | | |
| Food & Staples Retailing - 3.0% | | | | | | |
| Casey’s General Stores, Inc. | | | 12,737 | | | | 1,394,065 | |
| Costco Wholesale Corp. | | | 65,328 | | | | 10,732,737 | |
| CVS Health Corp. | | | 8,719 | | | | 709,029 | |
| Sysco Corp. | | | 120,742 | | | | 6,514,031 | |
| Walgreens Boots Alliance, Inc. | | | 35,393 | | | | 2,733,048 | |
| Wal-Mart Stores, Inc. | | | 186,345 | | | | 14,560,998 | |
| | | | | | | | |
| | | | | | | 36,643,908 | |
| | | | | | | | |
| Food Products - 3.0% | | | | | | |
| Campbell Soup Co. | | | 144,591 | | | | 6,769,751 | |
| Conagra Brands, Inc. | | | 26,569 | | | | 896,438 | |
| Flowers Foods, Inc. | | | 39,906 | | | | 750,632 | |
| General Mills, Inc. | | | 81,358 | | | | 4,211,090 | |
| Hershey Co. (The) | | | 68,713 | | | | 7,501,398 | |
| Hormel Foods Corp. (b) | | | 124,159 | | | | 3,990,470 | |
| Ingredion, Inc. | | | 4,746 | | | | 572,557 | |
| Kellogg Co. | | | 22,182 | | | | 1,383,491 | |
| Kraft Heinz Co. (The) | | | 34,065 | | | | 2,641,741 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Food Products - 3.0% (continued) | | | | | | |
| McCormick & Co., Inc. (Non-Voting) | | | 67,964 | | | $ | 6,975,825 | |
| Mondelez International, Inc., Class A | | | 20,425 | | | | 830,481 | |
| Tyson Foods, Inc., Class A | | | 2,366 | | | | 166,685 | |
| | | | | | | | |
| | | | | | | 36,690,559 | |
| | | | | | | | |
| Gas Utilities - 0.5% | | | | | | |
| Atmos Energy Corp. | | | 35,515 | | | | 2,977,578 | |
| UGI Corp. | | | 71,520 | | | | 3,351,427 | |
| | | | | | | | |
| | | | | | | 6,329,005 | |
| | | | | | | | |
| Health Care Equipment & Supplies - 3.7% | |
| Abbott Laboratories | | | 12,102 | | | | 645,763 | |
| ABIOMED, Inc. * | | | 26,384 | | | | 4,448,343 | |
| Align Technology, Inc. * | | | 22,381 | | | | 4,168,909 | |
| Baxter International, Inc. | | | 4,311 | | | | 270,515 | |
| Becton Dickinson and Co. | | | 9,537 | | | | 1,868,775 | |
| Danaher Corp. | | | 37,871 | | | | 3,248,574 | |
| DexCom, Inc. * | | | 23,002 | | | | 1,125,373 | |
| Edwards Lifesciences Corp. * | | | 13,258 | | | | 1,449,232 | |
| IDEXX Laboratories, Inc. * | | | 9,666 | | | | 1,502,966 | |
| Intuitive Surgical, Inc. * | | | 8,933 | | | | 9,342,846 | |
| Medtronic plc | | | 41,707 | | | | 3,243,553 | |
| ResMed, Inc. | | | 33,673 | | | | 2,591,474 | |
| Stryker Corp. | | | 46,469 | | | | 6,599,527 | |
| Varian Medical Systems, Inc. * | | | 41,845 | | | | 4,187,011 | |
| West Pharmaceutical Services, Inc. | | | 9,245 | | | | 889,924 | |
| | | | | | | | |
| | | | | | | 45,582,785 | |
| | | | | | | | |
| Health Care Providers & Services - 3.4% | |
| Aetna, Inc. | | | 16,085 | | | | 2,557,676 | |
| AmerisourceBergen Corp. | | | 14,583 | | | | 1,206,743 | |
| Anthem, Inc. | | | 41,375 | | | | 7,856,285 | |
| Cardinal Health, Inc. | | | 32,787 | | | | 2,194,106 | |
| Cigna Corp. | | | 19,712 | | | | 3,684,961 | |
| Henry Schein, Inc. * | | | 40,442 | | | | 3,315,840 | |
| Humana, Inc. | | | 25,946 | | | | 6,321,224 | |
| UnitedHealth Group, Inc. | | | 77,901 | | | | 15,256,911 | |
| | | | | | | | |
| | | | | | | 42,393,746 | |
| | | | | | | | |
| Health Care Technology - 0.0% (a) | | | | | | |
| Veeva Systems, Inc., Class A * | | | 7,106 | | | | 400,849 | |
| | | | | | | | |
| | |
| Hotels, Restaurants & Leisure - 2.8% | | | | | | |
| Carnival Corp. | | | 28,160 | | | | 1,818,291 | |
| Darden Restaurants, Inc. | | | 49,546 | | | | 3,903,234 | |
| Domino’s Pizza, Inc. | | | 7,900 | | | | 1,568,545 | |
| McDonald’s Corp. | | | 83,404 | | | | 13,067,739 | |
| Starbucks Corp. | | | 171,875 | | | | 9,231,406 | |
| Yum Brands, Inc. | | | 74,360 | | | | 5,473,640 | |
| | | | | | | | |
| | | | | | | 35,062,855 | |
| | | | | | | | |
| Household Durables - 0.2% | | | | | | |
| Garmin Ltd. | | | 43,475 | | | | 2,346,346 | |
| Tupperware Brands Corp. | | | 7,624 | | | | 471,315 | |
| | | | | | | | |
| | | | | | | 2,817,661 | |
| | | | | | | | |
| Household Products - 3.4% | | | | | | |
| Church & Dwight Co., Inc. | | | 117,543 | | | | 5,694,958 | |
| Clorox Co. (The) | | | 45,137 | | | | 5,954,022 | |
| Colgate-Palmolive Co. | | | 135,276 | | | | 9,854,856 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
145
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP DEFENSIVE STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Household Products - 3.4% (continued) | |
| Kimberly-Clark Corp. | | | 25,641 | | | $ | 3,017,433 | |
| Procter & Gamble Co. (The) | | | 187,462 | | | | 17,055,293 | |
| | | | | | | | |
| | | | | | | 41,576,562 | |
| | | | | | | | |
| Industrial Conglomerates - 2.1% | | | | | | |
| 3M Co. | | | 74,782 | | | | 15,696,742 | |
| Carlisle Cos., Inc. | | | 1,820 | | | | 182,527 | |
| General Electric Co. | | | 17,888 | | | | 432,532 | |
| Honeywell International, Inc. | | | 69,039 | | | | 9,785,588 | |
| | | | | | | | |
| | | | | | | 26,097,389 | |
| | | | | | | | |
| Insurance - 9.6% | | | | | | |
| Aflac, Inc. | | | 18,698 | | | | 1,521,830 | |
| Alleghany Corp. * | | | 4,487 | | | | 2,485,843 | |
| Allstate Corp. (The) | | | 174,606 | | | | 16,048,037 | |
| American Financial Group, Inc. | | | 40,838 | | | | 4,224,691 | |
| Aon plc | | | 51,497 | | | | 7,523,712 | |
| Arch Capital Group Ltd. * | | | 38,795 | | | | 3,821,308 | |
| Arthur J Gallagher & Co. | | | 2,692 | | | | 165,693 | |
| Assurant, Inc. | | | 10,450 | | | | 998,184 | |
| Axis Capital Holdings Ltd. | | | 32,076 | | | | 1,838,276 | |
| Chubb Ltd. | | | 92,997 | | | | 13,256,722 | |
| Cincinnati Financial Corp. | | | 3,010 | | | | 230,476 | |
| CNA Financial Corp. | | | 8,681 | | | | 436,220 | |
| Erie Indemnity Co., Class A | | | 2,762 | | | | 333,014 | |
| Everest Re Group Ltd. | | | 40,316 | | | | 9,207,771 | |
| FNF Group | | | 102,565 | | | | 4,867,735 | |
| Markel Corp. * | | | 3,370 | | | | 3,599,093 | |
| Marsh & McLennan Cos., Inc. | | | 94,411 | | | | 7,912,586 | |
| Mercury General Corp. | | | 9,147 | | | | 518,543 | |
| ProAssurance Corp. | | | 13,873 | | | | 758,159 | |
| Progressive Corp. (The) | | | 302,803 | | | | 14,661,721 | |
| RenaissanceRe Holdings Ltd. | | | 21,094 | | | | 2,850,643 | |
| Travelers Cos., Inc. (The) | | | 129,421 | | | | 15,856,661 | |
| Validus Holdings Ltd. | | | 25,539 | | | | 1,256,774 | |
| White Mountains Insurance Group Ltd. | | | 249 | | | | 213,393 | |
| Willis Towers Watson plc | | | 2,742 | | | | 422,899 | |
| WR Berkley Corp. | | | 39,431 | | | | 2,631,625 | |
| | | | | | | | |
| | | | | | | 117,641,609 | |
| | | | | | | | |
| Internet & Direct Marketing Retail - 1.4% | |
| Amazon.com, Inc. * | | | 10,950 | | | | 10,526,782 | |
| Netflix, Inc. * | | | 11,953 | | | | 2,167,677 | |
| Priceline Group, Inc. (The) * | | | 2,189 | | | | 4,007,665 | |
| Wayfair, Inc., Class A *(b) | | | 7,300 | | | | 492,020 | |
| | | | | | | | |
| | | | | | | 17,194,144 | |
| | | | | | | | |
| Internet Software & Services - 1.6% | | | | | | |
| Alphabet, Inc., Class A * | | | 13,215 | | | | 12,867,710 | |
| Facebook, Inc., Class A * | | | 38,228 | | | | 6,532,018 | |
| | | | | | | | |
| | | | | | | 19,399,728 | |
| | | | | | | | |
| IT Services - 5.8% | | | | | | |
| Accenture plc, Class A | | | 87,310 | | | | 11,792,962 | |
| Amdocs Ltd. | | | 43,899 | | | | 2,823,584 | |
| Automatic Data Processing, Inc. | | | 82,914 | | | | 9,064,158 | |
| Cognizant Technology Solutions Corp., Class A | | | 12,225 | | | | 886,802 | |
| Fiserv, Inc. * | | | 16,757 | | | | 2,160,983 | |
| Gartner, Inc. * | | | 10,705 | | | | 1,331,809 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| IT Services - 5.8% (continued) | | | | | | |
| International Business Machines Corp. | | | 35,271 | | | $ | 5,117,117 | |
| Jack Henry & Associates, Inc. | | | 33,023 | | | | 3,394,434 | |
| Mastercard, Inc., Class A | | | 90,909 | | | | 12,836,351 | |
| Paychex, Inc. | | | 91,996 | | | | 5,516,080 | |
| Square, Inc., Class A * | | | 34,372 | | | | 990,257 | |
| Teradata Corp. * | | | 37,394 | | | | 1,263,543 | |
| Visa, Inc., Class A | | | 139,388 | | | | 14,669,193 | |
| | | | | | | | |
| | | | | | | 71,847,273 | |
| | | | | | | | |
| Leisure Products - 0.1% | | | | | | |
| Hasbro, Inc. | | | 13,332 | | | | 1,302,136 | |
| | | | | | | | |
|
| Life Sciences Tools & Services - 0.9% | |
| Illumina, Inc. * | | | 3,968 | | | | 790,426 | |
| Mettler-Toledo International, Inc. * | | | 11,905 | | | | 7,454,435 | |
| Thermo Fisher Scientific, Inc. | | | 7,310 | | | | 1,383,052 | |
| Waters Corp. * | | | 9,483 | | | | 1,702,388 | |
| | | | | | | | |
| | | | | | | 11,330,301 | |
| | | | | | | | |
| Machinery - 0.5% | | | | | | |
| Cummins, Inc. | | | 9,380 | | | | 1,576,122 | |
| Fortive Corp. | | | 32,796 | | | | 2,321,629 | |
| Illinois Tool Works, Inc. | | | 1,816 | | | | 268,695 | |
| Toro Co. (The) | | | 26,968 | | | | 1,673,634 | |
| | | | | | | | |
| | | | | | | 5,840,080 | |
| | | | | | | | |
| Media - 1.4% | | | | | | |
| Cable One, Inc. | | | 1,723 | | | | 1,244,213 | |
| Comcast Corp., Class A | | | 92,010 | | | | 3,540,545 | |
| Live Nation Entertainment, Inc. * | | | 23,748 | | | | 1,034,225 | |
| Walt Disney Co. (The) | | | 112,555 | | | | 11,094,546 | |
| | | | | | | | |
| | | | | | | 16,913,529 | |
| | | | | | | | |
| Multi-Utilities - 3.4% | | | | | | |
| Ameren Corp. | | | 120,682 | | | | 6,980,247 | |
| CenterPoint Energy, Inc. | | | 24,123 | | | | 704,633 | |
| CMS Energy Corp. | | | 21,766 | | | | 1,008,201 | |
| Consolidated Edison, Inc. | | | 75,667 | | | | 6,104,814 | |
| Dominion Energy, Inc. | | | 41,636 | | | | 3,203,057 | |
| DTE Energy Co. | | | 46,410 | | | | 4,982,578 | |
| NiSource, Inc. | | | 62,133 | | | | 1,589,983 | |
| Public Service Enterprise Group, Inc. | | | 178,302 | | | | 8,246,467 | |
| Sempra Energy | | | 27,191 | | | | 3,103,309 | |
| Vectren Corp. | | | 29,455 | | | | 1,937,255 | |
| WEC Energy Group, Inc. | | | 62,261 | | | | 3,908,746 | |
| | | | | | | | |
| | | | | | | 41,769,290 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels - 0.3% | | | | | | |
| ConocoPhillips | | | 6,264 | | | | 313,513 | |
| Exxon Mobil Corp. | | | 34,762 | | | �� | 2,849,789 | |
| | | | | | | | |
| | | | | | | 3,163,302 | |
| | | | | | | | |
| Personal Products - 0.7% | | | | | | |
| Estee Lauder Cos., Inc. (The), Class A | | | 69,093 | | | | 7,450,989 | |
| Nu Skin Enterprises, Inc., Class A | | | 25,042 | | | | 1,539,582 | |
| | | | | | | | |
| | | | | | | 8,990,571 | |
| | | | | | | | |
| Pharmaceuticals - 3.6% | | | | | | |
| Bristol-Myers Squibb Co. | | | 59,582 | | | | 3,797,757 | |
| Eli Lilly & Co. | | | 79,228 | | | | 6,777,163 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
146
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP DEFENSIVE STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Pharmaceuticals - 3.6% (continued) | | | | | | |
| Johnson & Johnson | | | 130,859 | | | $ | 17,012,979 | |
| Merck & Co., Inc. | | | 128,979 | | | | 8,258,525 | |
| Pfizer, Inc. | | | 244,247 | | | | 8,719,618 | |
| Zoetis, Inc. | | | 2,245 | | | | 143,141 | |
| | | | | | | | |
| | | | | | | 44,709,183 | |
| | | | | | | | |
| Professional Services - 0.2% | | | | | | |
| Equifax, Inc. | | | 3,815 | | | | 404,352 | |
| Robert Half International, Inc. | | | 40,535 | | | | 2,040,532 | |
| Verisk Analytics, Inc. * | | | 4,533 | | | | 377,100 | |
| | | | | | | | |
| | | | | | | 2,821,984 | |
| | | | | | | | |
| Road & Rail - 0.4% | | | | | | |
| Landstar System, Inc. | | | 28,048 | | | | 2,794,983 | |
| Union Pacific Corp. | | | 19,257 | | | | 2,233,234 | |
| | | | | | | | |
| | | | | | | 5,028,217 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment - 2.9% | |
| Analog Devices, Inc. | | | 14,700 | | | | 1,266,699 | |
| Intel Corp. | | | 134,159 | | | | 5,108,775 | |
| Maxim Integrated Products, Inc. | | | 95,197 | | | | 4,541,849 | |
| NVIDIA Corp. | | | 37,663 | | | | 6,733,014 | |
| QUALCOMM, Inc. | | | 7,461 | | | | 386,778 | |
| Skyworks Solutions, Inc. | | | 27,991 | | | | 2,852,283 | |
| Texas Instruments, Inc. | | | 136,792 | | | | 12,262,035 | |
| Xilinx, Inc. | | | 43,525 | | | | 3,082,876 | |
| | | | | | | | |
| | | | | | | 36,234,309 | |
| | | | | | | | |
| Software - 2.8% | | | | | | |
| Adobe Systems, Inc. * | | | 43,974 | | | | 6,560,041 | |
| ANSYS, Inc. * | | | 11,289 | | | | 1,385,499 | |
| Electronic Arts, Inc. * | | | 20,195 | | | | 2,384,222 | |
| Intuit, Inc. | | | 59,007 | | | | 8,387,255 | |
| Manhattan Associates, Inc. * | | | 8,490 | | | | 352,929 | |
| Microsoft Corp. | | | 155,651 | | | | 11,594,443 | |
| Oracle Corp. | | | 68,257 | | | | 3,300,226 | |
| Synopsys, Inc. * | | | 2,890 | | | | 232,732 | |
| | | | | | | | |
| | | | | | | 34,197,347 | |
| | | | | | | | |
| Specialty Retail - 2.3% | | | | | | |
| AutoZone, Inc. * | | | 510 | | | | 303,506 | |
| Home Depot, Inc. (The) | | | 61,717 | | | | 10,094,433 | |
| Lowe’s Cos., Inc. | | | 52,939 | | | | 4,231,944 | |
| O’Reilly Automotive, Inc. * | | | 918 | | | | 197,710 | |
| Ross Stores, Inc. | | | 4,859 | | | | 313,746 | |
| TJX Cos., Inc. (The) | | | 88,621 | | | | 6,534,026 | |
| Ulta Beauty, Inc. * | | | 24,770 | | | | 5,599,506 | |
| Williams-Sonoma, Inc. | | | 22,140 | | | | 1,103,900 | |
| | | | | | | | |
| | | | | | | 28,378,771 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals - 0.4% | |
| Apple, Inc. | | | 32,878 | | | | 5,067,157 | |
| | | | | | | | |
|
| Textiles, Apparel & Luxury Goods - 0.4% | |
| Lululemon Athletica, Inc. * | | | 31,685 | | | | 1,972,391 | |
| NIKE, Inc., Class B | | | 48,317 | | | | 2,505,237 | |
| | | | | | | | |
| | | | | | | 4,477,628 | |
| | | | | | | | |
| Thrifts & Mortgage Finance - 0.0% (a) | | | | | | |
| TFS Financial Corp. | | | 12,974 | | | | 209,271 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Tobacco - 2.2% | | | | | | |
| Altria Group, Inc. | | | 216,613 | | | $ | 13,737,597 | |
| Philip Morris International, Inc. | | | 116,924 | | | | 12,979,733 | |
| | | | | | | | |
| | | | | | | 26,717,330 | |
| | | | | | | | |
| Trading Companies & Distributors - 0.3% | |
| Fastenal Co. | | | 38,809 | | | | 1,768,914 | |
| MSC Industrial Direct Co., Inc., Class A | | | 2,315 | | | | 174,945 | |
| WW Grainger, Inc. | | | 10,238 | | | | 1,840,280 | |
| | | | | | | | |
| | | | | | | 3,784,139 | |
| | | | | | | | |
| Water Utilities - 0.7% | | | | | | |
| American Water Works Co., Inc. | | | 76,912 | | | | 6,222,950 | |
| Aqua America, Inc. | | | 54,215 | | | | 1,799,396 | |
| | | | | | | | |
| | | | | | | 8,022,346 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $949,364,136) | | | | | | | 1,165,193,673 | |
| | | | | | | | |
| |
| SHORT-TERM INVESTMENT - 5.0% | | | | |
| |
| Investment Company - 5.0% | | | | |
| Limited Purpose Cash Investment Fund, 0.97% (2)(c) | | | | | | | | |
(Cost $61,682,043) | | | 61,688,212 | | | | 61,682,043 | |
| | | | | | | | |
| |
| SECURITIES LENDING COLLATERAL - 0.1% | | | | |
| |
| Investment Companies - 0.1% | | | | |
| Investments in a Pooled Account through Securities Lending Program with Citibank NA | | | | | | | | |
BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares
0.91% (2)(c)(d) | | | 111,123 | | | | 111,123 | |
UBS Asset Management Americas, Inc. 1.10% (2)(c)(d) | | | 516,537 | | | | 516,537 | |
| 1.16% (2)(c)(d) | | | 86,090 | | | | 86,090 | |
| | | | | | | | |
TOTAL SECURITIES LENDING COLLATERAL
(Cost $713,750) | | | | | | | 713,750 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 99.8%
(Cost $1,011,759,929) | | | | | | | 1,227,589,466 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 0.2% (e) | | | | | 3,017,618 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | $ | 1,230,607,084 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
147
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP DEFENSIVE STYLE FUND | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 114,748,312 | | | | 9.3 | % |
| Consumer Staples | | | 195,774,248 | | | | 15.9 | |
| Energy | | | 3,163,302 | | | | 0.3 | |
| Financials | | | 203,407,610 | | | | 16.5 | |
| Health Care | | | 155,270,600 | | | | 12.6 | |
| Industrials | | | 142,386,130 | | | | 11.6 | |
| Information Technology | | | 193,528,891 | | | | 15.7 | |
| Materials | | | 25,011,261 | | | | 2.0 | |
| Telecommunication Services | | | 15,414,570 | | | | 1.3 | |
| Utilities | | | 116,488,749 | | | | 9.5 | |
| Short-Term Investment | | | 61,682,043 | | | | 5.0 | |
| Securities Lending Collateral | | | 713,750 | | | | 0.1 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 1,227,589,466 | | | | 99.8 | |
| Other Assets in Excess of Liabilities (e) | | | 3,017,618 | | | | 0.2 | |
| | | | | | | | |
Net Assets | | $ | 1,230,607,084 | | | | 100.0 | % |
| | | | | | | | |
| * | Non-income producing security. |
| (a) | Represents less than 0.05% of net assets. |
| (b) | The security or a portion of this security is on loan at September 30, 2017. The total value of securities on loan at September 30, 2017 was $697,281. |
| (c) | Represents 7-day effective yield as of September 30, 2017. |
| (d) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
| (e) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 4). |
Futures contracts outstanding as of September 30, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | �� | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | |
| S&P 500 E-Mini Index | | 374 | | 12/2017 | | | USD | | | | $47,051,070 | | | | $744,419 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $744,419 | |
| | | | | | | | | | | | | | | | |
USD - United States Dollar
Collateral pledged or received at/(for) the counterparty at September 30, 2017 was as follows:
| | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | EXCHANGE TRADED | | TOTAL | |
| GSCO | | | | | | | |
| Cash | | $— | | $1,095,758 | | | $1,095,758 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
148
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| COMMON STOCKS - 96.1% | | | | | | |
| | |
| Australia - 8.0% | | | | | | |
| AGL Energy Ltd. | | | 99,826 | | | $ | 1,833,068 | |
| Aristocrat Leisure Ltd. | | | 3,419 | | | | 56,474 | |
| Aurizon Holdings Ltd. | | | 114,100 | | | | 439,695 | |
| AusNet Services | | | 94,515 | | | | 125,418 | |
| Australia & New Zealand Banking Group Ltd. | | | 15,115 | | | | 352,083 | |
| BlueScope Steel Ltd. | | | 23,605 | | | | 203,912 | |
| Caltex Australia Ltd. | | | 73,266 | | | | 1,848,605 | |
| CIMIC Group Ltd. | | | 3,710 | | | | 128,929 | |
| Coca-Cola Amatil Ltd. | | | 63,441 | | | | 385,091 | |
| Cochlear Ltd. | | | 8,892 | | | | 1,112,249 | |
| Commonwealth Bank of Australia | | | 6,566 | | | | 388,794 | |
| CSL Ltd. | | | 3,035 | | | | 319,504 | |
| Flight Centre Travel Group Ltd. | | | 31,370 | | | | 1,110,252 | |
| Harvey Norman Holdings Ltd. | | | 6,317 | | | | 19,268 | |
| Medibank Pvt Ltd. | | | 39,354 | | | | 90,293 | |
| Newcrest Mining Ltd. | | | 33,327 | | | | 548,554 | |
| REA Group Ltd. | | | 2,498 | | | | 131,579 | |
| South32 Ltd. | | | 336,298 | | | | 870,006 | |
| Tabcorp Holdings Ltd. | | | 36,300 | | | | 121,683 | |
| Telstra Corp. Ltd. | | | 537,476 | | | | 1,472,394 | |
| Wesfarmers Ltd. | | | 46,969 | | | | 1,524,780 | |
| Westpac Banking Corp. | | | 18,552 | | | | 466,648 | |
| Woodside Petroleum Ltd. | | | 7,291 | | | | 166,950 | |
| Woolworths Ltd. | | | 99,617 | | | | 1,972,793 | |
| | | | | | | | |
| | | | | | | 15,689,022 | |
| | | | | | | | |
| Austria - 0.1% | | | | | | |
| OMV AG | | | 3,730 | | | | 217,460 | |
| | | | | | | | |
| | |
| Belgium - 1.3% | | | | | | |
| Ageas | | | 6,229 | | | | 292,973 | |
| Anheuser-Busch InBev SA/NV | | | 2,115 | | | | 252,821 | |
| Colruyt SA | | | 19,678 | | | | 1,008,262 | |
| Groupe Bruxelles Lambert SA | | | 618 | | | | 65,052 | |
| KBC Group NV | | | 525 | | | | 44,541 | |
| Proximus SADP | | | 21,391 | | | | 737,431 | |
| UCB SA | | | 1,007 | | | | 71,767 | |
| | | | | | | | |
| | | | | | | 2,472,847 | |
| | | | | | | | |
| Canada - 11.9% | | | | | | |
| Agnico Eagle Mines Ltd. (1) | | | 25,698 | | | | 1,161,379 | |
| Alimentation Couche-Tard, Inc., Class B (1) | | | 5,454 | | | | 248,714 | |
| Bank of Montreal (1) | | | 11,490 | | | | 869,566 | |
| Bank of Nova Scotia (The) (1) | | | 15,971 | | | | 1,026,547 | |
| Barrick Gold Corp. (1) | | | 41,614 | | | | 669,693 | |
| BCE, Inc. (1) | | | 49,662 | | | | 2,326,781 | |
| Cameco Corp. (1) | | | 4,118 | | | | 39,769 | |
| Canadian Imperial Bank of Commerce (1) | | | 10,966 | | | | 959,454 | |
| Canadian National Railway Co. (1) | | | 13,103 | | | | 1,085,625 | |
| Canadian Utilities Ltd., Class A (1) | | | 4,421 | | | | 137,298 | |
| CI Financial Corp. (1) | | | 46,030 | | | | 1,006,739 | |
| Constellation Software, Inc. (1) | | | 221 | | | | 120,572 | |
| Emera, Inc. (1) | | | 2,988 | | | | 113,174 | |
| Empire Co. Ltd., Class A (1) | | | 26,898 | | | | 475,983 | |
| Fortis, Inc. (1) | | | 8,102 | | | | 290,769 | |
| Franco-Nevada Corp. (1) | | | 9,482 | | | | 734,546 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Canada - 11.9% (continued) | | | | | | |
| George Weston Ltd. (1) | | | 4,173 | | | $ | 363,371 | |
| Goldcorp, Inc. (1) | | | 22,659 | | | | 294,190 | |
| Hydro One Ltd. (1)(a) | | | 51,693 | | | | 941,266 | |
| Imperial Oil Ltd. (1) | | | 19,218 | | | | 613,929 | |
| Intact Financial Corp. (1) | | | 13,650 | | | | 1,127,554 | |
| Kinross Gold Corp. (1)* | | | 156,614 | | | | 663,986 | |
| Loblaw Cos. Ltd. (1) | | | 13,227 | | | | 721,906 | |
| Metro, Inc. (1) | | | 9,075 | | | | 312,088 | |
| Power Financial Corp. (1) | | | 21,884 | | | | 607,017 | |
| Rogers Communications, Inc., Class B (1) | | | 12,913 | | | | 665,856 | |
| Royal Bank of Canada (1) | | | 17,262 | | | | 1,335,583 | |
| Saputo, Inc. (1) | | | 24,465 | | | | 846,839 | |
| Shaw Communications, Inc., Class B (1) | | | 12,674 | | | | 291,723 | |
| Sun Life Financial, Inc. (1) | | | 8,249 | | | | 328,505 | |
| Suncor Energy, Inc. (1) | | | 11,314 | | | | 396,523 | |
| Thomson Reuters Corp. (1) | | | 6,653 | | | | 305,257 | |
| Toronto-Dominion Bank (The) (1) | | | 24,133 | | | | 1,358,720 | |
| Wheaton Precious Metals Corp. (1) | | | 28,869 | | | | 550,657 | |
| Yamana Gold, Inc. (1) | | | 78,148 | | | | 206,683 | |
| | | | | | | | |
| | | | | | | 23,198,262 | |
| | | | | | | | |
| China - 0.2% | | | | | | |
| BOC Hong Kong Holdings Ltd. | | | 70,500 | | | | 343,405 | |
| Yangzijiang Shipbuilding Holdings Ltd. | | | 38,200 | | | | 40,379 | |
| | | | | | | | |
| | | | | | | 383,784 | |
| | | | | | | | |
| Denmark - 3.0% | | | | | | |
| Coloplast A/S, Class B | | | 18,395 | | | | 1,495,625 | |
| Danske Bank A/S | | | 3,404 | | | | 136,411 | |
| DONG Energy A/S (a) | | | 10,583 | | | | 606,642 | |
| DSV A/S | | | 12,130 | | | | 918,920 | |
| H Lundbeck A/S | | | 3,267 | | | | 188,872 | |
| ISS A/S | | | 7,507 | | | | 302,654 | |
| Novo Nordisk A/S, Class B | | | 45,948 | | | | 2,209,121 | |
| | | | | | | | |
| | | | | | | 5,858,245 | |
| | | | | | | | |
| Finland - 1.3% | | | | | | |
| Fortum OYJ | | | 3,366 | | | | 67,259 | |
| Kone OYJ, Class B | | | 11,971 | | | | 634,574 | |
| Neste OYJ | | | 19,491 | | | | 851,844 | |
| Orion OYJ, Class B | | | 11,226 | | | | 521,248 | |
| Sampo OYJ, Class A | | | 8,074 | | | | 427,312 | |
| | | | | | | | |
| | | | | | | 2,502,237 | |
| | | | | | | | |
| France - 6.3% | | | | | | |
| Aeroports de Paris | | | 2,096 | | | | 338,829 | |
| Airbus SE | | | 1,757 | | | | 167,258 | |
| BNP Paribas SA | | | 4,427 | | | | 357,152 | |
| Bouygues SA | | | 13,306 | | | | 631,647 | |
| Cie Generale des Etablissements Michelin | | | 2,529 | | | | 368,985 | |
| Danone SA | | | 10,330 | | | | 811,358 | |
| Dassault Systemes SE | | | 5,841 | | | | 590,950 | |
| Electricite de France SA | | | 1,824 | | | | 22,153 | |
| Engie SA | | | 69,716 | | | | 1,183,876 | |
| Essilor International SA | | | 289 | | | | 35,818 | |
| Hermes International | | | 2,019 | | | | 1,018,644 | |
| Iliad SA | | | 1,040 | | | | 276,436 | |
| Imerys SA | | | 2,048 | | | | 185,048 | |
| Lagardere SCA | | | 3,911 | | | | 131,020 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
149
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| France - 6.3% (continued) | | | | | | |
| L’Oreal SA | | | 8,096 | | | $ | 1,716,705 | |
| LVMH Moet Hennessy Louis Vuitton SE | | | 493 | | | | 136,283 | |
| Pernod Ricard SA | | | 898 | | | | 124,224 | |
| Sanofi | | | 3,386 | | | | 337,065 | |
| Societe BIC SA | | | 8,429 | | | | 1,010,388 | |
| Societe Generale SA | | | 3,404 | | | | 199,479 | |
| Sodexo SA | | | 4,294 | | | | 535,294 | |
| Suez | | | 2,973 | | | | 54,284 | |
| Thales SA | | | 5,982 | | | | 677,464 | |
| TOTAL SA | | | 18,359 | | | | 985,776 | |
| Vinci SA | | | 3,641 | | | | 345,943 | |
| | | | | | | | |
| | | | | | | 12,242,079 | |
| | | | | | | | |
| Germany - 4.1% | | | | | | |
| Allianz SE (Registered) | | | 1,710 | | | | 384,043 | |
| Bayer AG (Registered) | | | 2,729 | | | | 372,791 | |
| Beiersdorf AG | | | 7,238 | | | | 779,285 | |
| Covestro AG (a) | | | 1,095 | | | | 94,226 | |
| Deutsche Post AG (Registered) | | | 5,438 | | | | 242,395 | |
| Fresenius Medical Care AG & Co. KGaA | | | 566 | | | | 55,336 | |
| FUCHS PETROLUB SE (Preference) | | | 692 | | | | 40,980 | |
| Hannover Rueck SE | | | 1,063 | | | | 128,206 | |
| Henkel AG & Co. KGaA (Preference) | | | 3,986 | | | | 543,063 | |
| HUGO BOSS AG | | | 5,497 | | | | 485,040 | |
| Innogy SE (a) | | | 19,108 | | | | 851,247 | |
| MAN SE | | | 18,018 | | | | 2,033,949 | |
| Merck KGaA | | | 458 | | | | 51,009 | |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | | | 2,586 | | | | 553,471 | |
| SAP SE | | | 6,643 | | | | 728,373 | |
| Schaeffler AG (Preference) | | | 5,743 | | | | 92,666 | |
| Siemens AG (Registered) | | | 2,993 | | | | 422,340 | |
| TUI AG | | | 6,141 | | | | 104,209 | |
| | | | | | | | |
| | | | | | | 7,962,629 | |
| | | | | | | | |
| Hong Kong - 4.2% | | | | | | |
| CK Hutchison Holdings Ltd. | | | 64,500 | | | | 826,135 | |
| CLP Holdings Ltd. | | | 131,000 | | | | 1,344,927 | |
| Galaxy Entertainment Group Ltd. | | | 107,000 | | | | 756,431 | |
| Hang Seng Bank Ltd. | | | 16,800 | | | | 410,721 | |
| HK Electric Investments & HK Electric Investments Ltd. (b) | | | 636,000 | | | | 580,390 | |
| HKT Trust & HKT Ltd. | | | 149,000 | | | | 181,076 | |
| Hong Kong & China Gas Co. Ltd. | | | 615,014 | | | | 1,158,889 | |
| MTR Corp. Ltd. | | | 212,500 | | | | 1,244,234 | |
| Power Assets Holdings Ltd. | | | 89,000 | | | | 772,528 | |
| SJM Holdings Ltd. | | | 538,000 | | | | 494,236 | |
| WH Group Ltd. (a) | | | 183,500 | | | | 195,428 | |
| Yue Yuen Industrial Holdings Ltd. | | | 51,500 | | | | 196,499 | |
| | | | | | | | |
| | | | | | | 8,161,494 | |
| | | | | | | | |
| Italy - 0.3% | | | | | | |
| Enel SpA | | | 89,661 | | | | 540,146 | |
| | | | | | | | |
| | |
| Japan - 27.4% | | | | | | |
| ABC-Mart, Inc. | | | 7,900 | | | | 417,298 | |
| Acom Co. Ltd. * | | | 33,800 | | | | 131,141 | |
| Ajinomoto Co., Inc. | | | 7,100 | | | | 138,554 | |
| Amada Holdings Co. Ltd. | | | 2,000 | | | | 21,959 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - 27.4% (continued) | | | | | | |
| ANA Holdings, Inc. | | | 4,900 | | | $ | 185,607 | |
| Asahi Glass Co. Ltd. | | | 800 | | | | 29,715 | |
| Asahi Group Holdings Ltd. | | | 7,500 | | | | 303,290 | |
| Asics Corp. | | | 1,900 | | | | 28,338 | |
| Astellas Pharma, Inc. | | | 116,000 | | | | 1,476,395 | |
| Bandai Namco Holdings, Inc. | | | 21,600 | | | | 742,064 | |
| Benesse Holdings, Inc. | | | 8,800 | | | | 317,495 | |
| Bridgestone Corp. | | | 19,100 | | | | 867,211 | |
| Brother Industries Ltd. | | | 12,300 | | | | 286,784 | |
| Calbee, Inc. | | | 20,300 | | | | 712,965 | |
| Canon, Inc. | | | 26,200 | | | | 896,590 | |
| Central Japan Railway Co. | | | 2,500 | | | | 438,724 | |
| Chubu Electric Power Co., Inc. | | | 8,300 | | | | 103,151 | |
| Chugai Pharmaceutical Co. Ltd. | | | 8,400 | | | | 349,072 | |
| Coca-Cola Bottlers Japan, Inc. | | | 15,200 | | | | 492,323 | |
| Daiichi Sankyo Co. Ltd. | | | 10,200 | | | | 230,180 | |
| East Japan Railway Co. | | | 4,300 | | | | 396,926 | |
| Eisai Co. Ltd. | | | 3,800 | | | | 195,141 | |
| FANUC Corp. | | | 1,200 | | | | 243,304 | |
| Fast Retailing Co. Ltd. | | | 800 | | | | 235,964 | |
| FUJIFILM Holdings Corp. | | | 3,100 | | | | 120,439 | |
| Fujitsu Ltd. | | | 15,000 | | | | 111,638 | |
| Hakuhodo DY Holdings, Inc. | | | 52,200 | | | | 687,287 | |
| Hirose Electric Co. Ltd. | | | 700 | | | | 98,566 | |
| Hisamitsu Pharmaceutical Co., Inc. | | | 13,500 | | | | 648,769 | |
| Hitachi Chemical Co. Ltd. | | | 11,400 | | | | 312,823 | |
| Hitachi Ltd. | | | 55,000 | | | | 387,797 | |
| Hitachi Metals Ltd. | | | 27,500 | | | | 383,235 | |
| Hoshizaki Corp. | | | 5,100 | | | | 448,001 | |
| Hoya Corp. | | | 12,600 | | | | 681,393 | |
| ITOCHU Corp. | | | 14,300 | | | | 234,302 | |
| Japan Airlines Co. Ltd. | | | 32,800 | | | | 1,110,323 | |
| Japan Airport Terminal Co. Ltd. | | | 7,200 | | | | 256,534 | |
| Japan Post Bank Co. Ltd. | | | 2,600 | | | | 32,132 | |
| Japan Tobacco, Inc. | | | 14,700 | | | | 481,733 | |
| Kajima Corp. | | | 74,000 | | | | 735,517 | |
| Kamigumi Co. Ltd. | | | 29,000 | | | | 671,863 | |
| Kao Corp. | | | 8,400 | | | | 494,536 | |
| KDDI Corp. | | | 60,400 | | | | 1,592,143 | |
| Kikkoman Corp. | | | 5,000 | | | | 153,629 | |
| Kirin Holdings Co. Ltd. | | | 14,400 | | | | 338,312 | |
| Komatsu Ltd. | | | 7,000 | | | | 198,219 | |
| Konica Minolta, Inc. | | | 18,100 | | | | 148,713 | |
| Kose Corp. | | | 5,800 | | | | 664,809 | |
| Kuraray Co. Ltd. | | | 1,300 | | | | 24,323 | |
| Kurita Water Industries Ltd. | | | 8,500 | | | | 245,651 | |
| Kyushu Railway Co. | | | 23,000 | | | | 684,203 | |
| Lawson, Inc. | | | 4,100 | | | | 271,501 | |
| M3, Inc. | | | 5,800 | | | | 165,366 | |
| Makita Corp. | | | 8,800 | | | | 355,174 | |
| Marubeni Corp. | | | 5,600 | | | | 38,283 | |
| Mazda Motor Corp. | | | 14,800 | | | | 226,735 | |
| McDonald’s Holdings Co. Japan Ltd. | | | 6,100 | | | | 269,874 | |
| MEIJI Holdings Co. Ltd. | | | 3,800 | | | | 300,916 | |
| Mitsubishi Electric Corp. | | | 14,000 | | | | 219,007 | |
| Mitsubishi Motors Corp. | | | 11,000 | | | | 87,091 | |
| Mitsubishi Tanabe Pharma Corp. | | | 39,700 | | | | 911,394 | |
| Mitsubishi UFJ Financial Group, Inc. | | | 19,600 | | | | 127,436 | |
| Mitsui & Co. Ltd. | | | 7,900 | | | | 116,848 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
150
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - 27.4% (continued) | | | | | | |
| Mixi, Inc. | | | 3,300 | | | $ | 159,377 | |
| Mizuho Financial Group, Inc. | | | 183,700 | | | | 322,033 | |
| Murata Manufacturing Co. Ltd. | | | 400 | | | | 58,887 | |
| Nabtesco Corp. | | | 3,200 | | | | 119,062 | |
| Nexon Co. Ltd. * | | | 53,900 | | | | 1,409,070 | |
| NH Foods Ltd. | | | 5,000 | | | | 137,420 | |
| Nidec Corp. | | | 600 | | | | 73,759 | |
| Nikon Corp. | | | 7,500 | | | | 130,060 | |
| Nippon Express Co. Ltd. | | | 6,100 | | | | 397,672 | |
| Nippon Paint Holdings Co. Ltd. | | | 1,100 | | | | 37,421 | |
| Nippon Telegraph & Telephone Corp. | | | 32,100 | | | | 1,470,845 | |
| Nissan Motor Co. Ltd. | | | 10,900 | | | | 107,982 | |
| Nisshin Seifun Group, Inc. | | | 8,400 | | | | 140,615 | |
| Nissin Foods Holdings Co. Ltd. | | | 8,800 | | | | 534,692 | |
| Nitori Holdings Co. Ltd. | | | 1,900 | | | | 271,722 | |
| Nitto Denko Corp. | | | 6,900 | | | | 575,538 | |
| Nomura Research Institute Ltd. | | | 1,287 | | | | 50,261 | |
| Obayashi Corp. | | | 45,600 | | | | 546,947 | |
| Omron Corp. | | | 26,900 | | | | 1,371,696 | |
| Oracle Corp. Japan | | | 15,800 | | | | 1,241,912 | |
| Oriental Land Co. Ltd. | | | 9,100 | | | | 693,781 | |
| ORIX Corp. | | | 11,800 | | | | 190,502 | |
| Osaka Gas Co. Ltd. | | | 71,200 | | | | 1,323,355 | |
| Otsuka Corp. | | | 11,100 | | | | 711,905 | |
| Otsuka Holdings Co. Ltd. | | | 8,700 | | | | 345,926 | |
| Pola Orbis Holdings, Inc. | | | 18,500 | | | | 559,398 | |
| Recruit Holdings Co. Ltd. | | | 96,600 | | | | 2,091,726 | |
| Rinnai Corp. | | | 600 | | | | 51,395 | |
| Sankyo Co. Ltd. | | | 1,500 | | | | 47,863 | |
| Secom Co. Ltd. | | | 600 | | | | 43,695 | |
| Seven & i Holdings Co. Ltd. | | | 14,600 | | | | 564,063 | |
| Seven Bank Ltd. | | | 58,400 | | | | 211,040 | |
| Shimamura Co. Ltd. | | | 5,200 | | | | 623,765 | |
| Shimizu Corp. | | | 23,000 | | | | 255,056 | |
| Shionogi & Co. Ltd. | | | 11,100 | | | | 606,803 | |
| SMC Corp. | | | 100 | | | | 35,336 | |
| Start Today Co. Ltd. | | | 11,600 | | | | 367,606 | |
| Subaru Corp. | | | 23,500 | | | | 847,578 | |
| Sumitomo Corp. | | | 7,900 | | | | 113,740 | |
| Sumitomo Dainippon Pharma Co. Ltd. | | | 51,400 | | | | 669,592 | |
| Sumitomo Mitsui Financial Group, Inc. | | | 15,000 | | | | 576,588 | |
| Sumitomo Rubber Industries Ltd. | | | 1,800 | | | | 33,037 | |
| Sundrug Co. Ltd. | | | 17,500 | | | | 725,189 | |
| Suntory Beverage & Food Ltd. | | | 9,400 | | | | 418,125 | |
| Suzuki Motor Corp. | | | 8,400 | | | | 440,875 | |
| Sysmex Corp. | | | 12,400 | | | | 792,249 | |
| Taisei Corp. | | | 12,400 | | | | 650,279 | |
| Takeda Pharmaceutical Co. Ltd. | | | 3,300 | | | | 182,477 | |
| Toho Gas Co. Ltd. | | | 23,000 | | | | 673,593 | |
| Tohoku Electric Power Co., Inc. | | | 2,200 | | | | 27,994 | |
| Tokyo Electron Ltd. | | | 1,000 | | | | 153,949 | |
| Tokyo Gas Co. Ltd. | | | 55,600 | | | | 1,361,563 | |
| TOTO Ltd. | | | 1,500 | | | | 63,217 | |
| Toyo Suisan Kaisha Ltd. | | | 24,300 | | | | 892,749 | |
| Trend Micro, Inc. | | | 14,100 | | | | 694,651 | |
| Tsuruha Holdings, Inc. | | | 3,800 | | | | 454,350 | |
| Unicharm Corp. | | | 1,200 | | | | 27,486 | |
| USS Co. Ltd. | | | 1,600 | | | | 32,293 | |
| West Japan Railway Co. | | | 4,900 | | | | 340,660 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - 27.4% (continued) | | | | | | |
| Yakult Honsha Co. Ltd. | | | 3,900 | | | $ | 280,657 | |
| Yamada Denki Co. Ltd. | | | 7,900 | | | | 43,198 | |
| Yamato Holdings Co. Ltd. | | | 10,700 | | | | 216,139 | |
| Yamazaki Baking Co. Ltd. | | | 23,400 | | | | 422,364 | |
| Yokogawa Electric Corp. | | | 4,600 | | | | 78,387 | |
| | | | | | | | |
| | | | | | | 53,369,871 | |
| | | | | | | | |
| Luxembourg - 0.0% (c) | | | | | | |
| Millicom International Cellular SA, SDR | | | 905 | | | | 59,784 | |
| | | | | | | | |
| | |
| Netherlands - 1.0% | | | | | | |
| Gemalto NV | | | 1,165 | | | | 52,067 | |
| Heineken NV | | | 2,163 | | | | 214,034 | |
| Koninklijke Ahold Delhaize NV | | | 49,943 | | | | 933,167 | |
| Koninklijke Vopak NV | | | 2,529 | | | | 110,907 | |
| Randstad Holding NV | | | 7,199 | | | | 444,925 | |
| Royal Dutch Shell plc, Class B | | | 8,717 | | | | 268,362 | |
| | | | | | | | |
| | | | | | | 2,023,462 | |
| | | | | | | | |
| Norway - 1.9% | | | | | | |
| Gjensidige Forsikring ASA | | | 16,603 | | | | 289,210 | |
| Marine Harvest ASA * | | | 30,053 | | | | 594,389 | |
| Norsk Hydro ASA | | | 15,187 | | | | 110,816 | |
| Orkla ASA | | | 76,822 | | | | 788,323 | |
| Schibsted ASA, Class A | | | 10,064 | | | | 259,448 | |
| Telenor ASA | | | 69,894 | | | | 1,480,674 | |
| Yara International ASA | | | 3,176 | | | | 142,415 | |
| | | | | | | | |
| | | | | | | 3,665,275 | |
| | | | | | | | |
| Portugal - 0.2% | | | | | | |
| EDP - Energias de Portugal SA | | | 93,887 | | | | 354,020 | |
| Jeronimo Martins SGPS SA | | | 2,999 | | | | 59,197 | |
| | | | | | | | |
| | | | | | | 413,217 | |
| | | | | | | | |
| Singapore - 3.7% | | | | | | |
| ComfortDelGro Corp. Ltd. | | | 212,700 | | | | 326,846 | |
| DBS Group Holdings Ltd. | | | 76,600 | | | | 1,179,186 | |
| Oversea-Chinese Banking Corp. Ltd. | | | 139,800 | | | | 1,152,827 | |
| SATS Ltd. | | | 62,100 | | | | 211,353 | |
| Singapore Airlines Ltd. | | | 103,300 | | | | 765,985 | |
| Singapore Telecommunications Ltd. | | | 560,800 | | | | 1,524,493 | |
| StarHub Ltd. | | | 346,900 | | | | 666,059 | |
| United Overseas Bank Ltd. | | | 60,000 | | | | 1,041,946 | |
| Wilmar International Ltd. | | | 122,300 | | | | 287,390 | |
| | | | | | | | |
| | | | | | | 7,156,085 | |
| | | | | | | | |
| South Africa - 0.4% | | | | | | |
| Mondi plc | | | 26,110 | | | | 701,972 | |
| | | | | | | | |
| | |
| Spain - 1.5% | | | | | | |
| Endesa SA | | | 38,485 | | | | 868,415 | |
| Iberdrola SA | | | 131,907 | | | | 1,025,660 | |
| Industria de Diseno Textil SA | | | 17,691 | | | | 666,955 | |
| Mapfre SA | | | 65,467 | | | | 213,330 | |
| Red Electrica Corp. SA | | | 6,913 | | | | 145,412 | |
| | | | | | | | |
| | | | | | | 2,919,772 | |
| | | | | | | | |
| Sweden - 4.6% | | | | | | |
| Assa Abloy AB, Class B | | | 1,062 | | | | 24,315 | |
| Atlas Copco AB, Class A | | | 8,031 | | | | 340,694 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
151
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Sweden - 4.6% (continued) | | | | | | |
| Boliden AB | | | 1,762 | | | $ | 59,766 | |
| Essity AB, Class B * | | | 17,630 | | | | 480,665 | |
| Getinge AB, Class B | | | 4,954 | | | | 93,007 | |
| Hennes & Mauritz AB, Class B | | | 52,382 | | | | 1,360,688 | |
| ICA Gruppen AB(b) | | | 19,296 | | | | 725,900 | |
| Investor AB, Class B | | | 23,812 | | | | 1,178,080 | |
| L E Lundbergforetagen AB, Class B | | | 3,430 | | | | 274,461 | |
| Nordea Bank AB | | | 27,239 | | | | 369,830 | |
| Sandvik AB | | | 2,220 | | | | 38,341 | |
| Skanska AB, Class B | | | 20,222 | | | | 468,931 | |
| SKF AB, Class B | | | 5,941 | | | | 129,707 | |
| Svenska Handelsbanken AB, Class A | | | 2,802 | | | | 42,333 | |
| Swedbank AB, Class A | | | 854 | | | | 23,649 | |
| Swedish Match AB | | | 36,094 | | | | 1,267,672 | |
| Tele2 AB, Class B | | | 33,841 | | | | 387,788 | |
| Telefonaktiebolaget LM Ericsson, Class B | | | 28,405 | | | | 163,757 | |
| Telia Co. AB | | | 206,738 | | | | 974,861 | |
| Volvo AB, Class B | | | 28,527 | | | | 550,801 | |
| | | | | | | | |
| | | | | | | 8,955,246 | |
| | | | | | | | |
| Switzerland - 4.8% | | | | | | |
| ABB Ltd. (Registered) | | | 11,056 | | | | 273,393 | |
| Adecco Group AG (Registered) * | | | 1,995 | | | | 155,419 | |
Chocoladefabriken Lindt &
Spruengli AG | | | 9 | | | | 51,339 | |
| Coca-Cola HBC AG * | | | 25,235 | | | | 854,426 | |
| Ferguson plc | | | 3,514 | | | | 230,551 | |
| Kuehne + Nagel International AG (Registered) | | | 6,770 | | | | 1,254,486 | |
| Nestle SA (Registered) | | | 21,363 | | | | 1,793,237 | |
| Novartis AG (Registered) | | | 10,829 | | | | 928,857 | |
| Roche Holding AG | | | 4,873 | | | | 1,245,637 | |
| Schindler Holding AG | | | 1,572 | | | | 347,406 | |
| SGS SA (Registered) | | | 108 | | | | 259,338 | |
| Sika AG | | | 24 | | | | 178,696 | |
| Sonova Holding AG (Registered) | | | 2,981 | | | | 505,983 | |
| Swatch Group AG (The) | | | 142 | | | | 59,174 | |
| Swiss Re AG | | | 6,636 | | | | 601,516 | |
| Swisscom AG (Registered) | | | 694 | | | | 355,818 | |
| Zurich Insurance Group AG | | | 638 | | | | 194,960 | |
| | | | | | | | |
| | | | | | | 9,290,236 | |
| | | | | | | | |
| United Kingdom - 9.9% | |
| Admiral Group plc | | | 20,048 | | | | 488,520 | |
| Associated British Foods plc | | | 31,583 | | | | 1,352,122 | |
| AstraZeneca plc | | | 10,504 | | | | 698,531 | |
| BAE Systems plc | | | 47,484 | | | | 402,130 | |
| BP plc | | | 15,556 | | | | 99,652 | |
| British American Tobacco plc | | | 7,846 | | | | 491,189 | |
| BT Group plc | | | 342,449 | | | | 1,302,503 | |
| Bunzl plc | | | 3,697 | | | | 112,312 | |
| Burberry Group plc | | | 26,496 | | | | 625,612 | |
| Centrica plc | | | 324,728 | | | | 813,886 | |
| Compass Group plc | | | 12,485 | | | | 264,901 | |
| Diageo plc | | | 26,783 | | | | 880,773 | |
| Direct Line Insurance Group plc | | | 120,945 | | | | 589,618 | |
| Dixons Carphone plc | | | 7,700 | | | | 19,965 | |
| easyJet plc | | | 8,422 | | | | 137,436 | |
| GKN plc | | | 10,759 | | | | 49,853 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United Kingdom - 9.9% (continued) | |
| GlaxoSmithKline plc | | | 23,655 | | | $ | 472,878 | |
| HSBC Holdings plc | | | 89,959 | | | | 889,320 | |
| Imperial Brands plc | | | 11,065 | | | | 472,263 | |
| International Consolidated Airlines Group SA | | | 4,841 | | | | 38,581 | |
| ITV plc | | | 43,737 | | | | 102,472 | |
| J Sainsbury plc | | | 12,622 | | | | 40,243 | |
| Kingfisher plc | | | 113,011 | | | | 452,460 | |
| Marks & Spencer Group plc | | | 41,185 | | | | 194,998 | |
| National Grid plc | | | 133,023 | | | | 1,647,564 | |
| Next plc | | | 481 | | | | 33,907 | |
| Pearson plc | | | 116,359 | | | | 954,213 | |
| Reckitt Benckiser Group plc | | | 11,569 | | | | 1,057,037 | |
| Royal Mail plc | | | 197,122 | | | | 1,014,999 | |
| Sage Group plc (The) | | | 17,119 | | | | 160,317 | |
| Smith & Nephew plc | | | 51,219 | | | | 925,794 | |
| SSE plc | | | 44,544 | | | | 833,514 | |
| Tate & Lyle plc | | | 21,446 | | | | 186,220 | |
| Travis Perkins plc | | | 2,417 | | | | 46,915 | |
| Unilever NV, CVA | | | 5,592 | | | | 330,548 | |
| United Utilities Group plc | | | 2,762 | | | | 31,626 | |
| Vodafone Group plc | | | 129,785 | | | | 363,423 | |
| Whitbread plc | | | 1,298 | | | | 65,518 | |
| WPP plc | | | 40,152 | | | | 745,064 | |
| | | | | | | | |
| | | | | | | 19,388,877 | |
| | | | | | | | |
| United States - 0.0% (c) | | | | | | |
| Shire plc | | | 1,638 | | | | 83,430 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $167,210,252) | | | | | | | 187,255,432 | |
| | | | | | | | |
|
| SHORT-TERM INVESTMENT - 3.1% | |
|
| Investment Company - 3.1% | |
| Limited Purpose Cash Investment Fund, 0.97% (d) | | | | | | | | |
(Cost $6,024,208) | | | 6,024,811 | | | | 6,024,208 | |
| | | | | | | | |
|
| SECURITIES LENDING COLLATERAL - 0.6% | |
| | |
| Investment Companies - 0.6% | | | | | | |
| Investments in a Pooled Account through Securities Lending Program with Citibank NA BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares | | | | | | | | |
| 0.91% (d)(e) | | | 192,159 | | | | 192,159 | |
| UBS Asset Management Americas, Inc. | | | | | | | | |
| 1.10% (d)(e) | | | 893,217 | | | | 893,217 | |
| 1.16% (d)(e) | | | 148,869 | | | | 148,869 | |
| | | | | | | | |
TOTAL INVESTMENT COMPANIES
(Cost $1,234,245) | | | | 1,234,245 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
152
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL AMOUNT | | | VALUE | |
| U.S. TREASURY OBLIGATION - 0.0% (c) | |
Investments in a Pooled Account through Securities Lending Program with Citibank NA
U.S. Treasury Bonds, 3.00%, 11/15/2044 (e) | | | | | | | | |
(Cost $52) | | $ | 52 | | | $ | 52 | |
| | | | | | | | |
TOTAL SECURITIES LENDING COLLATERAL
(Cost $1,234,297) | | | | | | | 1,234,297 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES
AT VALUE - 99.8%
(Cost $174,468,757) | | | | | | | 194,513,937 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 0.2% (f) | | | | | 394,706 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 194,908,643 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 19,476,027 | | | | 10.0 | % |
| Consumer Staples | | | 34,652,522 | | | | 17.8 | |
| Energy | | | 5,599,776 | | | | 2.9 | |
| Financials | | | 23,685,185 | | | | 12.2 | |
| Health Care | | | 18,979,278 | | | | 9.7 | |
| Industrials | | | 30,643,668 | | | | 15.7 | |
| Information Technology | | | 9,796,659 | | | | 5.0 | |
| Materials | | | 8,750,865 | | | | 4.5 | |
| Telecommunication Services | | | 15,838,364 | | | | 8.1 | |
| Utilities | | | 19,833,088 | | | | 10.2 | |
| Short-Term Investment | | | 6,024,208 | | | | 3.1 | |
| Securities Lending Collateral | | | 1,234,297 | | | | 0.6 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 194,513,937 | | | | 99.8 | |
| Other Assets in Excess of Liabilities (f) | | | 394,706 | | | | 0.2 | |
| | | | | | | | |
Net Assets | | $ | 194,908,643 | | | | 100.0 | % |
| | | | | | | | |
| * | Non-income producing security. |
| (a) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2017 amounted to $2,688,809, which represents approximately 1.38% of net assets of the fund. |
| (b) | The security or a portion of this security is on loan at September 30, 2017. The total value of securities on loan at September 30, 2017 was $1,173,876. |
| (c) | Represents less than 0.05% of net assets. |
| (d) | Represents 7-day effective yield as of September 30, 2017. |
| (e) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
| (f) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 4). |
Abbreviations
CVA - Dutch Certification
OYJ - Public Traded Company
Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
SCA - Limited partnership with share capital
SDR - Swedish Depositary Receipt
Futures contracts outstanding as of September 30, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | |
| MSCI Emerging Markets E-Mini Index | | | 58 | | | 12/2017 | | | USD | | | | $5,737,360 | | | | $34,834 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | $34,834 | |
| | | | | | | | | | | | | | | | | | |
USD - United States Dollar
Collateral pledged to, or (received from), each counterparty at September 30, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED | | | TOTAL | |
| JPMS | | | | | | | | | |
| Cash | | | $— | | | | $204,261 | | | | $204,261 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
153
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING DEFENSIVE STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| COMMON STOCKS - 95.2% | | | | | | |
| | |
| Brazil - 4.6% | | | | | | |
| Ambev SA, ADR (1) | | | 91,801 | | | $ | 604,969 | |
| BB Seguridade Participacoes SA (1) | | | 9,700 | | | | 87,287 | |
| Centrais Eletricas Brasileiras SA (1) * | | | 6,200 | | | | 38,584 | |
| Engie Brasil Energia SA (1) | | | 29,900 | | | | 344,962 | |
| Equatorial Energia SA (1) | | | 2,700 | | | | 52,318 | |
| Localiza Rent a Car SA (1) * | | | 15,130 | | | | 276,311 | |
| Lojas Renner SA (1)* | | | 3,300 | | | | 37,510 | |
| Natura Cosmeticos SA (1) | | | 2,700 | | | | 26,683 | |
| Odontoprev SA (1) | | | 138,000 | | | | 666,656 | |
| Qualicorp SA (1) | | | 6,100 | | | | 72,264 | |
| Raia Drogasil SA (1) * | | | 3,900 | | | | 92,317 | |
| Sul America SA (1) | | | 10,100 | | | | 56,924 | |
| Telefonica Brasil SA, ADR (1) | | | 3,051 | | | | 48,328 | |
| TIM Participacoes SA, ADR (1) | | | 16,843 | | | | 307,890 | |
| Ultrapar Participacoes SA (1) | | | 6,000 | | | | 143,220 | |
| WEG SA (1) | | | 34,580 | | | | 234,308 | |
| | | | | | | | |
| | | | | | | 3,090,531 | |
| | | | | | | | |
| Chile - 5.1% | | | | | | |
| Aguas Andinas SA, Class A (1) | | | 960,047 | | | | 610,827 | |
| Banco de Chile (1) | | | 5,728,636 | | | | 873,817 | |
| Banco Santander Chile, ADR (1) | | | 3,574 | | | | 106,184 | |
| Cia Cervecerias Unidas SA, ADR (1) | | | 9,687 | | | | 260,871 | |
| Empresas COPEC SA (1) | | | 6,440 | | | | 84,320 | |
| Enel Americas SA, ADR (1) | | | 31,377 | | | | 320,673 | |
| Enel Chile SA, ADR (1) | | | 21,897 | | | | 131,382 | |
| Enel Generacion Chile SA, ADR (1) | | | 9,324 | | | | 245,781 | |
| SACI Falabella (1) | | | 73,453 | | | | 716,329 | |
| Sociedad Quimica y Minera de Chile SA, ADR (1) | | | 1,252 | | | | 69,686 | |
| | | | | | | | |
| | | | | | | 3,419,870 | |
| | | | | | | | |
| China - 12.2% | | | | | | |
| Agricultural Bank of China Ltd., Class H | | | 832,000 | | | | 374,525 | |
| ANTA Sports Products Ltd. | | | 87,000 | | | | 366,778 | |
| Bank of China Ltd., Class H | | | 677,000 | | | | 336,282 | |
| Bank of Communications Co. Ltd., Class H | | | 158,000 | | | | 115,975 | |
| Beijing Capital International Airport Co. Ltd., Class H | | | 98,000 | | | | 146,274 | |
| China Communications Services Corp. Ltd., Class H | | | 1,004,000 | | | | 518,357 | |
| China Construction Bank Corp., Class H | | | 672,000 | | | | 561,424 | |
| China Everbright Bank Co. Ltd., Class H | | | 97,000 | | | | 44,923 | |
| China Huishan Dairy Holdings Co. Ltd. (3)*(a) | | | 700,000 | | | | 1 | |
| China Merchants Bank Co. Ltd., Class H | | | 26,000 | | | | 92,067 | |
| China Mobile Ltd. | | | 90,000 | | | | 913,676 | |
| China Petroleum & Chemical Corp., Class H | | | 364,000 | | | | 274,340 | |
| China Resources Beer Holdings Co. Ltd. | | | 8,000 | | | | 21,705 | |
| China Resources Gas Group Ltd. | | | 92,000 | | | | 321,142 | |
| China Resources Power Holdings Co. Ltd. | | | 14,000 | | | | 25,356 | |
| China Telecom Corp. Ltd., Class H | | | 938,000 | | | | 482,590 | |
| China Unicom Hong Kong Ltd. * | | | 38,000 | | | | 53,127 | |
| CSPC Pharmaceutical Group Ltd. | | | 384,000 | | | | 645,350 | |
| ENN Energy Holdings Ltd. | | | 38,000 | | | | 275,296 | |
| Great Wall Motor Co. Ltd., Class H | | | 55,500 | | | | 68,690 | |
| Guangdong Investment Ltd. | | | 510,000 | | | | 728,236 | |
| Haitian International Holdings Ltd. | | | 54,000 | | | | 155,393 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| China - 12.2% (continued) | | | | | | |
| Hengan International Group Co. Ltd. | | | 14,500 | | | $ | 134,470 | |
| HengTen Networks Group Ltd. *(b) | | | 3,352,000 | | | | 125,120 | |
| Industrial & Commercial Bank of China Ltd., Class H | | | 735,000 | | | | 549,420 | |
| Jiangsu Expressway Co. Ltd., Class H | | | 170,000 | | | | 261,070 | |
| People’s Insurance Co. Group of China Ltd. (The), Class H | | | 55,000 | | | | 24,683 | |
| Shandong Weigao Group Medical Polymer Co. Ltd., Class H | | | 40,000 | | | | 28,440 | |
| Shenzhou International Group Holdings Ltd. | | | 11,000 | | | | 86,266 | |
| Sinopec Engineering Group Co. Ltd., Class H | | | 67,500 | | | | 59,648 | |
| Tencent Holdings Ltd. | | | 1,600 | | | | 69,953 | |
| Tsingtao Brewery Co. Ltd., Class H | | | 36,000 | | | | 138,335 | |
| Want Want China Holdings Ltd. | | | 278,000 | | | | 195,867 | |
| Zhuzhou CRRC Times Electric Co. Ltd., Class H | | | 10,000 | | | | 56,130 | |
| | | | | | | | |
| | | | | | | 8,250,909 | |
| | | | | | | | |
| Hong Kong - 1.7% | | | | | | |
| China Gas Holdings Ltd. | | | 30,000 | | | | 90,041 | |
| Haier Electronics Group Co. Ltd. * | | | 95,000 | | | | 232,522 | |
| Sino Biopharmaceutical Ltd. | | | 547,000 | | | | 579,511 | |
| Sun Art Retail Group Ltd. | | | 281,000 | | | | 261,763 | |
| | | | | | | | |
| | | | | | | 1,163,837 | |
| | | | | | | | |
| India - 7.8% | | | | | | |
| Axis Bank Ltd., GDR (c) | | | 6,212 | | | | 240,008 | |
| Dr Reddy’s Laboratories Ltd., ADR (1) | | | 14,370 | | | | 512,722 | |
| ICICI Bank Ltd., ADR (1) | | | 44,195 | | | | 378,309 | |
| Infosys Ltd., ADR (1) | | | 60,685 | | | | 885,394 | |
| Larsen & Toubro Ltd., GDR (c) | | | 21,306 | | | | 376,303 | |
| Reliance Industries Ltd., GDR (d) | | | 40,326 | | | | 962,814 | |
| State Bank of India, GDR (c) | | | 11,325 | | | | 435,952 | |
| Tata Motors Ltd., ADR (1)* | | | 14,262 | | | | 445,973 | |
| Wipro Ltd., ADR (1) | | | 174,400 | | | | 990,592 | |
| | | | | | | | |
| | | | | | | 5,228,067 | |
| | | | | | | | |
| Indonesia - 2.8% | | | | | | |
| Bank Central Asia Tbk. PT | | | 119,600 | | | | 180,349 | |
| Hanjaya Mandala Sampoerna Tbk. PT | | | 1,327,700 | | | | 380,852 | |
| Indofood CBP Sukses Makmur Tbk. PT | | | 38,500 | | | | 24,959 | |
| Kalbe Farma Tbk. PT | | | 2,949,500 | | | | 364,925 | |
| Semen Indonesia Persero Tbk. PT | | | 43,000 | | | | 32,359 | |
| Telekomunikasi Indonesia Persero Tbk. PT | | | 1,102,600 | | | | 383,462 | |
| Unilever Indonesia Tbk. PT | | | 153,200 | | | | 557,171 | |
| | | | | | | | |
| | | | | | | 1,924,077 | |
| | | | | | | | |
| Malaysia - 7.7% | | | | | | |
| British American Tobacco Malaysia Bhd. | | | 15,500 | | | | 160,536 | |
| DiGi.Com Bhd. | | | 435,400 | | | | 505,471 | |
| IHH Healthcare Bhd. | | | 180,400 | | | | 245,698 | |
| Kuala Lumpur Kepong Bhd. | | | 26,100 | | | | 151,823 | |
| Malayan Banking Bhd. | | | 311,500 | | | | 703,540 | |
| Maxis Bhd. | | | 126,400 | | | | 173,709 | |
| MISC Bhd. | | | 48,800 | | | | 84,482 | |
| Petronas Chemicals Group Bhd. | | | 68,200 | | | | 117,808 | |
| Petronas Gas Bhd. | | | 147,800 | | | | 627,532 | |
| Public Bank Bhd. | | | 197,100 | | | | 954,458 | |
| Telekom Malaysia Bhd. | | | 323,700 | | | | 498,756 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
154
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING DEFENSIVE STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Malaysia - 7.7% (continued) | | | | | | |
| Tenaga Nasional Bhd. | | | 106,100 | | | $ | 360,033 | |
| Westports Holdings Bhd. | | | 660,700 | | | | 596,813 | |
| | | | | | | | |
| | | | | | | 5,180,659 | |
| | | | | | | | |
| Mexico - 5.7% | | | | | | |
| America Movil SAB de CV, Class L, ADR (1) | | | 2,082 | | | | 36,956 | |
| Arca Continental SAB de CV (1) | | | 71,200 | | | | 486,709 | |
| Coca-Cola Femsa SAB de CV, ADR (1) | | | 2,295 | | | | 177,013 | |
| Fomento Economico Mexicano SAB de CV, ADR (1) | | | 2,772 | | | | 264,809 | |
| Gentera SAB de CV (1) | | | 90,600 | | | | 146,821 | |
| Gruma SAB de CV, Class B (1) | | | 28,310 | | | | 413,892 | |
| Grupo Aeroportuario del Pacifico SAB de CV, ADR (1) | | | 5,821 | | | | 596,827 | |
| Grupo Aeroportuario del Sureste SAB de CV, ADR (1) | | | 1,979 | | | | 377,633 | |
| Grupo Bimbo SAB de CV, Series A (1) | | | 53,400 | | | | 128,940 | |
| Grupo Lala SAB de CV (1) | | | 143,900 | | | | 243,389 | |
| Kimberly-Clark de Mexico SAB de CV, Class A (1) | | | 18,000 | | | | 36,623 | |
| Wal-Mart de Mexico SAB de CV (1) | | | 403,900 | | | | 924,911 | |
| | | | | | | | |
| | | | | | | 3,834,523 | |
| | | | | | | | |
| Philippines - 0.8% | | | | | | |
| Bank of the Philippine Islands | | | 226,000 | | | | 442,691 | |
| BDO Unibank, Inc. | | | 17,100 | | | | 44,042 | |
| Jollibee Foods Corp. | | | 5,120 | | | | 24,573 | |
| Universal Robina Corp. | | | 19,220 | | | | 57,894 | |
| | | | | | | | |
| | | | | | | 569,200 | |
| | | | | | | | |
| Poland - 3.3% | | | | | | |
| Bank Pekao SA | | | 10,096 | | | | 354,508 | |
| Bank Zachodni WBK SA | | | 2,955 | | | | 283,116 | |
| Eurocash SA | | | 9,132 | | | | 96,766 | |
| Jastrzebska Spolka Weglowa SA * | | | 4,443 | | | | 117,571 | |
| LPP SA | | | 162 | | | | 362,881 | |
| PGE Polska Grupa Energetyczna SA * | | | 69,490 | | | | 253,456 | |
| Polski Koncern Naftowy ORLEN SA | | | 9,987 | | | | 333,230 | |
| Polskie Gornictwo Naftowe i Gazownictwo SA | | | 30,228 | | | | 56,284 | |
| Powszechna Kasa Oszczednosci Bank Polski SA * | | | 4,356 | | | | 42,230 | |
| Powszechny Zaklad Ubezpieczen SA | | | 23,945 | | | | 302,208 | |
| | | | | | | | |
| | | | | | | 2,202,250 | |
| | | | | | | | |
| Russia - 0.7% | | | | | | |
| Mobile TeleSystems PJSC, ADR (1) | | | 6,586 | | | | 68,758 | |
| PhosAgro PJSC, GDR (c) | | | 5,439 | | | | 77,546 | |
| Severstal PJSC, GDR (c) | | | 20,460 | | | | 306,229 | |
| | | | | | | | |
| | | | | | | 452,533 | |
| | | | | | | | |
| South Africa - 6.2% | | | | | | |
| Bidvest Group Ltd. (The) | | | 22,037 | | | | 281,042 | |
| Capitec Bank Holdings Ltd. | | | 5,945 | | | | 377,143 | |
| Coronation Fund Managers Ltd. | | | 6,963 | | | | 34,675 | |
| Mondi Ltd. | | | 10,770 | | | | 287,792 | |
| Mr Price Group Ltd. | | | 18,914 | | | | 251,540 | |
| Nedbank Group Ltd. | | | 2,862 | | | | 42,823 | |
| Netcare Ltd. | | | 80,072 | | | | 141,205 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| South Africa - 6.2% (continued) | | | | | | |
| Pick n Pay Stores Ltd. | | | 129,535 | | | $ | 551,228 | |
| Pioneer Foods Group Ltd. | | | 1,933 | | | | 16,125 | |
| RMB Holdings Ltd. | | | 75,209 | | | | 352,534 | |
| Shoprite Holdings Ltd. | | | 19,349 | | | | 295,722 | |
| SPAR Group Ltd. (The) | | | 13,671 | | | | 168,820 | |
| Standard Bank Group Ltd. | | | 2,577 | | | | 30,065 | |
| Telkom SA SOC Ltd. | | | 11,944 | | | | 52,323 | |
| Tiger Brands Ltd. | | | 11,828 | | | | 329,770 | |
| Truworths International Ltd. | | | 13,872 | | | | 79,096 | |
| Vodacom Group Ltd. | | | 74,383 | | | | 884,885 | |
| | | | | | | | |
| | | | | | | 4,176,788 | |
| | | | | | | | |
| South Korea - 14.0% | | | | | | |
| Amorepacific Corp. | | | 476 | | | | 108,054 | |
| BGF retail Co. Ltd. | | �� | 4,904 | | | | 356,261 | |
| Celltrion, Inc. * | | | 223 | | | | 27,706 | |
| Cheil Worldwide, Inc. | | | 8,801 | | | | 140,084 | |
| CJ Logistics Corp. * | | | 192 | | | | 27,446 | |
| Coway Co. Ltd. | | | 2,627 | | | | 215,939 | |
| Dongbu Insurance Co. Ltd. | | | 9,486 | | | | 606,047 | |
| Hanmi Science Co. Ltd. * | | | 739 | | | | 59,450 | |
| Hanon Systems | | | 34,155 | | | | 376,681 | |
| Hanssem Co. Ltd. | | | 1,389 | | | | 183,917 | |
| Hanwha Life Insurance Co. Ltd. | | | 15,054 | | | | 90,179 | |
| Hyundai Engineering & Construction Co. Ltd. | | | 2,835 | | | | 95,262 | |
| Hyundai Glovis Co. Ltd. | | | 2,099 | | | | 271,681 | |
| Hyundai Marine & Fire Insurance Co. Ltd. | | | 11,393 | | | | 451,856 | |
| Hyundai Mobis Co. Ltd. | | | 689 | | | | 144,661 | |
| Kangwon Land, Inc. | | | 11,440 | | | | 350,020 | |
| KEPCO Plant Service & Engineering Co. Ltd. | | | 1,770 | | | | 64,192 | |
| Kia Motors Corp. | | | 10,074 | | | | 278,715 | |
| KT Corp. | | | 1,517 | | | | 38,675 | |
| KT&G Corp. | | | 4,734 | | | | 436,857 | |
| LG Chem Ltd. | | | 1,339 | | | | 460,016 | |
| LG Household & Health Care Ltd. | | | 140 | | | | 114,570 | |
| LG Uplus Corp. | | | 27,611 | | | | 322,379 | |
| NAVER Corp. | | | 728 | | | | 474,970 | |
| NCSoft Corp. | | | 838 | | | | 340,693 | |
| Ottogi Corp. | | | 45 | | | | 28,873 | |
| S-1 Corp. | | | 8,200 | | | | 639,891 | |
| Samsung Biologics Co. Ltd. *(d) | | | 1,180 | | | | 349,161 | |
| Samsung Electronics Co. Ltd. | | | 442 | | | | 994,599 | |
| Samsung Fire & Marine Insurance Co. Ltd. | | | 1,141 | | | | 279,614 | |
| Samsung Life Insurance Co. Ltd. | | | 2,063 | | | | 203,921 | |
| Samsung SDS Co. Ltd. | | | 2,010 | | | | 296,822 | |
| SK Hynix, Inc. | | | 3,500 | | | | 255,256 | |
| SK Telecom Co. Ltd. | | | 1,673 | | | | 373,294 | |
| | | | | | | | |
| | | | | | | 9,457,742 | |
| | | | | | | | |
| Taiwan - 12.8% | | | | | | |
| Advantech Co. Ltd. | | | 32,998 | | | | 235,568 | |
| Asustek Computer, Inc. | | | 32,000 | | | | 263,706 | |
| Chang Hwa Commercial Bank Ltd. | | | 630,126 | | | | 341,104 | |
| Cheng Shin Rubber Industry Co. Ltd. | | | 16,000 | | | | 32,057 | |
| Chunghwa Telecom Co. Ltd. | | | 262,600 | | | | 904,639 | |
| Delta Electronics, Inc. | | | 10,000 | | | | 51,595 | |
| E.Sun Financial Holding Co. Ltd. | | | 159,501 | | | | 95,325 | |
| Far EasTone Telecommunications Co. Ltd. | | | 370,000 | | | | 880,290 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
155
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING DEFENSIVE STYLE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Taiwan - 12.8% (continued) | | | | | | |
| Feng TAY Enterprise Co. Ltd. | | | 19,040 | | | $ | 86,797 | |
| First Financial Holding Co. Ltd. | | | 1,162,915 | | | | 746,906 | |
| Formosa Petrochemical Corp. | | | 121,000 | | | | 417,950 | |
| Hon Hai Precision Industry Co. Ltd. | | | 44,583 | | | | 154,833 | |
| Hua Nan Financial Holdings Co. Ltd. | | | 569,874 | | | | 309,490 | |
| Lite-On Technology Corp. | | | 31,023 | | | | 44,439 | |
| MediaTek, Inc. | | | 3,000 | | | | 28,230 | |
| Mega Financial Holding Co. Ltd. | | | 518,000 | | | | 405,462 | |
| Micro-Star International Co. Ltd. | | | 80,000 | | | | 172,557 | |
| Nien Made Enterprise Co. Ltd. | | | 26,000 | | | | 266,985 | |
| Novatek Microelectronics Corp. | | | 22,000 | | | | 82,873 | |
| OBI Pharma, Inc. * | | | 3,000 | | | | 17,157 | |
| President Chain Store Corp. | | | 105,000 | | | | 886,207 | |
| Realtek Semiconductor Corp. | | | 62,442 | | | | 215,716 | |
| Taiwan Cooperative Financial Holding Co. Ltd. | | | 317,404 | | | | 163,986 | |
| Taiwan Mobile Co. Ltd. | | | 225,000 | | | | 801,937 | |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR (1) | | | 16,131 | | | | 605,719 | |
| Teco Electric and Machinery Co. Ltd. | | | 21,000 | | | | 18,834 | |
| Uni-President Enterprises Corp. | | | 176,172 | | | | 369,387 | |
| | | | | | | | |
| | | | | | | 8,599,749 | |
| | | | | | | | |
| Thailand - 8.1% | | | | | | |
| Advanced Info Service PCL, NVDR | | | 24,700 | | | | 141,535 | |
| Airports of Thailand PCL, NVDR | | | 638,400 | | | | 1,131,261 | |
| Bangkok Bank PCL, NVDR | | | 30,000 | | | | 167,975 | |
| Bangkok Dusit Medical Services PCL, NVDR | | | 401,700 | | | | 247,114 | |
| BTS Group Holdings PCL, NVDR | | | 732,400 | | | | 187,965 | |
| Bumrungrad Hospital PCL, NVDR | | | 122,400 | | | | 789,605 | |
| Delta Electronics Thailand PCL, NVDR | | | 111,300 | | | | 291,765 | |
| Electricity Generating PCL, NVDR | | | 16,800 | | | | 118,435 | |
| Glow Energy PCL, NVDR | | | 153,900 | | | | 412,019 | |
| Home Product Center PCL, NVDR | | | 1,610,300 | | | | 590,091 | |
| Kasikornbank PCL, NVDR | | | 44,600 | | | | 277,365 | |
| Krung Thai Bank PCL, NVDR | | | 299,700 | | | | 169,164 | |
| Robinson PCL, NVDR | | | 182,600 | | | | 353,593 | |
| Siam Cement PCL (The), NVDR | | | 11,500 | | | | 172,576 | |
| Siam Commercial Bank PCL (The), NVDR | | | 96,900 | | | | 445,530 | |
| | | | | | | | |
| | | | | | | 5,495,993 | |
| | | | | | | | |
| Turkey - 1.7% | | | | | | |
| BIM Birlesik Magazalar A/S | | | 44,708 | | | | 932,177 | |
| Turk Telekomunikasyon A/S * | | | 49,264 | | | | 93,956 | |
| Turkcell Iletisim Hizmetleri A/S | | | 26,773 | | | | 95,219 | |
| | | | | | | | |
| | | | | | | 1,121,352 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $57,364,944) | | | | | | | 64,168,080 | |
| | | | | | | | |
|
| SHORT-TERM INVESTMENT - 4.3% | |
| | |
| Investment Company - 4.3% | | | | | | |
| Limited Purpose Cash Investment Fund, 0.97% (e) | | | | | | | | |
(Cost $2,909,628) | | | 2,909,919 | | | | 2,909,628 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| SECURITIES LENDING COLLATERAL - 0.2% | |
| | |
| Investment Companies - 0.2% | | | | | | |
| Investments in a Pooled Account through Securities Lending Program with Citibank NA | | | | | | | | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares | | | | | | | | |
| 0.91% (e)(f) | | | 19,570 | | | $ | 19,570 | |
| UBS Asset Management Americas, Inc. | | | | | | | | |
| 1.10% (e)(f) | | | 90,969 | | | | 90,969 | |
| 1.16% (e)(f) | | | 15,161 | | | | 15,161 | |
| | | | | | | | |
TOTAL SECURITIES LENDING COLLATERAL
(Cost $125,700) | | | | | | | 125,700 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES
AT VALUE - 99.7%
(Cost $60,400,272) | | | | | | | 67,203,408 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES - 0.3% (g) | | | | | | | 187,241 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 67,390,649 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 5,816,820 | | | | 8.6 | % |
| Consumer Staples | | | 10,437,322 | | | | 15.5 | |
| Energy | | | 2,272,159 | | | | 3.4 | |
| Financials | | | 13,322,905 | | | | 19.8 | |
| Health Care | | | 4,746,964 | | | | 7.0 | |
| Industrials | | | 5,938,766 | | | | 8.8 | |
| Information Technology | | | 6,455,280 | | | | 9.6 | |
| Materials | | | 1,641,584 | | | | 2.4 | |
| Telecommunication Services | | | 8,580,209 | | | | 12.7 | |
| Utilities | | | 4,956,071 | | | | 7.4 | |
| Short-Term Investment | | | 2,909,628 | | | | 4.3 | |
| Securities Lending Collateral | | | 125,700 | | | | 0.2 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 67,203,408 | | | | 99.7 | |
| Other Assets in Excess of Liabilities (g) | | | 187,241 | | | | 0.3 | |
| | | | | | | | |
Net Assets | | $ | 67,390,649 | | | | 100.0 | % |
| | | | | | | | |
| * | Non-income producing security. |
| (a) | Security fair valued as of September 30, 2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2017 amounted to $1, which represents approximately 0.00% of net assets of the fund. |
| (b) | The security or a portion of this security is on loan at September 30, 2017. The total value of securities on loan at September 30, 2017 was $93,352. |
| (c) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States. At September 30, 2017, the value of these securities amounted to $1,436,038 or 2.13% of net assets. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
156
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING DEFENSIVE STYLE FUND | | | | |
| (d) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2017 amounted to $1,311,975, which represents approximately 1.95% of net assets of the fund. |
| (e) | Represents 7-day effective yield as of September 30, 2017. |
| (f) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
| (g) | Includes appreciation/(depreciation) on futures contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) Level 1 security (See Note 4).
(3) Level 3 security (See Note 4).
Abbreviations
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
NVDR - Non-Voting Depositary Receipt
PJSC - Public Joint Stock Company
Futures contracts outstanding as of September 30, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | |
| MSCI Emerging Markets E-Mini Index | | 48 | | 12/2017 | | | USD | | | | $2,614,320 | | | | $(18,747 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $(18,747 | ) |
| | | | | | | | | | | | | | | | |
USD – United States Dollar
Collateral pledged to, or (received from), each counterparty at September 30, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED | | | TOTAL | |
| JPMS | | | | | | | | | |
| Cash | | | $— | | | | $114,900 | | | | $114,900 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
157
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| COMMON STOCKS - 89.1% | |
|
| Australia - 1.9% | |
| ASX Ltd. | | | 891 | | | $ | 36,724 | |
| Aurizon Holdings Ltd. | | | 12,920 | | | | 49,788 | |
| BGP Holdings plc (3)*(a) | | | 96,388 | | | | 1,727 | |
| BHP Billiton Ltd. | | | 14,837 | | | | 300,891 | |
| BHP Billiton plc | | | 8,193 | | | | 144,574 | |
| CIMIC Group Ltd. | | | 24,668 | | | | 857,255 | |
| Computershare Ltd. | | | 2,187 | | | | 24,882 | |
| Crown Resorts Ltd. | | | 6,397 | | | | 56,881 | |
| Fortescue Metals Group Ltd. | | | 53,242 | | | | 215,616 | |
| Goodman Group, REIT | | | 8,333 | | | | 53,953 | |
| GPT Group (The), REIT | | | 14,922 | | | | 58,146 | |
| LendLease Group | | | 2,927 | | | | 41,239 | |
| Mirvac Group, REIT | | | 33,659 | | | | 60,549 | |
| Orica Ltd. | | | 20,711 | | | | 322,386 | |
| Origin Energy Ltd. * | | | 62,372 | | | | 367,325 | |
| Qantas Airways Ltd. | | | 12,471 | | | | 57,121 | |
| QBE Insurance Group Ltd. | | | 28,279 | | | | 222,939 | |
| Scentre Group, REIT | | | 25,938 | | | | 80,069 | |
| South32 Ltd. | | | 222,116 | | | | 574,616 | |
| Stockland, REIT | | | 17,557 | | | | 59,292 | |
| Vicinity Centres, REIT | | | 26,832 | | | | 56,043 | |
| Westfield Corp., REIT | | | 9,064 | | | | 55,808 | |
| | | | | | | | |
| | | | | | | 3,697,824 | |
| | | | | | | | |
| Belgium - 0.5% | | | | | | |
| Ageas | | | 1,474 | | | | 69,328 | |
| Solvay SA | | | 1,558 | | | | 232,919 | |
| UCB SA | | | 9,620 | | | | 685,600 | |
| | | | | | | | |
| | | | | | | 987,847 | |
| | | | | | | | |
| Canada - 2.8% | | | | | | |
| Bank of Montreal (1) | | | 1,401 | | | | 106,028 | |
| Bank of Nova Scotia (The) (1) | | | 1,109 | | | | 71,282 | |
| Barrick Gold Corp. (1) | | | 3,091 | | | | 49,743 | |
| BlackBerry Ltd. (1)* | | | 12,163 | | | | 135,984 | |
| Canadian Imperial Bank of Commerce (1) | | | 4,430 | | | | 387,596 | |
| Crescent Point Energy Corp. (1) | | | 1,800 | | | | 14,455 | |
| Dollarama, Inc. (1) | | | 1,953 | | | | 213,699 | |
| Encana Corp. (1) | | | 10,192 | | | | 119,992 | |
| Great-West Lifeco, Inc. (1) | | | 1,345 | | | | 38,709 | |
| Husky Energy, Inc. (1)* | | | 48,446 | | | | 606,473 | |
| Industrial Alliance Insurance & Financial Services, Inc. (1) | | | 1,494 | | | | 67,651 | |
| Linamar Corp. (1) | | | 3,139 | | | | 191,548 | |
| Magna International, Inc. (1) | | | 6,132 | | | | 327,253 | |
| Manulife Financial Corp. (1) | | | 9,122 | | | | 185,035 | |
| Methanex Corp. (1) | | | 8,861 | | | | 445,269 | |
| Power Corp. of Canada (1) | | | 1,646 | | | | 41,831 | |
| RioCan REIT (1) | | | 4,036 | | | | 77,404 | |
| Royal Bank of Canada (1) | | | 712 | | | | 55,088 | |
| Suncor Energy, Inc. (1) | | | 30,178 | | | | 1,057,651 | |
| Teck Resources Ltd., Class B (1) | | | 17,305 | | | | 364,338 | |
| Veresen, Inc. | | | 7,006 | | | | 105,163 | |
| West Fraser Timber Co. Ltd. (1) | | | 11,070 | | | | 638,782 | |
| | | | | | | | |
| | | | | | | 5,300,974 | |
| | | | | | | | |
| China - 0.2% | | | | | | |
| Yangzijiang Shipbuilding Holdings Ltd. | | | 304,600 | | | | 321,973 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Denmark - 1.1% | | | | | | |
| Danske Bank A/S | | | 14,179 | | | $ | 568,203 | |
| Novo Nordisk A/S, Class B | | | 4,959 | | | | 238,422 | |
| TDC A/S | | | 69,121 | | | | 405,365 | |
| Vestas Wind Systems A/S | | | 9,429 | | | | 847,533 | |
| | | | | | | | |
| | | | | | | 2,059,523 | |
| | | | | | | | |
| Finland - 0.4% | | | | | | |
| Neste OYJ | | | 3,046 | | | | 133,124 | |
| Nokia OYJ | | | 18,004 | | | | 108,177 | |
| Orion OYJ, Class B | | | 5,476 | | | | 254,262 | |
| UPM-Kymmene OYJ | | | 13,195 | | | | 357,995 | |
| | | | | | | | |
| | | | | | | 853,558 | |
| | | | | | | | |
| France - 3.9% | | | | | | |
| Atos SE | | | 8,592 | | | | 1,332,688 | |
| BNP Paribas SA | | | 8,575 | | | | 691,795 | |
| Capgemini SE | | | 2,359 | | | | 276,533 | |
| Christian Dior SE | | | 333 | | | | 102,254 | |
| Cie de Saint-Gobain | | | 9,301 | | | | 554,154 | |
| Cie Generale des Etablissements Michelin | | | 2,847 | | | | 415,382 | |
| CNP Assurances | | | 13,685 | | | | 320,820 | |
| Eiffage SA | | | 1,457 | | | | 150,892 | |
| Engie SA | | | 8,229 | | | | 139,740 | |
| Eutelsat Communications SA | | | 7,934 | | | | 234,868 | |
| Imerys SA | | | 657 | | | | 59,363 | |
| Klepierre SA, REIT | | | 1,669 | | | | 65,553 | |
| Lagardere SCA | | | 2,155 | | | | 72,193 | |
| Peugeot SA | | | 50,468 | | | | 1,201,400 | |
| Renault SA | | | 1,767 | | | | 173,621 | |
| Sanofi | | | 10,663 | | | | 1,061,466 | |
| Sodexo SA | | | 407 | | | | 50,737 | |
| Thales SA | | | 2,472 | | | | 279,955 | |
| Unibail-Rodamco SE, REIT | | | 614 | | | | 149,412 | |
| | | | | | | | |
| | | | | | | 7,332,826 | |
| | | | | | | | |
| Germany - 3.7% | | | | | | |
| Allianz SE (Registered) | | | 1,653 | | | | 371,242 | |
| BASF SE | | | 2,128 | | | | 226,709 | |
| Bayer AG (Registered) | | | 3,923 | | | | 535,895 | |
| Commerzbank AG * | | | 10,561 | | | | 144,026 | |
| Covestro AG (b) | | | 19,599 | | | | 1,686,508 | |
| Deutsche Lufthansa AG (Registered) | | | 36,174 | | | | 1,005,959 | |
| Fresenius SE & Co. KGaA | | | 1,365 | | | | 110,387 | |
| HOCHTIEF AG | | | 1,209 | | | | 204,204 | |
| Infineon Technologies AG | | | 5,507 | | | | 138,845 | |
| Linde AG | | | 540 | | | | 112,292 | |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | | | 2,012 | | | | 430,620 | |
| OSRAM Licht AG | | | 3,713 | | | | 296,555 | |
| Porsche Automobil Holding SE (Preference) | | | 865 | | | | 55,344 | |
| RWE AG * | | | 51,814 | | | | 1,178,766 | |
| Schaeffler AG (Preference) | | | 22,892 | | | | 369,374 | |
| Siemens AG (Registered) | | | 703 | | | | 99,200 | |
| TUI AG | | | 4,095 | | | | 69,489 | |
| | | | | | | | |
| | | | | | | 7,035,415 | |
| | | | | | | | |
| Hong Kong - 1.3% | | | | | | |
| ASM Pacific Technology Ltd. | | | 1,082 | | | | 15,629 | |
| CK Asset Holdings Ltd. | | | 52,201 | | | | 433,964 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
158
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Hong Kong - 1.3% (continued) | | | | | | |
| CK Infrastructure Holdings Ltd. | | | 2,749 | | | $ | 23,699 | |
| Henderson Land Development Co. Ltd. | | | 8,000 | | | | 53,211 | |
| Hong Kong Exchanges & Clearing Ltd. | | | 5,269 | | | | 142,306 | |
| I-CABLE Communications Ltd. * | | | 24,328 | | | | 799 | |
| Kerry Properties Ltd. | | | 175,500 | | | | 728,949 | |
| Link REIT | | | 10,829 | | | | 88,061 | |
| New World Development Co. Ltd. | | | 135,000 | | | | 194,795 | |
| NWS Holdings Ltd. | | | 7,500 | | | | 14,660 | |
| PCCW Ltd. | | | 19,406 | | | | 10,533 | |
| Sino Land Co. Ltd. | | | 52,000 | | | | 91,676 | |
| SJM Holdings Ltd. | | | 117,000 | | | | 107,483 | |
| Sun Hung Kai Properties Ltd. | | | 19,000 | | | | 309,515 | |
| Wharf Holdings Ltd. (The) | | | 7,000 | | | | 62,623 | |
| Wheelock & Co. Ltd. | | | 27,000 | | | | 190,590 | |
| | | | | | | | |
| | | | | | | 2,468,493 | |
| | | | | | | | |
| Italy - 1.0% | | | | | | |
| Assicurazioni Generali SpA | | | 4,272 | | | | 79,678 | |
| Atlantia SpA | | | 3,558 | | | | 112,424 | |
| Eni SpA | | | 20,857 | | | | 345,428 | |
| GEDI Gruppo Editoriale SpA * | | | 1,365 | | | | 1,210 | |
| Intesa Sanpaolo SpA | | | 299,918 | | | | 1,061,803 | |
| Mediobanca SpA | | | 12,310 | | | | 132,289 | |
| Poste Italiane SpA (b) | | | 11,672 | | | | 85,985 | |
| Telecom Italia SpA * | | | 102,796 | | | | 96,426 | |
| | | | | | | | |
| | | | | | | 1,915,243 | |
| | | | | | | | |
| Japan - 7.3% | | | | | | |
| Aeon Mall Co. Ltd. | | | 700 | | | | 12,461 | |
| Aisin Seiki Co. Ltd. | | | 2,200 | | | | 115,990 | |
| Amada Holdings Co. Ltd. | | | 12,500 | | | | 137,242 | |
| ANA Holdings, Inc. | | | 3,800 | | | | 143,940 | |
| Asahi Group Holdings Ltd. | | | 1,400 | | | | 56,614 | |
| Astellas Pharma, Inc. | | | 36,100 | | | | 459,464 | |
| Bandai Namco Holdings, Inc. | | | 8,500 | | | | 292,016 | |
| Brother Industries Ltd. | | | 13,800 | | | | 321,758 | |
| Daito Trust Construction Co. Ltd. | | | 486 | | | | 88,541 | |
| Daiwa House Industry Co. Ltd. | | | 2,451 | | | | 84,664 | |
| FUJIFILM Holdings Corp. | | | 4,444 | | | | 172,655 | |
| Fujitsu Ltd. | | | 72,115 | | | | 536,719 | |
| Hikari Tsushin, Inc. * | | | 700 | | | | 87,817 | |
| Hitachi Construction Machinery Co. Ltd. | | | 1,700 | | | | 50,381 | |
| Hitachi High-Technologies Corp. | | | 13,058 | | | | 474,251 | |
| Hitachi Ltd. | | | 101,000 | | | | 712,136 | |
| Hulic Co. Ltd. | | | 1,500 | | | | 14,708 | |
| Japan Airlines Co. Ltd. | | | 5,900 | | | | 199,723 | |
| Japan Real Estate Investment Corp., REIT | | | 17 | | | | 81,738 | |
| Japan Retail Fund Investment Corp., REIT | | | 37 | | | | 66,394 | |
| JFE Holdings, Inc. | | | 14,000 | | | | 273,837 | |
| JXTG Holdings, Inc. | | | 53,700 | | | | 276,889 | |
| Kajima Corp. | | | 63,000 | | | | 626,183 | |
| Kamigumi Co. Ltd. | | | 9,000 | | | | 208,509 | |
| Kao Corp. | | | 4,100 | | | | 241,381 | |
| Kirin Holdings Co. Ltd. | | | 3,400 | | | | 79,879 | |
| Marubeni Corp. | | | 27,900 | | | | 190,730 | |
| Mazda Motor Corp. | | | 18,700 | | | | 286,483 | |
| Mebuki Financial Group, Inc. | | | 45,000 | | | | 174,113 | |
| Mitsubishi Corp. | | | 13,600 | | | | 316,415 | |
| Mitsubishi Electric Corp. | | | 7,600 | | | | 118,890 | |
| Mitsubishi Estate Co. Ltd. | | | 5,764 | | | | 100,175 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - 7.3% (continued) | | | | | | |
| Mitsubishi Gas Chemical Co., Inc. | | | 15,900 | | | $ | 373,070 | |
| Mitsubishi UFJ Financial Group, Inc. | | | 12,400 | | | | 80,623 | |
| Mitsui Fudosan Co. Ltd. | | | 4,598 | | | | 99,699 | |
| Mixi, Inc. | | | 4,200 | | | | 202,843 | |
| MS&AD Insurance Group Holdings, Inc. | | | 15,100 | | | | 486,618 | |
| Nexon Co. Ltd. * | | | 2,400 | | | | 62,741 | |
| NH Foods Ltd. | | | 3,000 | | | | 82,452 | |
| Nintendo Co. Ltd. | | | 300 | | | | 110,620 | |
| Nippon Building Fund, Inc., REIT | | | 12 | | | | 59,825 | |
| Nippon Electric Glass Co. Ltd. | | | 4,000 | | | | 155,056 | |
| Nippon Express Co. Ltd. | | | 4,600 | | | | 299,884 | |
| Nippon Telegraph & Telephone Corp. | | | 15,896 | | | | 728,366 | |
| Nomura Holdings, Inc. | | | 24,300 | | | | 136,347 | |
| Nomura Real Estate Holdings, Inc. | | | 1,000 | | | | 21,332 | |
| NTT DOCOMO, Inc. | | | 5,300 | | | | 121,141 | |
| Obayashi Corp. | | | 25,800 | | | | 309,457 | |
| ORIX Corp. | | | 15,300 | | | | 247,007 | |
| Otsuka Corp. | | | 1,100 | | | | 70,549 | |
| Panasonic Corp. | | | 11,100 | | | | 161,083 | |
| Pola Orbis Holdings, Inc. | | | 4,400 | | | | 133,046 | |
| Rakuten, Inc. | | | 16,200 | | | | 176,868 | |
| Resona Holdings, Inc. | | | 14,300 | | | | 73,522 | |
| Sega Sammy Holdings, Inc. | | | 12,400 | | | | 173,335 | |
| Sekisui House Ltd. | | | 2,900 | | | | 48,882 | |
| Seven & i Holdings Co. Ltd. | | | 1,300 | | | | 50,225 | |
| Shimamura Co. Ltd. | | | 1,500 | | | | 179,932 | |
| Shin-Etsu Chemical Co. Ltd. | | | 900 | | | | 80,550 | |
| Shionogi & Co. Ltd. | | | 1,500 | | | | 82,000 | |
| SoftBank Group Corp. | | | 3,400 | | | | 275,727 | |
| Sompo Holdings, Inc. | | | 8,500 | | | | 331,240 | |
| Sony Corp. | | | 3,000 | | | | 111,926 | |
| Start Today Co. Ltd. | | | 3,200 | | | | 101,408 | |
| Subaru Corp. | | | 8,800 | | | | 317,391 | |
| Sumitomo Realty & Development Co. Ltd. | | | 2,624 | | | | 79,390 | |
| Taisei Corp. | | | 8,600 | | | | 451,000 | |
| THK Co. Ltd. * | | | 1,500 | | | | 51,163 | |
| Tokyo Electron Ltd. | | | 1,300 | | | | 200,134 | |
| Tokyo Tatemono Co. Ltd. | | | 1,200 | | | | 15,350 | |
| Tokyu Fudosan Holdings Corp. | | | 2,900 | | | | 17,504 | |
| Toyota Motor Corp. | | | 1,400 | | | | 83,480 | |
| | | | | | | | |
| | | | | | | 13,845,482 | |
| | | | | | | | |
| Netherlands - 1.8% | | | | | | |
| ABN AMRO Group NV, CVA (b) | | | 35,671 | | | | 1,068,140 | |
| ASML Holding NV | | | 1,683 | | | | 287,587 | |
| ING Groep NV | | | 19,668 | | | | 362,528 | |
| Koninklijke DSM NV | | | 2,195 | | | | 179,696 | |
| Koninklijke Philips NV | | | 7,572 | | | | 312,421 | |
| NN Group NV | | | 8,654 | | | | 362,398 | |
| Randstad Holding NV | | | 2,698 | | | | 166,746 | |
| Royal Dutch Shell plc, Class B | | | 14,108 | | | | 434,331 | |
| Wolters Kluwer NV | | | 3,972 | | | | 183,566 | |
| | | | | | | | |
| | | | | | | 3,357,413 | |
| | | | | | | | |
| Singapore - 0.2% | | | | | | |
| Genting Singapore plc | | | 435,100 | | | | 376,237 | |
| Sembcorp Industries Ltd. | | | 4,477 | | | | 9,801 | |
| Singapore Exchange Ltd. | | | 4,067 | | | | 22,190 | |
| | | | | | | | |
| | | | | | | 408,228 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
159
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| South Africa - 0.2% | | | | | | |
| Investec plc | | | 30,286 | | | $ | 221,402 | |
| Mondi plc | | | 10,041 | | | | 269,954 | |
| | | | | | | | |
| | | | | | | 491,356 | |
| | | | | | | | |
| Spain - 1.2% | | | | | | |
| Banco Bilbao Vizcaya Argentaria SA | | | 19,497 | | | | 174,311 | |
| Banco Santander SA | | | 139,763 | | | | 977,621 | |
| Endesa SA | | | 4,402 | | | | 99,331 | |
| Mapfre SA | | | 79,192 | | | | 258,054 | |
| Repsol SA | | | 38,521 | | | | 710,881 | |
| | | | | | | | |
| | | | | | | 2,220,198 | |
| | | | | | | | |
| Sweden - 0.8% | | | | | | |
| Boliden AB | | | 19,907 | | | | 675,233 | |
| Electrolux AB, Series B | | | 3,685 | | | | 125,422 | |
| Investor AB, Class B | | | 2,204 | | | | 109,041 | |
| Kinnevik AB, Class B | | | 1,380 | | | | 45,083 | |
| Sandvik AB | | | 7,583 | | | | 130,963 | |
| Skandinaviska Enskilda Banken AB, Class A | | | 10,218 | | | | 134,808 | |
| Telefonaktiebolaget LM Ericsson, Class B | | | 19,539 | | | | 112,644 | |
| Volvo AB, Class B | | | 14,320 | | | | 276,491 | |
| | | | | | | | |
| | | | | | | 1,609,685 | |
| | | | | | | | |
| Switzerland - 3.3% | | | | | | |
| ABB Ltd. (Registered) | | | 21,125 | | | | 522,379 | |
| Adecco Group AG (Registered) * | | | 10,330 | | | | 804,754 | |
| Coca-Cola HBC AG * | | | 12,053 | | | | 408,099 | |
| Lonza Group AG (Registered) * | | | 420 | | | | 110,361 | |
| Nestle SA (Registered) | | | 6,506 | | | | 546,122 | |
| Novartis AG (Registered) | | | 4,289 | | | | 367,889 | |
| Partners Group Holding AG | | | 74 | | | | 50,238 | |
| Roche Holding AG | | | 4,831 | | | | 1,234,901 | |
| Sika AG | | | 115 | | | | 856,254 | |
| Swiss Life Holding AG (Registered) * | | | 791 | | | | 278,861 | |
| Swiss Re AG | | | 5,580 | | | | 505,796 | |
| Zurich Insurance Group AG | | | 1,708 | | | | 521,930 | |
| | | | | | | | |
| | | | | | | 6,207,584 | |
| | | | | | | | |
| United Kingdom - 5.0% | | | | | | |
| 3i Group plc | | | 9,545 | | | | 116,861 | |
| Ashtead Group plc | | | 10,534 | | | | 254,123 | |
| Barclays plc | | | 386,902 | | | | 1,003,230 | |
| Barratt Developments plc | | | 73,193 | | | | 602,977 | |
| Berkeley Group Holdings plc | | | 3,978 | | | | 198,251 | |
| British Land Co. plc (The), REIT | | | 7,594 | | | | 61,312 | |
| BT Group plc | | | 163,418 | | | | 621,560 | |
| Burberry Group plc | | | 5,406 | | | | 127,644 | |
| Compass Group plc | | | 4,373 | | | | 92,784 | |
| Fiat Chrysler Automobiles NV * | | | 10,072 | | | | 180,504 | |
| G4S plc | | | 19,366 | | | | 72,252 | |
| GKN plc | | | 40,370 | | | | 187,057 | |
| GlaxoSmithKline plc | | | 12,895 | | | | 257,779 | |
| Hammerson plc, REIT | | | 10,045 | | | | 72,327 | |
| HSBC Holdings plc | | | 5,099 | | | | 50,408 | |
| International Consolidated Airlines Group SA | | | 42,966 | | | | 342,419 | |
| Land Securities Group plc, REIT | | | 4,643 | | | | 60,550 | |
| Lloyds Banking Group plc | | | 430,518 | | | | 391,236 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United Kingdom - 5.0% (continued) | | | | | | |
| Micro Focus International plc, ADR (1)* | | | 1,498 | | | $ | 47,786 | |
| Persimmon plc | | | 33,787 | | | | 1,169,280 | |
| Randgold Resources Ltd. | | | 867 | | | | 84,738 | |
| Rio Tinto plc | | | 10,102 | | | | 470,240 | |
| Royal Mail plc | | | 109,137 | | | | 561,956 | |
| Standard Life Aberdeen plc | | | 40,095 | | | | 233,068 | |
| Tate & Lyle plc | | | 79,529 | | | | 690,566 | |
| Taylor Wimpey plc | | | 339,122 | | | | 888,822 | |
| Unilever plc | | | 5,942 | | | | 343,919 | |
| Wm Morrison Supermarkets plc | | | 37,956 | | | | 119,102 | |
| WPP plc | | | 9,808 | | | | 181,998 | |
| | | | | | | | |
| | | | | | | 9,484,749 | |
| | | | | | | | |
| United States - 52.5% | | | | | | |
| AbbVie, Inc. (1) | | | 8,510 | | | | 756,199 | |
| Activision Blizzard, Inc. (1) | | | 2,373 | | | | 153,082 | |
| Aetna, Inc. (1) | | | 4,617 | | | | 734,149 | |
| Aflac, Inc. (1) | | | 6,205 | | | | 505,025 | |
| Akamai Technologies, Inc. (1)* | | | 7,541 | | | | 367,398 | |
| Alexion Pharmaceuticals, Inc. (1)* | | | 1,009 | | | | 141,553 | |
| Allstate Corp. (The) (1) | | | 12,210 | | | | 1,122,221 | |
| Alphabet, Inc., Class A (1)* | | | 1,423 | | | | 1,385,604 | |
| Alphabet, Inc., Class C (1)* | | | 1,331 | | | | 1,276,575 | |
| Altria Group, Inc. (1) | | | 7,484 | | | | 474,635 | |
| Amazon.com, Inc. (1)* | | | 1,518 | | | | 1,459,329 | |
| Ameren Corp. (1) | | | 2,735 | | | | 158,192 | |
| American Electric Power Co., Inc. (1) | | | 9,141 | | | | 642,064 | |
| American Tower Corp., REIT (1) | | | 2,400 | | | | 328,032 | |
| Ameriprise Financial, Inc. (1) | | | 688 | | | | 102,175 | |
| Amgen, Inc. (1) | | | 5,601 | | | | 1,044,306 | |
| Anthem, Inc. (1) | | | 2,771 | | | | 526,157 | |
| Apple, Inc. (1) | | | 25,639 | | | | 3,951,483 | |
| Applied Materials, Inc. (1) | | | 16,001 | | | | 833,492 | |
| Archer-Daniels-Midland Co. (1) | | | 11,226 | | | | 477,217 | |
| Assurant, Inc. (1) | | | 1,055 | | | | 100,774 | |
| AT&T, Inc. (1) | | | 19,206 | | | | 752,299 | |
| AvalonBay Communities, Inc., REIT (1) | | | 811 | | | | 144,699 | |
| Axis Capital Holdings Ltd. (1) | | | 4,284 | | | | 245,516 | |
| Bank of America Corp. (1) | | | 19,773 | | | | 501,048 | |
| Baxter International, Inc. (1) | | | 5,271 | | | | 330,755 | |
| Bed Bath & Beyond, Inc. (1) | | | 8,884 | | | | 208,507 | |
| Berkshire Hathaway, Inc., Class B (1)* | | | 5,283 | | | | 968,480 | |
| Best Buy Co., Inc. (1) | | | 11,465 | | | | 653,046 | |
| Biogen, Inc. (1)* | | | 2,296 | | | | 718,924 | |
| Boeing Co. (The) (1) | | | 6,584 | | | | 1,673,719 | |
| Boston Properties, Inc., REIT (1) | | | 709 | | | | 87,122 | |
| Bristol-Myers Squibb Co. (1) | | | 9,539 | | | | 608,016 | |
| Broadcom Ltd. (1) | | | 211 | | | | 51,176 | |
| Bunge Ltd. (1) | | | 906 | | | | 62,931 | |
| Cadence Design Systems, Inc. (1)* | | | 4,377 | | | | 172,760 | |
| Capital One Financial Corp. (1) | | | 7,738 | | | | 655,099 | |
| Carnival Corp. (1) | | | 5,876 | | | | 379,413 | |
| Caterpillar, Inc. (1) | | | 1,475 | | | | 183,947 | |
| CDK Global, Inc. (1) | | | 1,070 | | | | 67,506 | |
| Celanese Corp., Series A (1) | | | 5,686 | | | | 592,879 | |
| Celgene Corp. (1)* | | | 3,067 | | | | 447,230 | |
| Centene Corp. (1)* | | | 5,875 | | | | 568,524 | |
| Chevron Corp. (1) | | | 853 | | | | 100,227 | |
| Cigna Corp. (1) | | | 2,539 | | | | 474,641 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
160
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United States - 52.5% (continued) | | | | | | |
| Cisco Systems, Inc. (1) | | | 20,613 | | | $ | 693,215 | |
| Citigroup, Inc. (1) | | | 8,747 | | | | 636,257 | |
| Citrix Systems, Inc. (1)* | | | 1,433 | | | | 110,083 | |
| Cognizant Technology Solutions Corp., Class A (1) | | | 2,619 | | | | 189,982 | |
| Colgate-Palmolive Co. (1) | | | 1,081 | | | | 78,751 | |
| Comcast Corp., Class A (1) | | | 28,795 | | | | 1,108,032 | |
| Conagra Brands, Inc. (1) | | | 5,448 | | | | 183,816 | |
| Crown Castle International Corp., REIT (1) | | | 1,397 | | | | 139,672 | |
| Cummins, Inc. (1) | | | 1,401 | | | | 235,410 | |
| CVS Health Corp. (1) | | | 2,750 | | | | 223,630 | |
| DaVita, Inc. (1)* | | | 1,621 | | | | 96,271 | |
| Delta Air Lines, Inc. (1) | | | 19,113 | | | | 921,629 | |
| Devon Energy Corp. (1) | | | 7,202 | | | | 264,385 | |
| Dick’s Sporting Goods, Inc. (1) | | | 3,177 | | | | 85,811 | |
| Discover Financial Services (1) | | | 10,376 | | | | 669,044 | |
| Dollar Tree, Inc. (1)* | | | 602 | | | | 52,266 | |
| DR Horton, Inc. (1) | | | 7,147 | | | | 285,380 | |
| DTE Energy Co. (1) | | | 4,899 | | | | 525,957 | |
| DXC Technology Co. (1) | | | 1,547 | | | | 132,856 | |
| Eastman Chemical Co. (1) | | | 2,721 | | | | 246,223 | |
| eBay, Inc. (1)* | | | 27,004 | | | | 1,038,574 | |
| Edison International (1) | | | 13,536 | | | | 1,044,573 | |
| Electronic Arts, Inc. (1)* | | | 2,776 | | | | 327,735 | |
| Eli Lilly & Co. (1) | | | 1,998 | | | | 170,909 | |
| Equinix, Inc., REIT (1) | | | 445 | | | | 198,603 | |
| Equity Residential, REIT (1) | | | 2,048 | | | | 135,025 | |
| Essex Property Trust, Inc., REIT (1) | | | 422 | | | | 107,201 | |
| Everest Re Group Ltd. (1) | | | 2,509 | | | | 573,031 | |
| Eversource Energy (1) | | | 5,193 | | | | 313,865 | |
| Exelon Corp. (1) | | | 14,514 | | | | 546,742 | |
| Express Scripts Holding Co. (1)* | | | 6,882 | | | | 435,768 | |
| Exxon Mobil Corp. (1) | | | 9,304 | | | | 762,742 | |
| F5 Networks, Inc. (1)* | | | 2,029 | | | | 244,616 | |
| Facebook, Inc., Class A (1)* | | | 10,766 | | | | 1,839,586 | |
| FLIR Systems, Inc. (1) | | | 1,423 | | | | 55,369 | |
| FNF Group (1) | | | 8,562 | | | | 406,353 | |
| Foot Locker, Inc. (1) | | | 7,918 | | | | 278,872 | |
| Freeport-McMoRan, Inc. (1)* | | | 45,535 | | | | 639,311 | |
| General Dynamics Corp. (1) | | | 2,378 | | | | 488,869 | |
| General Electric Co. (1) | | | 28,186 | | | | 681,537 | |
| General Motors Co. (1) | | | 13,082 | | | | 528,251 | |
| GGP, Inc., REIT (1) | | | 3,709 | | | | 77,036 | |
| Gilead Sciences, Inc. (1) | | | 20,385 | | | | 1,651,593 | |
| H&R Block, Inc. (1) | | | 13,956 | | | | 369,555 | |
| HCP, Inc., REIT (1) | | | 2,772 | | | | 77,145 | |
| HD Supply Holdings, Inc. (1)* | | | 1,443 | | | | 52,049 | |
| Home Depot, Inc. (The) (1) | | | 5,418 | | | | 886,168 | |
| Honeywell International, Inc. (1) | | | 1,264 | | | | 179,159 | |
| Host Hotels & Resorts, Inc., REIT (1) | | | 5,400 | | | | 99,846 | |
| HP, Inc. (1) | | | 11,636 | | | | 232,255 | |
| Humana, Inc. (1) | | | 3,092 | | | | 753,304 | |
| Huntington Ingalls Industries, Inc. (1) | | | 3,693 | | | | 836,243 | |
| Ingersoll-Rand plc (1) | | | 4,566 | | | | 407,150 | |
| Ingredion, Inc. (1) | | | 2,776 | | | | 334,897 | |
| Intel Corp. (1) | | | 20,994 | | | | 799,452 | |
| International Business Machines Corp. (1) | | | 4,936 | | | | 716,115 | |
| Intuit, Inc. (1) | | | 1,101 | | | | 156,496 | |
| Jacobs Engineering Group, Inc. (1) | | | 4,291 | | | | 250,037 | |
| Johnson & Johnson (1) | | | 10,628 | | | | 1,381,746 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United States - 52.5% (continued) | | | | | | |
| JPMorgan Chase & Co. (1) | | | 16,474 | | | $ | 1,573,432 | |
| Juniper Networks, Inc. (1) | | | 2,478 | | | | 68,963 | |
| Kimberly-Clark Corp. (1) | | | 902 | | | | 106,147 | |
| KLA-Tencor Corp. (1) | | | 3,915 | | | | 414,990 | |
| Kohl’s Corp. (1) | | | 2,311 | | | | 105,497 | |
| Lam Research Corp. (1) | | | 1,651 | | | | 305,501 | |
| Las Vegas Sands Corp. (1) | | | 16,660 | | | | 1,068,906 | |
| Lear Corp. (1) | | | 2,382 | | | | 412,277 | |
| Level 3 Communications, Inc. (1)* | | | 2,057 | | | | 109,618 | |
| Lincoln National Corp. (1) | | | 1,778 | | | | 130,647 | |
| Lockheed Martin Corp. (1) | | | 2,059 | | | | 638,887 | |
| Lowe’s Cos., Inc. (1) | | | 8,052 | | | | 643,677 | |
| LyondellBasell Industries NV, Class A (1) | | | 7,673 | | | | 760,011 | |
| Mallinckrodt plc (1)* | | | 1,500 | | | | 56,055 | |
| ManpowerGroup, Inc. (1) | | | 1,968 | | | | 231,870 | |
| Marathon Petroleum Corp. (1) | | | 6,612 | | | | 370,801 | |
| Marvell Technology Group Ltd. (1) | | | 15,077 | | | | 269,878 | |
| Maxim Integrated Products, Inc. (1) | | | 3,681 | | | | 175,621 | |
| McKesson Corp. (1) | | | 3,727 | | | | 572,504 | |
| Merck & Co., Inc. (1) | | | 21,500 | | | | 1,376,645 | |
| Michael Kors Holdings Ltd. (1)* | | | 17,687 | | | | 846,323 | |
| Micron Technology, Inc. (1)* | | | 19,126 | | | | 752,226 | |
| Microsoft Corp. (1) | | | 35,542 | | | | 2,647,524 | |
| Mondelez International, Inc., Class A (1) | | | 1,677 | | | | 68,187 | |
| Monsanto Co. (1) | | | 1,679 | | | | 201,178 | |
| Mylan NV (1)* | | | 1,894 | | | | 59,415 | |
| Newfield Exploration Co. (1)* | | | 2,096 | | | | 62,188 | |
| Newmont Mining Corp. (1) | | | 2,051 | | | | 76,933 | |
| Northrop Grumman Corp. (1) | | | 3,500 | | | | 1,007,020 | |
| Nucor Corp. (1) | | | 3,181 | | | | 178,263 | |
| NVIDIA Corp. (1) | | | 1,871 | | | | 334,479 | |
| Oracle Corp. (1) | | | 21,665 | | | | 1,047,503 | |
| PepsiCo, Inc. (1) | | | 4,305 | | | | 479,706 | |
| Pfizer, Inc. (1) | | | 39,326 | | | | 1,403,938 | |
| PG&E Corp. (1) | | | 9,768 | | | | 665,103 | |
| Philip Morris International, Inc. (1) | | | 5,077 | | | | 563,598 | |
| PNC Financial Services Group, Inc. (The) (1) | | | 6,529 | | | | 879,913 | |
| Procter & Gamble Co. (The) (1) | | | 8,297 | | | | 754,861 | |
| Progressive Corp. (The) (1) | | | 1,335 | | | | 64,641 | |
| Prologis, Inc., REIT (1) | | | 2,980 | | | | 189,111 | |
| Prudential Financial, Inc. (1) | | | 2,213 | | | | 235,286 | |
| Public Service Enterprise Group, Inc. (1) | | | 17,596 | | | | 813,815 | |
| Public Storage, REIT (1) | | | 654 | | | | 139,949 | |
| PulteGroup, Inc. (1) | | | 3,236 | | | | 88,440 | |
| Raytheon Co. (1) | | | 4,215 | | | | 786,435 | |
| Red Hat, Inc. (1)* | | | 802 | | | | 88,910 | |
| Reinsurance Group of America, Inc. (1) | | | 3,320 | | | | 463,240 | |
| Robert Half International, Inc. (1) | | | 14,435 | | | | 726,658 | |
| Ross Stores, Inc. (1) | | | 4,499 | | | | 290,500 | |
| Royal Caribbean Cruises Ltd. (1) | | | 4,668 | | | | 553,345 | |
| S&P Global, Inc. (1) | | | 1,101 | | | | 172,097 | |
| Shire plc | | | 3,495 | | | | 178,014 | |
| Simon Property Group, Inc., REIT (1) | | | 1,352 | | | | 217,686 | |
| Skyworks Solutions, Inc. (1) | | | 2,122 | | | | 216,232 | |
| Southwest Airlines Co. (1) | | | 20,892 | | | | 1,169,534 | |
| Starbucks Corp. (1) | | | 7,031 | | | | 377,635 | |
| Steel Dynamics, Inc. (1) | | | 9,767 | | | | 336,668 | |
| SunTrust Banks, Inc. (1) | | | 14,455 | | | | 863,975 | |
| Synchrony Financial (1) | | | 11,604 | | | | 360,304 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
161
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United States - 52.5% (continued) | | | | | | |
| Target Corp. (1) | | | 5,845 | | | $ | 344,913 | |
| TE Connectivity Ltd. (1) | | | 2,784 | | | | 231,239 | |
| Texas Instruments, Inc. (1) | | | 7,938 | | | | 711,562 | |
| Textron, Inc. (1) | | | 1,544 | | | | 83,191 | |
| Time Warner, Inc. (1) | | | 3,000 | | | | 307,350 | |
| TJX Cos., Inc. (The) (1) | | | 6,840 | | | | 504,313 | |
| Total System Services, Inc. (1) | | | 883 | | | | 57,836 | |
| Travelers Cos., Inc. (The) (1) | | | 6,474 | | | | 793,194 | |
| Tyson Foods, Inc., Class A (1) | | | 1,092 | | | | 76,931 | |
| UGI Corp. (1) | | | 13,305 | | | | 623,472 | |
| Union Pacific Corp. (1) | | | 6,287 | | | | 729,103 | |
| United Continental Holdings, Inc. (1)* | | | 10,113 | | | | 615,679 | |
| United Rentals, Inc. (1)* | | | 2,730 | | | | 378,760 | |
| United Technologies Corp. (1) | | | 2,662 | | | | 309,005 | |
| United Therapeutics Corp. (1)* | | | 2,827 | | | | 331,296 | |
| UnitedHealth Group, Inc. (1) | | | 8,708 | | | | 1,705,462 | |
| Unum Group (1) | | | 1,005 | | | | 51,386 | |
| Valeant Pharmaceuticals International, Inc. (1)* | | | 1,474 | | | | 21,122 | |
| Valero Energy Corp. (1) | | | 1,194 | | | | 91,854 | |
| Ventas, Inc., REIT (1) | | | 2,800 | | | | 182,364 | |
| Verizon Communications, Inc. (1) | | | 17,047 | | | | 843,656 | |
| Vertex Pharmaceuticals, Inc. (1)* | | | 4,309 | | | | 655,140 | |
| Viacom, Inc., Class B (1) | | | 9,699 | | | | 270,020 | |
| Vornado Realty Trust, REIT (1) | | | 729 | | | | 56,046 | |
| Walgreens Boots Alliance, Inc. (1) | | | 1,796 | | | | 138,687 | |
| Wal-Mart Stores, Inc. (1) | | | 22,998 | | | | 1,797,064 | |
| Walt Disney Co. (The) (1) | | | 9,557 | | | | 942,033 | |
| Waste Management, Inc. (1) | | | 7,452 | | | | 583,268 | |
| Wells Fargo & Co. (1) | | | 22,592 | | | | 1,245,949 | |
| Welltower, Inc., REIT (1) | | | 1,800 | | | | 126,504 | |
| Western Digital Corp. (1) | | | 6,048 | | | | 522,547 | |
| Weyerhaeuser Co., REIT (1) | | | 3,285 | | | | 111,789 | |
| Whirlpool Corp. (1) | | | 904 | | | | 166,734 | |
| Williams Cos., Inc. (The) (1) | | | 3,283 | | | | 98,523 | |
| Xerox Corp. (1) | | | 2,476 | | | | 82,426 | |
| | | | | | | | |
| | | | | | | 99,687,752 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $137,954,419) | | | | | | | 169,286,123 | |
| | | | | | | | |
|
| SHORT-TERM INVESTMENTS - 9.0% | |
| |
| Investment Companies - 9.0% | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.92% (c)(d) | | | 2,795,921 | | | | 2,795,921 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.89% (c)(d) | | | 170,000 | | | | 170,000 | |
| Limited Purpose Cash Investment Fund, 0.97% (c) | | | 14,076,030 | | | | 14,074,623 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS (Cost $17,040,544) | | | | | | | 17,040,544 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 98.1%
(Cost $154,994,963) | | | | | | | 186,326,667 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 1.9% (e) | | | | | 3,645,593 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | $ | 189,972,260 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 23,127,714 | | | | 12.2 | % |
| Consumer Staples | | | 8,572,463 | | | | 4.5 | |
| Energy | | | 5,922,432 | | | | 3.1 | |
| Financials | | | 27,048,465 | | | | 14.2 | |
| Health Care | | | 22,910,485 | | | | 12.1 | |
| Industrials | | | 24,449,802 | | | | 12.9 | |
| Information Technology | | | 28,223,063 | | | | 14.8 | |
| Materials | | | 12,027,040 | | | | 6.3 | |
| Real Estate | | | 6,264,648 | | | | 3.3 | |
| Telecommunication Services | | | 3,964,691 | | | | 2.1 | |
| Utilities | | | 6,775,320 | | | | 3.6 | |
| Short-Term Investments | | | 17,040,544 | | | | 9.0 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 186,326,667 | | | | 98.1 | |
| Other Assets in Excess of Liabilities (e) | | | 3,645,593 | | | | 1.9 | |
| | | | | | | | |
Net Assets | | $ | 189,972,260 | | | | 100.0 | % |
| | | | | | | | |
| * | Non-income producing security. |
| (a) | Security fair valued as of September 30, 2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2017 amounted to $1,727, which represents approximately 0.00% of net assets of the fund. |
| (b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2017 amounted to $2,840,633, which represents approximately 1.50% of net assets of the fund. |
| (c) | Represents 7-day effective yield as of September 30, 2017. |
| (d) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (e) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 4). |
| (3) | Level 3 security (See Note 4). |
Abbreviations
ADR - American Depositary Receipt
CVA - Dutch Certification
OYJ - Public Traded Company
Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
REIT - Real Estate Investment Trust
SCA - Limited partnership with share capital
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
162
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | |
| Total return swap contracts outstanding as of September 30, 2017: Over the Counter | |
REFERENCE ENTITY | | PAYMENTS MADE BY FUND | | PAYMENTS RECEIVED BY FUND | | PAYMENT FREQUENCY | | COUNTERPARTY | | MATURITY DATE | | | NOTIONAL AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Hang Seng Index
October Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 10/30/2017 | | | | HKD 55,030,000 | | | | $(7,706 | ) |
Swiss Market
Index December
Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 12/15/2017 | | | | CHF (10,865,890 | ) | | | (141,245 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (148,951 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | $(148,951 | ) |
| | | | | | | | | | | | | | | | | | | | |
Futures contracts outstanding as of September 30, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL AMOUNT | | | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |
| Long Contracts | |
| CAC 40 10 Euro Index | | | 55 | | | 10/2017 | | | EUR | | | | $3,462,465 | | | | $77,653 | |
| Hang Seng Index | | | 29 | | | 10/2017 | | | HKD | | | | 5,107,372 | | | | (7,493 | ) |
| IBEX 35 Index | | | 14 | | | 10/2017 | | | EUR | | | | 1,709,429 | | | | 2,728 | |
| MSCI Singapore Index | | | 7 | | | 10/2017 | | | SGD | | | | 185,650 | | | | 559 | |
| DAX Index | | | 55 | | | 12/2017 | | | EUR | | | | 20,798,190 | | | | 446,411 | |
| FTSE/MIB Index | | | 12 | | | 12/2017 | | | EUR | | | | 1,604,926 | | | | 34,337 | |
| S&P 500 E-Mini Index | | | 1 | | | 12/2017 | | | USD | | | | 125,805 | | | | 1,096 | |
| TOPIX Index | | | 114 | | | 12/2017 | | | JPY | | | | 16,969,562 | | | | 909,125 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 1,464,416 | |
| | | | | | | | | | | | | | | | | | |
| Short Contracts | |
| Amsterdam Exchange Index | | | (3 | ) | | 10/2017 | | | EUR | | | | (380,737 | ) | | | $(6,162 | ) |
| OMXS30 Index | | | (96 | ) | | 10/2017 | | | SEK | | | | (1,929,158 | ) | | | (68,701 | ) |
| FTSE 100 Index | | | (18 | ) | | 12/2017 | | | GBP | | | | (1,767,876 | ) | | | (1,596 | ) |
| S&P/TSX 60 Index | | | (21 | ) | | 12/2017 | | | CAD | | | | (3,092,398 | ) | | | (146,466 | ) |
| SPI 200 Index | | | (191 | ) | | 12/2017 | | | AUD | | | | (21,229,550 | ) | | | 105,128 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | (117,797 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | $1,346,619 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
163
| | |
| Schedule of Investments | | September 30, 2017 |
Forward foreign currency contracts outstanding as of September 30, 2017:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT DATE | | | UNREALIZED APPRECIATION (DEPRECIATION) | |
| CAD | | | 3,054,886 | | | USD | | | 2,435,541 | | | CITG | | | 12/20/2017 | | | | $14,020 | |
| CAD | | | 4,582,326 | | | USD | | | 3,653,314 | | | JPMC | | | 12/20/2017 | | | | 21,024 | |
| CHF | | | 88,400 | | | USD | | | 91,699 | | | CITG | | | 12/20/2017 | | | | 88 | |
| CHF | | | 132,600 | | | USD | | | 137,549 | | | JPMC | | | 12/20/2017 | | | | 132 | |
| DKK | | | 43,200 | | | USD | | | 6,869 | | | CITG | | | 12/20/2017 | | | | 26 | |
| DKK | | | 64,800 | | | USD | | | 10,303 | | | JPMC | | | 12/20/2017 | | | | 38 | |
| EUR | | | 425,180 | | | USD | | | 504,085 | | | CITG | | | 12/20/2017 | | | | 688 | |
| EUR | | | 637,769 | | | USD | | | 756,128 | | | JPMC | | | 12/20/2017 | | | | 1,031 | |
| GBP | | | 364,000 | | | USD | | | 480,912 | | | CITG | | | 12/20/2017 | | | | 8,054 | |
| GBP | | | 546,000 | | | USD | | | 721,368 | | | JPMC | | | 12/20/2017 | | | | 12,080 | |
| HKD | | | 1,012,400 | | | USD | | | 129,818 | | | CITG | | | 12/20/2017 | | | | 44 | |
| HKD | | | 1,518,600 | | | USD | | | 194,727 | | | JPMC | | | 12/20/2017 | | | | 67 | |
| ILS | | | 467,200 | | | USD | | | 131,349 | | | CITG | | | 12/20/2017 | | | | 1,205 | |
| ILS | | | 700,799 | | | USD | | | 197,023 | | | JPMC | | | 12/20/2017 | | | | 1,807 | |
| SGD | | | 28,350 | | | USD | | | 20,847 | | | CITG | | | 12/20/2017 | | | | 72 | |
| SGD | | | 42,524 | | | USD | | | 31,270 | | | JPMC | | | 12/20/2017 | | | | 107 | |
| USD | | | 608,313 | | | AUD | | | 762,000 | | | CITG | | | 12/20/2017 | | | | 11,155 | |
| USD | | | 912,469 | | | AUD | | | 1,143,000 | | | JPMC | | | 12/20/2017 | | | | 16,732 | |
| USD | | | 33,944 | | | CAD | | | 42,000 | | | CITG | | | 12/20/2017 | | | | 266 | |
| USD | | | 50,915 | | | CAD | | | 63,000 | | | JPMC | | | 12/20/2017 | | | | 399 | |
| USD | | | 8,919,629 | | | CHF | | | 8,474,000 | | | CITG | | | 12/20/2017 | | | | 120,909 | |
| USD | | | 13,379,427 | | | CHF | | | 12,711,000 | | | JPMC | | | 12/20/2017 | | | | 181,347 | |
| USD | | | 343,783 | | | DKK | | | 2,135,200 | | | CITG | | | 12/20/2017 | | | | 3,034 | |
| USD | | | 515,674 | | | DKK | | | 3,202,800 | | | JPMC | | | 12/20/2017 | | | | 4,551 | |
| USD | | | 975,196 | | | EUR | | | 810,400 | | | CITG | | | 12/20/2017 | | | | 13,089 | |
| USD | | | 1,463,923 | | | EUR | | | 1,215,600 | | | JPMC | | | 12/20/2017 | | | | 20,762 | |
| USD | | | 27,622 | | | GBP | | | 20,400 | | | CITG | | | 12/20/2017 | | | | 219 | |
| USD | | | 41,434 | | | GBP | | | 30,600 | | | JPMC | | | 12/20/2017 | | | | 328 | |
| USD | | | 28,230 | | | HKD | | | 220,000 | | | CITG | | | 12/20/2017 | | | | 10 | |
| USD | | | 42,344 | | | HKD | | | 330,000 | | | JPMC | | | 12/20/2017 | | | | 15 | |
| USD | | | 3,597,733 | | | JPY | | | 394,372,000 | | | CITG | | | 12/20/2017 | | | | 79,037 | |
| USD | | | 5,396,592 | | | JPY | | | 591,558,000 | | | JPMC | | | 12/20/2017 | | | | 118,549 | |
| USD | | | 4,976,757 | | | NZD | | | 6,859,383 | | | CITG | | | 12/20/2017 | | | | 29,860 | |
| USD | | | 7,465,151 | | | NZD | | | 10,289,073 | | | JPMC | | | 12/20/2017 | | | | 44,806 | |
| USD | | | 4,107,308 | | | SEK | | | 32,934,801 | | | CITG | | | 12/20/2017 | | | | 44,503 | |
| USD | | | 6,160,953 | | | SEK | | | 49,402,200 | | | JPMC | | | 12/20/2017 | | | | 66,747 | |
| USD | | | 39,749 | | | SGD | | | 53,600 | | | CITG | | | 12/20/2017 | | | | 199 | |
| USD | | | 59,624 | | | SGD | | | 80,400 | | | JPMC | | | 12/20/2017 | | | | 299 | |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized appreciation | | | | | | | | | | 817,299 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| AUD | | | 7,982,400 | | | USD | | | 6,351,150 | | | CITG | | | 12/20/2017 | | | | (95,568 | ) |
| AUD | | | 11,973,600 | | | USD | | | 9,526,738 | | | JPMC | | | 12/20/2017 | | | | (143,363 | ) |
| CAD | | | 8,027,514 | | | USD | | | 6,532,549 | | | CITG | | | 12/20/2017 | | | | (95,687 | ) |
| CAD | | | 12,041,272 | | | USD | | | 9,818,860 | | | JPMC | | | 12/20/2017 | | | | (163,565 | ) |
| DKK | | | 362,000 | | | USD | | | 58,349 | | | CITG | | | 12/20/2017 | | | | (579 | ) |
| DKK | | | 543,000 | | | USD | | | 87,523 | | | JPMC | | | 12/20/2017 | | | | (867 | ) |
| EUR | | | 7,564,020 | | | USD | | | 9,086,522 | | | CITG | | | 12/20/2017 | | | | (106,517 | ) |
| EUR | | | 11,346,031 | | | USD | | | 13,629,801 | | | JPMC | | | 12/20/2017 | | | | (159,792 | ) |
| GBP | | | 3,783,600 | | | USD | | | 5,122,938 | | | CITG | | | 12/20/2017 | | | | (40,383 | ) |
| GBP | | | 5,675,400 | | | USD | | | 7,684,417 | | | JPMC | | | 12/20/2017 | | | | (60,584 | ) |
| HKD | | | 105,200 | | | USD | | | 13,498 | | | CITG | | | 12/20/2017 | | | | (3 | ) |
| HKD | | | 157,800 | | | USD | | | 20,246 | | | JPMC | | | 12/20/2017 | | | | (5 | ) |
| ILS | | | 12,000 | | | USD | | | 3,439 | | | CITG | | | 12/20/2017 | | | | (35 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
164
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT DATE | | | UNREALIZED APPRECIATION (DEPRECIATION) | |
| ILS | | | 18,000 | | | USD | | | 5,159 | | | JPMC | | | 12/20/2017 | | | $ | (52 | ) |
| JPY | | | 1,278,386,800 | | | USD | | | 11,725,355 | | | CITG | | | 12/20/2017 | | | | (319,236 | ) |
| JPY | | | 1,917,580,200 | | | USD | | | 17,588,055 | | | JPMC | | | 12/20/2017 | | | | (478,877 | ) |
| NOK | | | 7,700,401 | | | USD | | | 988,165 | | | CITG | | | 12/20/2017 | | | | (19,553 | ) |
| NOK | | | 11,550,600 | | | USD | | | 1,482,249 | | | JPMC | | | 12/20/2017 | | | | (29,331 | ) |
| SEK | | | 4,962,400 | | | USD | | | 619,766 | | | CITG | | | 12/20/2017 | | | | (7,610 | ) |
| SEK | | | 7,443,600 | | | USD | | | 929,651 | | | JPMC | | | 12/20/2017 | | | | (11,415 | ) |
| SGD | | | 140,050 | | | USD | | | 103,786 | | | CITG | | | 12/20/2017 | | | | (448 | ) |
| SGD | | | 210,076 | | | USD | | | 155,681 | | | JPMC | | | 12/20/2017 | | | | (671 | ) |
| USD | | | 414 | | | CHF | | | 400 | | | CITG | | | 12/20/2017 | | | | (1 | ) |
| USD | | | 621 | | | CHF | | | 600 | | | JPMC | | | 12/20/2017 | | | | (2 | ) |
| USD | | | 127 | | | DKK | | | 800 | | | CITG | | | 12/20/2017 | | | | (1 | ) |
| USD | | | 191 | | | DKK | | | 1,200 | | | JPMC | | | 12/20/2017 | | | | (1 | ) |
| USD | | | 4,275,442 | | | GBP | | | 3,302,402 | | | CITG | | | 12/20/2017 | | | | (160,714 | ) |
| USD | | | 6,413,152 | | | GBP | | | 4,953,601 | | | JPMC | | | 12/20/2017 | | | | (241,079 | ) |
| USD | | | 119,714 | | | HKD | | | 934,000 | | | CITG | | | 12/20/2017 | | | | (92 | ) |
| USD | | | 179,571 | | | HKD | | | 1,401,000 | | | JPMC | | | 12/20/2017 | | | | (138 | ) |
| USD | | | 1,575 | | | ILS | | | 5,600 | | | CITG | | | 12/20/2017 | | | | (14 | ) |
| USD | | | 2,362 | | | ILS | | | 8,400 | | | JPMC | | | 12/20/2017 | | | | (21 | ) |
| USD | | | 1,381,012 | | | NZD | | | 1,922,217 | | | CITG | | | 12/20/2017 | | | | (5,266 | ) |
| USD | | | 2,071,516 | | | NZD | | | 2,883,326 | | | JPMC | | | 12/20/2017 | | | | (7,901 | ) |
| USD | | | 11,464 | | | SGD | | | 15,600 | | | CITG | | | 12/20/2017 | | | | (46 | ) |
| USD | | | 17,197 | | | SGD | | | 23,400 | | | JPMC | | | 12/20/2017 | | | | (69 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized depreciation | | | | | | | | | | (2,149,486 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Net unrealized depreciation | | | | | | | | | $ | (1,332,187 | ) |
| | | | | | | | | | | | | | | | | | | | |
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
ILS - Israeli Shekel
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
USD - United States Dollar
Collateral pledged to, or (received from), each counterparty at September 30, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED | | | TOTAL | |
| BARC | | | | | | | | | |
| Cash | | | $— | | | | $2,953,330 | | | | $2,953,330 | |
| |
| CITG | | | | | | | | | |
| Investment Companies | | | 530,409 | | | | — | | | | 530,409 | |
| |
| GSIN | | | | | | | | | |
| Investment Companies | | | 170,000 | | | | — | | | | 170,000 | |
| |
| JPMC | | | | | | | | | |
| Investment Companies | | | 2,260,000 | | | | — | | | | 2,260,000 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
165
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| COMMON STOCKS - 87.8% | |
|
| Australia - 5.8% | |
| AGL Energy Ltd. | | | 14,648 | | | $ | 268,976 | |
| ASX Ltd. | | | 5,022 | | | | 206,988 | |
| Aurizon Holdings Ltd. | | | 175,564 | | | | 676,552 | |
| Australia & New Zealand Banking Group Ltd. | | | 86,088 | | | | 2,005,299 | |
| Bendigo & Adelaide Bank Ltd. | | | 26,119 | | | | 238,471 | |
| BGP Holdings plc (3)*(a) | | | 143,427 | | | | 2,570 | |
| BHP Billiton Ltd. | | | 92,900 | | | | 1,883,993 | |
| BHP Billiton plc | | | 99,955 | | | | 1,763,806 | |
| CIMIC Group Ltd. | | | 122,251 | | | | 4,248,432 | |
| Computershare Ltd. | | | 7,538 | | | | 85,762 | |
| Crown Resorts Ltd. | | | 17,832 | | | | 158,559 | |
| Dexus, REIT | | | 23,093 | | | | 172,329 | |
| Fortescue Metals Group Ltd. | | | 189,263 | | | | 766,467 | |
| Goodman Group, REIT | | | 54,028 | | | | 349,808 | |
| GPT Group (The), REIT | | | 55,477 | | | | 216,176 | |
| Harvey Norman Holdings Ltd. | | | 34,891 | | | | 106,426 | |
| LendLease Group | | | 24,576 | | | | 346,257 | |
| Mirvac Group, REIT | | | 104,753 | | | | 188,439 | |
| National Australia Bank Ltd. | | | 22,268 | | | | 552,088 | |
| Newcrest Mining Ltd. | | | 43,894 | | | | 722,485 | |
| Orica Ltd. | | | 30,075 | | | | 468,146 | |
| Origin Energy Ltd. * | | | 184,555 | | | | 1,086,892 | |
| Qantas Airways Ltd. | | | 159,828 | | | | 732,064 | |
| QBE Insurance Group Ltd. | | | 238,233 | | | | 1,878,126 | |
| Scentre Group, REIT | | | 147,628 | | | | 455,716 | |
| South32 Ltd. | | | 1,180,404 | | | | 3,053,714 | |
| Stockland, REIT | | | 62,453 | | | | 210,910 | |
| Telstra Corp. Ltd. | | | 103,664 | | | | 283,983 | |
| Vicinity Centres, REIT | | | 94,695 | | | | 197,785 | |
| Westfield Corp., REIT | | | 57,863 | | | | 356,267 | |
| | | | | | | | |
| | | | | | | 23,683,486 | |
| | | | | | | | |
| Belgium - 1.3% | | | | | | |
| Ageas | | | 38,067 | | | | 1,790,432 | |
| Groupe Bruxelles Lambert SA | | | 1,290 | | | | 135,788 | |
| Proximus SADP | | | 17,908 | | | | 617,359 | |
| Solvay SA | | | 5,008 | | | | 748,689 | |
| UCB SA | | | 26,398 | | | | 1,881,338 | |
| | | | | | | | |
| | | | | | | 5,173,606 | |
| | | | | | | | |
| Chile - 0.1% | | | | | | |
| Antofagasta plc | | | 18,707 | | | | 238,290 | |
| | | | | | | | |
| | |
| China - 0.4% | | | | | | |
| Yangzijiang Shipbuilding Holdings Ltd. | | | 1,476,700 | | | | 1,560,927 | |
| | | | | | | | |
| | |
| Denmark - 2.1% | | | | | | |
| Carlsberg A/S, Class B | | | 6,256 | | | | 686,496 | |
| Danske Bank A/S | | | 34,915 | | | | 1,399,169 | |
| ISS A/S | | | 6,722 | | | | 271,006 | |
| Novo Nordisk A/S, Class B | | | 19,965 | | | | 959,892 | |
| TDC A/S | | | 282,590 | | | | 1,657,267 | |
| Vestas Wind Systems A/S | | | 38,963 | | | | 3,502,220 | |
| | | | | | | | |
| | | | | | | 8,476,050 | |
| | | | | | | | |
| Finland - 1.2% | | | | | | |
| Fortum OYJ | | | 21,899 | | | | 437,585 | |
| Neste OYJ | | | 19,637 | | | | 858,224 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Finland - 1.2% (continued) | | | | | | |
| Nokia OYJ | | | 154,752 | | | $ | 929,828 | |
| Orion OYJ, Class B | | | 39,076 | | | | 1,814,384 | |
| UPM-Kymmene OYJ | | | 39,018 | | | | 1,058,602 | |
| | | | | | | | |
| | | | | | | 5,098,623 | |
| | | | | | | | |
| France - 9.8% | | | | | | |
| Arkema SA | | | 5,361 | | | | 657,805 | |
| Atos SE | | | 36,016 | | | | 5,586,370 | |
| BNP Paribas SA | | | 47,400 | | | | 3,824,032 | |
| Bouygues SA | | | 4,721 | | | | 224,110 | |
| Capgemini SE | | | 10,900 | | | | 1,277,748 | |
| Cie de Saint-Gobain | | | 19,617 | | | | 1,168,782 | |
| Cie Generale des Etablissements Michelin | | | 18,858 | | | | 2,751,411 | |
| CNP Assurances | | | 27,886 | | | | 653,738 | |
| Engie SA | | | 87,711 | | | | 1,489,456 | |
| Eutelsat Communications SA | | | 17,281 | | | | 511,564 | |
| Imerys SA | | | 2,043 | | | | 184,596 | |
| Klepierre SA, REIT | | | 3,302 | | | | 129,691 | |
| Lagardere SCA | | | 24,072 | | | | 806,422 | |
| LVMH Moet Hennessy Louis Vuitton SE | | | 1,422 | | | | 393,094 | |
| Orange SA | | | 27,719 | | | | 453,869 | |
| Peugeot SA | | | 237,765 | | | | 5,660,039 | |
| Safran SA | | | 8,908 | | | | 910,301 | |
| Sanofi | | | 59,454 | | | | 5,918,448 | |
| Schneider Electric SE * | | | 1,683 | | | | 146,557 | |
| Societe Generale SA | | | 1,848 | | | | 108,295 | |
| Sodexo SA | | | 8,623 | | | | 1,074,951 | |
| Thales SA | | | 31,320 | | | | 3,547,002 | |
| TOTAL SA | | | 24,366 | | | | 1,308,319 | |
| Unibail-Rodamco SE, REIT | | | 3,742 | | | | 910,589 | |
| | | | | | | | |
| | | | | | | 39,697,189 | |
| | | | | | | | |
| Germany - 9.0% | | | | | | |
| Allianz SE (Registered) | | | 12,700 | | | | 2,852,252 | |
| BASF SE | | | 18,898 | | | | 2,013,322 | |
| Bayer AG (Registered) | | | 17,361 | | | | 2,371,571 | |
| Covestro AG (b) | | | 64,738 | | | | 5,570,750 | |
| Deutsche Bank AG (Registered) | | | 23,346 | | | | 404,137 | |
| Deutsche Boerse AG | | | 1,949 | | | | 211,604 | |
| Deutsche Lufthansa AG (Registered) | | | 117,771 | | | | 3,275,080 | |
| Deutsche Wohnen SE | | | 9,934 | | | | 422,180 | |
| E.ON SE | | | 97,894 | | | | 1,109,769 | |
| Fresenius Medical Care AG & Co. KGaA | | | 1,622 | | | | 158,577 | |
| Fresenius SE & Co. KGaA | | | 10,315 | | | | 834,174 | |
| Hannover Rueck SE | | | 2,114 | | | | 254,965 | |
| HOCHTIEF AG | | | 4,071 | | | | 687,604 | |
| Infineon Technologies AG | | | 30,967 | | | | 780,753 | |
| Linde AG | | | 5,612 | | | | 1,167,004 | |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | | | 7,618 | | | | 1,630,450 | |
| OSRAM Licht AG | | | 36,702 | | | | 2,931,368 | |
| Porsche Automobil Holding SE (Preference) | | | 4,664 | | | | 298,411 | |
| RWE AG * | | | 243,321 | | | | 5,535,541 | |
| Schaeffler AG (Preference) | | | 35,630 | | | | 574,908 | |
| Siemens AG (Registered) | | | 20,312 | | | | 2,866,214 | |
| TUI AG | | | 7,740 | | | | 131,342 | |
| Vonovia SE | | | 7,064 | | | | 300,840 | |
| | | | | | | | |
| | | | | | | 36,382,816 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
166
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Hong Kong - 3.0% | | | | | | |
| ASM Pacific Technology Ltd. | | | 6,904 | | | $ | 99,726 | |
| CK Asset Holdings Ltd. | | | 238,962 | | | | 1,986,571 | |
| CK Infrastructure Holdings Ltd. | | | 17,827 | | | | 153,688 | |
| Hong Kong Exchanges & Clearing Ltd. | | | 32,254 | | | | 871,119 | |
| I-CABLE Communications Ltd. * | | | 203,061 | | | | 6,672 | |
| Kerry Properties Ltd. | | | 609,500 | | | | 2,531,592 | |
| Link REIT | | | 67,882 | | | | 552,015 | |
| New World Development Co. Ltd. | | | 701,896 | | | | 1,012,781 | |
| NWS Holdings Ltd. | | | 42,000 | | | | 82,096 | |
| PCCW Ltd. | | | 64,000 | | | | 34,739 | |
| Sino Land Co. Ltd. | | | 288,000 | | | | 507,741 | |
| SJM Holdings Ltd. | | | 496,000 | | | | 455,653 | |
| Sun Hung Kai Properties Ltd. | | | 88,000 | | | | 1,433,542 | |
| Wharf Holdings Ltd. (The) | | | 104,000 | | | | 930,402 | |
| Wheelock & Co. Ltd. | | | 161,000 | | | | 1,136,482 | |
| Yue Yuen Industrial Holdings Ltd. | | | 92,109 | | | | 351,444 | |
| | | | | | | | |
| | | | | | | 12,146,263 | |
| | | | | | | | |
| Italy - 2.4% | | | | | | |
| Enel SpA | | | 605,796 | | | | 3,649,504 | |
| GEDI Gruppo Editoriale SpA * | | | 4,182 | | | | 3,708 | |
| Intesa Sanpaolo SpA | | | 1,108,367 | | | | 3,923,963 | |
| Leonardo SpA | | | 47,186 | | | | 884,744 | |
| Prysmian SpA | | | 29,465 | | | | 995,544 | |
| Recordati SpA | | | 2,307 | | | | 106,461 | |
| | | | | | | | |
| | | | | | | 9,563,924 | |
| | | | | | | | |
| Japan - 20.0% | | | | | | |
| Amada Holdings Co. Ltd. | | | 54,400 | | | | 597,276 | |
| ANA Holdings, Inc. | | | 7,500 | | | | 284,092 | |
| Aozora Bank Ltd. | | | 4,100 | | | | 156,102 | |
| Asahi Kasei Corp. | | | 68,000 | | | | 837,928 | |
| Astellas Pharma, Inc. | | | 221,700 | | | | 2,821,697 | |
| Bandai Namco Holdings, Inc. | | | 59,500 | | | | 2,044,112 | |
| Brother Industries Ltd. | | | 93,100 | | | | 2,170,701 | |
| Daicel Corp. | | | 24,400 | | | | 294,209 | |
| Daito Trust Construction Co. Ltd. | | | 2,487 | | | | 453,088 | |
| Daiwa House Industry Co. Ltd. | | | 8,395 | | | | 289,985 | |
| DeNA Co. Ltd. | | | 14,900 | | | | 334,210 | |
| FUJIFILM Holdings Corp. | | | 17,743 | | | | 689,340 | |
| Fujitsu Ltd. | | | 253,000 | | | | 1,882,964 | |
| Hitachi Chemical Co. Ltd. | | | 38,700 | | | | 1,061,953 | |
| Hitachi High-Technologies Corp. | | | 71,400 | | | | 2,593,162 | |
| Hitachi Ltd. | | | 483,000 | | | | 3,405,562 | |
| Hulic Co. Ltd. | | | 8,000 | | | | 78,444 | |
| Japan Airlines Co. Ltd. | | | 21,900 | | | | 741,344 | |
| Japan Real Estate Investment Corp., REIT | | | 41 | | | | 197,133 | |
| Japan Retail Fund Investment Corp., REIT | | | 73 | | | | 130,994 | |
| Japan Tobacco, Inc. | | | 57,200 | | | | 1,874,499 | |
| JFE Holdings, Inc. | | | 35,200 | | | | 688,505 | |
| Kajima Corp. | | | 194,000 | | | | 1,928,247 | |
| Kamigumi Co. Ltd. | | | 9,500 | | | | 220,093 | |
| Kao Corp. | | | 14,300 | | | | 841,889 | |
| KDDI Corp. | | | 15,300 | | | | 403,308 | |
| Kirin Holdings Co. Ltd. | | | 8,200 | | | | 192,650 | |
| Konami Holdings Corp. | | | 3,100 | | | | 149,244 | |
| Kuraray Co. Ltd. | | | 6,000 | | | | 112,259 | |
| Kyushu Financial Group, Inc. | | | 19,000 | | | | 116,970 | |
| Lion Corp. | | | 14,800 | | | | 270,424 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - 20.0% (continued) | | | | | | |
| Mabuchi Motor Co. Ltd. | | | 2,200 | | | $ | 110,218 | |
| Marubeni Corp. | | | 73,400 | | | | 501,777 | |
| Mazda Motor Corp. | | | 116,900 | | | | 1,790,899 | |
| Mebuki Financial Group, Inc. | | | 139,400 | | | | 539,364 | |
| Medipal Holdings Corp. | | | 10,800 | | | | 187,697 | |
| MINEBEA MITSUMI, Inc. | | | 39,500 | | | | 618,658 | |
| Mitsubishi Corp. | | | 35,800 | | | | 832,917 | |
| Mitsubishi Electric Corp. | | | 46,400 | | | | 725,852 | |
| Mitsubishi Estate Co. Ltd. | | | 38,020 | | | | 660,764 | |
| Mitsubishi Gas Chemical Co., Inc. | | | 97,400 | | | | 2,285,347 | |
| Mitsubishi Materials Corp. | | | 4,900 | | | | 169,722 | |
| Mitsubishi Motors Corp. | | | 65,200 | | | | 516,211 | |
| Mitsubishi UFJ Financial Group, Inc. | | | 307,591 | | | | 1,999,906 | |
| Mitsui Chemicals, Inc. | | | 13,400 | | | | 407,594 | |
| Mitsui Fudosan Co. Ltd. | | | 29,205 | | | | 633,253 | |
| Mixi, Inc. | | | 29,000 | | | | 1,400,583 | |
| Mizuho Financial Group, Inc. | | | 292,900 | | | | 513,465 | |
| MS&AD Insurance Group Holdings, Inc. | | | 66,500 | | | | 2,143,054 | |
| Nexon Co. Ltd. * | | | 24,300 | | | | 635,258 | |
| NH Foods Ltd. | | | 48,000 | | | | 1,319,228 | |
| Nippon Building Fund, Inc., REIT | | | 41 | | | | 204,401 | |
| Nippon Electric Glass Co. Ltd. | | | 13,600 | | | | 527,191 | |
| Nippon Express Co. Ltd. | | | 34,700 | | | | 2,262,165 | |
| Nippon Telegraph & Telephone Corp. | | | 86,638 | | | | 3,969,816 | |
| Nomura Holdings, Inc. | | | 76,100 | | | | 426,996 | |
| Nomura Real Estate Holdings, Inc. | | | 3,900 | | | | 83,195 | |
| Nomura Research Institute Ltd. | | | 4,900 | | | | 191,360 | |
| NTT DOCOMO, Inc. | | | 39,500 | | | | 902,843 | |
| Obayashi Corp. | | | 25,400 | | | | 304,659 | |
| ORIX Corp. | | | 25,300 | | | | 408,449 | |
| Otsuka Corp. | | | 3,000 | | | | 192,407 | |
| Panasonic Corp. | | | 100,400 | | | | 1,457,003 | |
| Rakuten, Inc. | | | 95,500 | | | | 1,042,645 | |
| Resona Holdings, Inc. | | | 444,800 | | | | 2,286,897 | |
| Sega Sammy Holdings, Inc. | | | 66,100 | | | | 923,985 | |
| Sekisui House Ltd. | | | 15,600 | | | | 262,949 | |
| Seven & i Holdings Co. Ltd. | | | 49,300 | | | | 1,904,679 | |
| Shimamura Co. Ltd. | | | 1,100 | | | | 131,950 | |
| Shimizu Corp. | | | 19,100 | | | | 211,807 | |
| Shin-Etsu Chemical Co. Ltd. | | | 7,900 | | | | 707,050 | |
| Shionogi & Co. Ltd. | | | 12,000 | | | | 656,003 | |
| Shiseido Co. Ltd. | | | 16,900 | | | | 676,374 | |
| SoftBank Group Corp. | | | 48,300 | | | | 3,916,951 | |
| Sompo Holdings, Inc. | | | 28,500 | | | | 1,110,629 | |
| Sony Corp. | | | 38,500 | | | | 1,436,384 | |
| Start Today Co. Ltd. | | | 11,900 | | | | 377,113 | |
| Subaru Corp. | | | 38,021 | | | | 1,371,309 | |
| Sumitomo Dainippon Pharma Co. Ltd. | | | 54,000 | | | | 703,463 | |
| Sumitomo Heavy Industries Ltd. | | | 18,800 | | | | 754,615 | |
| Sumitomo Mitsui Financial Group, Inc. | | | 29,936 | | | | 1,150,715 | |
| Sumitomo Realty & Development Co. Ltd. | | | 12,261 | | | | 370,960 | |
| Taisei Corp. | | | 19,600 | | | | 1,027,861 | |
| THK Co. Ltd. | | | 19,100 | | | | 651,475 | |
| Tokyo Electron Ltd. | | | 4,500 | | | | 692,771 | |
| Tokyu Fudosan Holdings Corp. | | | 12,883 | | | | 77,761 | |
| Toyota Motor Corp. | | | 16,178 | | | | 964,669 | |
| Toyota Tsusho Corp. | | | 3,200 | | | | 105,170 | |
| Yokogawa Electric Corp. | | | 32,400 | | | | 552,118 | |
| | | | | | | | |
| | | | | | | 80,852,939 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
167
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Netherlands - 4.1% | | | | | | |
| ABN AMRO Group NV, CVA (b) | | | 77,719 | | | $ | 2,327,235 | |
| ASML Holding NV | | | 9,553 | | | | 1,632,394 | |
| ING Groep NV | | | 98,316 | | | | 1,812,195 | |
| Koninklijke DSM NV | | | 8,488 | | | | 694,879 | |
| Koninklijke Philips NV | | | 58,758 | | | | 2,424,354 | |
| NN Group NV | | | 58,712 | | | | 2,458,645 | |
| Randstad Holding NV | | | 8,580 | | | | 530,276 | |
| Royal Dutch Shell plc, Class B | | | 96,178 | | | | 2,960,948 | |
| Wolters Kluwer NV | | | 40,151 | | | | 1,855,581 | |
| | | | | | | | |
| | | | | | | 16,696,507 | |
| | | | | | | | |
| Singapore - 0.5% | | | | | | |
| Ascendas REIT | | | 102,137 | | | | 200,733 | |
| CapitaLand Commercial Trust, REIT | | | 121,300 | | | | 148,329 | |
| CapitaLand Mall Trust, REIT | | | 120,594 | | | | 177,977 | |
| Genting Singapore plc | | | 1,505,400 | | | | 1,301,739 | |
| Sembcorp Industries Ltd. | | | 29,317 | | | | 64,183 | |
| Singapore Exchange Ltd. | | | 25,572 | | | | 139,525 | |
| | | | | | | | |
| | | | | | | 2,032,486 | |
| | | | | | | | |
| South Africa - 0.9% | | | | | | |
| Investec plc | | | 198,934 | | | | 1,454,282 | |
| Mondi plc | | | 89,891 | | | | 2,416,735 | |
| | | | | | | | |
| | | | | | | 3,871,017 | |
| | | | | | | | |
| Spain - 3.0% | | | | | | |
| Abertis Infraestructuras SA | | | 17,160 | | | | 346,923 | |
| Aena SME SA (b) | | | 3,717 | | | | 671,763 | |
| Banco Bilbao Vizcaya Argentaria SA | | | 94,935 | | | | 848,757 | |
| Banco Santander SA | | | 587,079 | | | | 4,106,528 | |
| Endesa SA | | | 80,674 | | | | 1,820,412 | |
| Mapfre SA | | | 455,904 | | | | 1,485,602 | |
| Repsol SA | | | 161,688 | | | | 2,983,850 | |
| | | | | | | | |
| | | | | | | 12,263,835 | |
| | | | | | | | |
| Sweden - 2.8% | | | | | | |
| Atlas Copco AB, Class B | | | 6,481 | | | | 251,772 | |
| Boliden AB | | | 70,498 | | | | 2,391,247 | |
| Electrolux AB, Series B | | | 45,004 | | | | 1,531,747 | |
| Essity AB, Class B * | | | 35,602 | | | | 970,655 | |
| Getinge AB, Class B | | | 30,185 | | | | 566,694 | |
| Investor AB, Class B | | | 9,454 | | | | 467,729 | |
| Sandvik AB | | | 48,569 | | | | 838,820 | |
| Skandinaviska Enskilda Banken AB, Class A | | | 37,640 | | | | 496,592 | |
| Skanska AB, Class B | | | 39,655 | | | | 919,566 | |
| Swedish Match AB | | | 44,881 | | | | 1,576,284 | |
| Tele2 AB, Class B | | | 9,480 | | | | 108,633 | |
| Telefonaktiebolaget LM Ericsson, Class B | | | 83,473 | | | | 481,229 | |
| Volvo AB, Class B | | | 34,801 | | | | 671,939 | |
| | | | | | | | |
| | | | | | | 11,272,907 | |
| | | | | | | | |
| Switzerland - 8.4% | | | | | | |
| ABB Ltd. (Registered) | | | 122,802 | | | | 3,036,647 | |
| Adecco Group AG (Registered) * | | | 35,247 | | | | 2,745,901 | |
| Coca-Cola HBC AG * | | | 67,092 | | | | 2,271,652 | |
| Ferguson plc | | | 3,224 | | | | 211,524 | |
| Glencore plc * | | | 84,951 | | | | 389,926 | |
| Lonza Group AG (Registered) * | | | 7,504 | | | | 1,971,785 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Switzerland - 8.4% (continued) | | | | | | |
| Nestle SA (Registered) | | | 67,286 | | | $ | 5,648,071 | |
| Novartis AG (Registered) | | | 40,962 | | | | 3,513,514 | |
| Partners Group Holding AG | | | 2,321 | | | | 1,575,722 | |
| Roche Holding AG | | | 18,525 | | | | 4,735,363 | |
| Sika AG | | | 425 | | | | 3,164,418 | |
| Sonova Holding AG (Registered) | | | 1,970 | | | | 334,380 | |
| Straumann Holding AG (Registered) | | | 576 | | | | 370,434 | |
| Swiss Life Holding AG (Registered) * | | | 2,026 | | | | 714,250 | |
| Swiss Re AG | | | 9,175 | | | | 831,662 | |
| Zurich Insurance Group AG | | | 7,728 | | | | 2,361,518 | |
| | | | | | | | |
| | | | | | | 33,876,767 | |
| | | | | | | | |
| United Kingdom - 12.7% | | | | | | |
| 3i Group plc | | | 29,271 | | | | 358,368 | |
| Anglo American plc | | | 8,748 | | | | 157,275 | |
| Ashtead Group plc | | | 101,563 | | | | 2,450,108 | |
| Barclays plc | | | 2,103,822 | | | | 5,455,175 | |
| Barratt Developments plc | | | 339,127 | | | | 2,793,790 | |
| Berkeley Group Holdings plc | | | 5,085 | | | | 253,420 | |
| BP plc | | | 67,859 | | | | 434,705 | |
| British Land Co. plc (The), REIT | | | 28,168 | | | | 227,420 | |
| BT Group plc | | | 774,093 | | | | 2,944,259 | |
| Burberry Group plc | | | 5,298 | | | | 125,094 | |
| Diageo plc | | | 31,221 | | | | 1,026,719 | |
| Fiat Chrysler Automobiles NV * | | | 51,120 | | | | 916,141 | |
| G4S plc | | | 35,248 | | | | 131,506 | |
| GKN plc | | | 29,456 | | | | 136,486 | |
| GlaxoSmithKline plc | | | 101,068 | | | | 2,020,412 | |
| Hammerson plc, REIT | | | 24,134 | | | | 173,773 | |
| HSBC Holdings plc | | | 213,618 | | | | 2,111,793 | |
| Imperial Brands plc | | | 14,879 | | | | 635,048 | |
| International Consolidated Airlines Group SA | | | 100,273 | | | | 799,130 | |
| Land Securities Group plc, REIT | | | 21,548 | | | | 281,033 | |
| Lloyds Banking Group plc | | | 3,036,875 | | | | 2,759,782 | |
| London Stock Exchange Group plc | | | 8,751 | | | | 449,328 | |
| Old Mutual plc | | | 42,370 | | | | 110,373 | |
| Pearson plc | | | 30,751 | | | | 252,177 | |
| Persimmon plc | | | 147,603 | | | | 5,108,155 | |
| Randgold Resources Ltd. | | | 1,836 | | | | 179,445 | |
| Reckitt Benckiser Group plc | | | 9,576 | | | | 874,941 | |
| RELX plc | | | 31,122 | | | | 683,013 | |
| Rio Tinto Ltd. | | | 12,593 | | | | 660,061 | |
| Rio Tinto plc | | | 59,106 | | | | 2,751,333 | |
| Royal Bank of Scotland Group plc * | | | 51,048 | | | | 183,763 | |
| Royal Mail plc | | | 480,854 | | | | 2,475,960 | |
| Sky plc | | | 35,934 | | | | 440,834 | |
| Standard Chartered plc * | | | 57,361 | | | | 570,346 | |
| Standard Life Aberdeen plc | | | 50,485 | | | | 293,464 | |
| Tate & Lyle plc | | | 354,313 | | | | 3,076,570 | |
| Taylor Wimpey plc | | | 918,260 | | | | 2,406,712 | |
| Unilever plc | | | 31,121 | | | | 1,801,264 | |
| Wm Morrison Supermarkets plc | | | 398,035 | | | | 1,248,994 | |
| WPP plc | | | 84,466 | | | | 1,567,359 | |
| | | | | | | | |
| | | | | | | 51,325,529 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
168
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United States - 0.3% | | | | | | |
| Shire plc | | | 25,194 | | | $ | 1,283,226 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $301,138,717) | | | | | | | 355,496,387 | |
| | | | | | | | |
| | |
| RIGHT - 0.0% (c) | | NO. OF RIGHTS | | | | |
| | |
| Singapore - 0.0% (c) | | | | | | |
| CapitaLand Commercial Trust, | | | | | | | | |
expiring 10/19/2017 *
(Cost $—) | | | 20,135 | | | | 4,389 | |
| | | | | | | | |
| | |
| SHORT-TERM INVESTMENTS - 10.0% | | SHARES | | | | |
| |
| Investment Companies - 10.0% | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 0.92% (d)(e) | | | 7,136,271 | | | | 7,136,271 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.89% (d)(e) | | | 3,229,737 | | | | 3,229,737 | |
| Limited Purpose Cash Investment Fund, 0.97% (d) | | | 30,125,080 | | | | 30,122,068 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(Cost $40,488,076) | | | | | | | 40,488,076 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 97.8%
(Cost $341,626,793) | | | | | | | 395,988,852 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS
OF LIABILITIES - 2.2% (f) | | | | | 9,066,700 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | $ | 405,055,552 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 42,437,487 | | | | 10.5 | % |
| Consumer Staples | | | 26,896,437 | | | | 6.6 | |
| Energy | | | 9,632,938 | | | | 2.4 | |
| Financials | | | 67,168,671 | | | | 16.6 | |
| Health Care | | | 35,633,865 | | | | 8.8 | |
| Industrials | | | 59,273,442 | | | | 14.6 | |
| Information Technology | | | 26,290,680 | | | | 6.5 | |
| Materials | | | 39,667,553 | | | | 9.8 | |
| Real Estate | | | 18,741,745 | | | | 4.6 | |
| Telecommunication Services | | | 15,293,026 | | | | 3.8 | |
| Utilities | | | 14,464,932 | | | | 3.6 | |
| Short-Term Investments | | | 40,488,076 | | | | 10.0 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 395,988,852 | | | | 97.8 | |
| Other Assets in Excess of Liabilities (f) | | | 9,066,700 | | | | 2.2 | |
| | | | | | | | |
Net Assets | | $ | 405,055,552 | | | | 100.0 | % |
| | | | | | | | |
| * | Non-income producing security. |
| (a) | Security fair valued as of September 30, 2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2017 amounted to $2,570, which represents approximately 0.00% of net assets of the fund. |
| (b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2017 amounted to $8,569,748, which represents approximately 2.12% of net assets of the fund. |
| (c) | Represents less than 0.05% of net assets. |
| (d) | Represents 7-day effective yield as of September 30, 2017. |
| (e) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (f) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (3) | Level 3 security (See Note 4). |
Abbreviations
CVA - Dutch Certification
OYJ - Public Traded Company
Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
REIT - Real Estate Investment Trust
SCA - Limited partnership with share capital
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
169
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL EQUITY FUND | | | | |
Total return swap contracts outstanding as of September 30, 2017:
Over the Counter
| | | | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED
BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | | MATURITY DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Hang Seng Index
October Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | | JPMC | | | | 10/30/2017 | | | HKD | 57,781,500 | | | | $(34,281 | ) |
Hang Seng Index
October Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | | GSIN | | | | 10/30/2017 | | | HKD | 35,769,500 | | | | (3,989 | ) |
Swiss Market
Index December
Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | GSIN | | | | 12/15/2017 | | | | CHF (25,018,940 | ) | | | (325,482 | ) |
Swiss Market
Index December
Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | JPMC | | | | 12/15/2017 | | | CHF | (1,004,410 | ) | | | (12,245 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | (375,997 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | $(375,997 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Futures contracts outstanding as of September 30, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | |
| CAC 40 10 Euro Index | | | 100 | | | 10/2017 | | | EUR | | | | $6,295,390 | | | | $133,105 | |
| Hang Seng Index | | | 137 | | | 10/2017 | | | HKD | | | | 24,127,932 | | | | (24,611 | ) |
| IBEX 35 Index | | | 41 | | | 10/2017 | | | EUR | | | | 5,006,186 | | | | 7,160 | |
| MSCI Singapore Index | | | 61 | | | 10/2017 | | | SGD | | | | 1,617,807 | | | | 5,198 | |
| DAX Index | | | 142 | | | 12/2017 | | | EUR | | | | 53,697,145 | | | | 1,154,622 | |
| FTSE/MIB Index | | | 50 | | | 12/2017 | | | EUR | | | | 6,687,190 | | | | 138,158 | |
| TOPIX Index | | | 258 | | | 12/2017 | | | JPY | | | | 38,404,799 | | | | 2,057,473 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 3,471,105 | |
| | | | | | | | | | | | | | | | | | |
| Short Contracts | |
| Amsterdam Exchange Index | | | (59 | ) | | 10/2017 | | | EUR | | | | (7,487,833 | ) | | | (131,610 | ) |
| OMXS30 Index | | | (459 | ) | | 10/2017 | | | SEK | | | | (9,223,787 | ) | | | (322,371 | ) |
| FTSE 100 Index | | | (405 | ) | | 12/2017 | | | GBP | | | | (39,777,196 | ) | | | 49,411 | |
| SPI 200 Index | | | (190 | ) | | 12/2017 | | | AUD | | | | (21,118,400 | ) | | | 130,486 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | (274,084 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | $3,197,021 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
170
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL EQUITY FUND | | | | |
Forward foreign currency contracts outstanding as of September 30, 2017:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| AUD | | | 186,400 | | | USD | | | 145,915 | | | CITG | | | 12/20/2017 | | | | $162 | |
| AUD | | | 279,600 | | | USD | | | 218,873 | | | JPMC | | | 12/20/2017 | | | | 242 | |
| CHF | | | 104,800 | | | USD | | | 108,487 | | | CITG | | | 12/20/2017 | | | | 329 | |
| CHF | | | 157,200 | | | USD | | | 162,730 | | | JPMC | | | 12/20/2017 | | | | 494 | |
| DKK | | | 193,600 | | | USD | | | 30,781 | | | CITG | | | 12/20/2017 | | | | 115 | |
| DKK | | | 290,400 | | | USD | | | 46,172 | | | JPMC | | | 12/20/2017 | | | | 172 | |
| EUR | | | 982,718 | | | USD | | | 1,165,286 | | | CITG | | | 12/20/2017 | | | | 1,397 | |
| EUR | | | 1,474,077 | | | USD | | | 1,747,932 | | | JPMC | | | 12/20/2017 | | | | 2,093 | |
| GBP | | | 794,000 | | | USD | | | 1,055,222 | | | CITG | | | 12/20/2017 | | | | 11,368 | |
| GBP | | | 1,191,000 | | | USD | | | 1,582,835 | | | JPMC | | | 12/20/2017 | | | | 17,049 | |
| HKD | | | 4,436,800 | | | USD | | | 568,685 | | | CITG | | | 12/20/2017 | | | | 431 | |
| HKD | | | 6,655,200 | | | USD | | | 853,029 | | | JPMC | | | 12/20/2017 | | | | 645 | |
| ILS | | | 2,683,600 | | | USD | | | 754,447 | | | CITG | | | 12/20/2017 | | | | 6,940 | |
| ILS | | | 4,025,400 | | | USD | | | 1,131,672 | | | JPMC | | | 12/20/2017 | | | | 10,409 | |
| SGD | | | 196,469 | | | USD | | | 144,472 | | | CITG | | | 12/20/2017 | | | | 497 | |
| SGD | | | 294,702 | | | USD | | | 216,707 | | | JPMC | | | 12/20/2017 | | | | 745 | |
| USD | | | 70,715 | | | AUD | | | 88,800 | | | CITG | | | 12/20/2017 | | | | 1,125 | |
| USD | | | 106,072 | | | AUD | | | 133,200 | | | JPMC | | | 12/20/2017 | | | | 1,687 | |
| USD | | | 12,100,575 | | | CHF | | | 11,498,720 | | | CITG | | | 12/20/2017 | | | | 161,229 | |
| USD | | | 18,150,840 | | | CHF | | | 17,248,080 | | | JPMC | | | 12/20/2017 | | | | 241,821 | |
| USD | | | 504,854 | | | DKK | | | 3,138,000 | | | CITG | | | 12/20/2017 | | | | 4,071 | |
| USD | | | 757,280 | | | DKK | | | 4,707,000 | | | JPMC | | | 12/20/2017 | | | | 6,106 | |
| USD | | | 9,062,922 | | | EUR | | | 7,558,400 | | | CITG | | | 12/20/2017 | | | | 89,590 | |
| USD | | | 13,594,366 | | | EUR | | | 11,337,600 | | | JPMC | | | 12/20/2017 | | | | 134,367 | |
| USD | | | 46,850 | | | GBP | | | 34,800 | | | CITG | | | 12/20/2017 | | | | 103 | |
| USD | | | 70,275 | | | GBP | | | 52,200 | | | JPMC | | | 12/20/2017 | | | | 154 | |
| USD | | | 111,690 | | | HKD | | | 870,400 | | | CITG | | | 12/20/2017 | | | | 42 | |
| USD | | | 167,534 | | | HKD | | | 1,305,600 | | | JPMC | | | 12/20/2017 | | | | 62 | |
| USD | | | 11,254,709 | | | JPY | | | 1,236,389,200 | | | CITG | | | 12/20/2017 | | | | 223,305 | |
| USD | | | 16,882,043 | | | JPY | | | 1,854,583,800 | | | JPMC | | | 12/20/2017 | | | | 334,936 | |
| USD | | | 4,236,367 | | | SEK | | | 33,984,400 | | | CITG | | | 12/20/2017 | | | | 44,085 | |
| USD | | | 6,354,542 | | | SEK | | | 50,976,600 | | | JPMC | | | 12/20/2017 | | | | 66,119 | |
| USD | | | 37,476 | | | SGD | | | 50,400 | | | CITG | | | 12/20/2017 | | | | 287 | |
| USD | | | 56,214 | | | SGD | | | 75,600 | | | JPMC | | | 12/20/2017 | | | | 431 | |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized appreciation | | | | | | | | | | | | | 1,362,608 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| AUD | | | 8,820,440 | | | USD | | | 7,018,005 | | | CITG | | | 12/20/2017 | | | | (105,674 | ) |
| AUD | | | 13,230,660 | | | USD | | | 10,527,021 | | | JPMC | | | 12/20/2017 | | | | (158,523 | ) |
| CHF | | | 116,800 | | | USD | | | 123,979 | | | CITG | | | 12/20/2017 | | | | (2,703 | ) |
| CHF | | | 175,200 | | | USD | | | 185,969 | | | JPMC | | | 12/20/2017 | | | | (4,056 | ) |
| DKK | | | 1,698,800 | | | USD | | | 273,745 | | | CITG | | | 12/20/2017 | | | | (2,639 | ) |
| DKK | | | 2,548,200 | | | USD | | | 410,617 | | | JPMC | | | 12/20/2017 | | | | (3,959 | ) |
| EUR | | | 19,086,242 | | | USD | | | 22,927,584 | | | CITG | | | 12/20/2017 | | | | (268,398 | ) |
| EUR | | | 28,629,363 | | | USD | | | 34,392,874 | | | JPMC | | | 12/20/2017 | | | | (404,095 | ) |
| GBP | | | 11,713,200 | | | USD | | | 15,858,952 | | | CITG | | | 12/20/2017 | | | | (124,470 | ) |
| GBP | | | 17,569,800 | | | USD | | | 23,788,458 | | | JPMC | | | 12/20/2017 | | | | (186,734 | ) |
| HKD | | | 2,646,800 | | | USD | | | 339,651 | | | CITG | | | 12/20/2017 | | | | (142 | ) |
| HKD | | | 3,970,200 | | | USD | | | 509,478 | | | JPMC | | | 12/20/2017 | | | | (214 | ) |
| ILS | | | 104,800 | | | USD | | | 30,036 | | | CITG | | | 12/20/2017 | | | | (302 | ) |
| ILS | | | 157,200 | | | USD | | | 45,054 | | | JPMC | | | 12/20/2017 | | | | (454 | ) |
| JPY | | | 2,716,403,920 | | | USD | | | 24,914,702 | | | CITG | | | 12/20/2017 | | | | (678,200 | ) |
| JPY | | | 4,074,605,880 | | | USD | | | 37,372,100 | | | JPMC | | | 12/20/2017 | | | | (1,017,346 | ) |
| NOK | | | 27,163,200 | | | USD | | | 3,485,757 | | | CITG | | | 12/20/2017 | | | | (68,972 | ) |
| NOK | | | 40,744,800 | | | USD | | | 5,228,642 | | | JPMC | | | 12/20/2017 | | | | (103,464 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
171
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL EQUITY FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| SEK | | | 451,200 | | | USD | | | 56,771 | | | CITG | | | 12/20/2017 | | | | $ (1,112 | ) |
| SEK | | | 676,800 | | | USD | | | 85,157 | | | JPMC | | | 12/20/2017 | | | | (1,668 | ) |
| SGD | | | 858,051 | | | USD | | | 635,969 | | | CITG | | | 12/20/2017 | | | | (2,839 | ) |
| SGD | | | 1,287,078 | | | USD | | | 953,956 | | | JPMC | | | 12/20/2017 | | | | (4,260 | ) |
| USD | | | 56,189 | | | CHF | | | 54,400 | | | CITG | | | 12/20/2017 | | | | (296 | ) |
| USD | | | 84,283 | | | CHF | | | 81,600 | | | JPMC | | | 12/20/2017 | | | | (444 | ) |
| USD | | | 99,927 | | | DKK | | | 628,000 | | | CITG | | | 12/20/2017 | | | | (293 | ) |
| USD | | | 149,890 | | | DKK | | | 942,000 | | | JPMC | | | 12/20/2017 | | | | (440 | ) |
| USD | | | 49,739 | | | EUR | | | 42,000 | | | CITG | | | 12/20/2017 | | | | (124 | ) |
| USD | | | 74,608 | | | EUR | | | 63,000 | | | JPMC | | | 12/20/2017 | | | | (186 | ) |
| USD | | | 21,429,550 | | | GBP | | | 16,551,880 | | | CITG | | | 12/20/2017 | | | | (804,789 | ) |
| USD | | | 32,144,285 | | | GBP | | | 24,827,820 | | | JPMC | | | 12/20/2017 | | | | (1,207,223 | ) |
| USD | | | 57,852 | | | HKD | | | 451,200 | | | CITG | | | 12/20/2017 | | | | (24 | ) |
| USD | | | 86,778 | | | HKD | | | 676,800 | | | JPMC | | | 12/20/2017 | | | | (36 | ) |
| USD | | | 22,903 | | | ILS | | | 81,200 | | | CITG | | | 12/20/2017 | | | | (135 | ) |
| USD | | | 34,354 | | | ILS | | | 121,800 | | | JPMC | | | 12/20/2017 | | | | (202 | ) |
| USD | | | 689,163 | | | JPY | | | 77,326,800 | | | CITG | | | 12/20/2017 | | | | (768 | ) |
| USD | | | 1,033,743 | | | JPY | | | 115,990,200 | | | JPMC | | | 12/20/2017 | | | | (1,154 | ) |
| USD | | | 246 | | | SEK | | | 2,000 | | | CITG | | | 12/20/2017 | | | | (1 | ) |
| USD | | | 369 | | | SEK | | | 3,000 | | | JPMC | | | 12/20/2017 | | | | (1 | ) |
| USD | | | 110,953 | | | SGD | | | 150,800 | | | CITG | | | 12/20/2017 | | | | (317 | ) |
| USD | | | 166,430 | | | SGD | | | 226,200 | | | JPMC | | | 12/20/2017 | | | | (476 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized depreciation | | | | | | | | | | (5,157,133 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Net unrealized depreciation | | | | | | | | | $ | (3,794,525 | ) |
| | | | | | | | | | | | | | | | | | | | |
AUD - Australian 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
SEK - Swedish Krona
SGD - Singapore Dollar
USD - United States Dollar
Collateral pledged to, or (received from), each counterparty at September 30, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED | | | TOTAL | |
| BARC | | | | | | | | | |
| Cash | | | $— | | | | $8,705,023 | | | | $8,705,023 | |
| |
| CITG | | | | | | | | | |
| Investment Companies | | | 1,500,511 | | | | — | | | | 1,500,511 | |
| |
| GSIN | | | | | | | | | |
| Investment Companies | | | 3,229,737 | | | | — | | | | 3,229,737 | |
| |
| JPMC | | | | | | | | | |
| Investment Companies | | | 5,629,658 | | | | — | | | | 5,629,658 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
172
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| LONG POSITIONS - 130.6% | | | | | | |
| | |
| COMMON STOCKS - 125.5% | | | | | | |
| | |
| Aerospace & Defense - 5.4% | | | | | | |
| Boeing Co. (The) (a) | | | 1,006 | | | $ | 255,735 | |
| BWX Technologies, Inc. | | | 875 | | | | 49,018 | |
| Curtiss-Wright Corp. | | | 652 | | | | 68,160 | |
| Esterline Technologies Corp. * | | | 366 | | | | 32,995 | |
| Huntington Ingalls Industries, Inc. | | | 459 | | | | 103,936 | |
| L3 Technologies, Inc. | | | 168 | | | | 31,656 | |
| Northrop Grumman Corp. | | | 156 | | | | 44,884 | |
| Raytheon Co. | | | 267 | | | | 49,817 | |
| Spirit AeroSystems Holdings, Inc., Class A (a) | | | 2,498 | | | | 194,145 | |
| Textron, Inc. | | | 837 | | | | 45,098 | |
| United Technologies Corp. | | | 106 | | | | 12,304 | |
| | | | | | | | |
| | | | | | | 887,748 | |
| | | | | | | | |
| Air Freight & Logistics - 0.6% | | | | | | |
| FedEx Corp. | | | 457 | | | | 103,090 | |
| | | | | | | | |
| | |
| Airlines - 1.0% | | | | | | |
| Delta Air Lines, Inc. | | | 834 | | | | 40,215 | |
| JetBlue Airways Corp. * | | | 1,799 | | | | 33,335 | |
| Southwest Airlines Co. | | | 470 | | | | 26,311 | |
| United Continental Holdings, Inc. * | | | 1,028 | | | | 62,585 | |
| | | | | | | | |
| | | | | | | 162,446 | |
| | | | | | | | |
| Auto Components - 0.9% | | | | | | |
| Dana, Inc. | | | 617 | | | | 17,252 | |
| Lear Corp. | | | 791 | | | | 136,906 | |
| | | | | | | | |
| | | | | | | 154,158 | |
| | | | | | | | |
| Automobiles - 1.4% | | | | | | |
| Ford Motor Co. | | | 3,221 | | | | 38,556 | |
| General Motors Co. | | | 3,295 | | | | 133,052 | |
| Thor Industries, Inc. | | | 463 | | | | 58,296 | |
| | | | | | | | |
| | | | | | | 229,904 | |
| | | | | | | | |
| Banks - 7.7% | | | | | | |
| Bank of America Corp. (a) | | | 6,189 | | | | 156,829 | |
| BankUnited, Inc. | | | 1,329 | | | | 47,273 | |
| Citigroup, Inc. | | | 1,609 | | | | 117,039 | |
| Comerica, Inc. | | | 236 | | | | 17,997 | |
| Fulton Financial Corp. | | | 213 | | | | 3,994 | |
| Hancock Holding Co. | | | 62 | | | | 3,004 | |
| JPMorgan Chase & Co. (a) | | | 2,736 | | | | 261,315 | |
| KeyCorp | | | 511 | | | | 9,617 | |
| PNC Financial Services Group, Inc. (The) (a) | | | 1,080 | | | | 145,552 | |
| Popular, Inc. | | | 3,220 | | | | 115,727 | |
| Regions Financial Corp. | | | 3,548 | | | | 54,036 | |
| SunTrust Banks, Inc. | | | 1,233 | | | | 73,696 | |
| Synovus Financial Corp. | | | 999 | | | | 46,014 | |
| TCF Financial Corp. | | | 782 | | | | 13,325 | |
| Umpqua Holdings Corp. | | | 196 | | | | 3,824 | |
| US Bancorp | | | 503 | | | | 26,956 | |
| Wells Fargo & Co. (a) | | | 3,259 | | | | 179,734 | |
| Zions Bancorp | | | 152 | | | | 7,171 | |
| | | | | | | | |
| | | | | | | 1,283,103 | |
| | | | | | | | |
| Beverages - 0.2% | | | | | | |
| Boston Beer Co., Inc. (The), Class A * | | | 84 | | | | 13,121 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Beverages - 0.2% (continued) | | | | | | |
| PepsiCo, Inc. | | | 224 | | | $ | 24,960 | |
| | | | | | | | |
| | | | | | | 38,081 | |
| | | | | | | | |
| Biotechnology - 6.7% | | | | | | |
| AbbVie, Inc. | | | 1,142 | | | | 101,478 | |
| Alexion Pharmaceuticals, Inc. * | | | 630 | | | | 88,383 | |
| Amgen, Inc. | | | 658 | | | | 122,684 | |
| Biogen, Inc. * | | | 245 | | | | 76,714 | |
| Bioverativ, Inc. * | | | 1,282 | | | | 73,164 | |
| Celgene Corp. * | | | 833 | | | | 121,468 | |
| Exelixis, Inc. * | | | 3,968 | | | | 96,144 | |
| Gilead Sciences, Inc. (a) | | | 2,953 | | | | 239,252 | |
| United Therapeutics Corp. * | | | 694 | | | | 81,330 | |
| Vertex Pharmaceuticals, Inc. * | | | 743 | | | | 112,966 | |
| | | | | | | | |
| | | | | | | 1,113,583 | |
| | | | | | | | |
| Building Products - 0.9% | | | | | | |
| Masco Corp. | | | 343 | | | | 13,380 | |
| Owens Corning | | | 1,626 | | | | 125,771 | |
| USG Corp. * | | | 498 | | | | 16,260 | |
| | | | | | | | |
| | | | | | | 155,411 | |
| | | | | | | | |
| Capital Markets - 2.3% | | | | | | |
| Ameriprise Financial, Inc. | | | 298 | | | | 44,256 | |
| Bank of New York Mellon Corp. (The) | | | 308 | | | | 16,330 | |
| BlackRock, Inc. | | | 104 | | | | 46,497 | |
| Franklin Resources, Inc. | | | 1,429 | | | | 63,605 | |
| Goldman Sachs Group, Inc. (The) | | | 353 | | | | 83,728 | |
| Invesco Ltd. | | | 1,267 | | | | 44,396 | |
| Morgan Stanley | | | 903 | | | | 43,497 | |
| S&P Global, Inc. | | | 152 | | | | 23,759 | |
| State Street Corp. | | | 88 | | | | 8,408 | |
| | | | | | | | |
| | | | | | | 374,476 | |
| | | | | | | | |
| Chemicals - 3.6% | | | | | | |
| Cabot Corp. | | | 1,045 | | | | 58,311 | |
| Celanese Corp., Series A (a) | | | 1,378 | | | | 143,684 | |
| Chemours Co. (The) | | | 1,790 | | | | 90,592 | |
| DowDuPont, Inc. | | | 306 | | | | 21,184 | |
| Eastman Chemical Co. | | | 818 | | | | 74,021 | |
| Huntsman Corp. | | | 689 | | | | 18,892 | |
| LyondellBasell Industries NV, Class A (a) | | | 1,533 | | | | 151,844 | |
| Monsanto Co. | | | 251 | | | | 30,075 | |
| PPG Industries, Inc. | | | 52 | | | | 5,650 | |
| | | | | | | | |
| | | | | | | 594,253 | |
| | | | | | | | |
| Commercial Services & Supplies - 0.2% | | | | | | |
| Pitney Bowes, Inc. | | | 815 | | | | 11,418 | |
| Waste Management, Inc. | | | 207 | | | | 16,202 | |
| | | | | | | | |
| | | | | | | 27,620 | |
| | | | | | | | |
| Communications Equipment - 2.0% | | | | | | |
| Cisco Systems, Inc. (a) | | | 4,743 | | | | 159,507 | |
| F5 Networks, Inc. * | | | 360 | | | | 43,401 | |
| Juniper Networks, Inc. | | | 4,355 | | | | 121,200 | |
| | | | | | | | |
| | | | | | | 324,108 | |
| | | | | | | | |
| Construction & Engineering - 0.3% | |
| Fluor Corp. | | | 856 | | | | 36,038 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
173
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Construction & Engineering - 0.3% (continued) | |
| Jacobs Engineering Group, Inc. | | | 120 | | | $ | 6,992 | |
| | | | | | | | |
| | | | | | | 43,030 | |
| | | | | | | | |
| Consumer Finance - 0.7% | | | | | | |
| Capital One Financial Corp. | | | 994 | | | | 84,152 | |
| Discover Financial Services | | | 508 | | | | 32,756 | |
| | | | | | | | |
| | | | | | | 116,908 | |
| | | | | | | | |
| Containers & Packaging - 0.3% | | | | | | |
| Avery Dennison Corp. | | | 43 | | | | 4,229 | |
| Graphic Packaging Holding Co. | | | 3,299 | | | | 46,021 | |
| | | | | | | | |
| | | | | | | 50,250 | |
| | | | | | | | |
| Diversified Consumer Services - 0.0% (b) | | | | | | |
| H&R Block, Inc. | | | 120 | | | | 3,178 | |
| | | | | | | | |
| | |
| Diversified Financial Services - 1.3% | | | | | | |
| Berkshire Hathaway, Inc., Class B *(a) | | | 1,201 | | | | 220,167 | |
| | | | | | | | |
| |
| Diversified Telecommunication Services - 1.6% | | | | |
| AT&T, Inc. (a) | | | 3,823 | | | | 149,747 | |
| Verizon Communications, Inc. | | | 2,302 | | | | 113,926 | |
| | | | | | | | |
| | | | | | | 263,673 | |
| | | | | | | | |
| Electric Utilities - 3.3% | | | | | | |
| American Electric Power Co., Inc. | | | 1,934 | | | | 135,844 | |
| Edison International | | | 1,710 | | | | 131,961 | |
| Eversource Energy | | | 643 | | | | 38,863 | |
| Exelon Corp. | | | 2,671 | | | | 100,617 | |
| Hawaiian Electric Industries, Inc. | | | 483 | | | | 16,118 | |
| PG&E Corp. | | | 1,794 | | | | 122,153 | |
| | | | | | | | |
| | | | | | | 545,556 | |
| | | | | | | | |
| Electrical Equipment - 0.4% | | | | | | |
| Eaton Corp. plc | | | 143 | | | | 10,981 | |
| Emerson Electric Co. | | | 250 | | | | 15,710 | |
| Hubbell, Inc. | | | 17 | | | | 1,972 | |
| Regal Beloit Corp. | | | 432 | | | | 34,128 | |
| Rockwell Automation, Inc. | | | 29 | | | | 5,168 | |
| | | | | | | | |
| | | | | | | 67,959 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components - 1.7% | |
| Arrow Electronics, Inc. * | | | 454 | | | | 36,506 | |
| Avnet, Inc. | | | 1,348 | | | | 52,976 | |
| CDW Corp. | | | 527 | | | | 34,782 | |
| Corning, Inc. | | | 588 | | | | 17,593 | |
| Dolby Laboratories, Inc., Class A | | | 84 | | | | 4,832 | |
| Flex Ltd. * | | | 942 | | | | 15,609 | |
| FLIR Systems, Inc. | | | 435 | | | | 16,926 | |
| Jabil, Inc. | | | 1,114 | | | | 31,805 | |
| TE Connectivity Ltd. | | | 767 | | | | 63,707 | |
| | | | | | | | |
| | | | | | | 274,736 | |
| | | | | | | | |
| Energy Equipment & Services - 1.4% | |
| Baker Hughes a GE Co. | | | 40 | | | | 1,465 | |
| Diamond Offshore Drilling, Inc. * | | | 4,865 | | | | 70,542 | |
| Halliburton Co. | | | 1,518 | | | | 69,874 | |
| Oceaneering International, Inc. | | | 2,168 | | | | 56,953 | |
| Oil States International, Inc. * | | | 1,246 | | | | 31,586 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Energy Equipment & Services - 1.4% (continued) | |
| Schlumberger Ltd. | | | 47 | | | $ | 3,279 | |
| | | | | | | | |
| | | | | | | 233,699 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (REITs) - 3.0% | | | | |
| American Tower Corp. | | | 168 | | | | 22,962 | |
| AvalonBay Communities, Inc. | | | 34 | | | | 6,066 | |
| Boston Properties, Inc. | | | 183 | | | | 22,487 | |
| Crown Castle International Corp. | | | 212 | | | | 21,196 | |
| Digital Realty Trust, Inc. | | | 154 | | | | 18,223 | |
| Equinix, Inc. | | | 13 | | | | 5,802 | |
| Equity Residential | | | 274 | | | | 18,065 | |
| GGP, Inc. | | | 1,090 | | | | 22,639 | |
| HCP, Inc. | | | 1,476 | | | | 41,077 | |
| Host Hotels & Resorts, Inc. | | | 507 | | | | 9,374 | |
| Prologis, Inc. | | | 751 | | | | 47,659 | |
| Public Storage | | | 181 | | | | 38,732 | |
| Realty Income Corp. | | | 857 | | | | 49,012 | |
| Simon Property Group, Inc. | | | 292 | | | | 47,015 | |
| Ventas, Inc. | | | 772 | | | | 50,280 | |
| Vornado Realty Trust | | | 142 | | | | 10,917 | |
| Welltower, Inc. | | | 595 | | | | 41,817 | |
| Weyerhaeuser Co. | | | 578 | | | | 19,669 | |
| | | | | | | | |
| | | | | | | 492,992 | |
| | | | | | | | |
| Food & Staples Retailing - 1.7% | | | | | | |
| CVS Health Corp. | | | 767 | | | | 62,372 | |
| Walgreens Boots Alliance, Inc. | | | 444 | | | | 34,286 | |
| Wal-Mart Stores, Inc. (a) | | | 2,420 | | | | 189,099 | |
| | | | | | | | |
| | | | | | | 285,757 | |
| | | | | | | | |
| Food Products - 2.1% | | | | | | |
| Archer-Daniels-Midland Co. | | | 2,129 | | | | 90,504 | |
| Bunge Ltd. | | | 81 | | | | 5,626 | |
| Campbell Soup Co. | | | 358 | | | | 16,761 | |
| Conagra Brands, Inc. | | | 1,251 | | | | 42,209 | |
| Dean Foods Co. | | | 2,203 | | | | 23,969 | |
| Flowers Foods, Inc. | | | 1,325 | | | | 24,923 | |
| Ingredion, Inc. | | | 227 | | | | 27,385 | |
| JM Smucker Co. (The) | | | 149 | | | | 15,635 | |
| Mondelez International, Inc., Class A | | | 333 | | | | 13,540 | |
| Pilgrim’s Pride Corp. * | | | 1,769 | | | | 50,257 | |
| Tyson Foods, Inc., Class A | | | 447 | | | | 31,491 | |
| | | | | | | | |
| | | | | | | 342,300 | |
| | | | | | | | |
| Gas Utilities - 0.4% | | | | | | |
| UGI Corp. | | | 1,520 | | | | 71,227 | |
| | | | | | | | |
| | |
| Health Care Equipment & Supplies - 2.3% | | | | | | |
| Baxter International, Inc. (a) | | | 2,964 | | | | 185,991 | |
| Boston Scientific Corp. * | | | 230 | | | | 6,709 | |
| Danaher Corp. | | | 451 | | | | 38,687 | |
| Globus Medical, Inc., Class A * | | | 487 | | | | 14,473 | |
| Hill-Rom Holdings, Inc. | | | 149 | | | | 11,026 | |
| Masimo Corp. * | | | 355 | | | | 30,729 | |
| Medtronic plc | | | 761 | | | | 59,183 | |
| Varian Medical Systems, Inc. * | | | 194 | | | | 19,412 | |
| Zimmer Biomet Holdings, Inc. | | | 119 | | | | 13,934 | |
| | | | | | | | |
| | | | | | | 380,144 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
174
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Health Care Providers & Services - 4.5% | | | | | | |
| Aetna, Inc. | | | 334 | | | $ | 53,109 | |
| Anthem, Inc. | | | 237 | | | | 45,002 | |
| Cardinal Health, Inc. | | | 41 | | | | 2,744 | |
| Centene Corp. * | | | 1,136 | | | | 109,931 | |
| Cigna Corp. | | | 23 | | | | 4,300 | |
| DaVita, Inc. * | | | 447 | | | | 26,547 | |
| Express Scripts Holding Co. * | | | 1,532 | | | | 97,006 | |
| HCA Healthcare, Inc. * | | | 124 | | | | 9,869 | |
| Humana, Inc. | | | 332 | | | | 80,885 | |
| McKesson Corp. | | | 713 | | | | 109,524 | |
| UnitedHealth Group, Inc. | | | 623 | | | | 122,014 | |
| WellCare Health Plans, Inc. * | | | 451 | | | | 77,455 | |
| | | | | | | | |
| | | | | | | 738,386 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure - 1.9% | | | | | | |
| Brinker International, Inc. | | | 97 | | | | 3,090 | |
| Buffalo Wild Wings, Inc. * | | | 320 | | | | 33,824 | |
| Darden Restaurants, Inc. | | | 365 | | | | 28,755 | |
| Extended Stay America, Inc. | | | 2,154 | | | | 43,080 | |
| Hyatt Hotels Corp., Class A * | | | 87 | | | | 5,376 | |
| Las Vegas Sands Corp. | | | 2,082 | | | | 133,581 | |
| Royal Caribbean Cruises Ltd. | | | 159 | | | | 18,848 | |
| Starbucks Corp. | | | 617 | | | | 33,139 | |
| Wyndham Worldwide Corp. | | | 78 | | | | 8,222 | |
| | | | | | | | |
| | | | | | | 307,915 | |
| | | | | | | | |
| Household Durables - 2.7% | | | | | | |
| CalAtlantic Group, Inc. | | | 415 | | | | 15,201 | |
| DR Horton, Inc. | | | 2,871 | | | | 114,639 | |
| NVR, Inc. * | | | 43 | | | | 122,765 | |
| PulteGroup, Inc. | | | 1,758 | | | | 48,046 | |
| Toll Brothers, Inc. | | | 1,031 | | | | 42,756 | |
| Tupperware Brands Corp. | | | 920 | | | | 56,874 | |
| Whirlpool Corp. | | | 211 | | | | 38,917 | |
| | | | | | | | |
| | | | | | | 439,198 | |
| | | | | | | | |
| Household Products - 1.1% | | | | | | |
| Procter & Gamble Co. (The) (a) | | | 1,921 | | | | 174,773 | |
| | | | | | | | |
|
| Independent Power and Renewable Electricity Producers - 0.3% | |
| Vistra Energy Corp. | | | 2,770 | | | | 51,771 | |
| | | | | | | | |
| | |
| Industrial Conglomerates - 0.7% | | | | | | |
| General Electric Co. | | | 2,784 | | | | 67,317 | |
| Honeywell International, Inc. | | | 390 | | | | 55,279 | |
| | | | | | | | |
| | | | | | | 122,596 | |
| | | | | | | | |
| Insurance - 4.8% | | | | | | |
| Aflac, Inc. | | | 1,658 | | | | 134,945 | |
| Allstate Corp. (The) | | | 849 | | | | 78,032 | |
| American International Group, Inc. | | | 585 | | | | 35,913 | |
| Assurant, Inc. | | | 121 | | | | 11,558 | |
| Assured Guaranty Ltd. | | | 4,147 | | | | 156,549 | |
| First American Financial Corp. | | | 966 | | | | 48,271 | |
| FNF Group | | | 431 | | | | 20,455 | |
| Hartford Financial Services Group, Inc. (The) | | | 979 | | | | 54,266 | |
| Lincoln National Corp. | | | 1,039 | | | | 76,346 | |
| Prudential Financial, Inc. | | | 317 | | | | 33,703 | |
| Reinsurance Group of America, Inc. | | | 372 | | | | 51,905 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Insurance - 4.8% (continued) | | | | | | |
| Travelers Cos., Inc. (The) | | | 580 | | | $ | 71,062 | |
| Unum Group | | | 455 | | | | 23,264 | |
| | | | | | | | |
| | | | | | | 796,269 | |
| | | | | | | | |
| Internet & Direct Marketing Retail - 1.6% | | | | |
| Amazon.com, Inc. *(a) | | | 194 | | | | 186,502 | |
| Liberty Expedia Holdings, Inc., Class A * | | | 484 | | | | 25,705 | |
| Liberty Interactive Corp. QVC Group, Class A * | | | 2,126 | | | | 50,110 | |
| | | | | | | | |
| | | | | | | 262,317 | |
| | | | | | | | |
| Internet Software & Services - 6.3% | | | | | | |
| Akamai Technologies, Inc. * | | | 1,942 | | | | 94,614 | |
| Alphabet, Inc., Class A *(a) | | | 209 | | | | 203,507 | |
| Alphabet, Inc., Class C *(a) | | | 194 | | | | 186,067 | |
| eBay, Inc. *(a) | | | 5,995 | | | | 230,568 | |
| Facebook, Inc., Class A *(a) | | | 1,461 | | | | 249,641 | |
| IAC/InterActiveCorp * | | | 525 | | | | 61,730 | |
| MercadoLibre, Inc. (Argentina) | | | 72 | | | | 18,643 | |
| | | | | | | | |
| | | | | | | 1,044,770 | |
| | | | | | | | |
| IT Services - 3.1% | | | | | | |
| Accenture plc, Class A | | | 25 | | | | 3,377 | |
| Booz Allen Hamilton Holding Corp. | | | 217 | | | | 8,114 | |
| Cognizant Technology Solutions Corp., Class A | | | 952 | | | | 69,058 | |
| Convergys Corp. | | | 2,228 | | | | 57,683 | |
| CoreLogic, Inc. * | | | 811 | | | | 37,484 | |
| DST Systems, Inc. | | | 166 | | | | 9,110 | |
| DXC Technology Co. | | | 247 | | | | 21,212 | |
| Euronet Worldwide, Inc. * | | | 155 | | | | 14,693 | |
| International Business Machines Corp. (a) | | | 1,085 | | | | 157,412 | |
| MAXIMUS, Inc. | | | 636 | | | | 41,022 | |
| Science Applications International Corp. | | | 784 | | | | 52,410 | |
| Teradata Corp. * | | | 57 | | | | 1,926 | |
| Total System Services, Inc. | | | 560 | | | | 36,680 | |
| | | | | | | | |
| | | | | | | 510,181 | |
| | | | | | | | |
| Leisure Products - 0.3% | | | | | | |
| Brunswick Corp. | | | 793 | | | | 44,384 | |
| | | | | | | | |
| | |
| Life Sciences Tools & Services - 0.6% | | | | | | |
| Agilent Technologies, Inc. | | | 296 | | | | 19,003 | |
| Charles River Laboratories International, Inc. * | | | 375 | | | | 40,507 | |
| INC Research Holdings, Inc., Class A * | | | 479 | | | | 25,052 | |
| QIAGEN NV * | | | 509 | | | | 16,034 | |
| Thermo Fisher Scientific, Inc. | | | 13 | | | | 2,460 | |
| | | | | | | | |
| | | | | | | 103,056 | |
| | | | | | | | |
| Machinery - 4.3% | | | | | | |
| AGCO Corp. | | | 693 | | | | 51,123 | |
| Allison Transmission Holdings, Inc. | | | 122 | | | | 4,579 | |
| Caterpillar, Inc. | | | 31 | | | | 3,866 | |
| Colfax Corp. * | | | 568 | | | | 23,651 | |
| Crane Co. | | | 1,300 | | | | 103,987 | |
| Cummins, Inc. | | | 655 | | | | 110,060 | |
| Dover Corp. | | | 147 | | | | 13,434 | |
| Ingersoll-Rand plc | | | 1,449 | | | | 129,207 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
175
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Machinery - 4.3% (continued) | | | | | | |
| ITT, Inc. | | | 1,148 | | | $ | 50,822 | |
| Oshkosh Corp. | | | 1,086 | | | | 89,638 | |
| PACCAR, Inc. | | | 136 | | | | 9,838 | |
| Parker-Hannifin Corp. | | | 47 | | | | 8,226 | |
| Timken Co. (The) | | | 2,323 | | | | 112,782 | |
| Woodward, Inc. | | | 28 | | | | 2,173 | |
| | | | | | | | |
| | | | | | | 713,386 | |
| | | | | | | | |
| Media - 2.3% | | | | | | |
| AMC Networks, Inc., Class A * | | | 978 | | | | 57,184 | |
| CBS Corp. (Non-Voting), Class B | | | 109 | | | | 6,322 | |
| Comcast Corp., Class A | | | 2,552 | | | | 98,201 | |
| Interpublic Group of Cos., Inc. (The) | | | 1,534 | | | | 31,892 | |
| John Wiley & Sons, Inc., Class A | | | 149 | | | | 7,971 | |
| Liberty Global plc, Class C (United Kingdom) * | | | 886 | | | | 28,972 | |
| Time Warner, Inc. | | | 454 | | | | 46,512 | |
| Twenty-First Century Fox, Inc., Class A | | | 1,070 | | | | 28,227 | |
| Viacom, Inc., Class B | | | 97 | | | | 2,700 | |
| Walt Disney Co. (The) | | | 822 | | | | 81,025 | |
| | | | | | | | |
| | | | | | | 389,006 | |
| | | | | | | | |
| Metals & Mining - 1.4% | | | | | | |
| Alcoa Corp. * | | | 607 | | | | 28,298 | |
| Freeport-McMoRan, Inc. * | | | 4,374 | | | | 61,411 | |
| Newmont Mining Corp. | | | 90 | | | | 3,376 | |
| Reliance Steel & Aluminum Co. | | | 414 | | | | 31,534 | |
| Royal Gold, Inc. | | | 43 | | | | 3,700 | |
| Steel Dynamics, Inc. | | | 2,362 | | | | 81,418 | |
| Worthington Industries, Inc. | | | 626 | | | | 28,796 | |
| | | | | | | | |
| | | | | | | 238,533 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (REITs) - 0.2% | |
| Annaly Capital Management, Inc. | | | 2,197 | | | | 26,781 | |
| | | | | | | | |
| | |
| Multiline Retail - 0.6% | | | | | | |
| Big Lots, Inc. | | | 280 | | | | 15,000 | |
| Kohl’s Corp. | | | 694 | | | | 31,681 | |
| Target Corp. | | | 884 | | | | 52,165 | |
| | | | | | | | |
| | | | | | | 98,846 | |
| | | | | | | | |
| Multi-Utilities - 3.2% | | | | | | |
| Ameren Corp. | | | 2,309 | | | | 133,552 | |
| CenterPoint Energy, Inc. | | | 485 | | | | 14,167 | |
| Consolidated Edison, Inc. | | | 692 | | | | 55,831 | |
| DTE Energy Co. | | | 1,070 | | | | 114,875 | |
| MDU Resources Group, Inc. | | | 2,119 | | | | 54,988 | |
| Public Service Enterprise Group, Inc. (a) | | | 3,371 | | | | 155,909 | |
| | | | | | | | |
| | | | | | | 529,322 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels - 4.6% | |
| Anadarko Petroleum Corp. | | | 561 | | | | 27,405 | |
| Cabot Oil & Gas Corp. | | | 273 | | | | 7,303 | |
| Chevron Corp. | | | 521 | | | | 61,217 | |
| ConocoPhillips | | | 988 | | | | 49,449 | |
| CONSOL Energy, Inc. * | | | 2,269 | | | | 38,437 | |
| Devon Energy Corp. | | | 2,724 | | | | 99,998 | |
| Energen Corp. * | | | 316 | | | | 17,279 | |
| Exxon Mobil Corp. | | | 1,159 | | | | 95,015 | |
| Marathon Petroleum Corp. | | | 1,234 | | | | 69,203 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Oil, Gas & Consumable Fuels - 4.6% (continued) | |
| Murphy Oil Corp. | | | 662 | | | $ | 17,583 | |
| Newfield Exploration Co. * | | | 512 | | | | 15,191 | |
| Pioneer Natural Resources Co. | | | 96 | | | | 14,164 | |
| QEP Resources, Inc. * | | | 3,529 | | | | 30,243 | |
| Rice Energy, Inc. * | | | 107 | | | | 3,097 | |
| Southwestern Energy Co. * | | | 4,657 | | | | 28,454 | |
| Valero Energy Corp. | | | 1,045 | | | | 80,392 | |
| Williams Cos., Inc. (The) | | | 460 | | | | 13,805 | |
| World Fuel Services Corp. | | | 2,719 | | | | 92,201 | |
| | | | | | | | |
| | | | | | | 760,436 | |
| | | | | | | | |
| Personal Products - 0.1% | | | | | | |
| Nu Skin Enterprises, Inc., Class A | | | 178 | | | | 10,943 | |
| | | | | | | | |
| | |
| Pharmaceuticals - 3.1% | | | | | | |
| Akorn, Inc. * | | | 15 | | | | 498 | |
| Bristol-Myers Squibb Co. | | | 529 | | | | 33,719 | |
| Johnson & Johnson (a) | | | 1,231 | | | | 160,042 | |
| Mallinckrodt plc * | | | 285 | | | | 10,650 | |
| Merck & Co., Inc. | | | 2,198 | | | | 140,738 | |
| Pfizer, Inc. (a) | | | 4,914 | | | | 175,430 | |
| | | | | | | | |
| | | | | | | 521,077 | |
| | | | | | | | |
| Professional Services - 0.7% | | | | | | |
| ManpowerGroup, Inc. | | | 517 | | | | 60,913 | |
| Robert Half International, Inc. | | | 1,123 | | | | 56,532 | |
| | | | | | | | |
| | | | | | | 117,445 | |
| | | | | | | | |
| Road & Rail - 1.3% | | | | | | |
| Norfolk Southern Corp. | | | 533 | | | | 70,484 | |
| Ryder System, Inc. | | | 111 | | | | 9,385 | |
| Union Pacific Corp. | | | 1,186 | | | | 137,540 | |
| | | | | | | | |
| | | | | | | 217,409 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment - 5.8% | |
| Applied Materials, Inc. | | | 2,555 | | | | 133,090 | |
| Cirrus Logic, Inc. * | | | 296 | | | | 15,783 | |
| First Solar, Inc. * | | | 443 | | | | 20,325 | |
| Intel Corp. (a) | | | 4,259 | | | | 162,183 | |
| KLA-Tencor Corp. | | | 508 | | | | 53,848 | |
| Lam Research Corp. | | | 288 | | | | 53,292 | |
| Marvell Technology Group Ltd. | | | 1,736 | | | | 31,074 | |
| Maxim Integrated Products, Inc. | | | 1,049 | | | | 50,048 | |
| Micron Technology, Inc. * | | | 3,428 | | | | 134,823 | |
| Microsemi Corp. * | | | 87 | | | | 4,479 | |
| NVIDIA Corp. | | | 321 | | | | 57,385 | |
| ON Semiconductor Corp. * | | | 367 | | | | 6,778 | |
| QUALCOMM, Inc. | | | 504 | | | | 26,127 | |
| Skyworks Solutions, Inc. | | | 412 | | | | 41,983 | |
| Synaptics, Inc. * | | | 441 | | | | 17,278 | |
| Teradyne, Inc. | | | 1,757 | | | | 65,519 | |
| Texas Instruments, Inc. | | | 895 | | | | 80,228 | |
| Versum Materials, Inc. | | | 364 | | | | 14,130 | |
| | | | | | | | |
| | | | | | | 968,373 | |
| | | | | | | | |
| Software - 6.4% | | | | | | |
| Activision Blizzard, Inc. | | | 569 | | | | 36,706 | |
| Adobe Systems, Inc. * | | | 28 | | | | 4,177 | |
| CA, Inc. | | | 204 | | | | 6,809 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
176
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Software - 6.4% (continued) | | | | | | |
| Cadence Design Systems, Inc. * | | | 1,667 | | | $ | 65,796 | |
| Citrix Systems, Inc. * | | | 1,189 | | | | 91,339 | |
| Dell Technologies, Inc., Class V * | | | 382 | | | | 29,494 | |
| Electronic Arts, Inc. * | | | 527 | | | | 62,218 | |
| Fortinet, Inc. * | | | 213 | | | | 7,634 | |
| Intuit, Inc. | | | 259 | | | | 36,814 | |
| Manhattan Associates, Inc. * | | | 1,363 | | | | 56,660 | |
| Micro Focus International plc, ADR (United Kingdom) * | | | 763 | | | | 24,340 | |
| Microsoft Corp. (a) | | | 4,843 | | | | 360,755 | |
| Oracle Corp. (a) | | | 3,336 | | | | 161,296 | |
| Red Hat, Inc. * | | | 364 | | | | 40,353 | |
| VMware, Inc., Class A * | | | 85 | | | | 9,281 | |
| Zynga, Inc., Class A * | | | 16,270 | | | | 61,501 | |
| | | | | | | | |
| | | | | | | 1,055,173 | |
| | | | | | | | |
| Specialty Retail - 3.1% | | | | | | |
| Bed Bath & Beyond, Inc. | | | 2,336 | | | | 54,826 | |
| Best Buy Co., Inc. | | | 1,746 | | | | 99,452 | |
| Chico’s FAS, Inc. | | | 4,943 | | | | 44,240 | |
| Dick’s Sporting Goods, Inc. | | | 295 | | | | 7,968 | |
| Foot Locker, Inc. | | | 802 | | | | 28,246 | |
| GameStop Corp., Class A | | | 1,924 | | | | 39,750 | |
| Home Depot, Inc. (The) | | | 410 | | | | 67,060 | |
| Lowe’s Cos., Inc. | | | 1,003 | | | | 80,180 | |
| Michaels Cos., Inc. (The) * | | | 1,035 | | | | 22,221 | |
| Office Depot, Inc. | | | 6,477 | | | | 29,406 | |
| Ross Stores, Inc. | | | 205 | | | | 13,237 | |
| TJX Cos., Inc. (The) | | | 433 | | | | 31,925 | |
| | | | | | | | |
| | | | | | | 518,511 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals - 4.5% | |
| Apple, Inc. (a) | | | 2,910 | | | | 448,489 | |
| Hewlett Packard Enterprise Co. | | | 5,933 | | | | 87,275 | |
| HP, Inc. | | | 2,051 | | | | 40,938 | |
| Seagate Technology plc | | | 1,701 | | | | 56,422 | |
| Western Digital Corp. | | | 785 | | | | 67,824 | |
| Xerox Corp. | | | 1,304 | | | | 43,410 | |
| | | | | | | | |
| | | | | | | 744,358 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods - 0.8% | | | | | | |
| Deckers Outdoor Corp. * | | | 957 | | | | 65,468 | |
| Michael Kors Holdings Ltd. * | | | 1,339 | | | | 64,071 | |
| Skechers U.S.A., Inc., Class A * | | | 309 | | | | 7,753 | |
| | | | | | | | |
| | | | | | | 137,292 | |
| | | | | | | | |
| Tobacco - 1.0% | | | | | | |
| Altria Group, Inc. | | | 1,123 | | | | 71,221 | |
| Philip Morris International, Inc. | | | 894 | | | | 99,243 | |
| | | | | | | | |
| | | | | | | 170,464 | |
| | | | | | | | |
| Trading Companies & Distributors - 0.8% | | | | | | |
| MSC Industrial Direct Co., Inc., Class A | | | 187 | | | | 14,132 | |
| United Rentals, Inc. * | | | 388 | | | | 53,831 | |
| WESCO International, Inc. * | | | 638 | | | | 37,164 | |
| WW Grainger, Inc. | | | 163 | | | | 29,299 | |
| | | | | | | | |
| | | | 134,426 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $19,439,207) | | | | 20,786,954 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| EXCHANGE TRADED FUND - 2.9% | |
SPDR S&P500 Fund Trust
(Cost $476,369) | | | 1,923 | | | $ | 483,115 | |
| | | | | | | | |
|
| SHORT-TERM INVESTMENTS - 2.2% | |
|
| Investment Companies - 2.2% | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.91% (2)(c) | | | 246 | | | | 246 | |
| Dreyfus Treasury & Agency Cash Management, Institutional Shares, 0.89% (2)(c) | | | 982 | | | | 982 | |
| Limited Purpose Cash Investment Fund, 0.97% (2)(c) | | | 351,782 | | | | 351,747 | |
| UBS Select Treasury Preferred Fund, Class I, 0.87% (2)(c) | | | 1,228 | | | | 1,228 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(Cost $354,202) | | | | 354,203 | |
| | | | | | | | |
TOTAL LONG POSITIONS
(Cost $20,269,778) | | | | 21,624,272 | |
| | | | | | | | |
|
| SHORT POSITIONS - (29.6)% | |
|
| COMMON STOCKS - (29.6)% | |
|
| Aerospace & Defense - (1.8)% | |
| HEICO Corp. | | | (1,183 | ) | | | (106,245 | ) |
| KLX, Inc. * | | | (314 | ) | | | (16,620 | ) |
| TransDigm Group, Inc. | | | (655 | ) | | | (167,451 | ) |
| | | | | | | | |
| | | | | | | (290,316 | ) |
| | | | | | | | |
| Air Freight & Logistics - (0.1)% | | | | | | |
| XPO Logistics, Inc. * | | | (164 | ) | | | (11,116 | ) |
| | | | | | | | |
| | |
| Airlines - (0.2)% | | | | | | |
| American Airlines Group, Inc. | | | (628 | ) | | | (29,824 | ) |
| | | | | | | | |
| | |
| Banks - (1.4)% | | | | | | |
| Bank of the Ozarks, Inc. | | | (1,697 | ) | | | (81,541 | ) |
| Chemical Financial Corp. | | | (839 | ) | | | (43,846 | ) |
| FNB Corp. | | | (1,899 | ) | | | (26,643 | ) |
| MB Financial, Inc. | | | (76 | ) | | | (3,421 | ) |
| United Bankshares, Inc. | | | (2,066 | ) | | | (76,752 | ) |
| | | | | | | | |
| | | | | | | (232,203 | ) |
| | | | | | | | |
| Biotechnology - (2.7)% | | | | | | |
| Agios Pharmaceuticals, Inc. * | | | (1,568 | ) | | | (104,664 | ) |
| Alkermes plc * | | | (1,902 | ) | | | (96,698 | ) |
| Alnylam Pharmaceuticals, Inc. * | | | (33 | ) | | | (3,877 | ) |
| BioMarin Pharmaceutical, Inc. * | | | (241 | ) | | | (22,430 | ) |
| Incyte Corp. * | | | (127 | ) | | | (14,826 | ) |
| Intrexon Corp. * | | | (596 | ) | | | (11,330 | ) |
| Neurocrine Biosciences, Inc. * | | | (2,193 | ) | | | (134,387 | ) |
| OPKO Health, Inc. * | | | (8,899 | ) | | | (61,047 | ) |
| | | | | | | | |
| | | | | | | (449,259 | ) |
| | | | | | | | |
| Building Products - (0.3)% | | | | | | |
| Johnson Controls International plc | | | (1,215 | ) | | | (48,952 | ) |
| | | | | | | | |
|
| Capital Markets - (0.7)% | |
| Charles Schwab Corp. (The) | | | (886 | ) | | | (38,754 | ) |
| Stifel Financial Corp. | | | (1,377 | ) | | | (73,614 | ) |
| | | | | | | | |
| | | | | | | (112,368 | ) |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
177
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Chemicals - (0.5)% | | | | | | |
| CF Industries Holdings, Inc. | | | (2,108 | ) | | $ | (74,117 | ) |
| Platform Specialty Products Corp. * | | | (712 | ) | | | (7,939 | ) |
| | | | | | | | |
| | | | | | | (82,056 | ) |
| | | | | | | | |
| Communications Equipment - (0.8)% | | | | | | |
| Arista Networks, Inc. * | | | (189 | ) | | | (35,836 | ) |
| Ciena Corp. * | | | (144 | ) | | | (3,164 | ) |
| NetScout Systems, Inc. * | | | (216 | ) | | | (6,988 | ) |
| Palo Alto Networks, Inc. * | | | (118 | ) | | | (17,004 | ) |
| ViaSat, Inc. * | | | (1,186 | ) | | | (76,283 | ) |
| | | | | | | | |
| | | | | | | (139,275 | ) |
| | | | | | | | |
| Construction & Engineering - (0.1)% | | | | | | |
| Granite Construction, Inc. | | | (350 | ) | | | (20,282 | ) |
| | | | | | | | |
| | |
| Containers & Packaging - (0.8)% | | | | | | |
| Ball Corp. | | | (3,164 | ) | | | (130,673 | ) |
| Sealed Air Corp. | | | (84 | ) | | | (3,589 | ) |
| | | | | | | | |
| | | | | | | (134,262 | ) |
| | | | | | | | |
| Diversified Telecommunication Services - (0.1)% | | | | |
| Zayo Group Holdings, Inc. * | | | (425 | ) | | | (14,629 | ) |
| | | | | | | | |
| | |
| Electrical Equipment - (0.3)% | | | | | | |
| Acuity Brands, Inc. | | | (68 | ) | | | (11,647 | ) |
| Sensata Technologies Holding NV * | | | (607 | ) | | | (29,179 | ) |
| | | | | | | | |
| | | | | | | (40,826 | ) |
| | | | | | | | |
| Electronic Equipment, Instruments & Components - (0.4)% | |
| Coherent, Inc. * | | | (130 | ) | | | (30,572 | ) |
| Universal Display Corp. | | | (265 | ) | | | (34,145 | ) |
| | | | | | | | |
| | | | | | | (64,717 | ) |
| | | | | | | | |
| Energy Equipment & Services - (1.5)% | | | | | | |
| Core Laboratories NV | | | (272 | ) | | | (26,846 | ) |
| Ensco plc, Class A | | | (4,120 | ) | | | (24,597 | ) |
| Helmerich & Payne, Inc. | | | (260 | ) | | | (13,549 | ) |
| Transocean Ltd. * | | | (1,388 | ) | | | (14,935 | ) |
| Weatherford International plc * | | | (35,842 | ) | | | (164,156 | ) |
| | | | | | | | |
| | | | | | | (244,083 | ) |
| | | | | | | | |
| Food Products - (0.7)% | | | | | | |
| Blue Buffalo Pet Products, Inc. * | | | (955 | ) | | | (27,074 | ) |
| Post Holdings, Inc. * | | | (419 | ) | | | (36,985 | ) |
| Snyder’s-Lance, Inc. | | | (486 | ) | | | (18,536 | ) |
| TreeHouse Foods, Inc. * | | | (527 | ) | | | (35,694 | ) |
| | | | | | | | |
| | | | | | | (118,289 | ) |
| | | | | | | | |
| Gas Utilities - 0.0% (b) | | | | | | |
| WGL Holdings, Inc. | | | (26 | ) | | | (2,189 | ) |
| | | | | | | | |
| | |
| Health Care Equipment & Supplies - (1.0)% | | | | | | |
| DexCom, Inc. * | | | (2,493 | ) | | | (121,970 | ) |
| NuVasive, Inc. * | | | (914 | ) | | | (50,690 | ) |
| | | | | | | | |
| | | | | | | (172,660 | ) |
| | | | | | | | |
| Health Care Providers & Services - (1.5)% | |
| Acadia Healthcare Co., Inc. * | | | (2,598 | ) | | | (124,081 | ) |
| Envision Healthcare Corp. * | | | (2,192 | ) | | | (98,530 | ) |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Health Care Providers & Services - (1.5)% (continued) | |
| Premier, Inc., Class A * | | | (806 | ) | | $ | (26,251 | ) |
| | | | | | | | |
| | | | | | | (248,862 | ) |
| | | | | | | | |
| Health Care Technology - 0.0% (b) | | | | | | |
| Medidata Solutions, Inc. * | | | (38 | ) | | | (2,966 | ) |
| | | | | | | | |
| | |
| Hotels, Restaurants & Leisure - (0.1)% | | | | | | |
| Domino’s Pizza, Inc. | | | (71 | ) | | | (14,097 | ) |
| | | | | | | | |
| | |
| Household Durables - (0.2)% | | | | | | |
| Newell Brands, Inc. | | | (220 | ) | | | (9,387 | ) |
| Tempur Sealy International, Inc. * | | | (51 | ) | | | (3,291 | ) |
| TRI Pointe Group, Inc. * | | | (1,927 | ) | | | (26,612 | ) |
| | | | | | | | |
| | | | | | | (39,290 | ) |
| | | | | | | | |
| Industrial Conglomerates - 0.0% (b) | | | | | | |
| Roper Technologies, Inc. | | | (12 | ) | | | (2,921 | ) |
| | | | | | | | |
|
| Internet & Direct Marketing Retail - 0.0% (b) | |
| Wayfair, Inc., Class A * | | | (40 | ) | | | (2,696 | ) |
| | | | | | | | |
| | |
| Internet Software & Services - (0.6)% | | | | | | |
| comScore, Inc. * | | | (220 | ) | | | (6,325 | ) |
| GoDaddy, Inc., Class A * | | | (71 | ) | | | (3,089 | ) |
| Pandora Media, Inc. * | | | (7,787 | ) | | | (59,960 | ) |
| Zillow Group, Inc., Class C * | | | (851 | ) | | | (34,219 | ) |
| | | | | | | | |
| | | | | | | (103,593 | ) |
| | | | | | | | |
| IT Services - (0.5)% | | | | | | |
| First Data Corp., Class A * | | | (2,185 | ) | | | (39,417 | ) |
| Sabre Corp. | | | (510 | ) | | | (9,231 | ) |
| Square, Inc., Class A * | | | (928 | ) | | | (26,736 | ) |
| WEX, Inc. * | | | (95 | ) | | | (10,661 | ) |
| | | | | | | | |
| | | | | | | (86,045 | ) |
| | | | | | | | |
| Life Sciences Tools & Services - (0.2)% | |
| Bio-Techne Corp. | | | (290 | ) | | | (35,058 | ) |
| | | | | | | | |
| | |
| Machinery - (2.0)% | | | | | | |
| Middleby Corp. (The) * | | | (141 | ) | | | (18,072 | ) |
| Wabtec Corp. | | | (2,612 | ) | | | (197,859 | ) |
| Welbilt, Inc. * | | | (4,818 | ) | | | (111,055 | ) |
| | | | | | | | |
| | | | | | | (326,986 | ) |
| | | | | | | | |
| Metals & Mining - (1.1)% | | | | | | |
| Allegheny Technologies, Inc. * | | | (5,665 | ) | | | (135,394 | ) |
| Compass Minerals International, Inc. | | | (608 | ) | | | (39,459 | ) |
| | | | | | | | |
| | | | | | | (174,853 | ) |
| | | | | | | | |
| Multi-Utilities - (0.5)% | | | | | | |
| Black Hills Corp. | | | (1,279 | ) | | | (88,085 | ) |
| | | | | | | | |
| | |
| Oil, Gas & Consumable Fuels - (3.8)% | | | | | | |
| Antero Resources Corp. * | | | (234 | ) | | | (4,657 | ) |
| Centennial Resource Development, Inc., Class A * | | | (5,013 | ) | | | (90,084 | ) |
| Cheniere Energy, Inc. * | | | (3,258 | ) | | | (146,740 | ) |
| Chesapeake Energy Corp. * | | | (6,553 | ) | | | (28,178 | ) |
| Concho Resources, Inc. * | | | (47 | ) | | | (6,191 | ) |
| EQT Corp. | | | (48 | ) | | | (3,132 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
178
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Oil, Gas & Consumable Fuels - (3.8)% (continued) | |
| Hess Corp. | | | (1,332 | ) | | $ | (62,458 | ) |
| Kosmos Energy Ltd. (Ghana) * | | | (7,919 | ) | | | (63,035 | ) |
| Matador Resources Co. * | | | (1,520 | ) | | | (41,268 | ) |
| PBF Energy, Inc., Class A | | | (3,734 | ) | | | (103,096 | ) |
| Range Resources Corp. | | | (1,178 | ) | | | (23,053 | ) |
| SM Energy Co. | | | (845 | ) | | | (14,990 | ) |
| Targa Resources Corp. | | | (331 | ) | | | (15,656 | ) |
| Whiting Petroleum Corp. * | | | (5,318 | ) | | | (29,036 | ) |
| | | | | | | | |
| | | | | | | (631,574 | ) |
| | | | | | | | |
| Personal Products - (0.4)% | | | | | | |
| Coty, Inc., Class A | | | (4,083 | ) | | | (67,492 | ) |
| | | | | | | | |
| | |
| Pharmaceuticals - (1.0)% | | | | | | |
| Allergan plc | | | (60 | ) | | | (12,297 | ) |
| Perrigo Co. plc | | | (1,316 | ) | | | (111,400 | ) |
| Prestige Brands Holdings, Inc. * | | | (846 | ) | | | (42,376 | ) |
| | | | | | | | |
| | | | | | | (166,073 | ) |
| | | | | | | | |
| Professional Services - 0.0% (b) | | | | | | |
| IHS Markit Ltd. * | | | (109 | ) | | | (4,805 | ) |
| | | | | | | | |
| | |
| Road & Rail - (0.1)% | | | | | | |
| Genesee & Wyoming, Inc., Class A * | | | (136 | ) | | | (10,065 | ) |
| | | | | | | | |
|
| Semiconductors & Semiconductor Equipment - (1.0)% | |
| Advanced Micro Devices, Inc. * | | | (2,313 | ) | | | (29,491 | ) |
| Cavium, Inc. * | | | (1,193 | ) | | | (78,667 | ) |
| Cree, Inc. * | | | (132 | ) | | | (3,721 | ) |
| Cypress Semiconductor Corp. | | | (2,419 | ) | | | (36,333 | ) |
| Integrated Device Technology, Inc. * | | | (659 | ) | | | (17,516 | ) |
| | | | | | | | |
| | | | | | | (165,728 | ) |
| | | | | | | | |
| Software - (1.6)% | | | | | | |
| ACI Worldwide, Inc. * | | | (239 | ) | | | (5,444 | ) |
| Atlassian Corp. plc, Class A (Australia) * | | | (914 | ) | | | (32,127 | ) |
| FireEye, Inc. * | | | (1,504 | ) | | | (25,222 | ) |
| Guidewire Software, Inc. * | | | (1,027 | ) | | | (79,962 | ) |
| ServiceNow, Inc. * | | | (171 | ) | | | (20,098 | ) |
| Splunk, Inc. * | | | (350 | ) | | | (23,250 | ) |
| Tyler Technologies, Inc. * | | | (58 | ) | | | (10,111 | ) |
| Ultimate Software Group, Inc. (The) * | | | (323 | ) | | | (61,241 | ) |
| Workday, Inc., Class A * | | | (100 | ) | | | (10,539 | ) |
| | | | | | | | |
| | | | | | | (267,994 | ) |
| | | | | | | | |
| Specialty Retail - (1.2)% | | | | | | |
| Advance Auto Parts, Inc. | | | (228 | ) | | | (22,617 | ) |
| CarMax, Inc. * | | | (658 | ) | | | (49,883 | ) |
| L Brands, Inc. | | | (1,331 | ) | | | (55,383 | ) |
| Signet Jewelers Ltd. | | | (965 | ) | | | (64,221 | ) |
| | | | | | | | |
| | | | | | | (192,104 | ) |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals - (0.3)% | |
| Diebold Nixdorf, Inc. | | | (1,872 | ) | | | (42,775 | ) |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Trading Companies & Distributors - (0.1)% | |
| Fastenal Co. | | | (187 | ) | | $ | (8,523 | ) |
| NOW, Inc. * | | | (643 | ) | | | (8,880 | ) |
| | | | | | | | |
| | | | | | | (17,403 | ) |
| | | | | | | | |
TOTAL COMMON STOCKS
(Proceeds $(4,742,597)) | | | | (4,898,771 | ) |
| | | | | | | | |
TOTAL SHORT POSITIONS
(Proceeds $(4,742,597)) | | | | (4,898,771 | ) |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT
VALUE - 101.0%
(Cost $15,527,181) | | | | 16,725,501 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (1.0)% | | | | | (162,796) | |
| | | | | | | | |
| NET ASSETS - 100.0% | | | $16,562,705 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 2,336,521 | | | | 14.1 | % |
| Consumer Staples | | | 836,537 | | | | 5.1 | |
| Energy | | | 118,478 | | | | 0.7 | |
| Exchange Traded Fund | | | 483,115 | | | | 2.9 | |
| Financials | | | 2,473,133 | | | | 14.8 | |
| Health Care | | | 1,781,367 | | | | 10.8 | |
| Industrials | | | 1,949,070 | | | | 11.8 | |
| Information Technology | | | 4,051,573 | | | | 24.4 | |
| Materials | | | 491,866 | | | | 3.0 | |
| Real Estate | | | 492,992 | | | | 3.0 | |
| Telecommunication Services | | | 249,044 | | | | 1.5 | |
| Utilities | | | 1,107,602 | | | | 6.7 | |
| Short-Term Investments | | | 354,203 | | | | 2.2 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 16,725,501 | | | | 101.0 | |
| Liabilities in Excess of Other Assets | | | (162,796 | ) | | | (1.0 | ) |
| | | | | | | | |
Net Assets | | $ | 16,562,705 | | | | 100.0 | % |
| | | | | | | | |
All securities are United States companies, unless noted otherwise in parentheses.
| * | Non-income producing security. |
| (a) | All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $5,353,947. |
| (b) | Represents less than 0.05% of net assets. |
| (c) | Represents 7-day effective yield as of September 30, 2017. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) Level 2 security (See Note 4).
Abbreviations
ADR - American Depositary Receipt
SPDR - Standard & Poor’s Depository Receipts
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
179
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| LONG POSITIONS - 128.9% | |
|
| COMMON STOCKS - 123.3% | |
|
| Aerospace & Defense - 3.4% | |
| AAR Corp. (a) | | | 377 | | | $ | 14,243 | |
| Curtiss-Wright Corp. (a) | | | 161 | | | | 16,831 | |
| DigitalGlobe, Inc. * | | | 92 | | | | 3,243 | |
| Ducommun, Inc. * | | | 397 | | | | 12,724 | |
| Engility Holdings, Inc. * | | | 37 | | | | 1,283 | |
| Esterline Technologies Corp. * | | | 129 | | | | 11,629 | |
| Moog, Inc., Class A *(a) | | | 159 | | | | 13,265 | |
| Sparton Corp. * | | | 14 | | | | 325 | |
| Triumph Group, Inc. | | | 157 | | | | 4,671 | |
| Vectrus, Inc. * | | | 1,015 | | | | 31,303 | |
| | | | | | | | |
| | | | | | | 109,517 | |
| | | | | | | | |
| Air Freight & Logistics - 0.8% | | | | | | |
| Hub Group, Inc., Class A * | | | 134 | | | | 5,755 | |
| Park-Ohio Holdings Corp. | | | 305 | | | | 13,908 | |
| Radiant Logistics, Inc. * | | | 1,077 | | | | 5,719 | |
| | | | | | | | |
| | | | | | | 25,382 | |
| | | | | | | | |
| Airlines - 0.1% | | | | | | |
| Allegiant Travel Co. | | | 14 | | | | 1,844 | |
| Hawaiian Holdings, Inc. * | | | 54 | | | | 2,027 | |
| | | | | | | | |
| | | | | | | 3,871 | |
| | | | | | | | |
| Auto Components - 3.5% | | | | | | |
| American Axle & Manufacturing Holdings, Inc. * | | | 451 | | | | 7,929 | |
| Cooper Tire & Rubber Co. | | | 271 | | | | 10,135 | |
| Cooper-Standard Holdings, Inc. * | | | 60 | | | | 6,958 | |
| Dana, Inc. (a) | | | 838 | | | | 23,430 | |
| LCI Industries | | | 23 | | | | 2,664 | |
| Standard Motor Products, Inc. | | | 55 | | | | 2,654 | |
| Stoneridge, Inc. * | | | 801 | | | | 15,868 | |
| Superior Industries International, Inc. | | | 109 | | | | 1,815 | |
| Tenneco, Inc. | | | 125 | | | | 7,584 | |
| Tower International, Inc. | | | 1,278 | | | | 34,762 | |
| | | | | | | | |
| | | | | | | 113,799 | |
| | | | | | | | |
| Banks - 11.0% | | | | | | |
| 1st Source Corp. (a) | | | 434 | | | | 22,047 | |
| BancFirst Corp. (a) | | | 266 | | | | 15,095 | |
| Banco Latinoamericano de Comercio Exterior SA, Class E (Panama) | | | 133 | | | | 3,916 | |
| BancorpSouth, Inc. (a) | | | 428 | | | | 13,717 | |
| Berkshire Hills Bancorp, Inc. | | | 118 | | | | 4,572 | |
| Boston Private Financial Holdings, Inc. | | | 398 | | | | 6,587 | |
| Capital Bank Financial Corp., Class A | | | 12 | | | | 493 | |
| Cathay General Bancorp | | | 141 | | | | 5,668 | |
| CenterState Bank Corp. | | | 200 | | | | 5,360 | |
| Central Pacific Financial Corp. | | | 236 | | | | 7,594 | |
| City Holding Co. | | | 55 | | | | 3,955 | |
| Columbia Banking System, Inc. | | | 51 | | | | 2,148 | |
| Community Trust Bancorp, Inc. | | | 88 | | | | 4,092 | |
| Customers Bancorp, Inc. * | | | 113 | | | | 3,686 | |
| Eagle Bancorp, Inc. * | | | 27 | | | | 1,810 | |
| Enterprise Financial Services Corp. | | | 134 | | | | 5,675 | |
| FCB Financial Holdings, Inc., Class A * | | | 63 | | | | 3,043 | |
| Financial Institutions, Inc. | | | 251 | | | | 7,229 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Banks - 11.0% (continued) | | | | | | |
| First Bancorp * | | | 5,695 | | | $ | 29,158 | |
| First Busey Corp. | | | 169 | | | | 5,300 | |
| First Citizens BancShares, Inc., Class A (a) | | | 44 | | | | 16,451 | |
| First Financial Bancorp | | | 128 | | | | 3,347 | |
| First Financial Corp. | | | 241 | | | | 11,472 | |
| First Merchants Corp. | | | 176 | | | | 7,556 | |
| First Midwest Bancorp, Inc. | | | 279 | | | | 6,534 | |
| Fulton Financial Corp. | | | 334 | | | | 6,263 | |
| Great Southern Bancorp, Inc. | | | 74 | | | | 4,118 | |
| Great Western Bancorp, Inc. | | | 73 | | | | 3,013 | |
| Hancock Holding Co. | | | 259 | | | | 12,549 | |
| Hanmi Financial Corp. | | | 468 | | | | 14,485 | |
| Heartland Financial USA, Inc. | | | 261 | | | | 12,893 | |
| Heritage Financial Corp. | | | 44 | | | | 1,298 | |
| Home BancShares, Inc. | | | 87 | | | | 2,185 | |
| Hope Bancorp, Inc. | | | 382 | | | | 6,765 | |
| IBERIABANK Corp. | | | 102 | | | | 8,379 | |
| Independent Bank Group, Inc. | | | 44 | | | | 2,653 | |
| International Bancshares Corp. (a) | | | 424 | | | | 17,002 | |
| Investors Bancorp, Inc. | | | 418 | | | | 5,702 | |
| National Bank Holdings Corp., Class A | | | 37 | | | | 1,321 | |
| OFG Bancorp | | | 442 | | | | 4,044 | |
| Old National Bancorp | | | 253 | | | | 4,630 | |
| Opus Bank * | | | 347 | | | | 8,328 | |
| Preferred Bank | | | 90 | | | | 5,432 | |
| Sandy Spring Bancorp, Inc. | | | 131 | | | | 5,429 | |
| South State Corp. | | | 11 | | | | 991 | |
| Texas Capital Bancshares, Inc. * | | | 68 | | | | 5,834 | |
| TriCo Bancshares | | | 117 | | | | 4,768 | |
| Umpqua Holdings Corp. | | | 473 | | | | 9,228 | |
| Union Bankshares Corp. | | | 134 | | | | 4,730 | |
| United Community Banks, Inc. | | | 181 | | | | 5,166 | |
| WesBanco, Inc. | | | 24 | | | | 984 | |
| Wintrust Financial Corp. | | | 39 | | | | 3,054 | |
| | | | | | | | |
| | | | | | | 357,749 | |
| | | | | | | | |
| Beverages - 0.5% | | | | | | |
| Coca-Cola Bottling Co. Consolidated | | | 5 | | | | 1,079 | |
| National Beverage Corp. (a) | | | 129 | | | | 16,002 | |
| | | | | | | | |
| | | | | | | 17,081 | |
| | | | | | | | |
| Biotechnology - 6.8% | | | | | | |
| Acorda Therapeutics, Inc. * | | | 289 | | | | 6,835 | |
| AMAG Pharmaceuticals, Inc. * | | | 456 | | | | 8,413 | |
| Amicus Therapeutics, Inc. * | | | 215 | | | | 3,242 | |
| Array BioPharma, Inc. * | | | 252 | | | | 3,100 | |
| Axovant Sciences Ltd. * | | | 84 | | | | 578 | |
| BioSpecifics Technologies Corp. * | | | 162 | | | | 7,536 | |
| Bluebird Bio, Inc. * | | | 14 | | | | 1,923 | |
| Blueprint Medicines Corp. * | | | 69 | | | | 4,807 | |
| Calithera Biosciences, Inc. * | | | 690 | | | | 10,868 | |
| Cara Therapeutics, Inc. * | | | 31 | | | | 424 | |
| Catalyst Pharmaceuticals, Inc. * | | | 851 | | | | 2,145 | |
| Clovis Oncology, Inc. * | | | 52 | | | | 4,285 | |
| Conatus Pharmaceuticals, Inc. * | | | 819 | | | | 4,496 | |
| Curis, Inc. * | | | 328 | | | | 489 | |
| Eagle Pharmaceuticals, Inc. * | | | 101 | | | | 6,024 | |
| Emergent BioSolutions, Inc. * | | | 282 | | | | 11,407 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
180
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Biotechnology - 6.8% (continued) | | | | | | |
| Enanta Pharmaceuticals, Inc. * | | | 192 | | | $ | 8,986 | |
| Esperion Therapeutics, Inc. * | | | 33 | | | | 1,654 | |
| Exact Sciences Corp. * | | | 93 | | | | 4,382 | |
| FibroGen, Inc. * | | | 147 | | | | 7,909 | |
| Genomic Health, Inc. * | | | 259 | | | | 8,311 | |
| Intellia Therapeutics, Inc. * | | | 197 | | | | 4,895 | |
| Kite Pharma, Inc. * | | | 73 | | | | 13,126 | |
| MacroGenics, Inc. * | | | 92 | | | | 1,700 | |
| Momenta Pharmaceuticals, Inc. * | | | 518 | | | | 9,583 | |
| Myriad Genetics, Inc. *(a) | | | 768 | | | | 27,786 | |
| Otonomy, Inc. * | | | 1,603 | | | | 5,210 | |
| PDL BioPharma, Inc. * | | | 7,703 | | | | 26,113 | |
| Portola Pharmaceuticals, Inc. * | | | 71 | | | | 3,836 | |
| Prothena Corp. plc (Ireland) * | | | 48 | | | | 3,109 | |
| Puma Biotechnology, Inc. * | | | 41 | | | | 4,910 | |
| Repligen Corp. * | | | 85 | | | | 3,257 | |
| Sarepta Therapeutics, Inc. * | | | 90 | | | | 4,082 | |
| Versartis, Inc. * | | | 66 | | | | 162 | |
| Xencor, Inc. * | | | 276 | | | | 6,326 | |
| | | | | | | | |
| | | | | | | 221,909 | |
| | | | | | | | |
| Building Products - 2.2% | | | | | | |
| American Woodmark Corp. * | | | 24 | | | | 2,310 | |
| Continental Building Products, Inc. * | | | 539 | | | | 14,014 | |
| Gibraltar Industries, Inc. * | | | 53 | | | | 1,651 | |
| Insteel Industries, Inc. | | | 100 | | | | 2,611 | |
| Masonite International Corp. * | | | 62 | | | | 4,290 | |
| NCI Building Systems, Inc. * | | | 605 | | | | 9,438 | |
| Patrick Industries, Inc. * | | | 28 | | | | 2,355 | |
| Ply Gem Holdings, Inc. *(a) | | | 1,360 | | | | 23,188 | |
| Simpson Manufacturing Co., Inc. | | | 136 | | | | 6,669 | |
| Universal Forest Products, Inc. | | | 42 | | | | 4,123 | |
| | | | | | | | |
| | | | | | | 70,649 | |
| | | | | | | | |
| Capital Markets - 0.7% | | | | | | |
| Evercore, Inc., Class A | | | 90 | | | | 7,222 | |
| Greenhill & Co., Inc. | | | 57 | | | | 946 | |
| INTL. FCStone, Inc. * | | | 203 | | | | 7,779 | |
| Piper Jaffray Cos. | | | 11 | | | | 653 | |
| Waddell & Reed Financial, Inc., Class A | | | 314 | | | | 6,302 | |
| | | | | | | | |
| | | | | | | 22,902 | |
| | | | | | | | |
| Chemicals - 4.4% | | | | | | |
| Ferro Corp. *(a) | | | 694 | | | | 15,476 | |
| FutureFuel Corp. | | | 878 | | | | 13,820 | |
| HB Fuller Co. | | | 19 | | | | 1,103 | |
| Innophos Holdings, Inc. | | | 271 | | | | 13,331 | |
| Innospec, Inc. | | | 34 | | | | 2,096 | |
| Koppers Holdings, Inc. * | | | 69 | | | | 3,184 | |
| Kronos Worldwide, Inc. (a) | | | 638 | | | | 14,566 | |
| OMNOVA Solutions, Inc. * | | | 1,954 | | | | 21,396 | |
| PolyOne Corp. | | | 248 | | | | 9,927 | |
| Rayonier Advanced Materials, Inc. | | | 98 | | | | 1,343 | |
| Stepan Co. | | | 78 | | | | 6,525 | |
| Trinseo SA (a) | | | 528 | | | | 35,429 | |
| Tronox Ltd., Class A | | | 226 | | | | 4,769 | |
| | | | | | | | |
| | | | | | | 142,965 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Commercial Services & Supplies - 2.0% | | | | | | |
| ACCO Brands Corp. * | | | 353 | | | $ | 4,201 | |
| Brady Corp., Class A | | | 73 | | | | 2,770 | |
| Brink’s Co. (The) | | | 149 | | | | 12,553 | |
| Ennis, Inc. | | | 218 | | | | 4,284 | |
| Herman Miller, Inc. | | | 208 | | | | 7,467 | |
| Knoll, Inc. | | | 512 | | | | 10,240 | |
| McGrath RentCorp. | | | 28 | | | | 1,225 | |
| Steelcase, Inc., Class A | | | 663 | | | | 10,210 | |
| Viad Corp. | | | 192 | | | | 11,693 | |
| | | | | | | | |
| | | | | | | 64,643 | |
| | | | | | | | |
| Communications Equipment - 2.1% | | | | | | |
| Applied Optoelectronics, Inc. * | | | 123 | | | | 7,954 | |
| Digi International, Inc. * | | | 308 | | | | 3,265 | |
| Extreme Networks, Inc. * | | | 416 | | | | 4,946 | |
| Finisar Corp. *(a) | | | 703 | | | | 15,586 | |
| InterDigital, Inc. | | | 150 | | | | 11,063 | |
| NETGEAR, Inc. * | | | 118 | | | | 5,617 | |
| Sonus Networks, Inc. * | | | 1,751 | | | | 13,395 | |
| Viavi Solutions, Inc. * | | | 646 | | | | 6,111 | |
| | | | | | | | |
| | | | | | | 67,937 | |
| | | | | | | | |
| Construction & Engineering - 1.8% | | | | | | |
| Argan, Inc. (a) | | | 326 | | | | 21,924 | |
| Chicago Bridge & Iron Co. NV | | | 288 | | | | 4,838 | |
| Comfort Systems USA, Inc. | | | 103 | | | | 3,677 | |
| EMCOR Group, Inc. | | | 170 | | | | 11,795 | |
| MasTec, Inc. * | | | 30 | | | | 1,392 | |
| MYR Group, Inc. * | | | 211 | | | | 6,149 | |
| Tutor Perini Corp. * | | | 351 | | | | 9,968 | |
| | | | | | | | |
| | | | | | | 59,743 | |
| | | | | | | | |
| Construction Materials - 0.1% | | | | | | |
| Summit Materials, Inc., Class A * | | | 146 | | | | 4,676 | |
| | | | | | | | |
| | |
| Consumer Finance - 0.7% | | | | | | |
| Enova International, Inc. * | | | 98 | | | | 1,318 | |
| FirstCash, Inc. | | | 49 | | | | 3,094 | |
| Green Dot Corp., Class A * | | | 68 | | | | 3,371 | |
| LendingClub Corp. * | | | 451 | | | | 2,747 | |
| Nelnet, Inc., Class A | | | 53 | | | | 2,677 | |
| Regional Management Corp. * | | | 391 | | | | 9,466 | |
| | | | | | | | |
| | | | | | | 22,673 | |
| | | | | | | | |
| Distributors - 0.1% | | | | | | |
| Core-Mark Holding Co., Inc. | | | 55 | | | | 1,768 | |
| | | | | | | | |
| | |
| Diversified Consumer Services - 1.9% | | | | | | |
| Adtalem Global Education, Inc. | | | 96 | | | | 3,442 | |
| American Public Education, Inc. * | | | 568 | | | | 11,956 | |
| Bridgepoint Education, Inc. * | | | 1,735 | | | | 16,656 | |
| Capella Education Co. | | | 177 | | | | 12,416 | |
| Career Education Corp. * | | | 117 | | | | 1,216 | |
| Grand Canyon Education, Inc. * | | | 17 | | | | 1,544 | |
| K12, Inc. * | | | 832 | | | | 14,843 | |
| | | | | | | | |
| | | | | | | 62,073 | |
| | | | | | | | |
| Diversified Telecommunication Services - 0.5% | | | | |
| Cincinnati Bell, Inc. * | | | 219 | | | | 4,347 | |
| IDT Corp., Class B | | | 706 | | | | 9,941 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
181
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Diversified Telecommunication Services - 0.5% (continued) | |
| Ooma, Inc. * | | | 226 | | | $ | 2,384 | |
| Vonage Holdings Corp. * | | | 58 | | | | 472 | |
| | | | | | | | |
| | | | | | | 17,144 | |
| | | | | | | | |
| Electric Utilities - 0.3% | | | | | | |
| Portland General Electric Co. | | | 240 | | | | 10,954 | |
| | | | | | | | |
| | |
| Electrical Equipment - 0.4% | | | | | | |
| Atkore International Group, Inc. * | | | 273 | | | | 5,326 | |
| Babcock & Wilcox Enterprises, Inc. * | | | 505 | | | | 1,682 | |
| EnerSys | | | 68 | | | | 4,703 | |
| Generac Holdings, Inc. * | | | 48 | | | | 2,205 | |
| | | | | | | | |
| | | | | | | 13,916 | |
| | | | | | | | |
| Electronic Equipment, Instruments & Components - 6.7% | |
| Anixter International, Inc. *(a) | | | 228 | | | | 19,380 | |
| AVX Corp. | | | 627 | | | | 11,430 | |
| Benchmark Electronics, Inc. * | | | 359 | | | | 12,260 | |
| Control4 Corp. * | | | 993 | | | | 29,254 | |
| ePlus, Inc. * | | | 165 | | | | 15,254 | |
| Insight Enterprises, Inc. *(a) | | | 479 | | | | 21,996 | |
| Itron, Inc. * | | | 8 | | | | 620 | |
| KEMET Corp. * | | | 588 | | | | 12,424 | |
| Kimball Electronics, Inc. * | | | 270 | | | | 5,845 | |
| Methode Electronics, Inc. | | | 63 | | | | 2,668 | |
| PCM, Inc. * | | | 45 | | | | 630 | |
| Plexus Corp. * | | | 65 | | | | 3,645 | |
| Rogers Corp. *(a) | | | 115 | | | | 15,327 | |
| Sanmina Corp. *(a) | | | 639 | | | | 23,739 | |
| ScanSource, Inc. *(a) | | | 487 | | | | 21,258 | |
| SYNNEX Corp. | | | 91 | | | | 11,512 | |
| Tech Data Corp. * | | | 70 | | | | 6,220 | |
| TTM Technologies, Inc. * | | | 253 | | | | 3,889 | |
| | | | | | | | |
| | | | | | | 217,351 | |
| | | | | | | | |
| Energy Equipment & Services - 1.2% | | | | | | |
| Archrock, Inc. | | | 379 | | | | 4,757 | |
| Fairmount Santrol Holdings, Inc. * | | | 2,437 | | | | 11,649 | |
| Helix Energy Solutions Group, Inc. * | | | 195 | | | | 1,441 | |
| McDermott International, Inc. * | | | 1,135 | | | | 8,251 | |
| Oil States International, Inc. * | | | 44 | | | | 1,115 | |
| Pioneer Energy Services Corp. * | | | 583 | | | | 1,487 | |
| Tesco Corp. * | | | 71 | | | | 387 | |
| Unit Corp. * | | | 265 | | | | 5,454 | |
| US Silica Holdings, Inc. | | | 147 | | | | 4,567 | |
| | | | | | | | |
| | | | | | | 39,108 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (REITs) - 3.7% | |
| Agree Realty Corp. | | | 13 | | | | 638 | |
| Alexander & Baldwin, Inc. | | | 49 | | | | 2,270 | |
| Alexander’s, Inc. | | | 8 | | | | 3,393 | |
| CBL & Associates Properties, Inc. | | | 357 | | | | 2,995 | |
| DiamondRock Hospitality Co. | | | 464 | | | | 5,081 | |
| First Potomac Realty Trust | | | 87 | | | | 969 | |
| Four Corners Property Trust, Inc. (a) | | | 531 | | | | 13,233 | |
| GEO Group, Inc. (The) | | | 115 | | | | 3,093 | |
| Government Properties Income Trust | | | 116 | | | | 2,177 | |
| Lexington Realty Trust (a) | | | 1,571 | | | | 16,056 | |
| Mack-Cali Realty Corp. (a) | | | 618 | | | | 14,653 | |
| QTS Realty Trust, Inc., Class A | | | 249 | | | | 13,038 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Equity Real Estate Investment Trusts (REITs) - 3.7% (continued) | |
| RLJ Lodging Trust | | | 227 | | | $ | 4,994 | |
| Sabra Health Care REIT, Inc. | | | 135 | | | | 2,962 | |
| Select Income REIT | | | 452 | | | | 10,586 | |
| Starwood Waypoint Homes * | | | 152 | | | | 5,528 | |
| Summit Hotel Properties, Inc. | | | 152 | | | | 2,430 | |
| Xenia Hotels & Resorts, Inc. (a) | | | 769 | | | | 16,187 | |
| | | | | | | | |
| | | | | | | 120,283 | |
| | | | | | | | |
| Food & Staples Retailing - 0.4% | | | | | | |
| Andersons, Inc. (The) | | | 95 | | | | 3,254 | |
| SpartanNash Co. | | | 242 | | | | 6,382 | |
| SUPERVALU, Inc. * | | | 131 | | | | 2,849 | |
| | | | | | | | |
| | | | | | | 12,485 | |
| | | | | | | | |
| Food Products - 2.4% | | | | | | |
| Darling Ingredients, Inc. * | | | 748 | | | | 13,105 | |
| Dean Foods Co. | | | 1,197 | | | | 13,023 | |
| Fresh Del Monte Produce, Inc. | | | 245 | | | | 11,138 | |
| John B Sanfilippo & Son, Inc. | | | 150 | | | | 10,097 | |
| Omega Protein Corp. | | | 902 | | | | 15,018 | |
| Sanderson Farms, Inc. (a) | | | 94 | | | | 15,183 | |
| | | | | | | | |
| | | | | | | 77,564 | |
| | | | | | | | |
| Gas Utilities - 1.2% | | | | | | |
| ONE Gas, Inc. | | | 134 | | | | 9,868 | |
| Southwest Gas Holdings, Inc. (a) | | | 286 | | | | 22,199 | |
| WGL Holdings, Inc. | | | 68 | | | | 5,726 | |
| | | | | | | | |
| | | | | | | 37,793 | |
| | | | | | | | |
| Health Care Equipment & Supplies - 2.7% | | | | | | |
| Analogic Corp. | | | 29 | | | | 2,429 | |
| AngioDynamics, Inc. * | | | 159 | | | | 2,717 | |
| Atrion Corp. | | | 1 | | | | 672 | |
| Cantel Medical Corp. | | | 25 | | | | 2,354 | |
| Globus Medical, Inc., Class A * | | | 408 | | | | 12,126 | |
| Integer Holdings Corp. * | | | 20 | | | | 1,023 | |
| Lantheus Holdings, Inc. * | | | 498 | | | | 8,864 | |
| LeMaitre Vascular, Inc. | | | 324 | | | | 12,124 | |
| Masimo Corp. *(a) | | | 169 | | | | 14,629 | |
| Meridian Bioscience, Inc. | | | 59 | | | | 844 | |
| Merit Medical Systems, Inc. * | | | 74 | | | | 3,134 | |
| Natus Medical, Inc. * | | | 178 | | | | 6,675 | |
| OraSure Technologies, Inc. * | | | 403 | | | | 9,067 | |
| Orthofix International NV * | | | 224 | | | | 10,584 | |
| | | | | | | | |
| | | | | | | 87,242 | |
| | | | | | | | |
| Health Care Providers & Services - 3.0% | | | | | | |
| AMN Healthcare Services, Inc. * | | | 27 | | | | 1,234 | |
| Community Health Systems, Inc. * | | | 709 | | | | 5,445 | |
| CorVel Corp. * | | | 294 | | | | 15,994 | |
| Cross Country Healthcare, Inc. * | | | 485 | | | | 6,902 | |
| Diplomat Pharmacy, Inc. * | | | 105 | | | | 2,174 | |
| HealthSouth Corp. | | | 77 | | | | 3,569 | |
| Landauer, Inc. | | | 79 | | | | 5,317 | |
| LHC Group, Inc. * | | | 87 | | | | 6,170 | |
| Magellan Health, Inc. * | | | 145 | | | | 12,513 | |
| Molina Healthcare, Inc. * | | | 83 | | | | 5,707 | |
| National HealthCare Corp. | | | 63 | | | | 3,942 | |
| Owens & Minor, Inc. | | | 161 | | | | 4,701 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
182
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Health Care Providers & Services - 3.0% (continued) | | | | |
| PharMerica Corp. * | | | 205 | | | $ | 6,006 | |
| Triple-S Management Corp., Class B * | | | 766 | | | | 18,139 | |
| | | | | | | | |
| | | | | | | 97,813 | |
| | | | | | | | |
| Health Care Technology - 1.1% | | | | | | |
| HMS Holdings Corp. *(a) | | | 808 | | | | 16,047 | |
| Omnicell, Inc. * | | | 15 | | | | 766 | |
| Quality Systems, Inc. * | | | 1,117 | | | | 17,570 | |
| | | | | | | | |
| | | | | | | 34,383 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure - 2.4% | | | | | | |
| BJ’s Restaurants, Inc. * | | | 102 | | | | 3,106 | |
| Bloomin’ Brands, Inc. | | | 377 | | | | 6,635 | |
| Boyd Gaming Corp. (a) | | | 533 | | | | 13,885 | |
| Buffalo Wild Wings, Inc. * | | | 25 | | | | 2,643 | |
| Caesars Entertainment Corp. * | | | 580 | | | | 7,743 | |
| Cheesecake Factory, Inc. (The) | | | 8 | | | | 337 | |
| Del Frisco’s Restaurant Group, Inc. * | | | 279 | | | | 4,059 | |
| Drive Shack, Inc. | | | 2,042 | | | | 7,372 | |
| Fogo De Chao, Inc. * | | | 46 | | | | 570 | |
| ILG, Inc. | | | 119 | | | | 3,181 | |
| International Speedway Corp., Class A | | | 118 | | | | 4,248 | |
| La Quinta Holdings, Inc. * | | | 304 | | | | 5,320 | |
| Marriott Vacations Worldwide Corp. | | | 17 | | | | 2,117 | |
| Ruth’s Hospitality Group, Inc. | | | 739 | | | | 15,482 | |
| Texas Roadhouse, Inc. | | | 30 | | | | 1,474 | |
| | | | | | | | |
| | | | | | | 78,172 | |
| | | | | | | | |
| Household Durables - 3.4% | | | | | | |
| Beazer Homes USA, Inc. * | | | 662 | | | | 12,406 | |
| Century Communities, Inc. * | | | 389 | | | | 9,608 | |
| Flexsteel Industries, Inc. | | | 258 | | | | 13,081 | |
| Hooker Furniture Corp. | | | 243 | | | | 11,603 | |
| Hovnanian Enterprises, Inc., Class A * | | | 3,596 | | | | 6,940 | |
| iRobot Corp. * | | | 15 | | | | 1,156 | |
| KB Home | | | 107 | | | | 2,581 | |
| La-Z-Boy, Inc. | | | 405 | | | | 10,894 | |
| Libbey, Inc. | | | 692 | | | | 6,408 | |
| M/I Homes, Inc. * | | | 153 | | | | 4,090 | |
| MDC Holdings, Inc. | | | 39 | | | | 1,295 | |
| NACCO Industries, Inc., Class A | | | 47 | | | | 4,033 | |
| Taylor Morrison Home Corp., Class A *(a) | | | 615 | | | | 13,561 | |
| TopBuild Corp. * | | | 73 | | | | 4,757 | |
| ZAGG, Inc. * | | | 604 | | | | 9,513 | |
| | | | | | | | |
| | | | | | | 111,926 | |
| | | | | | | | |
| Household Products - 0.1% | | | | | | |
| Central Garden & Pet Co., Class A * | | | 126 | | | | 4,686 | |
| | | | | | | | |
| | |
| Insurance - 2.6% | | | | | | |
| Ambac Financial Group, Inc. * | | | 305 | | | | 5,264 | |
| AMERISAFE, Inc. | | | 19 | | | | 1,106 | |
| Argo Group International Holdings Ltd. | | | 163 | | | | 10,025 | |
| CNO Financial Group, Inc. (a) | | | 840 | | | | 19,606 | |
| Employers Holdings, Inc. (a) | | | 530 | | | | 24,088 | |
| Enstar Group Ltd. * | | | 12 | | | | 2,668 | |
| Genworth Financial, Inc., Class A * | | | 530 | | | | 2,040 | |
| Heritage Insurance Holdings, Inc. | | | 238 | | | | 3,144 | |
| National Western Life Group, Inc., Class A | | | 29 | | | | 10,121 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Insurance - 2.6% (continued) | | | | | | |
| Safety Insurance Group, Inc. | | | 101 | | | $ | 7,706 | |
| United Fire Group, Inc. | | | 8 | | | | 367 | |
| | | | | | | | |
| | | | | | | 86,135 | |
| | | | | | | | |
| Internet & Direct Marketing Retail - 0.2% | | | | | | |
| 1-800-Flowers.com, Inc., Class A * | | | 723 | | | | 7,122 | |
| HSN, Inc. | | | 29 | | | | 1,132 | |
| | | | | | | | |
| | | | | | | 8,254 | |
| | | | | | | | |
| Internet Software & Services - 3.0% | | | | | | |
| Appfolio, Inc., Class A * | | | 124 | | | | 5,946 | |
| Bankrate, Inc. * | | | 71 | | | | 991 | |
| Bazaarvoice, Inc. * | | | 797 | | | | 3,945 | |
| Blucora, Inc. * | | | 83 | | | | 2,100 | |
| Box, Inc., Class A * | | | 405 | | | | 7,825 | |
| Brightcove, Inc. * | | | 1,413 | | | | 10,174 | |
| Carbonite, Inc. * | | | 138 | | | | 3,036 | |
| Care.com, Inc. * | | | 557 | | | | 8,851 | |
| Cars.com, Inc. * | | | 107 | | | | 2,847 | |
| GrubHub, Inc. *(a) | | | 287 | | | | 15,113 | |
| Meet Group, Inc. (The) * | | | 1,814 | | | | 6,603 | |
| Shutterstock, Inc. * | | | 125 | | | | 4,161 | |
| Web.com Group, Inc. * | | | 146 | | | | 3,650 | |
| XO Group, Inc. * | | | 427 | | | | 8,399 | |
| Yelp, Inc. * | | | 301 | | | | 13,033 | |
| | | | | | | | |
| | | | | | | 96,674 | |
| | | | | | | | |
| IT Services - 2.1% | | | | | | |
| CACI International, Inc., Class A * | | | 4 | | | | 557 | |
| Cardtronics plc, Class A * | | | 92 | | | | 2,117 | |
| Convergys Corp. (a) | | | 793 | | | | 20,531 | |
| EVERTEC, Inc. | | | 774 | | | | 12,268 | |
| Hackett Group, Inc. (The) | | | 817 | | | | 12,410 | |
| Perficient, Inc. * | | | 43 | | | | 846 | |
| Science Applications International Corp. | | | 56 | | | | 3,743 | |
| Sykes Enterprises, Inc. * | | | 235 | | | | 6,853 | |
| Travelport Worldwide Ltd. | | | 611 | | | | 9,593 | |
| | | | | | | | |
| | | | | | | 68,918 | |
| | | | | | | | |
| Leisure Products - 0.6% | | | | | | |
| American Outdoor Brands Corp. * | | | 61 | | | | 930 | |
| Johnson Outdoors, Inc., Class A | | | 73 | | | | 5,349 | |
| MCBC Holdings, Inc. * | | | 673 | | | | 13,716 | |
| | | | | | | | |
| | | | | | | 19,995 | |
| | | | | | | | |
| Life Sciences Tools & Services - 1.0% | | | | | | |
| Cambrex Corp. * | | | 206 | | | | 11,330 | |
| Enzo Biochem, Inc. * | | | 53 | | | | 555 | |
| INC Research Holdings, Inc., Class A * | | | 246 | | | | 12,866 | |
| PAREXEL International Corp. * | | | 72 | | | | 6,342 | |
| PRA Health Sciences, Inc. * | | | 43 | | | | 3,275 | |
| | | | | | | | |
| | | | | | | 34,368 | |
| | | | | | | | |
| Machinery - 6.5% | | | | | | |
| Alamo Group, Inc. | | | 126 | | | | 13,529 | |
| Astec Industries, Inc. | | | 218 | | | | 12,210 | |
| Barnes Group, Inc. | | | 55 | | | | 3,874 | |
| Briggs & Stratton Corp. | | | 183 | | | | 4,300 | |
| Columbus McKinnon Corp. | | | 97 | | | | 3,673 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
183
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Machinery - 6.5% (continued) | | | | | | |
| Commercial Vehicle Group, Inc. * | | | 1,135 | | | $ | 8,342 | |
| Global Brass & Copper Holdings, Inc. | | | 372 | | | | 12,574 | |
| Greenbrier Cos., Inc. (The) | | | 190 | | | | 9,149 | |
| Harsco Corp. * | | | 597 | | | | 12,477 | |
| Hyster-Yale Materials Handling, Inc. (a) | | | 203 | | | | 15,517 | |
| Kadant, Inc. | | | 81 | | | | 7,983 | |
| Kennametal, Inc. | | | 196 | | | | 7,907 | |
| Lydall, Inc. * | | | 26 | | | | 1,490 | |
| Meritor, Inc. *(a) | | | 1,079 | | | | 28,065 | |
| Mueller Industries, Inc. | | | 350 | | | | 12,233 | |
| Mueller Water Products, Inc., Class A | | | 1,011 | | | | 12,941 | |
| Rexnord Corp. * | | | 81 | | | | 2,058 | |
| Spartan Motors, Inc. | | | 1,741 | | | | 19,238 | |
| SPX Corp. * | | | 113 | | | | 3,315 | |
| Standex International Corp. | | | 35 | | | | 3,717 | |
| TriMas Corp. * | | | 317 | | | | 8,559 | |
| Wabash National Corp. | | | 343 | | | | 7,827 | |
| Woodward, Inc. | | | 31 | | | | 2,406 | |
| | | | | | | | |
| | | | | | | 213,384 | |
| | | | | | | | |
| Media - 0.8% | | | | | | |
| Entravision Communications Corp., Class A | | | 347 | | | | 1,978 | |
| Gannett Co., Inc. | | | 680 | | | | 6,120 | |
| MSG Networks, Inc., Class A * | | | 309 | | | | 6,551 | |
| Sinclair Broadcast Group, Inc., Class A | | | 14 | | | | 448 | |
| Time, Inc. | | | 64 | | | | 864 | |
| tronc, Inc. * | | | 807 | | | | 11,726 | |
| | | | | | | | |
| | | | | | | 27,687 | |
| | | | | | | | |
| Metals & Mining - 3.4% | | | | | | |
| AK Steel Holding Corp. * | | | 1,111 | | | | 6,210 | |
| Cleveland-Cliffs, Inc. *(a) | | | 3,558 | | | | 25,440 | |
| Coeur Mining, Inc. * | | | 452 | | | | 4,154 | |
| Commercial Metals Co. | | | 432 | | | | 8,221 | |
| Gold Resource Corp. | | | 119 | | | | 446 | |
| Haynes International, Inc. | | | 73 | | | | 2,621 | |
| Hecla Mining Co. | | | 506 | | | | 2,540 | |
| Kaiser Aluminum Corp. (a) | | | 149 | | | | 15,368 | |
| Materion Corp. | | | 345 | | | | 14,887 | |
| Olympic Steel, Inc. | | | 210 | | | | 4,620 | |
| Ryerson Holding Corp. * | | | 996 | | | | 10,807 | |
| SunCoke Energy, Inc. * | | | 990 | | | | 9,049 | |
| Worthington Industries, Inc. | | | 179 | | | | 8,234 | |
| | | | | | | | |
| | | | | | | 112,597 | |
| | | | | | | | |
| Multiline Retail - 0.3% | | | | | | |
| Big Lots, Inc. | | | 210 | | | | 11,250 | |
| | | | | | | | |
| | |
| Multi-Utilities - 0.6% | | | | | | |
| Avista Corp. | | | 148 | | | | 7,662 | |
| Black Hills Corp. | | | 80 | | | | 5,510 | |
| NorthWestern Corp. | | | 93 | | | | 5,295 | |
| | | | | | | | |
| | | | | | | 18,467 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels - 3.9% | |
| Abraxas Petroleum Corp. * | | | 7,177 | | | | 13,493 | |
| Arch Coal, Inc., Class A (a) | | | 264 | | | | 18,939 | |
| California Resources Corp. * | | | 497 | | | | 5,199 | |
| DHT Holdings, Inc. | | | 657 | | | | 2,615 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Oil, Gas & Consumable Fuels - 3.9% (continued) | |
| International Seaways, Inc. * | | | 99 | | | $ | 1,950 | |
| Midstates Petroleum Co., Inc. * | | | 1,042 | | | | 16,193 | |
| Overseas Shipholding Group, Inc., Class A * | | | 4,219 | | | | 11,096 | |
| Peabody Energy Corp. * | | | 19 | | | | 551 | |
| Penn Virginia Corp. * | | | 332 | | | | 13,273 | |
| REX American Resources Corp. * | | | 182 | | | | 17,077 | |
| SandRidge Energy, Inc. * | | | 156 | | | | 3,134 | |
| Ship Finance International Ltd. (Norway) | | | 43 | | | | 624 | |
| W&T Offshore, Inc. * | | | 6,766 | | | | 20,636 | |
| Westmoreland Coal Co. * | | | 519 | | | | 1,323 | |
| | | | | | | | |
| | | | | | | 126,103 | |
| | | | | | | | |
| Paper & Forest Products - 0.5% | | | | | | |
| Louisiana-Pacific Corp. *(a) | | | 629 | | | | 17,033 | |
| Schweitzer-Mauduit International, Inc. | | | 21 | | | | 871 | |
| | | | | | | | |
| | | | | | | 17,904 | |
| | | | | | | | |
| Pharmaceuticals - 2.5% | | | | | | |
| Catalent, Inc. * | | | 224 | | | | 8,942 | |
| Corcept Therapeutics, Inc. *(a) | | | 1,032 | | | | 19,918 | |
| Horizon Pharma plc * | | | 385 | | | | 4,882 | |
| Innoviva, Inc. * | | | 352 | | | | 4,970 | |
| Phibro Animal Health Corp., Class A | | | 329 | | | | 12,189 | |
| Prestige Brands Holdings, Inc. *(a) | | | 291 | | | | 14,576 | |
| SciClone Pharmaceuticals, Inc. * | | | 1,068 | | | | 11,962 | |
| Supernus Pharmaceuticals, Inc. * | | | 24 | | | | 960 | |
| Tetraphase Pharmaceuticals, Inc. * | | | 437 | | | | 2,989 | |
| | | | | | | | |
| | | | | | | 81,388 | |
| | | | | | | | |
| Professional Services - 2.3% | | | | | | |
| Advisory Board Co. (The) * | | | 60 | | | | 3,218 | |
| Barrett Business Services, Inc. | | | 182 | | | | 10,288 | |
| ICF International, Inc. * | | | 121 | | | | 6,528 | |
| Insperity, Inc. (a) | | | 192 | | | | 16,896 | |
| Kelly Services, Inc., Class A | | | 116 | | | | 2,910 | |
| Kforce, Inc. | | | 167 | | | | 3,373 | |
| Navigant Consulting, Inc. * | | | 218 | | | | 3,689 | |
| RPX Corp. * | | | 1,009 | | | | 13,400 | |
| TrueBlue, Inc. * | | | 701 | | | | 15,737 | |
| | | | | | | | |
| | | | | | | 76,039 | |
| | | | | | | | |
| Real Estate Management & Development - 0.3% | |
| Forestar Group, Inc. (2)* | | | 63 | | | | 1,084 | |
| HFF, Inc., Class A | | | 191 | | | | 7,556 | |
| | | | | | | | |
| | | | | | | 8,640 | |
| | | | | | | | |
| Road & Rail - 0.9% | | | | | | |
| ArcBest Corp. | | | 354 | | | | 11,841 | |
| Roadrunner Transportation Systems, Inc. * | | | 1,516 | | | | 14,448 | |
| YRC Worldwide, Inc. * | | | 328 | | | | 4,526 | |
| | | | | | | | |
| | | | | | | 30,815 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment - 7.2% | |
| Advanced Energy Industries, Inc. * | | | 110 | | | | 8,884 | |
| Alpha & Omega Semiconductor Ltd. * | | | 1,098 | | | | 18,106 | |
| Amkor Technology, Inc. *(a) | | | 1,306 | | | | 13,778 | |
| Axcelis Technologies, Inc. * | | | 232 | | | | 6,345 | |
| AXT, Inc. * | | | 1,624 | | | | 14,860 | |
| Brooks Automation, Inc. (a) | | | 638 | | | | 19,370 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
184
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Semiconductors & Semiconductor Equipment - 7.2% (continued) | |
| Cabot Microelectronics Corp. | | | 38 | | | $ | 3,037 | |
| Cirrus Logic, Inc. *(a) | | | 476 | | | | 25,380 | |
| CyberOptics Corp. * | | | 146 | | | | 2,373 | |
| Entegris, Inc. *(a) | | | 550 | | | | 15,868 | |
| FormFactor, Inc. * | | | 612 | | | | 10,312 | |
| Integrated Device Technology, Inc. * | | | 165 | | | | 4,386 | |
| Nanometrics, Inc. * | | | 571 | | | | 16,445 | |
| NeoPhotonics Corp. * | | | 588 | | | | 3,269 | |
| Photronics, Inc. * | | | 880 | | | | 7,788 | |
| Rudolph Technologies, Inc. * | | | 794 | | | | 20,882 | |
| Semtech Corp. * | | | 266 | | | | 9,988 | |
| SunPower Corp. * | | | 240 | | | | 1,750 | |
| Synaptics, Inc. * | | | 212 | | | | 8,306 | |
| Ultra Clean Holdings, Inc. * | | | 733 | | | | 22,444 | |
| | | | | | | | |
| | | | | | | 233,571 | |
| | | | | | | | |
| Software - 2.7% | | | | | | |
| 8x8, Inc. * | | | 459 | | | | 6,196 | |
| A10 Networks, Inc. * | | | 285 | | | | 2,155 | |
| Aspen Technology, Inc. * | | | 24 | | | | 1,507 | |
| Barracuda Networks, Inc. *(a) | | | 805 | | | | 19,505 | |
| CommVault Systems, Inc. * | | | 57 | | | | 3,466 | |
| Gigamon, Inc. * | | | 157 | | | | 6,618 | |
| MicroStrategy, Inc., Class A * | | | 27 | | | | 3,448 | |
| Mitek Systems, Inc. * | | | 417 | | | | 3,962 | |
| MobileIron, Inc. * | | | 1,541 | | | | 5,702 | |
| Qualys, Inc. * | | | 189 | | | | 9,790 | |
| RealPage, Inc. * | | | 110 | | | | 4,389 | |
| Rubicon Project, Inc. (The) * | | | 409 | | | | 1,591 | |
| Synchronoss Technologies, Inc. * | | | 61 | | | | 569 | |
| TiVo Corp. | | | 84 | | | | 1,667 | |
| Verint Systems, Inc. * | | | 274 | | | | 11,467 | |
| Zix Corp. * | | | 1,528 | | | | 7,472 | |
| | | | | | | | |
| | | | | | | 89,504 | |
| | | | | | | | |
| Specialty Retail - 1.6% | | | | | | |
| American Eagle Outfitters, Inc. | | | 232 | | | | 3,318 | |
| America’s Car-Mart, Inc. * | | | 16 | | | | 658 | |
| Big 5 Sporting Goods Corp. | | | 188 | | | | 1,438 | |
| Cato Corp. (The), Class A | | | 149 | | | | 1,971 | |
| Citi Trends, Inc. | | | 532 | | | | 10,571 | |
| Express, Inc. * | | | 518 | | | | 3,502 | |
| Finish Line, Inc. (The), Class A | | | 137 | | | | 1,648 | |
| Francesca’s Holdings Corp. * | | | 160 | | | | 1,178 | |
| Genesco, Inc. * | | | 105 | | | | 2,793 | |
| Haverty Furniture Cos., Inc. | | | 194 | | | | 5,073 | |
| Hibbett Sports, Inc. * | | | 353 | | | | 5,030 | |
| Kirkland’s, Inc. * | | | 152 | | | | 1,737 | |
| Office Depot, Inc. | | | 1,405 | | | | 6,379 | |
| Pier 1 Imports, Inc. | | | 413 | | | | 1,731 | |
| Sonic Automotive, Inc., Class A | | | 131 | | | | 2,673 | |
| Tilly’s, Inc., Class A | | | 70 | | | | 839 | |
| Vitamin Shoppe, Inc. * | | | 135 | | | | 722 | |
| Zumiez, Inc. * | | | 44 | | | | 796 | |
| | | | | | | | |
| | | | | | | 52,057 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals - 0.8% | |
| Avid Technology, Inc. * | | | 1,507 | | | | 6,842 | |
| Eastman Kodak Co. * | | | 37 | | | | 272 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Technology Hardware, Storage & Peripherals - 0.8% (continued) | |
| Electronics For Imaging, Inc. * | | | 96 | | | $ | 4,097 | |
| Intevac, Inc. * | | | 972 | | | | 8,213 | |
| Quantum Corp. * | | | 747 | | | | 4,572 | |
| Super Micro Computer, Inc. * | | | 132 | | | | 2,917 | |
| | | | | | | | |
| | | | | | | 26,913 | |
| | | | | | | | |
| Textiles, Apparel & Luxury Goods - 0.6% | |
| Crocs, Inc. * | | | 135 | | | | 1,309 | |
| Deckers Outdoor Corp. * | | | 44 | | | | 3,010 | |
| Movado Group, Inc. | | | 169 | | | | 4,732 | |
| Perry Ellis International, Inc. * | | | 230 | | | | 5,442 | |
| Vera Bradley, Inc. * | | | 436 | | | | 3,841 | |
| | | | | | | | |
| | | | | | | 18,334 | |
| | | | | | | | |
| Thrifts & Mortgage Finance - 5.0% | | | | |
| Astoria Financial Corp. | | | 134 | | | | 2,881 | |
| Dime Community Bancshares, Inc. | | | 635 | | | | 13,652 | |
| Essent Group Ltd. * | | | 77 | | | | 3,119 | |
| Federal Agricultural Mortgage Corp., Class C | | | 308 | | | | 22,404 | |
| First Defiance Financial Corp. | | | 257 | | | | 13,490 | |
| Flagstar Bancorp, Inc. *(a) | | | 667 | | | | 23,665 | |
| MGIC Investment Corp. *(a) | | | 3,135 | | | | 39,282 | |
| NMI Holdings, Inc., Class A * | | | 110 | | | | 1,364 | |
| Radian Group, Inc. (a) | | | 1,304 | | | | 24,372 | |
| TrustCo Bank Corp. | | | 1,176 | | | | 10,466 | |
| Walker & Dunlop, Inc. * | | | 13 | | | | 680 | |
| Washington Federal, Inc. | | | 197 | | | | 6,629 | |
| | | | | | | | |
| | | | | | | 162,004 | |
| | | | | | | | |
| Tobacco - 0.1% | | | | | | |
| Vector Group Ltd. | | | 101 | | | | 2,063 | |
| | | | | | | | |
|
| Trading Companies & Distributors - 2.0% | |
| Applied Industrial Technologies, Inc. | | | 63 | | | | 4,146 | |
| CAI International, Inc. * | | | 369 | | | | 11,188 | |
| DXP Enterprises, Inc. * | | | 78 | | | | 2,456 | |
| GMS, Inc. *(a) | | | 428 | | | | 15,151 | |
| MRC Global, Inc. * | | | 245 | | | | 4,285 | |
| Neff Corp., Class A * | | | 12 | | | | 300 | |
| Rush Enterprises, Inc., Class A *(a) | | | 494 | | | | 22,867 | |
| Triton International Ltd. * | | | 33 | | | | 1,098 | |
| Veritiv Corp. * | | | 136 | | | | 4,420 | |
| | | | | | | | |
| | | | | | | 65,911 | |
| | | | | | | | |
| Water Utilities - 0.2% | | | | | | |
| SJW Group | | | 98 | | | | 5,547 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $3,730,475) | | | | 4,024,679 | |
| | | | | | | | |
| | |
| EXCHANGE TRADED FUND - 4.1% | | | | | | |
iShares Russell 2000 Fund
(Cost $128,652) | | | 894 | | | | 132,473 | |
| | | | | | | | |
| | |
| RIGHT - 0.0% (b) | | NO. OF
RIGHTS | | | | |
| | |
| Media - 0.0% (b) | | | | | | |
Media General, Inc., CVR (3)*(c)
(Cost $33) | | | 112 | | | | 2 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
185
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| SHORT-TERM INVESTMENTS - 1.5% | | | | | | |
|
| Investment Companies - 1.5% | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.91% (2)(d) | | | 649 | | | $ | 649 | |
| Dreyfus Treasury & Agency Cash Management, Institutional Shares, 0.89% (2)(d) | | | 2,577 | | | | 2,577 | |
| Limited Purpose Cash Investment Fund, 0.97% (2)(d) | | | 44,291 | | | | 44,286 | |
| UBS Select Treasury Preferred Fund, Class I, 0.87% (2)(d) | | | 3,243 | | | | 3,243 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS (Cost $50,755) | | | | | | | 50,755 | |
| | | | | | | | |
TOTAL LONG POSITIONS
(Cost $3,909,915) | | | | 4,207,909 | |
| | | | | | | | |
| | |
| SHORT POSITIONS - (28.3)% | | | | | | |
| | |
| COMMON STOCKS - (28.3)% | | | | | | |
| | |
| Aerospace & Defense - (1.1)% | | | | | | |
| Aerovironment, Inc. * | | | (65 | ) | | | (3,518 | ) |
| Axon Enterprise, Inc. * | | | (438 | ) | | | (9,929 | ) |
| KeyW Holding Corp. (The) * | | | (1,357 | ) | | | (10,327 | ) |
| Kratos Defense & Security Solutions, Inc. * | | | (27 | ) | | | (353 | ) |
| Mercury Systems, Inc. * | | | (261 | ) | | | (13,541 | ) |
| | | | | | | | |
| | | | | | | (37,668 | ) |
| | | | | | | | |
| Auto Components - (0.4)% | | | | | | |
| Fox Factory Holding Corp. * | | | (84 | ) | | | (3,621 | ) |
| Motorcar Parts of America, Inc. * | | | (292 | ) | | | (8,602 | ) |
| | | | | | | | |
| | | | | | | (12,223 | ) |
| | | | | | | | |
| Beverages - (0.3)% | | | | | | |
| MGP Ingredients, Inc. | | | (166 | ) | | | (10,065 | ) |
| | | | | | | | |
| | |
| Biotechnology - (0.4)% | | | | | | |
| Adamas Pharmaceuticals, Inc. * | | | (198 | ) | | | (4,192 | ) |
| Agenus, Inc. * | | | (204 | ) | | | (900 | ) |
| Aimmune Therapeutics, Inc. * | | | (141 | ) | | | (3,495 | ) |
| Iovance Biotherapeutics, Inc. * | | | (287 | ) | | | (2,224 | ) |
| Spark Therapeutics, Inc. * | | | (36 | ) | | | (3,210 | ) |
| | | | | | | | |
| | | | | | | (14,021 | ) |
| | | | | | | | |
| Building Products - (0.6)% | | | | | | |
| AAON, Inc. | | | (115 | ) | | | (3,965 | ) |
| Advanced Drainage Systems, Inc. | | | (206 | ) | | | (4,171 | ) |
| Builders FirstSource, Inc. * | | | (567 | ) | | | (10,200 | ) |
| PGT Innovations, Inc. * | | | (184 | ) | | | (2,751 | ) |
| | | | | | | | |
| | | | | | | (21,087 | ) |
| | | | | | | | |
| Capital Markets - (0.1)% | | | | | | |
| Financial Engines, Inc. | | | (64 | ) | | | (2,224 | ) |
| | | | | | | | |
| | |
| Chemicals - (0.6)% | | | | | | |
| Balchem Corp. | | | (194 | ) | | | (15,770 | ) |
| Intrepid Potash, Inc. * | | | (1,035 | ) | | | (4,513 | ) |
| | | | | | | | |
| | | | | | | (20,283 | ) |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Commercial Services & Supplies - (1.4)% | |
| Mobile Mini, Inc. | | | (347 | ) | | $ | (11,954 | ) |
| RR Donnelley & Sons Co. | | | (949 | ) | | | (9,775 | ) |
| Team, Inc. * | | | (1,193 | ) | | | (15,926 | ) |
| US Ecology, Inc. | | | (157 | ) | | | (8,447 | ) |
| | | | | | | | |
| | | | | | | (46,102 | ) |
| | | | | | | | |
| Communications Equipment - (0.5)% | |
| CalAmp Corp. * | | | (122 | ) | | | (2,836 | ) |
| Harmonic, Inc. * | | | (2,035 | ) | | | (6,207 | ) |
| Infinera Corp. * | | | (434 | ) | | | (3,850 | ) |
| Lumentum Holdings, Inc. * | | | (29 | ) | | | (1,576 | ) |
| NetScout Systems, Inc. * | | | (37 | ) | | | (1,197 | ) |
| ViaSat, Inc. * | | | (29 | ) | | | (1,865 | ) |
| | | | | | | | |
| | | | | | | (17,531 | ) |
| | | | | | | | |
| Construction & Engineering - (0.6)% | | | | |
| NV5 Global, Inc. * | | | (375 | ) | | | (20,494 | ) |
| | | | | | | | |
|
| Diversified Consumer Services - (0.3)% | |
| Carriage Services, Inc. | | | (175 | ) | | | (4,480 | ) |
| Chegg, Inc. * | | | (378 | ) | | | (5,609 | ) |
| | | | | | | | |
| | | | | | | (10,089 | ) |
| | | | | | | | |
| Diversified Telecommunication Services - (0.3)% | |
| Iridium Communications, Inc. * | | | (138 | ) | | | (1,421 | ) |
| ORBCOMM, Inc. * | | | (861 | ) | | | (9,015 | ) |
| | | | | | | | |
| | | | | | | (10,436 | ) |
| | | | | | | | |
| Electronic Equipment, Instruments & Components - (0.6)% | |
| Mesa Laboratories, Inc. | | | (110 | ) | | | (16,425 | ) |
| OSI Systems, Inc. * | | | (32 | ) | | | (2,924 | ) |
| | | | | | | | |
| | | | | | | (19,349 | ) |
| | | | | | | | |
| Energy Equipment & Services - (1.5)% | |
| Atwood Oceanics, Inc. * | | | (103 | ) | | | (967 | ) |
| Bristow Group, Inc. | | | (887 | ) | | | (8,294 | ) |
| Forum Energy Technologies, Inc. * | | | (259 | ) | | | (4,118 | ) |
| Frank’s International NV | | | (1,918 | ) | | | (14,807 | ) |
| SEACOR Marine Holdings, Inc. * | | | (980 | ) | | | (15,327 | ) |
| TETRA Technologies, Inc. * | | | (1,533 | ) | | | (4,384 | ) |
| | | | | | | | |
| | | | | | | (47,897 | ) |
| | | | | | | | |
| Equity Real Estate Investment Trusts (REITs) - (0.1)% | |
| Preferred Apartment Communities, Inc., Class A | | | (213 | ) | | | (4,021 | ) |
| | | | | | | | |
| | |
| Food & Staples Retailing - (0.3)% | | | | | | |
| Smart & Final Stores, Inc. * | | | (1,146 | ) | | | (8,996 | ) |
| | | | | | | | |
| | |
| Food Products - (0.1)% | | | | | | |
| B&G Foods, Inc. | | | (20 | ) | | | (637 | ) |
| Freshpet, Inc. * | | | (281 | ) | | | (4,398 | ) |
| | | | | | | | |
| | | | | | | (5,035 | ) |
| | | | | | | | |
| Health Care Equipment & Supplies - (0.9)% | |
| AtriCure, Inc. * | | | (337 | ) | | | (7,539 | ) |
| Endologix, Inc. * | | | (2,977 | ) | | | (13,277 | ) |
| Entellus Medical, Inc. * | | | (188 | ) | | | (3,471 | ) |
| GenMark Diagnostics, Inc. * | | | (705 | ) | | | (6,789 | ) |
| | | | | | | | |
| | | | | | | (31,076 | ) |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
186
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Health Care Providers & Services - (1.9)% | |
| BioScrip, Inc. * | | | (6,571 | ) | | $ | (18,070 | ) |
| BioTelemetry, Inc. * | | | (200 | ) | | | (6,600 | ) |
| Capital Senior Living Corp. * | | | (1,558 | ) | | | (19,553 | ) |
| Kindred Healthcare, Inc. | | | (86 | ) | | | (585 | ) |
| Teladoc, Inc. * | | | (515 | ) | | | (17,072 | ) |
| | | | | | | | |
| | | | | | | (61,880 | ) |
| | | | | | | | |
| Health Care Technology - (0.1)% | | | | | | |
| Castlight Health, Inc., Class B * | | | (373 | ) | | | (1,604 | ) |
| Evolent Health, Inc., Class A * | | | (196 | ) | | | (3,489 | ) |
| | | | | | | | |
| | | | | | | (5,093 | ) |
| | | | | | | | |
| Hotels, Restaurants & Leisure - (1.1)% | | | | | | |
| Habit Restaurants, Inc. (The), Class A * | | | (135 | ) | | | (1,762 | ) |
| Pinnacle Entertainment, Inc. * | | | (452 | ) | | | (9,632 | ) |
| Scientific Games Corp., Class A * | | | (165 | ) | | | (7,565 | ) |
| Shake Shack, Inc., Class A * | | | (133 | ) | | | (4,420 | ) |
| Wingstop, Inc. | | | (344 | ) | | | (11,438 | ) |
| | | | | | | | |
| | | | | | | (34,817 | ) |
| | | | | | | | |
| Household Durables - (0.2)% | | | | | | |
| Universal Electronics, Inc. * | | | (81 | ) | | | (5,135 | ) |
| | | | | | | | |
|
| Independent Power and Renewable Electricity Producers - (0.1)% | |
| TerraForm Power, Inc., Class A * | | | (172 | ) | | | (2,274 | ) |
| | | | | | | | |
| | |
| Internet Software & Services - (0.6)% | | | | | | |
| 2U, Inc. * | | | (68 | ) | | | (3,811 | ) |
| Benefitfocus, Inc. * | | | (19 | ) | | | (639 | ) |
| Endurance International Group Holdings, Inc. * | | | (87 | ) | | | (713 | ) |
| Gogo, Inc. * | | | (828 | ) | | | (9,779 | ) |
| GTT Communications, Inc. * | | | (107 | ) | | | (3,387 | ) |
| | | | | | | | |
| | | | | | | (18,329 | ) |
| | | | | | | | |
| IT Services - (1.1)% | | | | | | |
| Unisys Corp. * | | | (1,430 | ) | | | (12,155 | ) |
| Virtusa Corp. * | | | (607 | ) | | | (22,932 | ) |
| | | | | | | | |
| | | | | | | (35,087 | ) |
| | | | | | | | |
| Life Sciences Tools & Services - (0.7)% | | | | | | |
| Accelerate Diagnostics, Inc. * | | | (240 | ) | | | (5,388 | ) |
| NeoGenomics, Inc. * | | | (1,122 | ) | | | (12,488 | ) |
| Pacific Biosciences of California, Inc. * | | | (712 | ) | | | (3,738 | ) |
| | | | | | | | |
| | | | | | | (21,614 | ) |
| | | | | | | | |
| Machinery - (0.3)% | | | | | | |
| Manitowoc Co., Inc. (The) * | | | (1,028 | ) | | | (9,252 | ) |
| | | | | | | | |
| | |
| Media - (0.9)% | | | | | | |
| EW Scripps Co. (The), Class A * | | | (297 | ) | | | (5,676 | ) |
| Global Eagle Entertainment, Inc. * | | | (6,756 | ) | | | (23,105 | ) |
| | | | | | | | |
| | | | | | | (28,781 | ) |
| | | | | | | | |
| Metals & Mining - (1.1)% | | | | | | |
| Allegheny Technologies, Inc. * | | | (934 | ) | | | (22,323 | ) |
| Century Aluminum Co. * | | | (348 | ) | | | (5,770 | ) |
| TimkenSteel Corp. * | | | (551 | ) | | | (9,091 | ) |
| | | | | | | | |
| | | | | | | (37,184 | ) |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Oil, Gas & Consumable Fuels - (2.7)% | | | | | | |
| Ardmore Shipping Corp. (Ireland) * | | | (591 | ) | | $ | (4,876 | ) |
| Callon Petroleum Co. * | | | (571 | ) | | | (6,418 | ) |
| Carrizo Oil & Gas, Inc. * | | | (39 | ) | | | (668 | ) |
| Clean Energy Fuels Corp. * | | | (1,811 | ) | | | (4,491 | ) |
| Delek US Energy, Inc. | | | (94 | ) | | | (2,513 | ) |
| Denbury Resources, Inc. * | | | (2,583 | ) | | | (3,461 | ) |
| Dorian LPG Ltd. * | | | (1,758 | ) | | | (11,990 | ) |
| Eclipse Resources Corp. * | | | (981 | ) | | | (2,452 | ) |
| Gener8 Maritime, Inc. * | | | (918 | ) | | | (4,140 | ) |
| Golar LNG Ltd. (Norway) | | | (39 | ) | | | (882 | ) |
| Matador Resources Co. * | | | (149 | ) | | | (4,045 | ) |
| Par Pacific Holdings, Inc. * | | | (508 | ) | | | (10,566 | ) |
| Ring Energy, Inc. * | | | (791 | ) | | | (11,462 | ) |
| Scorpio Tankers, Inc. (Monaco) | | | (1,950 | ) | | | (6,689 | ) |
| SemGroup Corp., Class A | | | (83 | ) | | | (2,386 | ) |
| SRC Energy, Inc. * | | | (1,021 | ) | | | (9,873 | ) |
| | | | | | | | |
| | | | | | | (86,912 | ) |
| | | | | | | | |
| Paper & Forest Products - (0.3)% | | | | | | |
| Deltic Timber Corp. | | | (108 | ) | | | (9,550 | ) |
| | | | | | | | |
| | |
| Personal Products - (0.1)% | | | | | | |
| Revlon, Inc., Class A * | | | (114 | ) | | | (2,799 | ) |
| | | | | | | | |
| | |
| Pharmaceuticals - (2.6)% | | | | | | |
| Aclaris Therapeutics, Inc. * | | | (222 | ) | | | (5,730 | ) |
| Aerie Pharmaceuticals, Inc. * | | | (22 | ) | | | (1,069 | ) |
| Aratana Therapeutics, Inc. * | | | (1,473 | ) | | | (9,029 | ) |
| Clearside Biomedical, Inc. * | | | (412 | ) | | | (3,601 | ) |
| Collegium Pharmaceutical, Inc. * | | | (1,409 | ) | | | (14,780 | ) |
| Corium International, Inc. * | | | (146 | ) | | | (1,618 | ) |
| Dermira, Inc. * | | | (358 | ) | | | (9,666 | ) |
| Intra-Cellular Therapies, Inc. * | | | (91 | ) | | | (1,436 | ) |
| Medicines Co. (The) * | | | (39 | ) | | | (1,445 | ) |
| Paratek Pharmaceuticals, Inc. * | | | (118 | ) | | | (2,962 | ) |
| Revance Therapeutics, Inc. * | | | (604 | ) | | | (16,640 | ) |
| Teligent, Inc. * | | | (192 | ) | | | (1,288 | ) |
| WaVe Life Sciences Ltd. * | | | (77 | ) | | | (1,675 | ) |
| Zogenix, Inc. * | | | (400 | ) | | | (14,020 | ) |
| | | | | | | | |
| | | | | | | (84,959 | ) |
| | | | | | | | |
| Professional Services - (0.3)% | | | | | | |
| Acacia Research Corp. * | | | (1,104 | ) | | | (5,023 | ) |
| Exponent, Inc. | | | (8 | ) | | | (591 | ) |
| WageWorks, Inc. * | | | (72 | ) | | | (4,371 | ) |
| | | | | | | | |
| | | | | | | (9,985 | ) |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment - (0.7)% | |
| Inphi Corp. * | | | (72 | ) | | | (2,858 | ) |
| Kopin Corp. * | | | (140 | ) | | | (584 | ) |
| MACOM Technology Solutions Holdings, Inc. * | | | (77 | ) | | | (3,435 | ) |
| PDF Solutions, Inc. * | | | (985 | ) | | | (15,257 | ) |
| | | | | | | | |
| | | | | | | (22,134 | ) |
| | | | | | | | |
| Software - (0.3)% | | | | | | |
| Callidus Software, Inc. * | | | (28 | ) | | | (690 | ) |
| Paylocity Holding Corp. * | | | (48 | ) | | | (2,343 | ) |
| PROS Holdings, Inc. * | | | (12 | ) | | | (290 | ) |
| Rapid7, Inc. * | | | (316 | ) | | | (5,562 | ) |
| | | | | | | | |
| | | | | | | (8,885 | ) |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
187
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Specialty Retail - (0.4)% | | | | | | |
| Barnes & Noble Education, Inc. * | | | (945 | ) | | $ | (6,152 | ) |
| Boot Barn Holdings, Inc. * | | | (245 | ) | | | (2,181 | ) |
| Conn’s, Inc. * | | | (48 | ) | | | (1,351 | ) |
| Party City Holdco, Inc. * | | | (76 | ) | | | (1,030 | ) |
| Tailored Brands, Inc. | | | (101 | ) | | | (1,458 | ) |
| Tile Shop Holdings, Inc. | | | (91 | ) | | | (1,156 | ) |
| | | | | | | | |
| | | | | | | (13,328 | ) |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals - (0.2)% | |
| Immersion Corp. * | | | (647 | ) | | | (5,286 | ) |
| | | | | | | | |
| |
| Textiles, Apparel & Luxury Goods - (1.1)% | | | | |
| G-III Apparel Group Ltd. * | | | (910 | ) | | | (26,408 | ) |
| Iconix Brand Group, Inc. * | | | (1,477 | ) | | | (8,404 | ) |
| | | | | | | | |
| | | | | | | (34,812 | ) |
| | | | | | | | |
| Thrifts & Mortgage Finance - (0.9)% | | | | | | |
| LendingTree, Inc. * | | | (49 | ) | | | (11,978 | ) |
| Meta Financial Group, Inc. | | | (52 | ) | | | (4,077 | ) |
| Ocwen Financial Corp. * | | | (2,573 | ) | | | (8,851 | ) |
| PHH Corp. * | | | (426 | ) | | | (5,934 | ) |
| | | | | | | | |
| | | | | | | (30,840 | ) |
| | | | | | | | |
| Trading Companies & Distributors - (0.5)% | | | | |
| SiteOne Landscape Supply, Inc. * | | | (110 | ) | | | (6,391 | ) |
| Textainer Group Holdings Ltd. * | | | (550 | ) | | | (9,432 | ) |
| | | | | | | | |
| | | | | | | (15,823 | ) |
| | | | | | | | |
TOTAL COMMON STOCKS
(Proceeds $(869,594)) | | | | | | | (923,356 | ) |
| | | | | | | | |
TOTAL SHORT POSITIONS
(Proceeds $(869,594)) | | | | | | | (923,356 | ) |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 100.6%
(Cost $3,040,321) | | | | | | | 3,284,553 | |
| | | | | | | | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (0.6)% | | | | | (19,703) | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 3,264,850 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 366,131 | | | | 11.2 | % |
| Consumer Staples | | | 86,985 | | | | 2.7 | |
| Energy | | | 30,402 | | | | 0.9 | |
| Exchange Traded Fund | | | 132,473 | | | | 4.1 | |
| Financials | | | 618,400 | | | | 18.8 | |
| Health Care | | | 338,461 | | | | 10.4 | |
| Industrials | | | 573,460 | | | | 17.6 | |
| Information Technology | | | 674,265 | | | | 20.6 | |
| Materials | | | 211,125 | | | | 6.5 | |
| Real Estate | | | 124,902 | | | | 3.9 | |
| Telecommunication Services | | | 6,708 | | | | 0.2 | |
| Utilities | | | 70,486 | | | | 2.2 | |
| Short-Term Investments | | | 50,755 | | | | 1.5 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 3,284,553 | | | | 100.6 | |
| Liabilities in Excess of Other Assets | | | (19,703 | ) | | | (0.6 | ) |
| | | | | | | | |
Net Assets | | $ | 3,264,850 | | | | 100.0 | % |
| | | | | | | | |
| * | Non-income producing security. |
| (a) | All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $1,003,832. |
| (b) | Represents less than 0.05% of net assets. |
| (c) | Security fair valued as of September 30, 2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2017 amounted to $2, which represents approximately 0.00% of net assets of the fund. |
| (d) | Represents 7-day effective yield as of September 30, 2017. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 4). |
| (3) | Level 3 security (See Note 4). |
Abbreviations
CVR - Contingent Value Rights
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
188
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| LONG POSITIONS - 128.8% | | | | | | |
|
| COMMON STOCKS - 125.7% | |
|
| Australia - 10.7% | |
| AGL Energy Ltd. | | | 2,043 | | | $ | 37,515 | |
| Ansell Ltd. | | | 1,168 | | | | 20,468 | |
| Aristocrat Leisure Ltd. | | | 758 | | | | 12,520 | |
| Aurizon Holdings Ltd. | | | 7,296 | | | | 28,116 | |
| Australia & New Zealand Banking Group Ltd. | | | 5,354 | | | | 124,714 | |
| Bank of Queensland Ltd. | | | 3,640 | | | | 37,146 | |
| Bendigo & Adelaide Bank Ltd. | | | 3,057 | | | | 27,911 | |
| BHP Billiton Ltd. | | | 2,032 | | | | 41,209 | |
| BHP Billiton plc | | | 1,617 | | | | 28,534 | |
| Caltex Australia Ltd. | | | 175 | | | | 4,415 | |
| CIMIC Group Ltd. | | | 2,420 | | | | 84,099 | |
| Crown Resorts Ltd. | | | 3,807 | | | | 33,851 | |
| Dexus, REIT | | | 2,387 | | | | 17,813 | |
| Fortescue Metals Group Ltd. | | | 20,339 | | | | 82,368 | |
| Goodman Group, REIT | | | 4,078 | | | | 26,403 | |
| LendLease Group | | | 2,289 | | | | 32,250 | |
| Macquarie Group Ltd. | | | 484 | | | | 34,652 | |
| Mirvac Group, REIT | | | 2,619 | | | | 4,711 | |
| National Australia Bank Ltd. | | | 2,689 | | | | 66,668 | |
| Newcrest Mining Ltd. | | | 1,500 | | | | 24,690 | |
| Orica Ltd. | | | 2,465 | | | | 38,370 | |
| Origin Energy Ltd. * | | | 8,449 | | | | 49,758 | |
| Qantas Airways Ltd. | | | 15,286 | | | | 70,015 | |
| QBE Insurance Group Ltd. | | | 13,044 | | | | 102,833 | |
| Scentre Group, REIT | | | 1,691 | | | | 5,220 | |
| South32 Ltd. | | | 59,326 | | | | 153,477 | |
| Stockland, REIT | | | 996 | | | | 3,364 | |
| Suncorp Group Ltd. | | | 5,672 | | | | 58,240 | |
| Telstra Corp. Ltd. | | | 2,461 | | | | 6,742 | |
| Westfield Corp., REIT | | | 568 | | | | 3,497 | |
| Woolworths Ltd. | | | 167 | | | | 3,307 | |
| | | | | | | | |
| | | | | | | 1,264,876 | |
| | | | | | | | |
| Belgium - 1.4% | |
| Ageas | | | 73 | | | | 3,433 | |
| bpost SA | | | 943 | | | | 28,046 | |
| KBC Group NV | | | 221 | | | | 18,750 | |
| Proximus SADP | | | 262 | | | | 9,032 | |
| Solvay SA | | | 272 | | | | 40,664 | |
| UCB SA | | | 630 | | | | 44,899 | |
| Umicore SA | | | 247 | | | | 20,448 | |
| | | | | | | | |
| | | | | | | 165,272 | |
| | | | | | | | |
| China - 0.5% | |
| Yangzijiang Shipbuilding Holdings Ltd. | | | 53,700 | | | | 56,763 | |
| | | | | | | | |
|
| Denmark - 3.9% | |
| Carlsberg A/S, Class B | | | 176 | | | | 19,313 | |
| Danske Bank A/S | | | 638 | | | | 25,567 | |
| Dfds A/S | | | 212 | | | | 12,125 | |
| Genmab A/S * | | | 101 | | | | 22,336 | |
| GN Store Nord A/S | | | 1,603 | | | | 55,030 | |
| H Lundbeck A/S | | | 1,344 | | | | 77,700 | |
| Jyske Bank A/S (Registered) | | | 194 | | | | 11,216 | |
| Novo Nordisk A/S, Class B | | | 1,755 | | | | 84,378 | |
| TDC A/S | | | 11,338 | | | | 66,492 | |
| Vestas Wind Systems A/S | | | 901 | | | | 80,987 | |
| | | | | | | | |
| | | | | | | 455,144 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Finland - 1.9% | |
| Cargotec OYJ, Class B | | | 107 | | | $ | 6,729 | |
| Kesko OYJ, Class B | | | 64 | | | | 3,434 | |
| Neste OYJ (a) | | | 2,097 | | | | 91,648 | |
| Nokia OYJ | | | 5,716 | | | | 34,345 | |
| Orion OYJ, Class B | | | 158 | | | | 7,336 | |
| Stora Enso OYJ, Class R | | | 504 | | | | 7,129 | |
| UPM-Kymmene OYJ | | | 2,922 | | | | 79,277 | |
| | | | | | | | |
| | | | | | | 229,898 | |
| | | | | | | | |
| France - 12.5% | |
| Air France-KLM * | | | 834 | | | | 13,152 | |
| Altran Technologies SA | | | 229 | | | | 4,213 | |
| Amundi SA (b) | | | 106 | | | | 8,814 | |
| Arkema SA | | | 146 | | | | 17,914 | |
| Atos SE (a) | | | 1,036 | | | | 160,692 | |
| BioMerieux | | | 165 | | | | 13,432 | |
| BNP Paribas SA (a) | | | 1,329 | | | | 107,218 | |
| Capgemini SE | | | 537 | | | | 62,950 | |
| Cie de Saint-Gobain | | | 1,219 | | | | 72,628 | |
| Cie Generale des Etablissements Michelin | | | 433 | | | | 63,175 | |
| Cie Plastic Omnium SA | | | 206 | | | | 8,812 | |
| CNP Assurances | | | 1,925 | | | | 45,128 | |
| Credit Agricole SA | | | 474 | | | | 8,629 | |
| Eiffage SA | | | 93 | | | | 9,631 | |
| Engie SA | | | 1,366 | | | | 23,197 | |
| Eutelsat Communications SA | | | 1,131 | | | | 33,481 | |
| Faurecia | | | 283 | | | | 19,639 | |
| Gecina SA, REIT | | | 21 | | | | 3,407 | |
| Hermes International | | | 8 | | | | 4,036 | |
| Imerys SA | | | 190 | | | | 17,168 | |
| Ipsen SA | | | 90 | | | | 11,975 | |
| Lagardere SCA | | | 745 | | | | 24,958 | |
| L’Oreal SA | | | 18 | | | | 3,817 | |
| LVMH Moet Hennessy Louis Vuitton SE | | | 20 | | | | 5,529 | |
| Orange SA | | | 1,174 | | | | 19,223 | |
| Peugeot SA (a) | | | 5,830 | | | | 138,784 | |
| Publicis Groupe SA | | | 68 | | | | 4,757 | |
| Renault SA | | | 459 | | | | 45,100 | |
| Rexel SA | | | 637 | | | | 11,020 | |
| Sanofi (a) | | | 1,666 | | | | 165,845 | |
| Schneider Electric SE * | | | 220 | | | | 19,158 | |
| SCOR SE | | | 84 | | | | 3,523 | |
| SEB SA | | | 179 | | | | 32,850 | |
| Societe BIC SA | | | 43 | | | | 5,154 | |
| Societe Generale SA | | | 506 | | | | 29,652 | |
| Sodexo SA | | | 92 | | | | 11,469 | |
| Teleperformance | | | 245 | | | | 36,551 | |
| Thales SA | | | 372 | | | | 42,129 | |
| TOTAL SA (a) | | | 2,281 | | | | 122,477 | |
| Ubisoft Entertainment SA * | | | 246 | | | | 16,931 | |
| Unibail-Rodamco SE, REIT | | | 21 | | | | 5,110 | |
| Valeo SA | | | 299 | | | | 22,186 | |
| | | | | | | | |
| | | | | | | 1,475,514 | |
| | | | | | | | |
| Germany - 12.3% | |
| Allianz SE (Registered) | | | 181 | | | | 40,650 | |
| Aurubis AG (a) | | | 524 | | | | 42,484 | |
| BASF SE | | | 400 | | | | 42,615 | |
| Bayer AG (Registered) (a) | | | 728 | | | | 99,447 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
189
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Germany - 12.3% (continued) | |
| Covestro AG (a)(b) | | | 1,470 | | | $ | 126,495 | |
| Deutsche Boerse AG | | | 130 | | | | 14,114 | |
| Deutsche Lufthansa AG (Registered) (a) | | | 3,377 | | | | 93,911 | |
| Deutsche Post AG (Registered) | | | 606 | | | | 27,012 | |
| Deutsche Wohnen SE | | | 222 | | | | 9,435 | |
| Evonik Industries AG | | | 650 | | | | 23,239 | |
| Fresenius Medical Care AG & Co. KGaA | | | 549 | | | | 53,674 | |
| Fresenius SE & Co. KGaA (a) | | | 331 | | | | 26,768 | |
| HOCHTIEF AG | | | 53 | | | | 8,952 | |
| Infineon Technologies AG (a) | | | 2,708 | | | | 68,275 | |
| Linde AG (a) | | | 147 | | | | 30,568 | |
| MTU Aero Engines AG | | | 144 | | | | 22,996 | |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | | | 130 | | | | 27,823 | |
| OSRAM Licht AG | | | 58 | | | | 4,632 | |
| Rheinmetall AG | | | 547 | | | | 61,693 | |
| RWE AG *(a) | | | 4,645 | | | | 105,674 | |
| Salzgitter AG (a) | | | 965 | | | | 43,834 | |
| SAP SE | | | 31 | | | | 3,399 | |
| Schaeffler AG (Preference) | | | 1,832 | | | | 29,560 | |
| Siemens AG (Registered) | | | 397 | | | | 56,020 | |
| Software AG | | | 667 | | | | 32,589 | |
| Suedzucker AG (a) | | | 4,504 | | | | 96,866 | |
| Talanx AG | | | 946 | | | | 38,275 | |
| TUI AG | | | 1,659 | | | | 28,152 | |
| Uniper SE (a) | | | 6,514 | | | | 178,775 | |
| Vonovia SE | | | 111 | | | | 4,727 | |
| Wacker Chemie AG | | | 26 | | | | 3,733 | |
| | | | | | | | |
| | | | | | | 1,446,387 | |
| | | | | | | | |
| Hong Kong - 2.9% | |
| CK Asset Holdings Ltd. | | | 6,000 | | | | 49,880 | |
| CLP Holdings Ltd. | | | 500 | | | | 5,133 | |
| Galaxy Entertainment Group Ltd. | | | 2,000 | | | | 14,139 | |
| Hang Lung Properties Ltd. | | | 2,000 | | | | 4,762 | |
| Henderson Land Development Co. Ltd. | | | 1,100 | | | | 7,316 | |
| Hong Kong Exchanges & Clearing Ltd. | | | 700 | | | | 18,906 | |
| I-CABLE Communications Ltd. * | | | 4,406 | | | | 145 | |
| Kerry Properties Ltd. | | | 14,500 | | | | 60,227 | |
| Link REIT | | | 500 | | | | 4,066 | |
| New World Development Co. Ltd. | | | 36,000 | | | | 51,945 | |
| Sino Land Co. Ltd. | | | 8,000 | | | | 14,104 | |
| SJM Holdings Ltd. | | | 29,000 | | | | 26,641 | |
| Sun Hung Kai Properties Ltd. | | | 2,000 | | | | 32,580 | |
| Wharf Holdings Ltd. (The) | | | 3,000 | | | | 26,838 | |
| Wheelock & Co. Ltd. | | | 3,000 | | | | 21,177 | |
| | | | | | | | |
| | | | | | | 337,859 | |
| | | | | | | | |
| Isle of Man - 0.1% | |
| Paysafe Group plc * | | | 1,106 | | | | 8,634 | |
| | | | | | | | |
| | |
| Italy - 4.4% | | | | | | |
| A2A SpA | | | 24,001 | | | | 41,294 | |
| Assicurazioni Generali SpA | | | 575 | | | | 10,725 | |
| Autogrill SpA | | | 3,193 | | | | 41,531 | |
| DiaSorin SpA | | | 45 | | | | 4,013 | |
| Enel SpA | | | 9,101 | | | | 54,827 | |
| Eni SpA (a) | | | 5,765 | | | | 95,478 | |
| GEDI Gruppo Editoriale SpA * | | | 281 | | | | 249 | |
| Hera SpA | | | 2,133 | | | | 6,708 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Italy - 4.4% (continued) | | | | | | |
| Intesa Sanpaolo SpA (a) | | | 34,014 | | | $ | 120,420 | |
| Leonardo SpA | | | 2,892 | | | | 54,226 | |
| Luxottica Group SpA | | | 56 | | | | 3,134 | |
| Mediobanca SpA | | | 2,299 | | | | 24,706 | |
| Moncler SpA | | | 1,955 | | | | 56,487 | |
| Telecom Italia SpA * | | | 6,601 | | | | 6,192 | |
| Unipol Gruppo Finanziario SpA | | | 759 | | | | 3,482 | |
| | | | | | | | |
| | | | | | | 523,472 | |
| | | | | | | | |
| Japan - 28.0% | |
| Aisin Seiki Co. Ltd. | | | 600 | | | | 31,634 | |
| Amada Holdings Co. Ltd. | | | 1,300 | | | | 14,273 | |
| Aozora Bank Ltd. | | | 600 | | | | 22,844 | |
| Asahi Glass Co. Ltd. | | | 200 | | | | 7,429 | |
| Asahi Group Holdings Ltd. | | | 300 | | | | 12,132 | |
| Asahi Kasei Corp. | | | 1,000 | | | | 12,322 | |
| Astellas Pharma, Inc. | | | 6,100 | | | | 77,638 | |
| Bandai Namco Holdings, Inc. | | | 600 | | | | 20,613 | |
| Bridgestone Corp. | | | 300 | | | | 13,621 | |
| Brother Industries Ltd. | | | 2,000 | | | | 46,632 | |
| Chubu Electric Power Co., Inc. | | | 900 | | | | 11,185 | |
| Citizen Watch Co. Ltd. | | | 4,100 | | | | 28,272 | |
| Credit Saison Co. Ltd. | | | 1,000 | | | | 20,750 | |
| Daicel Corp. | | | 2,000 | | | | 24,115 | |
| Daiichi Sankyo Co. Ltd. | | | 300 | | | | 6,770 | |
| Daiwa House Industry Co. Ltd. | | | 400 | | | | 13,817 | |
| Daiwa House REIT Investment Corp. | | | 1 | | | | 2,394 | |
| DeNA Co. Ltd. | | | 400 | | | | 8,972 | |
| Denso Corp. | | | 100 | | | | 5,061 | |
| Ezaki Glico Co. Ltd. | | | 200 | | | | 10,557 | |
| Fuji Electric Co. Ltd. | | | 1,000 | | | | 5,549 | |
| FUJIFILM Holdings Corp. | | | 700 | | | | 27,196 | |
| Fujitsu Ltd. | | | 14,000 | | | | 104,196 | |
| GungHo Online Entertainment, Inc. | | | 7,200 | | | | 19,477 | |
| Gunma Bank Ltd. (The) | | | 2,800 | | | | 17,347 | |
| Haseko Corp. (a) | | | 7,200 | | | | 96,079 | |
| Hikari Tsushin, Inc. | | | 100 | | | | 12,545 | |
| Hitachi Chemical Co. Ltd. | | | 1,000 | | | | 27,441 | |
| Hitachi Construction Machinery Co. Ltd. | | | 100 | | | | 2,964 | |
| Hitachi High-Technologies Corp. | | | 1,000 | | | | 36,319 | |
| Hitachi Ltd. | | | 16,000 | | | | 112,814 | |
| Hitachi Metals Ltd. | | | 300 | | | | 4,181 | |
| Hoya Corp. | | | 100 | | | | 5,408 | |
| Isuzu Motors Ltd. | | | 500 | | | | 6,629 | |
| ITOCHU Corp. | | | 1,200 | | | | 19,662 | |
| Itochu Techno-Solutions Corp. (a) | | | 900 | | | | 33,621 | |
| Japan Airlines Co. Ltd. (a) | | | 2,900 | | | | 98,169 | |
| Japan Tobacco, Inc. | | | 100 | | | | 3,277 | |
| JFE Holdings, Inc. | | | 2,900 | | | | 56,723 | |
| JTEKT Corp. | | | 200 | | | | 2,769 | |
| JXTG Holdings, Inc. | | | 700 | | | | 3,609 | |
| Kajima Corp. | | | 7,000 | | | | 69,576 | |
| Kamigumi Co. Ltd. | | | 1,000 | | | | 23,168 | |
| Kao Corp. | | | 300 | | | | 17,662 | |
| Kirin Holdings Co. Ltd. | | | 200 | | | | 4,699 | |
| Komatsu Ltd. | | | 400 | | | | 11,327 | |
| Konami Holdings Corp. | | | 100 | | | | 4,814 | |
| Kuraray Co. Ltd. | | | 200 | | | | 3,742 | |
| Kyushu Financial Group, Inc. | | | 1,600 | | | | 9,850 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
190
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - 28.0% (continued) | |
| Lion Corp. | | | 1,000 | | | $ | 18,272 | |
| Marubeni Corp. | | | 3,300 | | | | 22,559 | |
| Matsumotokiyoshi Holdings Co. Ltd. | | | 700 | | | | 46,887 | |
| Mazda Motor Corp. | | | 1,900 | | | | 29,108 | |
| Mebuki Financial Group, Inc. | | | 7,000 | | | | 27,084 | |
| Medipal Holdings Corp. | | | 300 | | | | 5,214 | |
| MINEBEA MITSUMI, Inc. | | | 600 | | | | 9,397 | |
| Mitsubishi Chemical Holdings Corp. | | | 600 | | | | 5,720 | |
| Mitsubishi Corp. | | | 1,900 | | | | 44,205 | |
| Mitsubishi Electric Corp. | | | 1,800 | | | | 28,158 | |
| Mitsubishi Estate Co. Ltd. | | | 500 | | | | 8,690 | |
| Mitsubishi Gas Chemical Co., Inc. (a) | | | 2,100 | | | | 49,273 | |
| Mitsubishi Materials Corp. | | | 600 | | | | 20,782 | |
| Mitsubishi UFJ Financial Group, Inc. | | | 6,600 | | | | 42,912 | |
| Mitsubishi UFJ Lease & Finance Co. Ltd. | | | 600 | | | | 3,183 | |
| Mitsui & Co. Ltd. | | | 200 | | | | 2,958 | |
| Mitsui Chemicals, Inc. | | | 800 | | | | 24,334 | |
| Mitsui Fudosan Co. Ltd. | | | 400 | | | | 8,673 | |
| Mitsui OSK Lines Ltd. | | | 600 | | | | 18,206 | |
| Mixi, Inc. | | | 300 | | | | 14,489 | |
| Mizuho Financial Group, Inc. | | | 2,500 | | | | 4,383 | |
| MS&AD Insurance Group Holdings, Inc. (a) | | | 2,900 | | | | 93,457 | |
| Nabtesco Corp. | | | 100 | | | | 3,721 | |
| Nexon Co. Ltd. * | | | 300 | | | | 7,843 | |
| NH Foods Ltd. (a) | | | 3,000 | | | | 82,452 | |
| NHK Spring Co. Ltd. | | | 1,700 | | | | 18,334 | |
| Nikon Corp. | | | 900 | | | | 15,607 | |
| Nippon Electric Glass Co. Ltd. | | | 600 | | | | 23,258 | |
| Nippon Express Co. Ltd. (a) | | | 600 | | | | 39,115 | |
| Nippon Shinyaku Co. Ltd. | | | 100 | | | | 6,950 | |
| Nippon Telegraph & Telephone Corp. | | | 1,100 | | | | 50,403 | |
| Nomura Holdings, Inc. | | | 5,800 | | | | 32,544 | |
| Nomura Real Estate Master Fund, Inc., REIT | | | 3 | | | | 3,902 | |
| NSK Ltd. | | | 300 | | | | 4,050 | |
| NTT DOCOMO, Inc. | | | 900 | | | | 20,571 | |
| Obayashi Corp. | | | 3,600 | | | | 43,180 | |
| ORIX Corp. | | | 1,200 | | | | 19,373 | |
| Otsuka Corp. | | | 100 | | | | 6,414 | |
| Panasonic Corp. | | | 1,600 | | | | 23,219 | |
| Persol Holdings Co. Ltd. | | | 200 | | | | 4,660 | |
| Pola Orbis Holdings, Inc. | | | 700 | | | | 21,166 | |
| Resona Holdings, Inc. | | | 12,400 | | | | 63,753 | |
| Rohm Co. Ltd. | | | 300 | | | | 25,743 | |
| Sega Sammy Holdings, Inc. | | | 1,900 | | | | 26,559 | |
| Sekisui Chemical Co. Ltd. | | | 500 | | | | 9,851 | |
| Seven & i Holdings Co. Ltd. | | | 1,300 | | | | 50,225 | |
| Shimamura Co. Ltd. | | | 300 | | | | 35,986 | |
| Shimizu Corp. | | | 1,000 | | | | 11,089 | |
| Shin-Etsu Chemical Co. Ltd. | | | 200 | | | | 17,900 | |
| Shinsei Bank Ltd. (a) | | | 2,000 | | | | 32,053 | |
| Shionogi & Co. Ltd. | | | 600 | | | | 32,800 | |
| Shiseido Co. Ltd. | | | 600 | | | | 24,013 | |
| SoftBank Group Corp. | | | 400 | | | | 32,439 | |
| Sojitz Corp. | | | 6,300 | | | | 17,432 | |
| Sompo Holdings, Inc. | | | 1,800 | | | | 70,145 | |
| Sony Corp. | | | 500 | | | | 18,654 | |
| Square Enix Holdings Co. Ltd. | | | 300 | | | | 11,298 | |
| Subaru Corp. (a) | | | 900 | | | | 32,460 | |
| SUMCO Corp. | | | 200 | | | | 3,156 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - 28.0% (continued) | |
| Sumitomo Corp. | | | 600 | | | $ | 8,638 | |
| Sumitomo Dainippon Pharma Co. Ltd. | | | 2,800 | | | | 36,476 | |
| Sumitomo Electric Industries Ltd. | | | 400 | | | | 6,539 | |
| Sumitomo Heavy Industries Ltd. | | | 1,000 | | | | 40,139 | |
| Sumitomo Mitsui Financial Group, Inc. | | | 500 | | | | 19,220 | |
| Suzuki Motor Corp. | | | 500 | | | | 26,243 | |
| Taiheiyo Cement Corp. | | | 200 | | | | 7,727 | |
| Taisei Corp. (a) | | | 1,800 | | | | 94,395 | |
| TDK Corp. | | | 100 | | | | 6,795 | |
| Teijin Ltd. | | | 300 | | | | 5,919 | |
| THK Co. Ltd. | | | 500 | | | | 17,054 | |
| Tokyo Electric Power Co. Holdings, Inc. * | | | 9,800 | | | | 39,590 | |
| Tokyo Electron Ltd. | | | 400 | | | | 61,580 | |
| Tokyo Gas Co. Ltd. | | | 800 | | | | 19,591 | |
| Tosoh Corp. | | | 3,500 | | | | 79,003 | |
| Toyo Seikan Group Holdings Ltd. | | | 700 | | | | 11,698 | |
| Toyo Suisan Kaisha Ltd. | | | 300 | | | | 11,022 | |
| Toyoda Gosei Co. Ltd. | | | 100 | | | | 2,363 | |
| Toyota Boshoku Corp. | | | 1,200 | | | | 25,444 | |
| Toyota Motor Corp. | | | 600 | | | | 35,777 | |
| Toyota Tsusho Corp. | | | 200 | | | | 6,573 | |
| Welcia Holdings Co. Ltd. | | | 100 | | | | 3,767 | |
| Yamazaki Baking Co. Ltd. | | | 900 | | | | 16,245 | |
| Yokogawa Electric Corp. | | | 700 | | | | 11,928 | |
| | | | | | | | |
| | | | | | | 3,295,832 | |
| | | | | | | | |
| Luxembourg - 0.1% | |
| B&M European Value Retail SA | | | 1,299 | | | | 6,748 | |
| | | | | | | | |
|
| Malta - 0.1% | |
| Kindred Group plc, SDR | | | 780 | | | | 8,976 | |
| | | | | | | | |
|
| Netherlands - 6.2% | |
| ABN AMRO Group NV, CVA (a)(b) | | | 3,956 | | | | 118,459 | |
| Aegon NV | | | 1,594 | | | | 9,292 | |
| Akzo Nobel NV | | | 97 | | | | 8,946 | |
| ASM International NV | | | 747 | | | | 47,239 | |
| ASML Holding NV | | | 181 | | | | 30,929 | |
| ASR Nederland NV | | | 1,169 | | | | 46,748 | |
| ING Groep NV | | | 3,034 | | | | 55,924 | |
| Koninklijke Ahold Delhaize NV | | | 1,852 | | | | 34,604 | |
| Koninklijke DSM NV | | | 258 | | | | 21,121 | |
| Koninklijke Philips NV (a) | | | 2,585 | | | | 106,657 | |
| NN Group NV | | | 1,197 | | | | 50,126 | |
| Philips Lighting NV (b) | | | 873 | | | | 35,241 | |
| Randstad Holding NV | | | 644 | | | | 39,802 | |
| Royal Dutch Shell plc, Class B | | | 2,926 | | | | 90,080 | |
| Wolters Kluwer NV | | | 806 | | | | 37,249 | |
| | | | | | | | |
| | | | | | | 732,417 | |
| | | | | | | | |
| Norway - 0.9% | |
| DNB ASA | | | 686 | | | | 13,850 | |
| Leroy Seafood Group ASA | | | 2,010 | | | | 12,874 | |
| Marine Harvest ASA * | | | 2,575 | | | | 50,928 | |
| Norsk Hydro ASA | | | 1,207 | | | | 8,807 | |
| Salmar ASA | | | 805 | | | | 22,766 | |
| Telenor ASA | | | 163 | | | | 3,453 | |
| | | | | | | | |
| | | | | | | 112,678 | |
| | | | | | | | |
| Portugal - 0.6% | |
| EDP - Energias de Portugal SA | | | 9,723 | | | | 36,663 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
191
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Portugal - 0.6% (continued) | |
| Galp Energia SGPS SA | | | 1,641 | | | $ | 29,100 | |
| | | | | | | | |
| | | | | | | 65,763 | |
| | | | | | | | |
| Russia - 0.1% | |
| Evraz plc | | | 1,836 | | | | 7,710 | |
| | | | | | | | |
| | |
| Singapore - 0.7% | | | | | | |
| City Developments Ltd. | | | 400 | | | | 3,352 | |
| DBS Group Holdings Ltd. | | | 200 | | | | 3,079 | |
| Genting Singapore plc | | | 73,400 | | | | 63,470 | |
| Oversea-Chinese Banking Corp. Ltd. | | | 1,000 | | | | 8,246 | |
| | | | | | | | |
| | | | | | | 78,147 | |
| | | | | | | | |
| South Africa - 0.8% | |
| Investec plc | | | 7,181 | | | | 52,496 | |
| Mondi plc | | | 1,705 | | | | 45,839 | |
| | | | | | | | |
| | | | | | | 98,335 | |
| | | | | | | | |
| Spain - 4.6% | |
| ACS Actividades de Construccion y Servicios SA | | | 868 | | | | 32,201 | |
| Aena SME SA (b) | | | 53 | | | | 9,578 | |
| Banco Bilbao Vizcaya Argentaria SA | | | 4,535 | | | | 40,545 | |
| Banco de Sabadell SA | | | 3,050 | | | | 6,376 | |
| Banco Santander SA (a) | | | 16,231 | | | | 113,533 | |
| Bankinter SA | | | 467 | | | | 4,423 | |
| Distribuidora Internacional de Alimentacion SA | | | 564 | | | | 3,294 | |
| Endesa SA | | | 1,747 | | | | 39,421 | |
| Grifols SA | | | 498 | | | | 14,533 | |
| Iberdrola SA | | | 1,338 | | | | 10,404 | |
| Mapfre SA | | | 15,137 | | | | 49,325 | |
| Melia Hotels International SA | | | 633 | | | | 9,156 | |
| Repsol SA (a) | | | 8,537 | | | | 157,545 | |
| Telefonica SA | | | 4,445 | | | | 48,304 | |
| | | | | | | | |
| | | | | | | 538,638 | |
| | | | | | | | |
| Sweden - 3.0% | |
| Atlas Copco AB, Class B | | | 307 | | | | 11,926 | |
| BillerudKorsnas AB | | | 888 | | | | 15,062 | |
| Boliden AB | | | 2,367 | | | | 80,287 | |
| Electrolux AB, Series B | | | 677 | | | | 23,042 | |
| Essity AB, Class B * | | | 2,595 | | | | 70,750 | |
| Getinge AB, Class B | | | 177 | | | | 3,323 | |
| Holmen AB, Class B | | | 72 | | | | 3,374 | |
| Investor AB, Class B | | | 307 | | | | 15,189 | |
| NCC AB, Class B | | | 631 | | | | 14,979 | |
| Nordea Bank AB | | | 718 | | | | 9,749 | |
| Saab AB, Class B | | | 180 | | | | 9,149 | |
| Sandvik AB | | | 710 | | | | 12,262 | |
| Skandinaviska Enskilda Banken AB, Class A | | | 846 | | | | 11,161 | |
| Skanska AB, Class B | | | 512 | | | | 11,873 | |
| Svenska Cellulosa AB SCA, Class B | | | 3,407 | | | | 28,880 | |
| Swedish Match AB | | | 261 | | | | 9,167 | |
| Tele2 AB, Class B | | | 1,336 | | | | 15,309 | |
| Volvo AB, Class B | | | 629 | | | | 12,145 | |
| | | | | | | | |
| | | | | | | 357,627 | |
| | | | | | | | |
| Switzerland - 10.9% | |
| ABB Ltd. (Registered) | | | 2,223 | | | | 54,970 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Switzerland - 10.9% (continued) | |
| Adecco Group AG (Registered) *(a) | | | 1,860 | | | $ | 144,902 | |
| Baloise Holding AG (Registered) | | | 58 | | | | 9,185 | |
| Bucher Industries AG (Registered) | | | 34 | | | | 12,095 | |
| Coca-Cola HBC AG * | | | 1,707 | | | | 57,797 | |
| Geberit AG (Registered) | | | 23 | | | | 10,889 | |
| Georg Fischer AG (Registered) | | | 20 | | | | 24,682 | |
| Glencore plc * | | | 1,053 | | | | 4,833 | |
| IWG plc | | | 1,286 | | | | 5,335 | |
| LafargeHolcim Ltd. (Registered) * | | | 476 | | | | 27,867 | |
| Lonza Group AG (Registered) * | | | 191 | | | | 50,188 | |
| Nestle SA (Registered) (a) | | | 1,748 | | | | 146,729 | |
| Novartis AG (Registered) (a) | | | 1,351 | | | | 115,882 | |
| Partners Group Holding AG | | | 40 | | | | 27,156 | |
| Roche Holding AG (a) | | | 716 | | | | 183,024 | |
| Sika AG | | | 4 | | | | 29,783 | |
| STMicroelectronics NV | | | 1,889 | | | | 36,628 | |
| Straumann Holding AG (Registered) | | | 15 | | | | 9,647 | |
| Sunrise Communications Group AG *(b) | | | 83 | | | | 6,843 | |
| Swiss Life Holding AG (Registered) * | | | 199 | | | | 70,156 | |
| Swiss Re AG | | | 531 | | | | 48,132 | |
| Temenos Group AG (Registered) * | | | 900 | | | | 91,925 | |
| UBS Group AG (Registered) * | | | 2,254 | | | | 38,559 | |
| Zurich Insurance Group AG | | | 261 | | | | 79,756 | |
| | | | | | | | |
| | | | | | | 1,286,963 | |
| | | | | | | | |
| United Kingdom - 18.9% | |
| Aggreko plc | | | 1,889 | | | | 23,759 | |
| Amec Foster Wheeler plc | | | 812 | | | | 5,554 | |
| Anglo American plc | | | 723 | | | | 12,998 | |
| Ashtead Group plc | | | 3,836 | | | | 92,540 | |
| ASOS plc * | | | 149 | | | | 11,901 | |
| BAE Systems plc | | | 750 | | | | 6,352 | |
| Barclays plc | | | 71,137 | | | | 184,457 | |
| Barratt Developments plc | | | 8,876 | | | | 73,122 | |
| BBA Aviation plc | | | 5,440 | | | | 21,766 | |
| Bellway plc | | | 460 | | | | 20,348 | |
| Berkeley Group Holdings plc | | | 579 | | | | 28,855 | |
| BP plc | | | 5,050 | | | | 32,350 | |
| British Land Co. plc (The), REIT | | | 423 | | | | 3,415 | |
| BT Group plc | | | 38,027 | | | | 144,635 | |
| Burberry Group plc | | | 2,388 | | | | 56,384 | |
| Centrica plc | | | 3,645 | | | | 9,136 | |
| Close Brothers Group plc | | | 1,377 | | | | 27,230 | |
| Compass Group plc | | | 1,163 | | | | 24,676 | |
| Diageo plc | | | 116 | | | | 3,815 | |
| Dialog Semiconductor plc * | | | 768 | | | | 33,989 | |
| Dixons Carphone plc | | | 22,989 | | | | 59,606 | |
| Fiat Chrysler Automobiles NV * | | | 7,118 | | | | 127,564 | |
| G4S plc | | | 3,835 | | | | 14,308 | |
| GKN plc | | | 10,457 | | | | 48,453 | |
| GlaxoSmithKline plc | | | 3,033 | | | | 60,632 | |
| Hammerson plc, REIT | | | 2,036 | | | | 14,660 | |
| Hays plc | | | 7,588 | | | | 19,273 | |
| Howden Joinery Group plc | | | 2,180 | | | | 12,598 | |
| HSBC Holdings plc | | | 9,446 | | | | 93,382 | |
| Inchcape plc | | | 357 | | | | 4,129 | |
| Indivior plc * | | | 17,498 | | | | 79,702 | |
| Intermediate Capital Group plc | | | 3,070 | | | | 38,548 | |
| International Consolidated Airlines Group SA | | | 1,548 | | | | 12,309 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
192
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United Kingdom - 18.9% (continued) | |
| JD Sports Fashion plc | | | 1,846 | | | $ | 9,255 | |
| Jupiter Fund Management plc | | | 615 | | | | 4,556 | |
| Kingfisher plc | | | 2,965 | | | | 11,871 | |
| Land Securities Group plc, REIT | | | 251 | | | | 3,277 | |
| Lloyds Banking Group plc | | | 97,555 | | | | 88,654 | |
| London Stock Exchange Group plc | | | 136 | | | | 6,983 | |
| Man Group plc | | | 1,517 | | | | 3,416 | |
| Marks & Spencer Group plc | | | 732 | | | | 3,466 | |
| Moneysupermarket.com Group plc | | | 6,589 | | | | 28,091 | |
| Next plc | | | 270 | | | | 19,033 | |
| Old Mutual plc | | | 23,472 | | | | 61,144 | |
| Persimmon plc | | | 2,009 | | | | 69,526 | |
| Playtech plc | | | 589 | | | | 7,252 | |
| Reckitt Benckiser Group plc | | | 276 | | | | 25,218 | |
| RELX plc | | | 672 | | | | 14,748 | |
| Rio Tinto Ltd. | | | 337 | | | | 17,664 | |
| Rio Tinto plc | | | 558 | | | | 25,974 | |
| Rolls-Royce Holdings plc * | | | 381 | | | | 4,532 | |
| Royal Bank of Scotland Group plc * | | | 966 | | | | 3,477 | |
| Royal Mail plc | | | 9,515 | | | | 48,994 | |
| Segro plc, REIT | | | 3,096 | | | | 22,259 | |
| Sky plc | | | 248 | | | | 3,042 | |
| Spectris plc | | | 665 | | | | 21,485 | |
| Sports Direct International plc * | | | 660 | | | | 3,629 | |
| Standard Life Aberdeen plc | | | 604 | | | | 3,511 | |
| Subsea 7 SA | | | 456 | | | | 7,504 | |
| Tate & Lyle plc | | | 5,860 | | | | 50,883 | |
| Taylor Wimpey plc | | | 33,590 | | | | 88,038 | |
| Unilever plc | | | 1,031 | | | | 59,674 | |
| WH Smith plc | | | 405 | | | | 10,962 | |
| William Hill plc | | | 6,733 | | | | 22,775 | |
| Wm Morrison Supermarkets plc | | | 12,434 | | | | 39,017 | |
| WPP plc | | | 1,958 | | | | 36,333 | |
| | | | | | | | |
| | | | | | | 2,228,689 | |
| | | | | | | | |
| United States - 0.2% | |
| Shire plc | | | 369 | | | | 18,795 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $13,287,819) | | | | 14,801,137 | |
| | | | | | | | |
| | |
| EXCHANGE TRADED FUND - 2.7% | | | | | | |
| | |
| United States - 2.7% | | | | | | |
| iShares MSCI EAFE Fund (1) | | | | | | | | |
(Cost $308,975) | | | 4,744 | | | | 324,869 | |
| | | | | | | | |
| | |
| SHORT-TERM INVESTMENTS - 0.4% | | | | | | |
|
| Investment Companies - 0.4% | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 0.91% (c) | | | 487 | | | | 487 | |
| Dreyfus Treasury & Agency Cash Management, Institutional Shares, 0.89% (c) | | | 1,948 | | | | 1,948 | |
| Limited Purpose Cash Investment Fund, 0.97% (c) | | | 44,315 | | | | 44,310 | |
| UBS Select Treasury Preferred Fund, Class I, 0.87% (c) | | | 2,435 | | | | 2,435 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(Cost $49,180) | | | | 49,180 | |
| | | | | | | | |
TOTAL LONG POSITIONS
(Cost $13,645,974) | | | | 15,175,186 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| SHORT POSITIONS - (29.4)% | | | | | | |
| | |
| COMMON STOCKS - (29.4)% | | | | | | |
| | |
| Australia - (4.4)% | | | | | | |
| AMP Ltd. | | | (16,381 | ) | | $ | (62,203 | ) |
| AusNet Services | | | (3,074 | ) | | | (4,079 | ) |
| Boral Ltd. | | | (3,269 | ) | | | (17,430 | ) |
| Brambles Ltd. | | | (2,791 | ) | | | (19,755 | ) |
| Domino’s Pizza Enterprises Ltd. | | | (1,107 | ) | | | (39,883 | ) |
| Healthscope Ltd. | | | (3,733 | ) | | | (4,900 | ) |
| Iluka Resources Ltd. | | | (9,461 | ) | | | (70,822 | ) |
| Incitec Pivot Ltd. | | | (2,441 | ) | | | (6,916 | ) |
| Magellan Financial Group Ltd. | | | (3,998 | ) | | | (77,245 | ) |
| Medibank Pvt Ltd. | | | (7,013 | ) | | | (16,091 | ) |
| Oil Search Ltd. | | | (12,830 | ) | | | (70,787 | ) |
| Platinum Asset Management Ltd. | | | (6,278 | ) | | | (29,903 | ) |
| REA Group Ltd. | | | (397 | ) | | | (20,911 | ) |
| SEEK Ltd. | | | (530 | ) | | | (6,920 | ) |
| Sydney Airport | | | (598 | ) | | | (3,340 | ) |
| Tabcorp Holdings Ltd. | | | (8,706 | ) | | | (29,184 | ) |
| TPG Telecom Ltd. | | | (2,765 | ) | | | (10,585 | ) |
| Transurban Group | | | (2,152 | ) | | | (20,096 | ) |
| Vocus Group Ltd. | | | (3,591 | ) | | | (6,746 | ) |
| | | | | | | | |
| | | | | | | (517,796 | ) |
| | | | | | | | |
| Austria - (0.4)% | |
| ams AG * | | | (623 | ) | | | (45,236 | ) |
| | | | | | | | |
|
| Belgium - (0.7)% | |
| Anheuser-Busch InBev SA/NV | | | (703 | ) | | | (84,035 | ) |
| | | | | | | | |
| | |
| Chile - (0.1)% | | | | | | |
| Antofagasta plc | | | (702 | ) | | | (8,942 | ) |
| | | | | | | | |
| | |
| Denmark - (1.6)% | | | | | | |
| AP Moller - Maersk A/S, Class B | | | (12 | ) | | | (22,849 | ) |
| Chr Hansen Holding A/S | | | (392 | ) | | | (33,650 | ) |
| DONG Energy A/S (b) | | | (154 | ) | | | (8,827 | ) |
| Nets A/S *(b) | | | (275 | ) | | | (7,124 | ) |
| Novozymes A/S, Class B | | | (1,324 | ) | | | (68,011 | ) |
| Pandora A/S | | | (449 | ) | | | (44,394 | ) |
| | | | | | | | |
| | | | | | | (184,855 | ) |
| | | | | | | | |
| Finland - (0.5)% | |
| Amer Sports OYJ * | | | (1,693 | ) | | | (44,946 | ) |
| Huhtamaki OYJ | | | (120 | ) | | | (4,846 | ) |
| Outokumpu OYJ | | | (916 | ) | | | (9,530 | ) |
| | | | | | | | |
| | | | | | | (59,322 | ) |
| | | | | | | | |
| France - (1.9)% | |
| Accor SA | | | (437 | ) | | | (21,734 | ) |
| Bollore SA | | | (5,933 | ) | | | (29,669 | ) |
| Edenred | | | (1,197 | ) | | | (32,540 | ) |
| Electricite de France SA | | | (3,626 | ) | | | (44,039 | ) |
| Groupe Eurotunnel SE (Registered) | | | (3,796 | ) | | | (45,770 | ) |
| JCDecaux SA | | | (149 | ) | | | (5,586 | ) |
| SFR Group SA * | | | (1,115 | ) | | | (45,487 | ) |
| | | | | | | | |
| | | | | | | (224,825 | ) |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
193
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Germany - (2.4)% | | | | | | |
| Bilfinger SE | | | (346 | ) | | $ | (14,510 | ) |
| Commerzbank AG * | | | (311 | ) | | | (4,241 | ) |
| Fielmann AG | | | (162 | ) | | | (14,047 | ) |
| GEA Group AG | | | (830 | ) | | | (37,785 | ) |
| Sartorius AG (Preference) | | | (760 | ) | | | (72,724 | ) |
| Symrise AG | | | (128 | ) | | | (9,731 | ) |
| thyssenkrupp AG | | | (1,084 | ) | | | (32,195 | ) |
| Wirecard AG | | | (627 | ) | | | (57,439 | ) |
| Zalando SE *(b) | | | (775 | ) | | | (38,899 | ) |
| | | | | | | | |
| | | | | | | (281,571 | ) |
| | | | | | | | |
| Ireland - (0.1)% | | | | | | |
| James Hardie Industries plc, CDI | | | (1,030 | ) | | | (14,376 | ) |
| | | | | | | | |
| | |
| Italy - (1.8)% | | | | | | |
| Azimut Holding SpA | | | (156 | ) | | | (3,380 | ) |
| Banca Generali SpA | | | (841 | ) | | | (29,209 | ) |
| BPER Banca | | | (3,429 | ) | | | (20,546 | ) |
| Brembo SpA | | | (3,162 | ) | | | (53,524 | ) |
| Ferrari NV | | | (137 | ) | | | (15,159 | ) |
| FinecoBank Banca Fineco SpA | | | (502 | ) | | | (4,457 | ) |
| Saipem SpA * | | | (13,053 | ) | | | (56,372 | ) |
| Snam SpA | | | (686 | ) | | | (3,306 | ) |
| UniCredit SpA * | | | (875 | ) | | | (18,672 | ) |
| Unione di Banche Italiane SpA | | | (2,304 | ) | | | (11,974 | ) |
| | | | | | | | |
| | | | | | | (216,599 | ) |
| | | | | | | | |
| Japan - (6.2)% | | | | | | |
| Acom Co. Ltd. * | | | (7,600 | ) | | | (29,487 | ) |
| AEON Financial Service Co. Ltd. | | | (800 | ) | | | (16,736 | ) |
| Alps Electric Co. Ltd. | | | (200 | ) | | | (5,286 | ) |
| Asics Corp. | | | (700 | ) | | | (10,440 | ) |
| Bank of Kyoto Ltd. (The) | | | (600 | ) | | | (30,540 | ) |
| Calbee, Inc. | | | (1,300 | ) | | | (45,658 | ) |
| Chugai Pharmaceutical Co. Ltd. | | | (100 | ) | | | (4,156 | ) |
| Chugoku Electric Power Co., Inc. (The) | | | (2,200 | ) | | | (23,371 | ) |
| Coca-Cola Bottlers Japan, Inc. | | | (600 | ) | | | (19,434 | ) |
| CyberAgent, Inc. | | | (100 | ) | | | (2,920 | ) |
| FamilyMart UNY Holdings Co. Ltd. | | | (400 | ) | | | (21,073 | ) |
| Hamamatsu Photonics KK | | | (100 | ) | | | (3,025 | ) |
| Hokuriku Electric Power Co. | | | (5,000 | ) | | | (41,968 | ) |
| Japan Airport Terminal Co. Ltd. | | | (500 | ) | | | (17,815 | ) |
| Kakaku.com, Inc. | | | (600 | ) | | | (7,655 | ) |
| Kansai Paint Co. Ltd. | | | (1,000 | ) | | | (25,191 | ) |
| Kyushu Electric Power Co., Inc. | | | (1,300 | ) | | | (13,811 | ) |
| MonotaRO Co. Ltd. | | | (1,000 | ) | | | (26,747 | ) |
| Nankai Electric Railway Co. Ltd. | | | (200 | ) | | | (4,950 | ) |
| NGK Spark Plug Co. Ltd. | | | (2,600 | ) | | | (55,371 | ) |
| Nidec Corp. | | | (100 | ) | | | (12,293 | ) |
| Nippon Paint Holdings Co. Ltd. | | | (1,100 | ) | | | (37,421 | ) |
| Nippon Yusen KK * | | | (200 | ) | | | (4,162 | ) |
| Odakyu Electric Railway Co. Ltd. | | | (500 | ) | | | (9,488 | ) |
| Orient Corp. | | | (5,500 | ) | | | (8,956 | ) |
| Ricoh Co. Ltd. | | | (1,000 | ) | | | (9,724 | ) |
| Santen Pharmaceutical Co. Ltd. | | | (900 | ) | | | (14,200 | ) |
| Seven Bank Ltd. | | | (8,000 | ) | | | (28,910 | ) |
| Shimano, Inc. | | | (200 | ) | | | (26,644 | ) |
| Shizuoka Bank Ltd. (The) | | | (2,000 | ) | | | (17,999 | ) |
| Sony Financial Holdings, Inc. | | | (2,100 | ) | | | (34,460 | ) |
| Sosei Group Corp. * | | | (300 | ) | | | (25,374 | ) |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - (6.2)% (continued) | | | | | | |
| Suruga Bank Ltd. | | | (1,800 | ) | | $ | (38,843 | ) |
| Toyota Industries Corp. | | | (200 | ) | | | (11,502 | ) |
| Yahoo Japan Corp. | | | (1,700 | ) | | | (8,080 | ) |
| Yaskawa Electric Corp. | | | (1,000 | ) | | | (31,740 | ) |
| | | | | | | | |
| | | | | | | (725,430 | ) |
| | | | | | | | |
| Jordan - (0.4)% | | | | | | |
| Hikma Pharmaceuticals plc | | | (2,718 | ) | | | (44,161 | ) |
| | | | | | | | |
| | |
| Luxembourg - (1.4)% | | | | | | |
| Eurofins Scientific SE | | | (17 | ) | | | (10,756 | ) |
| Millicom International Cellular SA, SDR | | | (345 | ) | | | (22,790 | ) |
| Tenaris SA | | | (9,399 | ) | | | (133,231 | ) |
| | | | | | | | |
| | | | | | | (166,777 | ) |
| | | | | | | | |
| Netherlands - (1.3)% | | | | | | |
| Altice NV, Class A * | | | (4,422 | ) | | | (88,599 | ) |
| Koninklijke Vopak NV | | | (367 | ) | | | (16,094 | ) |
| OCI NV * | | | (2,080 | ) | | | (48,724 | ) |
| SBM Offshore NV | | | (199 | ) | | | (3,609 | ) |
| | | | | | | | |
| | | | | | | (157,026 | ) |
| | | | | | | | |
| Norway - (0.8)% | |
| Schibsted ASA, Class A | | | (3,121 | ) | | | (80,459 | ) |
| Yara International ASA | | | (185 | ) | | | (8,295 | ) |
| | | | | | | | |
| | | | | | | (88,754 | ) |
| | | | | | | | |
| Portugal - (0.1)% | |
| Banco Comercial Portugues SA, Class R * | | | (52,798 | ) | | | (15,320 | ) |
| | | | | | | | |
|
| Singapore - (0.4)% | |
| Keppel Corp. Ltd. | | | (5,000 | ) | | | (24,005 | ) |
| SATS Ltd. | | | (1,400 | ) | | | (4,765 | ) |
| Singapore Press Holdings Ltd. | | | (8,700 | ) | | | (17,483 | ) |
| | | | | | | | |
| | | | | | | (46,253 | ) |
| | | | | | | | |
| South Africa - (0.1)% | |
| Mediclinic International plc | | | (1,377 | ) | | | (11,994 | ) |
| | | | | | | | |
|
| Spain - (1.2)% | |
| Bankia SA | | | (11,481 | ) | | | (55,428 | ) |
| Cellnex Telecom SA (b) | | | (3,623 | ) | | | (82,941 | ) |
| | | | | | | | |
| | | | | | | (138,369 | ) |
| | | | | | | | |
| Switzerland - (1.3)% | |
| Credit Suisse Group AG (Registered) * | | | (3,805 | ) | | | (60,289 | ) |
| Vifor Pharma AG | | | (743 | ) | | | (87,634 | ) |
| | | | | | | | |
| | | | | | | (147,923 | ) |
| | | | | | | | |
| United Kingdom - (2.2)% | |
| AA plc | | | (3,230 | ) | | | (7,344 | ) |
| Beazley plc | | | (1,075 | ) | | | (6,914 | ) |
| BTG plc * | | | (1,420 | ) | | | (12,871 | ) |
| Cobham plc | | | (10,176 | ) | | | (19,876 | ) |
| Essentra plc | | | (1,959 | ) | | | (14,484 | ) |
| Hargreaves Lansdown plc | | | (367 | ) | | | (7,283 | ) |
| Inmarsat plc | | | (1,855 | ) | | | (16,010 | ) |
| John Wood Group plc | | | (7,838 | ) | | | (71,592 | ) |
| Just Eat plc * | | | (4,079 | ) | | | (36,536 | ) |
| Pennon Group plc | | | (320 | ) | | | (3,417 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
194
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United Kingdom - (2.2)% (continued) | |
| Petrofac Ltd. | | | (6,734 | ) | | $ | (40,681 | ) |
| Tesco plc * | | | (10,433 | ) | | | (26,163 | ) |
| | | | | | | | |
| | | | | | | (263,171 | ) |
| | | | | | | | |
| United States - (0.1)% | |
| QIAGEN NV * | | | (445 | ) | | | (14,066 | ) |
| | | | | | | | |
TOTAL COMMON STOCKS
(Proceeds $(3,314,631)) | | | | (3,456,801 | ) |
| | | | | | | | |
TOTAL SHORT POSITIONS
(Proceeds $(3,314,631)) | | | | | (3,456,801) | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 99.4%
(Cost $10,331,343) | | | | | | | 11,718,385 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 0.6% | | | | | 59,330 | |
| | | | | | | | |
| NET ASSETS - 100.0% | | | | | $11,777,715 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 1,368,846 | | | | 11.6 | % |
| Consumer Staples | | | 869,144 | | | | 7.4 | |
| Energy | | | 293,850 | | | | 2.5 | |
| Exchange Traded Fund | | | 324,869 | | | | 2.7 | |
| Financials | | | 2,259,828 | | | | 19.2 | |
| Health Care | | | 1,198,100 | | | | 10.1 | |
| Industrials | | | 1,920,559 | | | | 16.3 | |
| Information Technology | | | 1,072,537 | | | | 9.1 | |
| Materials | | | 1,163,521 | | | | 9.9 | |
| Real Estate | | | 473,271 | | | | 4.0 | |
| Telecommunication Services | | | 245,080 | | | | 2.1 | |
| Utilities | | | 479,600 | | | | 4.1 | |
| Short-Term Investments | | | 49,180 | | | | 0.4 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 11,718,385 | | | | 99.4 | |
| Other Assets in Excess of Liabilities | | | 59,330 | | | | 0.6 | |
| | | | | | | | |
Net Assets | | $ | 11,777,715 | | | | 100.0 | % |
| | | | | | | | |
| * | Non-income producing security. |
| (a) | All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $4,018,746. |
| (b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total value of all such securities at September 30, 2017 amounted to $167,639, which represents approximately 1.42% of net assets of the fund. |
| (c) | Represents 7-day effective yield as of September 30, 2017. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) Level 1 security (See Note 4).
Abbreviations
CVA - Dutch Certification
OYJ - Public Traded Company
Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
REIT - Real Estate Investment Trust
SCA - Limited partnership with share capital
SDR - Swedish Depositary Receipt
SGPS -Sociedade Gestora de Participacões Sociais
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
195
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| | | | | | | | |
| COMMON STOCKS - 79.7% | | | | | | |
|
| Brazil - 10.1% | |
| Ambev SA, ADR (1) | | | 2,313 | | | $ | 15,243 | |
| Banco Bradesco SA, ADR (1)* | | | 13,658 | | | | 151,194 | |
| Banco do Brasil SA (1)* | | | 30,000 | | | | 331,055 | |
| Banco Santander Brasil SA, ADR (1) | | | 7,758 | | | | 67,805 | |
| BB Seguridade Participacoes SA (1) | | | 3,200 | | | | 28,796 | |
| BR Malls Participacoes SA (1) | | | 7,100 | | | | 31,743 | |
| Braskem SA (Preference), Class A (1) | | | 14,000 | | | | 187,247 | |
| Cia Brasileira de Distribuicao (Preference) (1)* | | | 3,200 | | | | 75,869 | |
| Cia de Saneamento Basico do Estado de Sao Paulo, ADR (1)* | | | 19,362 | | | | 202,526 | |
| Cia Energetica de Minas Gerais (Preference) (1) | | | 30,100 | | | | 76,030 | |
| Cosan SA Industria e Comercio (1) | | | 1,000 | | | | 11,405 | |
| Embraer SA, ADR (1) | | | 6,114 | | | | 138,238 | |
| Hypermarcas SA (1) | | | 26,900 | | | | 272,554 | |
| Itau Unibanco Holding SA, ADR (1) | | | 18,656 | | | | 255,587 | |
| Itausa - Investimentos Itau SA (Preference) (1) | | | 76,800 | | | | 267,951 | |
| Localiza Rent a Car SA (1)* | | | 2,700 | | | | 49,309 | |
| M Dias Branco SA (1)* | | | 3,400 | | | | 53,676 | |
| Petroleo Brasileiro SA (Preference) (1)* | | | 30,000 | | | | 145,304 | |
| Porto Seguro SA (1)* | | | 8,700 | | | | 103,478 | |
| Sul America SA (1) | | | 9,040 | | | | 50,949 | |
| TIM Participacoes SA, ADR (1) | | | 534 | | | | 9,761 | |
| WEG SA (1) | | | 1,200 | | | | 8,131 | |
| | | | | | | | |
| | | | | | | 2,533,851 | |
| | | | | | | | |
| Chile - 1.7% | | | | | | |
| Banco de Chile, ADR (1) | | | 1,355 | | | | 123,535 | |
| Banco Santander Chile, ADR (1) | | | 4,740 | | | | 140,826 | |
| Cia Cervecerias Unidas SA, ADR (1) | | | 428 | | | | 11,526 | |
| Enel Americas SA, ADR (1) | | | 4,432 | | | | 45,295 | |
| Enel Chile SA, ADR (1) | | | 3,675 | | | | 22,050 | |
| Enel Generacion Chile SA (1) | | | 72,049 | | | | 62,907 | |
| Latam Airlines Group SA, ADR (1) | | | 1,447 | | | | 19,173 | |
| Sociedad Quimica y Minera de Chile SA, ADR (1) | | | 157 | | | | 8,739 | |
| | | | | | | | |
| | | | | | | 434,051 | |
| | | | | | | | |
| China - 6.8% | | | | | | |
| 58.com, Inc., ADR (1)* | | | 179 | | | | 11,302 | |
| Alibaba Group Holding Ltd., ADR (1)* | | | 5,592 | | | | 965,794 | |
| Baidu, Inc., ADR (1)* | | | 1,329 | | | | 329,180 | |
| Ctrip.com International Ltd., ADR (1)* | | | 1,535 | | | | 80,956 | |
| JD.com, Inc., ADR (1)* | | | 3,177 | | | | 121,362 | |
| NetEase, Inc., ADR (1) | | | 313 | | | | 82,573 | |
| New Oriental Education & Technology Group, Inc., ADR (1) | | | 530 | | | | 46,778 | |
| SINA Corp. (1)* | | | 76 | | | | 8,713 | |
| TAL Education Group, ADR (1) | | | 1,062 | | | | 35,800 | |
| Vipshop Holdings Ltd., ADR (1)* | | | 351 | | | | 3,085 | |
| | | | | | | | |
| | | | | | | 1,685,543 | |
| | | | | | | | |
| Hungary - 0.1% | | | | | | |
| MOL Hungarian Oil & Gas plc | | | 976 | | | | 11,100 | |
| OTP Bank plc | | | 377 | | | | 14,153 | |
| Richter Gedeon Nyrt | | | 449 | | | | 11,157 | |
| | | | | | | | |
| | | | | | | 36,410 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| India - 7.1% | | | | | | |
| Dr Reddy’s Laboratories Ltd., ADR (1) | | | 4,481 | | | $ | 159,882 | |
| ICICI Bank Ltd., ADR (1) | | | 41,936 | | | | 358,972 | |
| Infosys Ltd., ADR (1) | | | 40,057 | | | | 584,432 | |
| Tata Motors Ltd., ADR (1)* | | | 6,005 | | | | 187,776 | |
| Vedanta Ltd., ADR (1) | | | 6,591 | | | | 127,602 | |
| Wipro Ltd., ADR (1) | | | 60,568 | | | | 344,026 | |
| | | | | | | | |
| | | | | | | 1,762,690 | |
| | | | | | | | |
| Indonesia - 2.0% | | | | | | |
| Adaro Energy Tbk. PT | | | 1,187,200 | | | | 161,157 | |
| Astra International Tbk. PT | | | 52,900 | | | | 31,058 | |
| Bank Central Asia Tbk. PT | | | 6,300 | | | | 9,500 | |
| Bank Negara Indonesia Persero Tbk. PT | | | 334,600 | | | | 183,989 | |
| Bank Rakyat Indonesia Persero Tbk. PT | | | 16,800 | | | | 19,073 | |
| Gudang Garam Tbk. PT | | | 500 | | | | 2,444 | |
| Surya Citra Media Tbk. PT | | | 36,900 | | | | 6,001 | |
| Telekomunikasi Indonesia Persero Tbk. PT | | | 34,100 | | | | 11,859 | |
| United Tractors Tbk. PT | | | 29,700 | | | | 70,622 | |
| | | | | | | | |
| | | | | | | 495,703 | |
| | | | | | | | |
| Mexico - 0.4% | | | | | | |
| America Movil SAB de CV, Class L, ADR (1) | | | 5,782 | | | | 102,631 | |
| Grupo Aeroportuario del Sureste SAB de CV, ADR (1) | | | 48 | | | | 9,159 | |
| | | | | | | | |
| | | | | | | 111,790 | |
| | | | | | | | |
| Peru - 0.2% | | | | | | |
| Credicorp Ltd. (1) | | | 168 | | | | 34,443 | |
| Southern Copper Corp. (1) | | | 284 | | | | 11,292 | |
| | | | | | | | |
| | | | | | | 45,735 | |
| | | | | | | | |
| Philippines - 1.0% | | | | | | |
| Ayala Corp. | | | 610 | | | | 11,658 | |
| Ayala Land, Inc. | | | 33,500 | | | | 28,728 | |
| BDO Unibank, Inc. | | | 6,970 | | | | 17,952 | |
| International Container Terminal Services, Inc. | | | 16,250 | | | | 33,340 | |
| JG Summit Holdings, Inc. | | | 2,950 | | | | 4,356 | |
| Jollibee Foods Corp. | | | 10,190 | | | | 48,905 | |
| Metro Pacific Investments Corp. | | | 63,900 | | | | 8,437 | |
| Metropolitan Bank & Trust Co. | | | 5,070 | | | | 8,642 | |
| PLDT, Inc., ADR (1) | | | 233 | | | | 7,437 | |
| Security Bank Corp. | | | 5,720 | | | | 27,416 | |
| SM Investments Corp. | | | 510 | | | | 8,872 | |
| SM Prime Holdings, Inc. | | | 49,700 | | | | 33,740 | |
| | | | | | | | |
| | | | | | | 239,483 | |
| | | | | | | | |
| Poland - 2.4% | | | | | | |
| Jastrzebska Spolka Weglowa SA * | | | 10,319 | | | | 273,063 | |
| PGE Polska Grupa Energetyczna SA * | | | 63,614 | | | | 232,024 | |
| Polski Koncern Naftowy ORLEN SA | | | 1,480 | | | | 49,382 | |
| Powszechna Kasa Oszczednosci Bank Polski SA * | | | 2,359 | | | | 22,869 | |
| Tauron Polska Energia SA * | | | 11,936 | | | | 12,273 | |
| | | | | | | | |
| | | | | | | 589,611 | |
| | | | | | | | |
| Romania - 0.0% (a) | |
| NEPI Rockcastle plc (1) | | | 792 | | | | 10,758 | |
| New Europe Property Investments plc (3)*(b) | | | 246 | | | | — | |
| | | | | | | | |
| | | | | | | 10,758 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
196
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Russia - 0.8% | | | | | | |
| Mobile TeleSystems PJSC, ADR (1) | | | 19,920 | | | $ | 207,965 | |
| | | | | | | | |
| | |
| South Africa - 6.7% | | | | | | |
| Anglo American Platinum Ltd. * | | | 292 | | | | 7,458 | |
| AngloGold Ashanti Ltd., ADR (1) | | | 7,639 | | | | 70,966 | |
| Barclays Africa Group Ltd. | | | 2,986 | | | | 30,648 | |
| Coronation Fund Managers Ltd. | | | 2,203 | | | | 10,971 | |
| Exxaro Resources Ltd. | | | 39,932 | | | | 363,620 | |
| FirstRand Ltd. | | | 2,924 | | | | 11,244 | |
| Fortress Income Fund Ltd., REIT | | | 5,721 | | | | 16,376 | |
| Foschini Group Ltd. (The) | | | 13,092 | | | | 131,321 | |
| Growthpoint Properties Ltd., REIT | | | 19,539 | | | | 35,091 | |
| Imperial Holdings Ltd. | | | 10,422 | | | | 147,262 | |
| Investec Ltd. | | | 22,619 | | | | 163,669 | |
| Massmart Holdings Ltd. | | | 11,253 | | | | 92,597 | |
| MMI Holdings Ltd. | | | 67,367 | | | | 86,253 | |
| Mondi Ltd. | | | 2,348 | | | | 62,742 | |
| Mr Price Group Ltd. | | | 1,014 | | | | 13,485 | |
| Naspers Ltd., Class N | | | 741 | | | | 160,184 | |
| Redefine Properties Ltd. | | | 44,074 | | | | 34,786 | |
| Remgro Ltd. | | | 1,553 | | | | 23,569 | |
| Resilient REIT Ltd. | | | 1,359 | | | | 13,385 | |
| RMB Holdings Ltd. | | | 9,288 | | | | 43,537 | |
| Sanlam Ltd. | | | 4,767 | | | | 23,815 | |
| Sappi Ltd. | | | 9,780 | | | | 66,609 | |
| Standard Bank Group Ltd. | | | 4,538 | | | | 52,943 | |
| Telkom SA SOC Ltd. | | | 2,354 | | | | 10,312 | |
| | | | | | | | |
| | | | | | | 1,672,843 | |
| | | | | | | | |
| South Korea - 28.1% | | | | | | |
| BNK Financial Group, Inc. | | | 25,872 | | | | 226,246 | |
| CJ E&M Corp. | | | 106 | | | | 7,150 | |
| Daelim Industrial Co. Ltd. | | | 270 | | | | 18,931 | |
| DGB Financial Group, Inc. | | | 9,366 | | | | 85,964 | |
| Doosan Bobcat, Inc. | | | 1,830 | | | | 58,521 | |
| E-MART, Inc. | | | 165 | | | | 30,098 | |
| Hana Financial Group, Inc. | | | 1,226 | | | | 50,863 | |
| Hankook Tire Co. Ltd. | | | 237 | | | | 12,480 | |
| Hanon Systems | | | 5,825 | | | | 64,241 | |
| Hanwha Chemical Corp. | | | 4,459 | | | | 126,869 | |
| Hanwha Corp. | | | 8,304 | | | | 320,103 | |
| Hanwha Life Insurance Co. Ltd. | | | 41,067 | | | | 246,006 | |
| Hyosung Corp. | | | 581 | | | | 74,040 | |
| Hyundai Department Store Co. Ltd. | | | 171 | | | | 13,212 | |
| Hyundai Development Co.-Engineering & Construction | | | 1,348 | | | | 42,141 | |
| Hyundai Engineering & Construction Co. Ltd. | | | 7,794 | | | | 261,895 | |
| Hyundai Marine & Fire Insurance Co. Ltd. | | | 2,203 | | | | 87,373 | |
| Hyundai Mobis Co. Ltd. | | | 1,105 | | | | 232,003 | |
| KB Financial Group, Inc. | | | 977 | | | | 48,068 | |
| Kia Motors Corp. | | | 1,443 | | | | 39,923 | |
| Korea Investment Holdings Co. Ltd. | | | 3,420 | | | | 183,467 | |
| Korea Zinc Co. Ltd. | | | 171 | | | | 74,091 | |
| Korean Air Lines Co. Ltd. * | | | 8,081 | | | | 217,845 | |
| KT Corp., ADR (1) | | | 25,332 | | | | 351,355 | |
| KT&G Corp. | | | 460 | | | | 42,449 | |
| LG Corp. | | | 4,207 | | | | 297,063 | |
| LG Electronics, Inc. | | | 4,658 | | | | 336,407 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| South Korea - 28.1% (continued) | | | | | | |
| Lotte Chemical Corp. | | | 926 | | | $ | 306,598 | |
| Lotte Shopping Co. Ltd. | | | 58 | | | | 12,544 | |
| Orion Corp. (1)* | | | 70 | | | | 5,928 | |
| POSCO | | | 678 | | | | 188,406 | |
| Posco Daewoo Corp. | | | 2,675 | | | | 45,203 | |
| Samsung Card Co. Ltd. | | | 695 | | | | 22,411 | |
| Samsung Electronics Co. Ltd. | | | 778 | | | | 1,750,674 | |
| Shinhan Financial Group Co. Ltd. | | | 271 | | | | 11,978 | |
| SK Hynix, Inc. | | | 11,101 | | | | 809,600 | |
| SK Innovation Co. Ltd. | | | 445 | | | | 77,561 | |
| SK Telecom Co. Ltd. | | | 745 | | | | 166,231 | |
| Woori Bank | | | 3,447 | | | | 53,814 | |
| Yuhan Corp. | | | 57 | | | | 10,293 | |
| | | | | | | | |
| | | | | | | 7,010,045 | |
| | | | | | | | |
| Taiwan - 12.0% | | | | | | |
| AU Optronics Corp. | | | 93,000 | | | | 37,375 | |
| Catcher Technology Co. Ltd. | | | 9,000 | | | | 84,189 | |
| Cathay Financial Holding Co. Ltd. | | | 5,000 | | | | 7,968 | |
| China Life Insurance Co. Ltd. | | | 14,170 | | | | 13,363 | |
| Compal Electronics, Inc. | | | 16,000 | | | | 11,381 | |
| CTBC Financial Holding Co. Ltd. | | | 15,000 | | | | 9,416 | |
| E.Sun Financial Holding Co. Ltd. | | | 51,000 | | | | 30,480 | |
| Evergreen Marine Corp. Taiwan Ltd. * | | | 64,000 | | | | 36,999 | |
| First Financial Holding Co. Ltd. | | | 276,240 | | | | 177,421 | |
| Formosa Chemicals & Fibre Corp. | | | 5,000 | | | | 15,225 | |
| Formosa Petrochemical Corp. | | | 8,000 | | | | 27,633 | |
| General Interface Solution Holding Ltd. | | | 25,000 | | | | 249,535 | |
| Hon Hai Precision Industry Co. Ltd. | | | 221,000 | | | | 767,513 | |
| Innolux Corp. | | | 73,000 | | | | 34,170 | |
| Lite-On Technology Corp. | | | 189,000 | | | | 270,733 | |
| Nien Made Enterprise Co. Ltd. | | | 2,000 | | | | 20,537 | |
| Novatek Microelectronics Corp. | | | 2,000 | | | | 7,534 | |
| Pegatron Corp. | | | 86,000 | | | | 223,929 | |
| Phison Electronics Corp. | | | 14,000 | | | | 166,432 | |
| Pou Chen Corp. | | | 9,000 | | | | 11,316 | |
| Powertech Technology, Inc. | | | 13,000 | | | | 37,572 | |
| Realtek Semiconductor Corp. | | | 14,000 | | | | 48,365 | |
| Synnex Technology International Corp. | | | 10,000 | | | | 12,018 | |
| Taiwan Cooperative Financial Holding Co. Ltd. | | | 20,000 | | | | 10,333 | |
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR (1) | | | 16,622 | | | | 624,156 | |
| Uni-President Enterprises Corp. | | | 6,000 | | | | 12,580 | |
| Wistron Corp. | | | 55,450 | | | | 44,470 | |
| | | | | | | | |
| | | | | | | 2,992,643 | |
| | | | | | | | |
| United States - 0.3% | | | | | | |
| Yum China Holdings, Inc. (1)* | | | 1,842 | | | | 73,625 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $19,304,253) | | | | | | | 19,902,746 | |
| | | | | | | | |
| |
| EXCHANGE TRADED FUND - 2.1% | | | | |
| |
| United States - 2.1% | | | | |
| iShares MSCI Emerging Markets Fund (1) | | | | | | | | |
(Cost $493,490) | | | 11,703 | | | | 524,412 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
197
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| SHORT-TERM INVESTMENTS - 16.4% | | | | |
| |
| Investment Companies - 16.4% | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund-IM Shares, 0.92% (c)(d) | | | 2,632,569 | | | $ | 2,632,569 | |
| Limited Purpose Cash Investment Fund, 0.97% (c) | | | 1,452,094 | | | | 1,451,949 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(Cost $4,084,496) | | | | 4,084,518 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 98.2%
(Cost $23,882,239) | | | | | | | 24,511,676 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 1.8% (e) | | | | 439,933 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 24,951,609 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 1,837,413 | | | | 7.4 | % |
| Consumer Staples | | | 342,411 | | | | 1.4 | |
| Energy | | | 917,783 | | | | 3.7 | |
| Exchange Traded Fund | | | 524,412 | | | | 2.1 | |
| Financials | | | 3,950,095 | | | | 15.8 | |
| Health Care | | | 453,887 | | | | 1.8 | |
| Industrials | | | 1,569,279 | | | | 6.3 | |
| Information Technology | | | 7,505,667 | | | | 30.0 | |
| Materials | | | 1,600,947 | | | | 6.4 | |
| Real Estate | | | 204,607 | | | | 0.8 | |
| Telecommunication Services | | | 867,551 | | | | 3.5 | |
| Utilities | | | 653,106 | | | | 2.6 | |
| Short-Term Investments | | | 4,084,518 | | | | 16.4 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 24,511,676 | | | | 98.2 | |
| Other Assets in Excess of Liabilities (e) | | | 439,933 | | | | 1.8 | |
| | | | | | | | |
Net Assets | | $ | 24,951,609 | | | | 100.0 | % |
| | | | | | | | |
| * | Non-income producing security. |
| (a) | Represents less than 0.05% of net assets. |
| (b) | Security fair valued as of September 30, 2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at September 30, 2017 amounted to $0, which represents approximately 0.00% of net assets of the fund. |
| (c) | Represents 7-day effective yield as of September 30, 2017. |
| (d) | All or a portion of the security pledged as collateral for swap contracts. |
| (e) | Includes appreciation/(depreciation) on swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 4). |
| (3) | Level 3 security (See Note 4). |
Abbreviations
ADR - American Depositary Receipt
PJSC - Public Joint Stock Company
Preference - A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
REIT - Real Estate Investment Trust
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
198
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | | | | |
Total Return Basket Swaps Outstanding at September 30, 2017
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH AND
OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| JPMC | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Johannesburg Interbank Agreed Rate plus or minus a specified spread (rates range from -0.87% to -0.75%), which is denominated in ZAR based on the local currencies of the positions within the swap. | | 52-61 months maturity ranging from 12/21/2021-
07/13/2022 | | | $227,559 | | | | $13,438 | | | | $(132 | ) | | | $13,306 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH AND
OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| JPMC | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Warsaw Interbank Effective Rate plus or minus a specified spread (rates range from -0.77% to -0.40%), which is denominated in PLN based on the local currencies of the positions within the swap. | | 60-61 months maturity ranging from 08/31/2022-
09/22/2022 | | | $169,658 | | | | $(4,597 | ) | | | $(181 | ) | | | $(4,778 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH AND
OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| JPMC | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Mexico Equilibrium Interbank Interest Rate plus or minus a specified spread (rates range from -1.00% to 2.50%), which is denominated in MXN based on the local currencies of the positions within the swap. | | 52-61 months maturity ranging from 12/20/2021-
08/15/2022 | | | $889,161 | | | | $10,407 | | | | $(708 | ) | | | $9,699 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
199
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | | | | |
The following table represents required component disclosures associated with the total return basket swap as of period end.
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Long Positions | | | | | |
| | | |
| Common Stock | | | | | | | | | | | | | |
| | | |
| Mexico | | | | | | | | | | | | | |
| Alfa SAB de CV | | | 7,600 | | | | $9,595 | | | | $(587 | ) | | | (0.0 | )% |
| Arca Continental SAB de CV | | | 7,800 | | | | 53,319 | | | | (806 | ) | | | (0.0 | ) |
| Fibra Uno Administracion SA de CV | | | 22,300 | | | | 37,620 | | | | (105 | ) | | | (0.0 | ) |
| Gruma SAB de CV | | | 2,355 | | | | 34,430 | | | | 1,351 | | | | 0.0 | |
| Grupo Aeroportuario del Pacifico SAB de CV | | | 1,200 | | | | 12,283 | | | | 280 | | | | 0.0 | |
| Grupo Financiero Banorte SAB de CV | | | 14,400 | | | | 99,305 | | | | 2,268 | | | | 0.0 | |
| Grupo Mexico SAB de CV | | | 14,600 | | | | 44,650 | | | | (1,559 | ) | | | (0.0 | ) |
| Industrias Penoles SAB de CV | | | 2,615 | | | | 64,953 | | | | 4,164 | | | | 0.0 | |
| Mexichem SAB de CV | | | 57,578 | | | | 152,024 | | | | 755 | | | | 0.0 | |
| Promotora y Operadora de Infraestructura SAB de CV | | | 955 | | | | 10,109 | | | | (216 | ) | | | (0.0 | ) |
| Wal-Mart de Mexico SAB de CV | | | 151,443 | | | | 346,797 | | | | 6,952 | | | | 0.0 | |
| | | | |
| Short Positions | | | | | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | | | | | |
| | | | |
| Mexico | | | | | | | | | | | | | | | | |
| Infraestructura Energetica Nova SAB de CV | | | (4,300 | ) | | | (24,076 | ) | | | (2,089 | ) | | | (0.0 | ) |
| | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH AND
OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| JPMC | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Hong Kong Interbank Offered Rate plus or minus a specified spread (rates range from -3.21% to 0.40%), which is denominated in HKD based on the local currencies of the positions within the swap. | | 52-62 months maturity ranging from 12/20/2021-
09/26/2022 | | | $10,339,625 | | | | $218,143 | | | | $(18,737 | ) | | | $199,406 | |
| | | | | | | | | | | | | | | | | | | | |
The following table represents required component disclosures associated with the total return basket swap as of period end.
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Long Positions | | | | | |
| | | |
| Common Stock | | | | | | | | | | | | | |
| | | |
| China | | | | | | | | | | | | | |
| Agricultural Bank of China Ltd. | | | 232,000 | | | $ | 104,435 | | | | $(1,154 | ) | | | (0.0 | )% |
| Bank of China Ltd. | | | 340,000 | | | | 168,886 | | | | 664 | | | | 0.0 | |
| Beijing Capital International Airport Co. Ltd. | | | 42,000 | | | | 62,689 | | | | 3,080 | | | | 0.0 | |
| Beijing Enterprises Holdings Ltd. | | | 42,500 | | | | 228,918 | | | | 7,318 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
200
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Long Positions (continued) | | | | | |
| China Cinda Asset Management Co. Ltd. | | | 1,037,000 | | | $ | 383,714 | | | | $ (4,892 | ) | | | (0.0 | ) % |
| China Construction Bank Corp. | | | 412,000 | | | | 344,206 | | | | 15,658 | | | | 0.1 | |
| China Evergrande Group | | | 16,000 | | | | 56,106 | | | | 26,950 | | | | 0.1 | |
| China Mobile Ltd. | | | 54,000 | | | | 548,206 | | | | (14,580 | ) | | | (0.1 | ) |
| China Overseas Land & Investment Ltd. | | | 20,000 | | | | 65,254 | | | | (2,597 | ) | | | (0.0 | ) |
| China Petroleum & Chemical Corp. | | | 250,000 | | | | 188,420 | | | | 155 | | | | 0.0 | |
| China Resources Power Holdings Co. Ltd. | | | 34,000 | | | | 61,580 | | | | 4,288 | | | | 0.0 | |
| China Shenhua Energy Co. Ltd. | | | 137,000 | | | | 323,916 | | | | 1,756 | | | | 0.0 | |
| China Southern Airlines Co. Ltd. | | | 88,000 | | | | 60,652 | | | | (7,661 | ) | | | (0.0 | ) |
| Chongqing Rural Commercial Bank Co. Ltd. | | | 248,000 | | | | 157,877 | | | | (5,392 | ) | | | (0.0 | ) |
| CNOOC Ltd. | | | 70,000 | | | | 90,619 | | | | 4,004 | | | | 0.0 | |
| CSPC Pharmaceutical Group Ltd. | | | 126,000 | | | | 211,755 | | | | 15,780 | | | | 0.1 | |
| Far East Horizon Ltd. | | | 57,000 | | | | 53,603 | | | | 1,739 | | | | 0.0 | |
| Geely Automobile Holdings Ltd. | | | 159,000 | | | | 451,514 | | | | 45,652 | | | | 0.2 | |
| Guangzhou Automobile Group Co. Ltd. | | | 88,000 | | | | 204,607 | | | | (2,842 | ) | | | (0.0 | ) |
| Haitian International Holdings Ltd. | | | 58,000 | | | | 166,904 | | | | (897 | ) | | | (0.0 | ) |
| Industrial & Commercial Bank of China Ltd. | | | 437,000 | | | | 326,662 | | | | 27,107 | | | | 0.1 | |
| Jiangxi Copper Co. Ltd. | | | 40,000 | | | | 63,553 | | | | (1,869 | ) | | | (0.0 | ) |
| Kingsoft Corp. Ltd. | | | 56,000 | | | | 131,189 | | | | (1,831 | ) | | | (0.0 | ) |
| People’s Insurance Co. Group of China Ltd. (The) | | | 245,000 | | | | 109,949 | | | | 2,970 | | | | 0.0 | |
| PICC Property & Casualty Co. Ltd. | | | 182,000 | | | | 322,850 | | | | 5,304 | | | | 0.0 | |
| Sihuan Pharmaceutical Holdings Group Ltd. | | | 220,000 | | | | 80,329 | | | | (4,514 | ) | | | (0.0 | ) |
| Sinopec Engineering Group Co. Ltd. | | | 102,500 | | | | 90,577 | | | | (517 | ) | | | (0.0 | ) |
| Sunny Optical Technology Group Co. Ltd. | | | 12,000 | | | | 192,648 | | | | 20,097 | | | | 0.1 | |
| Tencent Holdings Ltd. | | | 21,500 | | | | 939,995 | | | | 69,614 | | | | 0.3 | |
| TravelSky Technology Ltd. | | | 43,000 | | | | 112,486 | | | | (6,118 | ) | | | (0.0 | ) |
| Weichai Power Co. Ltd. | | | 56,000 | | | | 61,763 | | | | 10,215 | | | | 0.0 | |
| | | | |
| Hong Kong | | | | | | | | | | | | | | | | |
| GCL-Poly Energy Holdings Ltd. | | | 700,000 | | | | 96,274 | | | | (1,666 | ) | | | (0.0 | ) |
| Haier Electronics Group Co. Ltd. | | | 192,000 | | | | 469,938 | | | | (5,238 | ) | | | (0.0 | ) |
| Nine Dragons Paper Holdings Ltd. | | | 67,000 | | | | 132,597 | | | | 66,675 | | | | 0.3 | |
| Sino Biopharmaceutical Ltd. | | | 150,000 | | | | 158,915 | | | | 4,885 | | | | 0.0 | |
| Sun Art Retail Group Ltd. | | | 129,500 | | | | 120,635 | | | | (1,786 | ) | | | (0.0 | ) |
| | | | |
| Short Positions | | | | | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | | | | | |
| | | | |
| China | | | | | | | | | | | | | | | | |
| Alibaba Health Information Technology Ltd. | | | (314,000 | ) | | | (157,185 | ) | | | (5,808 | ) | | | (0.0 | ) |
| BYD Co. Ltd. | | | (22,500 | ) | | | (213,406 | ) | | | (43,144 | ) | | | (0.2 | ) |
| CGN Power Co. Ltd. | | | (721,000 | ) | | | (200,122 | ) | | | 3,970 | | | | 0.0 | |
| China Galaxy Securities Co. Ltd. | | | (234,000 | ) | | | (206,199 | ) | | | 6,874 | | | | 0.0 | |
| China Power International Development Ltd. | | | (246,000 | ) | | | (81,116 | ) | | | 1,093 | | | | 0.0 | |
| China State Construction International Holdings Ltd. | | | (170,000 | ) | | | (248,533 | ) | | | 2,098 | | | | 0.0 | |
| GF Securities Co. Ltd. | | | (51,800 | ) | | | (113,026 | ) | | | (445 | ) | | | (0.0 | ) |
| Haitong Securities Co. Ltd. | | | (46,800 | ) | | | (75,921 | ) | | | 3,948 | | | | 0.0 | |
| Huatai Securities Co. Ltd. | | | (96,000 | ) | | | (213,445 | ) | | | 9,021 | | | | 0.0 | |
| Kunlun Energy Co. Ltd. | | | (94,000 | ) | | | (91,992 | ) | | | (3,552 | ) | | | (0.0 | ) |
| Lenovo Group Ltd. | | | (104,000 | ) | | | (57,560 | ) | | | (1,738 | ) | | | (0.0 | ) |
| Semiconductor Manufacturing International Corp. | | | (360,000 | ) | | | (407,318 | ) | | | (26,586 | ) | | | (0.1 | ) |
| Zijin Mining Group Co. Ltd. | | | (208,000 | ) | | | (71,556 | ) | | | (219 | ) | | | (0.0 | ) |
| | | | |
| Hong Kong | | | | | | | | | | | | | | | | |
| Alibaba Pictures Group Ltd. | | | (600,000 | ) | | | (96,084 | ) | | | 4,037 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
201
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH AND
OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| JPMC | | 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 (rates range from -6.00% to 0.70%), which is denominated in USD based on the local currencies of the positions within the swap. | | 52-70 months
maturity ranging from
12/20/2021-
10/17/2022 | | $7,030,944 | | | $5,723 | | | | $(32,892 | ) | | | $(27,169 | ) |
| | | | | | | | | | | | | | | | | | |
The following table represents required component disclosures associated with the total return basket swap as of period end.
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Long Positions | | | | | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | | | | | |
| | | | |
| India | | | | | | | | | | | | | | | | |
| Axis Bank Ltd. | | | 1,603 | | | | $61,933 | | | | $2,145 | | | | 0.0 | % |
| Larsen & Toubro Ltd. | | | 3,610 | | | | 63,759 | | | | 3,985 | | | | 0.0 | |
| Reliance Industries Ltd. | | | 5,274 | | | | 125,921 | | | | 36,688 | | | | 0.1 | |
| State Bank of India | | | 1,063 | | | | 40,920 | | | | (2,412 | ) | | | (0.0 | ) |
| | | | |
| Malaysia | | | | | | | | | | | | | | | | |
| AirAsia Bhd. | | | 110,200 | | | | 90,124 | | | | 27,771 | | | | 0.1 | |
| CIMB Group Holdings Bhd. | | | 12,100 | | | | 18,076 | | | | 1,584 | | | | 0.0 | |
| Genting Bhd. | | | 30,600 | | | | 69,256 | | | | (2,311 | ) | | | (0.0 | ) |
| Genting Malaysia Bhd. | | | 35,400 | | | | 45,119 | | | | 4,538 | | | | 0.0 | |
| Malayan Banking Bhd. | | | 82,100 | | | | 185,427 | | | | (7,166 | ) | | | (0.0 | ) |
| Malaysia Airports Holdings Bhd. | | | 61,400 | | | | 123,617 | | | | (4,871 | ) | | | (0.0 | ) |
| Petronas Chemicals Group Bhd. | | | 29,300 | | | | 50,613 | | | | (172 | ) | | | (0.0 | ) |
| Public Bank Bhd. | | | 10,000 | | | | 48,425 | | | | 1,052 | | | | 0.0 | |
| | | | |
| Russia | | | | | | | | | | | | | | | | |
| Gazprom PJSC, ADR | | | 21,145 | | | | 88,729 | | | | (5,418 | ) | | | (0.0 | ) |
| LUKOIL PJSC, ADR | | | 1,659 | | | | 87,985 | | | | 956 | | | | 0.0 | |
| MMC Norilsk Nickel PJSC, ADR | | | 9,692 | | | | 167,022 | | | | 7,090 | | | | 0.0 | |
| Novatek PJSC | | | 426 | | | | 50,053 | | | | 1,440 | | | | 0.0 | |
| Novolipetsk Steel PJSC | | | 7,207 | | | | 164,166 | | | | 3,951 | | | | 0.0 | |
| Severstal PJSC | | | 6,292 | | | | 94,174 | | | | (3,108 | ) | | | (0.0 | ) |
| Surgutneftegas OJSC, ADR | | | 5,639 | | | | 28,579 | | | | 918 | | | | 0.0 | |
| Tatneft PJSC, ADR | | | 750 | | | | 32,086 | | | | 2,237 | | | | 0.0 | |
| | | | |
| Thailand | | | | | | | | | | | | | | | | |
| Indorama Ventures PCL | | | 33,600 | | | | 42,636 | | | | 1,875 | | | | 0.0 | |
| Krung Thai Bank PCL | | | 77,300 | | | | 43,631 | | | | 1,355 | | | | 0.0 | |
| PTT Global Chemical PCL | | | 159,300 | | | | 368,198 | | | | 2,738 | | | | 0.0 | |
| Thai Oil PCL | | | 137,200 | | | | 380,821 | | | | 14,943 | | | | 0.1 | |
| | | | |
| Short Positions | | | | | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | | | | | |
| | | | |
| Brazil | | | | | | | | | | | | | | | | |
| Centrais Eletricas Brasileiras SA | | | (32,900 | ) | | | (205,265 | ) | | | 17,078 | | | | 0.1 | |
| Fibria Celulose SA, ADR | | | (4,609 | ) | | | (62,406 | ) | | | (18,545 | ) | | | (0.1 | ) |
| Lojas Americanas SA (Preference) | | | (31,100 | ) | | | (189,027 | ) | | | (32,613 | ) | | | (0.1 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
202
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Short Positions (continued) | | | | | | | | | | | | | | | | |
| Raia Drogasil SA | | | (2,200 | ) | | $ | (52,097 | ) | | $ | (337 | ) | | | (0.0 | ) % |
| Rumo SA | | | (32,600 | ) | | | (124,444 | ) | | | (24,557 | ) | | | (0.1 | ) |
| Ultrapar Participacoes SA | | | (1,700 | ) | | | (40,423 | ) | | | (1,231 | ) | | | (0.0 | ) |
| | | | |
| Russia | | | | | | | | | | | | | | | | |
| Magnit PJSC | | | (5,615 | ) | | | (229,890 | ) | | | (9,458 | ) | | | (0.0 | ) |
| | | | |
| South Korea | | | | | | | | | | | | | | | | |
| Amorepacific Corp. | | | (1,081 | ) | | | (245,392 | ) | | | (1,761 | ) | | | (0.0 | ) |
| CJ CheilJedang Corp. | | | (881 | ) | | | (272,792 | ) | | | (111 | ) | | | (0.0 | ) |
| CJ Corp. | | | (851 | ) | | | (127,006 | ) | | | 3,716 | | | | 0.0 | |
| CJ Logistics Corp. | | | (401 | ) | | | (57,322 | ) | | | 4,337 | | | | 0.0 | |
| Hanmi Pharm Co. Ltd. | | | (765 | ) | | | (304,387 | ) | | | (25,727 | ) | | | (0.1 | ) |
| Hanmi Science Co. Ltd. | | | (1,209 | ) | | | (97,259 | ) | | | (34,773 | ) | | | (0.1 | ) |
| Hanssem Co. Ltd. | | | (845 | ) | | | (111,886 | ) | | | 6,022 | | | | 0.0 | |
| Hanwha Techwin Co. Ltd. | | | (10,217 | ) | | | (296,628 | ) | | | 43,774 | | | | 0.2 | |
| Hotel Shilla Co. Ltd. | | | (1,191 | ) | | | (60,572 | ) | | | (2,409 | ) | | | (0.0 | ) |
| Hyundai Wia Corp. | | | (719 | ) | | | (41,056 | ) | | | 2,307 | | | | 0.0 | |
| Kakao Corp. | | | (351 | ) | | | (44,284 | ) | | | (10,719 | ) | | | (0.0 | ) |
| Korea Aerospace Industries Ltd. | | | (2,450 | ) | | | (93,610 | ) | | | 22,371 | | | | 0.1 | |
| Kumho Petrochemical Co. Ltd. | | | (4,797 | ) | | | (303,050 | ) | | | 20,899 | | | | 0.1 | |
| LG Household & Health Care Ltd. | | | (22 | ) | | | (18,004 | ) | | | 1,402 | | | | 0.0 | |
| Mirae Asset Daewoo Co. Ltd. | | | (4,678 | ) | | | (40,366 | ) | | | (2,642 | ) | | | (0.0 | ) |
| Samsung C&T Corp. | | | (5,938 | ) | | | (702,005 | ) | | | (8,560 | ) | | | (0.0 | ) |
| Samsung Heavy Industries Co. Ltd. | | | (28,622 | ) | | | (280,813 | ) | | | (1,550 | ) | | | (0.0 | ) |
| S-Oil Corp. | | | (1,288 | ) | | | (143,846 | ) | | | (33,839 | ) | | | (0.1 | ) |
| | | | |
| Thailand | | | | | | | | | | | | | | | | |
| True Corp. PCL | | | (1,202,100 | ) | | | (220,272 | ) | | | 11,208 | | | | 0.0 | |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH AND
OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| JPMC | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR plus or minus a specified spread (rates range from -0.81% to 0.70%), which is denominated in TRY based on the local currencies of the positions within the swap. | | 52-61 months maturity ranging from
12/20/2021-
09/21/2022 | | $416,022 | | | $(15,135 | ) | | | $(621 | ) | | | $(15,756 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
203
| | |
| Schedule of Investments | | September 30, 2017 |
| | | | |
| AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | | | | |
The following table represents required component disclosures associated with the total return basket swap as of period end.
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Long Positions | | | | | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | | | | | |
| | | | |
| Turkey | | | | | | | | | | | | | | | | |
| Akbank Turk A/S | | | 2,840 | | | | $7,495 | | | | $(854 | ) | | | (0.0 | )% |
| BIM Birlesik Magazalar A/S | | | 6,939 | | | | 144,681 | | | | (2,098 | ) | | | (0.0 | ) |
| Ford Otomotiv Sanayi A/S | | | 1,270 | | | | 16,252 | | | | (270 | ) | | | (0.0 | ) |
| Tofas Turk Otomobil Fabrikasi A/S | | | 2,875 | | | | 24,910 | | | | 1,096 | | | | 0.0 | |
| Tupras Turkiye Petrol Rafinerileri A/S | | | 777 | | | | 26,516 | | | | 3,093 | | | | 0.0 | |
| Turkiye Halk Bankasi A/S | | | 47,905 | | | | 162,927 | | | | (13,633 | ) | | | (0.1 | ) |
| Turkiye Vakiflar Bankasi TAO | | | 8,163 | | | | 14,371 | | | | 242 | | | | 0.0 | |
| | | | |
| Short Positions | | | | | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | | | | | |
| | | | |
| Turkey | | | | | | | | | | | | | | | | |
| Turk Telekomunikasyon A/S | | | (9,894 | ) | | | (18,870 | ) | | | (2,711 | ) | | | (0.0 | ) |
The following reference rates, and their values as of period-end, are used for security descriptions:
Mexico Equilibrium Interbank Interest Rate: 7.37%
London Interbank Offered Rate (“LIBOR”): 1.23%
Hong Kong Interbank Offered Rate: 0.58%
Johannesburg Interbank Agreed Rate: 6.80%
Warsaw Interbank Effective Rate: 1.56%
Collateral pledged to, or (received from), each counterparty at September 30, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED | | | TOTAL | |
| JPMC | | | | | | | | | |
| Cash | | | $220,000 | | | $ | — | | | | $220,000 | |
| Investment Companies | | | 2,630,000 | | | | — | | | | 2,630,000 | |
| |
The following abbreviations are used for counterparty descriptions:
BARC - Barclays Capital, Inc.
CITG - Citigroup Global Markets, Inc.
GSCO - Goldman Sachs & Co.
GSIN - Goldman Sachs International
JPMC - J.P. Morgan Chase Bank NA
JPMS - J.P. Morgan Securities LLC
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
204
| | |
| Statements of Assets and Liabilities | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR
LARGE CAP
MULTI-STYLE
FUND | | | AQR
SMALL CAP
MULTI-STYLE
FUND | | | AQR
INTERNATIONAL
MULTI-STYLE
FUND | | | AQR
EMERGING
MULTI-STYLE
FUND | |
| ASSETS: | | | | | | | | | | | | | | | | |
| Investments in securities of unaffiliated issuers, at cost | | $ | 1,449,706,238 | | | $ | 692,642,075 | | | $ | 401,056,613 | | | $ | 258,299,431 | |
| | | | | | | | | | | | | | | | | |
| Investments in securities of unaffiliated issuers, at value* | | $ | 1,774,749,879 | | | $ | 842,834,885 | | | $ | 466,785,433 | | | $ | 327,517,962 | |
| Cash | | | — | | | | 18,185 | | | | 23,684 | | | | — | |
| Cash denominated in foreign currencies‡ | | | — | | | | — | | | | 1,220,871 | | | | 949,262 | |
| Deposits with brokers for futures contracts | | | 1,066,181 | | | | 693,621 | | | | 280,082 | | | | 191,011 | |
| Variation margin on futures contracts | | | 99,664 | | | | — | | | | 49,072 | | | | — | |
| Receivables: | | | | | | | | | | | | | | | | |
Securities sold | | | — | | | | — | | | | 225,670 | | | | 178,506 | |
Foreign tax reclaims | | | — | | | | — | | | | 662,545 | | | | — | |
Dividends | | | 1,567,991 | | | | 704,136 | | | | 1,493,936 | | | | 482,225 | |
Capital shares sold | | | 332,372 | | | | 313,615 | | | | 174,951 | | | | 2,091,328 | |
| Prepaid expenses | | | 49,222 | | | | 33,981 | | | | 33,034 | | | | 28,979 | |
| Total Assets | | | 1,777,865,309 | | | | 844,598,423 | | | | 470,949,278 | | | | 331,439,273 | |
| LIABILITIES: | |
| Due to custodian | | | — | | | | — | | | | — | | | | 16,644 | |
| Variation margin on futures contracts | | | — | | | | 158,419 | | | | — | | | | 34,753 | |
| Payables: | | | | | | | | | | | | | | | | |
Securities purchased | | | — | | | | — | | | | 225,120 | | | | 187,322 | |
Collateral received on securities loaned | | | 10,402,631 | | | | 45,956,679 | | | | — | | | | 4,271,617 | |
Accrued investment advisory fees | | | 422,464 | | | | 284,578 | | | | 150,335 | | | | 123,904 | |
Accrued distribution fees—Class N | | | 12,740 | | | | 1,668 | | | | 1,803 | | | | 1,397 | |
Capital shares redeemed | | | 577,936 | | | | 265,736 | | | | 140,626 | | | | 117,570 | |
| Other accrued expenses and liabilities | | | 403,731 | | | | 208,115 | | | | 162,714 | | | | 185,182 | |
| Total Liabilities | | | 11,819,502 | | | | 46,875,195 | | | | 680,598 | | | | 4,938,389 | |
| Net Assets | | $ | 1,766,045,807 | | | $ | 797,723,228 | | | $ | 470,268,680 | | | $ | 326,500,884 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | $ | 1,436,240,209 | | | $ | 586,275,435 | | | $ | 430,208,624 | | | $ | 289,601,293 | |
| Undistributed accumulated net investment income (loss) | | | 17,426,171 | | | | 3,793,391 | | | | 9,029,036 | | | | 5,058,404 | |
| Undistributed accumulated net realized gain (loss) | | | (13,129,165 | ) | | | 56,746,013 | | | | (34,751,918 | ) | | | (37,349,248 | ) |
| Net unrealized appreciation (depreciation) | | | 325,508,592 | | | | 150,908,389 | | | | 65,782,938 | | | | 69,190,435 | |
| Net Assets | | $ | 1,766,045,807 | | | $ | 797,723,228 | | | $ | 470,268,680 | | | $ | 326,500,884 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
| Class I | | $ | 457,339,137 | | | $ | 55,115,274 | | | $ | 76,306,296 | | | $ | 97,263,649 | |
| Class N | | | 62,678,528 | | | | 8,623,992 | | | | 8,836,227 | | | | 6,726,035 | |
| Class R6 | | | 1,246,028,142 | | | | 733,983,962 | | | | 385,126,157 | | | | 222,511,200 | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| Class I | | | 27,105,928 | | | | 3,425,976 | | | | 6,382,844 | | | | 9,084,086 | |
| Class N | | | 3,733,125 | | | | 538,645 | | | | 741,408 | | | | 629,566 | |
| Class R6 | | | 73,872,372 | | | | 45,548,724 | | | | 32,248,885 | | | | 20,749,080 | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
| Class I | | $ | 16.87 | | | $ | 16.09 | | | $ | 11.95 | | | $ | 10.71 | |
| Class N | | $ | 16.79 | | | $ | 16.01 | | | $ | 11.92 | | | $ | 10.68 | |
| Class R6 | | $ | 16.87 | | | $ | 16.11 | | | $ | 11.94 | | | $ | 10.72 | |
| | | | | | | | | | | | | | | | | |
* Includes market value of securities out on loan | | $ | 10,184,606 | | | $ | 44,717,044 | | | $ | — | | | $ | 4,084,323 | |
‡ Cash denominated in foreign currencies at cost | | $ | — | | | $ | — | | | $ | 1,228,535 | | | $ | 952,805 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
205
| | |
| Statements of Assets and Liabilities | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR TM LARGE CAP
MULTI-STYLE
FUND | | | AQR TM
SMALL CAP
MULTI-STYLE
FUND | | | AQR TM
INTERNATIONAL
MULTI-STYLE
FUND | | | AQR TM
EMERGING
MULTI-STYLE
FUND | |
| ASSETS: | |
| Investments in securities of unaffiliated issuers, at cost | | $ | 189,356,918 | | | $ | 24,578,128 | | | $ | 146,244,056 | | | $ | 267,558,091 | |
| | | | | | | | | | | | | | | | | |
| Investments in securities of unaffiliated issuers, at value* | | $ | 230,047,559 | | | $ | 29,727,599 | | | $ | 177,677,030 | | | $ | 358,198,144 | |
| Cash | | | — | | | | 630 | | | | 3,927 | | | | — | |
| Cash denominated in foreign currencies‡ | | | — | | | | — | | | | 554,987 | | | | 1,438,350 | |
| Deposits with brokers for futures contracts | | | — | | | | — | | | | 119,039 | | | | 206,095 | |
| Variation margin on futures contracts | | | — | | | | — | | | | 21,342 | | | | 62,596 | |
| Receivables: | | | | | | | | | | | | | | | | |
Securities sold | | | — | | | | — | | | | — | | | | 198,847 | |
Foreign tax reclaims | | | — | | | | — | | | | 338,126 | | | | — | |
Dividends | | | 222,435 | | | | 25,212 | | | | 567,599 | | | | 544,716 | |
Capital shares sold | | | 512,223 | | | | 212,383 | | | | 171,579 | | | | 166,529 | |
Due from Investment Adviser | | | — | | | | 2,621 | | | | — | | | | — | |
| Prepaid expenses | | | 21,040 | | | | 19,357 | | | | 19,542 | | | | 22,374 | |
| Total Assets | | | 230,803,257 | | | | 29,987,802 | | | | 179,473,171 | | | | 360,837,651 | |
| LIABILITIES: | |
| Due to custodian | | | — | | | | — | | | | — | | | | 23,224 | |
| Payables: | | | | | | | | | | | | | | | | |
Securities purchased | | | 1,165,583 | | | | 249,242 | | | | — | | | | 211,873 | |
Collateral received on securities loaned | | | 1,699,152 | | | | 609,938 | | | | — | | | | 7,376,432 | |
Accrued investment advisory fees | | | 43,536 | | | | — | | | | 50,111 | | | | 144,063 | |
Accrued distribution fees—Class N | | | 448 | | | | 1,082 | | | | 426 | | | | 484 | |
Capital shares redeemed | | | 21,017 | | | | 1,376 | | | | 55,197 | | | | 45,341 | |
| Other accrued expenses and liabilities | | | 97,899 | | | | 64,305 | | | | 98,246 | | | | 181,837 | |
| Total Liabilities | | | 3,027,635 | | | | 925,943 | | | | 203,980 | | | | 7,983,254 | |
| Net Assets | | $ | 227,775,622 | | | $ | 29,061,859 | | | $ | 179,269,191 | | | $ | 352,854,397 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | $ | 187,921,457 | | | $ | 23,399,949 | | | $ | 152,037,995 | | | $ | 270,080,083 | |
| Undistributed accumulated net investment income (loss) | | | 2,101,405 | | | | 101,276 | | | | 3,385,206 | | | | 5,159,145 | |
| Undistributed accumulated net realized gain (loss) | | | (2,937,881 | ) | | | 411,163 | | | | (7,620,564 | ) | | | (12,956,308 | ) |
| Net unrealized appreciation (depreciation) | | | 40,690,641 | | | | 5,149,471 | | | | 31,466,554 | | | | 90,571,477 | |
| Net Assets | | $ | 227,775,622 | | | $ | 29,061,859 | | | $ | 179,269,191 | | | $ | 352,854,397 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
| Class I | | $ | 64,006,162 | | | $ | 21,256,791 | | | $ | 25,736,570 | | | $ | 17,013,517 | |
| Class N | | | 2,209,739 | | | | 5,477,614 | | | | 2,077,718 | | | | 2,301,120 | |
| Class R6 | | | 161,559,721 | | | | 2,327,454 | | | | 151,454,903 | | | | 333,539,760 | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| Class I | | | 5,295,943 | | | | 1,766,988 | | | | 2,306,712 | | | | 1,529,628 | |
| Class N | | | 183,388 | | | | 457,078 | | | | 186,870 | | | | 207,005 | |
| Class R6 | | | 13,352,220 | | | | 193,053 | | | | 13,549,216 | | | | 29,960,986 | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
| Class I | | $ | 12.09 | | | $ | 12.03 | | | $ | 11.16 | | | $ | 11.12 | |
| Class N | | $ | 12.05 | | | $ | 11.98 | | | $ | 11.12 | | | $ | 11.12 | |
| Class R6 | | $ | 12.10 | | | $ | 12.06 | | | $ | 11.18 | | | $ | 11.13 | |
| | | | | | | | | | | | | | | | | |
* Includes market value of securities out on loan | | $ | 1,656,365 | | | $ | 590,702 | | | $ | — | | | $ | 7,071,986 | |
‡ Cash denominated in foreign currencies at cost | | $ | — | | | $ | — | | | $ | 556,563 | | | $ | 1,445,562 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
206
| | |
| Statements of Assets and Liabilities | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR
LARGE CAP
MOMENTUM
STYLE FUND | | | AQR
SMALL CAP
MOMENTUM
STYLE FUND | | | AQR
INTERNATIONAL
MOMENTUM
STYLE FUND | | | AQR
EMERGING
MOMENTUM
STYLE FUND | |
| ASSETS: | | | | | | | | | | | | | | | | |
| Investments in securities of unaffiliated issuers, at cost | | $ | 806,078,388 | | | $ | 318,057,438 | | | $ | 336,934,392 | | | $ | 10,251,194 | |
| | | | | | | | | | | | | | | | | |
| Investments in securities of unaffiliated issuers, at value* | | $ | 1,011,625,488 | | | $ | 402,037,181 | | | $ | 404,429,507 | | | $ | 13,703,958 | |
| Cash | | | 165 | | | | — | | | | 253,000 | | | | 163 | |
| Cash denominated in foreign currencies‡ | | | 416 | | | | — | | | | 1,222,536 | | | | 23,060 | |
| Deposits with brokers for futures contracts | | | 571,484 | | | | 146,108 | | | | 308,124 | | | | — | |
| Variation margin on futures contracts | | | 53,555 | | | | 919 | | | | 54,107 | | | | — | |
| Receivables: | | | | | | | | | | | | | | | | |
Foreign tax reclaims | | | — | | | | — | | | | 784,499 | | | | — | |
Dividends | | | 535,041 | | | | 183,082 | | | | 944,346 | | | | 20,795 | |
Capital shares sold | | | 234,609 | | | | 61,239 | | | | 185,448 | | | | 2,690 | |
Due from Investment Adviser | | | — | | | | — | | | | — | | | | 11,653 | |
| Prepaid expenses | | | 37,778 | | | | 29,264 | | | | 31,383 | | | | 24,255 | |
| Total Assets | | | 1,013,058,536 | | | | 402,457,793 | | | | 408,212,950 | | | | 13,786,574 | |
| LIABILITIES: | |
| Due to custodian | | | — | | | | 3,135 | | | | — | | | | — | |
| Payables: | | | | | | | | | | | | | | | | |
Collateral received on securities loaned | | | 16,865,402 | | | | 28,766,582 | | | | 1,270,463 | | | | — | |
Accrued investment advisory fees | | | 200,385 | | | | 123,466 | | | | 111,618 | | | | — | |
Accrued distribution fees—Class N | | | 11,933 | | | | 335 | | | | 6,893 | | | | 268 | |
Capital shares redeemed | | | 957,594 | | | | 285,494 | | | | 163,857 | | | | 6,103 | |
| Other accrued expenses and liabilities | | | 371,719 | | | | 175,257 | | | | 191,600 | | | | 88,275 | |
| Total Liabilities | | | 18,407,033 | | | | 29,354,269 | | | | 1,744,431 | | | | 94,646 | |
| Net Assets | | $ | 994,651,503 | | | $ | 373,103,524 | | | $ | 406,468,519 | | | $ | 13,691,928 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | $ | 712,433,360 | | | $ | 256,844,545 | | | $ | 359,333,569 | | | $ | 12,443,058 | |
| Undistributed accumulated net investment income (loss) | | | 6,663,805 | | | | 507,640 | | | | 7,299,703 | | | | 218,661 | |
| Undistributed accumulated net realized gain (loss) | | | 69,780,858 | | | | 31,583,505 | | | | (27,723,492 | ) | | | (2,422,654 | ) |
| Net unrealized appreciation (depreciation) | | | 205,773,480 | | | | 84,167,834 | | | | 67,558,739 | | | | 3,452,863 | |
| Net Assets | | $ | 994,651,503 | | | $ | 373,103,524 | | | $ | 406,468,519 | | | $ | 13,691,928 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
| Class I | | $ | 869,687,440 | | | $ | 359,469,885 | | | $ | 326,526,321 | | | $ | 10,721,808 | |
| Class N | | | 59,043,946 | | | | 1,719,966 | | | | 34,029,432 | | | | 1,198,408 | |
| Class R6 | | | 65,920,117 | | | | 11,913,673 | | | | 45,912,766 | | | | 1,771,712 | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| Class I | | | 39,535,338 | | | | 14,479,520 | | | | 21,061,118 | | | | 1,008,926 | |
| Class N | | | 2,686,851 | | | | 69,288 | | | | 2,200,569 | | | | 112,797 | |
| Class R6 | | | 3,001,708 | | | | 480,490 | | | | 2,964,194 | | | | 166,502 | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
| Class I | | $ | 22.00 | | | $ | 24.83 | | | $ | 15.50 | | | $ | 10.63 | |
| Class N | | $ | 21.98 | | | $ | 24.82 | | | $ | 15.46 | | | $ | 10.62 | |
| Class R6 | | $ | 21.96 | | | $ | 24.79 | | | $ | 15.49 | | | $ | 10.64 | |
| | | | | | | | | | | | | | | | | |
* Includes market value of securities out on loan | | $ | 16,410,473 | | | $ | 27,885,606 | | | $ | 1,112,864 | | | $ | — | |
‡ Cash denominated in foreign currencies at cost | | $ | 427 | | | $ | — | | | $ | 1,230,649 | | | $ | 22,960 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
207
| | |
| Statements of Assets and Liabilities | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR TM LARGE CAP
MOMENTUM
STYLE FUND | | | AQR TM SMALL CAP
MOMENTUM
STYLE FUND | | | AQR TM
INTERNATIONAL
MOMENTUM
STYLE FUND | | | AQR LARGE CAP
DEFENSIVE STYLE FUND | |
| ASSETS: | | | | | | | | | | | | | | | | |
| Investments in securities of unaffiliated issuers, at cost | | $ | 138,472,093 | | | $ | 44,488,957 | | | $ | 88,790,972 | | | $ | 1,011,759,929 | |
| | | | | | | | | | | | | | | | | |
| Investments in securities of unaffiliated issuers, at value* | | $ | 181,675,205 | | | $ | 55,446,899 | | | $ | 105,071,234 | | | $ | 1,227,589,466 | |
| Cash | | | — | | | | — | | | | 30,193 | | | | — | |
| Cash denominated in foreign currencies‡ | | | — | | | | — | | | | 284,477 | | | | — | |
| Deposits with brokers for futures contracts | | | 107,641 | | | | — | | | | 84,680 | | | | 1,682,227 | |
| Variation margin on futures contracts | | | 11,068 | | | | — | | | | 14,797 | | | | 157,950 | |
| Receivables: | | | | | | | | | | | | | | | | |
Securities sold | | | — | | | | — | | | | 87,012 | | | | — | |
Foreign tax reclaims | | | — | | | | — | | | | 180,108 | | | | — | |
Dividends | | | 99,255 | | | | 22,429 | | | | 238,707 | | | | 1,335,262 | |
Capital shares sold | | | 320,836 | | | | 11,123 | | | | 218,972 | | | | 1,448,564 | |
| Prepaid expenses | | | 33,412 | | | | 24,566 | | | | 27,206 | | | | 62,896 | |
| Total Assets | | | 182,247,417 | | | | 55,505,017 | | | | 106,237,386 | | | | 1,232,276,365 | |
| LIABILITIES: | |
| Due to custodian | | | — | | | | 326 | | | | — | | | | 180 | |
| Payables: | | | | | | | | | | | | | | | | |
Securities purchased | | | — | | | | 1,068,899 | | | | 86,996 | | | | — | |
Collateral received on securities loaned | | | 1,906,429 | | | | 3,080,372 | | | | 272,159 | | | | 713,750 | |
Accrued investment advisory fees | | | 28,399 | | | | 8,083 | | | | 21,623 | | | | 223,761 | |
Accrued distribution fees—Class N | | | 1,711 | | | | 469 | | | | 951 | | | | 49,707 | |
Capital shares redeemed | | | 28,760 | | | | 3,773 | | | | 2,310 | | | | 262,809 | |
| Other accrued expenses and liabilities | | | 93,143 | | | | 65,598 | | | | 87,851 | | | | 419,074 | |
| Total Liabilities | | | 2,058,442 | | | | 4,227,520 | | | | 471,890 | | | | 1,669,281 | |
| Net Assets | | $ | 180,188,975 | | | $ | 51,277,497 | | | $ | 105,765,496 | | | $ | 1,230,607,084 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | $ | 138,878,419 | | | $ | 40,258,986 | | | $ | 100,496,237 | | | $ | 991,105,945 | |
| Undistributed accumulated net investment income (loss) | | | 1,111,278 | | | | 77,955 | | | | 1,686,368 | | | | 12,934,533 | |
| Undistributed accumulated net realized gain (loss) | | | (3,034,719 | ) | | | (17,386 | ) | | | (12,716,205 | ) | | | 9,992,650 | |
| Net unrealized appreciation (depreciation) | | | 43,233,997 | | | | 10,957,942 | | | | 16,299,096 | | | | 216,573,956 | |
| Net Assets | | $ | 180,188,975 | | | $ | 51,277,497 | | | $ | 105,765,496 | | | $ | 1,230,607,084 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
| Class I | | $ | 87,151,304 | | | $ | 47,846,791 | | | $ | 44,118,660 | | | $ | 793,828,238 | |
| Class N | | | 8,524,188 | | | | 3,230,042 | | | | 4,800,098 | | | | 239,074,287 | |
| Class R6 | | | 84,513,483 | | | | 200,664 | | | | 56,846,738 | | | | 197,704,559 | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| Class I | | | 4,484,510 | | | | 2,509,919 | | | | 3,220,835 | | | | 43,542,452 | |
| Class N | | | 440,406 | | | | 170,348 | | | | 352,156 | | | | 13,152,323 | |
| Class R6 | | | 4,353,778 | | | | 10,527 | | | | 4,159,523 | | | | 10,858,002 | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
| Class I | | $ | 19.43 | | | $ | 19.06 | | | $ | 13.70 | | | $ | 18.23 | |
| Class N | | $ | 19.36 | | | $ | 18.96 | | | $ | 13.63 | | | $ | 18.18 | |
| Class R6 | | $ | 19.41 | | | $ | 19.06 | | | $ | 13.67 | | | $ | 18.21 | |
| | | | | | | | | | | | | | | | | |
* Includes market value of securities out on loan | | $ | 1,844,771 | | | $ | 2,987,539 | | | $ | 257,617 | | | $ | 697,281 | |
‡ Cash denominated in foreign currencies at cost | | $ | — | | | $ | — | | | $ | 283,054 | | | $ | — | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
208
| | |
| Statements of Assets and Liabilities | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR
INTERNATIONAL
DEFENSIVE
STYLE FUND | | | AQR
EMERGING
DEFENSIVE
STYLE FUND | | | AQR
GLOBAL
EQUITY FUND | | | AQR
INTERNATIONAL
EQUITY FUND | |
| ASSETS: | | | | | | | | | | | | | | | | |
| Investments in securities of unaffiliated issuers, at cost | | $ | 174,468,757 | | | $ | 60,400,272 | | | $ | 154,994,963 | | | $ | 341,626,793 | |
| | | | | | | | | | | | | | | | | |
| Investments in securities of unaffiliated issuers, at value* | | $ | 194,513,937 | | | $ | 67,203,408 | | | $ | 186,326,667 | | | $ | 395,988,852 | |
| Cash | | | 99,954 | | | | 4,453 | | | | — | | | | — | |
| Cash denominated in foreign currencies‡ | | | 703,130 | | | | 231,931 | | | | 466,476 | | | | 802,465 | |
| Unrealized appreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | 817,299 | | | | 1,362,608 | |
| Deposits with brokers for futures contracts | | | 203,252 | | | | 101,007 | | | | 4,259,714 | | | | 11,739,310 | |
| Variation margin on futures contracts | | | 35,843 | | | | — | | | | 40,235 | | | | 162,734 | |
| Receivables: | | | | | | | | | | | | | | | | |
Securities sold | | | 144,402 | | | | — | | | | — | | | | 23,766,424 | |
Foreign tax reclaims | | | 184,065 | | | | 5,312 | | | | 322,857 | | | | 1,775,792 | |
Dividends | | | 658,288 | | | | 77,234 | | | | 280,963 | | | | 1,070,667 | |
Capital shares sold | | | 15,725 | | | | 35,339 | | | | 132,606 | | | | 548,059 | |
| Prepaid expenses | | | 32,051 | | | | 32,042 | | | | 18,461 | | | | 34,771 | |
| Total Assets | | | 196,590,647 | | | | 67,690,726 | | | | 192,665,278 | | | | 437,251,682 | |
| LIABILITIES: | |
| Due to custodian | | | — | | | | — | | | | 183,671 | | | | 25,876 | |
| Due to broker | | | — | | | | — | | | | 582 | | | | 4,349 | |
| Unrealized depreciation on forward foreign currency exchange contracts | | | — | | | | — | | | | 2,149,486 | | | | 5,157,133 | |
| Unrealized depreciation on OTC swaps | | | — | | | | — | | | | 148,951 | | | | 375,997 | |
| Variation margin on futures contracts | | | — | | | | 4,854 | | | | — | | | | — | |
| Payables: | | | | | | | | | | | | | | | | |
Securities purchased | | | 144,050 | | | | — | | | | — | | | | 25,949,132 | |
Collateral received on securities loaned | | | 1,234,297 | | | | 125,700 | | | | — | | | | — | |
Accrued investment advisory fees | | | 50,554 | | | | 9,711 | | | | 86,295 | | | | 230,622 | |
Accrued distribution fees—Class N | | | 6,372 | | | | 962 | | | | 454 | | | | 3,090 | |
Capital shares redeemed | | | 121,991 | | | | 58,722 | | | | 1,561 | | | | 185,828 | |
| Other accrued expenses and liabilities | | | 124,740 | | | | 100,128 | | | | 122,018 | | | | 264,103 | |
| Total Liabilities | | | 1,682,004 | | | | 300,077 | | | | 2,693,018 | | | | 32,196,130 | |
| Net Assets | | $ | 194,908,643 | | | $ | 67,390,649 | | | $ | 189,972,260 | | | $ | 405,055,552 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | $ | 171,634,801 | | | $ | 70,857,357 | | | $ | 147,387,248 | | | $ | 327,449,844 | |
| Undistributed accumulated net investment income (loss) | | | 3,446,668 | | | | 1,027,799 | | | | 1,532,540 | | | | 5,830,715 | |
| Undistributed accumulated net realized gain (loss) | | | (255,787 | ) | | | (11,278,658 | ) | | | 9,724,276 | | | | 18,363,689 | |
| Net unrealized appreciation (depreciation) | | | 20,082,961 | | | | 6,784,151 | | | | 31,328,196 | | | | 53,411,304 | |
| Net Assets | | $ | 194,908,643 | | | $ | 67,390,649 | | | $ | 189,972,260 | | | $ | 405,055,552 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
| Class I | | $ | 145,091,045 | | | $ | 62,260,894 | | | $ | 41,550,671 | | | $ | 346,077,735 | |
| Class N | | | 30,101,804 | | | | 4,921,563 | | | | 2,254,045 | | | | 14,872,789 | |
| Class R6 | | | 19,715,794 | | | | 208,192 | | | | 146,167,544 | | | | 44,105,028 | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| Class I | | | 10,933,855 | | | | 6,592,892 | | | | 4,671,412 | | | | 29,670,936 | |
| Class N | | | 2,216,623 | | | | 509,044 | | | | 255,046 | | | | 1,251,644 | |
| Class R6 | | | 1,486,721 | | | | 22,106 | | | | 16,309,218 | | | | 3,560,850 | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
| Class I | | $ | 13.27 | | | $ | 9.44 | | | $ | 8.89 | | | $ | 11.66 | |
| Class N | | $ | 13.58 | | | $ | 9.67 | | | $ | 8.84 | | | $ | 11.88 | |
| Class R6 | | $ | 13.26 | | | $ | 9.42 | | | $ | 8.96 | | | $ | 12.39 | |
| | | | | | | | | | | | | | | | | |
* Includes market value of securities out on loan | | $ | 1,173,876 | | | $ | 93,352 | | | $ | — | | | $ | — | |
‡ Cash denominated in foreign currencies at cost | | $ | 703,009 | | | $ | 231,507 | | | $ | 463,422 | | | $ | 794,839 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
209
| | |
| Statements of Assets and Liabilities | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR
LARGE CAP
RELAXED
CONSTRAINT
EQUITY FUND | | | AQR
SMALL CAP
RELAXED
CONSTRAINT
EQUITY FUND | | | AQR
INTERNATIONAL
RELAXED
CONSTRAINT
EQUITY FUND | | | AQR
EMERGING
RELAXED
CONSTRAINT
EQUITY FUND | |
| ASSETS: | | | | | | | | | | | | | | | | |
| Investments in securities of unaffiliated issuers, at cost | | $ | 20,269,778 | | | $ | 3,909,915 | | | $ | 13,645,974 | | | $ | 23,882,239 | |
| | | | | | | | | | | | | | | | | |
| Investments in securities of unaffiliated issuers, at value | | $ | 21,624,272 | | | $ | 4,207,909 | | | $ | 15,175,186 | | | $ | 24,511,676 | |
| Cash | | | 13,494 | | | | 33 | | | | 756 | | | | — | |
| Cash denominated in foreign currencies‡ | | | — | | | | — | | | | 58,611 | | | | 146,457 | |
| Due from brokers | | | — | | | | — | | | | — | | | | 220,000 | |
| Unrealized appreciation on OTC swaps | | | — | | | | — | | | | — | | | | 222,411 | |
| Receivables: | | | | | | | | | | | | | | | | |
Foreign tax reclaims | | | — | | | | — | | | | 5,621 | | | | — | |
Dividends | | | 20,075 | | | | 2,316 | | | | 42,238 | | | | 12,895 | |
Capital shares sold | | | 19,965 | | | | — | | | | — | | | | 11,450 | |
Due from Investment Adviser | | | 1,051 | | | | 7,708 | | | | — | | | | — | |
| Prepaid expenses | | | 34,574 | | | | 19,711 | | | | 19,693 | | | | 19,909 | |
| Total Assets | | | 21,713,431 | | | | 4,237,677 | | | | 15,302,105 | | | | 25,144,798 | |
| LIABILITIES: | |
| Securities sold short, at value (proceeds $4,742,597, $869,594, $3,314,631, $—, respectively) | | | 4,898,771 | | | | 923,356 | | | | 3,456,801 | | | | — | |
| Due to custodian | | | — | | | | — | | | | — | | | | 450 | |
| Unrealized depreciation on OTC swaps | | | — | | | | — | | | | — | | | | 47,703 | |
| Payables: | | | | | | | | | | | | | | | | |
Securities purchased | | | 195,919 | | | | — | | | | — | | | | 80,850 | |
Accrued investment advisory fees | | | — | | | | — | | | | 8,344 | | | | 1,175 | |
Accrued distribution fees—Class N | | | 209 | | | | 113 | | | | 404 | | | | 392 | |
Capital shares redeemed | | | — | | | | — | | | | 500 | | | | 300 | |
Dividends and interest payable on securities sold short | | | 4,282 | | | | 771 | | | | 7,890 | | | | — | |
| Other accrued expenses and liabilities | | | 51,545 | | | | 48,587 | | | | 50,451 | | | | 62,319 | |
| Total Liabilities | | | 5,150,726 | | | | 972,827 | | | | 3,524,390 | | | | 193,189 | |
| Net Assets | | $ | 16,562,705 | | | $ | 3,264,850 | | | $ | 11,777,715 | | | $ | 24,951,609 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | $ | 15,303,503 | | | $ | 3,122,437 | | | $ | 10,191,884 | | | $ | 23,999,098 | |
| Undistributed accumulated net investment income (loss) | | | 100,832 | | | | 28,629 | | | | 170,979 | | | | 38,814 | |
| Undistributed accumulated net realized gain (loss) | | | (39,950 | ) | | | (130,448 | ) | | | 27,746 | | | | 109,328 | |
| Net unrealized appreciation (depreciation) | | | 1,198,320 | | | | 244,232 | | | | 1,387,106 | | | | 804,369 | |
| Net Assets | | $ | 16,562,705 | | | $ | 3,264,850 | | | $ | 11,777,715 | | | $ | 24,951,609 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
| Class I | | $ | 13,574,566 | | | $ | 1,352,664 | | | $ | 7,135,296 | | | $ | 5,150,922 | |
| Class N | | | 1,016,255 | | | | 576,010 | | | | 1,988,277 | | | | 1,952,670 | |
| Class R6 | | | 1,971,884 | | | | 1,336,176 | | | | 2,654,142 | | | | 17,848,017 | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| Class I | | | 1,201,816 | | | | 130,756 | | | | 559,080 | | | | 406,006 | |
| Class N | | | 90,163 | | | | 55,789 | | | | 156,150 | | | | 154,227 | |
| Class R6 | | | 174,492 | | | | 129,090 | | | | 207,857 | | | | 1,405,781 | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
| Class I | | $ | 11.30 | | | $ | 10.35 | | | $ | 12.76 | | | $ | 12.69 | |
| Class N | | $ | 11.27 | | | $ | 10.32 | | | $ | 12.73 | | | $ | 12.66 | |
| Class R6 | | $ | 11.30 | | | $ | 10.35 | | | $ | 12.77 | | | $ | 12.70 | |
| | | | | | | | | | | | | | | | | |
‡ Cash denominated in foreign currencies at cost | | $ | — | | | $ | — | | | $ | 58,708 | | | $ | 146,713 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
210
| | |
| Statements of Operations | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR
LARGE CAP
MULTI-STYLE
FUND | | | AQR
SMALL CAP
MULTI-STYLE
FUND | | | AQR
INTERNATIONAL
MULTI-STYLE
FUND | | | AQR
EMERGING
MULTI-STYLE
FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | |
INVESTMENT INCOME:
Dividend income: | | | | | | | | | | | | | | | | |
Unaffiliated issuers† | | | $30,189,316 | | | | $9,827,601 | | | | $12,078,991 | | | | $7,601,727 | |
Securities lending income, net | | | 62,236 | | | | 1,057,754 | | | | 38,236 | | | | 20,885 | |
Other income (Note 2) | | | — | | | | — | | | | 6,738 | | | | — | |
| Total Income | | | 30,251,552 | | | | 10,885,355 | | | | 12,123,965 | | | | 7,622,612 | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 4,852,461 | | | | 3,779,868 | | | | 1,879,379 | | | | 1,717,407 | |
Custody fees | | | 48,762 | | | | 48,509 | | | | 57,419 | | | | 210,727 | |
Administration & accounting fees | | | 315,777 | | | | 148,162 | | | | 81,890 | | | | 56,106 | |
Legal fees | | | 66,289 | | | | 42,525 | | | | 13,924 | | | | 11,102 | |
Audit & tax fees | | | 45,050 | | | | 44,777 | | | | 47,633 | | | | 56,294 | |
Shareholder reporting fees | | | 223,988 | | | | 169,224 | | | | 85,698 | | | | 69,011 | |
Transfer agent fees | | | 440,560 | | | | 74,561 | | | | 93,640 | | | | 106,181 | |
Trustee fees | | | 43,311 | | | | 21,322 | | | | 11,896 | | | | 8,450 | |
Distribution fees—Class N | | | 156,512 | | | | 24,483 | | | | 20,974 | | | | 17,887 | |
Interest expense | | | — | | | | 2,537 | | | | — | | | | — | |
Registration fees | | | 170,358 | | | | 151,807 | | | | 83,440 | | | | 71,429 | |
Pricing fee | | | 49 | | | | 280 | | | | 21,821 | | | | 21,960 | |
Tax expense (Note 2) | | | — | | | | — | | | | 3,814 | | | | — | |
Other expenses | | | 61,459 | | | | 28,195 | | | | 16,478 | | | | 17,331 | |
| Total Expenses | | | 6,424,576 | | | | 4,536,250 | | | | 2,418,006 | | | | 2,363,885 | |
| | | | |
Less fee waivers and/or reimbursements | | | (146,189 | ) | | | (274,405 | ) | | | (219,452 | ) | | | (389,675 | ) |
| Net Expenses | | | 6,278,387 | | | | 4,261,845 | | | | 2,198,554 | | | | 1,974,210 | |
| Net Investment Income (Loss) | | | 23,973,165 | | | | 6,623,510 | | | | 9,925,411 | | | | 5,648,402 | |
| | | | |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Transactions in investment securities of unaffiliated issuers | | | 69,019,265 | | | | 56,539,529 | | | | 14,310,323 | | | | 7,717,979 | |
Settlement of foreign currency and foreign currency transactions | | | — | | | | — | | | | (58,034 | ) | | | (41,417 | ) |
Settlement of forward foreign currency contracts | | | — | | | | — | | | | — | | | | (154 | ) |
Expiration or closing of futures contracts | | | 4,416,117 | | | | 2,234,649 | | | | 1,492,611 | | | | 646,258 | |
| Net realized gain (loss) | | | 73,435,382 | | | | 58,774,178 | | | | 15,744,900 | | | | 8,322,666 | |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investment securities of unaffiliated issuers | | | 224,941,745 | | | | 64,971,661 | | | | 53,163,606 | | | | 45,818,210 | |
Foreign currency and foreign currency transactions | | | — | | | | — | | | | 12,922 | | | | (7,342 | ) |
Futures contracts | | | (38,998 | ) | | | 352,178 | | | | (35,204 | ) | | | 71,621 | |
| Net change in unrealized appreciation (depreciation) | | | 224,902,747 | | | | 65,323,839 | | | | 53,141,324 | | | | 45,882,489 | |
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | | | 298,338,129 | | | | 124,098,017 | | | | 68,886,224 | | | | 54,205,155 | |
| Net increase (decrease) in net assets resulting from operations | | | $322,311,294 | | | | $130,721,527 | | | | $78,811,635 | | | | $59,853,557 | |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | | $6,439 | | | | $3,688 | | | | $1,077,972 | | | | $809,713 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
211
| | |
| Statements of Operations | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR TM
LARGE CAP
MULTI-STYLE
FUND | | | AQR TM
SMALL CAP
MULTI-STYLE
FUND | | | AQR TM
INTERNATIONAL
MULTI-STYLE
FUND | | | AQR TM
EMERGING
MULTI-STYLE
FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | |
INVESTMENT INCOME:
Dividend income: | | | | | | | | | | | | | | | | |
Unaffiliated issuers† | | | $3,471,641 | | | | $324,570 | | | | $4,550,122 | | | | $8,021,795 | |
Securities lending income, net | | | 5,880 | | | | 27,097 | | | | 77 | | | | 21,788 | |
| Total Income | | | 3,477,521 | | | | 351,667 | | | | 4,550,199 | | | | 8,043,583 | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 554,745 | | | | 123,048 | | | | 701,687 | | | | 1,861,179 | |
Custody fees | | | 13,776 | | | | 15,828 | | | | 26,417 | | | | 214,741 | |
Administration & accounting fees | | | 36,598 | | | | 4,919 | | | | 30,631 | | | | 60,851 | |
Legal fees | | | 8,499 | | | | 4,253 | | | | 11,117 | | | | 17,561 | |
Audit & tax fees | | | 44,603 | | | | 44,551 | | | | 52,755 | | | | 55,408 | |
Shareholder reporting fees | | | 27,979 | | | | 4,559 | | | | 29,155 | | | | 43,894 | |
Transfer agent fees | | | 71,044 | | | | 38,600 | | | | 39,572 | | | | 31,474 | |
Trustee fees | | | 5,706 | | | | 1,633 | | | | 5,057 | | | | 9,085 | |
Distribution fees—Class N | | | 5,353 | | | | 11,975 | | | | 4,516 | | | | 5,919 | |
Interest expense | | | — | | | | 223 | | | | — | | | | — | |
Registration fees | | | 72,499 | | | | 59,114 | | | | 63,095 | | | | 84,809 | |
Pricing fee | | | 42 | | | | 302 | | | | 20,833 | | | | 20,953 | |
Other expenses | | | 7,693 | | | | 2,451 | | | | 6,821 | | | | 16,697 | |
| Total Expenses | | | 848,537 | | | | 311,456 | | | | 991,656 | | | | 2,422,571 | |
| | | | |
Less fee waivers and/or reimbursements | | | (137,036 | ) | | | (140,974 | ) | | | (180,482 | ) | | | (376,864 | ) |
| Net Expenses | | | 711,501 | | | | 170,482 | | | | 811,174 | | | | 2,045,707 | |
| Net Investment Income (Loss) | | | 2,766,020 | | | | 181,185 | | | | 3,739,025 | | | | 5,997,876 | |
| | | | |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Transactions in investment securities of unaffiliated issuers | | | 424,382 | | | | 439,324 | | | | (544,538 | ) | | | 1,474,691 | |
Settlement of foreign currency and foreign currency transactions | | | — | | | | — | | | | (27,718 | ) | | | (17,570 | ) |
Expiration or closing of futures contracts | | | — | | | | — | | | | 634,165 | | | | 960,502 | |
| Net realized gain (loss) | | | 424,382 | | | | 439,324 | | | | 61,909 | | | | 2,417,623 | |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investment securities of unaffiliated issuers | | | 33,816,540 | | | | 3,195,344 | | | | 26,558,208 | | | | 58,637,740 | |
Foreign currency and foreign currency transactions | | | — | | | | — | | | | 10,327 | | | | (6,194 | ) |
Futures contracts | | | — | | | | — | | | | (6,990 | ) | | | (7,934 | ) |
| Net change in unrealized appreciation (depreciation) | | | 33,816,540 | | | | 3,195,344 | | | | 26,561,545 | | | | 58,623,612 | |
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | | | 34,240,922 | | | | 3,634,668 | | | | 26,623,454 | | | | 61,041,235 | |
| Net increase (decrease) in net assets resulting from operations | | | $37,006,942 | | | | $3,815,853 | | | $ | 30,362,479 | | | $ | 67,039,111 | |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | | $691 | | | | $117 | | | | $398,043 | | | | $857,508 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
212
| | |
| Statements of Operations | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR
LARGE CAP
MOMENTUM
STYLE FUND | | | AQR
SMALL CAP
MOMENTUM
STYLE FUND | | | AQR
INTERNATIONAL
MOMENTUM
STYLE FUND | | | AQR
EMERGING
MOMENTUM
STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | |
INVESTMENT INCOME:
Dividend income: | | | | | | | | | | | | | | | | |
Unaffiliated issuers† | | | $14,674,816 | | | | $3,109,026 | | | | $10,033,792 | | | | $333,476 | |
Securities lending income, net | | | 75,379 | | | | 517,605 | | | | 297 | | | | 1,536 | |
Other income (Note 2) | | | — | | | | — | | | | 124,732 | | | | — | |
| Total Income | | | 14,750,195 | | | | 3,626,631 | | | | 10,158,821 | | | | 335,012 | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 2,338,204 | | | | 1,541,573 | | | | 1,436,935 | | | | 63,855 | |
Custody fees | | | 32,195 | | | | 36,237 | | | | 83,004 | | | | 56,603 | |
Administration & accounting fees | | | 181,967 | | | | 67,300 | | | | 70,333 | | | | 2,271 | |
Legal fees | | | 21,422 | | | | 9,196 | | | | 5,246 | | | | — | |
Audit & tax fees | | | 45,971 | | | | 45,790 | | | | 49,898 | | | | 60,416 | |
Shareholder reporting fees | | | 115,663 | | | | 46,970 | | | | 62,612 | | | | 2,891 | |
Transfer agent fees | | | 873,449 | | | | 345,576 | | | | 336,686 | | | | 23,461 | |
Trustee fees | | | 25,814 | | | | 10,105 | | | | 10,457 | | | | 1,300 | |
Distribution fees—Class N | | | 141,085 | | | | 3,876 | | | | 75,964 | | | | 2,857 | |
Registration fees | | | 71,361 | | | | 61,098 | | | | 66,518 | | | | 52,546 | |
Pricing fee | | | 77 | | | | 413 | | | | 21,952 | | | | 22,401 | |
Tax expense (Note 2) | | | — | | | | — | | | | 70,598 | | | | — | |
Other expenses | | | 37,823 | | | | 14,908 | | | | 14,773 | | | | 5,263 | |
| Total Expenses | | | 3,885,031 | | | | 2,183,042 | | | | 2,304,976 | | | | 293,864 | |
| | | | |
Less fee waivers and/or reimbursements | | | (58,616 | ) | | | (128,612 | ) | | | (212,966 | ) | | | (213,857 | ) |
| Net Expenses | | | 3,826,415 | | | | 2,054,430 | | | | 2,092,010 | | | | 80,007 | |
| Net Investment Income (Loss) | | | 10,923,780 | | | | 1,572,201 | | | | 8,066,811 | | | | 255,005 | |
| | | | |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Transactions in investment securities of unaffiliated issuers | | | 71,234,394 | | | | 35,287,724 | | | | 10,077,777 | | | | 294,637 | |
Settlement of foreign currency and foreign currency transactions | | | — | | | | — | | | | (9,634 | ) | | | (5,260 | ) |
Expiration or closing of futures contracts | | | 2,518,533 | | | | 884,090 | | | | 1,447,959 | | | | — | |
| Net realized gain (loss) | | | 73,752,927 | | | | 36,171,814 | | | | 11,516,102 | | | | 289,377 | |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investment securities of unaffiliated issuers | | | 57,807,464 | | | | 26,255,843 | | | | 33,498,592 | | | | 2,041,503 | |
Foreign currency and foreign currency transactions | | | 21 | | | | — | | | | 5,884 | | | | (477 | ) |
Futures contracts | | | 106,857 | | | | 63,703 | | | | 23,467 | | | | — | |
| Net change in unrealized appreciation (depreciation) | | | 57,914,342 | | | | 26,319,546 | | | | 33,527,943 | | | | 2,041,026 | |
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | | | 131,667,269 | | | | 62,491,360 | | | | 45,044,045 | | | | 2,330,403 | |
| Net increase (decrease) in net assets resulting from operations | | | $142,591,049 | | | | $64,063,561 | | | | $53,110,856 | | | $ | 2,585,408 | |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | | $4,466 | | | | $188 | | | | $889,753 | | | | $34,932 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
213
| | |
| Statements of Operations | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR TM
LARGE CAP
MOMENTUM
STYLE FUND | | | AQR TM
SMALL CAP
MOMENTUM
STYLE FUND | | | AQR TM
INTERNATIONAL
MOMENTUM
STYLE FUND | | | AQR
LARGE CAP
DEFENSIVE
STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | |
INVESTMENT INCOME:
Dividend income: | | | | | | | | | | | | | | | | |
Unaffiliated issuers† | | | $2,389,381 | | | | $372,821 | | | | $2,390,435 | | | | $21,309,996 | |
Securities lending income, net | | | 6,396 | | | | 57,422 | | | | 10,357 | | | | 7,624 | |
Other income (Note 2) | | | — | | | | — | | | | 2,252 | | | | — | |
| Total Income | | | 2,395,777 | | | | 430,243 | | | | 2,403,044 | | | | 21,317,620 | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 391,954 | | | | 180,765 | | | | 349,261 | | | | 2,541,462 | |
Custody fees | | | 10,553 | | | | 10,129 | | | | 28,680 | | | | 29,910 | |
Administration & accounting fees | | | 30,523 | | | | 7,899 | | | | 16,794 | | | | 199,859 | |
Legal fees | | | 3,505 | | | | 1,543 | | | | 1,344 | | | | 47,619 | |
Audit & tax fees | | | 48,486 | | | | 45,699 | | | | 51,724 | | | | 44,987 | |
Shareholder reporting fees | | | 20,025 | | | | 7,617 | | | | 11,496 | | | | 143,442 | |
Transfer agent fees | | | 92,508 | | | | 56,109 | | | | 52,964 | | | | 850,558 | |
Trustee fees | | | 5,089 | | | | 2,033 | | | | 3,262 | | | | 27,065 | |
Distribution fees—Class N | | | 3,510 | | | | 1,159 | | | | 1,977 | | | | 575,721 | |
Interest expense | | | — | | | | — | | | | 945 | | | | — | |
Registration fees | | | 58,768 | | | | 55,343 | | | | 55,321 | | | | 154,099 | |
Pricing fee | | | 51 | | | | 398 | | | | 21,888 | | | | 37 | |
Tax expense (Note 2) | | | — | | | | — | | | | 1,275 | | | | — | |
Other expenses | | | 7,539 | | | | 3,054 | | | | 4,988 | | | | 34,927 | |
| Total Expenses | | | 672,511 | | | | 371,748 | | | | 601,919 | | | | 4,649,686 | |
| | | | |
Less fee waivers and/or reimbursements | | | (118,690 | ) | | | (128,907 | ) | | | (165,901 | ) | | | (168,632 | ) |
| Net Expenses | | | 553,821 | | | | 242,841 | | | | 436,018 | | | | 4,481,054 | |
| Net Investment Income (Loss) | | | 1,841,956 | | | | 187,402 | | | | 1,967,026 | | | | 16,836,566 | |
| | | | |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Transactions in investment securities of unaffiliated issuers | | | (156,024 | ) | | | 771,880 | | | | (394,492 | ) | | | 5,077,932 | |
Settlement of foreign currency and foreign currency transactions | | | — | | | | — | | | | (34,070 | ) | | | — | |
Expiration or closing of futures contracts | | | 523,315 | | | | — | | | | 377,811 | | | | 5,654,134 | |
| Net realized gain (loss) | | | 367,291 | | | | 771,880 | | | | (50,751 | ) | | | 10,732,066 | |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investment securities of unaffiliated issuers | | | 21,788,245 | | | | 6,910,549 | | | | 9,905,660 | | | | 138,786,651 | |
Foreign currency and foreign currency transactions | | | — | | | | — | | | | (1,200 | ) | | | — | |
Futures contracts | | | 9,705 | | | | — | | | | (9,503 | ) | | | 190,045 | |
| Net change in unrealized appreciation (depreciation) | | | 21,797,950 | | | | 6,910,549 | | | | 9,894,957 | | | | 138,976,696 | |
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | | | 22,165,241 | | | | 7,682,429 | | | | 9,844,206 | | | | 149,708,762 | |
| Net increase (decrease) in net assets resulting from operations | | $ | 24,007,197 | | | $ | 7,869,831 | | | | $11,811,232 | | | $ | 166,545,328 | |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | | $390 | | | | $108 | | | | $199,386 | | | | $3,004 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
214
| | |
| Statements of Operations | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR INTERNATIONAL
DEFENSIVE
STYLE FUND | | | AQR EMERGING
DEFENSIVE
STYLE FUND | | | AQR GLOBAL
EQUITY FUND | | | AQR INTERNATIONAL
EQUITY FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | |
INVESTMENT INCOME:
Dividend income: | | | | | | | | | | | | | | | | |
Unaffiliated issuers† | | | $4,776,171 | | | | $1,547,944 | | | | $3,454,463 | | | | $11,441,557 | |
Securities lending income, net | | | 3,117 | | | | 3,634 | | | | 370 | | | | 2,669 | |
Other income (Note 2) | | | 2,029 | | | | — | | | | — | | | | 421,307 | |
| Total Income | | | 4,781,317 | | | | 1,551,578 | | | | 3,454,833 | | | | 11,865,533 | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 638,168 | | | | 314,478 | | | | 860,917 | | | | 2,528,045 | |
Shareholder servicing fees | | | — | | | | — | | | | 103,189 | | | | 405,651 | |
Custody fees | | | 31,445 | | | | 57,449 | | | | 33,982 | | | | 79,907 | |
Administration & accounting fees | | | 31,178 | | | | 11,266 | | | | 31,200 | | | | 78,974 | |
Legal fees | | | 5,262 | | | | 581 | | | | 2,884 | | | | 6,678 | |
Audit & tax fees | | | 54,084 | | | | 59,726 | | | | 59,817 | | | | 57,926 | |
Shareholder reporting fees | | | 24,481 | | | | 9,845 | | | | 24,156 | | | | 80,320 | |
Transfer agent fees | | | 157,652 | | | | 72,213 | | | | 50,180 | | | | 380,657 | |
Trustee fees | | | 5,020 | | | | 1,474 | | | | 5,106 | | | | 11,978 | |
Distribution fees—Class N | | | 70,540 | | | | 7,076 | | | | 4,448 | | | | 76,380 | |
Interest expense | | | — | | | | — | | | | — | | | | 4,513 | |
Recoupment of waiver | | | — | | | | — | | | | — | | | | 397 | |
Registration fees | | | 69,874 | | | | 58,514 | | | | 64,121 | | | | 76,799 | |
Pricing fee | | | 21,852 | | | | 17,782 | | | | 21,733 | | | | 21,848 | |
Tax expense (Note 2) | | | 1,149 | | | | — | | | | — | | | | 238,460 | |
Other expenses | | | 6,866 | | | | 5,804 | | | | 8,918 | | | | 21,325 | |
| Total Expenses | | | 1,117,571 | | | | 616,208 | | | | 1,270,651 | | | | 4,069,858 | |
| | | | |
Less fee waivers and/or reimbursements | | | (183,049 | ) | | | (208,182 | ) | | | (105,881 | ) | | | (43,841 | ) |
| Net Expenses | | | 934,522 | | | | 408,026 | | | | 1,164,770 | | | | 4,026,017 | |
| Net Investment Income (Loss) | | | 3,846,795 | | | | 1,143,552 | | | | 2,290,063 | | | | 7,839,516 | |
| | | | |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Transactions in investment securities of unaffiliated issuers | | | (364,104 | ) | | | (1,360,708 | ) | | | 8,258,341 | | | | 18,001,314 | |
Settlement of foreign currency and foreign currency transactions | | | (24,746 | ) | | | (35,431 | ) | | | (69,608 | ) | | | (403,894 | ) |
Settlement of forward foreign currency contracts | | | — | | | | (1,244 | ) | | | (343,571 | ) | | | (3,140,466 | ) |
Expiration or closing of futures contracts | | | 820,918 | | | | 525,906 | | | | 3,771,689 | | | | 14,944,578 | |
Expiration or closing of swap contracts | | | — | | | | — | | | | (16,598 | ) | | | (2,292,915 | ) |
| Net realized gain (loss) | | | 432,068 | | | | (871,477 | ) | | | 11,600,253 | | | | 27,108,617 | |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investment securities of unaffiliated issuers | | | 14,724,406 | | | | 5,967,990 | | | | 16,810,788 | | | | 40,930,192 | |
Foreign currency and foreign currency transactions | | | 4,473 | | | | 724 | | | | 10,455 | | | | 38,388 | |
Forward foreign currency exchange contracts | | | — | | | | — | | | | (1,619,557 | ) | | | (4,312,044 | ) |
Futures contracts | | | 21,436 | | | | (5,327 | ) | | | 1,726,911 | | | | 4,228,855 | |
Swap contracts | | | — | | | | — | | | | (149,260 | ) | | | (548,423 | ) |
| Net change in unrealized appreciation (depreciation) | | | 14,750,315 | | | | 5,963,387 | | | | 16,779,337 | | | | 40,336,968 | |
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | | | 15,182,383 | | | | 5,091,910 | | | | 28,379,590 | | | | 67,445,585 | |
| Net increase (decrease) in net assets resulting from operations | | $ | 19,029,178 | | | | $6,235,462 | | | | $30,669,653 | | | | $75,285,101 | |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | | $418,532 | | | | $184,759 | | | | $199,232 | | | | $994,507 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
215
| | |
| Statements of Operations | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR LARGE CAP
RELAXED
CONSTRAINT
EQUITY FUND | | | AQR SMALL CAP
RELAXED
CONSTRAINT
EQUITY FUND | | | AQR
INTERNATIONAL
RELAXED
CONSTRAINT
EQUITY FUND | | | AQR EMERGING
RELAXED
CONSTRAINT
EQUITY FUND | |
| | | FOR THE PERIOD
12/14/16*-
09/30/17 | | | FOR THE PERIOD
12/14/16*-
09/30/17 | | | FOR THE PERIOD
12/14/16*-
09/30/17 | | | FOR THE PERIOD
12/14/16*-
09/30/17 | |
INVESTMENT INCOME:
Dividend income: | | | | | | | | | | | | | | | | |
Unaffiliated issuers† | | | $167,011 | | | | $29,416 | | | | $227,969 | | | | $107,189 | |
| Total Income | | | 167,011 | | | | 29,416 | | | | 227,969 | | | | 107,189 | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 41,497 | | | | 18,027 | | | | 41,256 | | | | 52,904 | |
Custody fees | | | 3,291 | | | | 3,030 | | | | 3,271 | | | | 31,529 | |
Administration & accounting fees | | | 1,311 | | | | 449 | | | | 1,019 | | | | 935 | |
Legal fees | | | 1,464 | | | | 1,451 | | | | 1,813 | | | | 2,689 | |
Audit & tax fees | | | 44,553 | | | | 44,553 | | | | 44,554 | | | | 49,197 | |
Shareholder reporting fees | | | 2,926 | | | | 2,093 | | | | 2,341 | | | | 2,451 | |
Transfer agent fees | | | 17,439 | | | | 13,887 | | | | 16,027 | | | | 15,258 | |
Trustee fees | | | 897 | | | | 807 | | | | 875 | | | | 865 | |
Offering costs | | | 17,619 | | | | 17,619 | | | | 17,619 | | | | 17,619 | |
Distribution fees—Class N | | | 2,078 | | | | 1,188 | | | | 2,495 | | | | 2,571 | |
Dividends and interest on securities sold short (Note 3) | | | 42,791 | | | | 9,563 | | | | 51,703 | | | | — | |
Registration fees | | | 50,660 | | | | 47,123 | | | | 47,541 | | | | 47,358 | |
Pricing fee | | | 78 | | | | 233 | | | | 216 | | | | 279 | |
Other expenses | | | 2,637 | | | | 2,409 | | | | 2,654 | | | | 2,687 | |
| Total Expenses | | | 229,241 | | | | 162,432 | | | | 233,384 | | | | 226,342 | |
| | | | |
Less fee waivers and/or reimbursements | | | (131,257 | ) | | | (130,339 | ) | | | (129,138 | ) | | | (162,768 | ) |
| Net Expenses | | | 97,984 | | | | 32,093 | | | | 104,246 | | | | 63,574 | |
| Net Investment Income (Loss) | | | 69,027 | | | | (2,677 | ) | | | 123,723 | | | | 43,615 | |
| | | | |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Transactions in investment securities of unaffiliated issuers | | | 50,946 | | | | (100,399 | ) | | | 161,090 | | | | 113,206 | |
Settlement of foreign currency and foreign currency transactions | | | — | | | | — | | | | 13,953 | | | | 22,455 | |
Settlement of forward foreign currency contracts | | | — | | | | — | | | | (1,594 | ) | | | — | |
Expiration or closing of futures contracts | | | (21,642 | ) | | | — | | | | — | | | | — | |
Closed short positions in securities | | | (68,969 | ) | | | (30,058 | ) | | | (130,015 | ) | | | — | |
Expiration or closing of swap contracts | | | — | | | | — | | | | — | | | | (62,774 | ) |
| Net realized gain (loss) | | | (39,665 | ) | | | (130,457 | ) | | | 43,434 | | | | 72,887 | |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investment securities of unaffiliated issuers | | | 1,354,494 | | | | 297,994 | | | | 1,529,212 | | | | 629,437 | |
Foreign currency and foreign currency transactions | | | — | | | | — | | | | 64 | | | | 224 | |
Short positions in securities | | | (156,174 | ) | | | (53,762 | ) | | | (142,170 | ) | | | — | |
Swap contracts | | | — | | | | — | | | | — | | | | 174,708 | |
| Net change in unrealized appreciation (depreciation) | | | 1,198,320 | | | | 244,232 | | | | 1,387,106 | | | | 804,369 | |
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | | | 1,158,655 | | | | 113,775 | | | | 1,430,540 | | | | 877,256 | |
| Net increase (decrease) in net assets resulting from operations | | | $1,227,682 | | | | $111,098 | | | | $1,554,263 | | | | $920,871 | |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | | $106 | | | | $41 | | | | $22,830 | | | | $16,342 | |
| | * | Commencement of operations. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
216
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR LARGE CAP
MULTI-STYLE FUND | | | AQR SMALL CAP
MULTI-STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | |
| OPERATIONS: | |
Net investment income (loss) | | | $23,973,165 | | | | $19,660,962 | | | | $6,623,510 | | | | $5,651,016 | |
Net realized gain (loss) | | | 73,435,382 | | | | (69,298,819) | | | | 58,774,178 | | | | 11,171,801 | |
Net change in unrealized appreciation (depreciation) | | | 224,902,747 | | | | 135,757,555 | | | | 65,323,839 | | | | 87,483,997 | |
Net increase (decrease) in net assets resulting from operations | | | 322,311,294 | | | | 86,119,698 | | | | 130,721,527 | | | | 104,306,814 | |
|
| DISTRIBUTIONS TO SHAREHOLDERS: | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (4,975,827) | | | | (5,061,842) | | | | (460,592) | | | | (70,814) | |
Class N | | | (669,401) | | | | (461,951) | | | | (75,007) | | | | (3,819) | |
Class R6 | | | (15,350,782) | | | | (6,699,234) | | | | (7,260,404) | | | | (401,079) | |
Total | | | (20,996,010) | | | | (12,223,027) | | | | (7,796,003) | | | | (475,712) | |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | — | | | | (495) | | | | (801,488) | | | | (49) | |
Class N | | | — | | | | (61) | | | | (172,528) | | | | (15) | |
Class R6 | | | — | | | | (595) | | | | (11,713,497) | | | | (209) | |
Total | | | — | | | | (1,151) | | | | (12,687,513) | | | | (273) | |
Total distributions | | | (20,996,010) | | | | (12,224,178) | | | | (20,483,516) | | | | (475,985) | |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 140,833,316 | | | | 371,477,654 | | | | 28,720,541 | | | | 32,766,802 | |
Reinvestment of distributions | | | 4,346,415 | | | | 4,979,196 | | | | 1,261,541 | | | | 70,815 | |
Cost of shares redeemed | | | (390,857,879) | | | | (267,990,360) | | | | (26,858,961) | | | | (17,559,231) | |
Net increase (decrease) from capital transactions | | | (245,678,148) | | | | 108,466,490 | | | | 3,123,121 | | | | 15,278,386 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 10,166,505 | | | | 35,135,654 | | | | 3,396,863 | | | | 10,910,277 | |
Reinvestment of distributions | | | 668,290 | | | | 461,243 | | | | 246,619 | | | | 3,805 | |
Cost of shares redeemed | | | (24,588,845) | | | | (34,612,635) | | | | (6,058,076) | | | | (7,735,264) | |
Net increase (decrease) from capital transactions | | | (13,754,050) | | | | 984,262 | | | | (2,414,594) | | | | 3,178,818 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 443,553,869 | | | | 311,854,105 | | | | 116,160,936 | | | | 643,974,405 | |
Reinvestment of distributions | | | 15,022,031 | | | | 6,698,589 | | | | 17,579,880 | | | | 353,862 | |
Cost of shares redeemed | | | (219,065,217) | | | | (131,474,251) | | | | (190,166,011) | | | | (65,223,279) | |
Net increase (decrease) from capital transactions | | | 239,510,683 | | | | 187,078,443 | | | | (56,425,195) | | | | 579,104,988 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | (19,921,515) | | | | 296,529,195 | | | | (55,716,668) | | | | 597,562,192 | |
| Total increase (decrease) in net assets | | | 281,393,769 | | | | 370,424,715 | | | | 54,521,343 | | | | 701,393,021 | |
|
| NET ASSETS: | |
Beginning of period | | | 1,484,652,038 | | | | 1,114,227,323 | | | | 743,201,885 | | | | 41,808,864 | |
End of period | | | $1,766,045,807 | | | | $1,484,652,038 | | | | $797,723,228 | | | | $743,201,885 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $17,426,171 | | | | $14,853,381 | | | | $3,793,391 | | | | $5,118,103 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
217
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR LARGE CAP
MULTI-STYLE FUND | | | AQR SMALL CAP
MULTI-STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | |
|
| CHANGES IN SHARES OUTSTANDING: | |
| CLASS I | |
Shares outstanding, beginning of period | | | 44,811,070 | | | | 37,047,708 | | | | 3,258,870 | | | | 2,165,764 | |
Shares sold | | | 9,220,046 | | | | 27,475,415 | | | | 1,907,423 | | | | 2,534,955 | |
Shares issued on reinvestment of distributions | | | 294,273 | | | | 364,509 | | | | 82,453 | | | | 5,656 | |
Shares redeemed | | | (27,219,461) | | | | (20,076,562) | | | | (1,822,770) | | | | (1,447,505) | |
Shares outstanding, end of period | | | 27,105,928 | | | | 44,811,070 | | | | 3,425,976 | | | | 3,258,870 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 4,643,563 | | | | 4,528,366 | | | | 700,486 | | | | 463,666 | |
Shares sold | | | 665,568 | | | | 2,626,755 | | | | 228,754 | | | | 863,642 | |
Shares issued on reinvestment of distributions | | | 45,369 | | | | 33,865 | | | | 16,161 | | | | 305 | |
Shares redeemed | | | (1,621,375) | | | | (2,545,423) | | | | (406,756) | | | | (627,127) | |
Shares outstanding, end of period | | | 3,733,125 | | | | 4,643,563 | | | | 538,645 | | | | 700,486 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 56,611,041 | | | | 42,554,777 | | | | 49,226,271 | | | | 771,282 | |
Shares sold | | | 30,560,220 | | | | 23,345,042 | | | | 7,765,757 | | | | 53,443,534 | |
Shares issued on reinvestment of distributions | | | 1,017,753 | | | | 490,739 | | | | 1,147,512 | | | | 28,241 | |
Shares redeemed | | | (14,316,642) | | | | (9,779,517) | | | | (12,590,816) | | | | (5,016,786) | |
Shares outstanding, end of period | | | 73,872,372 | | | | 56,611,041 | | | | 45,548,724 | | | | 49,226,271 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
218
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR INTERNATIONAL MULTI-STYLE FUND | | | AQR EMERGING MULTI-STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | $9,925,411 | | | | $8,369,327 | | | | $5,648,402 | | | | $4,158,190 | |
Net realized gain (loss) | | | 15,744,900 | | | | (38,458,471 | ) | | | 8,322,666 | | | | (33,679,960 | ) |
Net change in unrealized appreciation (depreciation) | | | 53,141,324 | | | | 37,204,104 | | | | 45,882,489 | | | | 57,947,033 | |
Net increase (decrease) in net assets resulting from operations | | | 78,811,635 | | | | 7,114,960 | | | | 59,853,557 | | | | 28,425,263 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (1,615,459 | ) | | | (606,011 | ) | | | (1,429,461 | ) | | | (1,291,346 | ) |
Class N | | | (194,539 | ) | | | (76,115 | ) | | | (130,267 | ) | | | (112,201 | ) |
Class R6 | | | (7,987,798 | ) | | | (3,911,376 | ) | | | (3,682,831 | ) | | | (3,422,346 | ) |
Total | | | (9,797,796 | ) | | | (4,593,502 | ) | | | (5,242,559 | ) | | | (4,825,893 | ) |
Total distributions | | | (9,797,796 | ) | | | (4,593,502 | ) | | | (5,242,559 | ) | | | (4,825,893 | ) |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 19,633,543 | | | | 60,133,163 | | | | 37,682,958 | | | | 33,023,607 | |
Reinvestment of distributions | | | 1,612,750 | | | | 603,182 | | | | 1,428,298 | | | | 1,285,557 | |
Cost of shares redeemed | | | (24,211,103 | ) | | | (33,973,951 | ) | | | (31,081,689 | ) | | | (15,499,794 | ) |
Net increase (decrease) from capital transactions | | | (2,964,810 | ) | | | 26,762,394 | | | | 8,029,567 | | | | 18,809,370 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 2,954,447 | | | | 8,931,867 | | | | 2,013,359 | | | | 6,735,342 | |
Reinvestment of distributions | | | 193,541 | | | | 75,447 | | | | 130,267 | | | | 112,201 | |
Cost of shares redeemed | | | (4,121,548 | ) | | | (4,548,689 | ) | | | (4,308,730 | ) | | | (4,356,156 | ) |
Net increase (decrease) from capital transactions | | | (973,560 | ) | | | 4,458,625 | | | | (2,165,104 | ) | | | 2,491,387 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 79,290,772 | | | | 101,522,329 | | | | 36,137,353 | | | | 54,236,859 | |
Reinvestment of distributions | | | 7,922,560 | | | | 3,910,599 | | | | 3,653,343 | | | | 3,421,616 | |
Cost of shares redeemed | | | (60,093,576 | ) | | | (47,070,019 | ) | | | (39,269,853 | ) | | | (26,043,362 | ) |
Net increase (decrease) from capital transactions | | | 27,119,756 | | | | 58,362,909 | | | | 520,843 | | | | 31,615,113 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 23,181,386 | | | | 89,583,928 | | | | 6,385,306 | | | | 52,915,870 | |
Total increase (decrease) in net assets | | | 92,195,225 | | | | 92,105,386 | | | | 60,996,304 | | | | 76,515,240 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 378,073,455 | | | | 285,968,069 | | | | 265,504,580 | | | | 188,989,340 | |
End of period | | | $470,268,680 | | | | $378,073,455 | | | | $326,500,884 | | | | $265,504,580 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $9,029,036 | | | | $8,595,128 | | | | $5,058,404 | | | | $3,427,142 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
219
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR INTERNATIONAL MULTI-STYLE FUND | | | AQR EMERGING MULTI-STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 6,677,387 | | | | 3,920,915 | | | | 8,243,713 | | | | 5,981,726 | |
Shares sold | | | 1,849,100 | | | | 6,091,979 | | | | 3,799,597 | | | | 3,979,169 | |
Shares issued on reinvestment of distributions | | | 163,898 | | | | 57,666 | | | | 174,183 | | | | 159,696 | |
Shares redeemed | | | (2,307,541 | ) | | | (3,393,173 | ) | | | (3,133,407 | ) | | | (1,876,878 | ) |
Shares outstanding, end of period | | | 6,382,844 | | | | 6,677,387 | | | | 9,084,086 | | | | 8,243,713 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 832,639 | | | | 406,162 | | | | 850,737 | | | | 549,846 | |
Shares sold | | | 286,397 | | | | 868,544 | | | | 226,977 | | | | 830,399 | |
Shares issued on reinvestment of distributions | | | 19,689 | | | | 7,220 | | | | 15,886 | | | | 13,938 | |
Shares redeemed | | | (397,317 | ) | | | (449,287 | ) | | | (464,034 | ) | | | (543,446 | ) |
Shares outstanding, end of period | | | 741,408 | | | | 832,639 | | | | 629,566 | | | | 850,737 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 29,492,098 | | | | 23,695,163 | | | | 20,536,218 | | | | 16,527,847 | |
Shares sold | | | 7,577,114 | | | | 10,128,333 | | | | 3,893,741 | | | | 6,779,947 | |
Shares issued on reinvestment of distributions | | | 805,957 | | | | 374,578 | | | | 444,987 | | | | 425,046 | |
Shares redeemed | | | (5,626,284 | ) | | | (4,705,976 | ) | | | (4,125,866 | ) | | | (3,196,622 | ) |
Shares outstanding, end of period | | | 32,248,885 | | | | 29,492,098 | | | | 20,749,080 | | | | 20,536,218 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
220
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR TM LARGE CAP
MULTI-STYLE FUND | | | AQR TM SMALL CAP
MULTI-STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | $2,766,020 | | | | $1,464,225 | | | | $181,185 | | | | $140,954 | |
Net realized gain (loss) | | | 424,382 | | | | (3,244,697 | ) | | | 439,324 | | | | (32,325 | ) |
Net change in unrealized appreciation (depreciation) | | | 33,816,540 | | | | 8,712,424 | | | | 3,195,344 | | | | 2,174,304 | |
Net increase (decrease) in net assets resulting from operations | | | 37,006,942 | | | | 6,931,952 | | | | 3,815,853 | | | | 2,282,933 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (558,442 | ) | | | (29,888 | ) | | | (154,814 | ) | | | (19,379 | ) |
Class N | | | (22,808 | ) | | | (419 | ) | | | (25,593 | ) | | | (1,994 | ) |
Class R6 | | | (1,366,670 | ) | | | (227,299 | ) | | | (22,170 | ) | | | (10,514 | ) |
Total | | | (1,947,920 | ) | | | (257,606 | ) | | | (202,577 | ) | | | (31,887 | ) |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | (2,289 | ) | | | (7,959 | ) | | | — | | | | — | |
Class N | | | (114 | ) | | | (210 | ) | | | — | | | | — | |
Class R6 | | | (5,353 | ) | | | (56,997 | ) | | | — | | | | — | |
Total | | | (7,756 | ) | | | (65,166 | ) | | | — | | | | — | |
Total distributions | | | (1,955,676 | ) | | | (322,772 | ) | | | (202,577 | ) | | | (31,887 | ) |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 18,063,674 | | | | 44,782,939 | | | | 6,781,869 | | | | 12,204,726 | |
Reinvestment of distributions | | | 556,533 | | | | 36,936 | | | | 154,181 | | | | 19,379 | |
Cost of shares redeemed | | | (4,512,759 | ) | | | (8,474,396 | ) | | | (2,124,391 | ) | | | (1,791,158 | ) |
Net increase (decrease) from capital transactions | | | 14,107,448 | | | | 36,345,479 | | | | 4,811,659 | | | | 10,432,947 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 991,351 | | | | 2,304,554 | | | | 3,690,705 | | | | 2,575,146 | |
Reinvestment of distributions | | | 22,922 | | | | 629 | | | | 25,593 | | | | 1,994 | |
Cost of shares redeemed | | | (1,389,436 | ) | | | (413,640 | ) | | | (1,836,542 | ) | | | (127,136 | ) |
Net increase (decrease) from capital transactions | | | (375,163 | ) | | | 1,891,543 | | | | 1,879,756 | | | | 2,450,004 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 52,090,671 | | | | 79,815,885 | | | | — | | | | 100,000 | |
Reinvestment of distributions | | | 1,367,976 | | | | 284,187 | | | | 22,170 | | | | 10,514 | |
Cost of shares redeemed | | | (14,687,541 | ) | | | (13,650,502 | ) | | | — | | | | — | |
Net increase (decrease) from capital transactions | | | 38,771,106 | | | | 66,449,570 | | | | 22,170 | | | | 110,514 | |
Net increase (decrease) in net assets resulting from capital transactions | | | 52,503,391 | | | | 104,686,592 | | | | 6,713,585 | | | | 12,993,465 | |
| Total increase (decrease) in net assets | | | 87,554,657 | | | | 111,295,772 | | | | 10,326,861 | | | | 15,244,511 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 140,220,965 | | | | 28,925,193 | | | | 18,734,998 | | | | 3,490,487 | |
End of period | | | $227,775,622 | | | | $140,220,965 | | | | $29,061,859 | | | | $18,734,998 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $2,101,405 | | | | $1,317,000 | | | | $101,276 | | | | $129,068 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
221
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR TM LARGE CAP
MULTI-STYLE FUND | | | AQR TM SMALL CAP
MULTI-STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | |
|
| CHANGES IN SHARES OUTSTANDING: | |
| CLASS I | |
Shares outstanding, beginning of period | | | 3,995,600 | | | | 221,606 | | | | 1,338,219 | | | | 184,697 | |
Shares sold | | | 1,651,972 | | | | 4,680,798 | | | | 604,397 | | | | 1,352,610 | |
Shares issued on reinvestment of distributions | | | 52,652 | | | | 3,777 | | | | 13,489 | | | | 2,079 | |
Shares redeemed | | | (404,281 | ) | | | (910,581 | ) | | | (189,117 | ) | | | (201,167 | ) |
Shares outstanding, end of period | | | 5,295,943 | | | | 3,995,600 | | | | 1,766,988 | | | | 1,338,219 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 217,083 | | | | 14,363 | | | | 289,019 | | | | 13,941 | |
Shares sold | | | 91,182 | | | | 245,689 | | | | 329,990 | | | | 288,222 | |
Shares issued on reinvestment of distributions | | | 2,171 | | | | 64 | | | | 2,243 | | | | 214 | |
Shares redeemed | | | (127,048 | ) | | | (43,033 | ) | | | (164,174 | ) | | | (13,358 | ) |
Shares outstanding, end of period | | | 183,388 | | | | 217,083 | | | | 457,078 | | | | 289,019 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 9,800,397 | | | | 2,833,532 | | | | 191,117 | | | | 180,000 | |
Shares sold | | | 4,764,209 | | | | 8,363,499 | | | | — | | | | 9,990 | |
Shares issued on reinvestment of distributions | | | 129,420 | | | | 29,028 | | | | 1,936 | | | | 1,127 | |
Shares redeemed | | | (1,341,806 | ) | | | (1,425,662 | ) | | | — | | | | — | |
Shares outstanding, end of period | | | 13,352,220 | | | | 9,800,397 | | | | 193,053 | | | | 191,117 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
222
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR TM INTERNATIONAL
MULTI-STYLE FUND | | | AQR TM EMERGING
MULTI-STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | $3,739,025 | | | | $2,590,826 | | | | $5,997,876 | | | | $4,603,273 | |
Net realized gain (loss) | | | 61,909 | | | | (6,667,262 | ) | | | 2,417,623 | | | | (12,858,821 | ) |
Net change in unrealized appreciation (depreciation) | | | 26,561,545 | | | | 8,546,385 | | | | 58,623,612 | | | | 34,369,370 | |
Net increase (decrease) in net assets resulting from operations | | | 30,362,479 | | | | 4,469,949 | | | | 67,039,111 | | | | 26,113,822 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (422,289 | ) | | | (140,652 | ) | | | (296,146 | ) | | | (32,378 | ) |
Class N | | | (30,453 | ) | | | (3,650 | ) | | | (49,154 | ) | | | — | |
Class R6 | | | (2,510,600 | ) | | | (593,342 | ) | | | (6,513,104 | ) | | | (749,383 | ) |
Total | | | (2,963,342 | ) | | | (737,644 | ) | | | (6,858,404 | ) | | | (781,761 | ) |
Total distributions | | | (2,963,342 | ) | | | (737,644 | ) | | | (6,858,404 | ) | | | (781,761 | ) |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 5,883,701 | | | | 23,518,732 | | | | 3,979,959 | | | | 13,573,964 | |
Reinvestment of distributions | | | 413,893 | | | | 138,694 | | | | 283,665 | | | | 32,123 | |
Cost of shares redeemed | | | (4,563,660 | ) | | | (7,008,552 | ) | | | (2,771,277 | ) | | | (4,847,472 | ) |
Net increase (decrease) from capital transactions | | | 1,733,934 | | | | 16,648,874 | | | | 1,492,347 | | | | 8,758,615 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 828,696 | | | | 1,605,564 | | | | 781,758 | | | | 2,346,427 | |
Reinvestment of distributions | | | 30,453 | | | | 3,650 | | | | 49,154 | | | | — | |
Cost of shares redeemed | | | (686,814 | ) | | | (196,510 | ) | | | (1,165,523 | ) | | | (1,380,915 | ) |
Net increase (decrease) from capital transactions | | | 172,335 | | | | 1,412,704 | | | | (334,611 | ) | | | 965,512 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 26,791,516 | | | | 85,284,291 | | | | 16,416,631 | | | | 261,029,638 | |
Reinvestment of distributions | | | 2,506,738 | | | | 593,184 | | | | 6,510,144 | | | | 749,355 | |
Cost of shares redeemed | | | (17,661,501 | ) | | | (14,072,933 | ) | | | (19,083,778 | ) | | | (28,410,599 | ) |
Net increase (decrease) from capital transactions | | | 11,636,753 | | | | 71,804,542 | | | | 3,842,997 | | | | 233,368,394 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 13,543,022 | | | | 89,866,120 | | | | 5,000,733 | | | | 243,092,521 | |
Total increase (decrease) in net assets | | | 40,942,159 | | | | 93,598,425 | | | | 65,181,440 | | | | 268,424,582 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 138,327,032 | | | | 44,728,607 | | | | 287,672,957 | | | | 19,248,375 | |
End of period | | | $179,269,191 | | | | $138,327,032 | | | | $352,854,397 | | | | $287,672,957 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $3,385,206 | | | | $2,530,691 | | | | $5,159,145 | | | | $4,444,706 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
223
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR TM INTERNATIONAL
MULTI-STYLE FUND | | | AQR TM EMERGING
MULTI-STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | |
|
| CHANGES IN SHARES OUTSTANDING: | |
| CLASS I | |
Shares outstanding, beginning of period | | | 2,128,774 | | | | 341,610 | | | | 1,370,519 | | | | 359,225 | |
Shares sold | | | 585,383 | | | | 2,539,093 | | | | 407,778 | | | | 1,596,157 | |
Shares issued on reinvestment of distributions | | | 45,086 | | | | 14,447 | | | | 33,451 | | | | 3,870 | |
Shares redeemed | | | (452,531 | ) | | | (766,376 | ) | | | (282,120 | ) | | | (588,733 | ) |
Shares outstanding, end of period | | | 2,306,712 | | | | 2,128,774 | | | | 1,529,628 | | | | 1,370,519 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 168,987 | | | | 15,231 | | | | 233,206 | | | | 106,116 | |
Shares sold | | | 85,293 | | | | 174,012 | | | | 84,653 | | | | 286,357 | |
Shares issued on reinvestment of distributions | | | 3,325 | | | | 381 | | | | 5,789 | | | | — | |
Shares redeemed | | | (70,735 | ) | | | (20,637 | ) | | | (116,643 | ) | | | (159,267 | ) |
Shares outstanding, end of period | | | 186,870 | | | | 168,987 | | | | 207,005 | | | | 233,206 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 12,337,482 | | | | 4,395,156 | | | | 29,394,195 | | | | 1,849,302 | |
Shares sold | | | 2,714,486 | | | | 9,392,713 | | | | 1,733,236 | | | | 30,840,327 | |
Shares issued on reinvestment of distributions | | | 272,768 | | | | 61,726 | | | | 767,706 | | | | 90,284 | |
Shares redeemed | | | (1,775,520 | ) | | | (1,512,113 | ) | | | (1,934,151 | ) | | | (3,385,718 | ) |
Shares outstanding, end of period | | | 13,549,216 | | | | 12,337,482 | | | | 29,960,986 | | | | 29,394,195 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
224
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR LARGE CAP
MOMENTUM STYLE FUND | | | AQR SMALL CAP
MOMENTUM STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | $10,923,780 | | | | $13,220,255 | | | | $1,572,201 | | | | $2,522,678 | |
Net realized gain (loss) | | | 73,752,927 | | | | 60,905,610 | | | | 36,171,814 | | | | (5,188,075 | ) |
Net change in unrealized appreciation (depreciation) | | | 57,914,342 | | | | 29,096,518 | | | | 26,319,546 | | | | 39,852,480 | |
Net increase (decrease) in net assets resulting from operations | | | 142,591,049 | | | | 103,222,383 | | | | 64,063,561 | | | | 37,187,083 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (12,230,241 | ) | | | (8,820,091 | ) | | | (2,567,241 | ) | | | (2,497,115 | ) |
Class N | | | (723,350 | ) | | | (462,621 | ) | | | — | | | | (45,047 | ) |
Class R6 | | | (968,404 | ) | | | (760,600 | ) | | | (79,227 | ) | | | (108,602 | ) |
Total | | | (13,921,995 | ) | | | (10,043,312 | ) | | | (2,646,468 | ) | | | (2,650,764 | ) |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | (47,871,231 | ) | | | (62,191,159 | ) | | | — | | | | (1,362,253 | ) |
Class N | | | (3,398,837 | ) | | | (4,768,963 | ) | | | — | | | | (36,403 | ) |
Class R6 | | | (3,547,071 | ) | | | (4,758,117 | ) | | | — | | | | (49,898 | ) |
Total | | | (54,817,139 | ) | | | (71,718,239 | ) | | | — | | | | (1,448,554 | ) |
Total distributions | | | (68,739,134 | ) | | | (81,761,551 | ) | | | (2,646,468 | ) | | | (4,099,318 | ) |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 154,774,327 | | | | 164,695,456 | | | | 51,370,096 | | | | 66,699,622 | |
Reinvestment of distributions | | | 60,037,357 | | | | 70,902,935 | | | | 2,558,986 | | | | 3,846,424 | |
Cost of shares redeemed | | | (230,601,389 | ) | | | (308,309,640 | ) | | | (70,940,111 | ) | | | (96,490,678 | ) |
Net increase (decrease) from capital transactions | | | (15,789,705 | ) | | | (72,711,249 | ) | | | (17,011,029 | ) | | | (25,944,632 | ) |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 7,404,914 | | | | 15,961,335 | | | | 396,727 | | | | 2,771,176 | |
Reinvestment of distributions | | | 4,121,868 | | | | 5,231,584 | | | | — | | | | 81,450 | |
Cost of shares redeemed | | | (14,419,255 | ) | | | (32,777,173 | ) | | | (531,776 | ) | | | (9,695,395 | ) |
Net increase (decrease) from capital transactions | | | (2,892,473 | ) | | | (11,584,254 | ) | | | (135,049 | ) | | | (6,842,769 | ) |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 16,080,377 | | | | 25,052,120 | | | | 2,308,572 | | | | 9,126,865 | |
Reinvestment of distributions | | | 4,492,109 | | | | 5,501,528 | | | | 79,139 | | | | 157,097 | |
Cost of shares redeemed | | | (18,757,198 | ) | | | (35,675,247 | ) | | | (773,259 | ) | | | (84,209,643 | ) |
Net increase (decrease) from capital transactions | | | 1,815,288 | | | | (5,121,599 | ) | | | 1,614,452 | | | | (74,925,681 | ) |
| Net increase (decrease) in net assets resulting from capital transactions | | | (16,866,890 | ) | | | (89,417,102 | ) | | | (15,531,626 | ) | | | (107,713,082 | ) |
Total increase (decrease) in net assets | | | 56,985,025 | | | | (67,956,270 | ) | | | 45,885,467 | | | | (74,625,317 | ) |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 937,666,478 | | | | 1,005,622,748 | | | | 327,218,057 | | | | 401,843,374 | |
End of period | | | $994,651,503 | | | | $937,666,478 | | | | $373,103,524 | | | | $327,218,057 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $6,663,805 | | | | $10,157,798 | | | | $507,640 | | | | $1,749,939 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
225
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR LARGE CAP
MOMENTUM STYLE FUND | | | AQR SMALL CAP
MOMENTUM STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 40,158,763 | | | | 43,794,416 | | | | 15,247,228 | | | | 16,557,893 | |
Shares sold | | | 7,605,960 | | | | 8,413,669 | | | | 2,290,061 | | | | 3,530,297 | |
Shares issued on reinvestment of distributions | | | 3,118,824 | | | | 3,643,522 | | | | 114,240 | | | | 197,151 | |
Shares redeemed | | | (11,348,209 | ) | | | (15,692,844 | ) | | | (3,172,009 | ) | | | (5,038,113 | ) |
Shares outstanding, end of period | | | 39,535,338 | | | | 40,158,763 | | | | 14,479,520 | | | | 15,247,228 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 2,823,181 | | | | 3,440,002 | | | | 76,105 | | | | 431,529 | |
Shares sold | | | 363,923 | | | | 820,756 | | | | 17,898 | | | | 149,541 | |
Shares issued on reinvestment of distributions | | | 213,901 | | | | 268,699 | | | | — | | | | 4,190 | |
Shares redeemed | | | (714,154 | ) | | | (1,706,276 | ) | | | (24,715 | ) | | | (509,155 | ) |
Shares outstanding, end of period | | | 2,686,851 | | | | 2,823,181 | | | | 69,288 | | | | 76,105 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 2,895,803 | | | | 3,158,235 | | | | 408,690 | | | | 4,056,213 | |
Shares sold | | | 791,962 | | | | 1,254,740 | | | | 102,839 | | | | 473,650 | |
Shares issued on reinvestment of distributions | | | 233,842 | | | | 283,438 | | | | 3,541 | | | | 8,069 | |
Shares redeemed | | | (919,899 | ) | | | (1,800,610 | ) | | | (34,580 | ) | | | (4,129,242 | ) |
Shares outstanding, end of period | | | 3,001,708 | | | | 2,895,803 | | | | 480,490 | | | | 408,690 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
226
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR INTERNATIONAL
MOMENTUM STYLE FUND | | | AQR EMERGING
MOMENTUM STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | $8,066,811 | | | | $6,255,753 | | | | $255,005 | | | | $118,560 | |
Net realized gain (loss) | | | 11,516,102 | | | | (17,740,594 | ) | | | 289,377 | | | | (1,417,522 | ) |
Net change in unrealized appreciation (depreciation) | | | 33,527,943 | | | | 32,248,324 | | | | 2,041,026 | | | | 2,322,454 | |
Net increase (decrease) in net assets resulting from operations | | | 53,110,856 | | | | 20,763,483 | | | | 2,585,408 | | | | 1,023,492 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (6,221,505 | ) | | | (4,299,494 | ) | | | (124,339 | ) | | | (182,437 | ) |
Class N | | | (598,973 | ) | | | (446,579 | ) | | | (12,317 | ) | | | (25,974 | ) |
Class R6 | | | (869,430 | ) | | | (549,818 | ) | | | (14,922 | ) | | | (7,466 | ) |
Total | | | (7,689,908 | ) | | | (5,295,891 | ) | | | (151,578 | ) | | | (215,877 | ) |
Total distributions | | | (7,689,908 | ) | | | (5,295,891 | ) | | | (151,578 | ) | | | (215,877 | ) |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 74,964,141 | | | | 62,967,813 | | | | 1,485,262 | | | | 3,221,843 | |
Reinvestment of distributions | | | 6,218,003 | | | | 4,297,414 | | | | 124,339 | | | | 182,437 | |
Cost of shares redeemed | | | (63,513,055 | ) | | | (65,008,082 | ) | | | (1,563,236 | ) | | | (1,868,461 | ) |
Net increase (decrease) from capital transactions | | | 17,669,089 | | | | 2,257,145 | | | | 46,365 | | | | 1,535,819 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 5,679,592 | | | | 5,428,425 | | | | 53,618 | | | | 589,906 | |
Reinvestment of distributions | | | 598,973 | | | | 446,579 | | | | 12,317 | | | | 25,974 | |
Cost of shares redeemed | | | (6,388,590 | ) | | | (12,243,981 | ) | | | (217,315 | ) | | | (733,943 | ) |
Net increase (decrease) from capital transactions | | | (110,025 | ) | | | (6,368,977 | ) | | | (151,380 | ) | | | (118,063 | ) |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 11,815,084 | | | | 14,099,786 | | | | 676,411 | | | | 978,729 | |
Reinvestment of distributions | | | 868,265 | | | | 549,818 | | | | 14,922 | | | | 7,466 | |
Cost of shares redeemed | | | (7,080,653 | ) | | | (11,819,504 | ) | | | (155,649 | ) | | | (207,501 | ) |
Net increase (decrease) from capital transactions | | | 5,602,696 | | | | 2,830,100 | | | | 535,684 | | | | 778,694 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 23,161,760 | | | | (1,281,732 | ) | | | 430,669 | | | | 2,196,450 | |
Total increase (decrease) in net assets | | | 68,582,708 | | | | 14,185,860 | | | | 2,864,499 | | | | 3,004,065 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 337,885,811 | | | | 323,699,951 | | | | 10,827,429 | | | | 7,823,364 | |
End of period | | | $406,468,519 | | | | $337,885,811 | | | | $13,691,928 | | | | $10,827,429 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $7,299,703 | | | | $6,620,395 | | | | $218,661 | | | | $81,620 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
227
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR INTERNATIONAL
MOMENTUM STYLE FUND | | | AQR EMERGING
MOMENTUM STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 19,627,772 | | | | 19,429,009 | | | | 1,003,384 | | | | 797,764 | |
Shares sold | | | 5,546,955 | | | | 4,707,160 | | | | 166,954 | | | | 414,462 | |
Shares issued on reinvestment of distributions | | | 488,837 | | | | 318,799 | | | | 15,699 | | | | 22,607 | |
Shares redeemed | | | (4,602,446 | ) | | | (4,827,196 | ) | | | (177,111 | ) | | | (231,449 | ) |
Shares outstanding, end of period | | | 21,061,118 | | | | 19,627,772 | | | | 1,008,926 | | | | 1,003,384 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 2,207,600 | | | | 2,678,581 | | | | 126,465 | | | | 136,798 | |
Shares sold | | | 415,499 | | | | 410,919 | | | | 5,909 | | | | 75,999 | |
Shares issued on reinvestment of distributions | | | 47,126 | | | | 33,178 | | | | 1,553 | | | | 3,215 | |
Shares redeemed | | | (469,656 | ) | | | (915,078 | ) | | | (21,130 | ) | | | (89,547 | ) |
Shares outstanding, end of period | | | 2,200,569 | | | | 2,207,600 | | | | 112,797 | | | | 126,465 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 2,555,356 | | | | 2,346,761 | | | | 107,058 | | | | 9,662 | |
Shares sold | | | 858,078 | | | | 1,051,223 | | | | 73,914 | | | | 124,721 | |
Shares issued on reinvestment of distributions | | | 68,367 | | | | 40,849 | | | | 1,882 | | | | 925 | |
Shares redeemed | | | (517,607 | ) | | | (883,477 | ) | | | (16,352 | ) | | | (28,250 | ) |
Shares outstanding, end of period | | | 2,964,194 | | | | 2,555,356 | | | | 166,502 | | | | 107,058 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
228
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR TM LARGE CAP
MOMENTUM STYLE FUND | | | AQR TM SMALL CAP
MOMENTUM STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | $1,841,956 | | | | $2,020,859 | | | | $187,402 | | | | $224,018 | |
Net realized gain (loss) | | | 367,291 | | | | (1,907,325 | ) | | | 771,880 | | | | (508,214 | ) |
Net change in unrealized appreciation (depreciation) | | | 21,797,950 | | | | 13,519,533 | | | | 6,910,549 | | | | 3,235,528 | |
Net increase (decrease) in net assets resulting from operations | | | 24,007,197 | | | | 13,633,067 | | | | 7,869,831 | | | | 2,951,332 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (955,242 | ) | | | (560,699 | ) | | | (254,946 | ) | | | (152,199 | ) |
Class N | | | (2,128 | ) | | | (1,335 | ) | | | (918 | ) | | | (815 | ) |
Class R6 | | | (1,235,381 | ) | | | (853,432 | ) | | | (1,393 | ) | | | (1,020 | ) |
Total | | | (2,192,751 | ) | | | (1,415,466 | ) | | | (257,257 | ) | | | (154,034 | ) |
Total distributions | | | (2,192,751 | ) | | | (1,415,466 | ) | | | (257,257 | ) | | | (154,034 | ) |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 21,637,497 | | | | 22,821,824 | | | | 11,256,908 | | | | 19,666,884 | |
Reinvestment of distributions | | | 955,242 | | | | 559,771 | | | | 254,946 | | | | 152,199 | |
Cost of shares redeemed | | | (13,438,274 | ) | | | (17,607,554 | ) | | | (4,321,955 | ) | | | (9,353,481 | ) |
Net increase (decrease) from capital transactions | | | 9,154,465 | | | | 5,774,041 | | | | 7,189,899 | | | | 10,465,602 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 8,608,192 | | | | 11,765 | | | | 3,053,888 | | | | 35,649 | |
Reinvestment of distributions | | | 2,128 | | | | 1,335 | | | | 918 | | | | 815 | |
Cost of shares redeemed | | | (521,673 | ) | | | (12,929 | ) | | | (129,774 | ) | | | (20,665 | ) |
Net increase (decrease) from capital transactions | | | 8,088,647 | | | | 171 | | | | 2,925,032 | | | | 15,799 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 12,410,098 | | | | 22,497,954 | | | | — | | | | 61,871 | |
Reinvestment of distributions | | | 1,234,108 | | | | 853,432 | | | | 1,393 | | | | 1,020 | |
Cost of shares redeemed | | | (20,260,706 | ) | | | (20,079,953 | ) | | | (105 | ) | | | (9,574 | ) |
Net increase (decrease) from capital transactions | | | (6,616,500 | ) | | | 3,271,433 | | | | 1,288 | | | | 53,317 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 10,626,612 | | | | 9,045,645 | | | | 10,116,219 | | | | 10,534,718 | |
Total increase (decrease) in net assets | | | 32,441,058 | | | | 21,263,246 | | | | 17,728,793 | | | | 13,332,016 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 147,747,917 | | | | 126,484,671 | | | | 33,548,704 | | | | 20,216,688 | |
End of period | | | $180,188,975 | | | | $147,747,917 | | | | $51,277,497 | | | | $33,548,704 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $1,111,278 | | | | $1,603,587 | | | | $77,955 | | | | $165,887 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
229
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR TM LARGE CAP
MOMENTUM STYLE FUND | | | AQR TM SMALL CAP
MOMENTUM STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 3,971,690 | | | | 3,613,144 | | | | 2,094,916 | | | | 1,377,919 | |
Shares sold | | | 1,220,231 | | | | 1,410,988 | | | | 650,112 | | | | 1,356,767 | |
Shares issued on reinvestment of distributions | | | 55,764 | | | | 34,321 | | | | 14,866 | | | | 10,174 | |
Shares redeemed | | | (763,175 | ) | | | (1,086,763 | ) | | | (249,975 | ) | | | (649,944 | ) |
Shares outstanding, end of period | | | 4,484,510 | | | | 3,971,690 | | | | 2,509,919 | | | | 2,094,916 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 9,538 | | | | 9,457 | | | | 9,764 | | | | 8,788 | |
Shares sold | | | 458,095 | | | | 760 | | | | 167,850 | | | | 2,361 | |
Shares issued on reinvestment of distributions | | | 125 | | | | 82 | | | | 54 | | | | 55 | |
Shares redeemed | | | (27,352 | ) | | | (761 | ) | | | (7,320 | ) | | | (1,440 | ) |
Shares outstanding, end of period | | | 440,406 | | | | 9,538 | | | | 170,348 | | | | 9,764 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 4,730,865 | | | | 4,517,716 | | | | 10,452 | | | | 6,717 | |
Shares sold | | | 684,733 | | | | 1,409,409 | | | | — | | | | 4,295 | |
Shares issued on reinvestment of distributions | | | 72,170 | | | | 52,422 | | | | 81 | | | | 68 | |
Shares redeemed | | | (1,133,990 | ) | | | (1,248,682 | ) | | | (6 | ) | | | (628 | ) |
Shares outstanding, end of period | | | 4,353,778 | | | | 4,730,865 | | | | 10,527 | | | | 10,452 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
230
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR TM INTERNATIONAL
MOMENTUM STYLE FUND | | | AQR LARGE CAP
DEFENSIVE STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | $1,967,026 | | | | $1,643,310 | | | | $16,836,566 | | | | $9,839,351 | |
Net realized gain (loss) | | | (50,751 | ) | | | (4,919,205 | ) | | | 10,732,066 | | | | 5,138,616 | |
Net change in unrealized appreciation (depreciation) | | | 9,894,957 | | | | 8,344,298 | | | | 138,976,696 | | | | 51,359,438 | |
Net increase (decrease) in net assets resulting from operations | | | 11,811,232 | | | | 5,068,403 | | | | 166,545,328 | | | | 66,337,405 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (685,240 | ) | | | (284,457 | ) | | | (7,738,990 | ) | | | (2,142,472 | ) |
Class N | | | (3,572 | ) | | | (1,787 | ) | | | (2,775,125 | ) | | | (528,218 | ) |
Class R6 | | | (1,215,630 | ) | | | (826,613 | ) | | | (2,015,183 | ) | | | (591,390 | ) |
Total | | | (1,904,442 | ) | | | (1,112,857 | ) | | | (12,529,298 | ) | | | (3,262,080 | ) |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | — | | | | — | | | | (2,907,277 | ) | | | (11,772,261 | ) |
Class N | | | — | | | | — | | | | (1,214,616 | ) | | | (3,153,506 | ) |
Class R6 | | | — | | | | — | | | | (721,670 | ) | | | (2,966,065 | ) |
Total | | | — | | | | — | | | | (4,843,563 | ) | | | (17,891,832 | ) |
Total distributions | | | (1,904,442 | ) | | | (1,112,857 | ) | | | (17,372,861 | ) | | | (21,153,912 | ) |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 18,560,003 | | | | 18,384,546 | | | | 326,890,251 | | | | 465,741,590 | |
Reinvestment of distributions | | | 685,240 | | | | 284,457 | | | | 10,296,185 | | | | 13,906,906 | |
Cost of shares redeemed | | | (13,430,020 | ) | | | (9,939,845 | ) | | | (155,458,852 | ) | | | (141,910,504 | ) |
Net increase (decrease) from capital transactions | | | 5,815,223 | | | | 8,729,158 | | | | 181,727,584 | | | | 337,737,992 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 4,746,198 | | | | 64,921 | | | | 101,293,568 | | | | 252,592,188 | |
Reinvestment of distributions | | | 3,572 | | | | 1,787 | | | | 3,988,957 | | | | 3,681,724 | |
Cost of shares redeemed | | | (271,772 | ) | | | (14,300 | ) | | | (126,268,724 | ) | | | (72,065,267 | ) |
Net increase (decrease) from capital transactions | | | 4,477,998 | | | | 52,408 | | | | (20,986,199 | ) | | | 184,208,645 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 10,548,840 | | | | 28,713,881 | | | | 66,260,633 | | | | 133,569,139 | |
Reinvestment of distributions | | | 1,215,630 | | | | 826,613 | | | | 2,735,594 | | | | 3,557,455 | |
Cost of shares redeemed | | | (15,985,275 | ) | | | (24,296,080 | ) | | | (21,617,756 | ) | | | (20,148,273 | ) |
Net increase (decrease) from capital transactions | | | (4,220,805 | ) | | | 5,244,414 | | | | 47,378,471 | | | | 116,978,321 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 6,072,416 | | | | 14,025,980 | | | | 208,119,856 | | | | 638,924,958 | |
Total increase (decrease) in net assets | | | 15,979,206 | | | | 17,981,526 | | | | 357,292,323 | | | | 684,108,451 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 89,786,290 | | | | 71,804,764 | | | | 873,314,761 | | | | 189,206,310 | |
End of period | | | $105,765,496 | | | | $89,786,290 | | | | $1,230,607,084 | | | | $873,314,761 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $1,686,368 | | | | $1,645,428 | | | | $12,934,533 | | | | $8,653,953 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
231
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR TM INTERNATIONAL
MOMENTUM STYLE FUND | | | AQR LARGE CAP
DEFENSIVE STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 2,762,443 | | | | 2,026,170 | | | | 33,090,713 | | | | 10,821,982 | |
Shares sold | | | 1,550,374 | | | | 1,558,631 | | | | 19,100,641 | | | | 30,720,567 | |
Shares issued on reinvestment of distributions | | | 60,856 | | | | 23,724 | | | | 637,535 | | | | 967,774 | |
Shares redeemed | | | (1,152,838 | ) | | | (846,082 | ) | | | (9,286,437 | ) | | | (9,419,610 | ) |
Shares outstanding, end of period | | | 3,220,835 | | | | 2,762,443 | | | | 43,542,452 | | | | 33,090,713 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 13,105 | | | | 8,782 | | | | 14,418,150 | | | | 2,092,861 | |
Shares sold | | | 359,329 | | | | 5,391 | | | | 5,985,115 | | | | 16,757,391 | |
Shares issued on reinvestment of distributions | | | 318 | | | | 150 | | | | 247,147 | | | | 256,209 | |
Shares redeemed | | | (20,596 | ) | | | (1,218 | ) | | | (7,498,089 | ) | | | (4,688,311 | ) |
Shares outstanding, end of period | | | 352,156 | | | | 13,105 | | | | 13,152,323 | | | | 14,418,150 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 4,552,606 | | | | 4,102,795 | | | | 8,114,231 | | | | 7,440 | |
Shares sold | | | 856,159 | | | | 2,438,316 | | | | 3,882,814 | | | | 9,221,194 | |
Shares issued on reinvestment of distributions | | | 108,249 | | | | 69,173 | | | | 169,702 | | | | 248,079 | |
Shares redeemed | | | (1,357,491 | ) | | | (2,057,678 | ) | | | (1,308,745 | ) | | | (1,362,482 | ) |
Shares outstanding, end of period | | | 4,159,523 | | | | 4,552,606 | | | | 10,858,002 | | | | 8,114,231 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
232
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR INTERNATIONAL
DEFENSIVE STYLE FUND | | | AQR EMERGING
DEFENSIVE STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | $3,846,795 | | | | $1,813,836 | | | | $1,143,552 | | | | $774,027 | |
Net realized gain (loss) | | | 432,068 | | | | (271,740 | ) | | | (871,477 | ) | | | (1,278,297 | ) |
Net change in unrealized appreciation (depreciation) | | | 14,750,315 | | | | 6,850,920 | | | | 5,963,387 | | | | 5,123,132 | |
Net increase (decrease) in net assets resulting from operations | | | 19,029,178 | | | | 8,393,016 | | | | 6,235,462 | | | | 4,618,862 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (1,376,647 | ) | | | (763,796 | ) | | | (775,009 | ) | | | (1,068,331 | ) |
Class N | | | (325,467 | ) | | | (2,117 | ) | | | (2,256 | ) | | | (1,572 | ) |
Class R6 | | | (216,668 | ) | | | (1,972 | ) | | | (3,159 | ) | | | (2,585 | ) |
Total | | | (1,918,782 | ) | | | (767,885 | ) | | | (780,424 | ) | | | (1,072,488 | ) |
Total distributions | | | (1,918,782 | ) | | | (767,885 | ) | | | (780,424 | ) | | | (1,072,488 | ) |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 59,917,668 | | | | 64,153,655 | | | | 20,433,053 | | | | 27,630,236 | |
Reinvestment of distributions | | | 1,376,647 | | | | 763,231 | | | | 774,826 | | | | 1,060,287 | |
Cost of shares redeemed | | | (24,967,749 | ) | | | (8,454,631 | ) | | | (13,445,045 | ) | | | (9,817,446 | ) |
Net increase (decrease) from capital transactions | | | 36,326,566 | | | | 56,462,255 | | | | 7,762,834 | | | | 18,873,077 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 17,910,739 | | | | 20,760,013 | | | | 4,546,034 | | | | 633,630 | |
Reinvestment of distributions | | | 325,467 | | | | 2,117 | | | | 2,256 | | | | 1,572 | |
Cost of shares redeemed | | | (12,515,245 | ) | | | (465,768 | ) | | | (387,794 | ) | | | (487,514 | ) |
Net increase (decrease) from capital transactions | | | 5,720,961 | | | | 20,296,362 | | | | 4,160,496 | | | | 147,688 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 7,431,980 | | | | 17,495,519 | | | | — | | | | 146,181 | |
Reinvestment of distributions | | | 216,668 | | | | 1,972 | | | | 3,159 | | | | 2,585 | |
Cost of shares redeemed | | | (4,545,300 | ) | | | (3,654,467 | ) | | | — | | | | (56,356 | ) |
Net increase (decrease) from capital transactions | | | 3,103,348 | | | | 13,843,024 | | | | 3,159 | | | | 92,410 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 45,150,875 | | | | 90,601,641 | | | | 11,926,489 | | | | 19,113,175 | |
Total increase (decrease) in net assets | | | 62,261,271 | | | | 98,226,772 | | | | 17,381,527 | | | | 22,659,549 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 132,647,372 | | | | 34,420,600 | | | | 50,009,122 | | | | 27,349,573 | |
End of period | | | $194,908,643 | | | | $132,647,372 | | | | $67,390,649 | | | | $50,009,122 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $3,446,668 | | | | $1,526,390 | | | | $1,027,799 | | | | $717,058 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
233
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR INTERNATIONAL
DEFENSIVE STYLE FUND | | | AQR EMERGING
DEFENSIVE STYLE FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 8,004,942 | | | | 3,121,519 | | | | 5,639,656 | | | | 3,314,071 | |
Shares sold | | | 4,874,827 | | | | 5,553,130 | | | | 2,394,166 | | | | 3,371,402 | |
Shares issued on reinvestment of distributions | | | 122,805 | | | | 69,133 | | | | 98,079 | | | | 134,896 | |
Shares redeemed | | | (2,068,719 | ) | | | (738,840 | ) | | | (1,539,009 | ) | | | (1,180,713 | ) |
Shares outstanding, end of period | | | 10,933,855 | | | | 8,004,942 | | | | 6,592,892 | | | | 5,639,656 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 1,704,809 | | | | 12,556 | | | | 22,961 | | | | 6,419 | |
Shares sold | | | 1,474,453 | | | | 1,730,261 | | | | 527,245 | | | | 73,524 | |
Shares issued on reinvestment of distributions | | | 28,326 | | | | 187 | | | | 279 | | | | 195 | |
Shares redeemed | | | (990,965 | ) | | | (38,195 | ) | | | (41,441 | ) | | | (57,177 | ) |
Shares outstanding, end of period | | | 2,216,623 | | | | 1,704,809 | | | | 509,044 | | | | 22,961 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 1,213,597 | | | | 8,096 | | | | 21,705 | | | | 9,146 | |
Shares sold | | | 619,312 | | | | 1,521,529 | | | | — | | | | 18,922 | |
Shares issued on reinvestment of distributions | | | 19,363 | | | | 179 | | | | 401 | | | | 330 | |
Shares redeemed | | | (365,551 | ) | | | (316,207 | ) | | | — | | | | (6,693 | ) |
Shares outstanding, end of period | | | 1,486,721 | | | | 1,213,597 | | | | 22,106 | | | | 21,705 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
234
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR GLOBAL
EQUITY FUND | | | AQR INTERNATIONAL
EQUITY FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | |
| OPERATIONS: | | | | | | | | | | | | | | | | |
Net investment income (loss) | | | $2,290,063 | | | | $2,971,159 | | | | $7,839,516 | | | | $10,940,097 | |
Net realized gain (loss) | | | 11,600,253 | | | | 29,215,885 | | | | 27,108,617 | | | | 42,272,061 | |
Net change in unrealized appreciation (depreciation) | | | 16,779,337 | | | | (7,560,125 | ) | | | 40,336,968 | | | | (8,355,868 | ) |
Net increase (decrease) in net assets resulting from operations | | | 30,669,653 | | | | 24,626,919 | | | | 75,285,101 | | | | 44,856,290 | |
| | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (653,994 | ) | | | (506,575 | ) | | | (10,863,361 | ) | | | (6,541,592 | ) |
Class N | | | (28,840 | ) | | | (6,423 | ) | | | (974,412 | ) | | | (614,398 | ) |
Class R6 | | | (2,583,720 | ) | | | (1,217,400 | ) | | | (467,204 | ) | | | (656,409 | ) |
Class Y | | | — | | | | (3,414,898 | ) | | | — | | | | (8,051,362 | ) |
Total | | | (3,266,554 | ) | | | (5,145,296 | ) | | | (12,304,977 | ) | | | (15,863,761 | ) |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | (2,182,402 | ) | | | (1,816,068 | ) | | | (4,934,344 | ) | | | (3,956,397 | ) |
Class N | | | (106,171 | ) | | | (43,077 | ) | | | (484,430 | ) | | | (441,881 | ) |
Class R6 | | | (7,739,962 | ) | | | (4,517,439 | ) | | | (204,168 | ) | | | (382,785 | ) |
Class Y | | | — | | | | (11,253,865 | ) | | | — | | | | (4,100,460 | ) |
Total | | | (10,028,535 | ) | | | (17,630,449 | ) | | | (5,622,942 | ) | | | (8,881,523 | ) |
Total distributions | | | (13,295,089 | ) | | | (22,775,745 | ) | | | (17,927,919 | ) | | | (24,745,284 | ) |
| | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 12,128,871 | | | | 2,993,256 | | | | 84,815,575 | | | | 128,184,249 | |
Reinvestment of distributions | | | 2,835,116 | | | | 2,322,643 | | | | 14,138,963 | | | | 9,424,064 | |
Cost of shares redeemed | | | (10,315,994 | ) | | | (7,758,323 | ) | | | (171,249,833 | ) | | | (108,490,777 | ) |
Net increase (decrease) from capital transactions | | | 4,647,993 | | | | (2,442,424 | ) | | | (72,295,295 | ) | | | 29,117,536 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 1,153,074 | | | | 978,266 | | | | 9,270,889 | | | | 6,615,072 | |
Reinvestment of distributions | | | 135,011 | | | | 49,060 | | | | 1,335,280 | | | | 981,695 | |
Cost of shares redeemed | | | (939,549 | ) | | | (192,346 | ) | | | (37,068,943 | ) | | | (8,603,919 | ) |
Net increase (decrease) from capital transactions | | | 348,536 | | | | 834,980 | | | | (26,462,774 | ) | | | (1,007,152 | ) |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 16,049,836 | | | | 11,086,258 | | | | 26,475,529 | | | | 13,218,194 | |
Reinvestment of distributions | | | 10,323,682 | | | | 5,734,839 | | | | 671,372 | | | | 1,039,194 | |
Cost of shares redeemed | | | (70,541 | ) | | | (111,189 | ) | | | (2,904,530 | ) | | | (724,458 | ) |
Cost of shares redeemed on in kind | | | — | | | | — | | | | — | | | | (32,220,986 | ) |
Net increase (decrease) from capital transactions | | | 26,302,977 | | | | 16,709,908 | | | | 24,242,371 | | | | (18,688,056 | ) |
| CLASS Y(a) | | | | | | | | | | | | | | | | |
Reinvestment of distributions | | | — | | | | 14,668,763 | | | | — | | | | 12,151,822 | |
Cost of shares redeemed | | | — | | | | (122,861,157 | ) | | | — | | | | (1,143 | ) |
Cost of shares redeemed on in kind | | | — | | | | (99,731,073 | ) | | | — | | | | (358,280,995 | ) |
Redemption fees | | | — | | | | 122,861 | | | | — | | | | — | |
Net increase (decrease) from capital transactions | | | — | | | | (207,800,606 | ) | | | — | | | | (346,130,316 | ) |
| Net increase (decrease) in net assets resulting from capital transactions | | | 31,299,506 | | | | (192,698,142 | ) | | | (74,515,698 | ) | | | (336,707,988 | ) |
| Total increase (decrease) in net assets | | | 48,674,070 | | | | (190,846,968 | ) | | | (17,158,516 | ) | | | (316,596,982 | ) |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 141,298,190 | | | | 332,145,158 | | | | 422,214,068 | | | | 738,811,050 | |
End of period | | | $189,972,260 | | | | $141,298,190 | | | | $405,055,552 | | | | $422,214,068 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $1,532,540 | | | | $2,528,112 | | | | $5,830,715 | | | | $10,358,726 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
235
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR GLOBAL
EQUITY FUND | | | AQR INTERNATIONAL
EQUITY FUND | |
| | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2017 | | | FOR THE
YEAR ENDED
SEPTEMBER 30,
2016 | |
|
| CHANGES IN SHARES OUTSTANDING: | |
| CLASS I | |
Shares outstanding, beginning of period | | | 4,067,125 | | | | 4,380,799 | | | | 36,446,082 | | | | 33,377,117 | |
Shares sold | | | 1,502,926 | | | | 391,296 | | | | 8,011,359 | | | | 13,308,235 | |
Shares issued on reinvestment of distributions | | | 376,010 | | | | 302,087 | | | | 1,482,072 | | | | 985,781 | |
Shares redeemed | | | (1,274,649 | ) | | | (1,007,057 | ) | | | (16,268,577 | ) | | | (11,225,051 | ) |
Shares outstanding, end of period | | | 4,671,412 | | | | 4,067,125 | | | | 29,670,936 | | | | 36,446,082 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 212,001 | | | | 98,923 | | | | 3,604,797 | | | | 3,703,495 | |
Shares sold | | | 141,204 | | | | 131,671 | | | | 875,834 | | | | 673,280 | |
Shares issued on reinvestment of distributions | | | 17,978 | | | | 6,405 | | | | 137,092 | | | | 100,790 | |
Shares redeemed | | | (116,137 | ) | | | (24,998 | ) | | | (3,366,079 | ) | | | (872,768 | ) |
Shares outstanding, end of period | | | 255,046 | | | | 212,001 | | | | 1,251,644 | | | | 3,604,797 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 13,023,243 | | | | 10,836,304 | | | | 1,335,884 | | | | 3,212,966 | |
Shares sold | | | 1,934,027 | | | | 1,460,127 | | | | 2,411,991 | | | | 1,283,890 | |
Shares issued on reinvestment of distributions | | | 1,360,169 | | | | 741,067 | | | | 66,341 | | | | 102,687 | |
Shares redeemed | | | (8,221 | ) | | | (14,255 | ) | | | (253,366 | ) | | | (70,839 | ) |
Shares redeemed in kind | | | — | | | | — | | | | — | | | | (3,192,820 | ) |
Shares outstanding, end of period | | | 16,309,218 | | | | 13,023,243 | | | | 3,560,850 | | | | 1,335,884 | |
| CLASS Y(a) | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | | | | 26,995,455 | | | | — | | | | 34,301,988 | |
Shares issued on reinvestment of distributions | | | — | | | | 1,895,655 | | | | — | | | | 1,201,960 | |
Shares redeemed | | | — | | | | (15,768,729 | ) | | | — | | | | — | |
Shares redeemed in kind | | | — | | | | (13,122,381 | ) | | | — | | | | (35,503,948 | ) |
Shares outstanding, end of period | | | — | | | | — | | | | — | | | | — | |
| | (a) | Class Y closed on April 1, 2016 and May 9, 2016 for AQR International Equity Fund and AQR Global Equity Fund, respectively. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
236
| | |
| Statements of Changes in Net Assets | | September 30, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR
LARGE CAP
RELAXED
CONSTRAINT
EQUITY
FUND | | | AQR
SMALL CAP
RELAXED
CONSTRAINT
EQUITY
FUND | | | AQR
INTERNATIONAL
RELAXED
CONSTRAINT
EQUITY
FUND | | | AQR
EMERGING
RELAXED
CONSTRAINT
EQUITY
FUND | |
| | | FOR THE
PERIOD
12/14/16*-
9/30/17 | | | FOR THE
PERIOD
12/14/16*-
9/30/17 | | | FOR THE
PERIOD
12/14/16*-
9/30/17 | | | FOR THE
PERIOD
12/14/16*-
9/30/17 | |
| OPERATIONS: | |
Net investment income (loss) | | $ | 69,027 | | | $ | (2,677 | ) | | $ | 123,723 | | | $ | 43,615 | |
Net realized gain (loss) | | | (39,665 | ) | | | (130,457 | ) | | | 43,434 | | | | 72,887 | |
Net change in unrealized appreciation (depreciation) | | | 1,198,320 | | | | 244,232 | | | | 1,387,106 | | | | 804,369 | |
Net increase (decrease) in net assets resulting from operations | | | 1,227,682 | | | | 111,098 | | | | 1,554,263 | | | | 920,871 | |
| | | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 12,983,234 | | | | 1,490,338 | | | | 6,484,383 | | | | 4,817,453 | |
Cost of shares redeemed | | | (286,671 | ) | | | (189,170 | ) | | | (76,732 | ) | | | (69,013 | ) |
Net increase (decrease) from capital transactions | | | 12,696,563 | | | | 1,301,168 | | | | 6,407,651 | | | | 4,748,440 | |
| | | | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 1,186,574 | | | | 652,860 | | | | 1,816,453 | | | | 1,797,659 | |
Cost of shares redeemed | | | (302,831 | ) | | | (92,255 | ) | | | (99,652 | ) | | | (114,361 | ) |
Net increase (decrease) from capital transactions | | | 883,743 | | | | 560,605 | | | | 1,716,801 | | | | 1,683,298 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 1,754,717 | | | | 1,291,979 | | | | 2,099,000 | | | | 17,599,000 | |
Net increase (decrease) from capital transactions | | | 1,754,717 | | | | 1,291,979 | | | | 2,099,000 | | | | 17,599,000 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 15,335,023 | | | | 3,153,752 | | | | 10,223,452 | | | | 24,030,738 | |
| Total increase (decrease) in net assets | | | 16,562,705 | | | | 3,264,850 | | | | 11,777,715 | | | | 24,951,609 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | — | | | | — | | | | — | | | | — | |
End of period | | $ | 16,562,705 | | | $ | 3,264,850 | | | $ | 11,777,715 | | | $ | 24,951,609 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | | $100,832 | | | | $28,629 | | | | $170,979 | | | | $38,814 | |
|
| CHANGES IN SHARES OUTSTANDING: | |
| CLASS I | |
Shares outstanding, beginning of period | | | — | | | | — | | | | — | | | | — | |
Shares sold | | | 1,228,307 | | | | 150,276 | | | | 565,347 | | | | 411,586 | |
Shares redeemed | | | (26,491 | ) | | | (19,520 | ) | | | (6,267 | ) | | | (5,580 | ) |
Shares outstanding, end of period | | | 1,201,816 | | | | 130,756 | | | | 559,080 | | | | 406,006 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | | | | — | | | | — | | | | — | |
Shares sold | | | 118,572 | | | | 65,305 | | | | 164,254 | | | | 163,536 | |
Shares redeemed | | | (28,409 | ) | | | (9,516 | ) | | | (8,104 | ) | | | (9,309 | ) |
Shares outstanding, end of period | | | 90,163 | | | | 55,789 | | | | 156,150 | | | | 154,227 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | — | | | | — | | | | — | | | | — | |
Shares sold | | | 174,492 | | | | 129,090 | | | | 207,857 | | | | 1,405,781 | |
Shares outstanding, end of period | | | 174,492 | | | | 129,090 | | | | 207,857 | | | | 1,405,781 | |
| | * | Commencement of operations. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
237
| | |
| Statements of Cash Flows | | September 30, 2017 |
| | | | | | | | | | | | |
| | | AQR
LARGE CAP
RELAXED
CONSTRAINT
EQUITY FUND | | | AQR
SMALL CAP
RELAXED
CONSTRAINT
EQUITY FUND | | | AQR
INTERNATIONAL
RELAXED
CONSTRAINT
EQUITY FUND | |
| CASH FLOWS FROM OPERATING ACTIVITIES: | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 1,227,682 | | | $ | 111,098 | | | $ | 1,554,263 | |
| Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities: | | | | | | | | | | | | |
Payments to purchase securities | | | (27,398,494 | ) | | | (6,608,144 | ) | | | (22,451,704 | ) |
Payments to cover short positions in securities | | | (1,613,490 | ) | | | (644,733 | ) | | | (1,096,788 | ) |
Proceeds from short positions in securities | | | 6,287,119 | | | | 1,484,268 | | | | 4,281,404 | |
Proceeds from sale of securities | | | 7,533,853 | | | | 2,648,608 | | | | 9,016,007 | |
(Purchases) sales of short-term investments, net | | | (354,192 | ) | | | (50,777 | ) | | | (49,186 | ) |
Realized (gain) loss on investments in securities | | | (50,946 | ) | | | 100,399 | | | | (161,090 | ) |
Realized (gain) loss on short positions in securities | | | 68,969 | | | | 30,058 | | | | 130,015 | |
Change in unrealized (appreciation) depreciation on investments in securities | | | (1,354,494 | ) | | | (297,994 | ) | | | (1,529,212 | ) |
Change in unrealized (appreciation) depreciation on short positions in securities | | | 156,174 | | | | 53,762 | | | | 142,170 | |
| (Increases) decreases in operating assets | | | | | | | | | | | | |
Foreign tax reclaim | | | — | | | | — | | | | (5,621 | ) |
Dividend receivable | | | (20,075 | ) | | | (2,316 | ) | | | (42,238 | ) |
Due from Investment Adviser | | | (1,051 | ) | | | (7,708 | ) | | | — | |
Prepaid expenses | | | (34,574 | ) | | | (19,711 | ) | | | (19,693 | ) |
| Increases (decreases) in operating liabilities | | | | | | | | | | | | |
Payable for securities purchased | | | 195,919 | | | | — | | | | — | |
Accrued investment advisory fees | | | — | | | | — | | | | 8,344 | |
Accrued distribution fees—Class N | | | 209 | | | | 113 | | | | 404 | |
Dividends and interest payable on securities sold short | | | 4,282 | | | | 771 | | | | 7,890 | |
Other accrued expenses and liabilities | | | 51,545 | | | | 48,587 | | | | 50,451 | |
Net cash provided by (used in) operating activities | | $ | (15,301,564 | ) | | $ | (3,153,719 | ) | | $ | (10,164,585 | ) |
| CASH FLOWS FROM FINANCING ACTIVITIES | | | | | | | | | | | | |
Proceeds from shares sold | | | 15,904,560 | | | | 3,435,177 | | | | 10,399,836 | |
Payments on shares redeemed | | | (589,502 | ) | | | (281,425 | ) | | | (175,884 | ) |
Net cash provided by (used in) financing activities | | $ | 15,315,058 | | | $ | 3,153,752 | | | $ | 10,223,952 | |
| Net change in cash and cash denominated in foreign currencies | | | 13,494 | | | | 33 | | | | 59,367 | |
Cash, beginning of period | | | — | | | | — | | | | — | |
Cash, end of period | | $ | 13,494 | | | $ | 33 | | | $ | 59,367 | |
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $17,402, $7,729 and $14,871.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
238
[Intentionally Left Blank]
| | |
| Financial Highlights | | September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | PER SHARE OPERATING PERFORMANCE | |
| | | | | | Change in Net Assets Resulting from
Operations1 | | | Less Dividends and Distributions | |
| | | Net Asset
Value,
Beginning
of Period | | | Net
Investment
Income
(Loss) | | | Net
Realized
and
Unrealized
Gain (Loss) | | | Net
Increase
(Decrease)
in Net
Asset
Value from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Gains | | | Total
Distributions | |
| AQR LARGE CAP MULTI-STYLE FUND CLASS I6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 14.00 | | | | 0.22 | | | | 2.84 | | | | 3.06 | | | | (0.19 | ) | | | — | | | | (0.19 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 13.25 | | | | 0.19 | | | | 0.68 | | | | 0.87 | | | | (0.12 | ) | | | (0.00 | )7 | | | (0.12 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 13.36 | | | | 0.16 | | | | (0.15 | ) | | | 0.01 | | | | (0.06 | ) | | | (0.06 | ) | | | (0.12 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 11.09 | | | | 0.15 | | | | 2.21 | | | | 2.36 | | | | (0.04 | ) | | | (0.05 | ) | | | (0.09 | ) |
| FOR THE PERIOD 3/26/138—9/30/13 | | $ | 10.00 | | | | 0.06 | 9 | | | 1.03 | | | | 1.09 | | | | — | | | | — | | | | — | |
| AQR LARGE CAP MULTI-STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 13.94 | | | | 0.18 | | | | 2.82 | | | | 3.00 | | | | (0.15 | ) | | | — | | | | (0.15 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 13.19 | | | | 0.16 | | | | 0.68 | | | | 0.84 | | | | (0.09 | ) | | | (0.00 | )7 | | | (0.09 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 13.33 | | | | 0.13 | | | | (0.16 | ) | | | (0.03 | ) | | | (0.05 | ) | | | (0.06 | ) | | | (0.11 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 11.09 | | | | 0.11 | | | | 2.21 | | | | 2.32 | | | | (0.03 | ) | | | (0.05 | ) | | | (0.08 | ) |
| FOR THE PERIOD 3/26/138—9/30/13 | | $ | 10.00 | | | | 0.04 | 9 | | | 1.05 | | | | 1.09 | | | | — | | | | — | | | | — | |
| AQR LARGE CAP MULTI-STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 14.00 | | | | 0.24 | | | | 2.84 | | | | 3.08 | | | | (0.21 | ) | | | — | | | | (0.21 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 13.25 | | | | 0.21 | | | | 0.68 | | | | 0.89 | | | | (0.14 | ) | | | (0.00 | )7 | | | (0.14 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 13.36 | | | | 0.18 | | | | (0.17 | ) | | | 0.01 | | | | (0.06 | ) | | | (0.06 | ) | | | (0.12 | ) |
| FOR THE PERIOD 7/10/1412—9/30/14 | | $ | 13.32 | | | | 0.04 | | | | 0.00 | 7 | | | 0.04 | | | | — | | | | — | | | | — | |
| AQR SMALL CAP MULTI-STYLE FUND CLASS I6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 13.96 | | | | 0.12 | 21 | | | 2.39 | | | | 2.51 | | | | (0.14 | ) | | | (0.24 | ) | | | (0.38 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 12.30 | | | | 0.13 | | | | 1.56 | | | | 1.69 | | | | (0.03 | ) | | | (0.00 | )7 | | | (0.03 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 12.34 | | | | 0.12 | 13 | | | 0.02 | 14 | | | 0.14 | | | | (0.03 | ) | | | (0.15 | ) | | | (0.18 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 11.88 | | | | 0.05 | 15 | | | 0.57 | | | | 0.62 | | | | (0.04 | ) | | | (0.12 | ) | | | (0.16 | ) |
| FOR THE PERIOD 3/26/138—9/30/13 | | $ | 10.00 | | | | 0.03 | 9 | | | 1.85 | | | | 1.88 | | | | — | | | | — | | | | — | |
| AQR SMALL CAP MULTI-STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 13.90 | | | | 0.08 | 21 | | | 2.37 | | | | 2.45 | | | | (0.10 | ) | | | (0.24 | ) | | | (0.34 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 12.25 | | | | 0.10 | | | | 1.55 | | | | 1.65 | | | | (0.00 | )7 | | | (0.00 | )7 | | | (0.00 | )7 |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 12.30 | | | | 0.09 | 13 | | | 0.01 | 14 | | | 0.10 | | | | (0.00 | )7 | | | (0.15 | ) | | | (0.15 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 11.87 | | | | 0.01 | 15 | | | 0.56 | | | | 0.57 | | | | (0.02 | ) | | | (0.12 | ) | | | (0.14 | ) |
| FOR THE PERIOD 3/26/138—9/30/13 | | $ | 10.00 | | | | 0.01 | 9 | | | 1.86 | | | | 1.87 | | | | — | | | | — | | | | — | |
| AQR SMALL CAP MULTI-STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 13.98 | | | | 0.13 | 21 | | | 2.39 | | | | 2.52 | | | | (0.15 | ) | | | (0.24 | ) | | | (0.39 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 12.31 | | | | 0.16 | | | | 1.55 | | | | 1.71 | | | | (0.04 | ) | | | (0.00 | )7 | | | (0.04 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 12.35 | | | | 0.15 | 13 | | | 0.00 | 7,14 | | | 0.15 | | | | (0.04 | ) | | | (0.15 | ) | | | (0.19 | ) |
| FOR THE PERIOD 7/10/1412—9/30/14 | | $ | 12.95 | | | | 0.01 | 15 | | | (0.61 | )14 | | | (0.60 | ) | | | — | | | | — | | | | — | |
| AQR INTERNATIONAL MULTI-STYLE FUND CLASS I6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 10.23 | | | | 0.24 | | | | 1.74 | | | | 1.98 | | | | (0.26 | ) | | | — | | | | (0.26 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 10.21 | | | | 0.26 | | | | (0.09 | ) | | | 0.17 | | | | (0.15 | ) | | | — | | | | (0.15 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 11.47 | | | | 0.27 | 13 | | | (1.26 | ) | | | (0.99 | ) | | | (0.19 | ) | | | (0.08 | ) | | | (0.27 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 11.28 | | | | 0.28 | | | | 0.01 | 14 | | | 0.29 | | | | (0.10 | ) | | | — | | | | (0.10 | ) |
| FOR THE PERIOD 3/26/138—9/30/13 | | $ | 10.00 | | | | 0.13 | 9 | | | 1.15 | | | | 1.28 | | | | — | | | | — | | | | — | |
| AQR INTERNATIONAL MULTI-STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 10.20 | | | | 0.21 | | | | 1.75 | | | | 1.96 | | | | (0.24 | ) | | | — | | | | (0.24 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 10.20 | | | | 0.23 | | | | (0.10 | ) | | | 0.13 | | | | (0.13 | ) | | | — | | | | (0.13 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 11.44 | | | | 0.24 | 13 | | | (1.25 | ) | | | (1.01 | ) | | | (0.15 | ) | | | (0.08 | ) | | | (0.23 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 11.27 | | | | 0.24 | | | | 0.01 | 14 | | | 0.25 | | | | (0.08 | ) | | | — | | | | (0.08 | ) |
| FOR THE PERIOD 3/26/138—9/30/13 | | $ | 10.00 | | | | 0.15 | 9 | | | 1.12 | | | | 1.27 | | | | — | | | | — | | | | — | |
| AQR INTERNATIONAL MULTI-STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 10.22 | | | | 0.26 | | | | 1.73 | | | | 1.99 | | | | (0.27 | ) | | | — | | | | (0.27 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 10.20 | | | | 0.25 | | | | (0.07 | ) | | | 0.18 | | | | (0.16 | ) | | | — | | | | (0.16 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 11.47 | | | | 0.30 | 13 | | | (1.28 | ) | | | (0.98 | ) | | | (0.21 | ) | | | (0.08 | ) | | | (0.29 | ) |
| FOR THE PERIOD 7/10/1412—9/30/14 | | $ | 11.94 | | | | 0.13 | | | | (0.60 | ) | | | (0.47 | ) | | | — | | | | — | | | | — | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
240
| | |
| Financial Highlights | | September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | 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 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $16.87 | | | | 22.01 | % | | | $457,339 | | | | 0.45 | % | | | 0.44 | % | | | 0.44 | % | | | 1.46 | % | | | 61 | % | | | | |
| | $14.00 | | | | 6.61 | % | | | $627,269 | | | | 0.46 | % | | | 0.45 | % | | | 0.45 | % | | | 1.43 | % | | | 80 | % | | | | |
| | $13.25 | | | | 0.03 | % | | | $490,709 | | | | 0.54 | % | | | 0.49 | % | | | 0.49 | % | | | 1.17 | % | | | 59 | % | | | | |
| | $13.36 | | | | 21.39 | % | | | $166,058 | | | | 0.71 | % | | | 0.54 | % | | | 0.54 | % | | | 1.17 | % | | | 277 | % | | | | |
| | $11.09 | | | | 10.90 | % | | | $18,811 | | | | 1.80 | %10,11 | | | 0.54 | % | | | 0.54 | % | | | 1.09 | %9 | | | 223 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $16.79 | | | | 21.69 | % | | | $62,679 | | | | 0.71 | % | | | 0.70 | % | | | 0.70 | % | | | 1.19 | % | | | 61 | % | | | | |
| | $13.94 | | | | 6.40 | % | | | $64,718 | | | | 0.71 | % | | | 0.70 | % | | | 0.70 | % | | | 1.18 | % | | | 80 | % | | | | |
| | $13.19 | | | | (0.25 | )% | | | $59,733 | | | | 0.79 | % | | | 0.74 | % | | | 0.74 | % | | | 0.93 | % | | | 59 | % | | | | |
| | $13.33 | | | | 21.05 | % | | | $10,328 | | | | 1.14 | % | | | 0.79 | % | | | 0.79 | % | | | 0.90 | % | | | 277 | % | | | | |
| | $11.09 | | | | 10.90 | % | | | $1,403 | | | | 4.30 | %10,11 | | | 0.79 | % | | | 0.79 | % | | | 0.72 | %9 | | | 223 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $16.87 | | | | 22.18 | % | | | $1,246,028 | | | | 0.36 | % | | | 0.35 | % | | | 0.35 | % | | | 1.54 | % | | | 61 | % | | | | |
| | $14.00 | | | | 6.71 | % | | | $792,665 | | | | 0.37 | % | | | 0.35 | % | | | 0.35 | % | | | 1.52 | % | | | 80 | % | | | | |
| | $13.25 | | | | 0.07 | % | | | $563,785 | | | | 0.42 | % | | | 0.36 | % | | | 0.36 | % | | | 1.28 | % | | | 59 | % | | | | |
| | $13.36 | | | | 0.30 | % | | | $42,256 | | | | 0.61 | % | | | 0.44 | % | | | 0.44 | % | | | 1.23 | % | | | 277 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $16.09 | | | | 18.12 | % | | | $55,115 | | | | 0.69 | % | | | 0.65 | % | | | 0.65 | % | | | 0.79 | %21 | | | 61 | % | | | | |
| | $13.96 | | | | 13.74 | % | | | $45,483 | | | | 0.75 | % | | | 0.65 | % | | | 0.65 | % | | | 1.00 | % | | | 96 | % | | | | |
| | $12.30 | | | | 1.02 | % | | | $26,634 | | | | 1.17 | % | | | 0.68 | % | | | 0.68 | % | | | 0.88 | %13 | | | 228 | % | | | | |
| | $12.34 | | | | 5.13 | % | | | $8,233 | | | | 2.58 | % | | | 0.75 | % | | | 0.75 | % | | | 0.37 | %15 | | | 189 | % | | | | |
| | $11.88 | | | | 18.80 | % | | | $2,184 | | | | 5.84 | %10 | | | 0.75 | % | | | 0.75 | % | | | 0.45 | %9 | | | 70 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $16.01 | | | | 17.79 | % | | | $8,624 | | | | 0.94 | % | | | 0.90 | % | | | 0.90 | % | | | 0.53 | %21 | | | 61 | % | | | | |
| | $13.90 | | | | 13.51 | % | | | $9,733 | | | | 0.99 | % | | | 0.90 | % | | | 0.90 | % | | | 0.76 | % | | | 96 | % | | | | |
| | $12.25 | | | | 0.72 | % | | | $5,681 | | | | 1.40 | % | | | 0.93 | % | | | 0.93 | % | | | 0.65 | %13 | | | 228 | % | | | | |
| | $12.30 | | | | 4.78 | % | | | $1,284 | | | | 3.27 | % | | | 1.00 | % | | | 1.00 | % | | | 0.11 | %15 | | | 189 | % | | | | |
| | $11.87 | | | | 18.70 | % | | | $1,381 | | | | 6.40 | %10 | | | 1.00 | % | | | 1.00 | % | | | 0.17 | %9 | | | 70 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $16.11 | | | | 18.17 | % | | | $733,984 | | | | 0.59 | % | | | 0.55 | % | | | 0.55 | % | | | 0.89 | %21 | | | 61 | % | | | | |
| | $13.98 | | | | 13.90 | % | | | $687,986 | | | | 0.62 | % | | | 0.55 | % | | | 0.55 | % | | | 1.23 | % | | | 96 | % | | | | |
| | $12.31 | | | | 1.06 | % | | | $9,494 | | | | 0.96 | % | | | 0.55 | % | | | 0.55 | % | | | 1.17 | %13 | | | 228 | % | | | | |
| | $12.35 | | | | (4.63 | )% | | | $95 | | | | 2.34 | % | | | 0.65 | % | | | 0.65 | % | | | 0.45 | %15 | | | 189 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.95 | | | | 19.91 | % | | | $76,307 | | | | 0.65 | % | | | 0.60 | %19 | | | 0.60 | %19 | | | 2.26 | %20 | | | 55 | % | | | | |
| | $10.23 | | | | 1.62 | % | | | $68,288 | | | | 0.68 | % | | | 0.59 | % | | | 0.59 | % | | | 2.62 | % | | | 106 | % | | | | |
| | $10.21 | | | | (8.78 | )% | | | $40,047 | | | | 0.82 | % | | | 0.64 | % | | | 0.64 | % | | | 2.45 | %13 | | | 236 | % | | | | |
| | $11.47 | | | | 2.53 | % | | | $26,729 | | | | 1.38 | % | | | 0.70 | % | | | 0.70 | % | | | 2.36 | % | | | 204 | % | | | | |
| | $11.28 | | | | 12.80 | % | | | $15,810 | | | | 2.16 | %10 | | | 0.70 | % | | | 0.70 | % | | | 2.25 | %9 | | | 218 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.92 | | | | 19.69 | % | | | $8,836 | | | | 0.91 | % | | | 0.85 | %19 | | | 0.85 | %19 | | | 1.95 | %20 | | | 55 | % | | | | |
| | $10.20 | | | | 1.28 | % | | | $8,491 | | | | 0.93 | % | | | 0.85 | % | | | 0.85 | % | | | 2.32 | % | | | 106 | % | | | | |
| | $10.20 | | | | (8.92 | )% | | | $4,142 | | | | 1.06 | % | | | 0.88 | % | | | 0.88 | % | | | 2.19 | %13 | | | 236 | % | | | | |
| | $11.44 | | | | 2.19 | % | | | $2,756 | | | | 1.85 | % | | | 0.95 | % | | | 0.95 | % | | | 2.02 | % | | | 204 | % | | | | |
| | $11.27 | | | | 12.70 | % | | | $2,154 | | | | 4.10 | %10 | | | 0.95 | % | | | 0.95 | % | | | 2.65 | %9 | | | 218 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.94 | | | | 20.04 | % | | | $385,126 | | | | 0.56 | % | | | 0.50 | %19 | | | 0.50 | %19 | | | 2.41 | %20 | | | 55 | % | | | | |
| | $10.22 | | | | 1.71 | % | | | $301,294 | | | | 0.59 | % | | | 0.50 | % | | | 0.50 | % | | | 2.52 | % | | | 106 | % | | | | |
| | $10.20 | | | | (8.68 | )% | | | $241,780 | | | | 0.66 | % | | | 0.51 | % | | | 0.51 | % | | | 2.70 | %13 | | | 236 | % | | | | |
| | $11.47 | | | | (3.94 | )% | | | $26,412 | | | | 1.34 | % | | | 0.60 | % | | | 0.60 | % | | | 5.13 | % | | | 204 | % | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
241
| | |
| Financial Highlights | | September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | PER SHARE OPERATING PERFORMANCE | |
| | | | | | Change in Net Assets Resulting from
Operations1 | | | Less Dividends and Distributions | |
| | | Net Asset
Value,
Beginning
of Period | | | Net
Investment
Income
(Loss) | | | Net
Realized
and
Unrealized
Gain (Loss) | | | Net
Increase
(Decrease)
in Net
Asset
Value from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Gains | | | Total
Distributions | |
| AQR EMERGING MULTI-STYLE FUND CLASS I6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $8.95 | | | | 0.18 | | | | 1.75 | | | | 1.93 | | | | (0.17 | ) | | | — | | | | (0.17 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $8.19 | | | | 0.15 | | | | 0.81 | | | | 0.96 | | | | (0.20 | ) | | | — | | | | (0.20 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $9.96 | | | | 0.27 | | | | (1.97 | ) | | | (1.70 | ) | | | (0.07 | ) | | | — | | | | (0.07 | ) |
| FOR THE PERIOD 5/13/148—9/30/14 | | | $10.00 | | | | 0.14 | | | | (0.18 | ) | | | (0.04 | ) | | | — | | | | — | | | | — | |
| AQR EMERGING MULTI-STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $8.93 | | | | 0.14 | | | | 1.76 | | | | 1.90 | | | | (0.15 | ) | | | — | | | | (0.15 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $8.17 | | | | 0.13 | | | | 0.81 | | | | 0.94 | | | | (0.18 | ) | | | — | | | | (0.18 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $9.95 | | | | 0.29 | | | | (2.01 | ) | | | (1.72 | ) | | | (0.06 | ) | | | — | | | | (0.06 | ) |
| FOR THE PERIOD 5/13/148—9/30/14 | | | $10.00 | | | | 0.14 | | | | (0.19 | ) | | | (0.05 | ) | | | — | | | | — | | | | — | |
| AQR EMERGING MULTI-STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $8.97 | | | | 0.19 | | | | 1.74 | | | | 1.93 | | | | (0.18 | ) | | | — | | | | (0.18 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $8.20 | | | | 0.16 | | | | 0.81 | | | | 0.97 | | | | (0.20 | ) | | | — | | | | (0.20 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $9.96 | | | | 0.45 | | | | (2.14 | ) | | | (1.69 | ) | | | (0.07 | ) | | | — | | | | (0.07 | ) |
| FOR THE PERIOD 7/10/1412—9/30/14 | | | $10.47 | | | | 0.05 | | | | (0.56 | ) | | | (0.51 | ) | | | — | | | | — | | | | — | |
| AQR TM LARGE CAP MULTI-STYLE FUND CLASS I6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $10.00 | | | | 0.16 | | | | 2.05 | | | | 2.21 | | | | (0.12 | ) | | | (0.00 | )7 | | | (0.12 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $9.42 | | | | 0.15 | | | | 0.49 | | | | 0.64 | | | | (0.05 | ) | | | (0.01 | ) | | | (0.06 | ) |
| FOR THE PERIOD 2/11/158—9/30/15 | | | $10.00 | | | | 0.08 | | | | (0.66 | ) | | | (0.58 | ) | | | — | | | | — | | | | — | |
| AQR TM LARGE CAP MULTI-STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $9.97 | | | | 0.13 | | | | 2.05 | | | | 2.18 | | | | (0.10 | ) | | | (0.00 | )7 | | | (0.10 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $9.40 | | | | 0.13 | | | | 0.48 | | | | 0.61 | | | | (0.03 | ) | | | (0.01 | ) | | | (0.04 | ) |
| FOR THE PERIOD 2/11/158—9/30/15 | | | $10.00 | | | | 0.06 | | | | (0.66 | ) | | | (0.60 | ) | | | — | | | | — | | | | — | |
| AQR TM LARGE CAP MULTI-STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $10.01 | | | | 0.17 | | | | 2.05 | | | | 2.22 | | | | (0.13 | ) | | | (0.00 | )7 | | | (0.13 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $9.42 | | | | 0.16 | | | | 0.49 | | | | 0.65 | | | | (0.05 | ) | | | (0.01 | ) | | | (0.06 | ) |
| FOR THE PERIOD 2/11/158—9/30/15 | | | $10.00 | | | | 0.08 | | | | (0.66 | ) | | | (0.58 | ) | | | — | | | | — | | | | — | |
| AQR TM SMALL CAP MULTI-STYLE FUND CLASS I6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $10.31 | | | | 0.09 | | | | 1.74 | | | | 1.83 | | | | (0.11 | ) | | | — | | | | (0.11 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $9.21 | | | | 0.12 | 16 | | | 1.04 | | | | 1.16 | | | | (0.06 | ) | | | — | | | | (0.06 | ) |
| FOR THE PERIOD 2/11/158—9/30/15 | | | $10.00 | | | | 0.05 | | | | (0.84 | ) | | | (0.79 | ) | | | — | | | | — | | | | — | |
| AQR TM SMALL CAP MULTI-STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $10.28 | | | | 0.05 | | | | 1.74 | | | | 1.79 | | | | (0.09 | ) | | | — | | | | (0.09 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $9.20 | | | | 0.10 | 16 | | | 1.03 | | | | 1.13 | | | | (0.05 | ) | | | — | | | | (0.05 | ) |
| FOR THE PERIOD 2/11/158—9/30/15 | | | $10.00 | | | | 0.04 | | | | (0.84 | ) | | | (0.80 | ) | | | — | | | | — | | | | — | |
| AQR TM SMALL CAP MULTI-STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $10.32 | | | | 0.10 | | | | 1.76 | | | | 1.86 | | | | (0.12 | ) | | | — | | | | (0.12 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $9.22 | | | | 0.12 | 16 | | | 1.04 | | | | 1.16 | | | | (0.06 | ) | | | — | | | | (0.06 | ) |
| FOR THE PERIOD 2/11/158—9/30/15 | | | $10.00 | | | | 0.06 | | | | (0.84 | ) | | | (0.78 | ) | | | — | | | | — | | | | — | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS I6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $9.44 | | | | 0.23 | | | | 1.68 | | | | 1.91 | | | | (0.19 | ) | | | — | | | | (0.19 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $9.40 | | | | 0.24 | | | | (0.08 | )14 | | | 0.16 | | | | (0.12 | ) | | | — | | | | (0.12 | ) |
| FOR THE PERIOD 2/11/158—9/30/15 | | | $10.00 | | | | 0.18 | | | | (0.78 | ) | | | (0.60 | ) | | | — | | | | — | | | | — | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $9.42 | | | | 0.20 | | | | 1.68 | | | | 1.88 | | | | (0.18 | ) | | | — | | | | (0.18 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $9.39 | | | | 0.22 | | | | (0.08 | )14 | | | 0.14 | | | | (0.11 | ) | | | — | | | | (0.11 | ) |
| FOR THE PERIOD 2/11/158—9/30/15 | | | $10.00 | | | | 0.15 | | | | (0.76 | ) | | | (0.61 | ) | | | — | | | | — | | | | — | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $9.45 | | | | 0.24 | | | | 1.69 | | | | 1.93 | | | | (0.20 | ) | | | — | | | | (0.20 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $9.41 | | | | 0.25 | | | | (0.09 | )14 | | | 0.16 | | | | (0.12 | ) | | | — | | | | (0.12 | ) |
| FOR THE PERIOD 2/11/158—9/30/15 | | | $10.00 | | | | 0.18 | | | | (0.77 | ) | | | (0.59 | ) | | | — | | | | — | | | | — | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
242
| | |
| Financial Highlights | | September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | 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 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.71 | | | | 22.17 | % | | | $97,264 | | | | 0.89 | % | | | 0.75 | % | | | 0.75 | % | | | 1.93 | % | | | 53 | % | | | | |
| | $8.95 | | | | 11.97 | % | | | $73,793 | | | | 0.95 | % | | | 0.75 | % | | | 0.75 | % | | | 1.85 | % | | | 94 | % | | | | |
| | $8.19 | | | | (17.14 | )% | | | $48,992 | | | | 1.39 | % | | | 0.79 | % | | | 0.79 | % | | | 2.79 | % | | | 317 | % | | | | |
| | $9.96 | | | | (0.40 | )% | | | $11,572 | | | | 3.30 | %10,11 | | | 0.85 | % | | | 0.85 | % | | | 3.49 | % | | | 154 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.68 | | | | 21.82 | % | | | $6,726 | | | | 1.14 | % | | | 1.00 | % | | | 1.00 | % | | | 1.54 | % | | | 53 | % | | | | |
| | $8.93 | | | | 11.72 | % | | | $7,600 | | | | 1.20 | % | | | 1.00 | % | | | 1.00 | % | | | 1.64 | % | | | 94 | % | | | | |
| | $8.17 | | | | (17.34 | )% | | | $4,494 | | | | 1.61 | % | | | 1.04 | % | | | 1.04 | % | | | 2.98 | % | | | 317 | % | | | | |
| | $9.95 | | | | (0.50 | )% | | | $2,388 | | | | 3.55 | %10,11 | | | 1.10 | % | | | 1.10 | % | | | 3.49 | % | | | 154 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.72 | | | | 22.13 | % | | | $222,511 | | | | 0.79 | % | | | 0.65 | % | | | 0.65 | % | | | 2.01 | % | | | 53 | % | | | | |
| | $8.97 | | | | 12.13 | % | | | $184,112 | | | | 0.85 | % | | | 0.65 | % | | | 0.65 | % | | | 1.96 | % | | | 94 | % | | | | |
| | $8.20 | | | | (17.06 | )% | | | $135,503 | | | | 0.89 | % | | | 0.65 | % | | | 0.65 | % | | | 4.66 | % | | | 317 | % | | | | |
| | $9.96 | | | | (4.87 | )% | | | $95 | | | | 2.73 | %10,11 | | | 0.75 | % | | | 0.75 | % | | | 2.09 | % | | | 154 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.09 | | | | 22.33 | % | | | $64,006 | | | | 0.53 | % | | | 0.45 | % | | | 0.45 | % | | | 1.44 | % | | | 77 | % | | | | |
| | $10.00 | | | | 6.82 | % | | | $39,964 | | | | 0.59 | %10 | | | 0.43 | % | | | 0.43 | % | | | 1.57 | % | | | 173 | % | | | | |
| | $9.42 | | | | (5.80 | )% | | | $2,087 | | | | 1.66 | %10 | | | 0.46 | % | | | 0.46 | % | | | 1.20 | % | | | 207 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.05 | | | | 22.04 | % | | | $2,210 | | | | 0.78 | % | | | 0.70 | % | | | 0.70 | % | | | 1.20 | % | | | 77 | % | | | | |
| | $9.97 | | | | 6.48 | % | | | $2,165 | | | | 0.84 | %10 | | | 0.69 | % | | | 0.69 | % | | | 1.34 | % | | | 173 | % | | | | |
| | $9.40 | | | | (6.00 | )% | | | $135 | | | | 2.48 | %10 | | | 0.70 | % | | | 0.70 | % | | | 0.99 | % | | | 207 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.10 | | | | 22.37 | % | | | $161,560 | | | | 0.43 | % | | | 0.35 | % | | | 0.35 | % | | | 1.54 | % | | | 77 | % | | | | |
| | $10.01 | | | | 6.95 | % | | | $98,092 | | | | 0.53 | %10 | | | 0.35 | % | | | 0.35 | % | | | 1.63 | % | | | 173 | % | | | | |
| | $9.42 | | | | (5.80 | )% | | | $26,703 | | | | 1.41 | %10 | | | 0.36 | % | | | 0.36 | % | | | 1.33 | % | | | 207 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.03 | | | | 17.79 | % | | | $21,257 | | | | 1.23 | % | | | 0.65 | % | | | 0.65 | % | | | 0.79 | % | | | 92 | % | | | | |
| | $10.31 | | | | 12.64 | % | | | $13,792 | | | | 1.90 | %10 | | | 0.64 | % | | | 0.64 | % | | | 1.27 | %16 | | | 179 | % | | | | |
| | $9.21 | | | | (7.90 | )% | | | $1,702 | | | | 5.66 | %10 | | | 0.65 | % | | | 0.65 | % | | | 0.77 | % | | | 98 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.98 | | | | 17.44 | % | | | $5,478 | | | | 1.47 | % | | | 0.90 | % | | | 0.90 | % | | | 0.48 | % | | | 92 | % | | | | |
| | $10.28 | | | | 12.34 | % | | | $2,970 | | | | 2.03 | %10 | | | 0.88 | % | | | 0.88 | % | | | 1.05 | %16 | | | 179 | % | | | | |
| | $9.20 | | | | (8.00 | )% | | | $128 | | | | 6.53 | %10 | | | 0.92 | % | | | 0.92 | % | | | 0.59 | % | | | 98 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.06 | | | | 18.04 | % | | | $2,327 | | | | 1.13 | % | | | 0.55 | % | | | 0.55 | % | | | 0.90 | % | | | 92 | % | | | | |
| | $10.32 | | | | 12.63 | % | | | $1,973 | | | | 2.29 | %10 | | | 0.55 | % | | | 0.55 | % | | | 1.26 | %16 | | | 179 | % | | | | |
| | $9.22 | | | | (7.80 | )% | | | $1,660 | | | | 6.28 | %10 | | | 0.57 | % | | | 0.57 | % | | | 0.96 | % | | | 98 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.16 | | | | 20.71 | % | | | $25,736 | | | | 0.71 | % | | | 0.60 | % | | | 0.60 | % | | | 2.31 | % | | | 52 | % | | | | |
| | $9.44 | | | | 1.68 | % | | | $20,094 | | | | 0.81 | %10 | | | 0.59 | % | | | 0.58 | % | | | 2.58 | % | | | 135 | % | | | | |
| | $9.40 | | | | (6.00 | )% | | | $3,213 | | | | 1.42 | %10 | | | 0.61 | % | | | 0.61 | % | | | 2.85 | % | | | 172 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.12 | | | | 20.39 | % | | | $2,078 | | | | 0.97 | % | | | 0.85 | % | | | 0.85 | % | | | 2.03 | % | | | 52 | % | | | | |
| | $9.42 | | | | 1.43 | % | | | $1,592 | | | | 1.07 | %10 | | | 0.82 | % | | | 0.82 | % | | | 2.41 | % | | | 135 | % | | | | |
| | $9.39 | | | | (6.10 | )% | | | $143 | | | | 2.65 | %10 | | | 0.81 | % | | | 0.81 | % | | | 2.28 | % | | | 172 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.18 | | | | 20.89 | % | | | $151,455 | | | | 0.62 | % | | | 0.50 | % | | | 0.50 | % | | | 2.42 | % | | | 52 | % | | | | |
| | $9.45 | | | | 1.71 | % | | | $116,641 | | | | 0.72 | %10 | | | 0.50 | % | | | 0.50 | % | | | 2.73 | % | | | 135 | % | | | | |
| | $9.41 | | | | (5.90 | )% | | | $41,373 | | | | 1.22 | %10 | | | 0.51 | % | | | 0.51 | % | | | 2.81 | % | | | 172 | % | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
243
| | |
| Financial Highlights | | September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | PER SHARE OPERATING PERFORMANCE | |
| | | | | | Change in Net Assets Resulting from
Operations1 | | | Less Dividends and Distributions | |
| | | Net Asset
Value,
Beginning
of Period | | | Net
Investment
Income
(Loss) | | | Net
Realized
and
Unrealized
Gain (Loss) | | | Net
Increase
(Decrease)
in Net
Asset
Value from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Gains | | | Total
Distributions | |
| AQR TM EMERGING MULTI-STYLE FUND CLASS I6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $9.27 | | | | 0.18 | | | | 1.88 | | | | 2.06 | | | | (0.21 | ) | | | — | | | | (0.21 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $8.31 | | | | 0.17 | | | | 0.82 | | | | 0.99 | | | | (0.03 | ) | | | — | | | | (0.03 | ) |
| FOR THE PERIOD 2/11/158—9/30/15 | | | $10.00 | | | | 0.21 | | | | (1.90 | ) | | | (1.69 | ) | | | — | | | | — | | | | — | |
| AQR TM EMERGING MULTI-STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $9.28 | | | | 0.15 | | | | 1.89 | | | | 2.04 | | | | (0.20 | ) | | | — | | | | (0.20 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $8.30 | | | | 0.17 | | | | 0.81 | | | | 0.98 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 2/11/158—9/30/15 | | | $10.00 | | | | 0.19 | | | | (1.89 | ) | | | (1.70 | ) | | | — | | | | — | | | | — | |
| AQR TM EMERGING MULTI-STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $9.28 | | | | 0.19 | | | | 1.88 | | | | 2.07 | | | | (0.22 | ) | | | — | | | | (0.22 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $8.32 | | | | 0.18 | | | | 0.82 | | | | 1.00 | | | | (0.04 | ) | | | — | | | | (0.04 | ) |
| FOR THE PERIOD 2/11/158—9/30/15 | | | $10.00 | | | | 0.22 | | | | (1.90 | ) | | | (1.68 | ) | | | — | | | | — | | | | — | |
| AQR LARGE CAP MOMENTUM STYLE FUND CLASS I6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $20.44 | | | | 0.24 | | | | 2.88 | | | | 3.12 | | | | (0.32 | ) | | | (1.24 | ) | | | (1.56 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $19.96 | | | | 0.27 | | | | 1.87 | | | | 2.14 | | | | (0.21 | ) | | | (1.45 | ) | | | (1.66 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $21.89 | | | | 0.23 | | | | (0.10 | ) | | | 0.13 | | | | (0.14 | ) | | | (1.92 | ) | | | (2.06 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $19.65 | | | | 0.12 | | | | 3.12 | | | | 3.24 | | | | (0.13 | ) | | | (0.87 | ) | | | (1.00 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $16.06 | | | | 0.12 | 9 | | | 3.47 | | | | 3.59 | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | | $13.89 | | | | 0.26 | 17 | | | 2.16 | | | | 2.42 | | | | (0.25 | ) | | | — | | | | (0.25 | ) |
| AQR LARGE CAP MOMENTUM STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $20.42 | | | | 0.19 | | | | 2.87 | | | | 3.06 | | | | (0.26 | ) | | | (1.24 | ) | | | (1.50 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $19.92 | | | | 0.21 | | | | 1.88 | | | | 2.09 | | | | (0.14 | ) | | | (1.45 | ) | | | (1.59 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $21.85 | | | | 0.17 | | | | (0.10 | ) | | | 0.07 | | | | (0.08 | ) | | | (1.92 | ) | | | (2.00 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $19.61 | | | | 0.06 | | | | 3.13 | | | | 3.19 | | | | (0.08 | ) | | | (0.87 | ) | | | (0.95 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $16.05 | | | | 0.09 | 9 | | | 3.47 | | | | 3.56 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 12/17/1212—12/31/12 | | | $16.02 | | | | 0.01 | 17 | | | 0.02 | | | | 0.03 | | | | — | | | | — | | | | — | |
| AQR LARGE CAP MOMENTUM STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $20.41 | | | | 0.26 | | | | 2.87 | | | | 3.13 | | | | (0.34 | ) | | | (1.24 | ) | | | (1.58 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $19.94 | | | | 0.29 | | | | 1.86 | | | | 2.15 | | | | (0.23 | ) | | | (1.45 | ) | | | (1.68 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $21.89 | | | | 0.23 | | | | (0.08 | ) | | | 0.15 | | | | (0.18 | ) | | | (1.92 | ) | | | (2.10 | ) |
| FOR THE PERIOD 7/10/1412—9/30/14 | | | $21.90 | | | | 0.04 | | | | (0.05 | )14 | | | (0.01 | ) | | | — | | | | — | | | | — | |
| AQR SMALL CAP MOMENTUM STYLE FUND CLASS I6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $20.80 | | | | 0.10 | 21 | | | 4.10 | | | | 4.20 | | | | (0.17 | ) | | | — | | | | (0.17 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $19.10 | | | | 0.15 | | | | 1.79 | | | | 1.94 | | | | (0.16 | ) | | | (0.08 | ) | | | (0.24 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $21.09 | | | | 0.15 | 13 | | | 0.26 | 14 | | | 0.41 | | | | (0.04 | ) | | | (2.36 | ) | | | (2.40 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $21.77 | | | | 0.00 | 7,15 | | | 0.73 | | | | 0.73 | | | | (0.06 | ) | | | (1.35 | ) | | | (1.41 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $16.43 | | | | 0.09 | 9 | | | 5.25 | | | | 5.34 | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | | $13.89 | | | | 0.22 | 17 | | | 2.50 | | | | 2.72 | | | | (0.18 | ) | | | — | | | | (0.18 | ) |
| AQR SMALL CAP MOMENTUM STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $20.68 | | | | 0.05 | 21 | | | 4.09 | | | | 4.14 | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $18.99 | | | | 0.09 | | | | 1.78 | | | | 1.87 | | | | (0.10 | ) | | | (0.08 | ) | | | (0.18 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $21.00 | | | | 0.09 | 13 | | | 0.26 | 14 | | | 0.35 | | | | — | | | | (2.36 | ) | | | (2.36 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $21.73 | | | | (0.06 | )15 | | | 0.73 | | | | 0.67 | | | | (0.05 | ) | | | (1.35 | ) | | | (1.40 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $16.43 | | | | 0.03 | 9 | | | 5.27 | | | | 5.30 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 12/17/1212—12/31/12 | | | $16.09 | | | | 0.02 | 17 | | | 0.32 | | | | 0.34 | | | | — | | | | — | | | | — | |
| AQR SMALL CAP MOMENTUM STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $20.77 | | | | 0.12 | 21 | | | 4.09 | | | | 4.21 | | | | (0.19 | ) | | | — | | | | (0.19 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $19.09 | | | | 0.13 | | | | 1.81 | | | | 1.94 | | | | (0.18 | ) | | | (0.08 | ) | | | (0.26 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $21.10 | | | | 0.13 | 13 | | | 0.29 | 14 | | | 0.42 | | | | (0.07 | ) | | | (2.36 | ) | | | (2.43 | ) |
| FOR THE PERIOD 7/10/1412—9/30/14 | | | $22.08 | | | | 0.01 | 15 | | | (0.99 | )14 | | | (0.98 | ) | | | — | | | | — | | | | — | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
244
| | |
| Financial Highlights | | September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | 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 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.12 | | | | 22.99 | % | | | $17,013 | | | | 0.86 | % | | | 0.74 | % | | | 0.74 | % | | | 1.89 | % | | | 51 | % | | | | |
| | $9.27 | | | | 12.02 | % | | | $12,711 | | | | 0.94 | %10 | | | 0.72 | % | | | 0.72 | % | | | 2.00 | % | | | 181 | % | | | | |
| | $8.31 | | | | (16.90 | )% | | | $2,986 | | | | 2.66 | %10 | | | 0.77 | % | | | 0.77 | % | | | 3.46 | % | | | 173 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.12 | | | | 22.64 | % | | | $2,301 | | | | 1.12 | % | | | 1.00 | % | | | 1.00 | % | | | 1.58 | % | | | 51 | % | | | | |
| | $9.28 | | | | 11.81 | % | | | $2,163 | | | | 1.20 | %10 | | | 0.95 | % | | | 0.95 | % | | | 2.01 | % | | | 181 | % | | | | |
| | $8.30 | | | | (17.00 | )% | | | $881 | | | | 3.06 | %10 | | | 1.03 | % | | | 1.03 | % | | | 3.08 | % | | | 173 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.13 | | | | 23.05 | % | | | $333,540 | | | | 0.77 | % | | | 0.65 | % | | | 0.65 | % | | | 1.94 | % | | | 51 | % | | | | |
| | $9.28 | | | | 12.05 | % | | | $272,799 | | | | 0.87 | %10 | | | 0.65 | % | | | 0.65 | % | | | 2.09 | % | | | 181 | % | | | | |
| | $8.32 | | | | (16.80 | )% | | | $15,381 | | | | 2.46 | %10 | | | 0.67 | % | | | 0.67 | % | | | 3.66 | % | | | 173 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $22.00 | | | | 16.37 | % | | | $869,688 | | | | 0.41 | % | | | 0.40 | % | | | 0.40 | % | | | 1.19 | % | | | 88 | % | | | | |
| | $20.44 | | | | 11.12 | % | | | $820,914 | | | | 0.42 | % | | | 0.40 | % | | | 0.40 | % | | | 1.34 | % | | | 77 | % | | | | |
| | $19.96 | | | | 0.18 | % | | | $874,115 | | | | 0.50 | % | | | 0.45 | % | | | 0.45 | % | | | 1.06 | % | | | 90 | % | | | | |
| | $21.89 | | | | 16.86 | % | | | $953,235 | | | | 0.55 | % | | | 0.49 | % | | | 0.49 | % | | | 0.55 | % | | | 83 | % | | | | |
| | $19.65 | | | | 22.35 | % | | | $719,389 | | | | 0.55 | %10 | | | 0.49 | % | | | 0.49 | % | | | 0.88 | %9 | | | 62 | % | | | | |
| | $16.06 | | | | 17.49 | % | | | $490,442 | | | | 0.58 | % | | | 0.50 | % | | | 0.49 | % | | | 1.69 | %17 | | | 68 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $21.98 | | | | 16.07 | % | | | $59,044 | | | | 0.66 | % | | | 0.65 | % | | | 0.65 | % | | | 0.94 | % | | | 88 | % | | | | |
| | $20.42 | | | | 10.89 | % | | | $57,644 | | | | 0.66 | % | | | 0.65 | % | | | 0.65 | % | | | 1.08 | % | | | 77 | % | | | | |
| | $19.92 | | | | (0.10 | )% | | | $68,535 | | | | 0.77 | % | | | 0.70 | % | | | 0.70 | % | | | 0.81 | % | | | 90 | % | | | | |
| | $21.85 | | | | 16.59 | % | | | $79,272 | | | | 0.83 | % | | | 0.74 | % | | | 0.74 | % | | | 0.30 | % | | | 83 | % | | | | |
| | $19.61 | | | | 22.18 | % | | | $70,265 | | | | 0.83 | %10 | | | 0.74 | % | | | 0.74 | % | | | 0.64 | %9 | | | 62 | % | | | | |
| | $16.05 | | | | 0.19 | % | | | $58,422 | | | | 0.82 | % | | | 0.75 | % | | | 0.74 | % | | | 1.19 | %17 | | | 68 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $21.96 | | | | 16.47 | % | | | $65,920 | | | | 0.31 | % | | | 0.30 | % | | | 0.30 | % | | | 1.28 | % | | | 88 | % | | | | |
| | $20.41 | | | | 11.23 | % | | | $59,108 | | | | 0.32 | % | | | 0.30 | % | | | 0.30 | % | | | 1.45 | % | | | 77 | % | | | | |
| | $19.94 | | | | 0.28 | % | | | $62,973 | | | | 0.36 | % | | | 0.31 | % | | | 0.31 | % | | | 1.09 | % | | | 90 | % | | | | |
| | $21.89 | | | | (0.05 | )% | | | $131 | | | | 0.48 | % | | | 0.39 | % | | | 0.39 | % | | | 0.75 | % | | | 83 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $24.83 | | | | 20.30 | % | | | $359,470 | | | | 0.64 | % | | | 0.60 | % | | | 0.60 | % | | | 0.46 | %21 | | | 86 | % | | | | |
| | $20.80 | | | | 10.24 | % | | | $317,154 | | | | 0.65 | % | | | 0.60 | % | | | 0.60 | % | | | 0.77 | % | | | 85 | % | | | | |
| | $19.10 | | | | 1.17 | % | | | $316,232 | | | | 0.68 | % | | | 0.63 | % | | | 0.62 | % | | | 0.69 | %13 | | | 86 | % | | | | |
| | $21.09 | | | | 3.07 | % | | | $301,173 | | | | 0.68 | % | | | 0.65 | % | | | 0.65 | % | | | 0.01 | %15 | | | 83 | % | | | | |
| | $21.77 | | | | 32.50 | % | | | $242,675 | | | | 0.68 | %10,11 | | | 0.65 | % | | | 0.65 | % | | | 0.60 | %9 | | | 49 | % | | | | |
| | $16.43 | | | | 19.62 | % | | | $145,770 | | | | 0.72 | % | | | 0.66 | % | | | 0.65 | % | | | 1.44 | %17 | | | 73 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $24.82 | | | | 20.02 | % | | | $1,720 | | | | 0.86 | % | | | 0.82 | % | | | 0.82 | % | | | 0.24 | %21 | | | 86 | % | | | | |
| | $20.68 | | | | 9.96 | % | | | $1,574 | | | | 0.91 | % | | | 0.84 | % | | | 0.84 | % | | | 0.47 | % | | | 85 | % | | | | |
| | $18.99 | | | | 0.89 | % | | | $8,195 | | | | 0.94 | % | | | 0.88 | % | | | 0.87 | % | | | 0.43 | %13 | | | 86 | % | | | | |
| | $21.00 | | | | 2.83 | % | | | $7,189 | | | | 1.04 | % | | | 0.90 | % | | | 0.90 | % | | | (0.26 | )%15 | | | 83 | % | | | | |
| | $21.73 | | | | 32.26 | % | | | $1,668 | | | | 4.82 | %10,11 | | | 0.90 | % | | | 0.90 | % | | | 0.18 | %9 | | | 49 | % | | | | |
| | $16.43 | | | | 2.11 | % | | | $10 | | | | 135.33 | %18 | | | 0.90 | % | | | 0.90 | % | | | 3.36 | %17 | | | 73 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $24.79 | | | | 20.39 | % | | | $11,914 | | | | 0.54 | % | | | 0.50 | % | | | 0.50 | % | | | 0.54 | %21 | | | 86 | % | | | | |
| | $20.77 | | | | 10.30 | % | | | $8,490 | | | | 0.56 | % | | | 0.50 | % | | | 0.50 | % | | | 0.69 | % | | | 85 | % | | | | |
| | $19.09 | | | | 1.25 | % | | | $77,416 | | | | 0.59 | % | | | 0.50 | % | | | 0.50 | % | | | 0.62 | %13 | | | 86 | % | | | | |
| | $21.10 | | | | (4.44 | )% | | | $96 | | | | 0.63 | % | | | 0.55 | % | | | 0.55 | % | | | 0.13 | %15 | | | 83 | % | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
245
| | |
| Financial Highlights | | September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | PER SHARE OPERATING PERFORMANCE | |
| | | | | | Change in Net Assets Resulting from
Operations1 | | | Less Dividends and Distributions | |
| | | Net Asset
Value,
Beginning
of Period | | | Net
Investment
Income
(Loss) | | | Net
Realized
and
Unrealized
Gain (Loss) | | | Net
Increase
(Decrease)
in Net
Asset
Value from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Gains | | | Total
Distributions | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS I6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $13.86 | | | | 0.31 | | | | 1.65 | | | | 1.96 | | | | (0.32 | ) | | | — | | | | (0.32 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $13.24 | | | | 0.25 | | | | 0.59 | | | | 0.84 | | | | (0.22 | ) | | | — | | | | (0.22 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $14.95 | | | | 0.28 | | | | (1.51 | ) | | | (1.23 | ) | | | (0.31 | ) | | | (0.17 | ) | | | (0.48 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $15.29 | | | | 0.27 | 15 | | | (0.36 | ) | | | (0.09 | ) | | | (0.25 | ) | | | — | | | | (0.25 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $13.09 | | | | 0.22 | 9 | | | 1.98 | | | | 2.20 | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | | $11.37 | | | | 0.29 | | | | 1.74 | | | | 2.03 | | | | (0.31 | ) | | | — | | | | (0.31 | ) |
| AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $13.82 | | | | 0.28 | | | | 1.65 | | | | 1.93 | | | | (0.29 | ) | | | — | | | | (0.29 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $13.19 | | | | 0.21 | | | | 0.60 | | | | 0.81 | | | | (0.18 | ) | | | — | | | | (0.18 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $14.89 | | | | 0.25 | | | | (1.51 | ) | | | (1.26 | ) | | | (0.27 | ) | | | (0.17 | ) | | | (0.44 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $15.25 | | | | 0.22 | 15 | | | (0.35 | ) | | | (0.13 | ) | | | (0.23 | ) | | | — | | | | (0.23 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $13.08 | | | | 0.25 | 9 | | | 1.92 | | | | 2.17 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 12/17/1212—12/31/12 | | | $12.95 | | | | — | | | | 0.13 | | | | 0.13 | | | | — | | | | — | | | | — | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $13.85 | | | | 0.33 | | | | 1.65 | | | | 1.98 | | | | (0.34 | ) | | | — | | | | (0.34 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $13.23 | | | | 0.27 | | | | 0.59 | | | | 0.86 | | | | (0.24 | ) | | | — | | | | (0.24 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $14.94 | | | | 0.33 | | | | (1.53 | ) | | | (1.20 | ) | | | (0.34 | ) | | | (0.17 | ) | | | (0.51 | ) |
| FOR THE PERIOD 7/10/1412—9/30/14 | | | $15.54 | | | | 0.05 | 15 | | | (0.65 | ) | | | (0.60 | ) | | | — | | | | — | | | | — | |
| AQR EMERGING MOMENTUM STYLE FUND CLASS I6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $8.75 | | | | 0.20 | | | | 1.81 | | | | 2.01 | | | | (0.13 | ) | | | — | | | | (0.13 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $8.29 | | | | 0.10 | | | | 0.59 | | | | 0.69 | | | | (0.23 | ) | | | — | | | | (0.23 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $10.02 | | | | 0.20 | | | | (1.84 | ) | | | (1.64 | ) | | | (0.09 | ) | | | — | | | | (0.09 | ) |
| FOR THE PERIOD 5/13/148—9/30/14 | | | $10.00 | | | | 0.09 | | | | (0.07 | ) | | | 0.02 | | | | — | | | | — | | | | — | |
| AQR EMERGING MOMENTUM STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $8.74 | | | | 0.18 | | | | 1.80 | | | | 1.98 | | | | (0.10 | ) | | | — | | | | (0.10 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $8.27 | | | | 0.09 | | | | 0.59 | | | | 0.68 | | | | (0.21 | ) | | | — | | | | (0.21 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $10.01 | | | | 0.16 | | | | (1.82 | ) | | | (1.66 | ) | | | (0.08 | ) | | | — | | | | (0.08 | ) |
| FOR THE PERIOD 5/13/148—9/30/14 | | | $10.00 | | | | 0.09 | | | | (0.08 | ) | | | 0.01 | | | | — | | | | — | | | | — | |
| AQR EMERGING MOMENTUM STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $8.76 | | | | 0.23 | | | | 1.78 | | | | 2.01 | | | | (0.13 | ) | | | — | | | | (0.13 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $8.30 | | | | 0.14 | | | | 0.56 | | | | 0.70 | | | | (0.24 | ) | | | — | | | | (0.24 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $10.02 | | | | 0.19 | | | | (1.81 | ) | | | (1.62 | ) | | | (0.10 | ) | | | — | | | | (0.10 | ) |
| FOR THE PERIOD 7/10/1412—9/30/14 | | | $10.63 | | | | 0.05 | | | | (0.66 | )14 | | | (0.61 | ) | | | — | | | | — | | | | — | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
246
| | |
| Financial Highlights | | September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | 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 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $15.50 | | | | 14.67 | % | | | $326,526 | | | | 0.63 | % | | | 0.55 | %19 | | | 0.55 | %19 | | | 2.26 | %20 | | | 84 | % | | | | |
| | $13.86 | | | | 6.40 | % | | | $272,002 | | | | 0.63 | % | | | 0.55 | % | | | 0.55 | % | | | 1.89 | % | | | 85 | % | | | | |
| | $13.24 | | | | (8.40 | )% | | | $257,299 | | | | 0.68 | % | | | 0.60 | % | | | 0.60 | % | | | 1.95 | % | | | 112 | % | | | | |
| | $14.95 | | | | (0.64 | )% | | | $279,838 | | | | 0.71 | % | | | 0.65 | % | | | 0.65 | % | | | 1.73 | %15 | | | 98 | % | | | | |
| | $15.29 | | | | 16.81 | % | | | $219,002 | | | | 0.73 | %10 | | | 0.65 | % | | | 0.65 | % | | | 2.09 | %9 | | | 76 | % | | | | |
| | $13.09 | | | | 17.92 | % | | | $127,673 | | | | 0.80 | % | | | 0.66 | % | | | 0.65 | % | | | 2.41 | % | | | 116 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $15.46 | | | | 14.38 | % | | | $34,030 | | | | 0.88 | % | | | 0.80 | %19 | | | 0.80 | %19 | | | 1.99 | %20 | | | 84 | % | | | | |
| | $13.82 | | | | 6.16 | % | | | $30,502 | | | | 0.87 | % | | | 0.80 | % | | | 0.79 | % | | | 1.59 | % | | | 85 | % | | | | |
| | $13.19 | | | | (8.62 | )% | | | $35,343 | | | | 0.94 | % | | | 0.85 | % | | | 0.85 | % | | | 1.71 | % | | | 112 | % | | | | |
| | $14.89 | | | | (0.91 | )% | | | $40,054 | | | | 1.00 | % | | | 0.90 | % | | | 0.90 | % | | | 1.42 | %15 | | | 98 | % | | | | |
| | $15.25 | | | | 16.59 | % | | | $41,503 | | | | 1.03 | %10 | | | 0.90 | % | | | 0.90 | % | | | 2.28 | %9 | | | 76 | % | | | | |
| | $13.08 | | | | 1.00 | % | | | $11 | | | | 132.42 | %18 | | | 0.90 | % | | | 0.90 | % | | | 0.25 | % | | | 116 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $15.49 | | | | 14.80 | % | | | $45,913 | | | | 0.53 | % | | | 0.45 | %19 | | | 0.45 | %19 | | | 2.35 | %20 | | | 84 | % | | | | |
| | $13.85 | | | | 6.53 | % | | | $35,382 | | | | 0.53 | % | | | 0.45 | % | | | 0.45 | % | | | 1.98 | % | | | 85 | % | | | | |
| | $13.23 | | | | (8.24 | )% | | | $31,058 | | | | 0.55 | % | | | 0.46 | % | | | 0.46 | % | | | 2.31 | % | | | 112 | % | | | | |
| | $14.94 | | | | (3.86 | )% | | | $96 | | | | 0.64 | % | | | 0.55 | % | | | 0.55 | % | | | 1.38 | %15 | | | 98 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.63 | | | | 23.48 | % | | | $10,722 | | | | 2.52 | % | | | 0.68 | % | | | 0.68 | % | | | 2.19 | % | | | 121 | % | | | | |
| | $8.75 | | | | 8.53 | % | | | $8,784 | | | | 2.75 | % | | | 0.65 | % | | | 0.65 | % | | | 1.26 | % | | | 155 | % | | | | |
| | $8.29 | | | | (16.45 | )% | | | $6,612 | | | | 2.92 | % | | | 0.75 | % | | | 0.75 | % | | | 2.06 | % | | | 159 | % | | | | |
| | $10.02 | | | | 0.20 | % | | | $6,260 | | | | 4.03 | %10,11 | | | 0.80 | % | | | 0.80 | % | | | 2.27 | % | | | 72 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.62 | | | | 23.06 | % | | | $1,198 | | | | 2.73 | % | | | 0.89 | % | | | 0.89 | % | | | 1.99 | % | | | 121 | % | | | | |
| | $8.74 | | | | 8.38 | % | | | $1,105 | | | | 2.95 | % | | | 0.89 | % | | | 0.89 | % | | | 1.10 | % | | | 155 | % | | | | |
| | $8.27 | | | | (16.72 | )% | | | $1,132 | | | | 3.17 | % | | | 1.00 | % | | | 1.00 | % | | | 1.68 | % | | | 159 | % | | | | |
| | $10.01 | | | | 0.10 | % | | | $1,034 | | | | 4.18 | %10,11 | | | 1.05 | % | | | 1.05 | % | | | 2.13 | % | | | 72 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.64 | | | | 23.52 | % | | | $1,772 | | | | 2.43 | % | | | 0.60 | % | | | 0.60 | % | | | 2.44 | % | | | 121 | % | | | | |
| | $8.76 | | | | 8.63 | % | | | $938 | | | | 2.69 | % | | | 0.60 | % | | | 0.60 | % | | | 1.69 | % | | | 155 | % | | | | |
| | $8.30 | | | | (16.34 | )% | | | $80 | | | | 3.02 | % | | | 0.66 | % | | | 0.66 | % | | | 1.93 | % | | | 159 | % | | | | |
| | $10.02 | | | | (5.74 | )% | | | $94 | | | | 3.73 | %10,11 | | | 0.70 | % | | | 0.70 | % | | | 2.01 | % | | | 72 | % | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
247
| | |
| Financial Highlights | | September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | PER SHARE OPERATING PERFORMANCE | |
| | | | | | Change in Net Assets Resulting from
Operations1 | | | Less Dividends and Distributions | |
| | | Net Asset
Value,
Beginning
of Period | | | Net
Investment
Income
(Loss) | | | Net
Realized
and
Unrealized
Gain (Loss) | | | Net
Increase
(Decrease)
in Net
Asset
Value from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Gains | | | Total
Distributions | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS I6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 16.97 | | | | 0.20 | | | | 2.51 | | | | 2.71 | | | | (0.25 | ) | | | — | | | | (0.25 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 15.54 | | | | 0.23 | 16 | | | 1.35 | | | | 1.58 | | | | (0.15 | ) | | | — | | | | (0.15 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 15.90 | | | | 0.18 | | | | (0.19 | ) | | | (0.01 | ) | | | (0.08 | ) | | | (0.27 | ) | | | (0.35 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 13.60 | | | | 0.09 | | | | 2.36 | | | | 2.45 | | | | (0.04 | ) | | | (0.11 | ) | | | (0.15 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | $ | 11.13 | | | | 0.09 | 9 | | | 2.38 | | | | 2.47 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 1/27/128—12/31/12 | | $ | 10.00 | | | | 0.19 | 17 | | | 1.17 | | | | 1.36 | | | | (0.14 | ) | | | (0.09 | ) | | | (0.23 | ) |
| AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 16.92 | | | | 0.15 | | | | 2.51 | | | | 2.66 | | | | (0.22 | ) | | | — | | | | (0.22 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 15.50 | | | | 0.20 | 16 | | | 1.36 | | | | 1.56 | | | | (0.14 | ) | | | — | | | | (0.14 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 15.86 | | | | 0.15 | | | | (0.20 | ) | | | (0.05 | ) | | | (0.04 | ) | | | (0.27 | ) | | | (0.31 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 13.57 | | | | 0.04 | | | | 2.37 | | | | 2.41 | | | | (0.01 | ) | | | (0.11 | ) | | | (0.12 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | $ | 11.13 | | | | 0.07 | 9 | | | 2.37 | | | | 2.44 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 12/17/1212—12/31/12 | | $ | 11.12 | | | | 0.01 | 17 | | | 0.00 | 7 | | | 0.01 | | | | — | | | | — | | | | — | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 16.95 | | | | 0.22 | | | | 2.51 | | | | 2.73 | | | | (0.27 | ) | | | — | | | | (0.27 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 15.54 | | | | 0.24 | 16 | | | 1.36 | | | | 1.60 | | | | (0.19 | ) | | | — | | | | (0.19 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 15.90 | | | | 0.19 | | | | (0.19 | ) | | | 0.00 | 7 | | | (0.09 | ) | | | (0.27 | ) | | | (0.36 | ) |
| FOR THE PERIOD 7/10/1412—9/30/14 | | $ | 15.78 | | | | 0.03 | | | | 0.09 | | | | 0.12 | | | | — | | | | — | | | | — | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS I6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 15.86 | | | | 0.08 | | | | 3.24 | | | | 3.32 | | | | (0.12 | ) | | | — | | | | (0.12 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 14.51 | | | | 0.12 | | | | 1.33 | | | | 1.45 | | | | (0.10 | ) | | | — | | | | (0.10 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 14.72 | | | | 0.11 | 13 | | | 0.23 | 14 | | | 0.34 | | | | (0.01 | ) | | | (0.54 | ) | | | (0.55 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 14.85 | | | | 0.01 | | | | 0.15 | | | | 0.16 | | | | (0.04 | ) | | | (0.25 | ) | | | (0.29 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | $ | 11.15 | | | | 0.05 | 9 | | | 3.65 | | | | 3.70 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 1/27/128—12/31/12 | | $ | 10.00 | | | | 0.19 | 17 | | | 1.11 | | | | 1.30 | | | | (0.15 | ) | | | — | | | | (0.15 | ) |
| AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 15.79 | | | | 0.03 | | | | 3.23 | | | | 3.26 | | | | (0.09 | ) | | | — | | | | (0.09 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 14.44 | | | | 0.10 | | | | 1.33 | | | | 1.43 | | | | (0.08 | ) | | | — | | | | (0.08 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 14.67 | | | | 0.07 | 13 | | | 0.24 | 14 | | | 0.31 | | | | — | | | | (0.54 | ) | | | (0.54 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 14.81 | | | | (0.03 | ) | | | 0.14 | | | | 0.11 | | | | (0.00 | )7 | | | (0.25 | ) | | | (0.25 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | $ | 11.15 | | | | 0.03 | 9 | | | 3.63 | | | | 3.66 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 12/17/1212—12/31/12 | | $ | 10.91 | | | | 0.02 | 17 | | | 0.22 | | | | 0.24 | | | | — | | | | — | | | | — | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 15.86 | | | | 0.10 | | | | 3.23 | | | | 3.33 | | | | (0.13 | ) | | | — | | | | (0.13 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 14.50 | | | | 0.14 | | | | 1.34 | | | | 1.48 | | | | (0.12 | ) | | | — | | | | (0.12 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 14.72 | | | | 0.12 | 13 | | | 0.24 | 14 | | | 0.36 | | | | (0.04 | ) | | | (0.54 | ) | | | (0.58 | ) |
| FOR THE PERIOD 7/10/1412—9/30/14 | | $ | 15.45 | | | | 0.01 | | | | (0.74 | )14 | | | (0.73 | ) | | | — | | | | — | | | | — | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS I6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 12.27 | | | | 0.27 | | | | 1.45 | | | | 1.72 | | | | (0.29 | ) | | | — | | | | (0.29 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 11.70 | | | | 0.23 | | | | 0.49 | | | | 0.72 | | | | (0.15 | ) | | | — | | | | (0.15 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 13.09 | | | | 0.20 | | | | (1.28 | ) | | | (1.08 | ) | | | (0.25 | ) | | | (0.06 | ) | | | (0.31 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 13.18 | | | | 0.23 | 15 | | | (0.10 | ) | | | 0.13 | | | | (0.06 | ) | | | (0.16 | ) | | | (0.22 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | $ | 11.24 | | | | 0.20 | | | | 1.74 | | | | 1.94 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 1/27/128—12/31/12 | | $ | 10.00 | | | | 0.23 | | | | 1.22 | | | | 1.45 | | | | (0.19 | ) | | | (0.02 | ) | | | (0.21 | ) |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 12.22 | | | | 0.27 | | | | 1.41 | | | | 1.68 | | | | (0.27 | ) | | | — | | | | (0.27 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 11.68 | | | | 0.19 | | | | 0.51 | | | | 0.70 | | | | (0.16 | ) | | | — | | | | (0.16 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 13.06 | | | | 0.21 | | | | (1.30 | ) | | | (1.09 | ) | | | (0.23 | ) | | | (0.06 | ) | | | (0.29 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 13.15 | | | | 0.17 | 15 | | | (0.08 | ) | | | 0.09 | | | | (0.02 | ) | | | (0.16 | ) | | | (0.18 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | $ | 11.24 | | | | 0.20 | | | | 1.71 | | | | 1.91 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 12/17/1212—12/31/12 | | $ | 11.14 | | | | — | | | | 0.10 | | | | 0.10 | | | | — | | | | — | | | | — | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 12.24 | | | | 0.28 | | | | 1.45 | | | | 1.73 | | | | (0.30 | ) | | | — | | | | (0.30 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 11.70 | | | | 0.23 | | | | 0.50 | | | | 0.73 | | | | (0.19 | ) | | | — | | | | (0.19 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 13.09 | | | | 0.31 | | | | (1.37 | ) | | | (1.06 | ) | | | (0.27 | ) | | | (0.06 | ) | | | (0.33 | ) |
| FOR THE PERIOD 7/10/1412—9/30/14 | | $ | 13.66 | | | | 0.03 | 15 | | | (0.60 | ) | | | (0.57 | ) | | | — | | | | — | | | | — | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
248
| | |
| Financial Highlights | | September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | 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 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $19.43 | | | | 16.16 | % | | | $87,151 | | | | 0.48 | % | | | 0.40 | % | | | 0.40 | % | | | 1.14 | % | | | 57 | % | | | | |
| | $16.97 | | | | 10.22 | % | | | $67,397 | | | | 0.49 | % | | | 0.40 | % | | | 0.40 | % | | | 1.39 | %16 | | | 49 | % | | | | |
| | $15.54 | | | | (0.16 | )% | | | $56,141 | | | | 0.65 | % | | | 0.48 | % | | | 0.48 | % | | | 1.08 | % | | | 62 | % | | | | |
| | $15.90 | | | | 18.15 | % | | | $101,336 | | | | 0.69 | % | | | 0.54 | % | | | 0.54 | % | | | 0.57 | % | | | 153 | % | | | | |
| | $13.60 | | | | 22.19 | % | | | $21,709 | | | | 1.41 | %10,11 | | | 0.54 | % | | | 0.54 | % | | | 1.00 | %9 | | | 178 | % | | | | |
| | $11.13 | | | | 13.67 | % | | | $6,041 | | | | 4.57 | % | | | 0.55 | % | | | 0.54 | % | | | 1.89 | %17 | | | 93 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $19.36 | | | | 15.89 | % | | | $8,524 | | | | 0.70 | % | | | 0.65 | % | | | 0.65 | % | | | 0.78 | % | | | 57 | % | | | | |
| | $16.92 | | | | 10.11 | % | | | $161 | | | | 0.65 | % | | | 0.56 | % | | | 0.56 | % | | | 1.22 | %16 | | | 49 | % | | | | |
| | $15.50 | | | | (0.39 | )% | | | $147 | | | | 0.75 | % | | | 0.64 | % | | | 0.64 | % | | | 0.89 | % | | | 62 | % | | | | |
| | $15.86 | | | | 17.81 | % | | | $137 | | | | 1.60 | % | | | 0.79 | % | | | 0.79 | % | | | 0.30 | % | | | 153 | % | | | | |
| | $13.57 | | | | 21.92 | % | | | $115 | | | | 4.11 | %10,11 | | | 0.79 | % | | | 0.79 | % | | | 0.71 | %9 | | | 178 | % | | | | |
| | $11.13 | | | | 0.09 | % | | | $10 | | | | 15.32 | %18 | | | 0.79 | % | | | 0.79 | % | | | 2.41 | %17 | | | 93 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $19.41 | | | | 16.30 | % | | | $84,514 | | | | 0.38 | % | | | 0.30 | % | | | 0.30 | % | | | 1.25 | % | | | 57 | % | | | | |
| | $16.95 | | | | 10.32 | % | | | $80,190 | | | | 0.39 | % | | | 0.30 | % | | | 0.30 | % | | | 1.48 | %16 | | | 49 | % | | | | |
| | $15.54 | | | | (0.09 | )% | | | $70,197 | | | | 0.43 | % | | | 0.31 | % | | | 0.31 | % | | | 1.15 | % | | | 62 | % | | | | |
| | $15.90 | | | | 0.76 | % | | | $101 | | | | 0.67 | % | | | 0.44 | % | | | 0.44 | % | | | 0.77 | % | | | 153 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $19.06 | | | | 21.02 | % | | | $47,847 | | | | 0.92 | % | | | 0.60 | % | | | 0.60 | % | | | 0.47 | % | | | 69 | % | | | | |
| | $15.86 | | | | 10.07 | % | | | $33,229 | | | | 1.10 | % | | | 0.60 | % | | | 0.60 | % | | | 0.83 | % | | | 92 | % | | | | |
| | $14.51 | | | | 2.13 | % | | | $19,992 | | | | 1.34 | % | | | 0.64 | % | | | 0.64 | % | | | 0.68 | %13 | | | 111 | % | | | | |
| | $14.72 | | | | 0.98 | % | | | $14,690 | | | | 1.61 | % | | | 0.70 | % | | | 0.70 | % | | | 0.04 | % | | | 154 | % | | | | |
| | $14.85 | | | | 33.18 | % | | | $6,764 | | | | 2.67 | %10,11 | | | 0.70 | % | | | 0.70 | % | | | 0.49 | %9 | | | 81 | % | | | | |
| | $11.15 | | | | 13.01 | % | | | $3,435 | | | | 5.77 | % | | | 0.71 | % | | | 0.70 | % | | | 1.91 | %17 | | | 93 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $18.96 | | | | 20.73 | % | | | $3,230 | | | | 1.12 | % | | | 0.84 | % | | | 0.84 | % | | | 0.15 | % | | | 69 | % | | | | |
| | $15.79 | | | | 9.95 | % | | | $154 | | | | 1.26 | % | | | 0.76 | % | | | 0.76 | % | | | 0.65 | % | | | 92 | % | | | | |
| | $14.44 | | | | 1.90 | % | | | $127 | | | | 1.49 | % | | | 0.86 | % | | | 0.86 | % | | | 0.45 | %13 | | | 111 | % | | | | |
| | $14.67 | | | | 0.69 | % | | | $125 | | | | 2.44 | % | | | 0.95 | % | | | 0.95 | % | | | (0.21 | )% | | | 154 | % | | | | |
| | $14.81 | | | | 32.83 | % | | | $122 | | | | 5.05 | %10,11 | | | 0.95 | % | | | 0.95 | % | | | 0.26 | %9 | | | 81 | % | | | | |
| | $11.15 | | | | 2.20 | % | | | $10 | | | | 12.32 | % | | | 0.95 | % | | | 0.95 | % | | | 4.19 | %17 | | | 93 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $19.06 | | | | 21.11 | % | | | $200 | | | | 0.83 | % | | | 0.50 | % | | | 0.50 | % | | | 0.58 | % | | | 69 | % | | | | |
| | $15.86 | | | | 10.24 | % | | | $166 | | | | 1.00 | % | | | 0.50 | % | | | 0.50 | % | | | 0.92 | % | | | 92 | % | | | | |
| | $14.50 | | | | 2.23 | % | | | $97 | | | | 1.24 | % | | | 0.54 | % | | | 0.54 | % | | | 0.77 | %13 | | | 111 | % | | | | |
| | $14.72 | | | | (4.72 | )% | | | $95 | | | | 1.65 | % | | | 0.60 | % | | | 0.60 | % | | | 0.22 | % | | | 154 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.70 | | | | 14.49 | % | | | $44,119 | | | | 0.74 | % | | | 0.55 | %19 | | | 0.55 | %19 | | | 2.22 | %20 | | | 62 | % | | | | |
| | $12.27 | | | | 6.18 | % | | | $33,887 | | | | 0.76 | % | | | 0.55 | % | | | 0.55 | % | | | 1.90 | % | | | 87 | % | | | | |
| | $11.70 | | | | (8.36 | )% | | | $23,699 | | | | 0.94 | % | | | 0.65 | % | | | 0.65 | % | | | 1.57 | % | | | 147 | % | | | | |
| | $13.09 | | | | 0.97 | % | | | $81,624 | | | | 0.91 | % | | | 0.70 | % | | | 0.70 | % | | | 1.73 | %15 | | | 185 | % | | | | |
| | $13.18 | | | | 17.26 | % | | | $17,418 | | | | 2.31 | %10,11 | | | 0.70 | % | | | 0.70 | % | | | 2.14 | % | | | 154 | % | | | | |
| | $11.24 | | | | 14.46 | % | | | $5,739 | | | | 5.28 | % | | | 0.71 | % | | | 0.70 | % | | | 2.38 | % | | | 131 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.63 | | | | 14.23 | % | | | $4,800 | | | | 0.95 | % | | | 0.80 | %19 | | | 0.80 | %19 | | | 2.08 | %20 | | | 62 | % | | | | |
| | $12.22 | | | | 6.01 | % | | | $160 | | | | 0.93 | % | | | 0.72 | % | | | 0.72 | % | | | 1.61 | % | | | 87 | % | | | | |
| | $11.68 | | | | (8.51 | )% | | | $103 | | | | 1.03 | % | | | 0.79 | % | | | 0.78 | % | | | 1.69 | % | | | 147 | % | | | | |
| | $13.06 | | | | 0.69 | % | | | $112 | | | | 1.92 | % | | | 0.95 | % | | | 0.95 | % | | | 1.26 | %15 | | | 185 | % | | | | |
| | $13.15 | | | | 16.99 | % | | | $111 | | | | 5.00 | %10,11 | | | 0.95 | % | | | 0.95 | % | | | 2.19 | % | | | 154 | % | | | | |
| | $11.24 | | | | 0.90 | % | | | $10 | | | | 15.82 | %18 | | | 0.95 | % | | | 0.95 | % | | | 0.15 | % | | | 131 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.67 | | | | 14.66 | % | | | $56,847 | | | | 0.65 | % | | | 0.45 | %19 | | | 0.45 | %19 | | | 2.27 | %20 | | | 62 | % | | | | |
| | $12.24 | | | | 6.25 | % | | | $55,739 | | | | 0.66 | % | | | 0.45 | % | | | 0.45 | % | | | 1.97 | % | | | 87 | % | | | | |
| | $11.70 | | | | (8.25 | )% | | | $48,003 | | | | 0.70 | % | | | 0.46 | % | | | 0.46 | % | | | 2.40 | % | | | 147 | % | | | | |
| | $13.09 | | | | (4.17 | )% | | | $96 | | | | 0.94 | % | | | 0.60 | % | | | 0.60 | % | | | 1.13 | %15 | | | 185 | % | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
249
| | |
| Financial Highlights | | September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | PER SHARE OPERATING PERFORMANCE | |
| | | | | | Change in Net Assets Resulting from
Operations1 | | | Less Dividends and Distributions | |
| | | Net Asset
Value,
Beginning
of Period | | | Net
Investment
Income
(Loss) | | | Net
Realized
and
Unrealized
Gain (Loss) | | | Net
Increase
(Decrease)
in Net
Asset
Value from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Gains | | | Total
Distributions | |
| AQR LARGE CAP DEFENSIVE STYLE FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 15.71 | | | | 0.29 | | | | 2.55 | | | | 2.84 | | | | (0.23 | ) | | | (0.09 | ) | | | (0.32 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 14.64 | | | | 0.27 | | | | 1.70 | | | | 1.97 | | | | (0.14 | ) | | | (0.76 | ) | | | (0.90 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 14.07 | | | | 0.24 | | | | 1.04 | | | | 1.28 | | | | (0.29 | ) | | | (0.42 | ) | | | (0.71 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 12.20 | | | | 0.20 | | | | 1.79 | | | | 1.99 | | | | (0.08 | ) | | | (0.04 | ) | | | (0.12 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | $ | 10.16 | | | | 0.15 | | | | 1.89 | | | | 2.04 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 7/09/128—12/31/12 | | $ | 10.00 | | | | 0.14 | 17 | | | 0.10 | | | | 0.24 | | | | (0.07 | ) | | | (0.01 | ) | | | (0.08 | ) |
| AQR LARGE CAP DEFENSIVE STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 15.68 | | | | 0.25 | | | | 2.54 | | | | 2.79 | | | | (0.20 | ) | | | (0.09 | ) | | | (0.29 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 14.64 | | | | 0.23 | | | | 1.70 | | | | 1.93 | | | | (0.13 | ) | | | (0.76 | ) | | | (0.89 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 14.04 | | | | 0.20 | | | | 1.05 | | | | 1.25 | | | | (0.23 | ) | | | (0.42 | ) | | | (0.65 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 12.19 | | | | 0.17 | | | | 1.79 | | | | 1.96 | | | | (0.07 | ) | | | (0.04 | ) | | | (0.11 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | $ | 10.18 | | | | 0.13 | | | | 1.88 | | | | 2.01 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 7/09/128—12/31/12 | | $ | 10.00 | | | | 0.08 | 17 | | | 0.15 | | | | 0.23 | | | | (0.04 | ) | | | (0.01 | ) | | | (0.05 | ) |
| AQR LARGE CAP DEFENSIVE STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 15.69 | | | | 0.30 | | | | 2.55 | | | | 2.85 | | | | (0.24 | ) | | | (0.09 | ) | | | (0.33 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 14.62 | | | | 0.29 | | | | 1.69 | | | | 1.98 | | | | (0.15 | ) | | | (0.76 | ) | | | (0.91 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 14.07 | | | | 0.26 | | | | 1.03 | | | | 1.29 | | | | (0.32 | ) | | | (0.42 | ) | | | (0.74 | ) |
| FOR THE PERIOD 9/02/1412—9/30/14 | | $ | 14.13 | | | | 0.02 | | | | (0.08 | )14 | | | (0.06 | ) | | | — | | | | — | | | | — | |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 12.10 | | | | 0.30 | 21 | | | 1.04 | | | | 1.34 | | | | (0.17 | ) | | | — | | | | (0.17 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 10.95 | | | | 0.29 | | | | 1.09 | | | | 1.38 | | | | (0.23 | ) | | | — | | | | (0.23 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 12.37 | | | | 0.28 | | | | (1.10 | ) | | | (0.82 | ) | | | (0.32 | ) | | | (0.28 | ) | | | (0.60 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 11.88 | | | | 0.31 | | | | 0.47 | | | | 0.78 | | | | (0.17 | ) | | | (0.12 | ) | | | (0.29 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | $ | 10.67 | | | | 0.23 | | | | 0.98 | | | | 1.21 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 7/09/128—12/31/12 | | $ | 10.00 | | | | 0.10 | | | | 0.67 | | | | 0.77 | | | | (0.06 | ) | | | (0.04 | ) | | | (0.10 | ) |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 12.40 | | | | 0.28 | 21 | | | 1.06 | | | | 1.34 | | | | (0.16 | ) | | | — | | | | (0.16 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 11.20 | | | | 0.30 | | | | 1.09 | | | | 1.39 | | | | (0.19 | ) | | | — | | | | (0.19 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 12.35 | | | | 0.23 | | | | (1.10 | ) | | | (0.87 | ) | | | — | | | | (0.28 | ) | | | (0.28 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | $ | 11.88 | | | | 0.27 | | | | 0.47 | | | | 0.74 | | | | (0.15 | ) | | | (0.12 | ) | | | (0.27 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | $ | 10.69 | | | | 0.20 | | | | 0.99 | | | | 1.19 | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 7/09/128—12/31/12 | | $ | 10.00 | | | | 0.08 | | | | 0.68 | | | | 0.76 | | | | (0.03 | ) | | | (0.04 | ) | | | (0.07 | ) |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | $ | 12.09 | | | | 0.31 | 21 | | | 1.03 | | | | 1.34 | | | | (0.17 | ) | | | — | | | | (0.17 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | $ | 10.94 | | | | 0.36 | | | | 1.03 | | | | 1.39 | | | | (0.24 | ) | | | — | | | | (0.24 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | $ | 12.37 | | | | 0.29 | | | | (1.10 | ) | | | (0.81 | ) | | | (0.34 | ) | | | (0.28 | ) | | | (0.62 | ) |
| FOR THE PERIOD 9/02/1412—9/30/14 | | $ | 13.02 | | | | 0.03 | | | | (0.68 | )14 | | | (0.65 | ) | | | — | | | | — | | | | — | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
250
| | |
| Financial Highlights | | September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | 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 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $18.23 | | | | 18.32 | % | | | $793,828 | | | | 0.41 | % | | | 0.40 | % | | | 0.40 | % | | | 1.69 | % | | | 16 | % | | | | |
| | $15.71 | | | | 14.00 | % | | | $519,984 | | | | 0.42 | % | | | 0.39 | % | | | 0.39 | % | | | 1.79 | % | | | 8 | % | | | | |
| | $14.64 | | | | 9.13 | % | | | $158,468 | | | | 0.55 | % | | | 0.45 | % | | | 0.45 | % | | | 1.65 | % | | | 24 | % | | | | |
| | $14.07 | | | | 16.44 | % | | | $224,826 | | | | 0.62 | % | | | 0.49 | % | | | 0.49 | % | | | 1.51 | % | | | 16 | % | | | | |
| | $12.20 | | | | 20.08 | % | | | $155,660 | | | | 0.93 | %10 | | | 0.52 | % | | | 0.52 | % | | | 1.69 | % | | | 106 | % | | | | |
| | $10.16 | | | | 2.34 | % | | | $7,842 | | | | 3.90 | % | | | 0.75 | % | | | 0.75 | % | | | 2.90 | %17 | | | 141 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $18.18 | | | | 17.99 | % | | | $239,074 | | | | 0.67 | % | | | 0.65 | % | | | 0.65 | % | | | 1.46 | % | | | 16 | % | | | | |
| | $15.68 | | | | 13.70 | % | | | $226,020 | | | | 0.68 | % | | | 0.65 | % | | | 0.65 | % | | | 1.53 | % | | | 8 | % | | | | |
| | $14.64 | | | | 8.97 | % | | | $30,629 | | | | 0.81 | % | | | 0.70 | % | | | 0.70 | % | | | 1.38 | % | | | 24 | % | | | | |
| | $14.04 | | | | 16.16 | % | | | $28,843 | | | | 0.92 | % | | | 0.74 | % | | | 0.74 | % | | | 1.26 | % | | | 16 | % | | | | |
| | $12.19 | | | | 19.74 | % | | | $20,736 | | | | 1.48 | %10 | | | 0.77 | % | | | 0.77 | % | | | 1.44 | % | | | 106 | % | | | | |
| | $10.18 | | | | 2.29 | % | | | $421 | | | | 9.36 | % | | | 1.00 | % | | | 1.00 | % | | | 1.70 | %17 | | | 141 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $18.21 | | | | 18.43 | % | | | $197,705 | | | | 0.32 | % | | | 0.30 | % | | | 0.30 | % | | | 1.79 | % | | | 16 | % | | | | |
| | $15.69 | | | | 14.13 | % | | | $127,311 | | | | 0.33 | % | | | 0.30 | % | | | 0.30 | % | | | 1.87 | % | | | 8 | % | | | | |
| | $14.62 | | | | 9.23 | % | | | $109 | | | | 0.45 | % | | | 0.35 | % | | | 0.34 | % | | | 1.76 | % | | | 24 | % | | | | |
| | $14.07 | | | | (0.42 | )% | | | $100 | | | | 0.54 | % | | | 0.39 | % | | | 0.39 | % | | | 1.69 | % | | | 16 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.27 | | | | 11.29 | % | | | $145,091 | | | | 0.67 | % | | | 0.55 | %19 | | | 0.55 | %19 | | | 2.43 | %20,21 | | | 3 | % | | | | |
| | $12.10 | | | | 12.84 | % | | | $96,844 | | | | 0.83 | % | | | 0.54 | % | | | 0.54 | % | | | 2.51 | % | | | 83 | % | | | | |
| | $10.95 | | | | (6.89 | )% | | | $34,191 | | | | 1.11 | % | | | 0.60 | % | | | 0.60 | % | | | 2.40 | % | | | 47 | % | | | | |
| | $12.37 | | | | 6.68 | % | | | $27,316 | | | | 1.24 | % | | | 0.65 | % | | | 0.65 | % | | | 2.53 | % | | | 57 | % | | | | |
| | $11.88 | | | | 11.34 | % | | | $17,631 | | | | 2.01 | %10,11 | | | 0.73 | % | | | 0.73 | % | | | 2.68 | % | | | 115 | % | | | | |
| | $10.67 | | | | 7.69 | % | | | $5,366 | | | | 5.00 | % | | | 0.90 | % | | | 0.90 | % | | | 1.91 | % | | | 81 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.58 | | | | 11.01 | % | | | $30,102 | | | | 0.92 | % | | | 0.80 | %19 | | | 0.80 | %19 | | | 2.21 | %20,21 | | | 3 | % | | | | |
| | $12.40 | | | | 12.59 | % | | | $21,135 | | | | 1.08 | % | | | 0.79 | % | | | 0.78 | % | | | 2.51 | % | | | 83 | % | | | | |
| | $11.20 | | | | (7.15 | )% | | | $141 | | | | 1.43 | % | | | 0.86 | % | | | 0.86 | % | | | 1.94 | % | | | 47 | % | | | | |
| | $12.35 | | | | 6.32 | % | | | $462 | | | | 1.85 | % | | | 0.90 | % | | | 0.90 | % | | | 2.18 | % | | | 57 | % | | | | |
| | $11.88 | | | | 11.13 | % | | | $1,153 | | | | 4.15 | %10,11 | | | 1.00 | % | | | 1.00 | % | | | 2.34 | % | | | 115 | % | | | | |
| | $10.69 | | | | 7.62 | % | | | $850 | | | | 6.96 | % | | | 1.15 | % | | | 1.15 | % | | | 1.61 | % | | | 81 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.26 | | | | 11.38 | % | | | $19,716 | | | | 0.57 | % | | | 0.45 | %19 | | | 0.45 | %19 | | | 2.57 | %20,21 | | | 3 | % | | | | |
| | $12.09 | | | | 12.95 | % | | | $14,668 | | | | 0.67 | % | | | 0.45 | % | | | 0.45 | % | | | 3.06 | % | | | 83 | % | | | | |
| | $10.94 | | | | (6.78 | )% | | | $89 | | | | 1.01 | % | | | 0.50 | % | | | 0.50 | % | | | 2.45 | % | | | 47 | % | | | | |
| | $12.37 | | | | (4.99 | )% | | | $95 | | | | 1.23 | % | | | 0.55 | % | | | 0.55 | % | | | 3.49 | % | | | 57 | % | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
251
| | |
| Financial Highlights | | September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | PER SHARE OPERATING PERFORMANCE | |
| | | | | | Change in Net Assets Resulting from
Operations1 | | | Less Dividends and Distributions | |
| | | Net Asset
Value,
Beginning
of Period | | | Net
Investment
Income
(Loss) | | | Net
Realized
and
Unrealized
Gain (Loss) | | | Net
Increase
(Decrease)
in Net
Asset
Value from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Gains | | | Total
Distributions | |
| AQR EMERGING DEFENSIVE STYLE FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $8.80 | | | | 0.17 | | | | 0.61 | | | | 0.78 | | | | (0.14 | ) | | | — | | | | (0.14 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $8.21 | | | | 0.16 | | | | 0.69 | | | | 0.85 | | | | (0.26 | ) | | | — | | | | (0.26 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $10.46 | | | | 0.19 | | | | (2.26 | ) | | | (2.07 | ) | | | (0.18 | ) | | | — | | | | (0.18 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $10.27 | | | | 0.25 | 15 | | | 0.03 | 14 | | | 0.28 | | | | (0.09 | ) | | | (0.00 | )7 | | | (0.09 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $10.92 | | | | 0.20 | | | | (0.85 | ) | | | (0.65 | ) | | | — | | | | — | | | | — | |
| FOR THE PERIOD 7/09/128—12/31/12 | | | $10.00 | | | | 0.10 | | | | 0.94 | | | | 1.04 | | | | (0.09 | ) | | | (0.03 | ) | | | (0.12 | ) |
| AQR EMERGING DEFENSIVE STYLE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $9.00 | | | | 0.20 | | | | 0.59 | | | | 0.79 | | | | (0.12 | ) | | | — | | | | (0.12 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $8.34 | | | | 0.15 | | | | 0.70 | | | | 0.85 | | | | (0.19 | ) | | | — | | | | (0.19 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $10.45 | | | | 0.12 | | | | (2.23 | ) | | | (2.11 | ) | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $10.26 | | | | 0.18 | 15 | | | 0.08 | 14 | | | 0.26 | | | | (0.07 | ) | | | (0.00 | )7 | | | (0.07 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $10.93 | | | | 0.16 | | | | (0.83 | ) | | | (0.67 | ) | | | — | | | | — | | | | — | |
| FOR THE PERIOD 7/09/128—12/31/12 | | | $10.00 | | | | 0.08 | | | | 0.94 | | | | 1.02 | | | | (0.06 | ) | | | (0.03 | ) | | | (0.09 | ) |
| AQR EMERGING DEFENSIVE STYLE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $8.77 | | | | 0.18 | | | | 0.62 | | | | 0.80 | | | | (0.15 | ) | | | — | | | | (0.15 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $8.21 | | | | 0.17 | | | | 0.67 | | | | 0.84 | | | | (0.28 | ) | | | — | | | | (0.28 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $10.46 | | | | 0.21 | | | | (2.27 | ) | | | (2.06 | ) | | | (0.19 | ) | | | — | | | | (0.19 | ) |
| FOR THE PERIOD 9/02/1412—9/30/14 | | | $11.15 | | | | 0.03 | 15 | | | (0.72 | ) | | | (0.69 | ) | | | — | | | | — | | | | — | |
| AQR GLOBAL EQUITY FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $8.12 | | | | 0.11 | | | | 1.43 | | | | 1.54 | | | | (0.18 | ) | | | (0.59 | ) | | | (0.77 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $7.80 | | | | 0.10 | | | | 0.76 | | | | 0.86 | | | | (0.12 | ) | | | (0.42 | ) | | | (0.54 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $8.91 | | | | 0.12 | 13 | | | (0.23 | ) | | | (0.11 | ) | | | (0.15 | ) | | | (0.85 | ) | | | (1.00 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $13.33 | | | | 0.15 | 15 | | | 1.13 | | | | 1.28 | | | | (0.39 | ) | | | (5.31 | ) | | | (5.70 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $11.35 | | | | 0.14 | | | | 1.84 | | | | 1.98 | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | | $9.99 | | | | 0.20 | | | | 1.69 | | | | 1.89 | | | | (0.29 | ) | | | (0.24 | ) | | | (0.53 | ) |
| AQR GLOBAL EQUITY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $8.07 | | | | 0.09 | | | | 1.43 | | | | 1.52 | | | | (0.16 | ) | | | (0.59 | ) | | | (0.75 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $7.73 | | | | 0.10 | | | | 0.72 | | | | 0.82 | | | | (0.06 | ) | | | (0.42 | ) | | | (0.48 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $8.85 | | | | 0.10 | 13 | | | (0.23 | ) | | | (0.13 | ) | | | (0.14 | ) | | | (0.85 | ) | | | (0.99 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $13.27 | | | | 0.12 | 15 | | | 1.12 | | | | 1.24 | | | | (0.35 | ) | | | (5.31 | ) | | | (5.66 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $11.32 | | | | 0.11 | | | | 1.84 | | | | 1.95 | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | | $9.97 | | | | 0.16 | | | | 1.70 | | | | 1.86 | | | | (0.27 | ) | | | (0.24 | ) | | | (0.51 | ) |
| AQR GLOBAL EQUITY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $8.18 | | | | 0.12 | | | | 1.45 | | | | 1.57 | | | | (0.20 | ) | | | (0.59 | ) | | | (0.79 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $7.85 | | | | 0.12 | | | | 0.75 | | | | 0.87 | | | | (0.12 | ) | | | (0.42 | ) | | | (0.54 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $8.96 | | | | 0.14 | 13 | | | (0.24 | ) | | | (0.10 | ) | | | (0.16 | ) | | | (0.85 | ) | | | (1.01 | ) |
| FOR THE PERIOD 1/08/1412—9/30/14 | | | $8.70 | | | | 0.15 | 15 | | | 0.11 | | | | 0.26 | | | | — | | | | — | | | | — | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
252
| | |
| Financial Highlights | | September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | 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 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.44 | | | | 9.17 | % | | | $62,261 | | | | 1.07 | % | | | 0.70 | % | | | 0.70 | % | | | 1.99 | % | | | 17 | % | | | | |
| | $8.80 | | | | 10.73 | % | | | $49,612 | | | | 1.15 | % | | | 0.68 | % | | | 0.68 | % | | | 1.90 | % | | | 23 | % | | | | |
| | $8.21 | | | | (20.07 | )% | | | $27,221 | | | | 1.12 | % | | | 0.76 | % | | | 0.76 | % | | | 1.92 | % | | | 117 | % | | | | |
| | $10.46 | | | | 2.78 | % | | | $70,070 | | | | 1.23 | % | | | 0.85 | % | | | 0.85 | % | | | 2.35 | %15 | | | 124 | % | | | | |
| | $10.27 | | | | (5.95 | )% | | | $29,471 | | | | 2.08 | %10 | | | 0.96 | % | | | 0.96 | % | | | 2.55 | % | | | 181 | % | | | | |
| | $10.92 | | | | 10.39 | % | | | $5,402 | | | | 4.14 | % | | | 1.15 | % | | | 1.15 | % | | | 1.92 | % | | | 38 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.67 | | | | 9.04 | % | | | $4,922 | | | | 1.28 | % | | | 0.93 | % | | | 0.93 | % | | | 2.21 | % | | | 17 | % | | | | |
| | $9.00 | | | | 10.42 | % | | | $207 | | | | 1.38 | % | | | 0.91 | % | | | 0.91 | % | | | 1.79 | % | | | 23 | % | | | | |
| | $8.34 | | | | (20.19 | )% | | | $54 | | | | 1.40 | % | | | 1.03 | % | | | 1.03 | % | | | 1.22 | % | | | 117 | % | | | | |
| | $10.45 | | | | 2.60 | % | | | $1,017 | | | | 1.68 | % | | | 1.10 | % | | | 1.10 | % | | | 1.73 | %15 | | | 124 | % | | | | |
| | $10.26 | | | | (6.13 | )% | | | $2,594 | | | | 3.50 | %10 | | | 1.25 | % | | | 1.25 | % | | | 2.06 | % | | | 181 | % | | | | |
| | $10.93 | | | | 10.22 | % | | | $1,804 | | | | 5.41 | % | | | 1.40 | % | | | 1.40 | % | | | 1.67 | % | | | 38 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.42 | | | | 9.40 | % | | | $208 | | | | 0.97 | % | | | 0.60 | % | | | 0.60 | % | | | 2.02 | % | | | 17 | % | | | | |
| | $8.77 | | | | 10.67 | % | | | $190 | | | | 1.05 | % | | | 0.60 | % | | | 0.60 | % | | | 2.06 | % | | | 23 | % | | | | |
| | $8.21 | | | | (19.96 | )% | | | $75 | | | | 1.08 | % | | | 0.66 | % | | | 0.65 | % | | | 2.16 | % | | | 117 | % | | | | |
| | $10.46 | | | | (6.19 | )% | | | $94 | | | | 1.36 | % | | | 0.70 | % | | | 0.70 | % | | | 4.04 | %15 | | | 124 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.89 | | | | 20.70 | % | | | $41,551 | | | | 0.89 | % | | | 0.82 | % | | | 0.82 | % | | | 1.37 | % | | | 88 | % | | | | |
| | $8.12 | | | | 11.33 | % | | | $33,013 | | | | 0.96 | % | | | 0.89 | % | | | 0.89 | % | | | 1.36 | % | | | 78 | % | | | | |
| | $7.80 | | | | (1.64 | )% | | | $34,186 | | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 1.49 | %13 | | | 73 | % | | | | |
| | $8.91 | | | | 11.55 | % | | | $2,492 | | | | 1.14 | % | | | 0.91 | % | | | 0.91 | % | | | 1.62 | %15 | | | 90 | % | | | | |
| | $13.33 | | | | 17.44 | % | | | $1,263 | | | | 2.27 | %10,11 | | | 0.95 | % | | | 0.95 | % | | | 1.46 | % | | | 71 | % | | | | |
| | $11.35 | | | | 18.95 | % | | | $626 | | | | 1.41 | % | | | 0.95 | % | | | 0.94 | % | | | 1.83 | % | | | 87 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.84 | | | | 20.57 | % | | | $2,254 | | | | 1.14 | % | | | 1.07 | % | | | 1.07 | % | | | 1.09 | % | | | 88 | % | | | | |
| | $8.07 | | | | 10.93 | % | | | $1,712 | | | | 1.20 | % | | | 1.13 | % | | | 1.12 | % | | | 1.28 | % | | | 78 | % | | | | |
| | $7.73 | | | | (1.86 | )% | | | $765 | | | | 1.17 | % | | | 1.17 | % | | | 1.17 | % | | | 1.18 | %13 | | | 73 | % | | | | |
| | $8.85 | | | | 11.17 | % | | | $1,128 | | | | 1.60 | % | | | 1.21 | % | | | 1.21 | % | | | 1.28 | %15 | | | 90 | % | | | | |
| | $13.27 | | | | 17.23 | % | | | $712 | | | | 3.06 | %10,11 | | | 1.25 | % | | | 1.25 | % | | | 1.14 | % | | | 71 | % | | | | |
| | $11.32 | | | | 18.67 | % | | | $518 | | | | 1.87 | % | | | 1.25 | % | | | 1.24 | % | | | 1.51 | % | | | 87 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.96 | | | | 20.98 | % | | | $146,167 | | | | 0.77 | % | | | 0.70 | % | | | 0.70 | % | | | 1.48 | % | | | 88 | % | | | | |
| | $8.18 | | | | 11.33 | % | | | $106,573 | | | | 0.77 | % | | | 0.70 | % | | | 0.70 | % | | | 1.59 | % | | | 78 | % | | | | |
| | $7.85 | | | | (1.47 | )% | | | $85,017 | | | | 0.71 | % | | | 0.70 | % | | | 0.70 | % | | | 1.69 | %13 | | | 73 | % | | | | |
| | $8.96 | | | | 2.99 | % | | | $76,031 | | | | 0.73 | % | | | 0.70 | % | | | 0.70 | % | | | 2.23 | %15 | | | 90 | % | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
253
| | |
| Financial Highlights | | September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | PER SHARE OPERATING PERFORMANCE | |
| | | | | | Change in Net Assets Resulting from
Operations1 | | | Less Dividends and Distributions | |
| | | Net Asset
Value,
Beginning
of Period | | | Net
Investment
Income
(Loss) | | | Net
Realized
and
Unrealized
Gain (Loss) | | | Net
Increase
(Decrease)
in Net
Asset
Value from
Operations | | | Distributions
from Net
Investment
Income | | | Distributions
from Net
Realized
Gains | | | Total
Distributions | |
| AQR INTERNATIONAL EQUITY FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $10.17 | | | | 0.20 | | | | 1.73 | | | | 1.93 | | | | (0.30 | ) | | | (0.14 | ) | | | (0.44 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $9.61 | | | | 0.21 | | | | 0.67 | | | | 0.88 | | | | (0.20 | ) | | | (0.12 | ) | | | (0.32 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $10.99 | | | | 0.21 | | | | (0.71 | ) | | | (0.50 | ) | | | (0.33 | ) | | | (0.55 | ) | | | (0.88 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $11.88 | | | | 0.28 | 15 | | | (0.09 | ) | | | 0.19 | | | | (0.22 | ) | | | (0.86 | ) | | | (1.08 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $10.24 | | | | 0.17 | | | | 1.47 | | | | 1.64 | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | | $8.60 | | | | 0.20 | | | | 1.76 | | | | 1.96 | | | | (0.32 | ) | | | — | | | | (0.32 | ) |
| AQR INTERNATIONAL EQUITY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $10.35 | | | | 0.18 | | | | 1.77 | | | | 1.95 | | | | (0.28 | ) | | | (0.14 | ) | | | (0.42 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $9.77 | | | | 0.19 | | | | 0.68 | | | | 0.87 | | | | (0.17 | ) | | | (0.12 | ) | | | (0.29 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $11.15 | | | | 0.17 | | | | (0.70 | ) | | | (0.53 | ) | | | (0.30 | ) | | | (0.55 | ) | | | (0.85 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2014 | | | $12.06 | | | | 0.25 | 15 | | | (0.10 | ) | | | 0.15 | | | | (0.20 | ) | | | (0.86 | ) | | | (1.06 | ) |
| NINE MONTHS ENDED SEPTEMBER 30, 2013 | | | $10.43 | | | | 0.13 | | | | 1.50 | | | | 1.63 | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2012 | | | $8.76 | | | | 0.19 | | | | 1.76 | | | | 1.95 | | | | (0.28 | ) | | | — | | | | (0.28 | ) |
| AQR INTERNATIONAL EQUITY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED SEPTEMBER 30, 2017 | | | $10.77 | | | | 0.27 | | | | 1.81 | | | | 2.08 | | | | (0.32 | ) | | | (0.14 | ) | | | (0.46 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2016 | | | $10.16 | | | | 0.16 | | | | 0.77 | | | | 0.93 | | | | (0.20 | ) | | | (0.12 | ) | | | (0.32 | ) |
| FOR THE YEAR ENDED SEPTEMBER 30, 2015 | | | $11.56 | | | | 0.18 | | | | (0.68 | ) | | | (0.50 | ) | | | (0.35 | ) | | | (0.55 | ) | | | (0.90 | ) |
| FOR THE PERIOD 1/08/1412—9/30/14 | | | $12.08 | | | | 0.34 | 15 | | | (0.86 | ) | | | (0.52 | ) | | | — | | | | — | | | | — | |
| AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 12/14/16—9/30/17 | | | $10.00 | | | | 0.09 | | | | 1.21 | | | | 1.30 | | | | — | | | | — | | | | — | |
| AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 12/14/16—9/30/17 | | | $10.00 | | | | 0.06 | | | | 1.21 | | | | 1.27 | | | | — | | | | — | | | | — | |
| AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 12/14/16—9/30/17 | | | $10.00 | | | | 0.09 | | | | 1.21 | | | | 1.30 | | | | — | | | | — | | | | — | |
| AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 12/14/16—9/30/17 | | | $10.00 | | | | (0.01 | ) | | | 0.36 | | | | 0.35 | | | | — | | | | — | | | | — | |
| AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 12/14/16—9/30/17 | | | $10.00 | | | | (0.03 | ) | | | 0.35 | | | | 0.32 | | | | — | | | | — | | | | — | |
| AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 12/14/16—9/30/17 | | | $10.00 | | | | (0.00 | )7 | | | 0.35 | | | | 0.35 | | | | — | | | | — | | | | — | |
| AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 12/14/168—9/30/17 | | | $10.00 | | | | 0.21 | | | | 2.55 | | | | 2.76 | | | | — | | | | — | | | | — | |
| AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 12/14/168—9/30/17 | | | $10.00 | | | | 0.18 | | | | 2.55 | | | | 2.73 | | | | — | | | | — | | | | — | |
| AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 12/14/168—9/30/17 | | | $10.00 | | | | 0.21 | | | | 2.56 | | | | 2.77 | | | | — | | | | — | | | | — | |
| AQR EMERGING RELAXED CONSTRAINT EQUITY FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 12/14/168—9/30/17 | | | $10.00 | | | | 0.08 | | | | 2.61 | | | | 2.69 | | | | — | | | | — | | | | — | |
| AQR EMERGING RELAXED CONSTRAINT EQUITY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 12/14/168—9/30/17 | | | $10.00 | | | | 0.07 | | | | 2.59 | | | | 2.66 | | | | — | | | | — | | | | — | |
| AQR EMERGING RELAXED CONSTRAINT EQUITY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 12/14/168—9/30/17 | | | $10.00 | | | | 0.07 | | | | 2.63 | | | | 2.70 | | | | — | | | | — | | | | — | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
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| | |
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| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | 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 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.66 | | | | 19.96 | % | | | $346,078 | | | | 0.98 | % | | | 0.91 | %19 | | | 0.91 | %19 | | | 1.89 | %20 | | | 83 | % | | | | |
| | $10.17 | | | | 9.34 | % | | | $370,530 | | | | 0.97 | % | | | 0.95 | % | | | 0.95 | % | | | 2.14 | % | | | 62 | % | | | | |
| | $9.61 | | | | (4.79 | )% | | | $320,807 | | | | 0.92 | % | | | 0.92 | % | | | 0.92 | % | | | 1.98 | % | | | 84 | % | | | | |
| | $10.99 | | | | 1.33 | % | | | $247,847 | | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | 2.41 | %15 | | | 71 | % | | | | |
| | $11.88 | | | | 16.02 | % | | | $241,467 | | | | 0.90 | %10 | | | 0.90 | % | | | 0.90 | % | | | 2.11 | % | | | 59 | % | | | | |
| | $10.24 | | | | 22.87 | % | | | $196,971 | | | | 0.91 | % | | | 0.91 | % | | | 0.90 | % | | | 2.17 | % | | | 74 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.88 | | | | 19.68 | % | | | $14,873 | | | | 1.24 | % | | | 1.16 | %19 | | | 1.16 | %19 | | | 1.71 | %20 | | | 83 | % | | | | |
| | $10.35 | | | | 9.04 | % | | | $37,297 | | | | 1.20 | % | | | 1.18 | % | | | 1.18 | % | | | 1.89 | % | | | 62 | % | | | | |
| | $9.77 | | | | (4.99 | )% | | | $36,174 | | | | 1.21 | % | | | 1.21 | % | | | 1.21 | % | | | 1.61 | % | | | 84 | % | | | | |
| | $11.15 | | | | 0.96 | % | | | $39,336 | | | | 1.25 | % | | | 1.25 | % | | | 1.25 | % | | | 2.11 | %15 | | | 71 | % | | | | |
| | $12.06 | | | | 15.63 | % | | | $32,011 | | | | 1.29 | %10 | | | 1.29 | % | | | 1.29 | % | | | 1.52 | % | | | 59 | % | | | | |
| | $10.43 | | | | 22.41 | % | | | $15,562 | | | | 1.28 | % | | | 1.28 | % | | | 1.27 | % | | | 2.00 | % | | | 74 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.39 | | | | 20.20 | % | | | $44,105 | | | | 0.85 | % | | | 0.81 | %19 | | | 0.81 | %19 | | | 2.39 | %20 | | | 83 | % | | | | |
| | $10.77 | | | | 9.40 | % | | | $14,387 | | | | 0.77 | % | | | 0.77 | % | | | 0.77 | % | | | 1.57 | % | | | 62 | % | | | | |
| | $10.16 | | | | (4.59 | )% | | | $32,648 | | | | 0.75 | % | | | 0.75 | % | | | 0.75 | % | | | 1.61 | % | | | 84 | % | | | | |
| | $11.56 | | | | (4.30 | )% | | | $103,882 | | | | 0.74 | % | | | 0.74 | % | | | 0.74 | % | | | 3.90 | %15 | | | 71 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.30 | | | | 13.00 | % | | | $13,575 | | | | 2.69 | %10 | | | 1.40 | % | | | 0.78 | % | | | 1.06 | % | | | 139 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.27 | | | | 12.70 | % | | | $1,016 | | | | 4.22 | %10 | | | 1.65 | % | | | 1.03 | % | | | 0.72 | % | | | 139 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $11.30 | | | | 13.00 | % | | | $1,972 | | | | 3.94 | %10 | | | 1.32 | % | | | 0.70 | % | | | 1.02 | % | | | 139 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.35 | | | | 3.50 | % | | | $1,353 | | | | 6.62 | %10 | | | 1.41 | % | | | 0.98 | % | | | (0.10 | )% | | | 124 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.32 | | | | 3.20 | % | | | $576 | | | | 6.82 | %10 | | | 1.64 | % | | | 1.22 | % | | | (0.34 | )% | | | 124 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.35 | | | | 3.50 | % | | | $1,336 | | | | 6.53 | %10 | | | 1.33 | % | | | 0.90 | % | | | (0.02 | )% | | | 124 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.76 | | | | 27.60 | % | | | $7,136 | | | | 3.81 | %10 | | | 1.88 | % | | | 0.94 | % | | | 2.28 | % | | | 162 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.73 | | | | 27.30 | % | | | $1,988 | | | | 4.19 | %10 | | | 2.12 | % | | | 1.18 | % | | | 1.98 | % | | | 162 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.77 | | | | 27.70 | % | | | $2,654 | | | | 4.18 | %10 | | | 1.79 | % | | | 0.85 | % | | | 2.36 | % | | | 162 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.69 | | | | 26.90 | % | | | $5,151 | | | | 3.82 | %10 | | | 1.14 | % | | | 1.14 | % | | | 0.89 | % | | | 114 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.66 | | | | 26.60 | % | | | $1,953 | | | | 4.16 | %10 | | | 1.38 | % | | | 1.38 | % | | | 0.77 | % | | | 114 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.70 | | | | 27.00 | % | | | $17,848 | | | | 3.66 | %10 | | | 1.05 | % | | | 1.05 | % | | | 0.71 | % | | | 114 | % | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
255
| | |
| Financial Highlights | | September 30, 2017 |
| * | Annualized for periods less than one year. |
| 1 | Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
| 2 | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized. |
| 3 | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| 4 | Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
| 5 | Portfolio turnover is not annualized. |
| 6 | Effective April 1, 2015, Class L Shares were renamed Class I Shares. |
| 7 | Amount is less than $.005 per share. |
| 8 | Commencement of operations. |
| 9 | For the period ended September 30, 2013 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
| | | | | | | | |
| FUND | | NET INVESTMENT
INCOME PER SHARE | | | NET INVESTMENT
INCOME RATIO | |
AQR Large Cap Multi-Style Fund—Class I | | | $0.06 | | | | 0.98 | % |
AQR Large Cap Multi-Style Fund—Class N | | | 0.04 | | | | 0.61 | |
AQR Small Cap Multi-Style Fund—Class I | | | 0.03 | | | | 0.38 | |
AQR Small Cap Multi-Style Fund—Class N | | | 0.01 | | | | 0.10 | |
AQR International Multi-Style Fund—Class I | | | 0.13 | | | | 2.08 | |
AQR International Multi-Style Fund—Class N | | | 0.15 | | | | 2.48 | |
AQR Large Cap Momentum Style Fund—Class I | | | 0.11 | | | | 0.80 | |
AQR Large Cap Momentum Style Fund—Class N | | | 0.08 | | | | 0.56 | |
AQR Small Cap Momentum Style Fund—Class I | | | 0.07 | | | | 0.52 | |
AQR Small Cap Momentum Style Fund—Class N | | | 0.01 | | | | 0.10 | |
AQR International Momentum Style Fund—Class I | | | 0.21 | | | | 1.97 | |
AQR International Momentum Style Fund—Class N | | | 0.23 | | | | 2.16 | |
AQR TM Large Cap Momentum Style Fund—Class I | | | 0.09 | | | | 0.92 | |
AQR TM Large Cap Momentum Style Fund—Class N | | | 0.07 | | | | 0.63 | |
AQR TM Small Cap Momentum Style Fund—Class I | | | 0.04 | | | | 0.37 | |
AQR TM Small Cap Momentum Style Fund—Class N | | | 0.01 | | | | 0.14 | |
| 10 | Certain expenses incurred by the Fund were not annualized for the period. |
| 11 | Ratios are disproportionate between classes due to size of net assets and fixed expenses. |
| 12 | Commencement of offering of shares. |
| 13 | For the period ended September 30, 2015 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
| | | | | | | | |
| FUND | | NET INVESTMENT
INCOME PER SHARE | | | NET INVESTMENT
INCOME RATIO | |
AQR Small Cap Multi-Style Fund—Class I | | | $0.10 | | | | 0.76 | % |
AQR Small Cap Multi-Style Fund—Class N | | | 0.07 | | | | 0.53 | |
AQR Small Cap Multi-Style Fund—Class R6 | | | 0.13 | | | | 1.05 | |
AQR International Multi-Style Fund—Class I | | | 0.25 | | | | 2.28 | |
AQR International Multi-Style Fund—Class N | | | 0.22 | | | | 2.02 | |
AQR International Multi-Style Fund—Class R6 | | | 0.28 | | | | 2.53 | |
AQR Small Cap Momentum Style Fund—Class I | | | 0.13 | | | | 0.58 | |
AQR Small Cap Momentum Style Fund—Class N | | | 0.07 | | | | 0.32 | |
AQR Small Cap Momentum Style Fund—Class R6 | | | 0.11 | | | | 0.51 | |
AQR TM Small Cap Momentum Style Fund—Class I | | | 0.09 | | | | 0.57 | |
AQR TM Small Cap Momentum Style Fund—Class N | | | 0.05 | | | | 0.34 | |
AQR TM Small Cap Momentum Style Fund—Class R6 | | | 0.10 | | | | 0.66 | |
AQR Global Equity Fund—Class I | | | 0.10 | | | | 1.26 | |
AQR Global Equity Fund—Class N | | | 0.08 | | | | 0.95 | |
AQR Global Equity Fund—Class R6 | | | 0.12 | | | | 1.46 | |
| 14 | The amount shown for a share outstanding throughout the period is not indicative of the aggregate net realized and unrealized gain (loss) for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
256
| | |
| Financial Highlights | | September 30, 2017 |
| 15 | For the period ended September 30, 2014 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
| | | | | | | | |
| FUND | | NET INVESTMENT
INCOME PER SHARE | | | NET INVESTMENT
INCOME RATIO | |
AQR Small Cap Multi-Style Fund—Class I | | | $0.04 | | | | 0.28 | % |
AQR Small Cap Multi-Style Fund—Class N | | | (0.00 | ) | | | 0.02 | |
AQR Small Cap Multi-Style Fund—Class R6 | | | (0.00 | ) | | | 0.36 | |
AQR Small Cap Momentum Style Fund—Class I | | | (0.02 | ) | | | (0.07 | ) |
AQR Small Cap Momentum Style Fund—Class N | | | (0.08 | ) | | | (0.34 | ) |
AQR Small Cap Momentum Style Fund—Class R6 | | | (0.01 | ) | | | 0.05 | |
AQR International Momentum Style Fund—Class I | | | 0.25 | | | | 1.57 | |
AQR International Momentum Style Fund—Class N | | | 0.20 | | | | 1.26 | |
AQR International Momentum Style Fund—Class R6 | | | 0.03 | | | | 1.22 | |
AQR TM International Momentum Style Fund—Class I | | | 0.22 | | | | 1.63 | |
AQR TM International Momentum Style Fund—Class N | | | 0.16 | | | | 1.16 | |
AQR TM International Momentum Style Fund—Class R6 | | | 0.02 | | | | 1.03 | |
AQR Emerging Defensive Style Fund—Class I | | | 0.23 | | | | 2.13 | |
AQR Emerging Defensive Style Fund—Class N | | | 0.16 | | | | 1.51 | |
AQR Emerging Defensive Style Fund—Class R6 | | | 0.01 | | | | 3.82 | |
AQR Global Equity Fund—Class I | | | 0.14 | | | | 1.50 | |
AQR Global Equity Fund—Class N | | | 0.11 | | | | 1.16 | |
AQR Global Equity Fund—Class R6 | | | 0.14 | | | | 2.11 | |
AQR International Equity Fund—Class I | | | 0.26 | | | | 2.22 | |
AQR International Equity Fund—Class N | | | 0.23 | | | | 1.92 | |
AQR International Equity Fund—Class R6 | | | 0.32 | | | | 3.71 | |
| 16 | For the period ended September 30, 2016 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 TM Small Cap Multi-Style Fund—Class I | | | $0.11 | | | | 1.14 | % |
AQR TM Small Cap Multi-Style Fund—Class N | | | 0.09 | | | | 0.92 | |
AQR TM Small Cap Multi-Style Fund—Class R6 | | | 0.11 | | | | 1.13 | |
AQR TM Large Cap Momentum Style Fund—Class I | | | 0.21 | | | | 1.27 | |
AQR TM Large Cap Cap Momentum Style Fund—Class N | | | 0.18 | | | | 1.10 | |
AQR TM Large Cap Momentum Style Fund—Class R6 | | | 0.22 | | | | 1.36 | |
| 17 | For the period ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
| | | | | | | | |
| FUND | | NET INVESTMENT
INCOME PER SHARE | | | NET INVESTMENT
INCOME RATIO | |
AQR Large Cap Momentum Style Fund—Class I | | | $0.24 | | | | 1.57 | % |
AQR Large Cap Momentum Style Fund—Class N | | | 0.01 | | | | 1.07 | |
AQR Small Cap Momentum Style Fund—Class I | | | 0.15 | | | | 1.01 | |
AQR Small Cap Momentum Style Fund—Class N | | | 0.02 | | | | 2.93 | |
AQR TM Large Cap Momentum Style Fund—Class I | | | 0.17 | | | | 1.76 | |
AQR TM Large Cap Momentum Style Fund—Class N | | | 0.01 | | | | 2.28 | |
AQR TM Small Cap Momentum Style Fund—Class I | | | 0.12 | | | | 1.26 | |
AQR TM Small Cap Momentum Style Fund—Class N | | | 0.02 | | | | 3.54 | |
AQR Large Cap Defensive Style Fund—Class I | | | 0.11 | | | | 2.58 | |
AQR Large Cap Defensive Style Fund—Class N | | | 0.05 | | | | 1.38 | |
| 18 | The ratio is not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain expenses incurred by the Fund were not annualized for the period. |
| 19 | Excludes impact of IRS closing agreement tax expense (Note 2). |
| 20 | Includes impact of IRS closing agreement reimbursement. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
257
| | |
| Financial Highlights | | September 30, 2017 |
| 21 | For the period ended September 30, 2017 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
| | | | | | | | |
| FUND | | NET INVESTMENT
INCOME PER SHARE | | | NET INVESTMENT
INCOME RATIO | |
AQR Small Cap Multi-Style Fund—Class I | | | $0.10 | | | | 0.63 | % |
AQR Small Cap Multi-Style Fund—Class N | | | 0.06 | | | | 0.37 | |
AQR Small Cap Multi-Style Fund—Class R6 | | | 0.11 | | | | 0.73 | |
AQR Small Cap Momentum Style Fund—Class I | | | 0.08 | | | | 0.35 | |
AQR Small Cap Momentum Style Fund—Class N | | | 0.03 | | | | 0.13 | |
AQR Small Cap Momentum Style Fund—Class R6 | | | 0.10 | | | | 0.43 | |
AQR International Defensive Style Fund—Class I | | | 0.28 | | | | 2.24 | |
AQR International Defensive Style Fund—Class N | | | 0.26 | | | | 2.02 | |
AQR International Defensive Style Fund—Class R6 | | | 0.29 | | | | 2.38 | |
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| | The accompanying notes are an integral part of these financial statements. | | |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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258
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| Notes to Financial Statements | | September 30, 2017 |
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 September 30, 2017, the Trust consists of thirty-eight active series, twenty-four of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund, AQR Emerging Defensive Style Fund, AQR Global Equity Fund, AQR International Equity Fund, AQR Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund, AQR International Relaxed Constraint Equity Fund and AQR Emerging Relaxed Constraint Equity Fund. The remaining active series are reported in separate books. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each Fund.
AQR Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund, AQR International Relaxed Constraint Equity Fund and AQR Emerging Relaxed Constraint Equity Fund commenced operations on December 14, 2016.
The investment objective for AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR Global Equity Fund, AQR International Equity Fund, AQR Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund, AQR International Relaxed Constraint Equity Fund and AQR Emerging Relaxed Constraint Equity Fund is to seek long-term capital appreciation. The investment objective for AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund and AQR Emerging Defensive Style Fund is to seek total return. The investment objective for AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund and AQR TM International Momentum Style Fund is to seek long-term after-tax capital appreciation. Each fund offers Class I, N and R6 shares.
2. Significant Accounting Policies
The Funds are investment companies and apply specialized accounting and reporting guidance in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
Use of Estimates: The preparation of the financial statements in conformity with GAAP requires the Adviser to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities, if any, at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.
Valuation of Investments: All securities and other investments are recorded at their estimated fair value, as described in Note 4.
Cash: Cash comprises U.S. Dollar and foreign currency deposits held at a bank(s) or custodian bank(s) which may exceed insured limits. The Funds are subject to risk to the extent that the institutions may be unable to fulfill their obligations.
Due to/from Brokers: Due to/from brokers represents cash balances 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) from transactions in investment securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.
Realized gains (losses) from settlement of 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 translations reported on the Statements of Operations arise from changes (due to the
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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259
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| Notes to Financial Statements | | September 30, 2017 |
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.
Offering Cost: Offering costs, including professional fees, printing fees and initial registration, are amortized over a period not longer than twelve months from the date the Funds commenced operations.
Federal Income Taxes: Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If so qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its taxable net investment income and capital gains, if applicable, 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 September 30, 2017, the Funds had no examinations in progress.
Certain Funds have executed a closing agreement with the Internal Revenue Service (“IRS”) as a result of overstated foreign tax credits reported to shareholders in open tax years. The AQR International Multi-Style Fund, AQR International Momentum Style Fund, AQR TM International Momentum Style Fund, AQR International Defensive Style Fund and the AQR International Equity Fund, recorded a tax expense of $3,814,$70,598, $1,275, $1,149 and $238,460, respectively, of which, all amounts have been reimbursed by the Administrator. Amounts reimbursed by the Administrator were recorded in income on the Statements of Operations and resulted in no taxable impact to the Funds in the current year.
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 gain (loss) reported on the Funds’ financial statements presented under GAAP.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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260
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| Notes to Financial Statements | | September 30, 2017 |
Distributions classified as a tax basis return of capital, if any, are reflected on the accompanying Statements of Changes in Net Assets and have been recorded to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed/overdistributed net realized gains or losses and/or paid in capital to more appropriately conform financial accounting to tax characterizations of dividend distributions.
Indemnification: In the normal course of business, the Funds may enter into various agreements that provide for general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as any potential exposure involves future claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.
3. Securities and Other Investments
Limited Purpose Cash Investment Fund: Certain Funds may invest in the Limited Purpose Cash Investment Fund (the “LPCI Fund”), which is managed by UBS Asset Management (Americas) Inc. (“UBS AM”). The LPCI Fund is a registered investment company under the 1940 Act and is subject to the money market regulations as prescribed in Rule 2a-7 of the 1940 Act. Pursuant to the LPCI Fund’s eligibility requirements, shares of the LPCI Fund are only available for sale to the Adviser and funds advised by the Adviser. Those Funds investing in the LPCI Fund indirectly bear their share of the advisory and operating expenses borne by the LPCI Fund. Section 2a-3 of the 1940 Act defines an affiliated person as, among other things, a company in which a Fund owns at least 5% of the outstanding voting securities. The LPCI Fund may be considered an affiliated person of some of the Funds in the Trust. However, the Funds do not invest in the LPCI Fund for the purpose of exercising a controlling influence over its management, board or policies. A summary of transactions with each affiliated person is included in the Schedules of Investments, if applicable.
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, which could be 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. Daily market fluctuations and trading activity could cause the value of securities sold short to be more or less than the value of the collateral segregated. 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:
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| FUND | | | |
AQR Large Cap Relaxed Constraint Equity Fund | | $ | 6,856 | |
AQR Small Cap Relaxed Constraint Equity Fund | | | 1,982 | |
AQR International Relaxed Constraint Equity Fund | | | 4,841 | |
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 receive 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 net 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.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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261
| | |
| Notes to Financial Statements | | September 30, 2017 |
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. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Swap Contracts: Certain Funds engage in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions may be privately negotiated in the over-the-counter (“OTC”) market where payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (“centrally cleared swaps”). These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”), in which case all payments are settled with the CCP through the DCM. For credit default and interest rate contracts, an up-front payment received by a Fund is recorded as a liability. An up-front payment made by a Fund is recorded as an asset. Up-front payments are amortized over the term of the contract. If there is no upfront payment or receipt, market value will equal unrealized appreciation (depreciation). Periodic payments received (paid) by a Fund are recorded as realized gains (losses). The Funds’ use of swap contracts create additional risks beyond those that would exist if the Funds invested in the underlying positions directly.
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 Schedule of Investments. The use of short total return swaps subject the Funds to potential unlimited loss. Periodic payments received (paid) by the Funds are recorded as realized gains (losses) from the expiration or closing of 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 a total return basket swap agreement to obtain exposure to a portfolio of long and/or 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 absolute notional value of the total return basket swap represents the accumulated notional value of the underlying long components and absolute notional value of the short components held within the total return basket swap at period end. The notional value of each component represents the market value at period end. 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 financing charges and credits related to the notional values of the long and short positions and cash balances within the swap. Finance charges and credits are based on defined market rates plus or minus a specified spread. Positions within the swap are reset periodically, and financing costs are reset monthly. During a reset, any realized gains (losses) from positions, income, proceeds from corporate actions and accrued financing costs may become available for cash settlement between the Funds and the swap counterparty. Prior to the reset, these amounts are included as a component of the swap value in Net cash and other receivables (payables). 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. The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. A change in the market value of a total return basket swap contract is recognized as net change in unrealized appreciation (depreciation) on swap contracts in the Statements of Operations. Cash settlements between a Fund and the counterparty are recognized as net realized gain (loss) from expiration or closing of 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.
Securities Lending: Certain Funds may lend securities to qualified borrowers approved by the Adviser in order to generate additional income. Securities loaned are collateralized by cash valued at 102% to 105% of the market value of the securities on loan. The Funds invest cash collateral in money market funds as indicated on the Schedule of Investments. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled on the next business day. The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. Loans are subject to termination by the Funds or the borrower at any time. Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. In the event of a default by a
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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262
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| Notes to Financial Statements | | September 30, 2017 |
borrower with respect to any loan, the lending agent will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. If, despite such efforts by the lending agent to exercise these remedies, the Funds sustain losses as a result of a borrower’s default, the lending agent indemnifies the Funds by purchasing replacement securities at its expense, or paying the Funds an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in the Securities Lending Agency Agreement between the Funds and the lending agent. Securities lending income, net on the Statement of Operations represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. Certain of the securities on loan may have been sold prior to the close of the reporting period and are included in Receivables for Securities Sold on the Statements of Assets and Liabilities.
The following table presents the liabilities under the outstanding securities lending transactions as of September 30, 2017, on the basis of the nature, characteristics and risks associated with the investment of the cash collateral received in a money market fund, in accordance with guidance presented in Financial Accounting Standards Board (“FASB”) ASU 2014-11, Balance Sheet (Topic) 860: Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (“ASU 2014-11”). As the securities loans are subject to termination by the Funds or the borrower at any time, the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous.
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| | | COMMON STOCKS | | | | |
| FUND | | (OVERNIGHT &
CONTINUOUS) | | | (UP TO 30 DAYS) | | | TOTAL
BORROWINGS | |
| | | |
AQR Large Cap Multi-Style Fund | | $ | 10,402,631 | | | $ | — | | | $ | 10,402,631 | |
AQR Small Cap Multi-Style Fund | | | 45,956,679 | | | | — | | | | 45,956,679 | |
AQR Emerging Multi-Style Fund | | | 4,271,617 | | | | — | | | | 4,271,617 | |
AQR TM Large Cap Multi-Style Fund | | | 1,699,152 | | | | — | | | | 1,699,152 | |
AQR TM Small Cap Multi-Style Fund | | | 609,938 | | | | — | | | | 609,938 | |
AQR TM Emerging Multi-Style Fund | | | 7,376,432 | | | | — | | | | 7,376,432 | |
AQR Large Cap Momentum Style Fund | | | 16,865,402 | | | | — | | | | 16,865,402 | |
AQR Small Cap Momentum Style Fund | | | 28,766,582 | | | | — | | | | 28,766,582 | |
AQR International Momentum Style Fund | | | 1,136,987 | | | | 133,476 | | | | 1,270,463 | |
AQR TM Large Cap Momentum Style Fund | | | 1,906,429 | | | | — | | | | 1,906,429 | |
AQR TM Small Cap Momentum Style Fund | | | 3,080,372 | | | | — | | | | 3,080,372 | |
AQR TM International Momentum Style Fund | | | 215,889 | | | | 56,270 | | | | 272,159 | |
AQR Large Cap Defensive Style Fund | | | 713,750 | | | | — | | | | 713,750 | |
AQR International Defensive Style Fund | | | 1,234,245 | | | | 52 | | | | 1,234,297 | |
AQR Emerging Defensive Style Fund | | | 125,700 | | | | — | | | | 125,700 | |
The securities lending transactions are governed by a Securities Lending Agency Agreement with Citibank NA, which is not considered to be master netting arrangements. As a result the liabilities associated with the securities lending transactions are not disclosed in Note 7 of the Notes to Financial Statements.
Master Agreements: Certain Funds are parties to master netting arrangements with counterparties (“Master Agreements”). Master Agreements govern the terms of certain like transactions, and reduce the counterparty risk associated with relevant transactions by specifying payment netting mechanisms across multiple transactions and providing standardization that improves legal certainty. Since different types of transactions have different mechanics and are sometimes traded by different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple Master Agreements with a counterparty and its affiliates.
As the Master Agreements are specific to unique operations of different asset types, they allow the Funds to i.) close out and net their total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty, ii.) exit transactions through means other than sale, such as through a negotiated agreement with the Funds’ counterparty, a transfer to another party, or close out of the position through execution of an offsetting transaction.
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 centrally cleared swaps and Deposits with brokers for futures contracts on the
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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263
| | |
| Notes to Financial Statements | | September 30, 2017 |
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 centrally cleared swaps and Variation margin on futures contracts. 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.
4. Investment Valuation and Fair Value Measurements
Investment Valuation Policies: The Net Asset Value (“NAV”) of the Funds’ shares are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each class within each Fund is computed by dividing the total current value of the assets of such Fund attributable to a class, less class liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made. For purposes of calculating the NAV, portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the Funds’ Board of Trustees (the “Board”).
The Board has delegated responsibility for applying approved valuation policies to the Adviser, subject to Board oversight. The Adviser has established a Valuation Committee (the “VC”) whose function is to administer, implement and oversee the continual appropriateness of valuation methods applied and the determination of adjustments to the fair valuation of portfolio securities and other financial derivative instruments in good faith after consideration of market factor changes and events affecting issuers. The Adviser performs a series of activities to provide reasonable assurance of the accuracy of prices including: (i) periodic vendor due diligence meetings, review of methodologies, approaches and techniques, new developments and processes at vendors, (ii) review of daily comparison of security valuation versus prior day for all securities that exceeded established thresholds, (iii) review of third party model prices against internal model prices, and (iv) review the results of back testing and reports for the Board on the results of fair value determinations.
Where market quotes are readily available, fair market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from pricing services or established market makers. Where market quotations are not readily available, or if an available market quotation is determined not to reflect fair value, securities or financial derivatives are valued at fair value, as determined in good faith by the VC in accordance with the valuation procedures approved by the Funds’ Board. Using fair value to price a security may require subjective determinations about the value of a security that could result in a value that is different from a security’s most recent closing price and from the prices used by other mutual funds to calculate their net assets. It is possible the estimated values may differ significantly from the values which would have been used had an active 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.
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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 classified 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 classified Level 2. In addition, equities traded outside of the Western Hemisphere are classified 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 Depositary Receipts, futures contracts and exchange rates in other markets in determining fair value as of the time a Fund calculates its net asset value.
Fixed income securities (other than certain short-term investments maturing in 60 days or less) 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 60 days or less are generally valued at amortized cost, which approximates fair value. These investments are categorized as Level 2 within the fair value hierarchy.
Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include illiquid securities. When observable prices are not available for these securities, the Funds may use one or more valuation approaches (e.g., the market approach, the income approach, or the cost approach), including proprietary models for which sufficient and reliable data is available. Within Level 3, the market approach generally is based on the technique of using comparable market transactions, while the use of the income approach includes the estimation of 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 their constitutes the principal market or, if no sales occurred on such date, at the bid price on such exchange at the close of business
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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 fair valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.
The value of each total return swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.
The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Generally, a valuation model is used consistently for similar derivative types. 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 typically may include market prices for reference securities, yield curves, credit spreads, measures of volatility, prepayment rates and implied correlations of such inputs which are obtained from outside brokers and/or pricing services when available. 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 may include other unobservable inputs which may be considered significant to the fair value determination.
Quantitative Information
The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments:
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| AQR LARGE CAP MULTI-STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 1,713,241,841 | | | $ | — | | | $ | — | | | $ | 1,713,241,841 | |
Securities Lending Collateral | | | — | | | | 10,402,631 | | | | — | | | | 10,402,631 | |
Short-Term Investments | | | — | | | | 51,105,407 | | | | — | | | | 51,105,407 | |
Futures Contracts* | | | 464,951 | | | | — | | | | — | | | | 464,951 | |
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Total Assets | | $ | 1,713,706,792 | | | $ | 61,508,038 | | | $ | — | | | $ | 1,775,214,830 | |
| AQR SMALL CAP MULTI-STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 770,831,934 | | | $ | — | | | $ | — | | | $ | 770,831,934 | |
Rights | | | — | | | | — | | | | 627 | | | | 627 | |
Securities Lending Collateral | | | — | | | | 45,956,679 | | | | — | | | | 45,956,679 | |
Short-Term Investments | | | — | | | | 26,045,645 | | | | — | | | | 26,045,645 | |
Futures Contracts* | | | 715,579 | | | | — | | | | — | | | | 715,579 | |
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Total Assets | | $ | 771,547,513 | | | $ | 72,002,324 | | | $ | 627 | | | $ | 843,550,464 | |
| AQR INTERNATIONAL MULTI-STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 38,342,898 | | | $ | 418,774,006 | | | $ | — | | | $ | 457,116,904 | |
Rights† | | | — | | | | 9,897 | | | | — | | | | 9,897 | |
Short-Term Investments | | | — | | | | 9,658,632 | | | | — | | | | 9,658,632 | |
Futures Contracts* | | | 42,386 | | | | — | | | | — | | | | 42,386 | |
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Total Assets | | $ | 38,385,284 | | | $ | 428,442,535 | | | $ | — | | | $ | 466,827,819 | |
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| AQR EMERGING MULTI-STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 103,731,054 | | | $ | 211,333,829 | | | $ | — | | | $ | 315,064,883 | |
Securities Lending Collateral | | | — | | | | 4,271,617 | | | | — | | | | 4,271,617 | |
Short-Term Investments | | | — | | | | 8,181,462 | | | | — | | | | 8,181,462 | |
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Total Assets | | $ | 103,731,054 | | | $ | 223,786,908 | | | $ | — | | | $ | 327,517,962 | |
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LIABILITIES | | | | | | | | | | | | | | | | |
Futures Contracts* | | $ | (22,978 | ) | | $ | — | | | $ | — | | | $ | (22,978 | ) |
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Total Liabilities | | $ | (22,978 | ) | | $ | — | | | $ | — | | | $ | (22,978 | ) |
| AQR TM LARGE CAP MULTI-STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 219,662,787 | | | $ | — | | | $ | — | | | $ | 219,662,787 | |
Exchange Traded Funds | | | 5,195,687 | | | | — | | | | — | | | | 5,195,687 | |
Securities Lending Collateral | | | — | | | | 1,699,152 | | | | — | | | | 1,699,152 | |
Short-Term Investments | | | — | | | | 3,489,933 | | | | — | | | | 3,489,933 | |
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Total Assets | | $ | 224,858,474 | | | $ | 5,189,085 | | | $ | — | | | $ | 230,047,559 | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 27,818,649 | | | $ | — | | | $ | — | | | $ | 27,818,649 | |
Exchange Traded Funds | | | 745,938 | | | | — | | | | — | | | | 745,938 | |
Rights | | | — | | | | — | | | | 13 | | | | 13 | |
Securities Lending Collateral | | | — | | | | 609,938 | | | | — | | | | 609,938 | |
Short-Term Investments | | | — | | | | 553,061 | | | | — | | | | 553,061 | |
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Total Assets | | $ | 28,564,587 | | | $ | 1,162,999 | | | $ | 13 | | | $ | 29,727,599 | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 14,554,222 | | | $ | 158,683,557 | | | $ | — | | | $ | 173,237,779 | |
Rights† | | | — | | | | 1,524 | | | | — | | | | 1,524 | |
Short-Term Investments | | | — | | | | 4,437,727 | | | | — | | | | 4,437,727 | |
Futures Contracts* | | | 21,966 | | | | — | | | | — | | | | 21,966 | |
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Total Assets | | $ | 14,576,188 | | | $ | 163,122,808 | | | $ | — | | | $ | 177,698,996 | |
| AQR TM EMERGING MULTI-STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 112,322,945 | | | $ | 230,816,608 | | | $ | — | | | $ | 343,139,553 | |
Securities Lending Collateral | | | — | | | | 7,376,432 | | | | — | | | | 7,376,432 | |
Short-Term Investments | | | — | | | | 7,682,159 | | | | — | | | | 7,682,159 | |
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Total Assets | | $ | 112,322,945 | | | $ | 245,875,199 | | | $ | — | | | $ | 358,198,144 | |
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LIABILITIES | | | | | | | | | | | | | | | | |
Futures Contracts* | | $ | (59,640 | ) | | $ | — | | | $ | — | | | $ | (59,640 | ) |
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Total Liabilities | | $ | (59,640 | ) | | $ | — | | | $ | — | | | $ | (59,640 | ) |
| AQR LARGE CAP MOMENTUM STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 967,807,310 | | | $ | — | | | $ | — | | | $ | 967,807,310 | |
Securities Lending Collateral | | | — | | | | 16,865,402 | | | | — | | | | 16,865,402 | |
Short-Term Investments | | | — | | | | 26,952,776 | | | | — | | | | 26,952,776 | |
Futures Contracts* | | | 226,391 | | | | — | | | | — | | | | 226,391 | |
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Total Assets | | $ | 968,033,701 | | | $ | 43,818,178 | | | $ | — | | | $ | 1,011,851,879 | |
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| AQR SMALL CAP MOMENTUM STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 366,427,913 | | | $ | — | | | $ | — | (a) | | $ | 366,427,913 | |
Rights | | | — | | | | — | | | | 1,712 | | | | 1,712 | |
Securities Lending Collateral | | | — | | | | 28,766,582 | | | | — | | | | 28,766,582 | |
Short-Term Investments | | | — | | | | 6,840,974 | | | | — | | | | 6,840,974 | |
Warrants | | | — | | | | — | | | | — | (a) | | | — | (a) |
Futures Contracts* | | | 188,091 | | | | — | | | | — | | | | 188,091 | |
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Total Assets | | $ | 366,616,004 | | | $ | 35,607,556 | | | $ | 1,712 | | | $ | 402,225,272 | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 11,724,938 | | | $ | 381,166,050 | | | $ | 42,881 | | | $ | 392,933,869 | |
Rights† | | | — | | | | 5,095 | | | | — | | | | 5,095 | |
Securities Lending Collateral | | | — | | | | 1,270,463 | | | | — | | | | 1,270,463 | |
Short-Term Investments | | | — | | | | 10,220,080 | | | | — | | | | 10,220,080 | |
Futures Contracts* | | | 53,633 | | | | — | | | | — | | | | 53,633 | |
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Total Assets | | $ | 11,778,571 | | | $ | 392,661,688 | | | $ | 42,881 | | | $ | 404,483,140 | |
| AQR EMERGING MOMENTUM STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 2,430,818 | | | $ | 10,815,810 | | | $ | — | (a) | | $ | 13,246,628 | |
Exchange Traded Funds† | | | 309,637 | | | | — | | | | — | | | | 309,637 | |
Short-Term Investments | | | — | | | | 147,693 | | | | — | | | | 147,693 | |
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Total Assets | | $ | 2,740,455 | | | $ | 10,963,503 | | | $ | — | (a) | | $ | 13,703,958 | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 174,416,221 | | | $ | — | | | $ | — | | | $ | 174,416,221 | |
Securities Lending Collateral | | | — | | | | 1,906,429 | | | | — | | | | 1,906,429 | |
Short-Term Investments | | | — | | | | 5,352,555 | | | | — | | | | 5,352,555 | |
Futures Contracts* | | | 30,885 | | | | — | | | | — | | | | 30,885 | |
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Total Assets | | $ | 174,447,106 | | | $ | 7,258,984 | | | $ | — | | | $ | 181,706,090 | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 48,705,067 | | | $ | — | | | $ | — | | | $ | 48,705,067 | |
Exchange Traded Funds | | | 2,054,960 | | | | — | | | | — | | | | 2,054,960 | |
Securities Lending Collateral | | | — | | | | 3,080,372 | | | | — | | | | 3,080,372 | |
Short-Term Investments | | | — | | | | 1,606,500 | | | | — | | | | 1,606,500 | |
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Total Assets | | $ | 50,760,027 | | | $ | 4,686,872 | | | $ | — | | | $ | 55,446,899 | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 3,198,783 | | | $ | 98,693,956 | | | $ | 1,494 | | | $ | 101,894,233 | |
Securities Lending Collateral | | | — | | | | 272,159 | | | | — | | | | 272,159 | |
Short-Term Investments | | | — | | | | 2,904,842 | | | | — | | | | 2,904,842 | |
Futures Contracts* | | | 13,443 | | | | — | | | | — | | | | 13,443 | |
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Total Assets | | $ | 3,212,226 | | | $ | 101,870,957 | | | $ | 1,494 | | | $ | 105,084,677 | |
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| AQR LARGE CAP DEFENSIVE STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 1,165,193,673 | | | $ | — | | | $ | — | | | $ | 1,165,193,673 | |
Securities Lending Collateral | | | — | | | | 713,750 | | | | — | | | | 713,750 | |
Short-Term Investments | | | — | | | | 61,682,043 | | | | — | | | | 61,682,043 | |
Futures Contracts* | | | 744,419 | | | | — | | | | — | | | | 744,419 | |
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Total Assets | | $ | 1,165,938,092 | | | $ | 62,395,793 | | | $ | — | | | $ | 1,228,333,885 | |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 23,198,262 | | | $ | 164,057,170 | | | $ | — | | | $ | 187,255,432 | |
Securities Lending Collateral | | | — | | | | 1,234,297 | | | | — | | | | 1,234,297 | |
Short-Term Investments | | | — | | | | 6,024,208 | | | | — | | | | 6,024,208 | |
Futures Contracts* | | | 34,834 | | | | — | | | | — | | | | 34,834 | |
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Total Assets | | $ | 23,233,096 | | | $ | 171,315,675 | | | $ | — | | | $ | 194,548,771 | |
| AQR EMERGING DEFENSIVE STYLE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 14,232,391 | | | $ | 49,935,688 | | | $ | 1 | | | $ | 64,168,080 | |
Securities Lending Collateral | | | — | | | | 125,700 | | | | — | | | | 125,700 | |
Short-Term Investments | | | — | | | | 2,909,628 | | | | — | | | | 2,909,628 | |
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Total Assets | | $ | 14,232,391 | | | $ | 52,971,016 | | | $ | 1 | | | $ | 67,203,408 | |
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LIABILITIES | | | | | | | | | | | | | | | | |
Futures Contracts* | | $ | (18,747 | ) | | $ | — | | | $ | — | | | $ | (18,747 | ) |
| | | | |
Total Liabilities | | $ | (18,747 | ) | | $ | — | | | $ | — | | | $ | (18,747 | ) |
| AQR GLOBAL EQUITY FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 104,753,335 | | | $ | 64,531,061 | | | $ | 1,727 | | | $ | 169,286,123 | |
Short-Term Investments | | | — | | | | 17,040,544 | | | | — | | | | 17,040,544 | |
Futures Contracts* | | | 1,346,619 | | | | — | | | | — | | | | 1,346,619 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 817,299 | | | | — | | | | 817,299 | |
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Total Assets | | $ | 106,099,954 | | | $ | 82,388,904 | | | $ | 1,727 | | | $ | 188,490,585 | |
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LIABILITIES | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts* | | $ | — | | | $ | (2,149,486 | ) | | $ | — | | | $ | (2,149,486 | ) |
Total Return Swap Contracts* | | | — | | | | (148,951 | ) | | | — | | | | (148,951 | ) |
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Total Liabilities | | $ | — | | | $ | (2,298,437 | ) | | $ | — | | | $ | (2,298,437 | ) |
| AQR INTERNATIONAL EQUITY FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | — | | | $ | 355,493,817 | | | $ | 2,570 | | | $ | 355,496,387 | |
Rights† | | | — | | | | 4,389 | | | | — | | | | 4,389 | |
Short-Term Investments | | | — | | | | 40,488,076 | | | | — | | | | 40,488,076 | |
Futures Contracts* | | | 3,197,021 | | | | — | | | | — | | | | 3,197,021 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 1,362,608 | | | | — | | | | 1,362,608 | |
| | | | |
Total Assets | | $ | 3,197,021 | | | $ | 397,348,890 | | | $ | 2,570 | | | $ | 400,548,481 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts* | | $ | — | | | $ | (5,157,133 | ) | | $ | — | | | $ | (5,157,133 | ) |
Total Return Swap Contracts* | | | — | | | | (375,997 | ) | | | — | | | | (375,997 | ) |
| | | | |
Total Liabilities | | $ | — | | | $ | (5,533,130 | ) | | $ | — | | | $ | (5,533,130 | ) |
| | | | | | | | | | | | | | | | |
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| | | | | | | | | | | | | | | | |
| AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 20,786,954 | | | $ | — | | | $ | — | | | $ | 20,786,954 | |
Exchange Traded Funds | | | 483,115 | | | | — | | | | — | | | | 483,115 | |
Short-Term Investments | | | — | | | | 354,203 | | | | — | | | | 354,203 | |
| | | | |
Total Assets | | $ | 21,270,069 | | | $ | 354,203 | | | $ | — | | | $ | 21,624,272 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Common Stocks (Sold Short) | | $ | (4,898,771 | ) | | $ | — | | | $ | — | | | $ | (4,898,771 | ) |
| | | | |
Total Liabilities | | $ | (4,898,771 | ) | | $ | — | | | $ | — | | | $ | (4,898,771 | ) |
| AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 4,023,595 | | | $ | 1,084 | | | $ | — | | | $ | 4,024,679 | |
Exchange Traded Funds | | | 132,473 | | | | — | | | | — | | | | 132,473 | |
Rights | | | — | | | | — | | | | 2 | | | | 2 | |
Short-Term Investments | | | — | | | | 50,755 | | | | — | | | | 50,755 | |
| | | | |
Total Assets | | $ | 4,156,068 | | | $ | 51,839 | | | $ | 2 | | | $ | 4,207,909 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Common Stocks (Sold Short) | | $ | (923,356 | ) | | $ | — | | | $ | — | | | $ | (923,356 | ) |
| | | | |
Total Liabilities | | $ | (923,356 | ) | | $ | — | | | $ | — | | | $ | (923,356 | ) |
| AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | — | | | $ | 14,801,137 | | | $ | — | | | $ | 14,801,137 | |
Exchange Traded Funds† | | | 324,869 | | | | — | | | | — | | | | 324,869 | |
Short-Term Investments | | | — | | | | 49,180 | | | | — | | | | 49,180 | |
| | | | |
Total Assets | | $ | 324,869 | | | $ | 14,850,317 | | | $ | — | | | $ | 15,175,186 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Common Stocks (Sold Short)† | | $ | — | | | $ | (3,456,801 | ) | | $ | — | | | $ | (3,456,801 | ) |
| | | | |
Total Liabilities | | $ | — | | | $ | (3,456,801 | ) | | $ | — | | | $ | (3,456,801 | ) |
| AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 7,925,850 | | | $ | 11,976,896 | | | $ | — | (a) | | $ | 19,902,746 | |
Exchange Traded Funds | | | 524,412 | | | | — | | | | — | | | | 524,412 | |
Short-Term Investments | | | — | | | | 4,084,518 | | | | — | | | | 4,084,518 | |
Total Return Basket Swap Contracts* | | | — | | | | 222,411 | | | | — | | | | 222,411 | |
| | | | |
Total Assets | | $ | 8,450,262 | | | $ | 16,283,825 | | | $ | — | (a) | | $ | 24,734,087 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Total Return Basket Swap Contracts* | | | — | | | | (47,703 | ) | | | — | | | | (47,703 | ) |
| | | | |
Total Liabilities | | $ | — | | | $ | (47,703 | ) | | $ | — | | | $ | (47,703 | ) |
| | * | Derivative instruments, including futures, forward foreign currency exchange, total return swap and total return basket swap contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Only the current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and cleared derivatives. |
| | † | Please refer to the Schedule of Investments to view securities segregated by country. |
| | (a) | Security has zero value. |
The Funds recognize all transfers at the beginning of the reporting period, related unrealized appreciation/(depreciation) is also transferred out at the beginning of the reporting period. Transfers between Level 1 and 2 generally relate to whether the principal market for the security becomes active or inactive. Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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| Notes to Financial Statements | | September 30, 2017 |
(e.g., frequency of trades), which resulted in a lack of, or increase in, available market inputs to determine price. There were no transfers of investments between levels for any of the Funds.
There were no other Level 3 securities held at period end, except those securities classified as Level 3 in the Schedules of Investments that are considered quantitatively insignificant in the aggregate for the AQR Small Cap Multi – Style Fund, AQR TM Small Cap Multi-Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Emerging Defensive Style Fund, AQR Global Equity Fund, AQR International Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund and AQR Emerging Relaxed Constraint Equity Fund.
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.
5. Federal Income Tax Matters
At September 30, 2017, the cost and aggregate gross unrealized appreciation (depreciation) of long security positions, short security positions and derivative instruments for federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
FUND | | COST OF
INVESTMENTS | | | GROSS UNREALIZED
APPRECIATION | | | GROSS
UNREALIZED
DEPRECIATION | | | NET
UNREALIZED
APPRECIATION (DEPRECIATION) | |
AQR Large Cap Multi-Style Fund | | $ | 1,450,740,158 | | | $ | 337,204,224 | | | $ | (12,729,552 | ) | | $ | 324,474,672 | |
AQR Small Cap Multi-Style Fund | | | 694,168,473 | | | | 164,052,988 | | | | (14,670,997 | ) | | | 149,381,991 | |
AQR International Multi-Style Fund | | | 402,679,571 | | | | 71,734,905 | | | | (7,586,657 | ) | | | 64,148,248 | |
AQR Emerging Multi-Style Fund | | | 259,276,172 | | | | 73,597,606 | | | | (5,378,794 | ) | | | 68,218,812 | |
AQR TM Large Cap Multi-StyleFund | | | 189,508,626 | | | | 41,649,643 | | | | (1,110,710 | ) | | | 40,538,933 | |
AQR TM Small Cap Multi-StyleFund | | | 24,595,564 | | | | 5,550,396 | | | | (418,361 | ) | | | 5,132,035 | |
AQR TM International Multi-StyleFund | | | 146,894,617 | | | | 31,956,503 | | | | (1,152,124 | ) | | | 30,804,379 | |
AQR TM Emerging Multi-Style Fund | | | 267,977,915 | | | | 93,301,850 | | | | (3,141,261 | ) | | | 90,160,589 | |
AQR Large Cap Momentum Style Fund | | | 806,120,738 | | | | 210,658,481 | | | | (4,927,340 | ) | | | 205,731,141 | |
AQR Small Cap Momentum Style Fund | | | 318,309,807 | | | | 90,900,405 | | | | (6,984,940 | ) | | | 83,915,465 | |
AQR International Momentum Style Fund | | | 337,949,546 | | | | 69,137,965 | | | | (2,604,371 | ) | | | 66,533,594 | |
AQR Emerging Momentum Style Fund | | | 10,302,428 | | | | 3,466,547 | | | | (65,017 | ) | | | 3,401,530 | |
AQR TM Large Cap Momentum Style Fund | | | 138,481,605 | | | | 43,696,327 | | | | (471,842 | ) | | | 43,224,485 | |
AQR TM Small Cap Momentum Style Fund | | | 44,559,080 | | | | 11,590,233 | | | | (702,414 | ) | | | 10,887,819 | |
AQR TM International Momentum Style Fund | | | 88,928,798 | | | | 17,340,876 | | | | (1,184,997 | ) | | | 16,155,879 | |
AQR Large Cap Defensive Style Fund | | | 1,012,680,603 | | | | 221,598,439 | | | | (5,945,157 | ) | | | 215,653,282 | |
AQR International Defensive Style Fund | | | 174,963,407 | | | | 24,678,076 | | | | (5,092,712 | ) | | | 19,585,364 | |
AQR Emerging Defensive Style Fund | | | 60,451,582 | | | | 9,303,404 | | | | (2,570,325 | ) | | | 6,733,079 | |
AQR Global Equity Fund | | | 155,416,569 | | | | 35,168,966 | | | | (4,393,387 | ) | | | 30,775,579 | |
AQR International Equity Fund | | | 342,606,958 | | | | 65,361,825 | | | | (12,953,432 | ) | | | 52,408,393 | |
AQR Large Cap Relaxed Constraint Equity Fund | | | 15,527,865 | | | | 1,834,664 | | | | (637,028 | ) | | | 1,197,636 | |
AQR Small Cap Relaxed Constraint Equity Fund | | | 3,041,063 | | | | 551,544 | | | | (308,054 | ) | | | 243,490 | |
AQR International Relaxed Constraint Equity Fund | | | 10,374,628 | | | | 1,744,406 | | | | (400,649 | ) | | | 1,343,757 | |
AQR Emerging Relaxed Constraint Equity Fund | | | 24,079,107 | | | | 1,036,117 | | | | (428,840 | ) | | | 607,277 | |
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals, mark to market on passive foreign investment companies (“PFIC”), and non-taxable dividends from fund investments including Real Estate Investment Trusts (“REITs”).
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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271
| | |
| Notes to Financial Statements | | September 30, 2017 |
As of September 30, 2017, the components of net assets (excluding paid in capital) on a tax basis were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| FUND | | CURRENT
DISTRIBUTABLE
ORDINARY
INCOME | | | CURRENT
DISTRIBUTABLE
LONG TERM
CAPITAL GAIN OR
TAX BASIS
CAPITAL LOSS
CARRYFORWARDS | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | POST
OCTOBER
CAPITAL OR
LATE YEAR
ORDINARY
LOSS
DEFERRALS | | | OTHER
TEMPORARY
DIFFERENCES | | | TOTAL
ACCUMULATED
EARNINGS | |
AQR Large Cap Multi-Style Fund | | $ | 17,426,171 | | | $ | (12,095,245 | ) | | $ | 324,474,672 | | | $ | — | | | $ | — | | | $ | 329,805,598 | |
AQR Small Cap Multi-Style Fund | | | 27,499,138 | | | | 34,566,664 | | | | 149,381,991 | | | | — | | | | — | | | | 211,447,793 | |
AQR International Multi-Style Fund | | | 10,473,722 | | | | (34,573,646 | ) | | | 64,159,980 | | | | — | | | | — | | | | 40,060,056 | |
AQR Emerging Multi-Style Fund | | | 5,438,006 | | | | (36,629,606 | ) | | | 68,213,694 | | | | (122,503 | ) | | | — | | | | 36,899,591 | |
AQR TM Large Cap Multi-Style Fund | | | 2,101,405 | | | | (2,475,802 | ) | | | 40,538,933 | | | | (310,371 | ) | | | — | | | | 39,854,165 | |
AQR TM Small Cap Multi-Style Fund | | | 169,334 | | | | 571,427 | | | | 5,132,035 | | | | (210,886 | ) | | | — | | | | 5,661,910 | |
AQR TM International Multi-Style Fund | | | 4,011,678 | | | | (7,530,284 | ) | | | 30,815,993 | | | | (66,191 | ) | | | — | | | | 27,231,196 | |
AQR TM Emerging Multi-Style Fund | | | 5,774,344 | | | | (11,401,984 | ) | | | 90,151,653 | | | | (1,749,699 | ) | | | — | | | | 82,774,314 | |
AQR Large Cap Momentum Style Fund | | | 6,663,805 | | | | 70,057,723 | | | | 205,731,130 | | | | (234,515 | ) | | | — | | | | 282,218,143 | |
AQR Small Cap Momentum Style Fund | | | 590,485 | | | | 31,753,029 | | | | 83,915,465 | | | | — | | | | — | | | | 116,258,979 | |
AQR International Momentum Style Fund | | | 8,188,779 | | | | (23,357,410 | ) | | | 66,543,585 | | | | (4,240,004 | ) | | | — | | | | 47,134,950 | |
AQR Emerging Momentum Style Fund | | | 248,794 | | | | (2,339,786 | ) | | | 3,401,629 | | | | (61,767 | ) | | | — | | | | 1,248,870 | |
AQR TM Large Cap Momentum Style Fund | | | 1,111,278 | | | | (1,032,835 | ) | | | 43,224,485 | | | | (1,992,372 | ) | | | — | | | | 41,310,556 | |
AQR TM Small Cap Momentum Style Fund | | | 91,310 | | | | 39,382 | | | | 10,887,819 | | | | — | | | | — | | | | 11,018,511 | |
AQR TM International Momentum Style Fund | | | 1,808,844 | | | | (12,637,874 | ) | | | 16,161,270 | | | | (62,981 | ) | | | — | | | | 5,269,259 | |
AQR Large Cap Defensive Style Fund | | | 17,053,416 | | | | 6,794,441 | | | | 215,653,282 | | | | — | | | | — | | | | 239,501,139 | |
AQR International Defensive Style Fund | | | 3,685,531 | | | | — | | | | 19,588,311 | | | | — | | | | — | | | | 23,273,842 | |
AQR Emerging Defensive Style Fund | | | 1,086,422 | | | | (11,153,627 | ) | | | 6,732,841 | | | | (132,344 | ) | | | — | | | | (3,466,708 | ) |
AQR Global Equity Fund | | | 7,656,761 | | | | 4,805,210 | | | | 30,127,866 | | | | — | | | | (4,825 | ) | | | 42,585,012 | |
AQR International Equity Fund | | | 24,602,432 | | | | 9,256,450 | | | | 43,746,826 | | | | — | | | | — | | | | 77,605,708 | |
AQR Large Cap Relaxed Constraint Equity Fund | | | 100,832 | | | | (39,266 | ) | | | 1,197,636 | | | | — | | | | — | | | | 1,259,202 | |
AQR Small Cap Relaxed Constraint Equity Fund | | | 28,629 | | | | (129,706 | ) | | | 243,490 | | | | — | | | | — | | | | 142,413 | |
AQR International Relaxed Constraint Equity Fund | | | 242,010 | | | | — | | | | 1,343,821 | | | | — | | | | — | | | | 1,585,831 | |
AQR Emerging Relaxed Constraint Equity Fund | | | 345,010 | | | | — | | | | 607,501 | | | | — | | | | — | | | | 952,511 | |
The differences between book basis and tax basis components of net assets are primarily attributable to wash sales loss deferrals, mark to market on forward foreign currency exchange contracts, mark to market on regulated futures contracts, mark to market on PFIC investments, mark to market on equity swaps, non-taxable dividends from fund investments including REITs, loss deferrals from tax straddles, and capital loss carry forwards.
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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| | |
| Notes to Financial Statements | | September 30, 2017 |
As of September 30, 2017, the effect of permanent book/tax reclassifications resulted in increase (decrease) to the components of net assets as follows:
| | | | | | | | | | | | |
| FUND | | UNDISTRIBUTED
NET INVESTMENT
INCOME | | | ACCUMULATED
NET REALIZED
GAIN (LOSS) ON
INVESTMENTS | | | PAID-IN CAPITAL | |
AQR Large Cap Multi-Style Fund | | $ | (404,365 | ) | | $ | 404,365 | | | $ | — | |
AQR Small Cap Multi-Style Fund | | | (152,219 | ) | | | 152,219 | | | | — | |
AQR International Multi-Style Fund | | | 306,293 | | | | (302,480 | ) | | | (3,813 | ) |
AQR Emerging Multi-Style Fund | | | 1,225,419 | | | | (1,225,419 | ) | | | — | |
AQR TM Large Cap Multi-Style Fund | | | (33,695 | ) | | | 33,695 | | | | — | |
AQR TM Small Cap Multi-Style Fund | | | (6,400 | ) | | | 6,400 | | | | — | |
AQR TM International Multi-Style Fund | | | 78,832 | | | | (78,832 | ) | | | — | |
AQR TM Emerging Multi-Style Fund | | | 1,574,967 | | | | (1,574,967 | ) | | | — | |
AQR Large Cap Momentum Style Fund | | | (495,778 | ) | | | 495,779 | | | | (1 | ) |
AQR Small Cap Momentum Style Fund | | | (168,032 | ) | | | 168,032 | | | | — | |
AQR International Momentum Style Fund | | | 302,405 | | | | (231,806 | ) | | | (70,599 | ) |
AQR Emerging Momentum Style Fund | | | 33,614 | | | | (33,530 | ) | | | (84 | ) |
AQR TM Large Cap Momentum Style Fund | | | (141,514 | ) | | | 141,514 | | | | — | |
AQR TM Small Cap Momentum Style Fund | | | (18,077 | ) | | | 18,077 | | | | — | |
AQR TM International Momentum Style Fund | | | (21,644 | ) | | | 22,919 | | | | (1,275 | ) |
AQR Large Cap Defensive Style Fund | | | (26,688 | ) | | | 26,688 | | | | — | |
AQR International Defensive Style Fund | | | (7,735 | ) | | | 8,884 | | | | (1,149 | ) |
AQR Emerging Defensive Style Fund | | | (52,387 | ) | | | 52,387 | | | | — | |
AQR Global Equity Fund | | | (19,081 | ) | | | 6,921 | | | | 12,160 | |
AQR International Equity Fund | | | (62,550 | ) | | | 418,296 | | | | (355,746 | ) |
AQR Large Cap Relaxed Constraint Equity Fund | | | 31,805 | | | | (285 | ) | | | (31,520 | ) |
AQR Small Cap Relaxed Constraint Equity Fund | | | 31,306 | | | | 9 | | | | (31,315 | ) |
AQR International Relaxed Constraint Equity Fund | | | 47,256 | | | | (15,688 | ) | | | (31,568 | ) |
AQR Emerging Relaxed Constraint Equity Fund | | | (4,801 | ) | | | 36,441 | | | | (31,640 | ) |
For financial reporting purposes, capital accounts are adjusted to reflect the tax character of permanent book/tax differences. Reclassifications are primarily due to the difference in tax treatment of foreign currency gain/loss, investments in PFICs, non-taxable dividends from fund investments including REITS, certain non deductible expenses, and investments in certain swap contracts. The result of operations and net assets were not affected by the reclassifications.
The tax character of distributions paid during the fiscal year-ends or periods September 30, 2017 and September 30, 2016 were as follows:
| | | | | | | | | | | | | | | | |
| | | SEPTEMBER 30, 2017 | | | SEPTEMBER 30, 2016 | |
| FUND | | ORDINARY
INCOME | | | CAPITAL GAINS | | | ORDINARY
INCOME | | | CAPITAL GAINS | |
AQR Large Cap Multi-Style Fund | | $ | 20,996,010 | | | $ | — | | | $ | 12,223,105 | | | $ | 1,073 | |
AQR Small Cap Multi-Style Fund | | | 18,062,877 | | | | 2,420,639 | | | | 475,784 | | | | 201 | |
AQR International Multi-Style Fund | | | 9,797,796 | | | | — | | | | 4,593,502 | | | | — | |
AQR Emerging Multi-Style Fund | | | 5,242,559 | | | | — | | | | 4,825,893 | | | | — | |
AQR TM Large Cap Multi-Style Fund | | | 1,955,676 | | | | — | | | | 322,482 | | | | 290 | |
AQR TM Small Cap Multi-Style Fund | | | 202,577 | | | | — | | | | 31,887 | | | | — | |
AQR TM International Multi-Style Fund | | | 2,963,342 | | | | — | | | | 737,644 | | | | — | |
AQR TM Emerging Multi-Style Fund | | | 6,858,404 | | | | — | | | | 781,761 | | | | — | |
AQR Large Cap Momentum Style Fund | | | 13,921,995 | | | | 54,817,139 | | | | 10,043,312 | | | | 71,718,239 | |
AQR Small Cap Momentum Style Fund | | | 2,646,468 | | | | — | | | | 2,518,013 | | | | 1,581,305 | |
AQR International Momentum Style Fund | | | 7,689,908 | | | | — | | | | 5,295,891 | | | | — | |
AQR Emerging Momentum Style Fund | | | 151,578 | | | | — | | | | 215,877 | | | | — | |
AQR TM Large Cap Momentum Style Fund | | | 2,192,751 | | | | — | | | | 1,415,466 | | | | — | |
AQR TM Small Cap Momentum Style Fund | | | 257,257 | | | | — | | | | 154,034 | | | | — | |
AQR TM International Momentum Style Fund | | | 1,904,442 | | | | — | | | | 1,112,857 | | | | — | |
AQR Large Cap Defensive Style Fund | | | 13,808,066 | | | | 3,564,795 | | | | 5,340,787 | | | | 15,813,125 | |
AQR International Defensive Style Fund | | | 1,918,782 | | | | — | | | | 767,885 | | | | — | |
AQR Emerging Defensive Style Fund | | | 780,424 | | | | — | | | | 1,072,488 | | | | — | |
AQR Global Equity Fund | | | 3,231,984 | | | | 10,063,105 | | | | 5,145,296 | | | | 17,630,449 | |
AQR International Equity Fund | | | 12,304,977 | | | | 5,622,942 | | | | 15,863,761 | | | | 8,881,523 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
273
| | |
| Notes to Financial Statements | | September 30, 2017 |
During the year ended September 30, 2017, the Funds utilized capital loss carryforwards in the amounts listed below:
| | | | | | | | |
| FUND | | SHORT-TERM | | | LONG-TERM | |
AQR Large Cap Multi-Style Fund | | $ | 700,572.00 | | | $ | — | |
AQR TM Small Cap Multi-Style Fund | | | 5,118 | | | | — | |
AQR TM Emerging Multi-Style Fund | | | — | | | | 120,915 | |
AQR Small Cap Momentum Style Fund | | | 4,410,052 | | | | — | |
AQR TM Large Cap Momentum Style Fund | | | 429,793 | | | | — | |
AQR TM Small Cap Momentum Style Fund | | | 252,974 | | | | — | |
AQR International Defensive Style Fund | | | — | | | | 218,107 | |
AQR Emerging Defensive Style Fund | | | 7,104 | | | | — | |
As of September 30, 2017, for federal income tax purposes, the following Funds have capital loss carryforwards, with no expiration, available to offset future capital gains, if any, to the extent provided by the U.S. Treasury regulations.
| | | | | | | | |
| FUND | | SHORT-TERM | | | LONG-TERM | |
AQR Large Cap Multi-Style Fund | | $ | 12,095,245 | | | $ | — | |
AQR International Multi-Style Fund | | | 34,573,646 | | | | — | |
AQR Emerging Multi-Style Fund | | | 35,547,017 | | | | 1,082,589 | |
AQR TM Large Cap Multi-Style Fund | | | 2,475,802 | | | | — | |
AQR TM International Multi-Style Fund | | | 6,228,584 | | | | 1,301,700 | |
AQR TM Emerging Multi-Style Fund | | | 11,401,984 | | | | — | |
AQR International Momentum Style Fund | | | 23,357,410 | | | | — | |
AQR Emerging Momentum Style Fund | | | 2,169,373 | | | | 170,413 | |
AQR TM Large Cap Momentum Style Fund | | | 1,032,835 | | | | — | |
AQR TM International Momentum Style Fund | | | 11,411,227 | | | | 1,226,647 | |
AQR Emerging Defensive Style Fund | | | 5,422,226 | | | | 5,731,401 | |
AQR Large Cap Relaxed Constraint Equity Fund | | | 27,949 | | | | 11,317 | |
AQR Small Cap Relaxed Constraint Equity Fund | | | 129,706 | | | | — | |
6. Investment Transactions
During the year ended September 30, 2017, 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 Large Cap Multi-Style Fund | | $ | 955,332,410 | | | $ | 953,845,167 | | | $ | — | | | $ | — | |
AQR Small Cap Multi-Style Fund | | | 446,688,156 | | | | 514,088,704 | | | | — | | | | — | |
AQR International Multi-Style Fund | | | 248,852,284 | | | | 220,629,038 | | | | — | | | | — | |
AQR Emerging Multi-Style Fund | | | 154,796,719 | | | | 148,911,003 | | | | — | | | | — | |
AQR TM Large Cap Multi-Style Fund | | | 191,805,581 | | | | 139,534,490 | | | | — | | | | — | |
AQR TM Small Cap Multi-Style Fund | | | 28,754,905 | | | | 22,298,559 | | | | — | | | | — | |
AQR TM International Multi-Style Fund | | | 92,076,959 | | | | 78,095,217 | | | | — | | | | — | |
AQR TM Emerging Multi-Style Fund | | | 157,549,199 | | | | 153,141,528 | | | | — | | | | — | |
AQR Large Cap Momentum Style Fund | | | 802,963,148 | | | | 873,780,078 | | | | — | | | | — | |
AQR Small Cap Momentum Style Fund | | | 288,214,434 | | | | 299,779,226 | | | | — | | | | — | |
AQR International Momentum Style Fund | | | 315,623,208 | | | | 294,975,312 | | | | — | | | | — | |
AQR Emerging Momentum Style Fund | | | 14,420,772 | | | | 13,907,751 | | | | — | | | | — | |
AQR TM Large Cap Momentum Style Fund | | | 96,862,683 | | | | 87,221,409 | | | | — | | | | — | |
AQR TM Small Cap Momentum Style Fund | | | 37,409,382 | | | | 27,556,738 | | | | — | | | | — | |
AQR TM International Momentum Style Fund | | | 57,492,028 | | | | 52,248,011 | | | | — | | | | — | |
AQR Large Cap Defensive Style Fund | | | 387,973,766 | | | | 151,048,758 | | | | — | | | | — | |
AQR International Defensive Style Fund | | | 50,831,393 | | | | 5,201,875 | | | | — | | | | — | |
AQR Emerging Defensive Style Fund | | | 21,156,796 | | | | 9,127,053 | | | | — | | | | — | |
AQR Global Equity Fund | | | 140,161,973 | | | | 124,453,726 | | | | — | | | | — | |
AQR International Equity Fund | | | 300,302,833 | | | | 380,135,648 | | | | — | | | | — | |
AQR Large Cap Relaxed Constraint Equity Fund | | | 27,401,727 | | | | 7,533,853 | | | | 6,287,119 | | | | 1,613,490 | |
AQR Small Cap Relaxed Constraint Equity Fund | | | 6,609,908 | | | | 2,648,608 | | | | 1,484,268 | | | | 644,733 | |
AQR International Relaxed Constraint Equity Fund | | | 22,448,194 | | | | 9,009,270 | | | | 4,281,404 | | | | 1,093,698 | |
AQR Emerging Relaxed Constraint Equity Fund | | | 26,513,370 | | | | 6,828,732 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
274
| | |
| Notes to Financial Statements | | September 30, 2017 |
7. Derivative Instruments and Activities
Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities. All derivative instruments held by the Funds were subject to a master netting agreement or similar arrangement.
The following table lists the fair value of derivatives instruments held by the Funds, by primary underlying risk and contract type, as included in the Statements of Assets and Liabilities* at September 30, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | ASSETS | | | LIABILITIES | |
| FUND | | UNREALIZED APPRECIATION ON FUTURES CONTRACTS* | | | SWAPS AT VALUE | | | UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS | | | UNREALIZED DEPRECIATION ON FUTURES CONTRACTS* | | | SWAPS AT VALUE | | | UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS | |
| Equity Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Large Cap Multi-Style Fund | | $ | 464,951 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
AQR Small Cap Multi-Style Fund | | | 715,579 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR International Multi-Style Fund | | | 42,386 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR Emerging Multi-Style Fund | | | — | | | | — | | | | — | | | | 22,978 | | | | — | | | | — | |
AQR TM International Multi-Style Fund | | | 21,966 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR TM Emerging Multi-Style Fund | | | — | | | | — | | | | — | | | | 59,640 | | | | — | | | | — | |
AQR Large Cap Momentum Style Fund | | | 226,391 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR Small Cap Momentum Style Fund | | | 188,091 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR International Momentum Style Fund | | | 53,633 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR TM Large Cap Momentum Style Fund | | | 30,885 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR TM International Momentum Style Fund | | | 13,443 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR Large Cap Defensive Style Fund | | | 744,419 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR International Defensive Style Fund | | | 34,834 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR Emerging Defensive Style Fund | | | — | | | | — | | | | — | | | | 18,747 | | | | — | | | | — | |
AQR Global Equity Fund | | | 1,464,416 | | | | — | | | | — | | | | 117,797 | | | | 148,951 | | | | — | |
AQR International Equity Fund | | | 3,471,105 | | | | — | | | | — | | | | 274,084 | | | | 375,997 | | | | — | |
AQR Emerging Relaxed Constraint Equity Fund | | | — | | | | 222,411 | | | | — | | | | — | | | | 47,703 | | | | — | |
| | | | | | |
| Foreign Exchange Rate Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Global Equity Fund | | | — | | | | — | | | | 817,299 | | | | — | | | | — | | | | 2,149,486 | |
AQR International Equity Fund | | | — | | | | — | | | | 1,362,608 | | | | — | | | | — | | | | 5,157,133 | |
| | | | | | |
| Netting: | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Global Equity Fund | | | (117,797 | ) | | | — | | | | (817,299 | ) | | | (117,797 | ) | | | — | | | | (817,299 | ) |
AQR International Equity Fund | | | (274,084 | ) | | | — | | | | (1,362,608 | ) | | | (274,084 | ) | | | — | | | | (1,362,608 | ) |
AQR Emerging Relaxed Constraint Equity Fund | | | | | | | (47,703 | ) | | | | | | | | | | | (47,703 | ) | | | | |
| | | | | |
| Net Fair Value of Derivative Contracts: | | | | | | | | | | | | | | | | | | | | | |
AQR Large Cap Multi-Style Fund | | | 464,951 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR Small Cap Multi-Style Fund | | | 715,579 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR International Multi-Style Fund | | | 42,386 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR Emerging Multi-Style Fund | | | — | | | | — | | | | — | | | | 22,978 | | | | — | | | | — | |
AQR TM International Multi-Style Fund | | | 21,966 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR TM Emerging Multi-Style Fund | | | — | | | | — | | | | — | | | | 59,640 | | | | — | | | | — | |
AQR Large Cap Momentum Style Fund | | | 226,391 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR Small Cap Momentum Style Fund | | | 188,091 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR International Momentum Style Fund | | | 53,633 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR TM Large Cap Momentum Style Fund | | | 30,885 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR TM International Momentum Style Fund | | | 13,443 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR Large Cap Defensive Style Fund | | | 744,419 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR International Defensive Style Fund | | | 34,834 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR Emerging Defensive Style Fund | | | — | | | | — | | | | — | | | | 18,747 | | | | — | | | | — | |
AQR Global Equity Fund | | | 1,346,619 | | | | — | | | | — | | | | — | | | | 148,951 | | | | 1,332,187 | |
AQR International Equity Fund | | | 3,197,021 | | | | — | | | | — | | | | — | | | | 375,997 | | | | 3,794,525 | |
AQR Emerging Relaxed Constraint Equity Fund | | | — | | | | 174,708 | | | | — | | | | — | | | | — | | | | — | |
| | * | 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 | | | | | | Annual Report | | | | | | September 2017 | | |
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| | |
| Notes to Financial Statements | | September 30, 2017 |
The following table indicates the effect of derivative instruments, by primary underlying risk exposure and contract type, on the Statements of Operations for the year ended September 30, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED
AS A RESULT FROM OPERATIONS | | | NET CHANGE IN UNREALIZED APPRECIATION
(DEPRECIATION) ON DERIVATIVES RECOGNIZED
AS A RESULT FROM OPERATIONS | |
| FUND | | FUTURES
CONTRACTS | | | SWAPS
CONTRACTS | | | FORWARD
CURRENCY
EXCHANGE
CONTRACTS | | | FUTURES
CONTRACTS | | | SWAPS
CONTRACTS | | | FORWARD
CURRENCY
EXCHANGE
CONTRACTS | |
| Equity Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Large Cap Multi-Style Fund | | $ | 4,416,117 | | | $ | — | | | $ | — | | | $ | (38,998 | ) | | $ | — | | | $ | — | |
AQR Small Cap Multi-Style Fund | | | 2,234,649 | | | | — | | | | — | | | | 352,178 | | | | — | | | | — | |
AQR International Multi-Style Fund | | | 1,492,611 | | | | — | | | | — | | | | (35,204 | ) | | | — | | | | — | |
AQR Emerging Multi-Style Fund | | | 646,258 | | | | — | | | | — | | | | 71,621 | | | | — | | | | — | |
AQR TM International Multi-Style Fund | | | 634,165 | | | | — | | | | — | | | | (6,990 | ) | | | — | | | | — | |
AQR TM Emerging Multi-Style Fund | | | 960,502 | | | | — | | | | — | | | | (7,934 | ) | | | — | | | | — | |
AQR Large Cap Momentum Style Fund | | | 2,518,533 | | | | — | | | | — | | | | 106,857 | | | | — | | | | — | |
AQR Small Cap Momentum Style Fund | | | 884,090 | | | | — | | | | — | | | | 63,703 | | | | — | | | | — | |
AQR International Momentum Style Fund | | | 1,447,959 | | | | — | | | | — | | | | 23,467 | | | | — | | | | — | |
AQR TM Large Cap Momentum Style Fund | | | 523,315 | | | | — | | | | — | | | | 9,705 | | | | — | | | | — | |
AQR TM International Momentum Style Fund | | | 377,811 | | | | — | | | | — | | | | (9,503 | ) | | | — | | | | — | |
AQR Large Cap Defensive Style Fund | | | 5,654,134 | | | | — | | | | — | | | | 190,045 | | | | — | | | | — | |
AQR International Defensive Style Fund | | | 820,918 | | | | — | | | | — | | | | 21,436 | | | | — | | | | — | |
AQR Emerging Defensive Style Fund | | | 525,906 | | | | — | | | | — | | | | (5,327 | ) | | | — | | | | — | |
AQR Global Equity Fund | | | 3,771,689 | | | | (16,598 | ) | | | — | | | | 1,726,911 | | | | (149,260 | ) | | | — | |
AQR International Equity Fund | | | 14,944,578 | | | | (2,292,915 | ) | | | — | | | | 4,228,855 | | | | (548,423 | ) | | | — | |
AQR Large Cap Relaxed Constraint Equity Fund | | | (21,642 | ) | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR Emerging Relaxed Constraint Equity Fund | | | — | | | | (62,774 | ) | | | — | | | | — | | | | 174,708 | | | | — | |
| | | | | | |
| Foreign Exchange Rate Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Emerging Multi-Style Fund | | | — | | | | — | | | | (154 | ) | | | — | | | | — | | | | — | |
AQR Emerging Defensive Style Fund | | | — | | | | — | | | | (1,244 | ) | | | — | | | | — | | | | — | |
AQR Global Equity Fund | | | — | | | | — | | | | (343,571 | ) | | | — | | | | — | | | | (1,619,557 | ) |
AQR International Equity Fund | | | — | | | | — | | | | (3,140,466 | ) | | | — | | | | — | | | | (4,312,044 | ) |
AQR International Relaxed Constraint Equity Fund | | | — | | | | — | | | | (1,594 | ) | | | — | | | | — | | | | — | |
The following tables present the Funds’ gross OTC derivative assets and liabilities by counterparty and contract type net of amounts available for offset under netting arrangements and any related collateral received or posted by the Funds’ as of September 30, 2017:
AQR GLOBAL 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 | |
| CITG | | Forward Foreign Currency Exchange Contracts | | $ | 326,478 | | | $ | (326,478 | ) | | | $ — | | | $ | — | | | $ | — | | | $ | — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 490,821 | | | | (490,821 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 817,299 | | | | (817,299 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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| | |
| Notes to Financial Statements | | September 30, 2017 |
AQR GLOBAL EQUITY 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 | |
| CITG | | Forward Foreign Currency Exchange Contracts | | $ | 851,753 | | | $ | (326,478 | ) | | $ | 525,275 | | | $ | — | | | $ | (525,275 | ) | | $ | — | |
| GSIN | | Total Return Swaps Contracts | | | 148,951 | | | | — | | | | 148,951 | | | | — | | | | (148,951 | ) | | | — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 1,297,733 | | | | (490,821 | ) | | | 806,912 | | | | — | | | | (806,912 | ) | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 2,298,437 | | | | (817,299 | ) | | | 1,481,138 | | | | — | | | | (1,481,138 | ) | | | — | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $1,479,271. |
AQR INTERNATIONAL 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 | |
| CITG | | Forward Foreign Currency Exchange Contracts | | $ | 545,076 | | | $ | (545,076 | ) | | | $ — | | | $ | — | | | | $ — | | | | $ — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 817,532 | | | | (817,532 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 1,362,608 | | | | (1,362,608 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 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 | |
| CITG | | Forward Foreign Currency Exchange Contracts | | $ | 2,062,198 | | | $ | (545,076 | ) | | $ | 1,517,122 | | | $ | — | | | $ | (1,500,511 | ) | | $ | 16,611 | |
| GSIN | | Total Return Swaps Contracts | | | 329,471 | | | | — | | | | 329,471 | | | | — | | | | (329,471 | ) | | | — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 3,094,935 | | | | (817,532 | ) | | | 2,277,403 | | | | — | | | | | | | | | |
| | | Total Return Swaps Contracts | | | 46,526 | | | | — | | | | 46,526 | | | | — | | | | | | | | | |
| | | Total JPMC | | | 3,141,461 | | | | (817,532 | ) | | | 2,323,929 | | | | — | | | | (2,323,929 | ) | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 5,533,130 | | | | (1,362,608 | ) | | | 4,170,522 | | | | — | | | | (4,153,911 | ) | | | 16,611 | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $6,205,995. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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| | |
| Notes to Financial Statements | | September 30, 2017 |
AQR EMERGING RELAXED CONSTRAINT 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 | |
| JPMC | | Total Return Basket Swaps Contracts | | $ | 222,411 | | | $ | (47,703 | ) | | $ | 174,708 | | | $ | — | | | $ | — | | | $ | 174,708 | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 222,411 | | | | (47,703 | ) | | | 174,708 | | | | — | | | | — | | | | 174,708 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 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 | |
| JPMC | | Total Return Basket Swaps Contracts | | $ | 47,703 | | | $ | (47,703 | ) | | | $ — | | | | $ — | | | | $ — | | | | $ — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 47,703 | | | | (47,703 | ) | | | — | | | | — | | | | — | | | | — | |
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $2,850,000. |
For the year ended September 30, 2017, the quarterly average notional values of the derivatives held by the Funds were as follows:
Derivatives Volume Disclosure*
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | AQR LARGE CAP
MULTI-STYLE
FUND | | | AQR SMALL CAP
MULTI-STYLE
FUND | | | AQR
INTERNATIONAL
MULTI-STYLE
FUND | | | AQR
EMERGING
MULTI-STYLE
FUND | | | AQR TM
INTERNATIONAL
MULTI-STYLE
FUND | | | AQR TM
EMERGING
MULTI-STYLE
FUND | |
| Futures Contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Notional Balance—Long | | $ | 33,294,071 | | | $ | 16,322,262 | | | $ | 10,656,668 | | | $ | 5,331,729 | | | $ | 3,601,698 | | | $ | 5,449,164 | |
| Average Notional Balance—Short | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Ending Notional Balance—Long | | | 29,815,785 | | | | 18,810,540 | | | | 7,913,600 | | | | 4,956,315 | | | | 3,363,280 | | | | 5,337,570 | |
| Ending Notional Balance—Short | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | AQR
LARGE CAP
MOMENTUM
STYLE FUND | | | AQR
SMALL CAP
MOMENTUM
STYLE FUND | | | AQR
INTERNATIONAL
MOMENTUM
STYLE FUND | | | AQR TM
LARGE CAP MOMENTUM STYLE
FUND | | | AQR TM INTERNATIONAL MOMENTUM STYLE FUND | | | AQR
LARGE CAP
DEFENSIVE
STYLE
FUND | |
| Futures Contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Notional Balance—Long | | $ | 19,369,541 | | | $ | 6,526,255 | | | $ | 7,718,570 | | | $ | 3,028,231 | | | $ | 1,690,514 | | | $ | 50,330,438 | |
| Average Notional Balance—Short | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Ending Notional Balance—Long | | | 15,977,235 | | | | 3,956,185 | | | | 8,704,960 | | | | 3,019,320 | | | | 2,374,080 | | | | 47,051,070 | |
| Ending Notional Balance—Short | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
278
| | |
| Notes to Financial Statements | | September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | AQR
INTERNATIONAL
DEFENSIVE
STYLE FUND | | | AQR EMERGING
DEFENSIVE
STYLE FUND | | | AQR GLOBAL EQUITY FUND | | | AQR
INTERNATIONAL
EQUITY FUND | | | AQR EMERGING
RELAXED
CONSTRAINT
EQUITY FUND | |
| Futures Contracts: | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Notional Balance—Long | | | | | | $ | 5,330,590 | | | $ | 3,453,107 | | | $ | 46,315,647 | | | $ | 125,107,739 | | | $ | — | |
| Average Notional Balance—Short | | | | | | | — | | | | — | | | | 29,491,161 | | | | 63,749,609 | | | | — | |
| Ending Notional Balance—Long | | | | | | | 5,737,360 | | | | 2,614,320 | | | | 49,963,399 | | | | 135,836,449 | | | | — | |
| Ending Notional Balance—Short | | | | | | | — | | | | — | | | | 28,399,719 | | | | 77,607,216 | | | | — | |
| Forward Foreign Currency Exchange Contracts: | | | | | | | | | |
| Average Settlement Value—Purchased | | | | | | | — | | | | — | | | | 75,313,130 | | | | 188,869,167 | | | | — | |
| Average Settlement Value—Sold | | | | | | | — | | | | — | | | | 52,369,353 | | | | 144,571,166 | | | | — | |
| Ending Value—Purchased | | | | | | | — | | | | — | | | | 111,036,696 | | | | 199,097,721 | | | | — | |
| Ending Value—Sold | | | | | | | — | | | | — | | | | 73,621,129 | | | | 149,856,586 | | | | — | |
| Total Return Swaps: | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Notional Balance—Long | | | | | | | — | | | | — | | | | 4,254,919 | | | | 6,840,889 | | | | — | |
| Average Notional Balance— Short | | | | | | | — | | | | — | | | | 6,527,253 | | | | 26,433,198 | | | | — | |
| Ending Notional Balance— Long | | | | | | | — | | | | — | | | | 7,052,358 | | | | 12,014,177 | | | | — | |
| Ending Notional Balance—Short | | | | | | | — | | | | — | | | | 11,079,791 | | | | 26,536,182 | | | | — | |
| Total Return Basket Swaps: | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Notional of Underlying Positions—Long | | | | — | | | | — | | | | — | | | | — | | | | 4,931,795 | |
| Average Notional of Underlying Positions—Short | | | | — | | | | — | | | | — | | | | — | | | | 2,989,703 | |
| Ending Notional Balance—Long | | | | | | | — | | | | — | | | | — | | | | — | | | | 11,763,016 | |
| Ending Notional Balance—Short | | | | | | | — | | | | — | | | | — | | | | — | | | | 7,309,952 | |
| | * | Notional values as of each quarter end are used to calculate the average represented. |
8. Investment Advisory and Other Agreements
Effective January 29, 2017, the Board of Trustees of the Trust approved (1) the termination of the Second Amended and Restated Investment Advisory Agreement dated November 7, 2014, as amended (“Investment Advisory Agreement”) thereby removing the AQR Global Equity Fund and AQR International Equity Fund from the Investment Advisory Agreement; and (2) a Third Amended and Restated Investment Management Agreement dated January 29, 2017, as amended (“Investment Management Agreement”), reflecting; (a) the addition of the AQR Global Equity Fund and AQR International Equity Fund, (b) for the AQR Global Equity Fund and AQR International Equity Fund, the bundling of advisory services and shareholder servicing into a single agreement with a single contractual management fee (combining services that had been provided separately under the Investment Advisory Agreement and a Shareholder Services Agreement prior to January 29, 2017), and (c) a reduction or no change, depending on the share class, in the total fees payable to the Adviser for advisory and shareholder services by each of the AQR Global Equity Fund and AQR International Equity Fund. The footnotes to the following table provide additional information regarding how the total fees payable to the Adviser for advisory and shareholder services have changed for the AQR Global Equity Fund and AQR International Equity Fund as of January 29, 2017.
The Adviser serves as the investment adviser to each of the Funds, pursuant to the Investment Management Agreement and the Investment Management Agreement II, dated November 13, 2015, as amended (“Investment Management Agreement II”) each entered into by the Trust, on behalf of the Funds (the Investment Management Agreement and Investment Management Agreement II collectively referred to herein as the “Advisory Agreement”). Under the Advisory Agreement, the Adviser furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment decisions for the Funds, and manages the Funds’ investments in accordance with the stated policies of each Fund. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution, and also provides certain other administrative services to each Fund. The Adviser provides persons satisfactory to the Funds’ Board to serve as officers of the Funds.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
279
| | |
| Notes to Financial Statements | | September 30, 2017 |
Pursuant to the Advisory Agreements, 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 Large Cap Multi-Style Fund | | | 0.30 | % |
AQR Small Cap Multi-Style Fund | | | 0.50 | |
AQR International Multi-Style Fund | | | 0.45 | |
AQR Emerging Multi-Style Fund | | | 0.60 | |
AQR TM Large Cap Multi-Style Fund | | | 0.30 | |
AQR TM Small Cap Multi-Style Fund | | | 0.50 | |
AQR TM International Multi-Style Fund | | | 0.45 | |
AQR TM Emerging Multi-Style Fund | | | 0.60 | |
AQR Large Cap Momentum Style Fund | | | 0.25 | |
AQR Small Cap Momentum Style Fund | | | 0.45 | |
AQR International Momentum Style Fund | | | 0.40 | |
AQR Emerging Momentum Style Fund | | | 0.55 | |
AQR TM Large Cap Momentum Style Fund | | | 0.25 | |
AQR TM Small Cap Momentum Style Fund | | | 0.45 | |
AQR TM International Momentum Style Fund | | | 0.40 | |
AQR Large Cap Defensive Style Fund | | | 0.25 | |
AQR International Defensive Style Fund | | | 0.40 | |
AQR Emerging Defensive Style Fund | | | 0.55 | |
AQR Global Equity Fund1 | | | 0.60 | |
AQR International Equity Fund2 | | | 0.70 | |
AQR Large Cap Relaxed Constraint Equity Fund | | | 0.60 | |
AQR Small Cap Relaxed Constraint Equity Fund | | | 0.80 | |
AQR International Relaxed Constraint Equity Fund | | | 0.75 | |
AQR Emerging Relaxed Constraint Equity Fund | | | 0.95 | |
| 1 | Effective January 29, 2017 (i) the AQR Global Equity Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual Management Fee and (ii) the Fund’s bundled Management Fee for Class I and Class N was reduced by 0.10%. Prior to January 29, 2017, the Fund’s Management Fee was 0.40% and the shareholder servicing fee for Class I and Class N Shares was 0.30% and for Class R6 Shares was 0.20%. |
| 2 | Effective January 29, 2017 (i) the AQR International Equity Fund’s contractual advisory fee and shareholder servicing fee were bundled into one contractual Management Fee and (ii) the Fund’s bundled Management Fee was reduced by 0.05%. Prior to January 29, 2017, the Fund’s Management Fee was 0.45% and the shareholder servicing fee for Class I Shares, Class N Shares and Class R6 Shares was 0.30%. Prior to January 29, 2016, the Fund’s Management Fee was 0.45% and the shareholder servicing fee for Class R6 Shares was 0.20%. |
The Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Adviser has agreed to waive its fee and/or reimburse each Fund at least through January 28, 2018 for Class I, N, and R6 shares, respectively, unless otherwise noted. Pursuant to the Fee Waiver Agreement, the Adviser has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios, exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:
| | | | | | | | | | | | |
| FUND | | CLASS I | | | CLASS N | | | CLASS R6 | |
AQR Large Cap Multi-Style Fund | | | 0.45 | % | | | 0.70 | % | | | 0.35 | % |
AQR Small Cap Multi-Style Fund | | | 0.65 | | | | 0.90 | | | | 0.55 | |
AQR International Multi-Style Fund | | | 0.60 | | | | 0.85 | | | | 0.50 | |
AQR Emerging Multi-Style Fund | | | 0.75 | | | | 1.00 | | | | 0.65 | |
AQR TM Large Cap Multi-Style Fund | | | 0.45 | | | | 0.70 | | | | 0.35 | |
AQR TM Small Cap Multi-Style Fund | | | 0.65 | | | | 0.90 | | | | 0.55 | |
AQR TM International Multi-Style Fund | | | 0.60 | | | | 0.85 | | | | 0.50 | |
AQR TM Emerging Multi-Style Fund | | | 0.75 | | | | 1.00 | | | | 0.65 | |
AQR Large Cap Momentum Style Fund | | | 0.40 | | | | 0.65 | | | | 0.30 | |
AQR Small Cap Momentum Style Fund | | | 0.60 | | | | 0.85 | | | | 0.50 | |
AQR International Momentum Style Fund | | | 0.55 | | | | 0.80 | | | | 0.45 | |
AQR Emerging Momentum Style Fund | | | 0.70 | | | | 0.95 | | | | 0.60 | |
AQR TM Large Cap Momentum Style Fund | | | 0.40 | | | | 0.65 | | | | 0.30 | |
AQR TM Small Cap Momentum Style Fund | | | 0.60 | | | | 0.85 | | | | 0.50 | |
AQR TM International Momentum Style Fund | | | 0.55 | | | | 0.80 | | | | 0.45 | |
AQR Large Cap Defensive Style Fund | | | 0.40 | | | | 0.65 | | | | 0.30 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
280
| | |
| Notes to Financial Statements | | September 30, 2017 |
| | | | | | | | | | | | |
| FUND | | CLASS I | | | CLASS N | | | CLASS R6 | |
AQR International Defensive Style Fund | | | 0.55 | % | | | 0.80 | % | | | 0.45 | % |
AQR Emerging Defensive Style Fund | | | 0.70 | | | | 0.95 | | | | 0.60 | |
AQR Global Equity Fund | | | 0.80 | | | | 1.05 | | | | 0.70 | |
AQR International Equity Fund | | | 0.90 | | | | 1.15 | | | | 0.80 | |
AQR Large Cap Relaxed Constraint Equity Fund | | | 0.80 | | | | 1.05 | | | | 0.70 | |
AQR Small Cap Relaxed Constraint Equity Fund | | | 1.00 | | | | 1.25 | | | | 0.90 | |
AQR International Relaxed Constraint Equity Fund | | | 0.95 | | | | 1.20 | | | | 0.85 | |
AQR Emerging Relaxed Constraint Equity Fund | | | 1.15 | | | | 1.40 | | | | 1.05 | |
Prior to January 29, 2017, the Fee Waiver and Expense Reimbursement Agreement for the AQR Global Equity Fund and the AQR International Equity Fund was as follows:
| | | | | | | | | | | | |
| FUND | | CLASS I | | | CLASS N | | | CLASS R6 | |
AQR Global Equity Fund | | | 0.90 | % | | | 1.15 | % | | | 0.70 | % |
AQR International Equity Fund | | | 0.95 | | | | 1.20 | | | | 0.85 | |
For the year ended September 30, 2017 the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:
| | | | | | | | | | | | |
| FUND | | INVESTMENT ADVISORY AND
SHAREHOLDER SERVICES
FEES WAIVED | | | EXPENSE
REIMBURSEMENTS | | | TOTAL | |
AQR Large Cap Multi-Style Fund | | $ | 146,189 | | | $ | — | | | $ | 146,189 | |
AQR Small Cap Multi-Style Fund | | | 274,068 | | | | 337 | | | | 274,405 | |
AQR International Multi-Style Fund | | | 218,871 | | | | 581 | | | | 219,452 | |
AQR Emerging Multi-Style Fund | | | 389,675 | | | | — | | | | 389,675 | |
AQR TM Large Cap Multi-Style Fund | | | 136,999 | | | | 37 | | | | 137,036 | |
AQR TM Small Cap Multi-Style Fund | | | 123,047 | | | | 17,927 | | | | 140,974 | |
AQR TM International Multi-Style Fund | | | 180,482 | | | | — | | | | 180,482 | |
AQR TM Emerging Multi-Style Fund | | | 376,849 | | | | 15 | | | | 376,864 | |
AQR Large Cap Momentum Style Fund | | | 58,616 | | | | — | | | | 58,616 | |
AQR Small Cap Momentum Style Fund | | | 126,877 | | | | 1,735 | | | | 128,612 | |
AQR International Momentum Style Fund | | | 212,966 | | | | — | | | | 212,966 | |
AQR Emerging Momentum Style Fund | | | 63,855 | | | | 150,002 | | | | 213,857 | |
AQR TM Large Cap Momentum Style Fund | | | 92,557 | | | | 26,133 | | | | 118,690 | |
AQR TM Small Cap Momentum Style Fund | | | 111,236 | | | | 17,671 | | | | 128,907 | |
AQR TM International Momentum Style Fund | | | 138,052 | | | | 27,849 | | | | 165,901 | |
AQR Large Cap Defensive Style Fund | | | 163,484 | | | | 5,148 | | | | 168,632 | |
AQR International Defensive Style Fund | | | 182,448 | | | | 601 | | | | 183,049 | |
AQR Emerging Defensive Style Fund | | | 200,235 | | | | 7,947 | | | | 208,182 | |
AQR Global Equity Fund | | | 105,881 | | | | — | | | | 105,881 | |
AQR International Equity Fund | | | 43,841 | | | | — | | | | 43,841 | |
AQR Large Cap Relaxed Constraint Equity Fund | | | 30,522 | | | | 100,735 | | | | 131,257 | |
AQR Small Cap Relaxed Constraint Equity Fund | | | 9,335 | | | | 121,004 | | | | 130,339 | |
AQR International Relaxed Constraint Equity Fund. | | | 20,066 | | | | 109,072 | | | | 129,138 | |
AQR Emerging Relaxed Constraint Equity Fund | | | 38,744 | | | | 124,024 | | | | 162,768 | |
The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Adviser. A repayment shall be payable only to the extent it can be made during the thirty-six months following the applicable month during which the Adviser waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement. 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 lesser of (i) the applicable limits in effect at the time of the waiver and/or reimbursement, or (ii) the applicable limits in effect at the time of recapture.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
281
| | |
| Notes to Financial Statements | | September 30, 2017 |
For the year ended September 30, 2017, 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 September 30, 2017 are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | FEES WAIVED/
REIMBURSED
FOR THE
PERIOD ENDED
SEPTEMBER 30,
2017 | | | TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
SEPTEMBER 30,
2017 | | | POTENTIAL RECOUPMENT
AMOUNTS EXPIRING | |
| FUND | | | | 2018 | | | 2019 | | | 2020 | |
| | | | | |
| AQR LARGE CAP MULTI-STYLE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 37,548 | | | $ | 336,666 | | | $ | 222,262 | | | $ | 76,856 | | | $ | 37,548 | |
Class N | | | 5,688 | | | | 40,979 | | | | 26,152 | | | | 9,139 | | | | 5,688 | |
Class R6 | | | 102,953 | | | | 368,441 | | | | 166,718 | | | | 98,770 | | | | 102,953 | |
| | | | | |
| Totals | | $ | 146,189 | | | $ | 746,086 | | | $ | 415,132 | | | $ | 184,765 | | | $ | 146,189 | |
| | | | | |
| AQR SMALL CAP MULTI-STYLE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 18,244 | | | $ | 149,613 | | | $ | 100,459 | | | $ | 30,910 | | | $ | 18,244 | |
Class N | | | 3,552 | | | | 35,329 | | | | 23,999 | | | | 7,778 | | | | 3,552 | |
Class R6 | | | 252,609 | | | | 554,563 | | | | 10,827 | | | | 291,127 | | | | 252,609 | |
| | | | | |
| Totals | | $ | 274,405 | | | $ | 739,505 | | | $ | 135,285 | | | $ | 329,815 | | | $ | 274,405 | |
| | | | | |
| AQR INTERNATIONAL MULTI-STYLE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 36,268 | | | $ | 137,944 | | | $ | 54,356 | | | $ | 47,320 | | | $ | 36,268 | |
Class N | | | 4,427 | | | | 15,600 | | | | 5,425 | | | | 5,748 | | | | 4,427 | |
Class R6 | | | 178,757 | | | | 601,538 | | | | 199,581 | | | | 223,200 | | | | 178,757 | |
| | | | | |
| Totals | | $ | 219,452 | | | $ | 755,082 | | | $ | 259,362 | | | $ | 276,268 | | | $ | 219,452 | |
| | | | | |
| AQR EMERGING MULTI-STYLE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 110,223 | | | $ | 337,461 | | | $ | 109,345 | | | $ | 117,893 | | | $ | 110,223 | |
Class N | | | 9,735 | | | | 43,108 | | | | 21,247 | | | | 12,126 | | | | 9,735 | |
Class R6 | | | 269,717 | | | | 739,004 | | | | 160,854 | | | | 308,433 | | | | 269,717 | |
| | | | | |
| Totals | | $ | 389,675 | | | $ | 1,119,573 | | | $ | 291,446 | | | $ | 438,452 | | | $ | 389,675 | |
| | | | | |
| AQR TM LARGE CAP MULTI-STYLE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 39,020 | | | $ | 84,483 | | | $ | 11,715 | | | $ | 33,748 | | | $ | 39,020 | |
Class N | | | 1,623 | | | | 5,237 | | | | 1,613 | | | | 2,001 | | | | 1,623 | |
Class R6 | | | 96,393 | | | | 326,216 | | | | 106,559 | | | | 123,264 | | | | 96,393 | |
| | | | | |
| Totals | | $ | 137,036 | | | $ | 415,936 | | | $ | 119,887 | | | $ | 159,013 | | | $ | 137,036 | |
| | | | | |
| AQR TM SMALL CAP MULTI-STYLE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 101,314 | | | $ | 223,055 | | | $ | 20,360 | | | $ | 101,381 | | | $ | 101,314 | |
Class N | | | 27,240 | | | | 51,163 | | | | 4,999 | | | | 18,924 | | | | 27,240 | |
Class R6 | | | 12,420 | | | | 121,034 | | | | 78,269 | | | | 30,345 | | | | 12,420 | |
| | | | | |
| Totals | | $ | 140,974 | | | $ | 395,252 | | | $ | 103,628 | | | $ | 150,650 | | | $ | 140,974 | |
| | | | | |
| AQR TM INTERNATIONAL MULTI-STYLE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 25,965 | | | $ | 67,362 | | | $ | 8,706 | | | $ | 32,691 | | | $ | 25,965 | |
Class N | | | 2,090 | | | | 5,401 | | | | 1,708 | | | | 1,603 | | | | 2,090 | |
Class R6 | | | 152,427 | | | | 486,776 | | | | 160,234 | | | | 174,115 | | | | 152,427 | |
| | | | | |
| Totals | | $ | 180,482 | | | $ | 559,539 | | | $ | 170,648 | | | $ | 208,409 | | | $ | 180,482 | |
| | | | | |
| AQR TM EMERGING MULTI-STYLE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 17,236 | | | $ | 64,701 | | | $ | 26,558 | | | $ | 20,907 | | | $ | 17,236 | |
Class N | | | 2,882 | | | | 21,872 | | | | 15,945 | | | | 3,045 | | | | 2,882 | |
Class R6 | | | 356,746 | | | | 922,867 | | | | 114,751 | | | | 451,370 | | | | 356,746 | |
| | | | | |
| Totals | | $ | 376,864 | | | $ | 1,009,440 | | | $ | 157,254 | | | $ | 475,322 | | | $ | 376,864 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
282
| | |
| Notes to Financial Statements | | September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | |
| | | FEES WAIVED/
REIMBURSED
FOR THE
PERIOD ENDED
SEPTEMBER 30,
2017 | | | TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
SEPTEMBER 30,
2017 | | | POTENTIAL RECOUPMENT
AMOUNTS EXPIRING | |
| FUND | | | | 2018 | | | 2019 | | | 2020 | |
| | | | | |
| AQR LARGE CAP MOMENTUM STYLE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 51,199 | | | $ | 646,286 | | | $ | 466,807 | | | $ | 128,280 | | | $ | 51,199 | |
Class N | | | 3,559 | | | | 67,564 | | | | 54,401 | | | | 9,604 | | | | 3,559 | |
Class R6 | | | 3,858 | | | | 29,791 | | | | 16,178 | | | | 9,755 | | | | 3,858 | |
| | | | | |
| Totals | | $ | 58,616 | | | $ | 743,641 | | | $ | 537,386 | | | $ | 147,639 | | | $ | 58,616 | |
| | | | | |
| AQR SMALL CAP MOMENTUM STYLE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 124,333 | | | $ | 497,877 | | | $ | 202,352 | | | $ | 171,192 | | | $ | 124,333 | |
Class N | | | 582 | | | | 10,015 | | | | 5,430 | | | | 4,003 | | | | 582 | |
Class R6 | | | 3,697 | | | | 39,436 | | | | 26,198 | | | | 9,541 | | | | 3,697 | |
| | | | | |
| Totals | | $ | 128,612 | | | $ | 547,328 | | | $ | 233,980 | | | $ | 184,736 | | | $ | 128,612 | |
| | | | | |
| AQR INTERNATIONAL MOMENTUM STYLE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 172,092 | | | $ | 588,481 | | | $ | 211,033 | | | $ | 205,356 | | | $ | 172,092 | |
Class N | | | 18,047 | | | | 79,806 | | | | 36,615 | | | | 25,144 | | | | 18,047 | |
Class R6 | | | 22,827 | | | | 64,739 | | | | 16,591 | | | | 25,321 | | | | 22,827 | |
| | | | | |
| Totals | | $ | 212,966 | | | $ | 733,026 | | | $ | 264,239 | | | $ | 255,821 | | | $ | 212,966 | |
| | | | | |
| AQR EMERGING MOMENTUM STYLE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 169,608 | | | $ | 495,912 | | | $ | 168,054 | | | $ | 158,250 | | | $ | 169,608 | |
Class N | | | 21,084 | | | | 75,354 | | | | 27,088 | | | | 27,182 | | | | 21,084 | |
Class R6 | | | 23,165 | | | | 36,271 | | | | 2,192 | | | | 10,914 | | | | 23,165 | |
| | | | | |
| Totals | | $ | 213,857 | | | $ | 607,537 | | | $ | 197,334 | | | $ | 196,346 | | | $ | 213,857 | |
| | | | | |
| AQR TM LARGE CAP MOMENTUM STYLE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 56,646 | | | $ | 244,929 | | | $ | 132,303 | | | $ | 55,980 | | | $ | 56,646 | |
Class N | | | 825 | | | | 1,132 | | | | 164 | | | | 143 | | | | 825 | |
Class R6 | | | 61,219 | | | | 183,337 | | | | 52,726 | | | | 69,392 | | | | 61,219 | |
| | | | | |
| Totals | | $ | 118,690 | | | $ | 429,398 | | | $ | 185,193 | | | $ | 125,515 | | | $ | 118,690 | |
| | | | | |
| AQR TM SMALL CAP MOMENTUM STYLE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 127,032 | | | $ | 395,325 | | | $ | 133,375 | | | $ | 134,918 | | | $ | 127,032 | |
Class N | | | 1,290 | | | | 2,854 | | | | 854 | | | | 710 | | | | 1,290 | |
Class R6 | | | 585 | | | | 2,045 | | | | 730 | | | | 730 | | | | 585 | |
| | | | | |
| Totals | | $ | 128,907 | | | $ | 400,224 | | | $ | 134,959 | | | $ | 136,358 | | | $ | 128,907 | |
| | | | | |
| AQR TM INTERNATIONAL MOMENTUM STYLE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 68,298 | | | $ | 251,620 | | | $ | 122,477 | | | $ | 60,845 | | | $ | 68,298 | |
Class N | | | 1,251 | | | | 1,801 | | | | 264 | | | | 286 | | | | 1,251 | |
Class R6 | | | 96,352 | | | | 277,310 | | | | 63,477 | | | | 117,481 | | | | 96,352 | |
| | | | | |
| Totals | | $ | 165,901 | | | $ | 530,731 | | | $ | 186,218 | | | $ | 178,612 | | | $ | 165,901 | |
| | | | | |
| AQR LARGE CAP DEFENSIVE STYLE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 104,771 | | | $ | 361,029 | | | $ | 162,616 | | | $ | 93,642 | | | $ | 104,771 | |
Class N | | | 37,604 | | | | 96,768 | | | | 23,255 | | | | 35,909 | | | | 37,604 | |
Class R6 | | | 26,257 | | | | 49,792 | | | | 117 | | | | 23,418 | | | | 26,257 | |
| | | | | |
| Totals | | $ | 168,632 | | | $ | 507,589 | | | $ | 185,988 | | | $ | 152,969 | | | $ | 168,632 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
283
| | |
| Notes to Financial Statements | | September 30, 2017 |
| | | | | | | | | | | | | | | | | | | | |
| | | FEES WAIVED/
REIMBURSED
FOR THE
PERIOD ENDED
SEPTEMBER 30,
2017 | | | TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
SEPTEMBER 30,
2017 | | | POTENTIAL RECOUPMENT
AMOUNTS EXPIRING | |
| FUND | | | | 2018 | | | 2019 | | | 2020 | |
| | | | | |
| AQR INTERNATIONAL DEFENSIVE STYLE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 130,587 | | | $ | 454,923 | | | $ | 162,417 | | | $ | 161,919 | | | $ | 130,587 | |
Class N | | | 32,592 | | | | 48,145 | | | | 1,033 | | | | 14,520 | | | | 32,592 | |
Class R6 | | | 19,870 | | | | 37,887 | | | | 485 | | | | 17,532 | | | | 19,870 | |
| | | | | |
| Totals | | $ | 183,049 | | | $ | 540,955 | | | $ | 163,935 | | | $ | 193,971 | | | $ | 183,049 | |
| | | | | |
| AQR EMERGING DEFENSIVE STYLE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 197,570 | | | $ | 639,866 | | | $ | 250,006 | | | $ | 192,290 | | | $ | 197,570 | |
Class N | | | 9,909 | | | | 11,995 | | | | 1,479 | | | | 607 | | | | 9,909 | |
Class R6 | | | 703 | | | | 1,752 | | | | 371 | | | | 678 | | | | 703 | |
| | | | | |
| Totals | | $ | 208,182 | | | $ | 653,613 | | | $ | 251,856 | | | $ | 193,575 | | | $ | 208,182 | |
| | | | | |
| AQR GLOBAL EQUITY FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 23,662 | | | $ | 45,858 | | | $ | — | | | $ | 22,196 | | | $ | 23,662 | |
Class N | | | 1,175 | | | | 2,187 | | | | — | | | | 1,012 | | | | 1,175 | |
Class R6 | | | 81,044 | | | | 150,697 | | | | 3,417 | | | | 66,236 | | | | 81,044 | |
| | | | | |
| Totals | | $ | 105,881 | | | $ | 198,742 | | | $ | 3,417 | | | $ | 89,444 | | | $ | 105,881 | |
| | | | | |
| AQR INTERNATIONAL EQUITY FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 37,831 | | | $ | 103,181 | | | $ | — | | | $ | 65,350 | | | $ | 37,831 | |
Class N | | | 3,430 | | | | 10,538 | | | | — | | | | 7,108 | | | | 3,430 | |
Class R6 | | | 2,580 | | | | 2,537 | | | | — | | | | — | | | | 2,537 | |
| | | | | |
| Totals | | $ | 43,841 | | | $ | 116,256 | | | $ | — | | | $ | 72,458 | | | $ | 43,798 | |
| | | | | |
| AQR LARGE CAP RELAXED CONSTRAINT EQUITY FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 67,645 | | | $ | 67,645 | | | $ | — | | | $ | — | | | $ | 67,645 | |
Class N | | | 23,622 | | | | 23,622 | | | | — | | | | — | | | | 23,622 | |
Class R6 | | | 39,990 | | | | 39,990 | | | | — | | | | — | | | | 39,990 | |
| | | | | |
| Totals | | $ | 131,257 | | | $ | 131,257 | | | $ | — | | | $ | — | | | $ | 131,257 | |
| | | | | |
| AQR SMALL CAP RELAXED CONSTRAINT EQUITY FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 49,392 | | | $ | 49,392 | | | $ | — | | | $ | — | | | $ | 49,392 | |
Class N | | | 27,341 | | | | 27,341 | | | | — | | | | — | | | | 27,341 | |
Class R6 | | | 53,606 | | | | 53,606 | | | | — | | | | — | | | | 53,606 | |
| | | | | |
| Totals | | $ | 130,339 | | | $ | 130,339 | | | $ | — | | | $ | — | | | $ | 130,339 | |
| | | | | |
| AQR INTERNATIONAL RELAXED CONSTRAINT EQUITY FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 57,807 | | | $ | 57,807 | | | $ | — | | | $ | — | | | $ | 57,807 | |
Class N | | | 23,019 | | | | 23,019 | | | | — | | | | — | | | | 23,019 | |
Class R6 | | | 48,312 | | | | 48,312 | | | | — | | | | — | | | | 48,312 | |
| | | | | |
| Totals | | $ | 129,138 | | | $ | 129,138 | | | $ | — | | | $ | — | | | $ | 129,138 | |
| | | | | |
| AQR EMERGING RELAXED CONSTRAINT EQUITY FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 53,067 | | | $ | 53,067 | | | $ | — | | | $ | — | | | $ | 53,067 | |
Class N | | | 31,200 | | | | 31,200 | | | | — | | | | — | | | | 31,200 | |
Class R6 | | | 78,501 | | | | 78,501 | | | | — | | | | — | | | | 78,501 | |
| | | | | |
| Totals | | $ | 162,768 | | | $ | 162,768 | | | $ | — | | | $ | — | | | $ | 162,768 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
284
| | |
| Notes to Financial Statements | | September 30, 2017 |
During the period ended September 30, 2017, the Fund recouped amounts as follows:
| | | | | | | | | | | | |
| FUND | | CLASS I | | | CLASS N | | | CLASS R6 | |
AQR International Equity Fund | | $ | 339 | | | $ | 15 | | | $ | 43 | |
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 Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund and the AQR International Relaxed Constraint Equity Fund.
ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.
Citibank NA serves as the Funds’ security lending agent.
9. Distribution Plan
The Trust has adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the Class N shares of the Funds. The Plan allows for the payment of services related to the distribution and servicing of these shares at a rate of up to 0.25% per annum of the average daily net asset value of the Class N shares of the Funds.
10. Shareholder Servicing Agreements
Prior to January 29, 2017, pursuant to a Shareholder Services Agreement, between the Trust and the Adviser, the Adviser provides certain administrative and/or support services to the AQR Global Equity Fund and AQR International Equity Fund and their shareholders. These services include, among others, providing shareholders with analysis and explanations of Fund reports, information about shareholder positions in Fund shares, as well as assisting in the distribution of shareholder communications, such as prospectus materials, shareholder reports and annual reports. Under this agreement the Adviser receives an annual fee, payable monthly, calculated on the average daily net assets of each Class at the following rates:
| | | | | | | | | | | | |
| FUND | | CLASS I | | | CLASS N | | | CLASS R6 | |
AQR Global Equity Fund | | | 0.30 | % | | | 0.30 | % | | | 0.20 | % |
AQR International Equity Fund | | | 0.30 | | | | 0.30 | | | | 0.30 | |
Fees incurred by the Funds under the Plan and/or the Shareholder Services Agreement for the year ended September 30, 2017, were as follows:
| | | | | | | | | | | | |
| FUND | | CLASS I | | | CLASS N | | | CLASS R6 | |
AQR Global Equity Fund | | $ | 31,142 | | | $ | 1,510 | | | $ | 70,537 | |
AQR International Equity Fund | | | 355,265 | | | | 35,633 | | | | 14,753 | |
Effective January 29, 2017, the AQR Global Equity Fund and the AQR International Equity Fund contractual advisory fee and shareholder servicing fee were bundled into one contractual advisory fee.
11. Capital Transactions
Investors may purchase shares of a Fund at its NAV, based on the next calculation of the NAV after the order is placed. Neither the Fund nor the distributor charges a sales charge or other transaction fee to purchase shares, although other institutions may impose transaction fees on shares purchased through them.
12. Principal Risks and Concentrations
In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.
Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. Convertible securities and non-convertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income producing securities in the Funds’ portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of slower than expected principal payments (extension risk).
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
285
| | |
| Notes to Financial Statements | | September 30, 2017 |
Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies and non-U.S. denominated financial instruments. In addition, the Funds’ use of forward foreign currency exchange contracts may expose them to the risk that the value of the foreign currency changes unfavorably relative to the U.S. Dollar. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.
The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Funds may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause the Fund’s net asset value to experience significant increases or decreases over short periods of time. If there is a general decline in the securities and other markets, the net asset value of a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
Exposure to the commodities markets may subject a Fund to greater volatility than investments in traditional securities. The value of commodity-linked derivative investments and exchange-traded notes may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity.
In addition to market risk, the Funds may be exposed to the risk that one or more securities in the Funds’ portfolio will decline in price, or fail to pay interest or principal when due, because the issuer of the security experiences a decline in its financial status (credit risk). Credit risk is measured by the loss a Fund would record if the major financial institution or other counterparties failed to perform pursuant to terms of their obligations. Certain Funds may primarily maintain cash balances at one or several major financial institutions that may exceed federally insured limits and as such each of the Funds have credit risk associated with such financial institutions. In general, lower rated securities carry a greater degree of risk that the issuer will lose its ability to make interest and principal payments, which could have a negative impact on the Funds’ net asset value or dividends. The Funds minimize credit risk by monitoring credit exposure and collateral values, and by requiring additional collateral to be promptly deposited with or returned to each of the Funds when deemed necessary.
Similar to credit risk, a Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. Financial assets, which potentially expose a Fund to counterparty risk, consist principally of cash due from counterparties and investments. By using derivative instruments, the Funds may be exposed to the risk that derivative counterparties may not perform in accordance with the contractual provisions offset by the value of any collateral received. The Funds’ exposure to credit risk associated with counterparty non-performance is limited to the unrealized gains inherent in such transactions that are recognized in the Statements of Assets and Liabilities. The counterparties to the Funds’ derivative investments may include affiliates of the Funds’ clearing brokers and other major financial institutions. While the Funds use multiple clearing brokers and counterparties, a concentration of credit risk may exist because of balances held and transactions with a limited number of clearing brokers and counterparties. The Funds minimize counterparty credit risk through credit limits and approvals, credit monitoring procedures, executing master netting arrangements and managing margin and collateral requirements, as appropriate.
In the normal course of business, the Funds may enter into agreements with certain counterparties for 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.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
286
| | |
| Notes to Financial Statements | | September 30, 2017 |
13. Line of Credit
Effective February 24, 2017 and terminating on February 23, 2018, 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. The line of credit is in the amount of $300,000,000, prior to February 24, 2017 the line of credit was $285,000,000 at substantially similar terms.
The Funds had the following borrowings during the period.
| | | | | | | | | | | | | | | | |
| FUND | | AVERAGE
BORROWINGS | | | AVERAGE
INTEREST
RATE% | | | NUMBER OF DAYS
OUTSTANDING | | | INTEREST PAID | |
AQR Small Cap Multi-Style Fund | | $ | 25,800,000 | | | | 1.77 | % | | | 2 | | | $ | 2,537 | |
AQR TM Small Cap Multi-Style Fund | | | 600,000 | | | | 2.23 | | | | 6 | | | | 223 | |
AQR TM International Momentum Style Fund | | | 6,500,000 | | | | 1.74 | | | | 3 | | | | 945 | |
AQR International Equity Fund | | | 16,000,000 | | | | 2.03 | | | | 5 | | | | 4,513 | |
Interest expense paid, if any, as a result of borrowing under this agreement is included in Interest expense in the Statements of Operations.
14. Principal Ownership
As of September 30, 2017, 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 | | | TOTAL
PERCENTAGE
INTEREST
HELD | |
AQR Large Cap Multi-Style Fund | | | 4 | | | | 86.96 | % |
AQR Small Cap Multi-Style Fund | | | 3 | | | | 92.20 | % |
AQR International Multi-Style Fund | | | 4 | | | | 94.84 | % |
AQR Emerging Multi-Style Fund | | | 4 | | | | 93.40 | % |
AQR TM Large Cap Multi-Style Fund | | | 4 | | | | 94.72 | % |
AQR TM Small Cap Multi-Style Fund* | | | 4 | | | | 96.24 | % |
AQR TM International Multi-Style Fund | | | 4 | | | | 95.36 | % |
AQR TM Emerging Multi-Style Fund | | | 3 | | | | 94.78 | % |
AQR Large Cap Momentum Style Fund | | | 4 | | | | 92.88 | % |
AQR Small Cap Momentum Style Fund | | | 3 | | | | 88.29 | % |
AQR International Momentum Style Fund | | | 3 | | | | 93.33 | % |
AQR Emerging Momentum Style Fund* | | | 4 | | | | 88.61 | % |
AQR TM Large Cap Momentum Style Fund | | | 3 | | | | 94.60 | % |
AQR TM Small Cap Momentum Style Fund | | | 3 | | | | 96.79 | % |
AQR TM International Momentum Style Fund | | | 3 | | | | 94.93 | % |
AQR Large Cap Defensive Style Fund | | | 5 | | | | 86.16 | % |
AQR International Defensive Style Fund | | | 3 | | | | 96.21 | % |
AQR Emerging Defensive Style Fund | | | 2 | | | | 93.37 | % |
AQR Global Equity Fund | | | 4 | | | | 90.63 | % |
AQR International Equity Fund | | | 5 | | | | 73.66 | % |
AQR Large Cap Relaxed Constraint Equity Fund | | | 2 | | | | 81.48 | % |
AQR Small Cap Relaxed Constraint Equity Fund | | | 6 | | | | 94.80 | % |
AQR International Relaxed Constraint Equity Fund | | | 6 | | | | 99.07 | % |
AQR Emerging Relaxed Constraint Equity Fund * | | | 4 | | | | 91.90 | % |
| | * | The percentage held by the Adviser and/or affiliates is 8.41%, 41.67% and 17.80% respectively. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
287
| | |
| Notes to Financial Statements | | September 30, 2017 |
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
15. Redemption In-Kind
On April 1, 2016 the AQR International Equity Fund processed an in-kind redemption. The redemption represented 51.2% of the Fund’s net assets and was paid partially in cash and in-kind. The amount of redemption proceeds paid in-kind was $28,738,734 for Class R6 and $319,560,131 for Class Y, respectively. The net realized gain (loss) associated with the portion redeemed in-kind was $37,988,383.
On May 9, 2016 the AQR Global Equity Fund processed an in-kind redemption. The redemption represented 42.7% of the Fund’s net assets and was paid partially in cash and in-kind. The amount of redemption proceeds paid in-kind was $89,954,399. The net realized gain (loss) associated with the portion redeemed in-kind was $15,005,926.
16. New Accounting Pronouncements and Regulations
In October 2016, the Securities and Exchange Commission (the “SEC”) adopted Final Rule Release No. 33-10231, Investment Company Reporting Modernization, to modernize and enhance the reporting and disclosure of information by registered investment companies. The new rules will allow the SEC to more effectively collect and use data reported by funds, enhance disclosure regarding fund liquidity and redemption practices, and permit open-end funds to offer swing pricing, subject to board approval and review.
Compliance with, and adoption of, these rules will have no effect on the Funds’ net assets or results of operations. Management is continuing to evaluate the impact on the disclosure and presentation of the Funds’ financial statements.
17. 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 | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
288
|
| Report of Independent Registered Public Accounting Firm |
To the Board of Trustees of the AQR Funds and Shareholders of AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund, AQR Emerging Defensive Style Fund, AQR Global Equity Fund, AQR International Equity Fund, AQR Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund, AQR International Relaxed Constraint Equity Fund, and AQR Emerging Relaxed Constraint Equity Fund
In our opinion, the (i) accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and of cash flows and the financial highlights present fairly, in all material respects, the financial position of the AQR Large Cap Relaxed Constraint Equity Fund, AQR Small Cap Relaxed Constraint Equity Fund, and AQR International Relaxed Constraint Equity Fund (three of the funds constituting the AQR Funds), as of September 30, 2017, the results of each of their operations, the changes in each of their net assets, each of their cash flows and the financial highlights for the period December 14, 2016 (commencement of operations) through September 30, 2017, (ii) accompanying statement of assets and liabilities, including the schedule of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of the AQR Emerging Relaxed Constraint Equity Fund (one of the funds constituting the AQR Funds), as of September 30, 2017, the results of its operations, the changes in its net assets, and the financial highlights for the period December 14, 2016 (commencement of operations) through September 30, 2017, and (iii) accompanying statements of assets and liabilities, including the schedules of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of AQR Large Cap Multi-Style Fund, AQR Small Cap Multi-Style Fund, AQR International Multi-Style Fund, AQR Emerging Multi-Style Fund, AQR TM Large Cap Multi-Style Fund, AQR TM Small Cap Multi-Style Fund, AQR TM International Multi-Style Fund, AQR TM Emerging Multi-Style Fund, AQR Large Cap Momentum Style Fund, AQR Small Cap Momentum Style Fund, AQR International Momentum Style Fund, AQR Emerging Momentum Style Fund, AQR TM Large Cap Momentum Style Fund, AQR TM Small Cap Momentum Style Fund, AQR TM International Momentum Style Fund, AQR Large Cap Defensive Style Fund, AQR International Defensive Style Fund, AQR Emerging Defensive Style Fund, AQR Global Equity Fund and AQR International Equity Fund (twenty of the funds constituting the AQR Funds), as of September 30, 2017, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and their financial highlights for each of the periods indicated therein, (collectively hereafter referred to as the “Funds”), in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities as of September 30, 2017 by correspondence with the custodian, brokers, and transfer agent, provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
New York, New York
November 22, 2017
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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289
|
| Other Federal Tax Information (Unaudited) |
For the fiscal year ended September 30, 2017, the Funds designate the following percentages of ordinary income dividends, or maximum amount allowable, as qualifying for the reduced tax rate under the Jobs and Growth Tax Relief Reconciliation Act of 2003:
| | | | |
| FUND | | PERCENTAGE | |
AQR Large Cap Multi-Style Fund | | | 100.00 | % |
AQR Small Cap Multi-Style Fund | | | 32.88 | % |
AQR International Multi-Style Fund | | | 93.76 | % |
AQR Emerging Multi-Style Fund | | | 61.14 | % |
AQR TM Large Cap Multi-Style Fund | | | 99.97 | % |
AQR TM Small Cap Multi-Style Fund | | | 88.56 | % |
AQR TM International Multi-Style Fund | | | 97.37 | % |
AQR TM Emerging Multi-Style Fund | | | 50.11 | % |
AQR Large Cap Momentum Style Fund | | | 100.00 | % |
AQR Small Cap Momentum Style Fund | | | 98.22 | % |
AQR International Momentum Style Fund | | | 100.00 | % |
AQR Emerging Momentum Style Fund | | | 62.78 | % |
AQR TM Large Cap Momentum Style Fund | | | 100.00 | % |
AQR TM Small Cap Momentum Style Fund | | | 99.86 | % |
AQR TM International Momentum Style Fund | | | 100.00 | % |
AQR Large Cap Defensive Style Fund | | | 100.00 | % |
AQR International Defensive Style Fund | | | 100.00 | % |
AQR Emerging Defensive Style Fund | | | 62.75 | % |
AQR Global Equity Fund | | | 100.00 | % |
AQR International Equity Fund | | | 82.14 | % |
For the fiscal year ended September 30, 2017, the following percentages of income dividends paid by the Fund qualify for the dividends received deductions available to corporations:
| | | | |
| FUND | | PERCENTAGE | |
AQR Large Cap Multi-Style Fund | | | 100.00 | % |
AQR Small Cap Multi-Style Fund | | | 31.51 | % |
AQR TM Large Cap Multi-Style Fund | | | 100.00 | % |
AQR TM Small Cap Multi-Style Fund | | | 84.71 | % |
AQR Large Cap Momentum Style Fund | | | 100.00 | % |
AQR Small Cap Momentum Style Fund | | | 94.63 | % |
AQR TM Large Cap Momentum Style Fund | | | 100.00 | % |
AQR TM Small Cap Momentum Style Fund | | | 95.72 | % |
AQR Large Cap Defensive Style Fund | | | 100.00 | % |
AQR Global Equity Fund | | | 52.58 | % |
The Funds designate the following amounts, or the maximum allowable under Section 852 of the Internal Revenue Code, as long term capital gain dividends paid during the fiscal year ended September 30, 2017:
| | | | |
| FUND | | TOTAL | |
AQR Small Cap Multi-Style Fund | | $ | 2,420,639 | |
AQR Large Cap Momentum Style Fund | | | 54,817,139 | |
AQR Large Cap Defensive Style Fund | | | 3,564,795 | |
AQR Global Equity Fund | | | 10,063,105 | |
AQR International Equity Fund | | | 5,622,942 | |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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290
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| Other Federal Tax Information (Unaudited) |
Certain Funds have derived net income from sources within foreign countries. For the year ended September 30, 2017, the foreign source income for each Fund was as follows:
| | | | | | | | |
| FUND | | TOTAL | | | PER SHARE | |
AQR International Multi-Style Fund | | $ | 13,073,759 | | | $ | 0.3320 | |
AQR Emerging Multi-Style Fund | | | 8,281,977 | | | | 0.2719 | |
AQR TM International Multi-Style Fund | | | 4,917,278 | | | | 0.3065 | |
AQR TM Emerging Multi-Style Fund | | | 8,739,342 | | | | 0.2757 | |
AQR International Momentum Style Fund | | | 10,862,287 | | | | 0.4142 | |
AQR Emerging Momentum Style Fund | | | 362,800 | | | | 0.2816 | |
AQR TM International Momentum Style Fund | | | 2,569,664 | | | | 0.3323 | |
AQR International Defensive Style Fund | | | 5,144,645 | | | | 0.3515 | |
AQR Emerging Defensive Style Fund | | | 1,680,768 | | | | 0.2359 | |
AQR International Equity Fund | | | 12,241,979 | | | | 0.3550 | |
AQR International Relaxed Constraint Equity Fund | | | 238,663 | | | | 0.2585 | |
AQR Emerging Relaxed Constraint Equity Fund | | | 229,997 | | | | 0.1170 | |
Certain Funds intend to elect to pass through to shareholders the credit for taxes paid to foreign countries. For the year ended September 30, 2017, the foreign taxes paid for each Fund was as follows:
| | | | | | | | |
| FUND | | TOTAL | | | PER SHARE | |
AQR International Multi-Style Fund | | $ | 1,053,869 | | | $ | 0.0268 | |
AQR Emerging Multi-Style Fund | | | 809,713 | | | | 0.0266 | |
AQR TM International Multi-Style Fund | | | 387,694 | | | | 0.0242 | |
AQR TM Emerging Multi-Style Fund | | | 857,508 | | | | 0.0271 | |
AQR International Momentum Style Fund | | | 889,650 | | | | 0.0339 | |
AQR Emerging Momentum Style Fund | | | 34,932 | | | | 0.0271 | |
AQR TM International Momentum Style Fund | | | 199,386 | | | | 0.0258 | |
AQR International Defensive Style Fund | | | 418,532 | | | | 0.0286 | |
AQR Emerging Defensive Style Fund | | | 184,759 | | | | 0.0259 | |
AQR International Equity Fund | | | 983,627 | | | | 0.0285 | |
AQR International Relaxed Constraint Equity Fund | | | 22,735 | | | | 0.0246 | |
AQR Emerging Relaxed Constraint Equity Fund | | | 16,342 | | | | 0.0083 | |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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291
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| 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 09/30/17” 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.
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| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
9/30/17 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
9/30/17 | |
| | | | |
| AQR Large Cap Multi-Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,094.70 | | | | 0.43 | % | | | $2.26 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.91 | | | | 0.43 | % | | | $2.18 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,093.10 | | | | 0.70 | % | | | $3.67 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.56 | | | | 0.70 | % | | | $3.55 | |
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| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,095.50 | | | | 0.35 | % | | | $1.84 | |
Hypothetical Return | | | $1,000.00 | | | | $1,023.31 | | | | 0.35 | % | | | $1.78 | |
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| AQR Small Cap Multi-Style Fund | | | | | | | | | | | | | | | | |
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| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,055.80 | | | | 0.64 | % | | | $3.30 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.86 | | | | 0.64 | % | | | $3.24 | |
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| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,054.70 | | | | 0.90 | % | | | $4.64 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.56 | | | | 0.90 | % | | | $4.56 | |
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| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,056.40 | | | | 0.55 | % | | | $2.84 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.31 | | | | 0.55 | % | | | $2.79 | |
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| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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292
|
| Fund Expense Examples (Unaudited) |
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
9/30/17 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
9/30/17 | |
| | | | |
| AQR International Multi-Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,122.10 | | | | 0.60 | % | | | $3.19 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.06 | | | | 0.60 | % | | | $3.04 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,121.40 | | | | 0.85 | % | | | $4.52 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.81 | | | | 0.85 | % | | | $4.31 | |
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| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,122.20 | | | | 0.50 | % | | | $2.66 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.56 | | | | 0.50 | % | | | $2.54 | |
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| AQR Emerging Multi-Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,150.40 | | | | 0.75 | % | | | $4.04 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.31 | | | | 0.75 | % | | | $3.80 | |
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| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,148.40 | | | | 1.00 | % | | | $5.39 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.05 | | | | 1.00 | % | | | $5.06 | |
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| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,150.20 | | | | 0.65 | % | | | $3.50 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.81 | | | | 0.65 | % | | | $3.29 | |
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| AQR TM Large Cap Multi-Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,096.10 | | | | 0.45 | % | | | $2.36 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.81 | | | | 0.45 | % | | | $2.28 | |
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| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,094.50 | | | | 0.70 | % | | | $3.68 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.56 | | | | 0.70 | % | | | $3.55 | |
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| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,097.00 | | | | 0.35 | % | | | $1.84 | |
Hypothetical Return | | | $1,000.00 | | | | $1,023.31 | | | | 0.35 | % | | | $1.78 | |
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| AQR TM Small Cap Multi-Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,062.70 | | | | 0.65 | % | | | $3.36 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.81 | | | | 0.65 | % | | | $3.29 | |
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| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,061.10 | | | | 0.90 | % | | | $4.65 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.56 | | | | 0.90 | % | | | $4.56 | |
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| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,063.50 | | | | 0.55 | % | | | $2.85 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.31 | | | | 0.55 | % | | | $2.79 | |
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| AQR TM International Multi-Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,122.70 | | | | 0.59 | % | | | $3.14 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.11 | | | | 0.59 | % | | | $2.99 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,121.00 | | | | 0.85 | % | | | $4.52 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.81 | | | | 0.85 | % | | | $4.31 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,123.60 | | | | 0.50 | % | | | $2.66 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.56 | | | | 0.50 | % | | | $2.54 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
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293
|
| Fund Expense Examples (Unaudited) |
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
9/30/17 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
9/30/17 | |
| | | | |
| AQR TM Emerging Multi-Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,155.90 | | | | 0.74 | % | | | $4.00 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.36 | | | | 0.74 | % | | | $3.75 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,155.90 | | | | 1.00 | % | | | $5.40 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.05 | | | | 1.00 | % | | | $5.06 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,157.00 | | | | 0.65 | % | | | $3.51 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.81 | | | | 0.65 | % | | | $3.29 | |
| | | | |
| AQR Large Cap Momentum Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,091.30 | | | | 0.40 | % | | | $2.10 | |
Hypothetical Return | | | $1,000.00 | | | | $1,023.06 | | | | 0.40 | % | | | $2.03 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,090.30 | | | | 0.65 | % | | | $3.41 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.81 | | | | 0.65 | % | | | $3.29 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,091.50 | | | | 0.30 | % | | | $1.57 | |
Hypothetical Return | | | $1,000.00 | | | | $1,023.56 | | | | 0.30 | % | | | $1.52 | |
| | | | |
| AQR Small Cap Momentum Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,097.70 | | | | 0.60 | % | | | $3.16 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.06 | | | | 0.60 | % | | | $3.04 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,096.30 | | | | 0.81 | % | | | $4.26 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.01 | | | | 0.81 | % | | | $4.10 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,097.90 | | | | 0.50 | % | | | $2.63 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.56 | | | | 0.50 | % | | | $2.54 | |
| | | | |
| AQR International Momentum Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,126.50 | | | | 0.55 | % | | | $2.93 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.31 | | | | 0.55 | % | | | $2.79 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,125.20 | | | | 0.80 | % | | | $4.26 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.06 | | | | 0.80 | % | | | $4.05 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,127.40 | | | | 0.45 | % | | | $2.40 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.81 | | | | 0.45 | % | | | $2.28 | |
| | | | |
| AQR Emerging Momentum Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,177.20 | | | | 0.69 | % | | | $3.77 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.61 | | | | 0.69 | % | | | $3.50 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,174.80 | | | | 0.87 | % | | | $4.74 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.71 | | | | 0.87 | % | | | $4.41 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,177.00 | | | | 0.60 | % | | | $3.27 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.06 | | | | 0.60 | % | | | $3.04 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
294
|
| Fund Expense Examples (Unaudited) |
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
9/30/17 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
9/30/17 | |
| | | | |
| AQR TM Large Cap Momentum Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,089.10 | | | | 0.40 | % | | | $2.09 | |
Hypothetical Return | | | $1,000.00 | | | | $1,023.06 | | | | 0.40 | % | | | $2.03 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,087.60 | | | | 0.65 | % | | | $3.40 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.81 | | | | 0.65 | % | | | $3.29 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,089.80 | | | | 0.30 | % | | | $1.57 | |
Hypothetical Return | | | $1,000.00 | | | | $1,023.56 | | | | 0.30 | % | | | $1.52 | |
| | | | |
| AQR TM Small Cap Momentum Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,089.80 | | | | 0.60 | % | | | $3.14 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.06 | | | | 0.60 | % | | | $3.04 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,089.00 | | | | 0.85 | % | | | $4.45 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.81 | | | | 0.85 | % | | | $4.31 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,091.00 | | | | 0.50 | % | | | $2.62 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.56 | | | | 0.50 | % | | | $2.54 | |
| | | | |
| AQR TM International Momentum Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,124.80 | | | | 0.55 | % | | | $2.93 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.31 | | | | 0.55 | % | | | $2.79 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,123.70 | | | | 0.80 | % | | | $4.26 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.06 | | | | 0.80 | % | | | $4.05 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,126.00 | | | | 0.45 | % | | | $2.40 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.81 | | | | 0.45 | % | | | $2.28 | |
| | | | |
| AQR Large Cap Defensive Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,072.40 | | | | 0.40 | % | | | $2.08 | |
Hypothetical Return | | | $1,000.00 | | | | $1,023.06 | | | | 0.40 | % | | | $2.03 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,071.30 | | | | 0.65 | % | | | $3.38 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.81 | | | | 0.65 | % | | | $3.29 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,073.10 | | | | 0.30 | % | | | $1.56 | |
Hypothetical Return | | | $1,000.00 | | | | $1,023.56 | | | | 0.30 | % | | | $1.52 | |
| | | | |
| AQR International Defensive Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,099.40 | | | | 0.55 | % | | | $2.89 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.31 | | | | 0.55 | % | | | $2.79 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,098.70 | | | | 0.80 | % | | | $4.21 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.06 | | | | 0.80 | % | | | $4.05 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,100.40 | | | | 0.45 | % | | | $2.37 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.81 | | | | 0.45 | % | | | $2.28 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
295
|
| Fund Expense Examples (Unaudited) |
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
9/30/17 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
9/30/17 | |
| | | | |
| AQR Emerging Defensive Style Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,087.60 | | | | 0.70 | % | | | $3.66 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.56 | | | | 0.70 | % | | | $3.55 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,086.50 | | | | 0.95 | % | | | $4.97 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.31 | | | | 0.95 | % | | | $4.81 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,089.00 | | | | 0.60 | % | | | $3.14 | |
Hypothetical Return | | | $1,000.00 | | | | $1,022.06 | | | | 0.60 | % | | | $3.04 | |
| | | | |
| AQR Global Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,114.00 | | | | 0.80 | % | | | $4.24 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.06 | | | | 0.80 | % | | | $4.05 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,113.40 | | | | 1.04 | % | | | $5.51 | |
Hypothetical Return | | | $1,000.00 | | | | $1,019.85 | | | | 1.04 | % | | | $5.27 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,114.40 | | | | 0.70 | % | | | $3.71 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.56 | | | | 0.70 | % | | | $3.55 | |
| | | | |
| AQR International Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,123.30 | | | | 0.90 | % | | | $4.79 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.56 | | | | 0.90 | % | | | $4.56 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,121.80 | | | | 1.15 | % | | | $6.12 | |
Hypothetical Return | | | $1,000.00 | | | | $1,019.30 | | | | 1.15 | % | | | $5.82 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,124.30 | | | | 0.80 | % | | | $4.26 | |
Hypothetical Return | | | $1,000.00 | | | | $1,021.06 | | | | 0.80 | % | | | $4.05 | |
| | | | |
| AQR Large Cap Relaxed Constraint Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,096.00 | | | | 1.43 | % | | | $7.51 | |
Hypothetical Return | | | $1,000.00 | | | | $1,017.90 | | | | 1.43 | % | | | $7.23 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,094.20 | | | | 1.84 | % | | | $9.66 | |
Hypothetical Return | | | $1,000.00 | | | | $1,015.84 | | | | 1.84 | % | | | $9.30 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,096.00 | | | | 1.54 | % | | | $8.09 | |
Hypothetical Return | | | $1,000.00 | | | | $1,017.35 | | | | 1.54 | % | | | $7.79 | |
| | | | |
| AQR Small Cap Relaxed Constraint Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,059.40 | | | | 1.48 | % | | | $7.64 | |
Hypothetical Return | | | $1,000.00 | | | | $1,017.65 | | | | 1.48 | % | | | $7.49 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,057.40 | | | | 1.74 | % | | | $8.97 | |
Hypothetical Return | | | $1,000.00 | | | | $1,016.34 | | | | 1.74 | % | | | $8.80 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,059.40 | | | | 1.44 | % | | | $7.43 | |
Hypothetical Return | | | $1,000.00 | | | | $1,017.85 | | | | 1.44 | % | | | $7.28 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
296
|
| Fund Expense Examples (Unaudited) |
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
9/30/17 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
9/30/17 | |
| | | | |
| AQR International Relaxed Constraint Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,154.80 | | | | 1.93 | % | | | $10.43 | |
Hypothetical Return | | | $1,000.00 | | | | $1,015.39 | | | | 1.93 | % | | | $9.75 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,153.10 | | | | 2.18 | % | | | $11.77 | |
Hypothetical Return | | | $1,000.00 | | | | $1,014.14 | | | | 2.18 | % | | | $11.01 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,155.70 | | | | 1.92 | % | | | $10.38 | |
Hypothetical Return | | | $1,000.00 | | | | $1,015.44 | | | | 1.92 | % | | | $9.70 | |
| | | | |
| AQR Emerging Relaxed Constraint Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,141.20 | | | | 1.14 | % | | | $6.12 | |
Hypothetical Return | | | $1,000.00 | | | | $1,019.35 | | | | 1.14 | % | | | $5.77 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,139.50 | | | | 1.38 | % | | | $7.40 | |
Hypothetical Return | | | $1,000.00 | | | | $1,018.15 | | | | 1.38 | % | | | $6.98 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,142.10 | | | | 1.05 | % | | | $5.64 | |
Hypothetical Return | | | $1,000.00 | | | | $1,019.80 | | | | 1.05 | % | | | $5.32 | |
Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 183/365 (to reflect the one-half year period unless stated otherwise).
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
297
| | |
| Trustees and Officers (Unaudited) | | September 30, 2017 |
Listed in the chart below is basic information regarding the Trustees and Officers of the Trust. The address of each Officer and Trustee is Two Greenwich Plaza, 4th Floor, Greenwich CT 06830.
| | | | | | | | | | | | | | | | |
| NAME AND YEAR OF BIRTH | | CURRENT
POSITION WITH
THE TRUST,
TERM OF
OFFICE1 AND
LENGTH OF
TIME SERVED | | | PRINCIPAL OCCUPATION(S)
DURING PAST 5 YEARS | | | NUMBER
OF FUNDS
IN FUND
COMPLEX
OVERSEEN
BY TRUSTEE | | | OTHER PRESENT OR
PAST
DIRECTORSHIPS
HELD BY
TRUSTEE (DURING
THE PAST 5 YEARS) | |
Disinterested Trustees2 | | | | | | | | | | | | | | | | |
| Timothy K. Armour, M.B.A., 1948 | |
| Chairman of the Board,
since
2010 and Trustee,
since 2008 |
| |
| Interim Chief Executive Officer of Janus
Capital Group (retired) (2009 to 2010)
(financial services) |
| | | 47 | | |
| Janus Capital
Group (2008-
2016); ETF
Securities (2010-
2013) |
|
| | | | |
| L. Joe Moravy, M.B.A., CPA, 1950 | |
| Trustee,
since 2008 |
| |
| Independent Consultant (since 2014);
Managing Director, Finance Scholars
Group (2010 to 2014) (consulting) |
| | | 47 | | |
| Nuveen Exchange
Traded
Commodities Funds
(2012-2016) |
|
| | | | |
| William L. Atwell, M.B.A., 1950 | |
| Trustee,
since 2011 |
| |
| Managing Director, Atwell Partners LLC
(since 2012) (consulting); President
(CIGNA International), CIGNA (2008 to
2012) (insurance) |
| | | 47 | | |
| Webster Financial
Corporation
(since 2014);
Blucora, Inc. (since
2017) |
|
| | | | |
| Gregg D. Behrens, M.M., 1952 | |
| Trustee,
since 2011 |
| |
| Retired from Northern Trust Company
(since 2009) (banking) |
| | | 47 | | | | None | |
| | | | |
| Brian Posner, M.B.A., 1961 | |
| Trustee,
since 2011 |
| |
| President, Point Rider Group LLC (since
2008) (consulting) |
| | | 47 | | |
| Biogen (since
2008); Bioverativ
Inc. (since 2017);
Arch Capital Group
(since 2010); BG
Medicine (2012-
2015); RiverPark
Funds Trust (2010-
2012) |
|
| | | | |
Mark. A. Zurack, M.B.A., CFA 1957 | |
| Trustee,
since 2014 |
| |
| Senior Lecturer, Columbia Business
School (since 2002); Visiting Senior
Lecturer, Cornell University (2004-2013) |
| | | 47 | | |
| Exchange Traded
Concepts Trust
(since 2011);
Source ETF Trust
(2014-2015) |
|
| | | | |
Interested Trustees3 | | | | | | | | | | | | | | | | |
| David Kabiller, CFA, 1963 | | | Trustee, since 2010 | | |
| Founding Principal, AQR Capital
Management, LLC (since 1998) |
| | | 47 | | | | None | |
| | | | |
| Marco Hanig, Ph.D., 1958 | |
| Trustee, since 2014;
Chief Executive
Officer, since
2009; President,
since 2008 |
| |
| Principal, AQR Capital Management, LLC
(since 2008) |
| | | 47 | | | | None | |
| | | | |
Officers | | | | | | | | | | | | | | | | |
| H.J. Willcox, J.D., 1966 | |
| Chief Compliance
Officer, since 2013 |
| |
| Principal and Chief Compliance Officer,
AQR Capital Management, LLC (since
2013); Global Head of Compliance and
Counsel KKR & Co., L.P. (2008-2013) |
| | | N/A | | | | N/A | |
| | | | |
| Heather Bonner, CPA, 1977 | |
| Chief Financial Officer,
since 2014 |
| |
| Vice President, AQR Capital
Management, LLC
(since 2013); Senior Manager,
PricewaterhouseCoopers, LLP (2007-
2013) |
| | | N/A | | | | N/A | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
298
| | |
| Trustees and Officers (Unaudited) | | September 30, 2017 |
| | | | | | | | |
| NAME AND YEAR OF BIRTH | | CURRENT
POSITION WITH
THE TRUST,
TERM OF
OFFICE1 AND
LENGTH OF
TIME SERVED | | PRINCIPAL OCCUPATION(S)
DURING PAST 5 YEARS | | NUMBER
OF FUNDS
IN FUND
COMPLEX
OVERSEEN
BY TRUSTEE | | OTHER PRESENT OR
PAST
DIRECTORSHIPS
HELD BY
TRUSTEE (DURING
THE PAST 5 YEARS) |
| Gregory McNeil, M.S./M.B.A., CPA, 1975 | | Vice President and
Treasurer, since 2015 | | Vice President, AQR Capital
Management, LLC (since 2015);
Assistant Treasurer, Franklin Templeton
Investments (2010-2015) | | N/A | | N/A |
| | | | |
| Bradley Asness, J.D., M.B.A. 1969 | | Vice President, since
2009 | | Principal and Co-Chief Operating Officer,
AQR Capital Management, LLC
(since 1998) | | N/A | | N/A |
| | | | |
| Brendan R. Kalb, J.D., 1975 | | Executive
Vice President,
since 2009;
Secretary,
since 2008 | | Managing Director and General Counsel,
AQR Capital Management, LLC
(since 2004) | | N/A | | N/A |
| | | | |
| Nicole DonVito, J.D., 1979 | | Chief Legal Officer,
since 2014;
Vice President,
since 2009 | | Managing Director, Senior Counsel &
Head of Registered Products, AQR
Capital Management, LLC (since 2007) | | N/A | | N/A |
| | | | |
| Tara Bongiorni, CPA 1977 | | Assistant Treasurer,
since 2017 | | Vice President, AQR Capital
Management, LLC (since 2015); Vice
President, Goldman Sachs Asset
Management (2002-2015) | | N/A | | N/A |
| (1) | Each Trustee serves until the election and qualification of a successor, or until death, resignation or removal as provided in the Trust’s Declaration of Trust. A Disinterested Trustee may not hold office beyond December 31 of the year in which he turns 72. |
| (2) | A Disinterested Trustee is any Trustee that is not an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act. |
| (3) | An Interested Trustee is a Trustee that is an “interested person” of the Trust within the meaning of Section 2(a)(19) of the 1940 Act. Mr. Kabiller and Dr. Hanig are interested persons of the Trust because of their positions with the Adviser. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | September 2017 | | |
| | | | | | | | | | |
299
Investment Adviser
AQR Capital Management, LLC
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
Transfer Agent
ALPS Fund Services, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Custodian
JPMorgan Chase Bank, N.A.
4 Metro Tech Center
Brooklyn, NY 11245
Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Administrator
JPMorgan Chase Bank, N.A.
70 Fargo Street
Boston, MA 02210
Independent Registered Public Accounting Firm
PricewaterhouseCoopers, LLP
300 Madison Avenue
New York, NY 10017
You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website https://funds.aqr.com, or by accessing the SEC’s website at www.SEC.gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-551-8090.
The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and policies, experienced of its management, marketability of shares and other information.
AQR Funds
P.O. Box 2248, Denver, CO 80201-2248 | p: +1.866.290.2688 | w: https://funds.aqr.com
Item 2. Code of Ethics.
| a). | As of the end of the period, September 30, 2017, the Registrant has adopted a code of ethics, as defined in Item 2 of Form N-CSR, that applies to its principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions. This code of ethics is included as Exhibit 12 (a)(1). |
| c). | There has been no substantive amendments to the Registrant’s Code of Ethics during the fiscal year ended September 30, 2017 (“Reporting Period”). |
| d). | Registrant granted no waivers from the provisions of its Code of Ethics during the Reporting Period. |
Item 3. Audit Committee Financial Expert.
| a). | The Registrant’s Board of Trustees has determined that its Audit Committee has two “audit committee financial experts”, as that term is defined under Items 3(b) and 3(c), serving on its Audit Committee. Mr. L. Joe Moravy and Mr. Brian S. Posner, the Registrant’s audit committee financial experts, are “independent”, as that term is defined under Item 3(a)(2). |
Item 4. Principal Accountant Fees and Services.
Aggregate fees for professional services rendered for the AQR Funds by PricewaterhouseCoopers LLP for the fiscal years ended September 30, 2016 and September 30, 2017 were:
| | | | | | | | |
| | | 2016 | | | 2017 | |
Audit Fees (a) | | $ | 667,249 | | | $ | 858,575 | |
Audit Related Fees (b) | | $ | 24,000 | | | $ | 8,000 | |
Tax Fees (c) | | $ | 336,005 | | | $ | 470,788 | |
All Other Fees (d) | | $ | 450 | | | $ | 450 | |
| | | | | | | | |
Total: | | $ | 1,027,704 | | | $ | 1,337,813 | |
| | | | | | | | |
| (a) | Audit Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP for the audits of the Registrant’s annual financial statements or services normally provided by the independent registered public accounting firm in connection with statutory and regulatory filings or engagements. These services include the audits of the financial statements of the Registrant, issuance of consents and assistance with review of documents filed with the SEC. |
| (b) | Audit Related Fees: These fees relate to assurance and related services by PricewaterhouseCoopers LLP that are reasonably related to the performance of the audit of the Registrant’s September 30, 2016 and September 30, 2017 annual financial statements that are not reported under “Audit Fees” above. The audit related services provided by PricewaterhouseCoopers LLP for the year-ended September 30, 2016 and September 30, 2017 relate to procedures performed by PricewaterhouseCoopers LLP in connection with its review of the issuance of, and amendments to, the Registrant’s Registration Statement. |
| (c) | Tax Fees: These fees relate to professional services rendered by PricewaterhouseCoopers LLP for tax compliance, tax advice and tax planning. The tax services provided by PricewaterhouseCoopers LLP relate to the review of the Registrant’s federal and state income tax returns, excise tax calculations and the completion of an international taxation review. |
| (d) | All Other Fees: These fees relate to products and services provided by PricewaterhouseCoopers LLP other than those reported under “Audit Fees,” “Audit-Related Fees,” and “Tax Fees” above. |
| (e) | Audit Committee Pre-approval Policies and Procedures: |
| | (i) | Per Rule 2-01(c)(7)(A) and the charter of the Registrant’s Audit Committee, the Audit Committee approves and recommends the principal accountant for the Registrant, pre-approves (i) the principal accountant’s provision of all audit and permissible non-audit services to the Registrant (including the fees and other compensation to be paid to the principal accountant), and (ii) the principal accountant’s provision of any permissible non-audit services to the Registrant’s investment adviser (the “Adviser”), sub-adviser or any entity controlling, controlled by, or under common control with any investment adviser or sub-adviser, if the engagement relates directly to the operations of the financial reporting of the Trust. |
| | (ii) | 100% of services described in each of Items 4(b) through (d) were approved by the Audit Committee pursuant to paragraph (c)(7)(A) of Rule 2-01 of Regulation S-X. |
| (f) | Less than 50% of the hours expended on the principal accountant’s engagement to audit Registrant’s financial statements were attributed to work performed by persons other than the accountant’s full-time, permanent employees. |
| (g) | Disclose the aggregate non-audit fees billed by the Registrant’s accountant for services rendered to the Registrant, and rendered to the Registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the Registrant for the fiscal years ended September 30, 2016 and September 30, 2017: $900 and $900, respectively. |
Item 5. Audit Committee of Listed Registrants.
| (a) | The Registrant is an issuer as defined in Section 10A-3 of the Securities Exchange Act of 1934 and has a separately-designated standing Audit Committee in accordance with Section 3(a)(58)(A) of such Act. All of the Board’s independent Trustees, Timothy K. Armour, William L. Atwell, Gregg D. Behrens, L. Joe Moravy, Brian S. Posner and Mark Zurack, are members of Audit Committee. |
Item 6. Investments
| (a) | Schedule is included as part of the report to shareholders filed under Item 1 of this Form. |
| (b) | The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
| (a) | The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
| (b) | There have not been any changes in registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the last fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 12. Exhibits.
| (a)(1) | The code of ethics that is the subject of the disclosure required by Item 2 is attached hereto. |
| (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 |
| December 1, 2017 |
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 |
| December 1, 2017 |
| | |
| By: /s/ Heather Bonner |
| Heather Bonner, |
| Principal Financial Officer |
| December 1, 2017 |
