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: December 31
Date of reporting period: January 1, 2017 to December 31, 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
December 31, 2017
AQR Alternative Risk Premia Fund
AQR Diversified Arbitrage Fund
AQR Equity Market Neutral Fund
AQR Global Macro Fund
AQR Long-Short Equity Fund
AQR Multi-Strategy Alternative Fund
AQR Risk-Balanced Commodities Strategy Fund
AQR Risk Parity Fund
AQR Risk Parity II HV Fund
AQR Risk Parity II MV Fund
AQR Style Premia Alternative Fund
AQR Style Premia Alternative LV Fund
Table of Contents
Shareholder Letter (Unaudited)
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| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
Ronen Israel
Principal
Yao Hua Ooi
Principal
Dear Shareholder:
The AQR Alternative Risk Premia Fund (the “Fund”) Class I Shares returned +0.10% since its inception on September 19, 2017. The BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM, which is the Fund’s benchmark returned +0.32% over that same period.
The Fund invests in different asset groups, including derivatives such as futures and swaps: equities of major developed markets, country specific equity indices, bonds, and currencies. The Fund employs market-neutral and long-short strategies across these asset groups based on six investment styles:
Value – the tendency for cheap assets to outperform expensive ones
Momentum – the tendency for an asset’s recent relative performance to continue in the future
Carry – the tendency for higher-yielding assets to provide higher returns than lower-yielding assets
Defensive – the tendency for lower-risk and higher-quality assets to generate higher risk-adjusted returns
Trend – the tendency for an asset’s recent performance to continue in the future
Volatility – the tendency for options to be richly priced
The Fund gained, despite four of the six styles detracting. These gains were primarily driven by Defensive themes but Volatility strategies also contributed. Of the four styles that detracted, Carry was the largest due to currencies and fixed income trading. Value gains in currencies were offset by losses in Momentum while the opposite was true for fixed income. Trend gained from long positioning in equity index markets but reversals in currencies offset these gains, influenced by long positioning in the Canadian and Australian dollars, among others. From an asset group perspective, gains were led by equity indices and stocks and industries while currencies and fixed income detracted.
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AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2017 AQR ALTERNATIVE RISK PREMIA FUND | |
| | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QRPIX | | | 0.10% | | | | 9/19/2017 | |
| Fund - Class N: QRPNX | | | 0.10% | | | | 9/19/2017 | |
| Fund - Class R6: QRPRX | | | 0.20% | | | | 9/19/2017 | |
| | |
| BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM | | | 0.32% | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 2.58%, 2.83% and 2.48%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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2
Shareholder Letter (Unaudited)
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| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
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AQR ALTERNATIVE RISK PREMIA FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEXSM VALUE OF $10,000 INVESTED ON 09/19/2017 |
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 | | | | | | December 2017 | | |
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3
Shareholder Letter (Unaudited)
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| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
Jacques Friedman
Principal
Ronen Israel
Principal
Mark Mitchell Ph.D.
Founding Principal, CNH Partners
Todd Pulvino, Ph.D.
Founding Principal, CNH Partners
Dear Shareholder:
The AQR Diversified Arbitrage Fund (the “Fund”) invests in arbitrage strategies, including merger arbitrage and convertible arbitrage, and event-driven strategies. The investment process seeks to efficiently capture a liquidity premium around corporate control and capital raising events by maintaining a diversified portfolio of corporate securities. Over the 2017 calendar year, the Fund’s Class I shares returned +5.92%, with all three core strategies contributing positive returns for the year. As described below, the event-driven strategy contributed the most, followed by merger arbitrage and convertible arbitrage.
Since its inception on January 15, 2009, the Fund’s correlation with overall equity and credit markets remains low. Based on monthly returns since inception through December 31, 2017, the Fund’s equity market beta (relative to the S&P 500 Total Return Index®) is 0.1, its annualized volatility is 2.9% and its Sharpe ratio is 0.8.
Fund Description
Unlike textbook arbitrage that requires no capital and where identical securities can simultaneously be bought and sold for different prices, corporate arbitrage investments require significant capital and involves the purchase and sale of related but not identical securities at advantageous prices. For example, in merger arbitrage, the target stock can often be purchased for a price that is less than the merger consideration offered by the acquiring company. Arbitrageurs attempt to capture this difference by buying the target stock, and in the case of a stock merger, short-selling the acquirer’s stock. Similarly, in the case of convertible arbitrage, investors typically purchase a convertible bond at a price below fundamental value and hedge the risk of the underlying equity call option that is embedded in the bond by short selling the issuer’s common stock. Arbitrageurs generally profit when the prices of securities purchased increase relative to their fundamental values.
Like merger arbitrage and convertible arbitrage, the event-driven strategies employed by the Fund involve the purchase of securities around corporate events at discounts to their fundamental values. For every investment, an attempt is made to hedge the embedded systematic risk. Where there is no direct hedge for a purchased security, correlated indirect hedges are employed. For example, systematic equity market risk is hedged by shorting S&P 500 futures. Similarly, for example, credit and interest rate risks are hedged using derivative contracts (credit default swap indices and Treasury futures). Although indirect hedges effectively mitigate systematic risk (e.g. beta) on average, they expose the Fund to basis risk – the basket of securities purchased around corporate events does not necessarily move in lockstep with the hedging instruments.
Performance Attribution
Over a long horizon, we expect arbitrage returns to have a low correlation to equity and credit markets and exceed short-term Treasury bill performance by an average of 3% to 4%. In some years, as in 2014 and 2015, arbitrage investments will fail to reach this excess return expectation. In other years, as in 2016 and 2017, arbitrage strategies will generate returns that are greater than the long-run expected average. Since its inception in 2009, the Fund has averaged 2.3% above short-term Treasury bills1 annually, slightly below expectations for the long-term horizon. Albeit below expectations, the Fund’s performance is not surprising given the macro-economic distortions caused by record low interest rates since the financial crisis, including suppression of convertible bond issuance.
The Fund’s +5.9% return in 2017 resulted from contributions of +2.7% from event-driven investments, +1.8% from merger arbitrage, and +1.4% from convertible arbitrage. Within the event-driven strategy, all of the individual sub-strategies generated positive returns in 2017 with the exception of the stub sub-strategy. Stubs occur when a publicly-traded parent company owns a substantial stake in a publicly-traded subsidiary. At times the market value of the parent company trades at a discount to the observable sum of its parts (“SOTP”). The stub strategy attempts to capture
| 1 | The ICE Bank of America Merrill Lynch US 3-Month Treasury Bill Index |
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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4
Shareholder Letter (Unaudited)
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| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
this discount by buying shares of the parent company and selling short shares of the subsidiary, in hopes that the parent company will commence a corporate action (e.g. distribute its holdings in the subsidiary to parent company shareholders) thereby eliminating the discount. There is a risk that the perceived discount widens further or the timeline to capture the discount exceeds the investor’s time horizon. In 2017, losses in the stub sub-strategy were driven by a further widening of the discount of the Altaba traded price as compared to its SOTP value. As tax-reform uncertainty persisted through early 2017, investors questioned if the company would be able to implement a tax-efficient transaction to narrow the discount. Ultimately, following tax-reform in the fourth quarter, the discount to the SOTP contracted as the expected downside decreased commensurate with the drop in the corporate tax rate. Future catalysts that could further narrow the discount include, monetization of the Yahoo Japan stake, selling the intellectual property portfolio and a tri-party transaction with Alibaba.
The most profitable event-driven sub-strategy involves Special Purpose Acquisition Companies (“SPAC”). The SPACs contribution to the Fund’s return in 2017 was 2.52%, the vast majority of the 2.7% positive contribution from the even-driven investments. In a typical SPAC, the management team sells units, containing shares and warrants, to investors in an IPO and places proceeds from the sale into a trust account invested in Treasury bills. The management team then searches for an operating business to purchase using the IPO proceeds. Typically the management team has between 18 and 24 months to propose an acquisition to shareholders. If they fail, the trust account will be liquidated and the cash returned to shareholders. If the management team succeeds in finding a suitable business or asset to acquire, the shareholders either tender for their pro-rata portion of the trust or forfeit their rights to trust and accept shares in the new operating company. The option to tender for cash backed by Treasury bills in a trust account is the reason the SPAC strategy has very little downside risk. Yet shareholders retain upside potential via the warrants received in the IPO as well as the common stock should the management team propose a transaction that is favorably viewed by the market. The Fund’s strategy involves investing in SPACs in the IPO and either tendering the common shares for cash or selling the shares in the market when a transaction is proposed. Warrants obtained in the IPO are typically retained and generate significant profits when SPAC transactions are consummated. The Fund’s performance in the SPAC strategy was driven by 21 announced and 13 successfully completed acquirer transactions during 2017. New issuance for SPACs in 2017 was the most active since 2007 with 34 SPACs issued raising a combined $10 billion of capital. To put this in perspective, the second busiest year since 2007 was 2015 when 20 new SPACs raised $3.9 billion.
Merger arbitrage contributed +1.8% to the Fund’s returns in 2017. The largest individual contributor was Straight Path Communications (“Straight Path”) which contributed nearly 0.4% to the Fund’s 2017 return. Straight Path was the target of competing bids from AT&T and Verizon, and this resulted in the initial buyout offer of $95.63 being ultimately increased to $184.00 per Straight Path share. Other positive returns came from activists pushing for increased offers (e.g. Private Bancorp, Inc. and NXP Semiconductor) and from the majority of mergers in the portfolio being consummated as planned. These positive developments outweighed negative outcomes in the merger portfolio.
As in years past, regulatory action continued to be the primary source of merger failure, and therefore losses, in 2017. While the Trump administration was believed to be friendlier to business than the prior administration, the regulatory environment remained challenging in 2017 with the government taking steps to block a number of transactions. In the first quarter, two transformative transactions in the managed care space were abandoned following rulings from the United States District Court for the District of Columbia. The court blocked the mergers between Cigna Corporation and Anthem, Inc., and Humana, Inc. and Aetna, Inc., enforcing actions brought by the Department of Justice at the tail end of the Obama administration. Additionally in June, Rite Aid Corporation and Walgreens Boots Alliance, Inc. terminated their merger agreement sighting feedback from the Federal Trade Commission (“FTC”) that the parties would not be able to obtain FTC clearance to consummate the merger. In the fourth quarter, the Committee for Foreign Investment in the United Sates (“CFIUS”) came into focus as President Trump blocked the merger between Lattice Semiconductor Corp and Canyon Bridge Capital Partners, Inc., a private equity firm backed by Chinese investors, following a CFIUS recommendation to the president that the deal should not be allowed to proceed. This marked just the fourth time a sitting president made an executive order based on a CFIUS recommendation.
In addition to regulatory action, another source of failure that emerged in the 4th quarter involved acquirer shareholders pushing companies to abandon their planned acquisitions. There were five such campaigns waged in 2017, as acquirer shareholders questioned the merits of transactions that they believed offered little long-term value to shareholders. Of the five campaigns in 2017, two ultimately succeeded in getting companies to abandon their planned transactions, with Huntsman Corporation and Clariant AG walking away from their planned merger of equals, and SandRidge Energy Inc. abandoning its planned purchase of Bonanza Creek Energy Inc. In both situations, the companies said that it became clear they did not have the requisite shareholder support and would not be able to meet the voting conditions required under the merger agreement.
Despite these challenges, the investment environment for the merger arbitrage strategy remains promising. The median annualized spread exhibited little volatility in 2017, beginning the year at 3.2% and finishing the year at 3.8% with an intra-year peak of 5.5%. While stability in the median spread masked the idiosyncratic volatility mentioned above, it is reflective of
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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5
Shareholder Letter (Unaudited)
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| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
an environment where the failure rate is lower than the long-term historical average (2.5% vs. 4.2%). Merger deal flow remained robust in 2017, despite continuing to taper off from record deal flow witnessed in 2015. The fourth quarter saw an uptick in deal flow driven by the announcement of three “Mega-Mergers” (deals over $50B), which gives optimism for the potential investment landscape in 2018.
Convertible arbitrage contributed +1.4% to the Fund’s 2017 return. This positive return was driven primarily by a decrease in the discount between market price and theoretical value (“richening”) in the convertible bond market. At the beginning of 2017, the discount was approximately 0.1%. This discount disappeared at the beginning of the year and turned into a premium that persisted throughout the duration of 2017, finishing the year with the median market price exceeding the theoretical value by 1.0%. Positive returns generated by overall market richening were complimented by an absence of bankruptcies in the convertible portfolio throughout the year.
Although the current median cheapness is approximately -1% (“rich”) this does not mean the market is devoid of attractive opportunities. One reason for these opportunities is that cross-sectional dispersion exists in the marketplace. The second reason is model related; convertible bond models used to calculate theoretical values do not account for outcomes that are not specified in a bond’s indenture. For example, issuers of convertible bonds sometimes enter the market to retire existing bonds and may also issue new bonds in conjunction with the transaction. A company’s motivation to enter into transactions like these varies but is usually linked to reducing debt, lowering coupon payments, extending debt maturities, or increasing the conversion price of their convertible bonds. A company’s need to change its capital structure makes it a liquidity demander and allows bondholders to charge a premium for their participation in a transaction. The Fund participated in three such transactions in 2017, each of which generated returns in excess of those predicted by theoretical valuation models.
New issuance in the convertible market during the majority of 2017 was encouraging. As the Federal Reserve increased the federal funds rate at the end of 2016, and twice more in the first half of 2017, the convertible market saw strong new issuance with the domestic market growing by $10b during the first three quarters of the year. However, low issuance in the fourth quarter coupled with considerable maturities and redemptions erased those gains and the size of the domestic convertible market ended 2017 flat. However, if interest rates continue to increase, cash coupon rates required to issue non-convertible debt will increase, and it is anticipated that this will strengthen the incentive for companies to instead issue convertible bonds.
Looking Forward
2017 was another above average year for corporate arbitrage strategies, and while future returns are not expected to repeat 2016 and 2017 performance, we believe the overall environment remains conducive to positive returns. We are encouraged by new issuance in the convertible market during the majority of 2017 and are optimistic that a robust new issuance calendar will continue into 2018. Although the median bond in the convertible market remains rich, there are still attractive opportunities and the Fund is well positioned to increase exposure if the convertible market cheapens, or if activity in the new issue market returns to levels experienced throughout most of 2017. Even though merger arbitrage spreads are slightly below average, we are optimistic about the potential opportunity set in 2018. Following clarity around tax reform in the fourth quarter of 2017 we saw an increase in deal flow driven by the return of so-called Mega Mergers, and we are hopeful that the robust deal flow will continue. We are cognizant of the residual CFIUS risks that remain in a subset of deals, and have actively managed this risk by limiting our cumulative exposure to these transactions. In the event-driven strategies, we believe opportunities will continue to persist and that 2018 will see a continuation of the strong SPAC issuance experienced in 2017. With the uncertainty of tax reform no longer weighing on the minds of corporate boards we believe 2018 will bring more corporate control and capital raising events. Irrespective of where the Fund deploys capital in 2018, we will continue to hedge systematic equity, credit, and interest rate market risks, with the intention of delivering uncorrelated excess returns.2
| 2 | Note that the Fund uses various derivatives instruments (e.g., futures, options, forwards, and swaps), primarily to hedge systematic risks including credit risk and interest rate risk. While the purpose of employing derivatives instruments is to decrease the Fund’s overall risk, hedging instruments are imperfect tools and their effectiveness depends on the degree of price correlation between the derivative instruments and the assets being hedged. Imperfect correlation may be caused by several factors, including temporary price disparities between derivative markets and markets for the underlying assets. |
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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6
Shareholder Letter (Unaudited)
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| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
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AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2017
AQR DIVERSIFIED ARBITRAGE FUND | | | | | | | | | | | | | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: ADAIX | | | 5.92% | | | | 2.74% | | | | 0.93% | | | | 2.50% | | | | 1/15/2009 | |
| Fund - Class N: ADANX | | | 5.58% | | | | 2.46% | | | | 0.66% | | | | 2.22% | | | | 1/15/2009 | |
| Fund - Class R6: QDARX | | | 6.02% | | | | 2.82% | | | | na | | | | 0.69% | | | | 9/02/2014 | |
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| BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM | | | 0.86% | | | | | | | | | | | | | | | | | |
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 2.49% 2.74% and 2.40%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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AQR DIVERSIFIED ARBITRAGE FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEXSM
VALUE OF $10,000 INVESTED ON 01/15/2009 |
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.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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7
Shareholder Letter (Unaudited)
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| AQR EQUITY MARKET NEUTRAL FUND | | | | |
Michele Aghassi
Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Dear Shareholders:
The AQR Equity Market Neutral Fund (the “Fund”) seeks to provide investors with returns from potential gains of its long and short equity positions. The Fund is designed to be market- or beta-neutral, meaning the Fund seeks to achieve returns that are not closely correlated with the returns of the equity markets in which the Fund invests. Accordingly, the Fund, on average, intends to target a portfolio beta of zero over a normal business cycle.
Since the Fund targets a beta of zero, an appropriate benchmark is U.S. cash returns, which remain at relatively low levels. In 2017, the Fund handily outperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM, its benchmark, with the Class I shares returning 5.84% versus the benchmark return of 0.86% during this period.
Fund returns were driven by the strong performance of our momentum, investor sentiment, and quality investment themes. In contrast, our valuation theme underperformed in 2017. Geographically, stocks in the U.S. contributed the most to overall returns, while stock selection in Denmark and France detracted most from returns. At the sector level, the stock selection strategy worked best in consumer discretionaries in 2017.
The Fund ended the year with a highly diversified stock portfolio of 683 long positions and 652 short positions, including its long/short equity positions within Total Return Basket Swaps. Securities remained globally diversified with nearly 40% of the Fund invested outside of the U.S. The Fund does take small industry views. As of the end of the year, our largest sector overweight was in industrials, while our largest underweight was in energy.
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AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2017
AQR EQUITY MARKET NEUTRAL FUND | | | | |
| | | 1 Year | | | 3 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QMNIX | | | 5.84% | | | | 9.63% | | | | 10.86% | | | | 10/7/2014 | |
| Fund - Class N: QMNNX | | | 5.56% | | | | 9.33% | | | | 10.56% | | | | 10/7/2014 | |
| Fund - Class R6: QMNRX | | | 5.91% | | | | 9.68% | | | | 10.91% | | | | 10/7/2014 | |
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| BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM | | | 0.86% | | | | | | | | | | | | | |
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 2.24% 2.51% and 2.16%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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8
Shareholder Letter (Unaudited)
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| AQR EQUITY MARKET NEUTRAL FUND | | | | |
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AQR EQUITY MARKET NEUTRAL FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEXSM
VALUE OF $10,000 INVESTED ON 10/07/2014 |
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.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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9
Shareholder Letter (Unaudited)
John Liew
Founding Principal
Michael Katz
Principal
Jordan Brooks
Managing Director
David Kupersmith
Principal
Dear Shareholders:
The AQR Global Macro Fund (the “Fund”) invests across a wide range of asset classes, including fixed income, currencies, commodities and equities. Within each asset class, the Fund takes both relative value and directional positions. The strategy seeks to be long-term market-neutral, but can take directional views over the short- term. The targeted annualized volatility for the Fund is 10%, on average, which varies modestly over time based on attractiveness of opportunities within the different asset classes that the Fund trades. The Fund’s strategy trades predominately on macroeconomic news and trends, using a systematic, bottom-up approach that integrates both quantitative and discretionary trading signals.
Our investment philosophy is rooted in the insight that financial markets tend to underreact to macroeconomic news. This implies that macroeconomic news tends to have a persistent effect on asset prices. Our strategy seeks to take advantage of this tendency by investing across liquid markets on the basis of macroeconomic news and trends, an investment approach we call macro momentum. We form macro momentum views by evaluating both quantitative and discretionary indicators across a variety of dimensions, from growth and inflation to monetary policy and international trade. By integrating both quantitative and discretionary indicators of macro momentum in a bottom-up, risk-controlled portfolio construction, we capture the best features of both approaches while maintaining the benefits of a systematic and disciplined process.
Macro momentum is at the core of our investment philosophy and we also consider price momentum, value and carry indicators. This multifactor approach provides a more holistic picture of each asset’s attractiveness than trading on macro momentum alone. Macro momentum tends to drive asset positioning (long or short) in our portfolio, however the degree of agreement between macro momentum, on the one hand, and price momentum, value and carry, on the other, determines ultimate position sizing. The bottom-up portfolio construction – in which we evaluate the attractiveness of each asset across a large number of dimensions – allows us to build a highly diversified portfolio that does not depend on a few “best ideas.”
The Fund’s benchmark, the BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM, was up +0.86% over the course of 2017. The Fund underperformed this benchmark, with the Class I shares losing -3.38% net of fees on the year. The Fund saw losses in equities (developed equity markets down -2.19% and emerging equity markets down -0.30%), currencies (developed currencies down -1.23% and emerging currencies down -0.04%) and commodities (down -0.32%). The Fund experienced gains in fixed income (developed interest rates up +2.20%, although somewhat offset by developed bond markets which was down -1.10% and yield curve which was down -0.40%).
Developed and emerging equity markets performed well in 2017. Widespread and consistent market performance can largely be attributed to positive developments across much of the global economy. According to the IMF’s most recent World Economic Outlook forecasts, global Gross Domestic Product (“GDP”) likely expanded by more than 3.6% in 2017, up from a post-financial crisis low of 3.2% in 20161 and a modest positive surprise relative to the IMF’s year earlier forecast of 3.4%.2 Should this forecast prove correct, 2017 would be the strongest year for the world economy since 2011.3 Furthermore, the strengthening global expansion in 2017 was unusually consistent across countries. Of the 193 countries covered by IMF forecasts, 62% were expected to show stronger growth in 2017 than the year before, a breadth of acceleration only exceeded in recent decades by years such as 1984, 2004, and 2010, all of which occurred near the start of expansions following major global downturns. In addition to boosting equity prices, strong global growth aided commodity prices higher as well, benefitting several emerging equity markets. Crude oil prices recovered to their strongest levels since late 2014, while industrial metals such as aluminum, copper, and zinc rallied significantly.4
| 1 | MF World Economic Outlook Database, October 2017. |
| 2 | The positive surprise was even more evident in private sector forecasts. The median forecast for 2017 global growth among economists polled by Bloomberg survey of economists was revised from 3.2% at the start of the year to 3.6% at the end of the year. |
| 3 | 2017 figures still contain some uncertainty, as data is still incomplete for the final months of the year. |
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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10
Shareholder Letter (Unaudited)
Growth expectations and market sentiment received a further boost late in the year from passage of a major tax bill in the United States. The odds of passing a tax bill had seemed to decline following failed efforts to pass healthcare legislation in the third quarter. However, congressional Republicans were able to marshal an aggressive legislative push in December, and a significant re-write of the U.S. tax code reached President Trump’s desk before the end of the year. The bill included a large reduction in U.S. corporate tax rates, which should boost earnings for many companies. A provision allowing for immediate expensing for purchases of equipment may incentivize increased capital expenditures. The legislation also lowered income taxes for a large share of households, potentially supporting stronger consumer spending. Despite the positive risk sentiment and a Federal Reserve that hiked its key policy rates three times over the year, bond prices remained relatively range bound, with bearish developments countered by lower than expected inflation data in the U.S. and continued concerns over longer term growth prospects.
Developed Equity Markets
The developed equity markets strategy was the largest detractor, with losses concentrated in relative value views. A long U.K. equities position during the first and second quarters and a long Euro Stoxx 50 position during the fourth quarter led to losses. The long U.K. equities position was based on currency depreciation, positive growth surprises and positive price momentum. The Fund’s position performed poorly as U.K. equities were weighed down by a stronger pound.5 The long Euro Stoxx 50 position was driven by positive growth forecast revisions and surprises, monetary policy factors and attractive value. The Fund’s position performed poorly, as a stronger euro weighed on export prospects and political uncertainty increased in Spain, Germany and Italy.
Developed Currencies
The developed currency strategy detracted, with losses concentrated in the second and fourth quarters. A long position in the Japanese yen during the second quarter led to losses. The long position was supported by positive GDP forecast revisions, positive earnings revisions and attractive value. The yen underperformed the traded cross section, with losses concentrated in June, as developed market interest rates rose sharply, repricing interest differentials to the disadvantage of the Japanese currency. Over the fourth quarter, U.S. dollar positioning, which started the quarter short and ended long, performed poorly. Heading into the fourth quarter, the short position was driven by negative economic data surprises, negative price momentum and unattractive carry. By the end of the quarter, economic data surprises and carry turned more positive, aiding bullish positioning. The U.S. dollar rallied in October, benefiting from stronger than expected durable goods and GDP data, but then reversed course in November and December. The U.S. dollar sold off in November as the probability of a hawkish new Chair at the Fed was fully priced out following Jerome Powell’s nomination.
Developed Bond Markets
The Fund’s developed bond markets strategy also led to losses. A relative value long position in U.S. Treasuries in October and a long position in German bunds in December performed poorly. The long U.S. Treasury position was based on downside inflation surprises and revisions, downside growth surprises and unattractive carry and value relative to the traded cross section. U.S. Treasuries underperformed in October as growth data was better than expected and expectations for tax reform increased. The long German bunds position was based on bullish monetary policy factors, equity market underperformance, positive price momentum and attractive carry. German bunds underperformed in December as the EU continued to post strong growth data and maintained PMIs near all-time highs.
Developed Interest Rates
The Fund’s developed interest rates strategy was the largest contributor. Gains were seen in both relative value and directional views, with larger positive returns seen in a short U.S. interest rate swaps position in the third and fourth quarters and a short U.K. interest rate swaps position during the first three quarters of the year. The short U.S. interest rate swaps position was driven by currency depreciation, positive equity market performance, monetary policy factors and negative price momentum. The Fund’s position performed well, as the Fed was more hawkish than expected at its monetary policy meeting in September, growth data was better than expected and the Tax Cuts and Jobs Act was signed into law in December. The short U.K. interest rate swaps position was based on currency depreciation, positive equity market performance and unattractive value and carry. The Fund’s position performed well with U.K. interest rate swaps underperforming over the first three quarters as the Bank of England was more hawkish than expected, signaling that a rate hike was likely needed soon. The Bank of England went on to hike its key policy rate in November.
| 5 | A strong pound reduces the value of earnings from outside the U.K., which are significant for many companies in the FTSE 100. |
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
11
Shareholder Letter (Unaudited)
| | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2017
AQR GLOBAL MACRO FUND | | | | | | | | | | | | |
| | | 1 Year | | | 3 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QGMIX | | | -3.38% | | | | -0.57% | | | | -0.57% | | | | 4/8/2014 | |
| Fund - Class N: QGMNX | | | -3.67% | | | | -0.84% | | | | -0.84% | | | | 4/8/2014 | |
| Fund - Class R6: QGMRX | | | -3.41% | | | | -0.54% | | | | 0.24% | | | | 9/2/2014 | |
| | | | |
| BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM | | | 0.86% | | | | | | | | | | | | | |
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 2.03% 2.22% and 2.00%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | |
AQR GLOBAL MACRO FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEXSM
VALUE OF $10,000 INVESTED ON 04/08/2014 |
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.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
12
Shareholder Letter (Unaudited)
| | | | |
| AQR LONG-SHORT EQUITY FUND | | | | |
Michele Aghassi
Principal
Andrea Frazzini
Principal
Jacques Friedman
Principal
Hoon Kim
Principal
Dear Shareholder:
The AQR Long-Short Equity Fund (the “Fund”) seeks to provide higher risk-adjusted returns with lower volatility relative to global equity markets. It does so using three different sources of return: 1) the potential gains from its long and short equity positions, 2) overall exposure to equity markets, and 3) the tactical variation of its net exposure to equity markets. The strategy primarily seeks to add alpha via its long/short (market-neutral) stock portfolio. It also manages its beta relative to the MSCI World Index** (“MSCI World”) to a long-term target of 0.5, and within a shorter-term range of 0.3 to 0.7, depending on our market views.
Both the long-short stock selection and the Fund’s overall exposure to global developed equity markets performed positively in 2017, with Class I returning 15.73% net of fees. The Fund’s custom benchmark (50% MSCI World + 50% BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM) delivered a more modest return of 11.16% over this period. As such, the Fund outperformed its benchmark.
The stock selection strategy contributed to the majority of the outperformance and returned 6.80% (gross of fees) for the year. Returns were driven by the strong performance of our momentum, investor sentiment, and quality investment themes. In contrast, our valuation theme underperformed. Geographically, stocks in the U.S. contributed the most to overall returns, while French stocks detracted the most from performance. At the sector level, the stock selection strategy worked best in consumer discretionary sector.
The Fund also benefited from its static long-term beta exposure of 0.5 to the MSCI World, given this index’s positive performance in 2017. However, our tactical market exposure (the desired deviation from a beta of 0.5) modestly detracted from performance.
The Fund ended the year with a highly diversified stock portfolio of 673 long positions and 665 short positions. Securities remained globally diversified, with nearly 40% of the Fund invested outside of the U.S. The stock selection strategy does take small industry views. As of the end of the year, our largest sector net long position was in industrials, while our largest net short position was in energy.
Our tactical market view was negative at the end of the year and as a consequence, our ex-ante beta to the MSCI World was 0.40, below our static long-term beta exposure of 0.5.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
13
Shareholder Letter (Unaudited)
| | | | |
| AQR LONG-SHORT EQUITY FUND | | | | |
| | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2017
AQR LONG-SHORT EQUITY FUND | | | | | | | | | | | | |
| | | 1 Year | | | 3 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QLEIX | | | 15.73% | | | | 14.59% | | | | 15.78% | | | | 7/16/2013 | |
| Fund - Class N: QLENX | | | 15.47% | | | | 14.32% | | | | 15.49% | | | | 7/16/2013 | |
| Fund - Class R6: QLERX | | | 15.86%* | | | | 14.72% | | | | 15.23% | | | | 9/02/2014 | |
| | | | |
| 50% MSCI World Index**/50% BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM | | | 11.16% | | | | | | | | | | | | | |
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 2.09% 2.35% and 2.00%, 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 12/31/2017 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. |
| | | | |
AQR LONG-SHORT EQUITY FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEXSM
VALUE OF $10,000 INVESTED ON 07/16/2013 |
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 | | | | | | December 2017 | | |
| | | | | | | | | | |
14
Shareholder Letter (Unaudited)
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
Jacques Friedman
Principal
Ronen Israel
Principal
Michael Katz
Principal
John Liew
Founding Principal
Mark Mitchell, Ph.D.
Founding Principal, CNH Partners
Todd Pulvino, Ph.D.
Founding Principal, CNH Partners
Dear Shareholder:
The AQR Multi-Strategy Alternative Fund (the “Fund”) Class I shares returned +3.10% in 2017. For the year ended December 31,2017, the Fund realized +5.0% annualized daily volatility and a +0.3 correlation to equities. The BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM, which is the fund’s benchmark, returned+0.86% over this period. The hedge fund industry, as represented by the Credit Suisse Hedge Fund IndexSM (“CS Index”) and the HFRITM Fund Weighted Composite Index (“HFRI Index”) gained 7.12% and +8.54%, respectively, net of fees for the year. These indices have had correlations to global equities, as represented by the MSCI World Index**, of +0.7 and +0.9, respectively, over the past 24 months, which is quite similar to longer-term correlations, and, as such, this would indicate that much of their gains in 2017 were a function of passive equity exposure rather than more diversifying sources of gains.
Six of the Fund’s nine strategies had positive results for the year. The stock selection strategies, in aggregate, were the largest source of profits as each contributed positively. The arbitrage strategy group also contributed positively, while macro strategies detracted.
Following is a more detailed review of the three strategy groups:
Stock Selection Strategies – Long/Short Equity (+4.1%), Equity Market Neutral (+0.6%) and Dedicated Short Bias (+0.2%) all contributed positively. The net effect of the directional components of Long/Short Equity and Dedicated Short Bias contributed positively (+0.6%) as Long/Short Equity, through a dynamic timing sub-strategy, was overweight long market exposure. The remaining stock selection gains were generated by market-neutral themes executed within each of the three strategies. Among these underlying themes, the largest contributors came from momentum, low risk, and investor sentiment themes, while valuation themes generated losses.
Arbitrage Strategies – Both Event Driven (+0.7%) and Convertible Arbitrage (+0.7%) contributed to performance this year. Gains from merger arbitrage were not concentrated in any particular deal, but were rather widespread. The strategy was also helped by a benign rate of adverse deal terminations, although one deal, Rite Aid/Walgreens, had a more unfavorable impact than others. Gains in Convertible Arbitrage were similarly broad-based and were supported by a general richening of convertible securities relative to their fair value.
Macro Strategies – As a group, macro strategies generated negative returns as three of the four strategies in the group detracted. Global Macro was the largest source of losses (-2.1%) through difficult performance in both relative value equity index sub-strategies: one a global across-country sub-strategy and the other a within-country sub-strategy. Currencies also detracted but to a lesser degree. Partially offsetting gains were generated in the relative-value commodities and equity index directional timing sub-strategies. Managed Futures (-0.9%) also detracted with three of the four asset classes experiencing reversals over the course of the year and Fixed Income Relative Value (-0.5%) detracted as well due largely to its rates-based currency and relative value 10-year government bond sub-strategies. Emerging Markets (+0.4%) gained on both directional and relative value trading in emerging equity index strategies.
| ** | 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 | | | | | | December 2017 | | |
| | | | | | | | | | |
15
Shareholder Letter (Unaudited)
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2017
AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | | | | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: ASAIX | | | 3.10% | | | | 3.98% | | | | 4.73% | | | | 3.60% | | | | 7/18/2011 | |
| Fund - Class N: ASANX | | | 2.73%* | | | | 3.71% | | | | 4.45% | | | | 3.34% | | | | 7/18/2011 | |
| Fund - Class R6: QSARX | | | 3.19% | | | | 4.07% | | | | na | | | | 5.58% | | | | 9/02/2014 | |
| | | | | |
| BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM | | | 0.86% | | | | | | | | | | | | | | | | | |
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 2.56% 2.82% and 2.47%, 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 12/31/2017 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. |
| | | | |
AQR MULTI-STRATEGY ALTERNATIVE FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEXSM
VALUE OF $10,000 INVESTED ON 07/18/2011 |
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 | | | | | | December 2017 | | |
| | | | | | | | | | |
16
Shareholder Letter (Unaudited)
| | | | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | | | | |
Brian Hurst
Principal
Ari Levine
Principal
Yao Hua Ooi
Principal
Dear Shareholder:
The AQR Risk-Balanced Commodities Strategy Fund (the “Fund”) Class I shares returned 10.41% in 2017, as rallies in base metals, the petroleum complex, and precious metals offset declines in agricultural commodities and softs. Base metals broadly rose with aluminum and copper leading the rally. The sector benefited from strong Chinese economic growth data. With the exceptions of natural gas, energies broadly rose in the year on Organization of the Petroleum Exporting Countries (OPEC) extending supply cuts through 2018 and stock draws. Distillates also rose through the year on larger than expected draws on strong industrial demand. Agriculturals fell on favorable global growing conditions. Softs broadly fell through 2017 on weaker than expected fundamentals in sugar, coffee, and cocoa.
While the Class I shares were up 10.41% in 2017, the Fund’s benchmark, the Bloomberg Commodity Index Total Return (“BCOM”) was up 1.7%, for an outperformance of 8.7% to the benchmark. This brings our three-year outperformance to 6.2% annualized, and our since inception outperformance to 2.1% annualized. Note that, while we use BCOM as a benchmark, we do not aim to replicate it. The Fund’s construction is sufficiently different that we would expect a difference in the performance of the Fund and this benchmark. Specifically, we expect the average magnitude of performance differences to be 10% per year on average, in either direction.
The outperformance in 2017 relative to the passive BCOM benchmark was due to a number of factors. The largest source of outperformance was the volatility targeting, since the Fund’s steady volatility target necessitated an average net exposure of greater than 100%. Differences in the allocations within the energies sector also contributed significantly to the outperformance. Holding deferred contracts also contributed to the outperformance.
The Fund began the year at a volatility target of 18.2% close to its 18% long run target. At year-end, the volatility target of the Fund was 15.1%.
The strategic portion of the portfolio returned 10.5%, while the return from tactical tilts was -0.1%. The strategic return in this attribution is the return to a long-only portfolio with risk-balanced sector weights and an annual volatility target of 18%. The tactical return is the return from the active views in the individual commodities and sectors. Negative returns from tactical tilts in agriculturals, precious metals and livestock were largely offset by positive tactical returns in base metals, energies and softs. At year-end, the Fund’s tactical positioning reflected a mostly bullish view on commodities, with a number of relative value views within and across sectors.
The Fund finished its fifth full year up 10.4% and outperformed the BCOM benchmark by 8.7%, with volatility targeting and within sector allocation as the main contributors. While short term results can be noisy, we believe the Fund’s broader diversification; strong risk management and active commodity selection can ultimately deliver more steady volatility and strong returns across market environments in the long term.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
17
Shareholder Letter (Unaudited)
| | | | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2017
AQR RISK-BALANCED COMMODITIES STRATEGY FUND | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: ARCIX | | | 10.41% | | | | 1.20% | | | | -6.03% | | | | -5.74% | | | | 7/9/2012 | |
| Fund - Class N: ARCNX | | | 10.20% | | | | 0.91% | | | | -6.28% | | | | -5.99% | | | | 7/9/2012 | |
| Fund - Class R6: QRCRX | | | 10.55% | | | | 1.26% | | | | na | | | | -4.97% | | | | 9/2/2014 | |
| | | | | |
| Bloomberg Commodity Index Total ReturnSM | | | 1.70% | | | | | | | | | | | | | | | | | |
Past performance does not guarantee future results. Investment results and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance data quoted. As of the latest prospectus, the gross expense ratio for the Fund’s Class I/N/R6 shares are 1.12% 1.41% and 1.06%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND VS. BLOOMBERG COMMODITY INDEX TOTAL RETURNSM
VALUE OF $10,000 INVESTED ON 07/09/2012 |
The chart above represents historical performance of a hypothetical investment of $10,000 in the Fund over the past ten years (or since inception if shorter). Performance data quoted represents past performance and does not guarantee future results. Returns shown are total returns, which assume the reinvestment of dividends and capital gains. The table and graph presented above do not reflect the deduction of taxes a shareholder would pay on fund distributions or the redemption of fund shares.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
18
Shareholder Letter (Unaudited)
John Liew
Founding Principal
Brian Hurst
Principal
Michael Mendelson
Principal
Yao Hua Ooi
Principal
John J. Huss
Principal
Dear Shareholder:
Through the use of securities and derivatives such as futures and swaps, the AQR Risk Parity Fund (the “Fund”) invests across a wide variety of global markets – including, during the period presented in this report, developed- and emerging-market equities, global developed nominal, emerging and developed government and inflation-linked government bonds, emerging market fixed-income, commodities, the credit spreads of corporate and sovereign debt and emerging market currencies – in an attempt to build a truly diversified portfolio where all markets matter, but no one market matters too much. Risk parity investing involves allocating to investments by risk, which means that instruments with less risk will generally be allocated more capital than instruments that are deemed riskier. As markets move through different risk regimes, the portfolio is dynamically adjusted with the goal of keeping overall portfolio risk and the balance of risk across asset classes fairly steady through time. We believe this leads to more consistent results, reduces tail risks, and enables the investor to remain invested through difficult market environments. In addition to adjusting position sizes to control for increasing or decreasing risk expectations, we also overlay modest asset tilts based on AQR’s proprietary expected-return models, which include signals based on carry, momentum, valuation, and other important economic variables. These tilts allow the portfolio to get over- and underweight a broad array of global markets. The ultimate goal is to build a portfolio that in the long run will deliver higher returns at a risk level similar to that of traditional portfolios by combining a better asset allocation with return-boosting tactical tilts.
The Fund is generally expected to remain long all of the markets in which it invests. The targeted annualized volatility for the Fund is 10%, on average, which varies over time based on our perceptions of tactical opportunities within the different asset classes it trades. The Fund started the year targeting a volatility level near its long-term average, as bullish views on equities and commodities were offset by bearish views on bonds. At the end of the year, the Fund had bullish views on equities, commodities, credit, and emerging currencies and bearish views on nominal and inflation-linked bonds. Despite being bullish most asset classes, the Fund’s exposure limits, designed to keep the fund from taking on too big of positions when volatility is forecasted to be very low, kept the Fund’s volatility target below its long-term average.
For the year ended December 31, 2017, the Fund’s Class I shares returned +16.36% and realized an annualized volatility of 6.8%. During this period, the Fund’s benchmark the BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM returned +0.86% and a “60/40 benchmark” consisting of 60% S&P 500 Index®/40% Barclays® U.S. Aggregate Bond Index returned +14.21% at an average realized volatility of 3.5%. The Fund’s net assets across all share classes were over $472 million at the end of 2017. The Fund experienced gains in all four major risk sources for the full year. To the net total return of +16.36% for 2017, equities contributed +8.6%, credit-related assets contributed +5.1%, inflation-sensitive assets contributed +2.4%, and fixed income contributed +0.2%. Tactical tilts contributed to performance with gains coming mostly from equities.
Equities contributed as developed and emerging equity markets rallied throughout the year on strong global growth data. U.S. equity markets outperformed on better-than-expected economic data as well as expectations, and ultimately the signing into law, of the Tax Cuts and Jobs Act, which will provide a meaningful cut to the corporate tax rate starting in 2018. Emerging equities outperformed developed, rallying on better-than-expected growth and economic data. Nominal bonds contributed over the year as carry and rolldown provided net gains as global yields were mostly unchanged on the year. Commodity markets rallied, led by gains in base metals, which rallied on supply curtailments and better-than-expected manufacturing data in China, and energies – oil prices ended 2017 at three-year highs. Inflation-linked bonds gained alongside nominals. Credit spreads contributed to performance, benefiting from strong growth, political stability, positive risk sentiment, and supportive central banks. Emerging currencies strengthen against the U.S. dollar as emerging countries generally experienced positive economic developments and less political uncertainty.
Tactical tilts in equities contributed to performance, driven mostly from sustained bullish trends and bullish timing views in both developed and emerging markets. Active views on nominal bonds detracted, as trends reversed and whipsawed throughout the year; bearish bond timing views also detracted as bonds gained on the year. Tactical tilts in commodities, credit spreads, and emerging
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
19
Shareholder Letter (Unaudited)
currencies added modestly to performance, while bearish views in inflation-linked bonds detracted slightly. Going forward, the portfolio is tactically underweight in fixed income and tactically overweight equities, inflation-sensitive assets, and credit-related assets. Total exposures ended the year higher than where they began, driven by decreased forecasted risk and less bearish tactical tilts in nominal bonds. All asset classes experienced increased year-over-year exposures.
As all major asset classes gained on the year, it is no surprise risk parity outperformed; years when everything goes up tend to be particularly fruitful for risk parity strategies. The greatest strength of risk parity is the limited, humble assumptions necessary to believe in the strategy. If you believe that taking market risk in the major asset classes is rewarded on average, that their risk-adjusted returns are more similar than they are different, and that they tend to pay off at somewhat different times, then the case for risk parity is a sound one. We remain confident that the diversification benefits of a risk parity approach provide a sound allocation for the wide variety of potential market environments we may face in the coming years.
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AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2017
AQR RISK PARITY FUND | | | | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: AQRIX | | | 16.36% | | | | 5.59% | | | | 4.76% | | | | 6.49% | | | | 9/29/2010 | |
| Fund - Class N: AQRNX | | | 16.13% | | | | 5.35% | | | | 4.47% | | | | 6.21% | | | | 9/29/2010 | |
| Fund - Class R6: AQRRX | | | 16.56% | | | | 5.68% | | | | na | | | | 3.84% | | | | 9/02/2014 | |
| | | | | |
| BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM | | | 0.86% | | | | | | | | | | | | | | | | | |
| | | | | |
| 60% S&P 500 Index®/40% Barclays® U.S. Aggregate Bond Index | | | 14.21% | | | | | | | | | | | | | | | | | |
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 1.01%, 1.28% and 0.95%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
20
Shareholder Letter (Unaudited)
| | | | |
AQR RISK PARITY FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEXSM/ 60% S&P 500®/
40% BARCLAYS® U.S. AGGREGATE BOND INDEX
VALUE OF $10,000 INVESTED ON 09/29/2010 |
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 | | | | | | December 2017 | | |
| | | | | | | | | | |
21
Shareholder Letter (Unaudited)
| | | | |
| AQR RISK PARITY II HV FUND | | | | |
John Liew
Founding Principal
Brian Hurst
Principal
Michael Mendelson
Principal
Yao Hua Ooi
Principal
John J. Huss
Dear Shareholder:
Through the use of securities and derivatives such as futures and swaps, the AQR Risk Parity II HV Fund (the “Fund”) invests across a wide variety of global markets – including, during the period presented in this report, global developed- and emerging-market equities, global nominal and inflation-linked government bonds, and commodities – in an attempt to build a truly diversified portfolio where all markets matter, but no one market matters too much. Risk parity investing involves allocating to investments by risk, which means that instruments with less risk will generally be allocated more capital than instruments that are deemed riskier. As markets move through different risk regimes, the portfolio is dynamically adjusted with the goal of keeping overall portfolio risk and the balance of risk across asset classes fairly steady through time. We believe this leads to more consistent results, reduces tail risks, and enables the investor to remain invested through difficult market environments. In addition to adjusting position sizes to control for increasing or decreasing risk expectations, we also overlay modest portfolio tilts based on AQR’s proprietary expected-return models, which include signals based on carry, momentum, valuation and other important economic variables. These tilts allow the portfolio to get over- and underweight a broad array of global markets. The ultimate goal is to build a portfolio that in the long run will deliver higher returns at a risk level similar to that of traditional portfolios by combining a better asset allocation with return-boosting tactical tilts.
The Fund is generally expected to remain long all of the markets in which it invests. The targeted annualized volatility for the Fund is 15%, on average, which varies over time based on our perceptions of tactical opportunities within the different asset classes it trades. The Fund started the year targeting a volatility level near its long-term average, as bullish views on equities and commodities were offset by bearish views on bonds. At the end of the year, the Fund had bullish views on equities and commodities and bearish views on nominal and inflation-linked bonds. Despite being bullish most asset classes, the Fund’s exposure limits, designed to keep the fund from taking on too big of positions when volatility is forecasted to be very low, kept the Fund’s volatility target below its long-term average.
For the year ended December 31, 2017, the Fund’s Class I shares returned +19.03% and realized an annualized volatility of 9.4%. During this period, the Fund’s benchmark the BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM returned +0.86% and a “60/40 benchmark” consisting of 60% S&P 500 Index®/40% Barclays® U.S. Aggregate Bond Index returned +14.21% at an average realized volatility of 3.5%. The Fund’s net assets across all share classes were over $55 million at the end of 2017. The Fund experienced gains in all three major risk sources for the full year. To the net total return of +19.03% for 2017, equities contributed +14.3%, inflation-sensitive assets contributed +4.5%, and fixed income contributed +0.2%. Tactical tilts contributed to performance with gains concentrated in equities.
Equities contributed as developed and emerging equity markets rallied throughout the year on strong global growth data. U.S. equity markets outperformed on better-than-expected economic data as well as expectations, and ultimately the signing into law, of the Tax Cuts and Jobs Act, which will provide a meaningful cut to the corporate tax rate starting in 2018. Emerging equities outperformed developed, rallying on better-than-expected growth and economic data. Nominal bonds contributed over the year as carry and rolldown provided net gains as global yields were mostly unchanged on the year. Commodity markets rallied, led by gains in base metals, which rallied on supply curtailments and better-than-expected manufacturing data in China, and energies – oil prices ended 2017 at three-year highs. Inflation-linked bonds gained alongside nominals.
Tactical tilts in equities contributed to performance, driven mostly from sustained bullish trends and bullish timing views in both developed and emerging markets. Active views on nominal bonds detracted, as trends reversed and whipsawed throughout the year; bearish bond timing views also detracted as bonds gained on the year. Tactical tilts in commodities added modestly to performance, while bearish views in inflation-linked bonds detracted slightly. Going forward, the portfolio is tactically underweight in fixed income and tactically overweight equities and commodities. Total exposures ended the year higher than where they began, driven by decreased forecasted risk and less bearish tactical tilts in nominal bonds. All asset classes experienced increased year-over-year exposures.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
22
Shareholder Letter (Unaudited)
| | | | |
| AQR RISK PARITY II HV FUND | | | | |
As all major asset classes gained on the year, it is no surprise risk parity outperformed; years when everything goes up tend to be particularly fruitful for risk parity strategies. The greatest strength of risk parity is the limited, humble assumptions necessary to believe in the strategy. If you believe that taking market risk in the major asset classes is rewarded on average, that their risk-adjusted returns are more similar than they are different, and that they tend to pay off at somewhat different times, then the case for risk parity is a sound one. We remain confident that the diversification benefits of a risk parity approach provide a sound allocation for the wide variety of potential market environments we may face in the coming years.
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2017
AQR RISK PARITY II HV FUND | |
| | | 1 Year | | | 3 Year | | | 5 year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QRHIX | | | 19.03% | | | | 5.18% | | | | 4.31% | | | | 4.67% | | | | 11/5/2012 | |
| Fund - Class N: QRHNX | | | 18.52% | | | | 4.80% | | | | 3.98% | | | | 4.34% | | | | 11/5/2012 | |
| Fund - Class R6: QRHRX | | | 19.17% | | | | 5.21% | | | | na | | | | 3.05% | | | | 9/2/2014 | |
| | | | | |
| BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM | | | 0.86% | | | | | | | | | | | | | | | | | |
| | | | | |
| 60% S&P 500 Index®/40% Barclays® U.S. Aggregate Bond Index | | | 14.21% | | | | | | | | | | | | | | | | | |
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 1.68%, 1.96% and 1.62%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
|
AQR RISK PARITY II HV FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEXSM/ 60% S&P 500®/
40% BARCLAYS® U.S. AGGREGATE BOND INDEX
VALUE OF $10,000 INVESTED ON 11/05/2012 |
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 | | | | | | December 2017 | | |
| | | | | | | | | | |
23
Shareholder Letter (Unaudited)
| | | | |
| AQR RISK PARITY II MV FUND | | | | |
John Liew
Founding Principal
Brian Hurst
Principal
Michael Mendelson
Principal
Yao Hua Ooi
Principal
John J. Huss
Dear Shareholder:
Through the use of securities and derivatives such as futures and swaps, the AQR Risk Parity II MV Fund (the “Fund”) invests across a wide variety of global markets – including, during the period presented in this report, global developed- and emerging-market equities, global nominal and inflation-linked government bonds, and commodities – in an attempt to build a truly diversified portfolio where all markets matter, but no one market matters too much. Risk parity investing involves allocating to investments by risk, which means that instruments with less risk will generally be allocated more capital than instruments that are deemed riskier. As markets move through different risk regimes, the portfolio is dynamically adjusted with the goal of keeping overall portfolio risk and the balance of risk across asset classes fairly steady through time. We believe this leads to more consistent results, reduces tail risks, and enables the investor to remain invested through difficult market environments. In addition to adjusting position sizes to control for increasing or decreasing risk expectations, we also overlay modest portfolio tilts based on AQR’s proprietary expected-return models, which include signals based on carry, momentum, valuation and other important economic variables. These tilts allow the portfolio to get over- and underweight a broad array of global markets. The ultimate goal is to build a portfolio that in the long run will deliver higher returns at a risk level similar to that of traditional portfolios by combining a better asset allocation with return-boosting tactical tilts.
The Fund is generally expected to remain long all of the markets in which it invests. The targeted annualized volatility for the Fund is 10%, on average, which varies over time based on our perceptions of tactical opportunities within the different asset classes it trades. The Fund started the year targeting a volatility level near its long-term average, as bullish views on equities and commodities were offset by bearish views on bonds. At the end of the year, the Fund had bullish views on equities and commodities and bearish views on nominal and inflation-linked bonds. Despite being bullish most asset classes, the Fund’s exposure limits, designed to keep the fund from taking on too big of positions when volatility is forecasted to be very low, kept the Fund’s volatility target below its long-term average.
For the year ended December 31, 2017, the Fund’s Class I shares returned +12.36% and realized an annualized volatility of 6.3%. During this period, the Fund’s benchmark the BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM returned +0.86% and a “60/40 benchmark” consisting of 60% S&P 500 Index®/40% Barclays® U.S. Aggregate Bond Index returned +14.21% at an average realized volatility of 3.5%. The Fund’s net assets across all share classes were over $80 million at the end of 2017. The Fund experienced gains in all three major risk sources for the full year. To the net total return of +12.36% for 2017, equities contributed +9.3%, inflation-sensitive assets contributed +2.9%, and fixed income contributed +0.2%. Tactical tilts contributed to performance with gains concentrated in equities.
Equities contributed as developed and emerging equity markets rallied throughout the year on strong global growth data. U.S. equity markets outperformed on better-than-expected economic data as well as expectations, and ultimately the signing into law, of the Tax Cuts and Jobs Act, which will provide a meaningful cut to the corporate tax rate starting in 2018. Emerging equities outperformed developed, rallying on better-than-expected growth and economic data. Nominal bonds contributed over the year as carry and rolldown provided net gains as global yields were mostly unchanged on the year. Commodity markets rallied, led by gains in base metals, which rallied on supply curtailments and better-than-expected manufacturing data in China, and energies – oil prices ended 2017 at three-year highs. Inflation-linked bonds gained alongside nominals.
Tactical tilts in equities contributed to performance, driven mostly from sustained bullish trends and bullish timing views in both developed and emerging markets. Active views on nominal bonds detracted, as trends reversed and whipsawed throughout the year; bearish bond timing views also detracted as bonds gained on the year. Tactical tilts in commodities added modestly to performance, while bearish views in inflation-linked bonds detracted slightly. Going forward, the portfolio is tactically underweight in fixed income and tactically overweight equities and commodities. Total exposures ended the year higher than where they began, driven by decreased forecasted risk and less bearish tactical tilts in nominal bonds. All asset classes experienced increased year-over-year exposures.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
24
Shareholder Letter (Unaudited)
| | | | |
| AQR RISK PARITY II MV FUND | | | | |
As all major asset classes gained on the year, it is no surprise risk parity outperformed; years when everything goes up tend to be particularly fruitful for risk parity strategies. The greatest strength of risk parity is the limited, humble assumptions necessary to believe in the strategy. If you believe that taking market risk in the major asset classes is rewarded on average, that their risk-adjusted returns are more similar than they are different, and that they tend to pay off at somewhat different times, then the case for risk parity is a sound one. We remain confident that the diversification benefits of a risk parity approach provide a sound allocation for the wide variety of potential market environments we may face in the coming years.
| | | | | | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2017
AQR RISK PARITY II MV FUND | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QRMIX | | | 12.36% | | | | 3.98% | | | | 3.32% | | | | 3.57% | | | | 11/5/2012 | |
| Fund - Class N: QRMNX | | | 12.07% | | | | 3.69% | | | | 3.03% | | | | 3.28% | | | | 11/5/2012 | |
| Fund - Class R6: QRMRX | | | 12.49% | | | | 4.08% | | | | na | | | | 2.58% | | | | 9/2/2014 | |
| | | | | |
| BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM | | | 0.86% | | | | | | | | | | | | | | | | | |
| | | | | |
| 60% S&P 500 Index®/40% Barclays® U.S. Aggregate Bond Index | | | 14.21% | | | | | | | | | | | | | | | | | |
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 1.22%, 1.48% and 1.14%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
|
AQR RISK PARITY II MV FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEXSM/ 60% S&P 500®/
40% BARCLAYS® U.S. AGGREGATE BOND INDEX
VALUE OF $10,000 INVESTED ON 11/05/2012 |
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 | | | | | | December 2017 | | |
| | | | | | | | | | |
25
Shareholder Letter (Unaudited)
| | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | |
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Michael Katz
Principal
Dear Shareholder:
The AQR Style Premia Alternative Fund (the “Fund”), which targets 10% annual volatility, returned +12.04% for Class I shares in 2017. For the year ended December 31, 2017, the Fund realized +5.5% annualized daily volatility and a +0.1 correlation to equities. The BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM, which is the Fund’s benchmark, returned +0.86% over this period.
The Fund invests in different asset groups, including through the use of derivatives such as futures and swaps: equities of major developed markets, country specific equity indices, bonds and interest rate futures, currencies and commodities. The Fund employs market-neutral, long-short strategies across these asset groups based on four investment styles:
Value – the tendency for cheap assets to outperform expensive ones
Momentum – the tendency for an asset’s recent relative performance to continue in the future
Carry – the tendency for higher-yielding assets to provide higher returns than lower-yielding assets
Defensive – the tendency for lower-risk and higher-quality assets to generate higher risk-adjusted returns
The Fund gained in each quarter this year, with stronger performance experienced in the second half of the year as the third and fourth quarter performance was +4.7% and +5.7%, respectively.
This year’s profits were generated by three of the four styles traded in the Fund and in four of the five asset groups. Defensive was the largest contributor by style (+9.7%) with Momentum (+3.2%) and Carry (+1.1%) also having a positive impact, while Value (-2.0%) was the sole style to detract. Defensive performance was largely driven within the Stocks & Industries asset group where, the style, in combination with Momentum, led the asset group to be the top performer. Gains from the within-industry stock selection sub-strategy (“Stocks”) and the across-industry selection sub-strategy (“Industries”), both components of the Stocks & Industries asset group, were primarily driven by Defensive and Momentum, while Value detracted. Positive returns in Commodities resulted from six of the eight instruments traded. Positioning in energy-related commodities accounted for a large portion of Commodities gains. Equity Index (+3.0%) gains were concentrated in developed markets, driven largely by a long positions in Japan’s TOPIX and Hong Kong’s Hang Seng indices. Currency contributions were similarly driven by developed market positions, where a short position in the franc was a notable driver of performance. Fixed Income, which was the only asset group to generate losses, detracted in the relative value 10-year government bond and yield curve sub-strategies, while the short term interest rates provided some offsetting gains.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
26
Shareholder Letter (Unaudited)
| | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2017
AQR STYLE PREMIA ALTERNATIVE FUND | |
| | | 1 Year | | | 3 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QSPIX | | | 12.04%* | | | | 6.64% | | | | 8.50% | | | | 10/30/2013 | |
| Fund - Class N: QSPNX | | | 11.67% | | | | 6.34% | | | | 8.21% | | | | 10/30/2013 | |
| Fund - Class R6: QSPRX | | | 12.10% | | | | 6.71% | | | | 8.41% | | | | 9/02/2014 | |
| | | | |
| BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM | | | 0.86% | | | | | | | | | | | | | |
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 2.36%, 2.63% and 2.28%, 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 12/31/2017 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. |
|
AQR STYLE PREMIA ALTERNATIVE FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEXSM
VALUE OF $10,000 INVESTED ON 10/30/2013 |
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.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
27
Shareholder Letter (Unaudited)
| | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | |
Andrea Frazzini
Principal
Jacques Friedman
Principal
Ronen Israel
Principal
Michael Katz
Principal
Dear Shareholder:
The AQR Style Premia Alternative LV Fund (the “Fund”), which targets 5% annual volatility, returned +6.74% for Class I shares in 2017. For the year ended December 31,2017, the Fund realized +2.8% annualized daily volatility and a +0.1 correlation to equities. The BofA Merrill Lynch 3-Month U.S Treasury Bill IndexSM, which is the Fund’s benchmark, returned +0.86% over this period.
The Fund invests in different asset groups, including through the use of derivatives such as futures and swaps: equities of major developed markets, country specific equity indices, bonds and interest rate futures, currencies and commodities. The Fund employs market-neutral and long-short strategies across these asset groups based on four investment styles:
Value – The tendency for relatively cheap assets to outperform relatively expensive ones
Momentum – The tendency for an asset’s recent relative performance to continue in the future
Carry – The tendency for higher-yielding assets to provide higher returns than lower-yielding assets
Defensive – The tendency for lower-risk and higher-quality assets to generate higher risk-adjusted returns
The Fund gained in each quarter this year, with stronger performance experienced in the second half of the year as the third and fourth quarter performance was +2.6% and +3.1%, respectively.
This year’s profits were generated by three of the four styles traded in the Fund and in four of the five asset groups. Defensive was the largest contributor by style (+5.0%) with Momentum (+1.7%) and Carry (+0.6%) also having a positive impact, while Value (-0.6%) was the sole style to detract. Defensive performance was largely driven within the Stocks & Industries asset group where, the style, in combination with Momentum, led the asset group to be the top performer. Gains from the within-industry stock selection sub-strategy (“Stocks”) and the across-industry selection sub-strategy (“Industries”), both components of the Stocks & Industries asset group, were primarily driven by Defensive and Momentum, while Value detracted. Positive returns in Commodities resulted from six of the eight instruments traded. Positioning in energy-related commodities accounted for a large portion of Commodities gains. Equity Index (+1.5%) gains were concentrated in developed markets, driven largely by a long positions in Japan’s TOPIX and Hong Kong’s Hang Seng indices. Currency contributions were similarly driven by developed market positions, where a short position in the Swiss franc was a notable driver of performance. Fixed Income, which was the only asset group to generate losses, detracted in the relative value 10-year government bond and yield curve sub-strategies, while the short term interest rates provided some offsetting gains.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
28
Shareholder Letter (Unaudited)
| | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | |
| | | | | | | | | | | | | | | | |
AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2017
AQR STYLE PREMIA ALTERNATIVE LV FUND | |
| | | 1 Year | | | 3 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QSLIX | | | 6.74% | | | | 3.77% | | | | 4.39% | | | | 9/17/2014 | |
| Fund - Class N: QSLNX | | | 6.46% | | | | 3.49% | | | | 4.10% | | | | 9/17/2014 | |
| Fund - Class R6: QSLRX | | | 6.90% | | | | 3.90% | | | | 4.48% | | | | 9/17/2014 | |
| | | | |
| BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM | | | 0.86% | | | | | | | | | | | | | |
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 1.32%, 1.58% and 1.24%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
|
AQR STYLE PREMIA ALTERNATIVE LV FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEXSM
VALUE OF $10,000 INVESTED ON 09/17/2014 |
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.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
29
Shareholder Letter (Unaudited)
DEFINITIONS:
Alpha: is a measure of performance on a risk-adjusted basis. Alpha takes the volatility (price risk) of a mutual fund and compares its risk-adjusted performance to a benchmark index. The excess return of the fund relative to the return of the benchmark index is a fund’s alpha.
Barclays® U.S. Aggregate Bond Index: is a broad-based bond index comprised of government, corporate, mortgage and asset-backed issues, rated investment grade or higher, and having at least one year to maturity. Indexes are unmanaged and one cannot invest directly in an index.
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.
Bloomberg Commodity Index Total ReturnSM: is a broad-based index used to represent the most frequently-traded global commodity futures. It was formally known as the Dow Jones – UBS Commodity Index. Indexes are unmanaged and one cannot invest directly in an index.
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM: is designed to measure the performance of high-quality short-term cash-equivalent investments. Indexes are unmanaged and one cannot invest directly in an index.
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.
Credit Suisse Hedge Fund IndexSM: is an asset-weighted benchmark that seeks to measure hedge fund performance and provide the most accurate representation of the hedge fund universe. Indexes are unmanaged and one cannot invest directly in an index.
HFRITM Fund Weighted Composite Index: is a global, equal-weighted index of over 2,000 single-manager funds.
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.
MSCI 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.
S&P 500®: is a capitalization weighted index designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries. Indexes are unmanaged and one cannot invest directly in an index.
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.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
30
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| LONG POSITIONS - 170.8% | |
| COMMON STOCKS - 95.6% | |
|
| Australia - 1.2% | |
| Australia & New Zealand Banking Group Ltd. (2) | | | 290 | | | $ | 6,470 | |
| Bendigo & Adelaide Bank Ltd. (2) | | | 1,089 | | | | 9,882 | |
| BHP Billiton plc (2) | | | 953 | | | | 19,270 | |
| Crown Resorts Ltd. (2) | | | 4,974 | | | | 50,418 | |
| CSL Ltd. (2) | | | 543 | | | | 59,672 | |
| Fortescue Metals Group Ltd. (2) | | | 30,076 | | | | 113,819 | |
| Harvey Norman Holdings Ltd. (2) | | | 15,922 | | | | 51,633 | |
| Newcrest Mining Ltd. (2) | | | 8,933 | | | | 159,025 | |
| South32 Ltd. (2) | | | 32,569 | | | | 88,280 | |
| Star Entertainment Grp Ltd. (The) (2) | | | 5,947 | | | | 28,099 | |
| Sydney Airport (2) | | | 2,027 | | | | 11,122 | |
| Telstra Corp. Ltd. (2) | | | 2,219 | | | | 6,273 | |
| Wesfarmers Ltd. (2) | | | 1,111 | | | | 38,416 | |
| Woodside Petroleum Ltd. (2) | | | 9,563 | | | | 246,037 | |
| Woolworths Group Ltd. (2) | | | 2,047 | | | | 43,491 | |
| | | | | | | | |
| | | | | | | 931,907 | |
| | | | | | | | |
| Belgium - 0.7% | | | | | | |
| Ageas (2)(a) | | | 1,622 | | | | 79,234 | |
| Bekaert SA (2)(a) | | | 656 | | | | 28,607 | |
| bpost SA (2)(a) | | | 2,178 | | | | 66,286 | |
| KBC Group NV (2)(a) | | | 2,848 | | | | 242,688 | |
| Solvay SA (2)(a) | | | 683 | | | | 94,962 | |
| UCB SA (2)(a) | | | 526 | | | | 41,708 | |
| Umicore SA (2)(a) | | | 202 | | | | 9,565 | |
| | | | | | | | |
| | | | | | | 563,050 | |
| | | | | | | | |
| Canada - 3.1% | | | | | | |
| Air Canada *(a) | | | 11,196 | | | | 230,511 | |
| ARC Resources Ltd. (a) | | | 8,003 | | | | 93,910 | |
| Atco Ltd., Class I (a) | | | 404 | | | | 14,463 | |
| Bank of Montreal (a) | | | 1,080 | | | | 86,426 | |
| Canadian Imperial Bank of Commerce (a) | | | 2,999 | | | | 292,361 | |
| Canadian Tire Corp. Ltd., Class A (a) | | | 303 | | | | 39,508 | |
| Cenovus Energy, Inc. (a) | | | 2,125 | | | | 19,407 | |
| CGI Group, Inc., Class A *(a) | | | 1,041 | | | | 56,563 | |
| CI Financial Corp. (a) | | | 1,287 | | | | 30,481 | |
| Dollarama, Inc. (a) | | | 1,071 | | | | 133,811 | |
| Empire Co. Ltd., Class A (a) | | | 509 | | | | 9,917 | |
| Encana Corp. (a) | | | 2,998 | | | | 39,997 | |
| Fortis, Inc. | | | 172 | | | | 6,309 | |
| IGM Financial, Inc. (a) | | | 476 | | | | 16,719 | |
| Intact Financial Corp. (a) | | | 978 | | | | 81,687 | |
| Kinross Gold Corp. * | | | 2,034 | | | | 8,770 | |
| Linamar Corp. (a) | | | 1,073 | | | | 62,493 | |
| Lundin Mining Corp. (a) | | | 2,972 | | | | 19,766 | |
| Magna International, Inc. (a) | | | 950 | | | | 53,841 | |
| Manulife Financial Corp. (a) | | | 4,156 | | | | 86,691 | |
| Methanex Corp. (a) | | | 420 | | | | 25,447 | |
| National Bank of Canada (a) | | | 2,926 | | | | 145,997 | |
| Peyto Exploration & Development Corp. (a) | | | 9,871 | | | | 118,028 | |
| Power Financial Corp. (a) | | | 1,668 | | | | 45,834 | |
| Quebecor, Inc., Class B (a) | | | 2,557 | | | | 48,211 | |
| Royal Bank of Canada (a) | | | 446 | | | | 36,422 | |
| Seven Generations Energy Ltd., Class A *(a) | | | 3,828 | | | | 54,146 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Canada - 3.1% (continued) | | | | | | |
| Toronto-Dominion Bank (The) (a) | | | 4,702 | | | $ | 275,499 | |
| Tourmaline Oil Corp. *(a) | | | 5,180 | | | | 93,875 | |
| West Fraser Timber Co. Ltd. (a) | | | 1,546 | | | | 95,404 | |
| WestJet Airlines Ltd. (a) | | | 1,623 | | | | 34,035 | |
| Whitecap Resources, Inc. (a) | | | 8,181 | | | | 58,250 | |
| | | | | | | | |
| | | | | | | 2,414,779 | |
| | | | | | | | |
| China - 0.1% | | | | | | |
| Yangzijiang Shipbuilding Holdings Ltd. (2) | | | 54,400 | | | | 59,651 | |
| | | | | | | | |
| | |
| Denmark - 0.7% | | | | | | |
| Carlsberg A/S, Class B (2)(a) | | | 848 | | | | 101,707 | |
| Danske Bank A/S (2)(a) | | | 3,862 | | | | 150,317 | |
| Dfds A/S (2) | | | 135 | | | | 7,210 | |
| GN Store Nord A/S (2)(a) | | | 2,553 | | | | 82,454 | |
| Jyske Bank A/S (Registered) (2)(a) | | | 538 | | | | 30,589 | |
| Novo Nordisk A/S, Class B (2)(a) | | | 1,970 | | | | 105,859 | |
| Rockwool International A/S, Class B (2) | | | 104 | | | | 29,462 | |
| William Demant Holding A/S (2)*(a) | | | 1,021 | | | | 28,519 | |
| | | | | | | | |
| | | | | | | 536,117 | |
| | | | | | | | |
| Finland - 0.7% | | | | | | |
| Neste OYJ (2)(a) | | | 3,228 | | | | 206,628 | |
| Outokumpu OYJ (2)(a) | | | 15,877 | | | | 147,343 | |
| Sampo OYJ, Class A (2)(a) | | | 652 | | | | 35,783 | |
| UPM-Kymmene OYJ (2)(a) | | | 5,213 | | | | 161,837 | |
| | | | | | | | |
| | | | | | | 551,591 | |
| | | | | | | | |
| France - 1.6% | | | | | | |
| Air France-KLM (2)*(a) | | | 1,571 | | | | 25,519 | |
| AXA SA (2) | | | 268 | | | | 7,942 | |
| BioMerieux (2) | | | 84 | | | | 7,521 | |
| BNP Paribas SA (2)(a) | | | 325 | | | | 24,176 | |
| Capgemini SE (2)(a) | | | 269 | | | | 31,861 | |
| Cie Generale des Etablissements Michelin (2)(a) | | | 121 | | | | 17,310 | |
| Dassault Systemes SE (2) | | | 68 | | | | 7,220 | |
| Engie SA (2)(a) | | | 23,047 | | | | 396,213 | |
| Faurecia (2) | | | 95 | | | | 7,404 | |
| Peugeot SA (2) | | | 310 | | | | 6,296 | |
| Renault SA (2)(a) | | | 1,990 | | | | 199,752 | |
| Suez (2)(a) | | | 1,428 | | | | 25,087 | |
| Thales SA (2)(a) | | | 590 | | | | 63,496 | |
| TOTAL SA (2)(a) | | | 7,845 | | | | 433,044 | |
| Veolia Environnement SA (2)(a) | | | 834 | | | | 21,266 | |
| | | | | | | | |
| | | | | | | 1,274,107 | |
| | | | | | | | |
| Germany - 3.1% | | | | | | |
| Allianz SE (Registered) (2)(a) | | | 802 | | | | 183,536 | |
| Aurubis AG (2)(a) | | | 360 | | | | 33,417 | |
| BASF SE (2)(a) | | | 294 | | | | 32,232 | |
| Bayer AG (Registered) (2)(a) | | | 112 | | | | 13,917 | |
| Bayerische Motoren Werke AG (2)(a) | | | 2,408 | | | | 249,667 | |
| Beiersdorf AG (2)(a) | | | 545 | | | | 63,892 | |
| Covestro AG (2)(a)(b) | | | 3,045 | | | | 313,533 | |
| Daimler AG (Registered) (2)(a) | | | 1,571 | | | | 132,845 | |
| Deutsche Post AG (Registered) (2)(a) | | | 4,807 | | | | 228,494 | |
| Evonik Industries AG (2)(a) | | | 2,709 | | | | 101,748 | |
| Fraport AG Frankfurt Airport Services Worldwide (2)(a) | | | 1,068 | | | | 117,308 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
31
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Germany - 3.1% (continued) | | | | | | |
| Hannover Rueck SE (2)(a) | | | 180 | | | $ | 22,584 | |
| Hella GmbH & Co. KGaA (2)(a) | | | 154 | | | | 9,505 | |
| HUGO BOSS AG (2)(a) | | | 346 | | | | 29,361 | |
| Infineon Technologies AG (2)(a) | | | 1,992 | | | | 54,251 | |
| Innogy SE (2)(a)(b) | | | 3,657 | | | | 143,123 | |
| MAN SE (2) | | | 68 | | | | 7,781 | |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) (2)(a) | | | 151 | | | | 32,608 | |
| Rheinmetall AG (2)(a) | | | 529 | | | | 66,899 | |
| Salzgitter AG (2)(a) | | | 1,520 | | | | 86,345 | |
| SAP SE (2)(a) | | | 694 | | | | 77,641 | |
| Software AG (2)(a) | | | 1,154 | | | | 64,729 | |
| STADA Arzneimittel AG (2) | | | 66 | | | | 6,992 | |
| Talanx AG (2)(a) | | | 1,159 | | | | 47,231 | |
| TUI AG (2) | | | 523 | | | | 10,835 | |
| United Internet AG (Registered) (2)(a) | | | 720 | | | | 49,335 | |
| Volkswagen AG (Preference) (2)(a) | | | 1,193 | | | | 236,969 | |
| Wacker Chemie AG (2) | | | 33 | | | | 6,394 | |
| Wirecard AG (2)(a) | | | 80 | | | | 8,891 | |
| | | | | | | | |
| | | | | | | 2,432,063 | |
| | | | | | | | |
| Italy - 1.8% | | | | | | |
| Assicurazioni Generali SpA (2)(a) | | | 5,746 | | | | 104,586 | |
| Atlantia SpA (2)(a) | | | 2,485 | | | | 78,343 | |
| DiaSorin SpA (2) | | | 156 | | | | 13,833 | |
| Enel SpA (2)(a) | | | 62,594 | | | | 384,908 | |
| Eni SpA (2)(a) | | | 12,231 | | | | 202,398 | |
| Hera SpA (2) | | | 18,277 | | | | 63,785 | |
| Intesa Sanpaolo SpA (2) | | | 1,902 | | | | 6,311 | |
| Italgas SpA (2) | | | 7,913 | | | | 48,283 | |
| Mediobanca SpA (2)(a) | | | 2,670 | | | | 30,253 | |
| Moncler SpA (2)(a) | | | 363 | | | | 11,346 | |
| Poste Italiane SpA (2)(b) | | | 22,199 | | | | 167,135 | |
| Recordati SpA (2) | | | 146 | | | | 6,488 | |
| Saipem SpA (2)* | | | 21,661 | | | | 98,834 | |
| Terna Rete Elettrica Nazionale SpA (2)(a) | | | 32,688 | | | | 190,017 | |
| UnipolSai Assicurazioni SpA (2) | | | 9,963 | | | | 23,240 | |
| | | | | | | | |
| | | | | | | 1,429,760 | |
| | | | | | | | |
| Japan - 12.1% | | | | | | |
| Alfresa Holdings Corp. (2)(a) | | | 2,300 | | | | 53,872 | |
| ANA Holdings, Inc. (2)(a) | | | 1,400 | | | | 58,403 | |
| Aozora Bank Ltd. (2)(a) | | | 300 | | | | 11,641 | |
| Asahi Glass Co. Ltd. (2)(a) | | | 4,400 | | | | 190,187 | |
| Astellas Pharma, Inc. (2)(a) | | | 2,400 | | | | 30,488 | |
| Benesse Holdings, Inc. (2)(a) | | | 300 | | | | 10,555 | |
| Central Japan Railway Co. (2)(a) | | | 900 | | | | 161,064 | |
| East Japan Railway Co. (2)(a) | | | 1,800 | | | | 175,533 | |
| Electric Power Development Co. Ltd. (2)(a) | | | 2,800 | | | | 75,319 | |
| Fujitsu Ltd. (2)(a) | | | 5,000 | | | | 35,448 | |
| GungHo Online Entertainment, Inc. (2)* | | | 21,900 | | | | 60,101 | |
| Haseko Corp. (2)(a) | | | 16,500 | | | | 255,721 | |
| Hino Motors Ltd. (2) | | | 3,100 | | | | 40,041 | |
| Hitachi Ltd. (2)(a) | | | 13,000 | | | | 100,857 | |
| Honda Motor Co. Ltd. (2)(a) | | | 2,300 | | | | 78,493 | |
| Idemitsu Kosan Co. Ltd. (2)(a) | | | 9,400 | | | | 376,524 | |
| Inpex Corp. (2)(a) | | | 41,600 | | | | 517,754 | |
| Isuzu Motors Ltd. (2)(a) | | | 12,300 | | | | 205,376 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - 12.1% (continued) | | | | | | |
| ITOCHU Corp. (2)(a) | | | 13,600 | | | $ | 253,525 | |
| Itochu Techno-Solutions Corp. (2)(a) | | | 400 | | | | 17,349 | |
| Japan Airlines Co. Ltd. (2)(a) | | | 9,500 | | | | 371,164 | |
| Japan Tobacco, Inc. (2)(a) | | | 400 | | | | 12,881 | |
| JFE Holdings, Inc. (2)(a) | | | 2,600 | | | | 62,133 | |
| JTEKT Corp. (2)(a) | | | 3,800 | | | | 65,110 | |
| JXTG Holdings, Inc. (2)(a) | | | 103,100 | | | | 662,552 | |
| Kajima Corp. (2)(a) | | | 23,000 | | | | 220,982 | |
| Kaken Pharmaceutical Co. Ltd. (2) | | | 400 | | | | 20,610 | |
| Kamigumi Co. Ltd. (2)(a) | | | 3,200 | | | | 70,718 | |
| Kansai Electric Power Co., Inc. (The) (2)(a) | | | 7,500 | | | | 91,725 | |
| Kao Corp. (2)(a) | | | 300 | | | | 20,271 | |
| KDDI Corp. (2)(a) | | | 10,000 | | | | 248,395 | |
| Kirin Holdings Co. Ltd. (2)(a) | | | 3,300 | | | | 83,165 | |
| Kuraray Co. Ltd. (2) | | | 700 | | | | 13,179 | |
| Kyocera Corp. (2) | | | 300 | | | | 19,586 | |
| Kyushu Railway Co. (2)(a) | | | 5,900 | | | | 182,619 | |
| Marubeni Corp. (2)(a) | | | 46,100 | | | | 333,289 | |
| Matsumotokiyoshi Holdings Co. Ltd. (2) | | | 400 | | | | 16,432 | |
| McDonald’s Holdings Co. Japan Ltd. (2) | | | 400 | | | | 17,578 | |
| Medipal Holdings Corp. (2) | | | 600 | | | | 11,714 | |
| Mitsubishi Chemical Holdings Corp. (2) | | | 4,200 | | | | 45,956 | |
| Mitsubishi Corp. (2)(a) | | | 7,400 | | | | 204,046 | |
| Mitsubishi Electric Corp. (2) | | | 2,600 | | | | 43,089 | |
| Mitsubishi Gas Chemical Co., Inc. (2)(a) | | | 2,900 | | | | 83,041 | |
| Mitsui & Co. Ltd. (2)(a) | | | 12,100 | | | | 196,303 | |
| Mitsui Chemicals, Inc. (2) | | | 1,300 | | | | 41,688 | |
| Mizuho Financial Group, Inc. (2) | | | 39,400 | | | | 71,239 | |
| Nexon Co. Ltd. (2)*(a) | | | 3,800 | | | | 110,201 | |
| NHK Spring Co. Ltd. (2)(a) | | | 5,700 | | | | 62,558 | |
| Nippon Electric Glass Co. Ltd. (2)(a) | | | 2,100 | | | | 79,929 | |
| Nippon Express Co. Ltd. (2)(a) | | | 500 | | | | 33,204 | |
| Nippon Telegraph & Telephone Corp. (2)(a) | | | 7,300 | | | | 343,203 | |
| Nissan Motor Co. Ltd. (2)(a) | | | 10,800 | | | | 107,526 | |
| NOK Corp. (2)(a) | | | 2,100 | | | | 48,868 | |
| NSK Ltd. (2) | | | 400 | | | | 6,267 | |
| Obayashi Corp. (2)(a) | | | 26,200 | | | | 316,499 | |
| Oji Holdings Corp. (2) | | | 3,000 | | | | 19,922 | |
| Omron Corp. (2) | | | 600 | | | | 35,687 | |
| Oriental Land Co. Ltd. (2)(a) | | | 600 | | | | 54,588 | |
| Osaka Gas Co. Ltd. (2)(a) | | | 3,700 | | | | 71,148 | |
| Otsuka Corp. (2) | | | 200 | | | | 15,317 | |
| Pola Orbis Holdings, Inc. (2)(a) | | | 900 | | | | 31,537 | |
| Resona Holdings, Inc. (2)(a) | | | 12,500 | | | | 74,485 | |
| Shikoku Electric Power Co., Inc. (2)(a) | | | 6,300 | | | | 68,577 | |
| Shimamura Co. Ltd. (2)(a) | | | 900 | | | | 98,874 | |
| Shimizu Corp. (2)(a) | | | 600 | | | | 6,188 | |
| Shin-Etsu Chemical Co. Ltd. (2)(a) | | | 100 | | | | 10,132 | |
| Shionogi & Co. Ltd. (2)(a) | | | 200 | | | | 10,807 | |
| SMC Corp. (2)(a) | | | 200 | | | | 82,077 | |
| Sojitz Corp. (2) | | | 3,700 | | | | 11,336 | |
| Square Enix Holdings Co. Ltd. (2)(a) | | | 4,100 | | | | 194,536 | |
| Start Today Co. Ltd. (2)(a) | | | 3,600 | | | | 109,271 | |
| Sumitomo Chemical Co. Ltd. (2)(a) | | | 11,000 | | | | 78,712 | |
| Sumitomo Corp. (2)(a) | | | 10,800 | | | | 183,187 | |
| Sumitomo Dainippon Pharma Co. Ltd. (2)(a) | | | 2,000 | | | | 29,606 | |
| Sumitomo Heavy Industries Ltd. (2)(a) | | | 1,100 | | | | 46,349 | |
| Sumitomo Mitsui Financial Group, Inc. (2) | | | 700 | | | | 30,173 | |
| Suzuken Co. Ltd. (2)(a) | | | 300 | | | | 12,317 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
32
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - 12.1% (continued) | | | | | | |
| Suzuki Motor Corp. (2)(a) | | | 3,800 | | | $ | 219,958 | |
| Taisei Corp. (2)(a) | | | 5,200 | | | | 258,601 | |
| THK Co. Ltd. (2) | | | 300 | | | | 11,214 | |
| Tohoku Electric Power Co., Inc. (2) | | | 2,300 | | | | 29,364 | |
| Tokyo Broadcasting System Holdings, Inc. (2) | | | 1,400 | | | | 34,892 | |
| Tokyo Electric Power Co. Holdings, Inc. (2)* | | | 45,800 | | | | 180,758 | |
| Tokyo Electron Ltd. (2)(a) | | | 200 | | | | 36,078 | |
| Tosoh Corp. (2)(a) | | | 5,000 | | | | 112,801 | |
| Toyota Boshoku Corp. (2) | | | 1,900 | | | | 39,659 | |
| Toyota Tsusho Corp. (2)(a) | | | 1,900 | | | | 76,329 | |
| West Japan Railway Co. (2)(a) | | | 1,400 | | | | 102,136 | |
| Yamada Denki Co. Ltd. (2) | | | 1,200 | | | | 6,609 | |
| Yamaguchi Financial Group, Inc. (2) | | | 3,000 | | | | 35,554 | |
| | | | | | | | |
| | | | | | | 9,444,750 | |
| | | | | | | | |
| Malta - 0.1% | | | | | | |
| Kindred Group plc, SDR (2) | | | 4,691 | | | | 66,982 | |
| | | | | | | | |
| | |
| Netherlands - 1.1% | | | | | | |
| ABN AMRO Group NV, CVA (2)(a)(b) | | | 2,824 | | | | 91,048 | |
| Aegon NV (2)(a) | | | 46,666 | | | | 296,514 | |
| Akzo Nobel NV (2) | | | 96 | | | | 8,424 | |
| ASM International NV (2)(a) | | | 776 | | | | 52,405 | |
| ASML Holding NV (2)(a) | | | 144 | | | | 25,036 | |
| ASR Nederland NV (2)(a) | | | 3,116 | | | | 128,276 | |
| Koninklijke Philips NV (2)(a) | | | 3,451 | | | | 130,305 | |
| Philips Lighting NV (2)(a)(b) | | | 3,861 | | | | 141,609 | |
| Randstad Holding NV (2)(a) | | | 139 | | | | 8,529 | |
| | | | | | | | |
| | | | | | | 882,146 | |
| | | | | | | | |
| Norway - 0.3% | | | | | | |
| DNB ASA (2) | | | 341 | | | | 6,312 | |
| Leroy Seafood Group ASA (2)(a) | | | 7,275 | | | | 38,914 | |
| Marine Harvest ASA (2)*(a) | | | 11,660 | | | | 197,179 | |
| Norsk Hydro ASA (2) | | | 947 | | | | 7,179 | |
| | | | | | | | |
| | | | | | | 249,584 | |
| | | | | | | | |
| Singapore - 0.2% | | | | | | |
| ComfortDelGro Corp. Ltd. (2) | | | 22,100 | | | | 32,653 | |
| DBS Group Holdings Ltd. (2) | | | 1,800 | | | | 33,293 | |
| Genting Singapore plc (2) | | | 18,800 | | | | 18,361 | |
| Oversea-Chinese Banking Corp. Ltd. (2) | | | 6,900 | | | | 63,744 | |
| SATS Ltd. (2) | | | 4,600 | | | | 17,860 | |
| | | | | | | | |
| | | | | | | 165,911 | |
| | | | | | | | |
| Spain - 1.7% | | | | | | |
| ACS Actividades de Construccion y Servicios SA (2)(a) | | | 1,086 | | | | 42,423 | |
| Amadeus IT Group SA (2)(a) | | | 3,605 | | | | 259,425 | |
| Bankinter SA (2)(a) | | | 2,455 | | | | 23,223 | |
| Endesa SA (2)(a) | | | 8,444 | | | | 180,599 | |
| Iberdrola SA (2)(a) | | | 26,657 | | | | 206,360 | |
| Repsol SA (2)(a) | | | 35,521 | | | | 627,175 | |
| | | | | | | | |
| | | | | | | 1,339,205 | |
| | | | | | | | |
| Sweden - 0.9% | | | | | | |
| Boliden AB (2)(a) | | | 8,072 | | | | 276,044 | |
| Electrolux AB, Series B (2)(a) | | | 1,961 | | | | 63,135 | |
| Essity AB, Class B (2)*(a) | | | 4,848 | | | | 137,770 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Sweden - 0.9% (continued) | | | | | | |
| Securitas AB, Class B (2)(a) | | | 558 | | | $ | 9,733 | |
| SKF AB, Class B (2)(a) | | | 2,162 | | | | 48,030 | |
| SSAB AB, Class A (2)*(a) | | | 9,775 | | | | 53,417 | |
| Svenska Cellulosa AB SCA, Class B (2)(a) | | | 10,778 | | | | 111,017 | |
| Volvo AB, Class B (2)(a) | | | 793 | | | | 14,767 | |
| | | | | | | | |
| | | | | | | 713,913 | |
| | | | | | | | |
| Switzerland - 2.1% | | | | | | |
| Adecco Group AG (Registered) (2)*(a) | | | 2,154 | | | | 164,609 | |
| Baloise Holding AG (Registered) (2) | | | 847 | | | | 131,663 | |
| Bucher Industries AG (Registered) (2) | | | 78 | | | | 31,664 | |
| Georg Fischer AG (Registered) (2) | | | 91 | | | | 120,135 | |
| Helvetia Holding AG (Registered) (2) | | | 138 | | | | 77,619 | |
| Lonza Group AG (Registered) (2)*(a) | | | 895 | | | | 241,387 | |
| Nestle SA (Registered) (2)(a) | | | 463 | | | | 39,807 | |
| Novartis AG (Registered) (2)(a) | | | 741 | | | | 62,357 | |
| Partners Group Holding AG (2) | | | 207 | | | | 141,835 | |
| Roche Holding AG (2)(a) | | | 240 | | | | 60,685 | |
| Sika AG (2)(a) | | | 3 | | | | 23,802 | |
| Sonova Holding AG (Registered) (2) | | | 950 | | | | 148,288 | |
| STMicroelectronics NV (2)(a) | | | 1,513 | | | | 33,019 | |
| Straumann Holding AG (Registered) (2) | | | 47 | | | | 33,156 | |
| Swiss Re AG (2)(a) | | | 1,458 | | | | 136,353 | |
| Temenos Group AG (Registered) (2)* | | | 1,008 | | | | 128,995 | |
| Zurich Insurance Group AG (2)(a) | | | 248 | | | | 75,403 | |
| | | | | | | | |
| | | | | | | 1,650,777 | |
| | | | | | | | |
| United Kingdom - 1.8% | | | | | | |
| Barclays plc (2) | | | 11,359 | | | | 31,094 | |
| Barratt Developments plc (2) | | | 2,996 | | | | 26,135 | |
| BBA Aviation plc (2) | | | 6,382 | | | | 30,075 | |
| Bellway plc (2) | | | 1,077 | | | | 51,631 | |
| Berkeley Group Holdings plc (2) | | | 2,944 | | | | 166,530 | |
| BT Group plc (2) | | | 6,857 | | | | 25,133 | |
| Dixons Carphone plc (2) | | | 11,797 | | | | 31,648 | |
| Fiat Chrysler Automobiles NV (2)*(a) | | | 4,848 | | | | 86,553 | |
| Greene King plc (2) | | | 2,598 | | | | 19,413 | |
| Hays plc (2) | | | 2,872 | | | | 7,073 | |
| Howden Joinery Group plc (2) | | | 4,044 | | | | 25,456 | |
| Indivior plc (2)* | | | 4,361 | | | | 23,949 | |
| Kingfisher plc (2) | | | 1,486 | | | | 6,785 | |
| Moneysupermarket.com Group plc (2) | | | 2,475 | | | | 11,893 | |
| Persimmon plc (2) | | | 2,375 | | | | 87,743 | |
| Petrofac Ltd. (2) | | | 14,284 | | | | 98,064 | |
| Provident Financial plc (2) | | | 656 | | | | 7,936 | |
| Royal Mail plc (2) | | | 37,915 | | | | 231,646 | |
| Saga plc (2) | | | 24,762 | | | | 42,099 | |
| Subsea 7 SA (2)(a) | | | 11,427 | | | | 171,200 | |
| Taylor Wimpey plc (2) | | | 37,939 | | | | 105,554 | |
| Travis Perkins plc (2) | | | 946 | | | | 20,001 | |
| Unilever NV, CVA (2) | | | 336 | | | | 18,918 | |
| WH Smith plc (2) | | | 662 | | | | 20,969 | |
| Whitbread plc (2) | | | 234 | | | | 12,623 | |
| William Hill plc (2) | | | 3,519 | | | | 15,264 | |
| | | | | | | | |
| | | | | | | 1,375,385 | |
| | | | | | | | |
| United States - 62.3% | | | | | | |
| AbbVie, Inc. (a) | | | 3,653 | | | | 353,282 | |
| ABIOMED, Inc. *(a) | | | 363 | | | | 68,030 | |
| Accenture plc, Class A (a) | | | 465 | | | | 71,187 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
33
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United States - 62.3% (continued) | | | | | | |
| Activision Blizzard, Inc. (a) | | | 1,542 | | | $ | 97,639 | |
| Adient plc (a) | | | 2,386 | | | | 187,778 | |
| Adobe Systems, Inc. *(a) | | | 303 | | | | 53,098 | |
| Adtalem Global Education, Inc. *(a) | | | 1,609 | | | | 67,658 | |
| AECOM *(a) | | | 458 | | | | 17,015 | |
| Aflac, Inc. (a) | | | 4,200 | | | | 368,676 | |
| AGCO Corp. (a) | | | 271 | | | | 19,358 | |
| Agilent Technologies, Inc. (a) | | | 2,768 | | | | 185,373 | |
| Air Lease Corp. (a) | | | 1,310 | | | | 62,998 | |
| Akamai Technologies, Inc. *(a) | | | 3,909 | | | | 254,241 | |
| Alaska Air Group, Inc. (a) | | | 582 | | | | 42,783 | |
| Alcoa Corp. *(a) | | | 2,802 | | | | 150,944 | |
| Alexion Pharmaceuticals, Inc. *(a) | | | 1,139 | | | | 136,213 | |
| Allison Transmission Holdings, Inc. (a) | | | 427 | | | | 18,391 | |
| Allstate Corp. (The) (a) | | | 3,969 | | | | 415,594 | |
| Ally Financial, Inc. (a) | | | 707 | | | | 20,616 | |
| Alphabet, Inc., Class A *(a) | | | 582 | | | | 613,079 | |
| Amazon.com, Inc. *(a) | | | 130 | | | | 152,031 | |
| AMC Networks, Inc., Class A *(a) | | | 1,631 | | | | 88,204 | |
| Amdocs Ltd. (a) | | | 5,580 | | | | 365,378 | |
| AMERCO (a) | | | 595 | | | | 224,856 | |
| Ameren Corp. (a) | | | 1,572 | | | | 92,732 | |
| American Financial Group, Inc. (a) | | | 2,029 | | | | 220,228 | |
| Ameriprise Financial, Inc. (a) | | | 2,107 | | | | 357,073 | |
| Amgen, Inc. (a) | | | 3,254 | | | | 565,871 | |
| ANSYS, Inc. *(a) | | | 858 | | | | 126,632 | |
| Anthem, Inc. (a) | | | 1,862 | | | | 418,969 | |
| Apple, Inc. (a) | | | 1,471 | | | | 248,937 | |
| Applied Materials, Inc. (a) | | | 2,711 | | | | 138,586 | |
| Aramark (a) | | | 1,415 | | | | 60,477 | |
| Archer-Daniels-Midland Co. (a) | | | 1,242 | | | | 49,779 | |
| Arrow Electronics, Inc. *(a) | | | 3,951 | | | | 317,700 | |
| Assurant, Inc. (a) | | | 680 | | | | 68,571 | |
| Assured Guaranty Ltd. (a) | | | 6,677 | | | | 226,150 | |
| Avnet, Inc. (a) | | | 2,820 | | | | 111,728 | |
| Bank of New York Mellon Corp. (The) (a) | | | 1,833 | | | | 98,725 | |
| Baxter International, Inc. (a) | | | 3,829 | | | | 247,507 | |
| Becton Dickinson and Co. (a) | | | 355 | | | | 75,991 | |
| Bed Bath & Beyond, Inc. | | | 276 | | | | 6,069 | |
| Best Buy Co., Inc. (a) | | | 2,936 | | | | 201,028 | |
| Big Lots, Inc. (a) | | | 7,026 | | | | 394,510 | |
| Biogen, Inc. *(a) | | | 1,533 | | | | 488,368 | |
| Bio-Rad Laboratories, Inc., Class A * | | | 31 | | | | 7,399 | |
| Bioverativ, Inc. *(a) | | | 3,077 | | | | 165,912 | |
| BlackRock, Inc. (a) | | | 220 | | | | 113,016 | |
| Boeing Co. (The) (a) | | | 431 | | | | 127,106 | |
| Booz Allen Hamilton Holding Corp. (a) | | | 226 | | | | 8,617 | |
| Boston Beer Co., Inc. (The), Class A *(a) | | | 948 | | | | 181,163 | |
| Brinker International, Inc. (a) | | | 1,029 | | | | 39,966 | |
| Broadcom Ltd. (a) | | | 443 | | | | 113,807 | |
| Broadridge Financial Solutions, Inc. (a) | | | 419 | | | | 37,953 | |
| Bruker Corp. | | | 182 | | | | 6,246 | |
| Brunswick Corp. | | | 114 | | | | 6,295 | |
| Burlington Stores, Inc. *(a) | | | 204 | | | | 25,098 | |
| CA, Inc. (a) | | | 6,911 | | | | 229,998 | |
| Cadence Design Systems, Inc. *(a) | | | 4,519 | | | | 188,985 | |
| Capital One Financial Corp. (a) | | | 936 | | | | 93,207 | |
| Cardinal Health, Inc. (a) | | | 672 | | | | 41,173 | |
| Carnival Corp. (a) | | | 3,696 | | | | 245,304 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United States - 62.3% (continued) | | | | | | |
| Carter’s, Inc. (a) | | | 784 | | | $ | 92,112 | |
| CDK Global, Inc. (a) | | | 1,226 | | | | 87,389 | |
| CDW Corp. (a) | | | 1,090 | | | | 75,744 | |
| Celanese Corp., Series A (a) | | | 382 | | | | 40,905 | |
| Celgene Corp. *(a) | | | 2,386 | | | | 249,003 | |
| Centene Corp. *(a) | | | 1,662 | | | | 167,663 | |
| Cerner Corp. *(a) | | | 3,848 | | | | 259,317 | |
| Charles River Laboratories International, Inc. *(a) | | | 3,050 | | | | 333,823 | |
| Cheesecake Factory, Inc. (The) (a) | | | 1,615 | | | | 77,811 | |
| Chubb Ltd. (a) | | | 254 | | | | 37,117 | |
| Churchill Downs, Inc. (a) | | | 83 | | | | 19,314 | |
| Cigna Corp. (a) | | | 1,470 | | | | 298,542 | |
| Cinemark Holdings, Inc. (a) | | | 375 | | | | 13,058 | |
| Cirrus Logic, Inc. *(a) | | | 6,292 | | | | 326,303 | |
| Cisco Systems, Inc. (a) | | | 3,895 | | | | 149,179 | |
| Citrix Systems, Inc. *(a) | | | 1,328 | | | | 116,864 | |
| Clorox Co. (The) (a) | | | 332 | | | | 49,382 | |
| CNA Financial Corp. (a) | | | 868 | | | | 46,047 | |
| CNO Financial Group, Inc. (a) | | | 6,526 | | | | 161,127 | |
| Cognizant Technology Solutions Corp., Class A (a) | | | 1,869 | | | | 132,736 | |
| Coherent, Inc. *(a) | | | 111 | | | | 31,326 | |
| Comcast Corp., Class A (a) | | | 228 | | | | 9,131 | |
| Commerce Bancshares, Inc. (a) | | | 358 | | | | 19,994 | |
| Conagra Brands, Inc. (a) | | | 717 | | | | 27,009 | |
| Consolidated Edison, Inc. (a) | | | 1,890 | | | | 160,556 | |
| Constellation Brands, Inc., Class A (a) | | | 892 | | | | 203,884 | |
| Convergys Corp. (a) | | | 1,762 | | | | 41,407 | |
| Cooper Cos., Inc. (The) (a) | | | 686 | | | | 149,466 | |
| Cooper Tire & Rubber Co. (a) | | | 4,173 | | | | 147,516 | |
| Copart, Inc. * | | | 156 | | | | 6,738 | |
| Corning, Inc. (a) | | | 10,177 | | | | 325,562 | |
| Costco Wholesale Corp. (a) | | | 185 | | | | 34,432 | |
| Cracker Barrel Old Country Store, Inc. (a) | | | 436 | | | | 69,276 | |
| Credit Acceptance Corp. *(a) | | | 183 | | | | 59,197 | |
| Crown Holdings, Inc. *(a) | | | 683 | | | | 38,419 | |
| Cummins, Inc. (a) | | | 668 | | | | 117,996 | |
| Curtiss-Wright Corp. (a) | | | 227 | | | | 27,660 | |
| CVS Health Corp. (a) | | | 2,540 | | | | 184,150 | |
| Dana, Inc. (a) | | | 6,225 | | | | 199,262 | |
| Danaher Corp. (a) | | | 2,176 | | | | 201,976 | |
| Darden Restaurants, Inc. (a) | | | 1,304 | | | | 125,210 | |
| Deere & Co. (a) | | | 467 | | | | 73,090 | |
| Delta Air Lines, Inc. (a) | | | 2,300 | | | | 128,800 | |
| Deluxe Corp. (a) | | | 769 | | | | 59,090 | |
| Devon Energy Corp. (a) | | | 1,798 | | | | 74,437 | |
| Diamond Offshore Drilling, Inc. *(a) | | | 16,159 | | | | 300,396 | |
| Dillard’s, Inc., Class A (a) | | | 1,271 | | | | 76,324 | |
| Discover Financial Services (a) | | | 635 | | | | 48,844 | |
| Discovery Communications, Inc., Class A *(a) | | | 2,921 | | | | 65,372 | |
| Dolby Laboratories, Inc., Class A (a) | | | 488 | | | | 30,256 | |
| DR Horton, Inc. (a) | | | 673 | | | | 34,370 | |
| DST Systems, Inc. (a) | | | 1,023 | | | | 63,498 | |
| DTE Energy Co. (a) | | | 319 | | | | 34,918 | |
| Eastman Chemical Co. (a) | | | 830 | | | | 76,891 | |
| Eaton Corp. plc (a) | | | 4,814 | | | | 380,354 | |
| Eaton Vance Corp. (a) | | | 182 | | | | 10,263 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
34
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United States - 62.3% (continued) | | | | | | |
| eBay, Inc. *(a) | | | 16,914 | | | $ | 638,334 | |
| Edison International (a) | | | 2,610 | | | | 165,056 | |
| Electronic Arts, Inc. *(a) | | | 1,546 | | | | 162,423 | |
| Eli Lilly & Co. (a) | | | 2,734 | | | | 230,914 | |
| EMCOR Group, Inc. (a) | | | 203 | | | | 16,595 | |
| Estee Lauder Cos., Inc. (The), Class A (a) | | | 2,352 | | | | 299,268 | |
| Esterline Technologies Corp. *(a) | | | 1,353 | | | | 101,069 | |
| Everest Re Group Ltd. | | | 28 | | | | 6,195 | |
| Eversource Energy (a) | | | 600 | | | | 37,908 | |
| Exelixis, Inc. *(a) | | | 1,838 | | | | 55,875 | |
| Exelon Corp. (a) | | | 9,092 | | | | 358,316 | |
| Express Scripts Holding Co. *(a) | | | 4,284 | | | | 319,758 | |
| Facebook, Inc., Class A *(a) | | | 2,491 | | | | 439,562 | |
| Fair Isaac Corp. (a) | | | 860 | | | | 131,752 | |
| Federated Investors, Inc., Class B (a) | | | 1,034 | | | | 37,307 | |
| FedEx Corp. (a) | | | 447 | | | | 111,544 | |
| First American Financial Corp. (a) | | | 2,258 | | | | 126,538 | |
| First Solar, Inc. *(a) | | | 585 | | | | 39,499 | |
| Fiserv, Inc. *(a) | | | 240 | | | | 31,471 | |
| Flex Ltd. *(a) | | | 11,305 | | | | 203,377 | |
| FLIR Systems, Inc. (a) | | | 1,252 | | | | 58,368 | |
| FNF Group (a) | | | 6,599 | | | | 258,945 | |
| Foot Locker, Inc. (a) | | | 332 | | | | 15,564 | |
| Ford Motor Co. (a) | | | 11,331 | | | | 141,524 | |
| Fortinet, Inc. *(a) | | | 242 | | | | 10,573 | |
| Franklin Resources, Inc. (a) | | | 3,830 | | | | 165,954 | |
| GameStop Corp., Class A (a) | | | 14,612 | | | | 262,285 | |
| Gap, Inc. (The) | | | 186 | | | | 6,335 | |
| GATX Corp. (a) | | | 315 | | | | 19,580 | |
| General Dynamics Corp. (a) | | | 646 | | | | 131,429 | |
| General Motors Co. (a) | | | 9,473 | | | | 388,298 | |
| Genpact Ltd. (a) | | | 4,919 | | | | 156,129 | |
| Gilead Sciences, Inc. (a) | | | 7,912 | | | | 566,816 | |
| Globus Medical, Inc., Class A *(a) | | | 2,253 | | | | 92,598 | |
| Goldman Sachs Group, Inc. (The) (a) | | | 447 | | | | 113,878 | |
| Goodyear Tire & Rubber Co. (The) (a) | | | 3,643 | | | | 117,705 | |
| Graham Holdings Co., Class B (a) | | | 49 | | | | 27,359 | |
| H&R Block, Inc. (a) | | | 3,279 | | | | 85,975 | |
| Hanesbrands, Inc. (a) | | | 4,688 | | | | 98,026 | |
| Hanover Insurance Group, Inc. (The) (a) | | | 116 | | | | 12,537 | |
| HCA Healthcare, Inc. *(a) | | | 1,479 | | | | 129,915 | |
| Helen of Troy Ltd. *(a) | | | 174 | | | | 16,765 | |
| Herman Miller, Inc. (a) | | | 747 | | | | 29,917 | |
| Hewlett Packard Enterprise Co. (a) | | | 9,317 | | | | 133,792 | |
| HollyFrontier Corp. (a) | | | 1,877 | | | | 96,140 | |
| Honeywell International, Inc. (a) | | | 1,088 | | | | 166,856 | |
| HP, Inc. (a) | | | 6,929 | | | | 145,578 | |
| Humana, Inc. (a) | | | 999 | | | | 247,822 | |
| Huntington Ingalls Industries, Inc. (a) | | | 1,497 | | | | 352,843 | |
| IAC/InterActiveCorp *(a) | | | 2,283 | | | | 279,165 | |
| Ingredion, Inc. (a) | | | 820 | | | | 114,636 | |
| Integrated Device Technology, Inc. *(a) | | | 364 | | | | 10,822 | |
| Intel Corp. (a) | | | 9,488 | | | | 437,966 | |
| International Business Machines Corp. (a) | | | 3,785 | | | | 580,695 | |
| Intuit, Inc. (a) | | | 1,041 | | | | 164,249 | |
| Intuitive Surgical, Inc. *(a) | | | 66 | | | | 24,086 | |
| Invesco Ltd. (a) | | | 813 | | | | 29,707 | |
| IPG Photonics Corp. *(a) | | | 417 | | | | 89,292 | |
| IQVIA Holdings, Inc. *(a) | | | 3,351 | | | | 328,063 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United States - 62.3% (continued) | | | | | | |
| ITT, Inc. (a) | | | 896 | | | $ | 47,820 | |
| j2 Global, Inc. (a) | | | 2,043 | | | | 153,286 | |
| Jabil, Inc. (a) | | | 9,038 | | | | 237,248 | |
| Jazz Pharmaceuticals plc *(a) | | | 1,155 | | | | 155,521 | |
| JetBlue Airways Corp. *(a) | | | 15,444 | | | | 345,019 | |
| John Wiley & Sons, Inc., Class A (a) | | | 676 | | | | 44,447 | |
| Johnson & Johnson (a) | | | 1,685 | | | | 235,428 | |
| JPMorgan Chase & Co. (a) | | | 1,277 | | | | 136,562 | |
| Juniper Networks, Inc. (a) | | | 2,025 | | | | 57,713 | |
| KB Home (a) | | | 2,496 | | | | 79,747 | |
| Keysight Technologies, Inc. *(a) | | | 1,199 | | | | 49,878 | |
| KLA-Tencor Corp. (a) | | | 1,679 | | | | 176,413 | |
| Kohl’s Corp. (a) | | | 6,352 | | | | 344,469 | |
| Kroger Co. (The)(a) | | | 2,972 | | | | 81,581 | |
| L3 Technologies, Inc. (a) | | | 664 | | | | 131,372 | |
| Laboratory Corp. of America Holdings *(a) | | | 993 | | | | 158,393 | |
| Lam Research Corp. (a) | | | 1,688 | | | | 310,710 | |
| Laredo Petroleum, Inc. *(a) | | | 864 | | | | 9,167 | |
| Lear Corp. (a) | | | 2,366 | | | | 417,978 | |
| Legg Mason, Inc. (a) | | | 462 | | | | 19,395 | |
| Lennar Corp., Class A (a) | | | 274 | | | | 17,328 | |
| Liberty Expedia Holdings, Inc., Class A *(a) | | | 2,206 | | | | 97,792 | |
| Liberty Interactive Corp. QVC Group, Class A *(a) | | | 11,848 | | | | 289,328 | |
| LifePoint Health, Inc. *(a) | | | 748 | | | | 37,250 | |
| Lincoln National Corp. (a) | | | 3,187 | | | | 244,985 | |
| Littelfuse, Inc. (a) | | | 111 | | | | 21,958 | |
| Lockheed Martin Corp. (a) | | | 364 | | | | 116,862 | |
| LyondellBasell Industries NV, Class A (a) | | | 4,904 | | | | 541,009 | |
| Manhattan Associates, Inc. *(a) | | | 1,340 | | | | 66,384 | |
| ManpowerGroup, Inc. (a) | | | 2,593 | | | | 327,003 | |
| Marathon Petroleum Corp. (a) | | | 1,866 | | | | 123,119 | |
| Marvell Technology Group Ltd. (a) | | | 2,383 | | | | 51,163 | |
| Masimo Corp. *(a) | | | 794 | | | | 67,331 | |
| Match Group, Inc. *(a) | | | 3,000 | | | | 93,930 | |
| Maxim Integrated Products, Inc. (a) | | | 984 | | | | 51,444 | |
| MAXIMUS, Inc. (a) | | | 579 | | | | 41,445 | |
| McKesson Corp. (a) | | | 1,782 | | | | 277,903 | |
| Medtronic plc (a) | | | 1,136 | | | | 91,732 | |
| Merck & Co., Inc. | | | 112 | | | | 6,302 | |
| Michael Kors Holdings Ltd. *(a) | | | 3,983 | | | | 250,730 | |
| Microchip Technology, Inc. (a) | | | 484 | | | | 42,534 | |
| Micron Technology, Inc. *(a) | | | 10,421 | | | | 428,512 | |
| Microsoft Corp. (a) | | | 4,232 | | | | 362,005 | |
| Molson Coors Brewing Co., Class B (a) | | | 3,285 | | | | 269,600 | |
| Morgan Stanley | | | 152 | | | | 7,975 | |
| MSA Safety, Inc. (a) | | | 518 | | | | 40,155 | |
| MSCI, Inc. (a) | | | 193 | | | | 24,422 | |
| Murphy Oil Corp. (a) | | | 361 | | | | 11,209 | |
| Murphy USA, Inc. *(a) | | | 739 | | | | 59,386 | |
| Mylan NV *(a) | | | 5,241 | | | | 221,747 | |
| Nasdaq, Inc. (a) | | | 821 | | | | 63,077 | |
| Navient Corp. (a) | | | 3,985 | | | | 53,080 | |
| Netflix, Inc. *(a) | | | 193 | | | | 37,048 | |
| New York Times Co. (The), Class A | | | 353 | | | | 6,531 | |
| Newfield Exploration Co. *(a) | | | 559 | | | | 17,625 | |
| Nielsen Holdings plc (a) | | | 2,004 | | | | 72,946 | |
| Norfolk Southern Corp. (a) | | | 106 | | | | 15,359 | |
| Northrop Grumman Corp. (a) | | | 688 | | | | 211,154 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
35
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United States - 62.3% (continued) | | | | | | |
| Norwegian Cruise Line Holdings Ltd. *(a) | | | 2,026 | | | $ | 107,885 | |
| Nu Skin Enterprises, Inc., Class A (a) | | | 1,814 | | | | 123,769 | |
| NVIDIA Corp. (a) | | | 753 | | | | 145,706 | |
| NVR, Inc. *(a) | | | 4 | | | | 14,033 | |
| Oceaneering International, Inc. (a) | | | 4,267 | | | | 90,204 | |
| Office Depot, Inc. | | | 2,685 | | | | 9,505 | |
| Old Republic International Corp. (a) | | | 6,852 | | | | 146,496 | |
| ON Semiconductor Corp. *(a) | | | 8,767 | | | | 183,581 | |
| OneMain Holdings, Inc. *(a) | | | 494 | | | | 12,839 | |
| Oracle Corp. (a) | | | 8,714 | | | | 411,998 | |
| Owens Corning (a) | | | 2,328 | | | | 214,036 | |
| Parker-Hannifin Corp. (a) | | | 75 | | | | 14,969 | |
| PBF Energy, Inc., Class A (a) | | | 3,765 | | | | 133,469 | |
| Penske Automotive Group, Inc. (a) | | | 743 | | | | 35,553 | |
| PepsiCo, Inc. | | | 64 | | | | 7,675 | |
| PerkinElmer, Inc. (a) | | | 2,612 | | | | 190,989 | |
| Pfizer, Inc. (a) | | | 6,068 | | | | 219,783 | |
| PNC Financial Services Group, Inc. (The) (a) | | | 568 | | | | 81,957 | |
| Popular, Inc. (a) | | | 1,439 | | | | 51,070 | |
| Priceline Group, Inc. (The) *(a) | | | 115 | | | | 199,840 | |
| Principal Financial Group, Inc. (a) | | | 3,182 | | | | 224,522 | |
| Procter & Gamble Co. (The) | | | 78 | | | | 7,167 | |
| Prudential Financial, Inc. (a) | | | 1,741 | | | | 200,180 | |
| Public Service Enterprise Group, Inc. (a) | | | 328 | | | | 16,892 | |
| PulteGroup, Inc. (a) | | | 2,522 | | | | 83,857 | |
| QEP Resources, Inc. *(a) | | | 1,405 | | | | 13,446 | |
| QIAGEN NV *(a) | | | 2,197 | | | | 67,953 | |
| Qorvo, Inc. *(a) | | | 1,743 | | | | 116,084 | |
| Quest Diagnostics, Inc. (a) | | | 329 | | | | 32,403 | |
| Raymond James Financial, Inc. (a) | | | 258 | | | | 23,039 | |
| Raytheon Co. (a) | | | 1,701 | | | | 319,533 | |
| Regal Beloit Corp. (a) | | | 640 | | | | 49,024 | |
| Regeneron Pharmaceuticals, Inc. *(a) | | | 27 | | | | 10,151 | |
| Reinsurance Group of America, Inc. (a) | | | 2,384 | | | | 371,737 | |
| Reliance Steel & Aluminum Co. (a) | | | 496 | | | | 42,552 | |
| Republic Services, Inc. (a) | | | 625 | | | | 42,256 | |
| Robert Half International, Inc. (a) | | | 3,059 | | | | 169,897 | |
| Rowan Cos. plc, Class A *(a) | | | 1,693 | | | | 26,512 | |
| Royal Caribbean Cruises Ltd. (a) | | | 2,017 | | | | 240,588 | |
| RPC, Inc. (a) | | | 4,327 | | | | 110,468 | |
| Ryder System, Inc. (a) | | | 785 | | | | 66,073 | |
| Sanderson Farms, Inc. (a) | | | 2,807 | | | | 389,555 | |
| Santander Consumer USA Holdings, Inc. | | | 357 | | | | 6,647 | |
| Seagate Technology plc (a) | | | 5,541 | | | | 231,835 | |
| Service Corp. International (a) | | | 3,215 | | | | 119,984 | |
| Silgan Holdings, Inc. (a) | | | 694 | | | | 20,397 | |
| Silicon Laboratories, Inc. *(a) | | | 96 | | | | 8,477 | |
| Skechers U.S.A., Inc., Class A *(a) | | | 534 | | | | 20,207 | |
| Skyworks Solutions, Inc. (a) | | | 4,073 | | | | 386,731 | |
| Snap-on, Inc. (a) | | | 1,111 | | | | 193,647 | |
| Southwestern Energy Co. *(a) | | | 50,029 | | | | 279,162 | |
| Spirit AeroSystems Holdings, Inc., Class A (a) | | | 3,922 | | | | 342,195 | |
| SS&C Technologies Holdings, Inc. (a) | | | 611 | | | | 24,733 | |
| Starbucks Corp. (a) | | | 1,211 | | | | 69,548 | |
| State Street Corp. (a) | | | 889 | | | | 86,775 | |
| Stryker Corp. (a) | | | 532 | | | | 82,375 | |
| SunTrust Banks, Inc. (a) | | | 382 | | | | 24,673 | |
| Synaptics, Inc. *(a) | | | 523 | | | | 20,889 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United States - 62.3% (continued) | | | | | | |
| SYNNEX Corp. (a) | | | 406 | | | $ | 55,196 | |
| Synopsys, Inc. *(a) | | | 1,976 | | | | 168,434 | |
| T. Rowe Price Group, Inc. (a) | | | 1,596 | | | | 167,468 | |
| Target Corp. (a) | | | 611 | | | | 39,868 | |
| TE Connectivity Ltd. (a) | | | 3,625 | | | | 344,520 | |
| Tech Data Corp. *(a) | | | 1,884 | | | | 184,575 | |
| TEGNA, Inc. (a) | | | 10,039 | | | | 141,349 | |
| Teledyne Technologies, Inc. *(a) | | | 198 | | | | 35,868 | |
| Texas Instruments, Inc. (a) | | | 3,368 | | | | 351,754 | |
| Textron, Inc. (a) | | | 2,076 | | | | 117,481 | |
| Thermo Fisher Scientific, Inc. (a) | | | 1,220 | | | | 231,654 | |
| Timken Co. (The) | | | 153 | | | | 7,520 | |
| Toll Brothers, Inc. (a) | | | 280 | | | | 13,446 | |
| Torchmark Corp. (a) | | | 288 | | | | 26,124 | |
| Total System Services, Inc. (a) | | | 384 | | | | 30,371 | |
| Travelers Cos., Inc. (The) (a) | | | 2,590 | | | | 351,308 | |
| Tyson Foods, Inc., Class A (a) | | | 3,171 | | | | 257,073 | |
| United Continental Holdings, Inc. *(a) | | | 3,932 | | | | 265,017 | |
| United Natural Foods, Inc. *(a) | | | 595 | | | | 29,316 | |
| United Rentals, Inc. *(a) | | | 984 | | | | 169,159 | |
| United Therapeutics Corp. *(a) | | | 2,349 | | | | 347,535 | |
| UnitedHealth Group, Inc. (a) | | | 56 | | | | 12,346 | |
| Universal Health Services, Inc., Class B | | | 59 | | | | 6,688 | |
| Unum Group (a) | | | 3,469 | | | | 190,413 | |
| US Bancorp (a) | | | 1,072 | | | | 57,438 | |
| Valeant Pharmaceuticals International, Inc. *(a) | | | 4,806 | | | | 100,173 | |
| Valero Energy Corp. (a) | | | 3,269 | | | | 300,454 | |
| Validus Holdings Ltd. (a) | | | 399 | | | | 18,721 | |
| Varian Medical Systems, Inc. *(a) | | | 244 | | | | 27,121 | |
| VeriSign, Inc. *(a) | | | 2,008 | | | | 229,796 | |
| Versum Materials, Inc. (a) | | | 1,992 | | | | 75,397 | |
| Vertex Pharmaceuticals, Inc. *(a) | | | 73 | | | | 10,940 | |
| VF Corp. (a) | | | 394 | | | | 29,156 | |
| Viacom, Inc., Class B (a) | | | 7,017 | | | | 216,194 | |
| Vishay Intertechnology, Inc. (a) | | | 7,400 | | | | 153,550 | |
| Vistra Energy Corp. *(a) | | | 37,613 | | | | 689,070 | |
| VMware, Inc., Class A *(a) | | | 1,145 | | | | 143,491 | |
| Walgreens Boots Alliance, Inc. (a) | | | 343 | | | | 24,909 | |
| Wal-Mart Stores, Inc. (a) | | | 2,790 | | | | 275,513 | |
| Walt Disney Co. (The) (a) | | | 1,998 | | | | 214,805 | |
| Waste Management, Inc. (a) | | | 732 | | | | 63,172 | |
| Waters Corp. *(a) | | | 1,109 | | | | 214,248 | |
| Werner Enterprises, Inc. (a) | | | 1,188 | | | | 45,916 | |
| Western Digital Corp. (a) | | | 7,600 | | | | 604,428 | |
| Westlake Chemical Corp. (a) | | | 983 | | | | 104,719 | |
| Whirlpool Corp. (a) | | | 885 | | | | 149,246 | |
| Williams-Sonoma, Inc. (a) | | | 1,058 | | | | 54,699 | |
| Woodward, Inc. (a) | | | 194 | | | | 14,849 | |
| Wyndham Worldwide Corp. (a) | | | 206 | | | | 23,869 | |
| Xerox Corp. (a) | | | 9,175 | | | | 267,451 | |
| | | | | | | | |
| | | | | | | 48,715,591 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $73,777,317) | | | | | | | 74,797,269 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
36
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| SHORT-TERM INVESTMENTS - 75.2% | |
| INVESTMENT COMPANIES - 75.2% | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.17% (2)(c) | | | 141,285 | | | $ | 141,285 | |
| Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.15% (2)(c) | | | 565,139 | | | | 565,139 | |
| Limited Purpose Cash Investment Fund, 1.17% (2)(c) | | | 57,367,862 | | | | 57,362,125 | |
| UBS Select Treasury Preferred Fund, Class I, 1.16% (2)(c) | | | 706,424 | | | | 706,424 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(Cost $58,774,973) | | | | | | | 58,774,973 | |
| | | | | | | | |
TOTAL LONG POSITIONS
(Cost $132,552,290) | | | | | | | 133,572,242 | |
| | | | | | | | |
|
| SHORT POSITIONS - (81.7)% | |
| COMMON STOCKS - (81.7)% | |
| |
| Australia - (1.2)% | | | | |
| Alumina Ltd. (2) | | | (79,434 | ) | | | (149,698 | ) |
| AMP Ltd. (2) | | | (29,314 | ) | | | (118,326 | ) |
| APA Group (2) | | | (16,903 | ) | | | (109,607 | ) |
| Aristocrat Leisure Ltd. (2) | | | (1,885 | ) | | | (34,711 | ) |
| Atlassian Corp. plc, Class A * | | | (3,273 | ) | | | (148,987 | ) |
| Domino’s Pizza Enterprises Ltd. (2) | | | (1,231 | ) | | | (44,742 | ) |
| Healthscope Ltd. (2) | | | (46,614 | ) | | | (76,198 | ) |
| Iluka Resources Ltd. (2) | | | (6,230 | ) | | | (49,155 | ) |
| Medibank Pvt Ltd. (2) | | | (8,011 | ) | | | (20,515 | ) |
| Ramsay Health Care Ltd. (2) | | | (393 | ) | | | (21,460 | ) |
| SEEK Ltd. (2) | | | (4,579 | ) | | | (67,713 | ) |
| Tabcorp Holdings Ltd. (2) | | | (10,199 | ) | | | (44,249 | ) |
| Vocus Group Ltd. (2) | | | (14,631 | ) | | | (34,499 | ) |
| | | | | | | | |
| | | | | | | (919,860 | ) |
| | | | | | | | |
| Belgium - (0.7)% | | | | | | |
| Anheuser-Busch InBev SA (2) | | | (2,414 | ) | | | (269,503 | ) |
| Galapagos NV (2)* | | | (2,595 | ) | | | (244,520 | ) |
| Telenet Group Holding NV (2)* | | | (740 | ) | | | (51,553 | ) |
| | | | | | | | |
| | | | | | | (565,576 | ) |
| | | | | | | | |
| Canada - (2.9)% | | | | | | |
| AltaGas Ltd. | | | (2,949 | ) | | | (67,144 | ) |
| Barrick Gold Corp. | | | (1,597 | ) | | | (23,097 | ) |
| BlackBerry Ltd. * | | | (1,711 | ) | | | (19,111 | ) |
| Bombardier, Inc., Class B * | | | (33,804 | ) | | | (81,485 | ) |
| Cameco Corp. | | | (6,855 | ) | | | (63,315 | ) |
| Canadian National Railway Co. | | | (1,335 | ) | | | (110,082 | ) |
| CCL Industries, Inc., Class B | | | (1,581 | ) | | | (73,051 | ) |
| Eldorado Gold Corp. | | | (14,304 | ) | | | (20,711 | ) |
| Element Fleet Management Corp. | | | (4,385 | ) | | | (33,140 | ) |
| Enbridge Income Fund Holdings, Inc. | | | (355 | ) | | | (8,419 | ) |
| Enbridge, Inc. | | | (10,943 | ) | | | (427,970 | ) |
| Finning International, Inc. | | | (769 | ) | | | (19,405 | ) |
| Husky Energy, Inc. * | | | (5,535 | ) | | | (78,159 | ) |
| Imperial Oil Ltd. | | | (3,141 | ) | | | (98,028 | ) |
| Inter Pipeline Ltd. | | | (1,093 | ) | | | (22,634 | ) |
| Keyera Corp. | | | (3,396 | ) | | | (95,693 | ) |
| Onex Corp. | | | (414 | ) | | | (30,363 | ) |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Canada - (2.9)% (continued) | | | | | | |
| Open Text Corp. | | | (895 | ) | | $ | (31,834 | ) |
| Pembina Pipeline Corp. | | | (2,399 | ) | | | (86,856 | ) |
| Restaurant Brands International, Inc. | | | (1,366 | ) | | | (83,970 | ) |
| Ritchie Bros Auctioneers, Inc. | | | (1,221 | ) | | | (36,562 | ) |
| Shopify, Inc., Class A * | | | (887 | ) | | | (89,695 | ) |
| SNC-Lavalin Group, Inc. | | | (2,021 | ) | | | (91,725 | ) |
| Teck Resources Ltd., Class B | | | (1,587 | ) | | | (41,499 | ) |
| TransCanada Corp. | | | (6,803 | ) | | | (331,112 | ) |
| Waste Connections, Inc. | | | (89 | ) | | | (6,314 | ) |
| Wheaton Precious Metals Corp. | | | (7,274 | ) | | | (160,815 | ) |
| | | | | | | | |
| | | | | | | (2,232,189 | ) |
| | | | | | | | |
| Colombia - (0.1)% | | | | | | |
| Millicom International Cellular SA, SDR (2) | | | (750 | ) | | | (50,629 | ) |
| | | | | | | | |
| | |
| Denmark - (0.7)% | | | | | | |
| AP Moller - Maersk A/S, Class B (2) | | | (157 | ) | | | (273,649 | ) |
| Chr Hansen Holding A/S (2) | | | (128 | ) | | | (12,000 | ) |
| FLSmidth & Co. A/S (2) | | | (954 | ) | | | (55,489 | ) |
| Genmab A/S (2)* | | | (1,018 | ) | | | (168,591 | ) |
| Pandora A/S (2) | | | (298 | ) | | | (32,392 | ) |
| | | | | | | | |
| | | | | | | (542,121 | ) |
| | | | | | | | |
| Finland - (0.6)% | | | | | | |
| Amer Sports OYJ (2)* | | | (685 | ) | | | (18,960 | ) |
| Fortum OYJ (2) | | | (656 | ) | | | (12,983 | ) |
| Metso OYJ (2) | | | (230 | ) | | | (7,846 | ) |
| Nokia OYJ (2) | | | (74,469 | ) | | | (347,945 | ) |
| Orion OYJ, Class B (2) | | | (1,302 | ) | | | (48,545 | ) |
| | | | | | | | |
| | | | | | | (436,279 | ) |
| | | | | | | | |
| France - (1.1)% | | | | | | |
| Accor SA (2) | | | (235 | ) | | | (12,098 | ) |
| Airbus SE (2) | | | (2,475 | ) | | | (245,982 | ) |
| Carrefour SA (2) | | | (4,914 | ) | | | (105,948 | ) |
| Edenred (2) | | | (3,569 | ) | | | (103,322 | ) |
| Getlink SE (2) | | | (3,095 | ) | | | (39,807 | ) |
| Iliad SA (2) | | | (482 | ) | | | (115,495 | ) |
| Ingenico Group SA (2) | | | (62 | ) | | | (6,619 | ) |
| Ipsen SA (2) | | | (84 | ) | | | (9,998 | ) |
| SCOR SE (2) | | | (167 | ) | | | (6,712 | ) |
| Technicolor SA (Registered) (2) | | | (9,621 | ) | | | (33,134 | ) |
| Vivendi SA (2) | | | (6,340 | ) | | | (170,163 | ) |
| | | | | | | | |
| | | | | | | (849,278 | ) |
| | | | | | | | |
| Germany - (2.3)% | | | | | | |
| adidas AG (2) | | | (50 | ) | | | (9,999 | ) |
| Axel Springer SE (2) | | | (463 | ) | | | (36,105 | ) |
| Brenntag AG (2) | | | (134 | ) | | | (8,448 | ) |
| Commerzbank AG (2)* | | | (6,775 | ) | | | (101,065 | ) |
| CTS Eventim AG & Co. KGaA (2) | | | (750 | ) | | | (34,869 | ) |
| Deutsche Bank AG (Registered) (2) | | | (17,270 | ) | | | (326,645 | ) |
| Deutsche Telekom AG (Registered) (2) | | | (19,809 | ) | | | (350,153 | ) |
| GEA Group AG (2) | | | (1,230 | ) | | | (58,848 | ) |
| KION Group AG (2) | | | (908 | ) | | | (78,162 | ) |
| LANXESS AG (2) | | | (729 | ) | | | (57,787 | ) |
| ProSiebenSat.1 Media SE (2) | | | (5,311 | ) | | | (182,304 | ) |
| Rational AG (2) | | | (10 | ) | | | (6,433 | ) |
| RWE AG (2)* | | | (2,031 | ) | | | (41,332 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
37
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Germany - (2.3)% (continued) | | | | | | |
| Sartorius AG (Preference) (2) | | | (607 | ) | | $ | (57,660 | ) |
| Telefonica Deutschland Holding AG (2) | | | (21,785 | ) | | | (109,028 | ) |
| thyssenkrupp AG (2) | | | (4,503 | ) | | | (129,847 | ) |
| Zalando SE (2)*(b) | | | (3,691 | ) | | | (194,618 | ) |
| | | | | | | | |
| | | | | | | (1,783,303 | ) |
| | | | | | | | |
| Ireland - (0.2)% | | | | | | |
| James Hardie Industries plc, CHESS (2) | | | (7,911 | ) | | | (138,940 | ) |
| | | | | | | | |
| | |
| Italy - (0.8)% | | | | | | |
| BPER Banca (2) | | | (20,362 | ) | | | (102,577 | ) |
| Brembo SpA (2) | | | (1,766 | ) | | | (26,829 | ) |
| Buzzi Unicem SpA (2) | | | (4,236 | ) | | | (114,275 | ) |
| Davide Campari-Milano SpA (2) | | | (7,350 | ) | | | (56,790 | ) |
| Ferrari NV (2) | | | (1,139 | ) | | | (119,345 | ) |
| Leonardo SpA (2) | | | (1,470 | ) | | | (17,468 | ) |
| UniCredit SpA (2)* | | | (5,570 | ) | | | (103,904 | ) |
| Unione di Banche Italiane SpA (2) | | | (1,936 | ) | | | (8,440 | ) |
| Unipol Gruppo SpA (2) | | | (22,820 | ) | | | (106,885 | ) |
| | | | | | | | |
| | | | | | | (656,513 | ) |
| | | | | | | | |
| Japan - (11.6)% | | | | | | |
| Advantest Corp. (2) | | | (15,800 | ) | | | (291,499 | ) |
| Aeon Co. Ltd. (2) | | | (16,100 | ) | | | (271,569 | ) |
| AEON Financial Service Co. Ltd. (2) | | | (600 | ) | | | (13,945 | ) |
| Ajinomoto Co., Inc. (2) | | | (1,500 | ) | | | (28,221 | ) |
| Asahi Intecc Co. Ltd. (2) | | | (1,800 | ) | | | (61,692 | ) |
| Asics Corp. (2) | | | (7,700 | ) | | | (122,390 | ) |
| Bandai Namco Holdings, Inc. (2) | | | (700 | ) | | | (22,848 | ) |
| Calbee, Inc. (2) | | | (3,000 | ) | | | (97,493 | ) |
| Casio Computer Co. Ltd. (2) | | | (3,800 | ) | | | (54,528 | ) |
| Chugoku Bank Ltd. (The)(2) | | | (500 | ) | | | (6,664 | ) |
| Chugoku Electric Power Co., Inc. (The) (2) | | | (7,700 | ) | | | (82,661 | ) |
| Coca-Cola Bottlers Japan, Inc. (2) | | | (1,700 | ) | | | (62,031 | ) |
| Cosmos Pharmaceutical Corp. (2) | | | (200 | ) | | | (41,732 | ) |
| Dai-ichi Life Holdings, Inc. (2) | | | (3,800 | ) | | | (78,098 | ) |
| Daikin Industries Ltd. (2) | | | (2,400 | ) | | | (283,591 | ) |
| Daiwa Securities Group, Inc. (2) | | | (2,000 | ) | | | (12,513 | ) |
| DeNA Co. Ltd. (2) | | | (1,100 | ) | | | (22,646 | ) |
| Dentsu, Inc. (2) | | | (2,200 | ) | | | (93,027 | ) |
| Don Quijote Holdings Co. Ltd. (2) | | | (2,000 | ) | | | (104,260 | ) |
| Eisai Co. Ltd. (2) | | | (1,200 | ) | | | (68,172 | ) |
| FamilyMart UNY Holdings Co. Ltd. (2) | | | (4,900 | ) | | | (343,187 | ) |
| FANUC Corp. (2) | | | (100 | ) | | | (23,990 | ) |
| Fast Retailing Co. Ltd. (2) | | | (900 | ) | | | (357,852 | ) |
| Hikari Tsushin, Inc. (2) | | | (100 | ) | | | (14,357 | ) |
| Hokuriku Electric Power Co. (2) | | | (9,200 | ) | | | (74,016 | ) |
| Ibiden Co. Ltd. (2) | | | (800 | ) | | | (11,941 | ) |
| IHI Corp. (2) | | | (2,000 | ) | | | (66,333 | ) |
| Isetan Mitsukoshi Holdings Ltd. (2) | | | (16,300 | ) | | | (201,710 | ) |
| J Front Retailing Co. Ltd. (2) | | | (6,300 | ) | | | (118,391 | ) |
| Japan Airport Terminal Co. Ltd. (2) | | | (1,800 | ) | | | (66,643 | ) |
| Japan Post Holdings Co. Ltd. (2) | | | (4,600 | ) | | | (52,688 | ) |
| Japan Post Insurance Co. Ltd. (2) | | | (300 | ) | | | (7,052 | ) |
| JGC Corp. (2) | | | (8,400 | ) | | | (162,283 | ) |
| Kakaku.com, Inc. (2) | | | (1,500 | ) | | | (25,321 | ) |
| Kansai Paint Co. Ltd. (2) | | | (3,100 | ) | | | (80,443 | ) |
| Keihan Holdings Co. Ltd. (2) | | | (1,000 | ) | | | (29,420 | ) |
| Keikyu Corp. (2) | | | (3,900 | ) | | | (74,834 | ) |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - (11.6)% (continued) | | | | | | |
| Keio Corp. (2) | | | (200 | ) | | $ | (8,785 | ) |
| Kikkoman Corp. (2) | | | (2,400 | ) | | | (97,055 | ) |
| Kintetsu Group Holdings Co. Ltd. (2) | | | (1,100 | ) | | | (42,097 | ) |
| Kose Corp. (2) | | | (400 | ) | | | (62,331 | ) |
| Lawson, Inc. (2) | | | (100 | ) | | | (6,645 | ) |
| Marui Group Co. Ltd. (2) | | | (8,700 | ) | | | (159,037 | ) |
| Mitsubishi Logistics Corp. (2) | | | (1,200 | ) | | | (31,110 | ) |
| Mitsubishi Motors Corp. (2) | | | (21,000 | ) | | | (151,076 | ) |
| Mitsubishi UFJ Lease & Finance Co. Ltd. (2) | | | (3,000 | ) | | | (17,806 | ) |
| Murata Manufacturing Co. Ltd. (2) | | | (100 | ) | | | (13,389 | ) |
| Nankai Electric Railway Co. Ltd. (2) | | | (1,300 | ) | | | (32,171 | ) |
| NGK Spark Plug Co. Ltd. (2) | | | (700 | ) | | | (16,966 | ) |
| Nidec Corp. (2) | | | (3,900 | ) | | | (546,066 | ) |
| Nifco, Inc. (2) | | | (200 | ) | | | (13,615 | ) |
| Nikon Corp. (2) | | | (1,600 | ) | | | (32,197 | ) |
| Nintendo Co. Ltd. (2) | | | (800 | ) | | | (288,077 | ) |
| Nippon Paint Holdings Co. Ltd. (2) | | | (6,000 | ) | | | (189,578 | ) |
| Nippon Shinyaku Co. Ltd. (2) | | | (200 | ) | | | (14,877 | ) |
| Nippon Yusen KK (2)* | | | (7,200 | ) | | | (175,188 | ) |
| Nomura Holdings, Inc. (2) | | | (1,100 | ) | | | (6,448 | ) |
| Odakyu Electric Railway Co. Ltd. (2) | | | (800 | ) | | | (17,093 | ) |
| Olympus Corp. (2) | | | (200 | ) | | | (7,651 | ) |
| Orient Corp. (2) | | | (5,000 | ) | | | (7,964 | ) |
| Park24 Co. Ltd. (2) | | | (4,800 | ) | | | (114,909 | ) |
| PeptiDream, Inc. (2)* | | | (300 | ) | | | (10,234 | ) |
| Pigeon Corp. (2) | | | (2,600 | ) | | | (98,787 | ) |
| Rakuten, Inc. (2) | | | (3,000 | ) | | | (27,422 | ) |
| Recruit Holdings Co. Ltd. (2) | | | (6,000 | ) | | | (148,980 | ) |
| Renesas Electronics Corp. (2)* | | | (20,100 | ) | | | (233,109 | ) |
| Ricoh Co. Ltd. (2) | | | (19,300 | ) | | | (178,850 | ) |
| Rinnai Corp. (2) | | | (100 | ) | | | (9,048 | ) |
| Rohm Co. Ltd. (2) | | | (900 | ) | | | (99,146 | ) |
| Sankyo Co. Ltd. (2) | | | (1,700 | ) | | | (53,460 | ) |
| Santen Pharmaceutical Co. Ltd. (2) | | | (500 | ) | | | (7,830 | ) |
| Secom Co. Ltd. (2) | | | (300 | ) | | | (22,633 | ) |
| Seibu Holdings, Inc. (2) | | | (1,500 | ) | | | (28,339 | ) |
| Seiko Epson Corp. (2) | | | (3,500 | ) | | | (82,395 | ) |
| Seven & i Holdings Co. Ltd. (2) | | | (100 | ) | | | (4,143 | ) |
| Shimadzu Corp. (2) | | | (500 | ) | | | (11,343 | ) |
| Shimano, Inc. (2) | | | (2,000 | ) | | | (281,117 | ) |
| Shiseido Co. Ltd. (2) | | | (3,400 | ) | | | (163,829 | ) |
| SoftBank Group Corp. (2) | | | (2,300 | ) | | | (182,092 | ) |
| Sompo Holdings, Inc. (2) | | | (200 | ) | | | (7,720 | ) |
| Stanley Electric Co. Ltd. (2) | | | (200 | ) | | | (8,092 | ) |
| SUMCO Corp. (2) | | | (8,700 | ) | | | (220,864 | ) |
| Sumitomo Rubber Industries Ltd. (2) | | | (1,300 | ) | | | (24,093 | ) |
| Suruga Bank Ltd. (2) | | | (1,700 | ) | | | (36,350 | ) |
| Sysmex Corp. (2) | | | (700 | ) | | | (54,965 | ) |
| T&D Holdings, Inc. (2) | | | (10,600 | ) | | | (180,841 | ) |
| Terumo Corp. (2) | | | (1,300 | ) | | | (61,503 | ) |
| Toho Gas Co. Ltd. (2) | | | (500 | ) | | | (13,689 | ) |
| Tokio Marine Holdings, Inc. (2) | | | (5,400 | ) | | | (245,608 | ) |
| Tokyo Century Corp. (2) | | | (300 | ) | | | (14,521 | ) |
| Toray Industries, Inc. (2) | | | (700 | ) | | | (6,589 | ) |
| TOTO Ltd. (2) | | | (900 | ) | | | (52,996 | ) |
| Toyo Seikan Group Holdings Ltd. (2) | | | (400 | ) | | | (6,421 | ) |
| Tsuruha Holdings, Inc. (2) | | | (400 | ) | | | (54,332 | ) |
| Unicharm Corp. (2) | | | (6,500 | ) | | | (168,786 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
38
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - (11.6)% (continued) | | | | | | |
| USS Co. Ltd. (2) | | | (2,500 | ) | | $ | (52,867 | ) |
| Yakult Honsha Co. Ltd. (2) | | | (300 | ) | | | (22,637 | ) |
| Yamaha Corp. (2) | | | (5,200 | ) | | | (191,811 | ) |
| Yamato Holdings Co. Ltd. (2) | | | (8,800 | ) | | | (176,663 | ) |
| Yaskawa Electric Corp. (2) | | | (5,400 | ) | | | (236,602 | ) |
| Yokohama Rubber Co. Ltd. (The) (2) | | | (1,500 | ) | | | (36,639 | ) |
| | | | | | | | |
| | | | | | | (9,099,518 | ) |
| | | | | | | | |
| Luxembourg - (0.3)% | | | | | | |
| Eurofins Scientific SE (2) | | | (11 | ) | | | (6,686 | ) |
| SES SA, FDR (2) | | | (4,086 | ) | | | (63,707 | ) |
| Tenaris SA (2) | | | (11,656 | ) | | | (185,004 | ) |
| | | | | | | | |
| | | | | | | (255,397 | ) |
| | | | | | | | |
| Netherlands - (1.0)% | | | | | | |
| Altice NV, Class A (2)* | | | (29,758 | ) | | | (312,056 | ) |
| Boskalis Westminster (2) | | | (2,924 | ) | | | (110,187 | ) |
| Koninklijke KPN NV (2) | | | (85,255 | ) | | | (297,649 | ) |
| Koninklijke Vopak NV (2) | | | (1,155 | ) | | | (50,594 | ) |
| OCI NV (2)* | | | (254 | ) | | | (6,406 | ) |
| Royal Dutch Shell plc, Class A (2) | | | (1,238 | ) | | | (41,328 | ) |
| | | | | | | | |
| | | | | | | (818,220 | ) |
| | | | | | | | |
| Norway - (0.1)% | | | | | | |
| Schibsted ASA, Class A (2) | | | (2,013 | ) | | | (57,612 | ) |
| Statoil ASA (2) | | | (6 | ) | | | (129 | ) |
| | | | | | | | |
| | | | | | | (57,741 | ) |
| | | | | | | | |
| Singapore - (0.3)% | | | | | | |
| CapitaLand Ltd. (2) | | | (35,300 | ) | | | (92,863 | ) |
| City Developments Ltd. (2) | | | (6,200 | ) | | | (57,661 | ) |
| Global Logistic Properties Ltd. (2) | | | (16,100 | ) | | | (40,542 | ) |
| Jardine Cycle & Carriage Ltd. (2) | | | (400 | ) | | | (12,142 | ) |
| Keppel Corp. Ltd. (2) | | | (4,400 | ) | | | (24,077 | ) |
| | | | | | | | |
| | | | | | | (227,285 | ) |
| | | | | | | | |
| Spain - (1.3)% | | | | | | |
| Banco Santander SA (2) | | | (1,304 | ) | | | (8,549 | ) |
| Bankia SA (2) | | | (39,432 | ) | | | (188,207 | ) |
| Cellnex Telecom SA (2)(b) | | | (5,480 | ) | | | (140,208 | ) |
| Ferrovial SA (2) | | | (4,450 | ) | | | (100,985 | ) |
| Grifols SA (2) | | | (220 | ) | | | (6,433 | ) |
| Industria de Diseno Textil SA (2) | | | (14,851 | ) | | | (516,396 | ) |
| Melia Hotels International SA (2) | | | (1,264 | ) | | | (17,392 | ) |
| Telefonica SA (2) | | | (1,766 | ) | | | (17,197 | ) |
| | | | | | | | |
| | | | | | | (995,367 | ) |
| | | | | | | | |
| Sweden - (0.9)% | | | | | | |
| Assa Abloy AB, Class B (2) | | | (1,815 | ) | | | (37,628 | ) |
| Atlas Copco AB, Class A (2) | | | (1,025 | ) | | | (44,235 | ) |
| Elekta AB, Class B (2) | | | (1,026 | ) | | | (8,472 | ) |
| Hennes & Mauritz AB, Class B (2) | | | (5,298 | ) | | | (109,583 | ) |
| Telefonaktiebolaget LM Ericsson, Class B (2) | | | (77,343 | ) | | | (510,443 | ) |
| | | | | | | | |
| | | | | | | (710,361 | ) |
| | | | | | | | |
| Switzerland - (1.2)% | | | | | | |
| Aryzta AG (2)* | | | (4,188 | ) | | | (166,191 | ) |
| Chocoladefabriken Lindt & Spruengli AG (2) | | | (7 | ) | | | (42,731 | ) |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Switzerland - (1.2)% (continued) | | | | | | |
| Credit Suisse Group AG (Registered) (2)* | | | (21,983 | ) | | $ | (392,083 | ) |
| Dufry AG (Registered) (2)* | | | (1,093 | ) | | | (162,245 | ) |
| Glencore plc (2)* | | | (4,092 | ) | | | (21,417 | ) |
| Idorsia Ltd. (2)* | | | (2,427 | ) | | | (63,564 | ) |
| OC Oerlikon Corp. AG (Registered) (2)* | | | (2,076 | ) | | | (35,042 | ) |
| Swatch Group AG (The) (2) | | | (121 | ) | | | (49,269 | ) |
| Vifor Pharma AG (2) | | | (150 | ) | | | (19,203 | ) |
| | | | | | | | |
| | | | | | | (951,745 | ) |
| | | | | | | | |
| United Kingdom - (1.5)% | | | | | | |
| AA plc (2) | | | (16,829 | ) | | | (38,550 | ) |
| AstraZeneca plc (2) | | | (692 | ) | | | (47,752 | ) |
| Avon Products, Inc. * | | | (10,905 | ) | | | (23,446 | ) |
| BP plc (2) | | | (5,676 | ) | | | (39,819 | ) |
| British American Tobacco plc (2) | | | (2,754 | ) | | | (186,167 | ) |
| Capita plc (2) | | | (4,934 | ) | | | (26,659 | ) |
| CNH Industrial NV (2) | | | (5,434 | ) | | | (72,699 | ) |
| Cobham plc (2)* | | | (38,954 | ) | | | (66,279 | ) |
| ConvaTec Group plc (2)(b) | | | (46,663 | ) | | | (128,665 | ) |
| easyJet plc (2) | | | (1,040 | ) | | | (20,507 | ) |
| Imperial Brands plc (2) | | | (308 | ) | | | (13,137 | ) |
| International Consolidated Airlines Group SA (2) | | | (1,778 | ) | | | (15,571 | ) |
| John Wood Group plc (2) | | | (5,111 | ) | | | (44,719 | ) |
| Pentair plc | | | (261 | ) | | | (18,432 | ) |
| Prudential plc (2) | | | (2,633 | ) | | | (67,432 | ) |
| Rolls-Royce Holdings plc (2)* | | | (685 | ) | | | (7,818 | ) |
| Rolls-Royce Holdings plc (Preference) (3)*(d) | | | (18,584 | ) | | | (25 | ) |
| Standard Chartered plc (2)* | | | (1,575 | ) | | | (16,540 | ) |
| Tesco plc (2) | | | (94,619 | ) | | | (267,689 | ) |
| Weir Group plc (The) (2) | | | (2,808 | ) | | | (80,328 | ) |
| | | | | | | | |
| | | | | | | (1,182,234 | ) |
| | | | | | | | |
| United States - (52.6)% | | | | | | |
| Acadia Healthcare Co., Inc. * | | | (273 | ) | | | (8,908 | ) |
| Acuity Brands, Inc. | | | (1,228 | ) | | | (216,128 | ) |
| Acxiom Corp. * | | | (1,421 | ) | | | (39,163 | ) |
| Advance Auto Parts, Inc. | | | (2,111 | ) | | | (210,446 | ) |
| Advanced Micro Devices, Inc. * | | | (39,340 | ) | | | (404,415 | ) |
| AES Corp. | | | (9,104 | ) | | | (98,596 | ) |
| Agios Pharmaceuticals, Inc. * | | | (2,874 | ) | | | (164,307 | ) |
| Albemarle Corp. | | | (754 | ) | | | (96,429 | ) |
| Alkermes plc * | | | (3,563 | ) | | | (195,003 | ) |
| Allegheny Technologies, Inc. * | | | (6,631 | ) | | | (160,072 | ) |
| Allegion plc | | | (88 | ) | | | (7,001 | ) |
| Allergan plc | | | (760 | ) | | | (124,321 | ) |
| Alliant Energy Corp. | | | (174 | ) | | | (7,414 | ) |
| Allscripts Healthcare Solutions, Inc. * | | | (4,406 | ) | | | (64,107 | ) |
| Alnylam Pharmaceuticals, Inc. * | | | (819 | ) | | | (104,054 | ) |
| American Airlines Group, Inc. | | | (123 | ) | | | (6,400 | ) |
| American International Group, Inc. | | | (6,891 | ) | | | (410,566 | ) |
| AmerisourceBergen Corp. | | | (271 | ) | | | (24,883 | ) |
| Anadarko Petroleum Corp. | | | (6,829 | ) | | | (366,308 | ) |
| Antero Resources Corp. * | | | (2,179 | ) | | | (41,401 | ) |
| AO Smith Corp. | | | (1,837 | ) | | | (112,571 | ) |
| Aon plc | | | (169 | ) | | | (22,646 | ) |
| Apache Corp. | | | (1,380 | ) | | | (58,264 | ) |
| AptarGroup, Inc. | | | (293 | ) | | | (25,280 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
39
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United States - (52.6)% (continued) | | | | | | |
| Arconic, Inc. | | | (3,412 | ) | | $ | (92,977 | ) |
| Arista Networks, Inc. * | | | (999 | ) | | | (235,344 | ) |
| Ashland Global Holdings, Inc. | | | (2,638 | ) | | | (187,826 | ) |
| Aspen Insurance Holdings Ltd. | | | (3,784 | ) | | | (153,630 | ) |
| athenahealth, Inc. * | | | (611 | ) | | | (81,287 | ) |
| Autodesk, Inc. * | | | (2,755 | ) | | | (288,807 | ) |
| Avis Budget Group, Inc. * | | | (3,715 | ) | | | (163,014 | ) |
| Axalta Coating Systems Ltd. * | | | (8,273 | ) | | | (267,714 | ) |
| Baker Hughes a GE Co. | | | (264 | ) | | | (8,353 | ) |
| Ball Corp. | | | (11,851 | ) | | | (448,560 | ) |
| BancorpSouth Bank | | | (221 | ) | | | (6,950 | ) |
| Bank of the Ozarks, Inc. | | | (1,847 | ) | | | (89,487 | ) |
| Belden, Inc. | | | (192 | ) | | | (14,817 | ) |
| Bemis Co., Inc. | | | (1,106 | ) | | | (52,856 | ) |
| Berry Global Group, Inc. * | | | (566 | ) | | | (33,207 | ) |
| BioMarin Pharmaceutical, Inc. * | | | (1,712 | ) | | | (152,659 | ) |
| Black Hills Corp. | | | (3,891 | ) | | | (233,888 | ) |
| Blue Buffalo Pet Products, Inc. * | | | (8,963 | ) | | | (293,897 | ) |
| Boston Scientific Corp. * | | | (348 | ) | | | (8,627 | ) |
| Brighthouse Financial, Inc. * | | | (1,031 | ) | | | (60,458 | ) |
| Brink’s Co. (The) | | | (81 | ) | | | (6,375 | ) |
| Brookdale Senior Living, Inc. * | | | (21,978 | ) | | | (213,187 | ) |
| Brown-Forman Corp., Class B | | | (784 | ) | | | (53,837 | ) |
| Cable One, Inc. | | | (44 | ) | | | (30,947 | ) |
| Cabot Oil & Gas Corp. | | | (7,482 | ) | | | (213,985 | ) |
| Calpine Corp. * | | | (875 | ) | | | (13,239 | ) |
| CarMax, Inc. * | | | (1,182 | ) | | | (75,802 | ) |
| Carpenter Technology Corp. | | | (879 | ) | | | (44,820 | ) |
| Casey’s General Stores, Inc. | | | (90 | ) | | | (10,075 | ) |
| Catalent, Inc. * | | | (267 | ) | | | (10,968 | ) |
| CenterPoint Energy, Inc. | | | (3,157 | ) | | | (89,533 | ) |
| CenturyLink, Inc. | | | (18,860 | ) | | | (314,585 | ) |
| CF Industries Holdings, Inc. | | | (2,566 | ) | | | (109,158 | ) |
| Charles Schwab Corp. (The) | | | (122 | ) | | | (6,267 | ) |
| Charter Communications, Inc., Class A * | | | (1,525 | ) | | | (512,339 | ) |
| Chemical Financial Corp. | | | (1,372 | ) | | | (73,361 | ) |
| Chemours Co. (The) | | | (1,568 | ) | | | (78,494 | ) |
| Cheniere Energy, Inc. * | | | (14,459 | ) | | | (778,473 | ) |
| Chevron Corp. | | | (4,186 | ) | | | (524,045 | ) |
| Chipotle Mexican Grill, Inc. * | | | (135 | ) | | | (39,019 | ) |
| Ciena Corp. * | | | (2,632 | ) | | | (55,088 | ) |
| Cimarex Energy Co. | | | (381 | ) | | | (46,486 | ) |
| Cincinnati Financial Corp. | | | (744 | ) | | | (55,778 | ) |
| CIT Group, Inc. | | | (2,451 | ) | | | (120,663 | ) |
| Citizens Financial Group, Inc. | | | (579 | ) | | | (24,306 | ) |
| Clean Harbors, Inc. * | | | (229 | ) | | | (12,412 | ) |
| CNX Resources Corp. * | | | (1,004 | ) | | | (14,689 | ) |
| Colfax Corp. * | | | (1,518 | ) | | | (60,143 | ) |
| Comerica, Inc. | | | (1,270 | ) | | | (110,249 | ) |
| Commercial Metals Co. | | | (3,445 | ) | | | (73,447 | ) |
| CommScope Holding Co., Inc. * | | | (2,767 | ) | | | (104,676 | ) |
| CommVault Systems, Inc. * | | | (2,892 | ) | | | (151,830 | ) |
| Concho Resources, Inc. * | | | (710 | ) | | | (106,656 | ) |
| Conduent, Inc. * | | | (19,021 | ) | | | (307,379 | ) |
| ConocoPhillips | | | (5,182 | ) | | | (284,440 | ) |
| CoStar Group, Inc. * | | | (68 | ) | | | (20,193 | ) |
| Coty, Inc., Class A | | | (9,685 | ) | | | (192,635 | ) |
| Cree, Inc. * | | | (5,009 | ) | | | (186,034 | ) |
| CSX Corp. | | | (161 | ) | | | (8,857 | ) |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United States - (52.6)% (continued) | | | | | | |
| Cypress Semiconductor Corp. | | | (982 | ) | | $ | (14,966 | ) |
| DaVita, Inc. * | | | (1,576 | ) | | | (113,866 | ) |
| Dean Foods Co. | | | (2,674 | ) | | | (30,911 | ) |
| Delphi Technologies plc * | | | (10 | ) | | | (507 | ) |
| DexCom, Inc. * | | | (5,253 | ) | | | (301,470 | ) |
| Dick’s Sporting Goods, Inc. | | | (531 | ) | | | (15,261 | ) |
| Diebold Nixdorf, Inc. | | | (4,118 | ) | | | (67,329 | ) |
| DISH Network Corp., Class A * | | | (2,981 | ) | | | (142,343 | ) |
| Dominion Energy, Inc. | | | (3,832 | ) | | | (310,622 | ) |
| Domino’s Pizza, Inc. | | | (1,024 | ) | | | (193,495 | ) |
| Dover Corp. | | | (2,825 | ) | | | (285,297 | ) |
| Dun & Bradstreet Corp. (The) | | | (143 | ) | | | (16,933 | ) |
| Dunkin’ Brands Group, Inc. | | | (227 | ) | | | (14,635 | ) |
| Eagle Materials, Inc. | | | (700 | ) | | | (79,310 | ) |
| East West Bancorp, Inc. | | | (218 | ) | | | (13,261 | ) |
| Ecolab, Inc. | | | (831 | ) | | | (111,504 | ) |
| Edgewell Personal Care Co. * | | | (931 | ) | | | (55,292 | ) |
| Edwards Lifesciences Corp. * | | | (404 | ) | | | (45,535 | ) |
| Endo International plc * | | | (3,315 | ) | | | (25,691 | ) |
| Energen Corp. * | | | (457 | ) | | | (26,309 | ) |
| Energizer Holdings, Inc. | | | (204 | ) | | | (9,788 | ) |
| Ensco plc, Class A | | | (21,170 | ) | | | (125,115 | ) |
| Entergy Corp. | | | (1,231 | ) | | | (100,191 | ) |
| Envision Healthcare Corp. * | | | (2,006 | ) | | | (69,327 | ) |
| EOG Resources, Inc. | | | (2,870 | ) | | | (309,702 | ) |
| EQT Corp. | | | (3,431 | ) | | | (195,293 | ) |
| Exxon Mobil Corp. | | | (4,707 | ) | | | (393,693 | ) |
| Fastenal Co. | | | (118 | ) | | | (6,453 | ) |
| FireEye, Inc. * | | | (17,205 | ) | | | (244,311 | ) |
| First Data Corp., Class A * | | | (20,666 | ) | | | (345,329 | ) |
| First Horizon National Corp. | | | (6,050 | ) | | | (120,939 | ) |
| First Republic Bank | | | (2,358 | ) | | | (204,297 | ) |
| FirstEnergy Corp. | | | (33,184 | ) | | | (1,016,094 | ) |
| FleetCor Technologies, Inc. * | | | (33 | ) | | | (6,350 | ) |
| Flowers Foods, Inc. | | | (318 | ) | | | (6,141 | ) |
| Flowserve Corp. | | | (2,961 | ) | | | (124,747 | ) |
| FMC Corp. | | | (1,076 | ) | | | (101,854 | ) |
| FNB Corp. | | | (4,750 | ) | | | (65,645 | ) |
| Freeport-McMoRan, Inc. * | | | (6,464 | ) | | | (122,557 | ) |
| Gartner, Inc. * | | | (2,112 | ) | | | (260,093 | ) |
| General Electric Co. | | | (19,904 | ) | | | (347,325 | ) |
| Genesee & Wyoming, Inc., Class A * | | | (1,633 | ) | | | (128,566 | ) |
| Global Payments, Inc. | | | (62 | ) | | | (6,215 | ) |
| GoDaddy, Inc., Class A * | | | (589 | ) | | | (29,615 | ) |
| Granite Construction, Inc. | | | (566 | ) | | | (35,901 | ) |
| Graphic Packaging Holding Co. | | | (17,592 | ) | | | (271,796 | ) |
| Greif, Inc., Class A | | | (101 | ) | | | (6,119 | ) |
| Guidewire Software, Inc. * | | | (1,493 | ) | | | (110,870 | ) |
| Hain Celestial Group, Inc. (The)* | | | (5,769 | ) | | | (244,548 | ) |
| Halliburton Co. | | | (2,575 | ) | | | (125,840 | ) |
| Hancock Holding Co. | | | (248 | ) | | | (12,276 | ) |
| Hasbro, Inc. | | | (120 | ) | | | (10,907 | ) |
| Hershey Co. (The) | | | (186 | ) | | | (21,113 | ) |
| Hess Corp. | | | (12,284 | ) | | | (583,121 | ) |
| Home BancShares, Inc. | | | (2,457 | ) | | | (57,125 | ) |
| Howard Hughes Corp. (The)* | | | (1,192 | ) | | | (156,474 | ) |
| Huntington Bancshares, Inc. | | | (3,600 | ) | | | (52,416 | ) |
| IDEXX Laboratories, Inc. * | | | (630 | ) | | | (98,519 | ) |
| IHS Markit Ltd. * | | | (3,603 | ) | | | (162,675 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
40
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United States - (52.6)% (continued) | | | | | | |
| ILG, Inc. | | | (313 | ) | | $ | (8,914 | ) |
| Illumina, Inc. * | | | (29 | ) | | | (6,336 | ) |
| INC Research Holdings, Inc., Class A * | | | (2,676 | ) | | | (116,674 | ) |
| Incyte Corp. * | | | (2,807 | ) | | | (265,851 | ) |
| InterDigital, Inc. | | | (218 | ) | | | (16,601 | ) |
| International Game Technology plc | | | (6,671 | ) | | | (176,848 | ) |
| International Paper Co. | | | (814 | ) | | | (47,163 | ) |
| Intrexon Corp. * | | | (925 | ) | | | (10,656 | ) |
| Ionis Pharmaceuticals, Inc. * | | | (1,330 | ) | | | (66,899 | ) |
| Jack in the Box, Inc. | | | (117 | ) | | | (11,479 | ) |
| Johnson Controls International plc | | | (1,058 | ) | | | (40,320 | ) |
| Juno Therapeutics, Inc. * | | | (4,238 | ) | | | (193,719 | ) |
| KBR, Inc. | | | (3,344 | ) | | | (66,312 | ) |
| Kellogg Co. | | | (141 | ) | | | (9,585 | ) |
| Kemper Corp. | | | (1,184 | ) | | | (81,578 | ) |
| Kennametal, Inc. | | | (997 | ) | | | (48,265 | ) |
| KeyCorp | | | (316 | ) | | | (6,374 | ) |
| Kinder Morgan, Inc. | | | (7,000 | ) | | | (126,490 | ) |
| KLX, Inc. * | | | (208 | ) | | | (14,196 | ) |
| Knowles Corp. * | | | (1,318 | ) | | | (19,322 | ) |
| Kraft Heinz Co. (The) | | | (1,800 | ) | | | (139,968 | ) |
| L Brands, Inc. | | | (3,783 | ) | | | (227,812 | ) |
| Lancaster Colony Corp. | | | (208 | ) | | | (26,876 | ) |
| Leggett & Platt, Inc. | | | (721 | ) | | | (34,413 | ) |
| Lennox International, Inc. | | | (784 | ) | | | (163,276 | ) |
| Liberty Broadband Corp., Class C * | | | (3,379 | ) | | | (287,756 | ) |
| Lincoln Electric Holdings, Inc. | | | (1,021 | ) | | | (93,503 | ) |
| Live Nation Entertainment, Inc. * | | | (585 | ) | | | (24,903 | ) |
| Loews Corp. | | | (2,620 | ) | | | (131,079 | ) |
| LogMeIn, Inc. | | | (110 | ) | | | (12,595 | ) |
| Macquarie Infrastructure Corp. | | | (4,821 | ) | | | (309,508 | ) |
| Madison Square Garden Co. (The), Class A * | | | (316 | ) | | | (66,629 | ) |
| Mallinckrodt plc * | | | (1,362 | ) | | | (30,727 | ) |
| Marathon Oil Corp. | | | (5,669 | ) | | | (95,976 | ) |
| Markel Corp. * | | | (6 | ) | | | (6,835 | ) |
| Martin Marietta Materials, Inc. | | | (2,639 | ) | | | (583,325 | ) |
| Masco Corp. | | | (771 | ) | | | (33,878 | ) |
| Mattel, Inc. | | | (29,549 | ) | | | (454,464 | ) |
| MB Financial, Inc. | | | (910 | ) | | | (40,513 | ) |
| McCormick & Co., Inc. (Non-Voting) | | | (409 | ) | | | (41,681 | ) |
| MDU Resources Group, Inc. | | | (5,570 | ) | | | (149,722 | ) |
| Medidata Solutions, Inc. * | | | (1,566 | ) | | | (99,237 | ) |
| Mercury General Corp. | | | (440 | ) | | | (23,514 | ) |
| MetLife, Inc. | | | (3,333 | ) | | | (168,516 | ) |
| MGM Resorts International | | | (2,519 | ) | | | (84,109 | ) |
| Microsemi Corp. * | | | (134 | ) | | | (6,921 | ) |
| Middleby Corp. (The)* | | | (48 | ) | | | (6,478 | ) |
| Mondelez International, Inc., Class A | | | (3,928 | ) | | | (168,118 | ) |
| Monster Beverage Corp. * | | | (2,389 | ) | | | (151,200 | ) |
| Mosaic Co. (The) | | | (2,162 | ) | | | (55,477 | ) |
| Nabors Industries Ltd. | | | (64,724 | ) | | | (442,065 | ) |
| National Fuel Gas Co. | | | (2,790 | ) | | | (153,199 | ) |
| National Oilwell Varco, Inc. | | | (4,314 | ) | | | (155,390 | ) |
| Neurocrine Biosciences, Inc. * | | | (924 | ) | | | (71,693 | ) |
| New Jersey Resources Corp. | | | (237 | ) | | | (9,527 | ) |
| Newell Brands, Inc. | | | (942 | ) | | | (29,108 | ) |
| Newmont Mining Corp. | | | (5,868 | ) | | | (220,167 | ) |
| NiSource, Inc. | | | (2,008 | ) | | | (51,545 | ) |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United States - (52.6)% (continued) | | | | | | |
| Noble Energy, Inc. | | | (11,351 | ) | | $ | (330,768 | ) |
| NOW, Inc. * | | | (12,644 | ) | | | (139,463 | ) |
| NRG Energy, Inc. | | | (9,459 | ) | | | (269,392 | ) |
| Nucor Corp. | | | (2,993 | ) | | | (190,295 | ) |
| NuVasive, Inc. * | | | (716 | ) | | | (41,879 | ) |
| Occidental Petroleum Corp. | | | (3,479 | ) | | | (256,263 | ) |
| OGE Energy Corp. | | | (308 | ) | | | (10,136 | ) |
| ONEOK, Inc. | | | (9,318 | ) | | | (498,047 | ) |
| Packaging Corp. of America | | | (204 | ) | | | (24,592 | ) |
| PacWest Bancorp | | | (1,731 | ) | | | (87,242 | ) |
| Palo Alto Networks, Inc. * | | | (2,646 | ) | | | (383,511 | ) |
| Pandora Media, Inc. * | | | (66,614 | ) | | | (321,079 | ) |
| Papa John’s International, Inc. | | | (383 | ) | | | (21,490 | ) |
| Parsley Energy, Inc., Class A * | | | (4,239 | ) | | | (124,796 | ) |
| Patterson Cos., Inc. | | | (1,008 | ) | | | (36,419 | ) |
| Patterson-UTI Energy, Inc. | | | (8,301 | ) | | | (191,006 | ) |
| Paychex, Inc. | | | (200 | ) | | | (13,616 | ) |
| People’s United Financial, Inc. | | | (617 | ) | | | (11,538 | ) |
| Perrigo Co. plc | | | (916 | ) | | | (79,839 | ) |
| Philip Morris International, Inc. | | | (1,147 | ) | | | (121,181 | ) |
| Pinnacle Financial Partners, Inc. | | | (623 | ) | | | (41,305 | ) |
| Pitney Bowes, Inc. | | | (5,164 | ) | | | (57,734 | ) |
| Platform Specialty Products Corp. * | | | (18,876 | ) | | | (187,250 | ) |
| Pool Corp. | | | (101 | ) | | | (13,095 | ) |
| Post Holdings, Inc. * | | | (3,086 | ) | | | (244,504 | ) |
| Premier, Inc., Class A * | | | (5,738 | ) | | | (167,492 | ) |
| Prosperity Bancshares, Inc. | | | (630 | ) | | | (44,144 | ) |
| PTC, Inc. * | | | (1,875 | ) | | | (113,944 | ) |
| QIAGEN NV (2)* | | | (2,563 | ) | | | (79,941 | ) |
| Ralph Lauren Corp. | | | (65 | ) | | | (6,740 | ) |
| RenaissanceRe Holdings Ltd. | | | (95 | ) | | | (11,931 | ) |
| Royal Gold, Inc. | | | (2,602 | ) | | | (213,676 | ) |
| RPM International, Inc. | | | (805 | ) | | | (42,198 | ) |
| RSP Permian, Inc. * | | | (1,404 | ) | | | (57,115 | ) |
| salesforce.com, Inc. * | | | (1,260 | ) | | | (128,810 | ) |
| Schlumberger Ltd. | | | (5,267 | ) | | | (354,943 | ) |
| Sealed Air Corp. | | | (11,309 | ) | | | (557,534 | ) |
| Seattle Genetics, Inc. * | | | (2,439 | ) | | | (130,486 | ) |
| ServiceNow, Inc. * | | | (2,114 | ) | | | (275,644 | ) |
| Signature Bank * | | | (46 | ) | | | (6,314 | ) |
| SLM Corp. * | | | (8,192 | ) | | | (92,570 | ) |
| SM Energy Co. | | | (577 | ) | | | (12,740 | ) |
| Snyder’s-Lance, Inc. | | | (2,704 | ) | | | (135,416 | ) |
| Sotheby’s * | | | (1,834 | ) | | | (94,634 | ) |
| Southern Co. (The) | | | (3,176 | ) | | | (152,734 | ) |
| Southwest Gas Holdings, Inc. | | | (1,860 | ) | | | (149,693 | ) |
| Splunk, Inc. * | | | (2,205 | ) | | | (182,662 | ) |
| Sprint Corp. * | | | (20,553 | ) | | | (121,057 | ) |
| Square, Inc., Class A * | | | (9,606 | ) | | | (333,040 | ) |
| Steel Dynamics, Inc. | | | (3,088 | ) | | | (133,185 | ) |
| Sterling Bancorp | | | (6,184 | ) | | | (152,126 | ) |
| Superior Energy Services, Inc. * | | | (13,883 | ) | | | (133,693 | ) |
| SVB Financial Group * | | | (140 | ) | | | (32,728 | ) |
| Symantec Corp. | | | (248 | ) | | | (6,959 | ) |
| Synchrony Financial | | | (3,175 | ) | | | (122,587 | ) |
| Tableau Software, Inc., Class A * | | | (1,966 | ) | | | (136,047 | ) |
| Targa Resources Corp. | | | (8,317 | ) | | | (402,709 | ) |
| TCF Financial Corp. | | | (303 | ) | | | (6,212 | ) |
| Telephone & Data Systems, Inc. | | | (2,723 | ) | | | (75,699 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
41
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United States - (52.6)% (continued) | | | | | | |
| Tempur Sealy International, Inc. * | | | (2,702 | ) | | $ | (169,388 | ) |
| Tenet Healthcare Corp. * | | | (9,736 | ) | | | (147,598 | ) |
| Terex Corp. | | | (1,400 | ) | | | (67,508 | ) |
| Tesla, Inc. * | | | (2,471 | ) | | | (769,346 | ) |
| Texas Capital Bancshares, Inc. * | | | (1,063 | ) | | | (94,501 | ) |
| Tiffany & Co. | | | (1,814 | ) | | | (188,565 | ) |
| TransDigm Group, Inc. | | | (307 | ) | | | (84,308 | ) |
| Transocean Ltd. * | | | (1,495 | ) | | | (15,967 | ) |
| TransUnion * | | | (1,848 | ) | | | (101,566 | ) |
| TreeHouse Foods, Inc. * | | | (1,862 | ) | | | (92,095 | ) |
| TRI Pointe Group, Inc. * | | | (3,623 | ) | | | (64,924 | ) |
| Trimble, Inc. * | | | (833 | ) | | | (33,853 | ) |
| Trinity Industries, Inc. | | | (658 | ) | | | (24,649 | ) |
| TripAdvisor, Inc. * | | | (1,273 | ) | | | (43,868 | ) |
| Trustmark Corp. | | | (188 | ) | | | (5,990 | ) |
| Twitter, Inc. * | | | (1,742 | ) | | | (41,825 | ) |
| Tyler Technologies, Inc. * | | | (95 | ) | | | (16,820 | ) |
| Ulta Beauty, Inc. * | | | (1,182 | ) | | | (264,366 | ) |
| Ultimate Software Group, Inc. (The)* | | | (828 | ) | | | (180,694 | ) |
| UMB Financial Corp. | | | (207 | ) | | | (14,887 | ) |
| Umpqua Holdings Corp. | | | (296 | ) | | | (6,157 | ) |
| United Bankshares, Inc. | | | (4,142 | ) | | | (143,935 | ) |
| United Parcel Service, Inc., Class B | | | (585 | ) | | | (69,703 | ) |
| United States Steel Corp. | | | (4,503 | ) | | | (158,461 | ) |
| Univar, Inc. * | | | (2,642 | ) | | | (81,796 | ) |
| USG Corp. * | | | (805 | ) | | | (31,041 | ) |
| Vail Resorts, Inc. | | | (74 | ) | | | (15,723 | ) |
| Valvoline, Inc. | | | (8,821 | ) | | | (221,054 | ) |
| Vectren Corp. | | | (2,455 | ) | | | (159,624 | ) |
| Veeva Systems, Inc., Class A * | | | (847 | ) | | | (46,822 | ) |
| VeriFone Systems, Inc. * | | | (5,896 | ) | | | (104,418 | ) |
| ViaSat, Inc. * | | | (1,213 | ) | | | (90,793 | ) |
| Vulcan Materials Co. | | | (7,462 | ) | | | (957,897 | ) |
| WABCO Holdings, Inc. * | | | (74 | ) | | | (10,619 | ) |
| Wabtec Corp. | | | (882 | ) | | | (71,821 | ) |
| Watsco, Inc. | | | (38 | ) | | | (6,462 | ) |
| Wayfair, Inc., Class A * | | | (1,802 | ) | | | (144,647 | ) |
| Weatherford International plc * | | | (91,074 | ) | | | (379,779 | ) |
| Webster Financial Corp. | | | (149 | ) | | | (8,368 | ) |
| Welbilt, Inc. * | | | (4,845 | ) | | | (113,906 | ) |
| Wendy’s Co. (The) | | | (6,853 | ) | | | (112,526 | ) |
| Westar Energy, Inc. | | | (1,729 | ) | | | (91,291 | ) |
| Western Alliance Bancorp * | | | (782 | ) | | | (44,277 | ) |
| WEX, Inc. * | | | (375 | ) | | | (52,961 | ) |
| White Mountains Insurance Group Ltd. | | | (87 | ) | | | (74,061 | ) |
| Williams Cos., Inc. (The) | | | (10,556 | ) | | | (321,852 | ) |
| Willis Towers Watson plc | | | (419 | ) | | | (63,139 | ) |
| Wintrust Financial Corp. | | | (76 | ) | | | (6,260 | ) |
| Workday, Inc., Class A * | | | (3,618 | ) | | | (368,095 | ) |
| WPX Energy, Inc. * | | | (11,609 | ) | | | (163,339 | ) |
| WR Grace & Co. | | | (163 | ) | | | (11,431 | ) |
| Wynn Resorts Ltd. | | | (759 | ) | | | (127,960 | ) |
| Xilinx, Inc. | | | (590 | ) | | | (39,778 | ) |
| XL Group Ltd. | | | (1,449 | ) | | | (50,947 | ) |
| XPO Logistics, Inc. * | | | (81 | ) | | | (7,419 | ) |
| Zayo Group Holdings, Inc. * | | | (15,454 | ) | | | (568,707 | ) |
| Zebra Technologies Corp., Class A * | | | (144 | ) | | | (14,947 | ) |
| Zillow Group, Inc., Class C * | | | (1,076 | ) | | | (44,030 | ) |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United States - (52.6)% (continued) | | | | | | |
| Zions Bancorp | | | (400 | ) | | $ | (20,332 | ) |
| Zynga, Inc., Class A * | | | (15,168 | ) | | | (60,672 | ) |
| | | | | | | | |
| | | | | | | (41,170,284 | ) |
| | | | | | | | |
| Zambia - (0.3)% | | | | | | |
| First Quantum Minerals Ltd. | | | (16,115 | ) | | | (225,764 | ) |
| | | | | | | | |
TOTAL COMMON STOCKS
(Proceeds $(63,077,436)) | | | | | | | (63,868,604 | ) |
| | | | | | | | |
TOTAL SHORT POSITIONS
(Proceeds $(63,077,436)) | | | | | | | (63,868,604 | ) |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 89.1%
(Cost $69,474,854) | | | | | | | 69,703,638 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES - 10.9% (e) | | | | | | | 8,504,165 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 78,207,803 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 1,195,377 | | | | 1.5 | % |
| Consumer Staples | | | (1,239,083 | ) | | | (1.6 | ) |
| Energy | | | (4,202,403 | ) | | | (5.4 | ) |
| Financials | | | 3,938,715 | | | | 5.0 | |
| Health Care | | | 5,864,782 | | | | 7.5 | |
| Industrials | | | 3,835,373 | | | | 4.9 | |
| Information Technology | | | 7,158,573 | | | | 9.2 | |
| Materials | | | (3,873,157 | ) | | | (5.0 | ) |
| Real Estate | | | (347,540 | ) | | | (0.4 | ) |
| Telecommunication Services | | | (1,753,994 | ) | | | (2.3 | ) |
| Utilities | | | 352,022 | | | | 0.5 | |
| Short-Term Investments | | | 58,774,973 | | | | 75.2 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 69,703,638 | | | | 89.1 | |
| Other Assets in Excess of Liabilities (e) | | | 8,504,165 | | | | 10.9 | |
| | | | | | | | |
Net Assets | | $ | 78,207,803 | | | | 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 $70,046,382. |
| (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 December 31, 2017 amounted to $392,957, which represents approximately 0.50% of net assets of the fund. |
| (c) | Represents 7-day effective yield as of December 31, 2017. |
| (d) | Security fair valued as of December 31, 2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at December 31, 2017 amounted to $(25), which represents approximately (0.00)% of net assets of the fund. |
| (e) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures, swap and written option contracts. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
42
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 5). |
| (3) | Level 3 security (See Note 5). |
Abbreviations
CHESS - Clearing House Electronic Subregister System Depository Interest
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
Written Call Options Contracts as of December 31, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | COUNTERPARTY | | | NUMBER OF
CONTRACTS | | | NOTIONAL
AMOUNT | | | EXERCISE
PRICE | | | EXPIRATION
DATE | | | VALUE | |
| EURO STOXX 50 Index | | | JPMS | | | | 1 | | | EUR | (35,040 | ) | | EUR | 3,550.00 | | | | 1/19/2018 | | | | $(203 | ) |
| EURO STOXX 50 Index | | | JPMS | | | | 10 | | | EUR | (350,396 | ) | | EUR | 3,575.00 | | | | 2/16/2018 | | | | (3,108 | ) |
| Nikkei 225 Index | | | JPMS | | | | 1 | | | JPY | (22,764,940 | ) | | JPY | 22,625.00 | | | | 1/12/2018 | | | | (2,840 | ) |
| Nikkei 225 Index | | | JPMS | | | | 3 | | | JPY | (68,294,820 | ) | | JPY | 22,875.00 | | | | 1/12/2018 | | | | (4,793 | ) |
| S&P 500 Index | | | JPMS | | | | 1 | | | USD | (267,361 | ) | | USD | 2,665.00 | | | | 1/19/2018 | | | | (2,725 | ) |
| S&P 500 Index | | | JPMS | | | | 8 | | | USD | (2,138,888 | ) | | USD | 2,665.00 | | | | 2/16/2018 | | | | (31,960 | ) |
| S&P 500 Index | | | JPMS | | | | 9 | | | USD | (2,406,249 | ) | | USD | 2,670.00 | | | | 1/19/2018 | | | | (18,585 | ) |
| S&P 500 Index | | | JPMS | | | | 3 | | | USD | (802,083 | ) | | USD | 2,670.00 | | | | 2/16/2018 | | | | (9,900 | ) |
| U.S. Treasury 10 Year Note | | | JPMS | | | | 9 | | | USD | (900,000 | ) | | USD | 123.50 | | | | 1/26/2018 | | | | (6,890 | ) |
| U.S. Treasury 10 Year Note | | | JPMS | | | | 9 | | | USD | (900,000 | ) | | USD | 123.50 | | | | 2/23/2018 | | | | (8,859 | ) |
| U.S. Treasury 10 Year Note | | | JPMS | | | | 19 | | | USD | (1,900,000 | ) | | USD | 124.00 | | | | 1/26/2018 | | | | (8,906 | ) |
| U.S. Treasury 10 Year Note | | | JPMS | | | | 20 | | | USD | (2,000,000 | ) | | USD | 124.00 | | | | 2/23/2018 | | | | (13,750 | ) |
| U.S. Treasury 10 Year Note | | | JPMS | | | | 23 | | | USD | (2,300,000 | ) | | USD | 124.50 | | | | 1/26/2018 | | | | (6,110 | ) |
| U.S. Treasury 10 Year Note | | | JPMS | | | | 22 | | | USD | (2,200,000 | ) | | USD | 124.50 | | | | 2/23/2018 | | | | (10,312 | ) |
| U.S. Treasury 10 Year Note | | | JPMS | | | | 3 | | | USD | (300,000 | ) | | USD | 125.00 | | | | 1/26/2018 | | | | (422 | ) |
| U.S. Treasury 10 Year Note | | | JPMS | | | | 4 | | | USD | (400,000 | ) | | USD | 125.50 | | | | 2/23/2018 | | | | (812 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | $(130,175 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Written Put Options Contracts as of December 31, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | COUNTERPARTY | | | NUMBER OF
CONTRACTS | | | NOTIONAL
AMOUNT | | | EXERCISE
PRICE | | | EXPIRATION
DATE | | | VALUE | |
| EURO STOXX 50 Index | | | JPMS | | | | 10 | | | EUR | (350,396 | ) | | EUR | 3,400.00 | | | | 2/16/2018 | | | | $(3,756 | ) |
| EURO STOXX 50 Index | | | JPMS | | | | 9 | | | EUR | (315,356 | ) | | EUR | 3,450.00 | | | | 1/19/2018 | | | | (2,138 | ) |
| EURO STOXX 50 Index | | | JPMS | | | | 9 | | | EUR | (315,356 | ) | | EUR | 3,475.00 | | | | 2/16/2018 | | | | (5,766 | ) |
| EURO STOXX 50 Index | | | JPMS | | | | 4 | | | EUR | (140,159 | ) | | EUR | 3,500.00 | | | | 1/19/2018 | | | | (1,742 | ) |
| EURO STOXX 50 Index | | | JPMS | | | | 7 | | | EUR | (245,277 | ) | | EUR | 3,525.00 | | | | 1/19/2018 | | | | (4,073 | ) |
| Nikkei 225 Index | | | JPMS | | | | 4 | | | JPY | (91,059,760 | ) | | JPY | 22,250.00 | | | | 1/12/2018 | | | | (3,018 | ) |
| Nikkei 225 Index | | | JPMS | | | | 3 | | | JPY | (68,294,820 | ) | | JPY | 22,500.00 | | | | 1/12/2018 | | | | (3,728 | ) |
| S&P 500 Index | | | JPMS | | | | 9 | | | USD | (2,406,249 | ) | | USD | 2,575.00 | | | | 2/16/2018 | | | | (11,610 | ) |
| S&P 500 Index | | | JPMS | | | | 2 | | | USD | (534,722 | ) | | USD | 2,580.00 | | | | 2/16/2018 | | | | (2,356 | ) |
| S&P 500 Index | | | JPMS | | | | 8 | | | USD | (2,138,888 | ) | | USD | 2,605.00 | | | | 1/19/2018 | | | | (5,680 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
43
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | COUNTERPARTY | | | NUMBER OF
CONTRACTS | | | NOTIONAL
AMOUNT | | | EXERCISE
PRICE | | | EXPIRATION
DATE | | | VALUE | |
| S&P 500 Index | | | JPMS | | | | 2 | | | USD | (534,722 | ) | | USD | 2,610.00 | | | | 1/19/2018 | | | | $ (1,464 | ) |
| S&P 500 Index | | | JPMS | | | | 9 | | | USD | (2,406,249 | ) | | USD | 2,620.00 | | | | 2/16/2018 | | | | (16,650 | ) |
| S&P 500 Index | | | JPMS | | | | 2 | | | USD | (534,722 | ) | | USD | 2,625.00 | | | | 2/16/2018 | | | | (3,880 | ) |
| S&P 500 Index | | | JPMS | | | | 8 | | | USD | (2,138,888 | ) | | USD | 2,635.00 | | | | 1/19/2018 | | | | (8,360 | ) |
| S&P 500 Index | | | JPMS | | | | 1 | | | USD | (267,361 | ) | | USD | 2,640.00 | | | | 1/19/2018 | | | | (990 | ) |
| U.S. Treasury 10 Year Note | | | JPMS | | | | 6 | | | USD | (600,000 | ) | | USD | 122.50 | | | | 2/23/2018 | | | | (1,125 | ) |
| U.S. Treasury 10 Year Note | | | JPMS | | | | 18 | | | USD | (1,800,000 | ) | | USD | 123.00 | | | | 1/26/2018 | | | | (2,250 | ) |
| U.S. Treasury 10 Year Note | | | JPMS | | | | 24 | | | USD | (2,400,000 | ) | | USD | 123.00 | | | | 2/23/2018 | | | | (7,125 | ) |
| U.S. Treasury 10 Year Note | | | JPMS | | | | 31 | | | USD | (3,100,000 | ) | | USD | 123.50 | | | | 1/26/2018 | | | | (7,266 | ) |
| U.S. Treasury 10 Year Note | | | JPMS | | | | 30 | | | USD | (3,000,000 | ) | | USD | 123.50 | | | | 2/23/2018 | | | | (13,125 | ) |
| U.S. Treasury 10 Year Note | | | JPMS | | | | 3 | | | USD | (300,000 | ) | | USD | 124.00 | | | | 1/26/2018 | | | | (1,266 | ) |
| U.S. Treasury 10 Year Note | | | JPMS | | | | 2 | | | USD | (200,000 | ) | | USD | 124.00 | | | | 2/23/2018 | | | | (1,281 | ) |
| U.S. Treasury 10 Year Note | | | JPMS | | | | 1 | | | USD | (100,000 | ) | | USD | 124.50 | | | | 1/26/2018 | | | | (703 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | (109,352 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| Total Written Options Contracts (Premiums Received ($275,064)) | | | | | | | | | | | | $(239,527 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Total return swap contracts outstanding as of December 31, 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) | |
MSCI Hong Kong Net Return Index | | Decreases in total return of reference entity and pays the Hong Kong Interbank Offered Rate (“HIBOR”) plus or minus a specified spread (0.45) | | Increases in total return of reference entity | | Monthly | | BANA | | | 03/23/2018 | | | HKD | 12,236,058 | | | | $41,817 | |
MSCI Hong Kong Net Return Index | | Decreases in total return of reference entity and pays the HIBOR plus or minus a specified spread (0.45) | | Increases in total return of reference entity | | Monthly | | BANA | | | 03/23/2018 | | | HKD | 4,558,522 | | | | 15,242 | |
MSCI Hong Kong Net Return Index | | Decreases in total return of reference entity and pays the HIBOR plus or minus a specified spread (0.45) | | Increases in total return of reference entity | | Monthly | | BANA | | | 03/23/2018 | | | HKD | 12,904,310 | | | | 56,094 | |
MSCI Hong Kong Net Return Index | | Decreases in total return of reference entity and pays the HIBOR plus or minus a specified spread (0.45) | | Increases in total return of reference entity | | Monthly | | BANA | | | 03/23/2018 | | | HKD | 13,217,887 | | | | 49,088 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
44
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED BY
FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| MSCI Japan Net Return Index | | Decreases in total return of reference entity and pays the London Interbank Offered Rate (“LIBOR”) plus or minus a specified spread (0.13) | | Increases in total return of reference entity | | Monthly | | BANA | | | 03/26/2018 | | | | JPY 237,026,238 | | | | $29,507 | |
| MSCI Japan Net Return Index | | Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (-0.10) | | Increases in total return of reference entity | | Monthly | | BANA | | | 03/26/2018 | | | | JPY 331,702,961 | | | | 7,737 | |
| MSCI Japan Net Return Index | | Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.13) | | Increases in total return of reference entity | | Monthly | | BANA | | | 03/26/2018 | | | | JPY 288,125,314 | | | | 1,978 | |
| MSCI Japan Net Return Index | | Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.13) | | Increases in total return of reference entity | | Monthly | | BANA | | | 03/26/2018 | | | | JPY 373,122,917 | | | | 15,162 | |
| MSCI Japan Net Return Index | | Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.13) | | Increases in total return of reference entity | | Monthly | | BANA | | | 03/26/2018 | | | JPY | 46,740,960 | | | | 5,138 | |
| MSCI Sweden Net Return Index | | Decreases in total return of reference entity | | Increases in total return of reference entity and receives the Stockholm Interbank Offered Rate (“STIBOR”) plus or minus a specified spread (-0.77) | | Monthly | | BANA | | | 03/21/2018 | | | SEK | 10,093,217 | | | | 12,914 | |
| MSCI Sweden Net Return Index | | Decreases in total return of reference entity | | Increases in total return of reference entity and receives the STIBOR plus or minus a specified spread (-0.77) | | Monthly | | BANA | | | 03/21/2018 | | | SEK | 17,860,052 | | | | 48,818 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
45
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED BY
FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| MSCI Sweden Net Return Index | | Decreases in total return of reference entity | | Increases in total return of reference entity and receives the STIBOR plus or minus a specified spread (-0.77) | | Monthly | | BANA | | | 03/21/2018 | | | SEK | 10,331,729 | | | | $28,388 | |
| MSCI Sweden Net Return Index | | Decreases in total return of reference entity | | Increases in total return of reference entity and receives the STIBOR plus or minus a specified spread (-0.77) | | Monthly | | BANA | | | 03/21/2018 | | | SEK | 3,310,677 | | | | 3,665 | |
| MSCI Switzerland Net Return Index | | Decreases in total return of reference entity | | Increases in total return of reference entity and receives the LIBOR plus or minus a specified spread (-0.25) | | Monthly | | BANA | | | 03/21/2018 | | | CHF | 547,724 | | | | 361 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 315,909 | |
| | | | | | | | | | | | | | | | | | | | |
| MSCI Australia Net Return Index | | Decreases in total return of reference entity | | Increases in total return of reference entity and receives the Australian Bank-Bill Swap Reference Rate (“BBR”) plus or minus a specified spread (-0.02) | | Monthly | | BANA | | | 03/21/2018 | | | AUD | 749,448 | | | | (6,755 | ) |
| MSCI Germany Net Return Index | | Decreases in total return of reference entity and pays the Euro Interbank Offered Rate (“EURIBOR”) plus or minus a specified spread (0.15) | | Increases in total return of reference entity | | Monthly | | BANA | | | 03/23/2018 | | | EUR | 239 | | | | (3 | ) |
| MSCI United Kingdom Net Return Index | | Decreases in total return of reference entity | | Increases in total return of reference entity and receives the LIBOR plus or minus a specified spread (-0.23) | | Monthly | | BANA | | | 03/21/2018 | | | GBP | 365,102 | | | | (13,477 | ) |
| OMXS30 Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/19/2018 | | | SEK | 157,425 | | | | (584 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
46
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED BY
FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Swiss Market Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | Monthly | | MSCS | | | 03/16/2018 | | | CHF | 648,830 | | | | $(4,072 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (24,891 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | $291,018 | |
| | | | | | | | | | | | | | | | | | | | |
Futures contracts outstanding as of December 31, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | | | | | | | | | | | | | | | | | | |
| Amsterdam Exchange Index | | | 2 | | | 1/2018 | | | EUR | | | | $261,327 | | | | $(3,117 | ) |
| Hang Seng Index | | | 1 | | | 1/2018 | | | HKD | | | | 191,659 | | | | 2,723 | |
| OMXS30 Index | | | 7 | | | 1/2018 | | | SEK | | | | 134,336 | | | | (3,233 | ) |
| Australia 10 Year Bond | | | 78 | | | 3/2018 | | | AUD | | | | 7,860,487 | | | | (50,716 | ) |
| DAX Index | | | 8 | | | 3/2018 | | | EUR | | | | 3,098,013 | | | | (53,189 | ) |
| DJIA CBOT E-Mini Index | | | 9 | | | 3/2018 | | | USD | | | | 1,113,075 | | | | 2,775 | |
| Euro-Bobl | | | 28 | | | 3/2018 | | | EUR | | | | 3,761,890 | | | | (4,040 | ) |
| Euro-BTP | | | 15 | | | 3/2018 | | | EUR | | | | 2,450,214 | | | | (49,992 | ) |
| Euro-Bund | | | 11 | | | 3/2018 | | | EUR | | | | 1,737,035 | | | | (8,914 | ) |
| Euro-OAT | | | 13 | | | 3/2018 | | | EUR | | | | 2,420,505 | | | | (33,474 | ) |
| Euro-Schatz | | | 26 | | | 3/2018 | | | EUR | | | | 5,043,785 | | | | (46,634 | ) |
| Long Gilt | | | 54 | | | 3/2018 | | | GBP | | | | 9,125,177 | | | | 2,007 | |
| NASDAQ 100 E-Mini Index | | | 11 | | | 3/2018 | | | USD | | | | 1,409,925 | | | | (3,824 | ) |
| Nikkei 225 Index | | | 6 | | | 3/2018 | | | JPY | | | | 1,211,449 | | | | (845 | ) |
| Russell 2000 E-Mini Index | | | 9 | | | 3/2018 | | | USD | | | | 691,425 | | | | (1,626 | ) |
| Soybean Oil | | | 1 | | | 3/2018 | | | EUR | | | | 196,607 | | | | (5,417 | ) |
| SPI 200 Index | | | 8 | | | 3/2018 | | | AUD | | | | 939,421 | | | | (1,557 | ) |
| TOPIX Index | | | 3 | | | 3/2018 | | | JPY | | | | 483,781 | | | | 2,510 | |
| U.S. Treasury Long Bond | | | 7 | | | 3/2018 | | | USD | | | | 1,071,000 | | | | (6,336 | ) |
| U.S. Treasury Ultra Bond | | | 8 | | | 3/2018 | | | USD | | | | 1,341,250 | | | | (4,374 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | (267,273 | ) |
| | | | | | | | | | | | | | | | | | |
| Short Contracts | |
| CAC 40 10 Euro Index | | | (32 | ) | | 1/2018 | | | EUR | | | | (2,038,977 | ) | | | 30,258 | |
| IBEX 35 Index | | | (8 | ) | | 1/2018 | | | EUR | | | | (961,877 | ) | | | 19,759 | |
| Australia 3 Year Bond | | | (19 | ) | | 3/2018 | | | AUD | | | | (1,646,982 | ) | | | (875 | ) |
| Canada 10 Year Bond | | | (43 | ) | | 3/2018 | | | CAD | | | | (4,610,613 | ) | | | 45,412 | |
| EURO STOXX 50 Index | | | (48 | ) | | 3/2018 | | | EUR | | | | (2,011,716 | ) | | | 37,774 | |
| FTSE 100 Index | | | (86 | ) | | 3/2018 | | | GBP | | | | (8,868,703 | ) | | | (234,371 | ) |
| FTSE/MIB Index | | | (3 | ) | | 3/2018 | | | EUR | | | | (391,577 | ) | | | 16,399 | |
| Japan 10 Year Bond | | | (6 | ) | | 3/2018 | | | JPY | | | | (8,029,110 | ) | | | 7,020 | |
| S&P 500 E-Mini Index | | | (32 | ) | | 3/2018 | | | USD | | | | (4,281,600 | ) | | | 17,145 | |
| S&P/TSX 60 Index | | | (1 | ) | | 3/2018 | | | CAD | | | | (152,331 | ) | | | (388 | ) |
| U.S. Treasury 10 Year Note | | | (88 | ) | | 3/2018 | | | USD | | | | (10,916,125 | ) | | | 11,647 | |
| U.S. Treasury 2 Year Note | | | (118 | ) | | 3/2018 | | | USD | | | | (25,264,906 | ) | | | 13,426 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
47
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts (continued) | |
| U.S. Treasury 5 Year Note | | | (50 | ) | | 3/2018 | | | USD | | | | $ (5,808,203 | ) | | | $ 6,903 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | (29,891 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | $(297,164 | ) |
| | | | | | | | | | | | | | | | | | |
Forward foreign currency contracts outstanding as of December 31, 2017:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| AUD | | | 3,157,680 | | | USD | | | 2,417,950 | | | CITI | | | 3/21/2018 | | | | $45,461 | |
| AUD | | | 4,103,520 | | | USD | | | 3,142,485 | | | JPMC | | | 3/21/2018 | | | | 58,807 | |
| CAD | | | 6,656,000 | | | USD | | | 5,201,101 | | | CITI | | | 3/21/2018 | | | | 99,423 | |
| CAD | | | 9,975,000 | | | USD | | | 7,794,563 | | | JPMC | | | 3/21/2018 | | | | 149,055 | |
| CHF | | | 85,200 | | | USD | | | 87,071 | | | CITI | | | 3/21/2018 | | | | 852 | |
| CHF | | | 127,800 | | | USD | | | 130,607 | | | JPMC | | | 3/21/2018 | | | | 1,278 | |
| DKK | | | 198,400 | | | USD | | | 31,691 | | | CITI | | | 3/21/2018 | | | | 443 | |
| DKK | | | 297,600 | | | USD | | | 47,536 | | | JPMC | | | 3/21/2018 | | | | 664 | |
| EUR | | | 7,123,600 | | | USD | | | 8,471,968 | | | CITI | | | 3/21/2018 | | | | 115,179 | |
| EUR | | | 10,439,400 | | | USD | | | 12,413,394 | | | JPMC | | | 3/21/2018 | | | | 170,786 | |
| GBP | | | 2,777,398 | | | USD | | | 3,735,854 | | | CITI | | | 3/21/2018 | | | | 23,691 | |
| GBP | | | 4,166,096 | | | USD | | | 5,599,185 | | | JPMC | | | 3/21/2018 | | | | 40,131 | |
| SEK | | | 1,082,200 | | | USD | | | 131,609 | | | CITI | | | 3/21/2018 | | | | 940 | |
| SEK | | | 1,504,800 | | | USD | | | 183,161 | | | JPMC | | | 3/21/2018 | | | | 1,149 | |
| USD | | | 67,800 | | | GBP | | | 50,043 | | | CITI | | | 3/21/2018 | | | | 60 | |
| USD | | | 101,699 | | | GBP | | | 75,064 | | | JPMC | | | 3/21/2018 | | | | 91 | |
| USD | | | 15,602 | | | HKD | | | 121,600 | | | CITI | | | 3/21/2018 | | | | 14 | |
| USD | | | 23,402 | | | HKD | | | 182,400 | | | JPMC | | | 3/21/2018 | | | | 20 | |
| USD | | | 66,736 | | | NOK | | | 545,500 | | | CITI | | | 3/21/2018 | | | | 154 | |
| USD | | | 100,103 | | | NOK | | | 818,250 | | | JPMC | | | 3/21/2018 | | | | 230 | |
| USD | | | 60,985 | | | NZD | | | 86,000 | | | CITI | | | 3/21/2018 | | | | 96 | |
| USD | | | 91,478 | | | NZD | | | 129,000 | | | JPMC | | | 3/21/2018 | | | | 144 | |
| JPY | | | 61,585,400 | | | USD | | | 546,134 | | | CITI | | | 3/22/2018 | | | | 2,642 | |
| JPY | | | 89,613,600 | | | USD | | | 794,587 | | | JPMC | | | 3/22/2018 | | | | 3,941 | |
| USD | | | 1,017,986 | | | JPY | | | 113,849,600 | | | CITI | | | 3/22/2018 | | | | 3,495 | |
| USD | | | 1,526,977 | | | JPY | | | 170,774,400 | | | JPMC | | | 3/22/2018 | | | | 5,240 | |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized appreciation | | | | | | | | | | | | | 723,986 | |
| | | | | | | | | | | | | | | | | | | | |
| CAD | | | 182,800 | | | USD | | | 145,698 | | | CITI | | | 3/21/2018 | | | | (125 | ) |
| CAD | | | 274,200 | | | USD | | | 218,547 | | | JPMC | | | 3/21/2018 | | | | (187 | ) |
| GBP | | | 65,322 | | | USD | | | 88,541 | | | CITI | | | 3/21/2018 | | | | (119 | ) |
| GBP | | | 97,984 | | | USD | | | 132,813 | | | JPMC | | | 3/21/2018 | | | | (180 | ) |
| HKD | | | 88,000 | | | USD | | | 11,289 | | | CITI | | | 3/21/2018 | | | | (8 | ) |
| HKD | | | 132,000 | | | USD | | | 16,934 | | | JPMC | | | 3/21/2018 | | | | (13 | ) |
| NOK | | | 18,000 | | | USD | | | 2,198 | | | CITI | | | 3/21/2018 | | | | (1 | ) |
| NOK | | | 27,000 | | | USD | | | 3,297 | | | JPMC | | | 3/21/2018 | | | | (1 | ) |
| USD | | | 445,717 | | | AUD | | | 587,680 | | | CITI | | | 3/21/2018 | | | | (12,752 | ) |
| USD | | | 668,574 | | | AUD | | | 881,520 | | | JPMC | | | 3/21/2018 | | | | (19,129 | ) |
| USD | | | 586,600 | | | CAD | | | 752,000 | | | CITI | | | 3/21/2018 | | | | (12,258 | ) |
| USD | | | 756,290 | | | CAD | | | 969,000 | | | JPMC | | | 3/21/2018 | | | | (15,376 | ) |
| USD | | | 8,332,054 | | | CHF | | | 8,165,600 | | | CITI | | | 3/21/2018 | | | | (94,600 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
48
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| USD | | | 12,498,066 | | | CHF | | | 12,248,400 | | | JPMC | | | 3/21/2018 | | | | $ (141,915 | ) |
| USD | | | 33,922 | | | DKK | | | 210,400 | | | CITI | | | 3/21/2018 | | | | (156 | ) |
| USD | | | 50,882 | | | DKK | | | 315,600 | | | JPMC | | | 3/21/2018 | | | | (234 | ) |
| USD | | | 937,955 | | | EUR | | | 788,800 | | | CITI | | | 3/21/2018 | | | | (12,904 | ) |
| USD | | | 1,299,901 | | | EUR | | | 1,093,200 | | | JPMC | | | 3/21/2018 | | | | (17,897 | ) |
| USD | | | 452,329 | | | GBP | | | 336,477 | | | CITI | | | 3/21/2018 | | | | (3,132 | ) |
| USD | | | 470,905 | | | GBP | | | 350,216 | | | JPMC | | | 3/21/2018 | | | | (3,155 | ) |
| USD | | | 2,665 | | | HKD | | | 20,800 | | | CITI | | | 3/21/2018 | | | | (1 | ) |
| USD | | | 3,998 | | | HKD | | | 31,200 | | | JPMC | | | 3/21/2018 | | | | (1 | ) |
| USD | | | 2,713,285 | | | NOK | | | 22,465,300 | | | CITI | | | 3/21/2018 | | | | (28,757 | ) |
| USD | | | 3,831,633 | | | NOK | | | 31,708,950 | | | JPMC | | | 3/21/2018 | | | | (38,657 | ) |
| USD | | | 3,800,689 | | | NZD | | | 5,462,994 | | | CITI | | | 3/21/2018 | | | | (67,187 | ) |
| USD | | | 5,049,491 | | | NZD | | | 7,260,006 | | | JPMC | | | 3/21/2018 | | | | (90,694 | ) |
| USD | | | 1,029,918 | | | SEK | | | 8,613,800 | | | CITI | | | 3/21/2018 | | | | (25,111 | ) |
| USD | | | 1,526,438 | | �� | SEK | | | 12,766,200 | | | JPMC | | | 3/21/2018 | | | | (37,182 | ) |
| JPY | | | 155,339,600 | | | USD | | | 1,390,456 | | | CITI | | | 3/22/2018 | | | | (6,256 | ) |
| JPY | | | 219,509,400 | | | USD | | | 1,964,768 | | | JPMC | | | 3/22/2018 | | | | (8,763 | ) |
| USD | | | 648,192 | | | JPY | | | 73,008,400 | | | CITI | | | 3/22/2018 | | | | (2,371 | ) |
| USD | | | 853,665 | | | JPY | | | 96,156,600 | | | JPMC | | | 3/22/2018 | | | | (3,167 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized depreciation | | | | | | | | | | (642,289 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Net unrealized appreciation | | | | | | | | | | $81,697 | |
| | | | | | | | | | | | | | | | | | | | |
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
USD - United States Dollar
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
49
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | |
Collateral pledged to, or (received from), each counterparty at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/
CENTRALLY CLEARED | | | TOTAL | |
| BANA | | | | | | | | | |
| Cash | | | $1,710,000 | | | | $— | | | | $1,710,000 | |
| |
| BARC | | | | | | | | | |
| Cash | | | — | | | | 408,054 | | | | 408,054 | |
| |
| CITI | | | | | | | | | |
| Cash | | | 250,000 | | | | — | | | | 250,000 | |
| |
| GSCO | | | | | | | | | |
| Cash | | | — | | | | 574,112 | | | | 574,112 | |
| |
| JPMC | | | | | | | | | |
| Cash | | | 680,000 | | | | — | | | | 680,000 | |
| |
| JPMS | | | | | | | | | |
| Cash | | | — | | | | 3,787,277 | | | | 3,787,277 | |
| |
| MSCS | | | | | | | | | |
| Cash | | | 110,000 | | | | — | | | | 110,000 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
50
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| LONG POSITIONS - 132.5% | | | | | | |
| COMMON STOCKS - 39.6% | | | | | | |
| | |
| Auto Components - 0.4% | | | | | | |
| Adient plc | | | 12,945 | | | $ | 1,018,771 | |
| Delphi Technologies plc* | | | 17,950 | | | | 941,837 | |
| | | | | | | | |
| | | | | | | 1,960,608 | |
| | | | | | | | |
| Banks - 0.1% | | | | | | |
| BAWAG Group AG (Austria) *(a) | | | 5,000 | | | | 266,727 | |
| | | | | | | | |
| | |
| Biotechnology - 0.5% | | | | | | |
| Aptevo Therapeutics, Inc. * | | | 132,502 | | | | 561,808 | |
| Bioverativ, Inc. * | | | 20,868 | | | | 1,125,203 | |
| Neurocrine Biosciences, Inc. *(b) | | | 7,735 | | | | 600,159 | |
| | | | | | | | |
| | | | | | | 2,287,170 | |
| | | | | | | | |
| Building Products - 0.1% | | | | | | |
| Armstrong Flooring, Inc. * | | | 13,995 | | | | 236,795 | |
| | | | | | | | |
| | |
| Capital Markets - 28.7% | | | | | | |
| Alignvest Acquisition II Corp., Class A (Canada) * | | | 350,000 | | | | 2,728,719 | |
| Big Rock Partners Acquisition Corp. (2)* | | | 200,000 | | | | 1,940,000 | |
| Bison Capital Acquisition Corp. (China) (2)* | | | 150,000 | | | | 1,480,500 | |
| Black Ridge Acquisition Corp. (2)* | | | 210,000 | | | | 2,028,600 | |
| Cannabis Strategies Acquisition Corp. (Canada) * | | | 250,000 | | | | 1,976,929 | |
| Capitol Investment Corp. IV, Class A (2)* | | | 500,001 | | | | 4,845,010 | |
| CM Seven Star Acquisition Corp. (Hong Kong) * | | | 250,000 | | | | 2,412,500 | |
| Constellation Alpha Capital Corp. (2)* | | | 649,500 | | | | 6,313,140 | |
| Donnelley Financial Solutions, Inc. * | | | 12,726 | | | | 248,030 | |
| Draper Oakwood Technology Acquisition, Inc., Class A (2)* | | | 150,000 | | | | 1,465,500 | |
| Federal Street Acquisition Corp., Class A * | | | 650,000 | | | | 6,311,500 | |
| FinTech Acquisition Corp. II *(c) | | | 150,000 | | | | 1,486,500 | |
| Forum Merger Corp., Class A *(c) | | | 683,600 | | | | 6,822,328 | |
| GigCapital, Inc. * | | | 375,000 | | | | 3,750,000 | |
| Haymaker Acquisition Corp. * | | | 399,960 | | | | 3,959,604 | |
| Hennessy Capital Acquisition Corp. III* | | | 400,000 | | | | 3,920,000 | |
| I-AM Capital Acquisition Co. (2)* | | | 225,000 | | | | 2,216,250 | |
| Industrea Acquisition Corp., Class A (2)* | | | 400,000 | | | | 3,888,000 | |
| Jensyn Acquisition Corp. * | | | 69,000 | | | | 710,700 | |
| Kayne Anderson Acquisition Corp., Class A * | | | 250,000 | | | | 2,427,500 | |
| KBL Merger Corp. IV (2)*(c) | | | 900,000 | | | | 8,748,000 | |
| Legacy Acquisition Corp. * | | | 500,000 | | | | 4,970,000 | |
| Leisure Acquisition Corp. (2)* | | | 500,000 | | | | 4,950,000 | |
| M I Acquisitions, Inc. *(c) | | | 200,000 | | | | 2,038,000 | |
| M III Acquisition Corp. * | | | 308,712 | | | | 3,062,423 | |
| Matlin and Partners Acquisition Corp., Class A (2)*(c) | | | 400,000 | | | | 3,904,000 | |
| Modern Media Acquisition Corp. (2)*(c) | | | 625,000 | | | | 6,137,500 | |
| National Energy Services Reunited Corp. * | | | 897,500 | | | | 8,930,125 | |
| Osprey Energy Acquisition Corp. (2)* | | | 1,000,000 | | | | 9,600,000 | |
| Pensare Acquisition Corp. (2)* | | | 850,000 | | | | 8,211,000 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Capital Markets - 28.7% (continued) | | | | | | |
| Regalwood Global Energy Ltd. * | | | 500,000 | | | $ | 4,975,000 | |
| Sentinel Energy Services, Inc. * | | | 133,320 | | | | 1,329,200 | |
| Stellar Acquisition III, Inc. (Greece) *(c) | | | 200,000 | | | | 2,042,000 | |
| TPG Pace Energy Holdings Corp., Class A * | | | 418,101 | | | | 4,072,304 | |
| TPG Pace Holdings Corp., Class A * | | | 150,000 | | | | 1,462,500 | |
| | | | | | | | |
| | | | | | | 135,363,362 | |
| | | | | | | | |
| Chemicals - 0.4% | | | | | | |
| AdvanSix, Inc. * | | | 13,011 | | | | 547,373 | |
| GCP Applied Technologies, Inc. *(b) | | | 27,066 | | | | 863,405 | |
| Ingevity Corp. * | | | 9,804 | | | | 690,888 | |
| | | | | | | | |
| | | | | | | 2,101,666 | |
| | | | | | | | |
| Commercial Services & Supplies - 0.0% (d) | | | | |
| LSC Communications, Inc. | | | 10,871 | | | | 164,696 | |
| TPT Acquisition, Inc. (3)*(e) | | | 20,730 | | | | — | |
| | | | | | | | |
| | | | | | | 164,696 | |
| | | | | | | | |
| Communications Equipment - 0.0% (d) | | | | | | |
| Casa Systems, Inc.* | | | 1,000 | | | | 17,760 | |
| | | | | | | | |
| | |
| Construction Materials - 0.1% | | | | | | |
| Loma Negra Cia Industrial Argentina SA, ADR (Argentina) * | | | 20,000 | | | | 460,800 | |
| | | | | | | | |
| | |
| Consumer Finance - 0.0% (d) | | | | | | |
| PPDAI Group, Inc., ADR (China) * | | | 5,000 | | | | 35,550 | |
| Qudian, Inc., ADR (China) * | | | 1,000 | | | | 12,540 | |
| | | | | | | | |
| | | | | | | 48,090 | |
| | | | | | | | |
| Diversified Consumer Services - 0.0% (d) | |
| Education Management Corp. *(c) | | | 8,615,228 | | | | 30,153 | |
| | | | | | | | |
| | |
| Diversified Financial Services - 1.0% | | | | | | |
| 2017 Mandatory Exchangeable Trust (2)*(b) | | | 18,425 | | | | 1,901,460 | |
| ECN Capital Corp. (Canada) | | | 84,137 | | | | 263,054 | |
| PNBK Holdings LLC, Class A (3)*(e) | | | 2,090,900 | | | | 2,000,678 | |
| PNBK Holdings LLC, Class B (3)*(e) | | | 3,218 | | | | — | |
| Rescap Liquidating Trust * | | | 125,811 | | | | 632,200 | |
| | | | | | | | |
| | | | | | | 4,797,392 | |
| | | | | | | | |
| Energy Equipment & Services - 0.1% | | | | | | |
| Bristow Group, Inc. (b) | | | 21,622 | | | | 291,248 | |
| | | | | | | | |
|
| Equity Real Estate Investment Trusts (REITs) - 0.3% | |
| JBG SMITH Properties | | | 13,274 | | | | 461,006 | |
| Park Hotels & Resorts, Inc. | | | 15,579 | | | | 447,896 | |
| Quality Care Properties, Inc. * | | | 40,155 | | | | 554,541 | |
| | | | | | | | |
| | | | | | | 1,463,443 | |
| | | | | | | | |
| Food Products - 0.2% | | | | | | |
| Lamb Weston Holdings, Inc. | | | 20,730 | | | | 1,170,208 | |
| | | | | | | | |
|
| Health Care Equipment & Supplies - 0.1% | |
| China Medical Technologies, Inc., ADR (China) (3)*(e) | | | 4,931 | | | | — | |
| Varex Imaging Corp. * | | | 16,257 | | | | 653,044 | |
| | | | | | | | |
| | | | | | | 653,044 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
51
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Health Care Providers & Services - 0.2% | |
| Quorum Health Corp. * | | | 47,681 | | | $ | 297,529 | |
| Rotech Healthcare, Inc. (3)*(e) | | | 16,828 | | | | — | |
| Teladoc, Inc. *(b) | | | 16,362 | | | | 570,216 | |
| | | | | | | | |
| | | | | | | 867,745 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure - 1.1% | | | | | | |
| Hilton Grand Vacations, Inc. * | | | 32,066 | | | | 1,345,169 | |
| Panera Bread Co., Class A (3)*(e) | | | 10,533 | | | | 3,316,437 | |
| Yum China Holdings, Inc. (b) | | | 15,472 | | | | 619,189 | |
| | | | | | | | |
| | | | | | | 5,280,795 | |
| | | | | | | | |
| Household Durables - 0.2% | | | | | | |
| GoPro, Inc., Class A *(b) | | | 2,495 | | | | 18,887 | |
| Hamilton Beach Brands Holding Co., Class A | | | 27,874 | | | | 716,083 | |
| | | | | | | | |
| | | | | | | 734,970 | |
| | | | | | | | |
| Insurance - 0.4% | | | | | | |
| Brighthouse Financial, Inc. * | | | 8,033 | | | | 471,055 | |
| FGL Holdings *(b) | | | 123,202 | | | | 1,240,644 | |
| | | | | | | | |
| | | | | | | 1,711,699 | |
| | | | | | | | |
| Internet & Direct Marketing Retail - 0.1% | |
| Expedia, Inc. (b) | | | 1,764 | | | | 211,274 | |
| Priceline Group, Inc. (The) *(b) | | | 250 | | | | 434,435 | |
| Stitch Fix, Inc., Class A * | | | 1,000 | | | | 25,830 | |
| | | | | | | | |
| | | | | | | 671,539 | |
| | | | | | | | |
| Internet Software & Services - 1.0% | | | | | | |
| Aspire Holdings Ltd., Class B (China) (3)*(e) | | | 834,158 | | | | 8 | |
| FriendFinder Networks, Inc. (3)*(e) | | | 6,483 | | | | 8,293 | |
| MongoDB, Inc. * | | | 75,500 | | | | 2,240,840 | |
| SINA Corp. (China)* | | | 26,694 | | | | 2,677,675 | |
| | | | | | | | |
| | | | | | | 4,926,816 | |
| | | | | | | | |
| IT Services - 0.8% | | | | | | |
| Blackhawk Network Holdings, Inc. *(b) | | | 8,554 | | | | 304,950 | |
| Conduent, Inc. * | | | 29,470 | | | | 476,235 | |
| MoneyGram International, Inc. * | | | 40,662 | | | | 535,925 | |
| Square, Inc., Class A *(b) | | | 48,477 | | | | 1,680,698 | |
| Switch, Inc., Class A | | | 30,000 | | | | 545,700 | |
| | | | | | | | |
| | | | | | | 3,543,508 | |
| | | | | | | | |
| Machinery - 0.4% | | | | | | |
| Fortive Corp. | | | 12,644 | | | | 914,793 | |
| Manitowoc Co., Inc. (The) * | | | 13,966 | | | | 549,423 | |
| Welbilt, Inc. * | | | 16,639 | | | | 391,183 | |
| | | | | | | | |
| | | | | | | 1,855,399 | |
| | | | | | | | |
| Media - 0.1% | | | | | | |
| China Networks International Holdings Ltd. (3)*(e) | | | 2,287,278 | | | | 33,852 | |
| News Corp., Class A | | | 39,762 | | | | 644,542 | |
| | | | | | | | |
| | | | | | | 678,394 | |
| | | | | | | | |
| Metals & Mining - 0.3% | | | | | | |
| Alcoa Corp. * | | | 30,239 | | | | 1,628,975 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Oil, Gas & Consumable Fuels - 0.4% | | | | | | |
| Amyris, Inc. *(b) | | | 43,457 | | | $ | 162,964 | |
| CONSOL Energy, Inc. * | | | 43,071 | | | | 1,701,735 | |
| Quicksilver Resources, Inc. (3)*(e) | | | 14,730 | | | | 152,309 | |
| | | | | | | | |
| | | | | | | 2,017,008 | |
| | | | | | | | |
| Road & Rail - 0.0% | | | | | | |
| Jack Cooper Holdings Corp. (Non-Voting), Class B (3)*(e) | | | 2,223 | | | | — | |
| | | | | | | | |
|
| Semiconductors & Semiconductor Equipment - 0.5% | |
| NXP Semiconductors NV (Netherlands) * | | | 14,361 | | | | 1,681,529 | |
| Versum Materials, Inc. | | | 12,196 | | | | 461,619 | |
| | | | | | | | |
| | | | | | | 2,143,148 | |
| | | | | | | | |
| Software - 1.3% | | | | | | |
| ForeScout Technologies, Inc. * | | | 500 | | | | 15,945 | |
| Micro Focus International plc, ADR (United Kingdom) * | | | 37,665 | | | | 1,265,167 | |
| Nice Ltd., ADR (Israel) (b) | | | 10,959 | | | | 1,007,242 | |
| Proofpoint, Inc. *(b) | | | 20,174 | | | | 1,791,653 | |
| RealPage, Inc. *(b) | | | 33,470 | | | | 1,482,721 | |
| SailPoint Technologies Holding, Inc. * | | | 15,000 | | | | 217,500 | |
| Sea Ltd., ADR (Singapore) * | | | 5,000 | | | | 66,650 | |
| ServiceNow, Inc. *(b) | | | 2,371 | | | | 309,155 | |
| | | | | | | | |
| | | | | | | 6,156,033 | |
| | | | | | | | |
| Specialty Retail - 0.1% | | | | | | |
| National Vision Holdings, Inc. * | | | 7,500 | | | | 304,575 | |
| | | | | | | | |
|
| Technology Hardware, Storage & Peripherals - 0.0% (d) | |
| Borqs Technologies, Inc. (China) (2)* | | | 20,614 | | | | 109,254 | |
| | | | | | | | |
| | |
| Thrifts & Mortgage Finance - 0.1% | | | | | | |
| FHLMC * | | | 78,659 | | | | 198,220 | |
| FNMA * | | | 27,686 | | | | 73,368 | |
| | | | | | | | |
| | | | | | | 271,588 | |
| | | | | | | | |
| Trading Companies & Distributors - 0.1% | |
| AM Castle & Co. (3)*(e) | | | 8,695 | | | | 29,040 | |
| Herc Holdings, Inc. * | | | 7,787 | | | | 487,544 | |
| | | | | | | | |
| | | | | | | 516,584 | |
| | | | | | | | |
| Transportation Infrastructure - 0.0% (d) | |
| Macquarie Infrastructure Corp. (b) | | | 593 | | | | 38,070 | |
| | | | | | | | |
| | |
| Water Utilities - 0.1% | | | | | | |
| Evoqua Water Technologies Corp. * | | | 20,000 | | | | 474,200 | |
| | | | | | | | |
| |
| Wireless Telecommunication Services - 0.4% | | | | |
| Cleveland Unlimited (3)*(e) | | | 1 | | | | 1,721,615 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $184,604,484) | | | | | | | 186,965,077 | |
| | | | | | | | |
| | |
| PREFERRED STOCKS - 0.6% | | | | | | |
| | |
| Banks - 0.1% | | | | | | |
| First Banks, Inc., Series C (3)*(e) | | | 2,458 | | | | 633,976 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
52
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Thrifts & Mortgage Finance - 0.5% | | | | | | |
| FHLMC, Series W, 5.66% *(f) | | | 29,460 | | | $ | 190,017 | |
| FHLMC, Series V, 5.57% *(f) | | | 83,409 | | | | 531,315 | |
| FHLMC, Series Z, 8.38% *(f)(g) | | | 45,876 | | | | 394,534 | |
| FHLMC, Series X, 6.02% *(f) | | | 47,843 | | | | 307,152 | |
| FNMA, Series S, 8.25% *(f)(g) | | | 77,876 | | | | 685,309 | |
| | | | | | | | |
| | | | | | | 2,108,327 | |
| | | | | | | | |
TOTAL PREFERRED STOCKS
(Cost $3,488,135) | | | | | | | 2,742,303 | |
| | | | | | | | |
|
| CONVERTIBLE PREFERRED STOCKS - 7.2% | |
|
| Capital Markets - 2.7% | |
| Mandatory Exchangeable Trust (China) | | | | | | | | |
| $100 par, 5.75%, 6/3/2019 (2)(a)(b) | | | 56,586 | | | | 11,020,689 | |
| Virtus Investment Partners, Inc. Series D, $100 par, 7.25%, 2/1/2020 (2)(b) | | | 17,975 | | | | 1,832,911 | |
| | | | | | | | |
| | | | | | | 12,853,600 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (REITs) - 1.7% | | | | |
| Welltower, Inc. Series I, $50 par, 6.50%, 12/31/2049 (2)(b)(f) | | | 137,075 | | | | 8,207,366 | |
| | | | | | | | |
| | |
| Food Products - 1.5% | | | | | | |
| Bunge Ltd. $100 par, 4.88%, 12/31/2049 (2)(b)(f) | | | 67,625 | | | | 7,037,227 | |
| | | | | | | | |
|
| Health Care Equipment & Supplies - 0.3% | |
| Becton Dickinson and Co. Series A, $50 par, 6.13%, 5/1/2020 (2)(b) | | | 21,050 | | | | 1,224,478 | |
| | | | | | | | |
| | |
| Machinery - 0.1% | | | | | | |
| Rexnord Corp. Series A, $50 par, 5.75%, 11/15/2019 (2)(b) | | | 4,975 | | | | 291,659 | |
| | | | | | | | |
| | |
| Pharmaceuticals - 0.7% | | | | | | |
| Allergan plc Series A, $1,000 par, 5.50%, 3/1/2018 (2)(b) | | | 5,775 | | | | 3,374,766 | |
| | | | | | | | |
| |
| Technology Hardware, Storage & Peripherals - 0.2% | | | | |
| NCR Corp. Series A, $1,000 par, 5.50%, 12/31/2049 (2)*(b)(f) | | | 833 | | | | 1,113,221 | |
| | | | | | | | |
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $30,325,835) | | | | 34,102,317 | |
| | | | | | | | |
|
| CLOSED END FUNDS - 1.9% | |
| Alliance California Municipal Income Fund, Inc. | | | 21,942 | | | | 298,411 | |
| AllianceBernstein National Municipal Income Fund, Inc. | | | 7,740 | | | | 103,716 | |
| BlackRock California Municipal Income Trust | | | 14,456 | | | | 199,204 | |
| BlackRock Investment Quality Municipal Trust, Inc. | | | 16,605 | | | | 247,747 | |
| BlackRock Muni Intermediate Duration Fund, Inc. | | | 26,197 | | | | 364,662 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
|
| CLOSED END FUNDS - 1.9% (continued) | |
| BlackRock Municipal 2030 Target Term Trust | | | 13,328 | | | $ | 297,748 | |
| BlackRock Municipal Bond Trust | | | 4,101 | | | | 62,130 | |
| BlackRock Municipal Income Quality Trust | | | 4,646 | | | | 65,927 | |
| BlackRock MuniHoldings California Quality Fund, Inc. | | | 1,807 | | | | 25,659 | |
| BlackRock MuniHoldings Fund II, Inc. | | | 264 | | | | 3,902 | |
| BlackRock MuniHoldings New Jersey Quality Fund, Inc. | | | 10,631 | | | | 153,831 | |
| BlackRock MuniHoldings New York Quality Fund, Inc. | | | 10,014 | | | | 134,087 | |
| BlackRock MuniYield California Quality Fund, Inc. | | | 10,015 | | | | 146,820 | |
| BlackRock MuniYield Michigan Quality Fund, Inc. | | | 555 | | | | 7,770 | |
| BlackRock MuniYield New York Quality Fund, Inc. | | | 22,313 | | | | 288,284 | |
| BlackRock MuniYield Pennsylvania Quality Fund | | | 8,729 | | | | 125,348 | |
| BlackRock MuniYield Quality Fund II, Inc. | | | 5,400 | | | | 70,740 | |
| Central Securities Corp. | | | 1,544 | | | | 42,306 | |
| Delaware Investments Minnesota Municipal Income Fund II, Inc. | | | 4,088 | | | | 55,065 | |
| Deutsche Strategic Municipal Income Trust | | | 757 | | | | 8,917 | |
| Dividend and Income Fund | | | 7,415 | | | | 99,583 | |
| Dreyfus Municipal Bond Infrastructure Fund, Inc. | | | 9,622 | | | | 125,086 | |
| DTF Tax-Free Income, Inc. | | | 13,795 | | | | 194,509 | |
| Eaton Vance Municipal Bond Fund | | | 14,234 | | | | 178,067 | |
| Eaton Vance Municipal Bond Fund II | | | 9,758 | | | | 120,121 | |
| Eaton Vance Municipal Income Trust | | | 15,458 | | | | 191,679 | |
| Eaton Vance New York Municipal Bond Fund | | | 6,183 | | | | 76,236 | |
| Federated Premier Municipal Income Fund | | | 3,799 | | | | 53,338 | |
| Gabelli Healthcare & WellnessRx Trust (The) | | | 400 | | | | 4,132 | |
| Invesco Advantage Municipal Income Trust II | | | 2,139 | | | | 24,342 | |
| Invesco Municipal Opportunity Trust | | | 34,071 | | | | 422,480 | |
| Invesco Municipal Trust | | | 12,110 | | | | 151,375 | |
| Invesco Pennsylvania Value Municipal Income Trust | | | 26,835 | | | | 326,045 | |
| Invesco Quality Municipal Income Trust | | | 24,626 | | | | 308,071 | |
| Invesco Value Municipal Income Trust | | | 30,342 | | | | 452,096 | |
| MFS Investment Grade Municipal Trust | | | 3,594 | | | | 34,880 | |
| MFS Municipal Income Trust | | | 7,175 | | | | 49,292 | |
| Nuveen AMT-Free Quality Municipal Income Fund | | | 21,734 | | | | 298,843 | |
| Nuveen California Quality Municipal Income Fund | | | 29,080 | | | | 416,135 | |
| Nuveen Connecticut Quality Municipal Income Fund | | | 23,403 | | | | 278,964 | |
| Nuveen Georgia Quality Municipal Income Fund | | | 1,443 | | | | 18,139 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
53
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
|
| CLOSED END FUNDS - 1.9% (continued) | |
| Nuveen Intermediate Duration Quality Municipal Term Fund | | | 696 | | | $ | 8,958 | |
| Nuveen Maryland Premium Income Municipal Fund | | | 15,267 | | | | 192,059 | |
| Nuveen Michigan Quality Municipal Income Fund | | | 14,147 | | | | 187,589 | |
| Nuveen New Jersey Quality Municipal Income Fund | | | 22,490 | | | | 307,888 | |
| Nuveen New York AMT-Free Municipal Income Fund | | | 23,129 | | | | 299,752 | |
| Nuveen New York Quality Municipal Income Fund | | | 512 | | | | 7,081 | |
| Nuveen North Carolina Premium Income Municipal Fund | | | 14,458 | | | | 187,087 | |
| Nuveen Ohio Quality Municipal Income Fund | | | 10,733 | | | | 157,131 | |
| Nuveen Pennsylvania Quality Municipal Income Fund | | | 12,000 | | | | 157,800 | |
| Nuveen Quality Municipal Income Fund | | | 24,032 | | | | 337,890 | |
| Nuveen Virginia Quality Municipal Income Fund | | | 22,208 | | | | 284,707 | |
| Pioneer Municipal High Income Trust | | | 18,825 | | | | 223,076 | |
| Putnam Managed Municipal Income Trust | | | 8,116 | | | | 60,140 | |
| Putnam Municipal Opportunities Trust | | | 789 | | | | 9,744 | |
| Western Asset Intermediate Muni Fund, Inc. | | | 8,297 | | | | 77,328 | |
| Western Asset Municipal High Income Fund, Inc. | | | 4,101 | | | | 30,347 | |
| Western Asset Municipal Partners Fund, Inc. | | | 6,724 | | | | 102,407 | |
| | | | | | | | |
TOTAL CLOSED END FUNDS
(Cost $9,143,903) | | | | | | | 9,156,671 | |
| | | | | | | | |
| | |
| |
| PRINCIPAL
AMOUNT |
| | | | |
| CORPORATE BONDS - 3.8% | | | | | | |
| | |
| Aerospace & Defense - 0.3% | | | | | | |
| Orbital ATK, Inc. 5.25%, 10/1/2021 (2) | | $ | 1,550,000 | | | | 1,590,688 | |
| | | | | | | | |
| | |
| Auto Components - 0.0% | | | | | | |
| Exide Technologies 8.63%, 2/1/2018 (3)(e)(h) | | | 33,550,000 | | | | — | |
| | | | | | | | |
| | |
| Banks - 0.0% (d) | | | | | | |
| Washington Mutual, Inc. Escrow 0.00%, 9/29/2017 (3)(e) | | | 5,000,000 | | | | 40,000 | |
| | | | | | | | |
| | |
| Chemicals - 1.1% | | | | | | |
| Momentive Performance Materials USA, Inc. 8.88%, 10/15/2020 (3)(e)(h) | | | 13,550,000 | | | | — | |
| Momentive Performance Materials, Inc. 3.88%, 10/24/2021 (2) | | | 5,000,000 | | | | 5,225,000 | |
| | | | | | | | |
| | | | | | | 5,225,000 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL AMOUNT | | | VALUE | |
| Electric Utilities - 0.2% | | | | | | |
| Energy Future Intermediate Holding Co. LLC 11.28%, 12/1/2018 (2)(a)(h) | | $ | 1,000,000 | | | $ | 382,500 | |
| 12.15%, 3/1/2022 (2)(a)(h) | | | 460,187 | | | | 705,237 | |
| | | | | | | | |
| | | | | | | 1,087,737 | |
| | | | | | | | |
| Electrical Equipment - 0.2% | | | | | | |
| General Cable Corp. 5.75%, 10/1/2022 (2) | | | 1,025,000 | | | | 1,062,156 | |
| | | | | | | | |
| |
| Food & Staples Retailing - 1.0% | | | | |
| Rite Aid Corp. 9.25%, 3/15/2020 (2) | | | 3,280,000 | | | | 3,328,544 | |
| 6.13%, 4/1/2023 (2)(a) | | | 1,546,000 | | | | 1,395,265 | |
| | | | | | | | |
| | | | | | | 4,723,809 | |
| | | | | | | | |
| Hotels, Restaurants & Leisure - 0.3% | | | | | | |
| Ruby Tuesday, Inc. 7.63%, 5/15/2020 (2) | | | 1,425,000 | | | | 1,455,923 | |
| | | | | | | | |
| | |
| Household Durables - 0.1% | | | | | | |
| Steinhoff Europe AG (Austria) 1.88%, 1/24/2025 (2)(i) | | | EUR400,000 | | | | 223,171 | |
| | | | | | | | |
| | |
| Media - 0.0% (d) | | | | | | |
| iHeartCommunications, Inc. 14.00%, 2/1/2021 (2)(h)(j) | | | 1,000,000 | | | | 77,500 | |
| QUEBECOR 10.00%, 8/1/2020 (3)(e)(h) | | | 6,325,000 | | | | — | |
| | | | | | | | |
| | | | | | | 77,500 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels - 0.3% | | | | | | |
| Black Elk Energy Escrow | | | | | | | | |
| 13.75%, 12/1/2015 (3)(e) | | | 2,833,436 | | | | — | |
| NSA Bondco Ltd. (Norway) | | | | | | | | |
| 12.00%, 8/31/2020 (2)(h)(j) | | | 5,193,645 | | | | 1,298,411 | |
| Penn Virginia Corp. Escrow | | | | | | | | |
| 7.25%, 4/15/2019 (3)(e)(h) | | | 13,829,000 | | | | 2 | |
| 8.50%, 5/1/2020 (3)(e)(h) | | | 43,585,000 | | | | 4 | |
| | | | | | | | |
| | | | | | | 1,298,417 | |
| | | | | | | | |
| Pharmaceuticals - 0.2% | | | | | | |
| Concordia International Corp. (Canada) 9.00%, 4/1/2022 (2)(a) | | | 850,000 | | | | 726,750 | |
| | | | | | | | |
| | |
| Specialty Retail - 0.1% | | | | | | |
| Rent-A-Center, Inc. 4.75%, 5/1/2021 (2) | | | 200,000 | | | | 189,000 | |
| RS Legacy Corp. 6.75%, 5/15/2019 (3)(e)(h) | | | 6,230,000 | | | | — | |
| | | | | | | | |
| | | | | | | 189,000 | |
| | | | | | | | |
TOTAL CORPORATE BONDS
(Cost $22,447,842) | | | | | | | 17,700,151 | |
| | | | | | | | |
| | |
| CONVERTIBLE BONDS - 34.7% | | | | | | |
| | |
| Air Freight & Logistics - 0.3% | | | | | | |
| Atlas Air Worldwide Holdings, Inc. 1.88%, 6/1/2024 (2)(b) | | | 1,175,000 | | | | 1,383,562 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
54
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL AMOUNT | | | VALUE | |
| Auto Components - 0.0% (d) | | | | | | |
| Exide Technologies (ICE LIBOR USD 3 Month - 1.50%), 0.00%, 9/18/2013 (3)(e)(h)(k) | | $ | 650,000 | | | $ | 1 | |
| | | | | | | | |
| | |
| Automobiles - 0.2% | | | | | | |
| Tesla, Inc. 2.38%, 3/15/2022 (2)(b) | | | 875,000 | | | | 1,017,734 | |
| | | | | | | | |
| | |
| Biotechnology - 0.7% | | | | | | |
| AMAG Pharmaceuticals, Inc. 3.25%, 6/1/2022 (2)(b) | | | 1,600,000 | | | | 1,373,000 | |
| PDL BioPharma, Inc. 2.75%, 12/1/2021 (2)(b) | | | 1,850,000 | | | | 1,779,469 | |
| | | | | | | | |
| | | | | | | 3,152,469 | |
| | | | | | | | |
| Capital Markets - 1.5% | | | | | | |
| GAIN Capital Holdings, Inc. 5.00%, 8/15/2022 (2)(a)(b) | | | 1,775,000 | | | | 2,414,000 | |
| Hercules Capital, Inc. 4.38%, 2/1/2022 (2)(a)(b) | | | 1,350,000 | | | | 1,387,969 | |
| Prospect Capital Corp. 4.95%, 7/15/2022 (2)(b) | | | 1,400,000 | | | | 1,398,250 | |
| TPG Specialty Lending, Inc. 4.50%, 8/1/2022 (2)(a)(b) | | | 1,800,000 | | | | 1,870,875 | |
| | | | | | | | |
| | | | | | | 7,071,094 | |
| | | | | | | | |
| Communications Equipment - 0.0% (d) | | | | |
| Nortel Networks Corp. (Canada) 1.75%, 12/31/2018 (3)(e)(h) | | | 3,000,000 | | | | 146,250 | |
| | | | | | | | |
| | |
| Construction & Engineering - 0.5% | | | | | | |
| Tutor Perini Corp. 2.88%, 6/15/2021 (2)(b) | | | 1,975,000 | | | | 2,177,437 | |
| | | | | | | | |
| | |
| Consumer Finance - 1.4% | | | | | | |
| Encore Capital Group, Inc. 3.25%, 3/15/2022 (2)(a)(b) | | | 1,975,000 | | | | 2,205,828 | |
| EZCORP, Inc. 2.12%, 6/15/2019 (2)(b) | | | 3,525,000 | | | | 3,626,344 | |
| PRA Group, Inc. 3.50%, 6/1/2023 (2)(a)(b) | | | 700,000 | | | | 698,687 | |
| | | | | | | | |
| | | | | | | 6,530,859 | |
| | | | | | | | |
| Diversified Financial Services - 0.5% | |
| Element Fleet Management Corp. (Canada) 5.13%, 6/30/2019 (2)(a)(b) | | | CAD2,783,000 | | | | 2,237,846 | |
| | | | | | | | |
| | |
| Electrical Equipment - 0.2% | | | | | | |
| General Cable Corp. 4.50%, 11/15/2029 (2)(b)(l) | | | 800,000 | | | | 844,500 | |
| | | | | | | | |
|
| Electronic Equipment, Instruments & Components - 3.1% | |
| Knowles Corp. 3.25%, 11/1/2021 (2)(b) | | | 1,750,000 | | | | 1,940,312 | |
| Vishay Intertechnology, Inc. 2.25%, 11/15/2040 (2)(b) | | | 7,702,000 | | | | 12,563,888 | |
| | | | | | | | |
| | | | | | | 14,504,200 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL AMOUNT | | | VALUE | |
| Energy Equipment & Services - 0.8% | |
| Ensco Jersey Finance Ltd. 3.00%, 1/31/2024 (2)(b) | | $ | 150,000 | | | $ | 133,125 | |
| SEACOR Holdings, Inc. 2.50%, 12/15/2027 (2)(b) | | | 1,150,000 | | | | 1,167,969 | |
| Weatherford International Ltd. 5.88%, 7/1/2021 (2)(b) | | | 2,300,000 | | | | 2,492,625 | |
| | | | | | | | |
| | | | | | | 3,793,719 | |
| | | | | | | | |
| Equity Real Estate Investment Trusts (REITs) - 0.7% | | | | |
| iStar, Inc. 3.13%, 9/15/2022 (2)(a)(b) | | | 575,000 | | | | 572,125 | |
| Spirit Realty Capital, Inc. 2.88%, 5/15/2019 (2)(b) | | | 2,675,000 | | | | 2,680,016 | |
| | | | | | | | |
| | | | | | | 3,252,141 | |
| | | | | | | | |
| Health Care Equipment & Supplies - 0.7% | | | | |
| China Medical Technologies, Inc. (China) 4.00%, 8/15/2013 (3)(e)(h) | | | 250,000 | | | | — | |
| 6.25%, 12/15/2016 (3)(a)(e)(h) | | | 2,625,000 | | | | — | |
| Invacare Corp. 4.50%, 6/1/2022 (2)(a)(b) | | | 2,550,000 | | | | 3,193,875 | |
| | | | | | | | |
| | | | | | | 3,193,875 | |
| | | | | | | | |
| Health Care Providers & Services - 0.8% | | | | |
| Anthem, Inc. 2.75%, 10/15/2042 (2)(b) | | | 1,279,000 | | | | 3,933,724 | |
| | | | | | | | |
| | |
| Household Durables - 0.4% | | | | | | |
| CalAtlantic Group, Inc. 1.63%, 5/15/2018 (2)(b) | | | 475,000 | | | | 853,516 | |
| GoPro, Inc. 3.50%, 4/15/2022 (2)(a)(b) | | | 1,000,000 | | | | 969,375 | |
| | | | | | | | |
| | | | | | | 1,822,891 | |
| | | | | | | | |
| Independent Power and Renewable Electricity Producers - 0.7% | |
| NRG Yield, Inc. 3.50%, 2/1/2019 (2)(a)(b) | | | 3,475,000 | | | | 3,516,266 | |
| | | | | | | | |
| | |
| Insurance - 0.2% | | | | | | |
| HCI Group, Inc. 4.25%, 3/1/2037 (2)(a)(b) | | | 1,175,000 | | | | 995,078 | |
| | | | | | | | |
| | |
| Internet Software & Services - 1.7% | | | | | | |
| Pandora Media, Inc. 1.75%, 12/1/2020 (2)(b) | | | 1,995,000 | | | | 1,761,834 | |
| Quotient Technology, Inc. 1.75%, 12/1/2022 (2)(a)(b) | | | 1,450,000 | | | | 1,413,750 | |
| VeriSign, Inc. 4.70%, 8/15/2037 (2)(b) | | | 1,510,000 | | | | 5,041,513 | |
| | | | | | | | |
| | | | | | | 8,217,097 | |
| | | | | | | | |
| IT Services - 0.3% | | | | | | |
| Euronet Worldwide, Inc. 1.50%, 10/1/2044 (2)(b) | | | 1,300,000 | | | | 1,599,000 | |
| | | | | | | | |
| | |
| Leisure Products - 0.7% | | | | | | |
| JAKKS Pacific, Inc. 4.88%, 6/1/2020 (2)(a)(b) | | | 4,425,000 | | | | 3,459,797 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
55
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL AMOUNT | | | VALUE | |
| Machinery - 0.9% | | | | | | |
| Meritor, Inc. 3.25%, 10/15/2037 (2)(a)(b) | | $ | 3,925,000 | | | $ | 4,084,453 | |
| | | | | | | | |
| | |
| Metals & Mining - 1.3% | | | | | | |
| Allegheny Technologies, Inc. 4.75%, 7/1/2022 (2)(b) | | | 2,700,000 | | | | 4,995,000 | |
| Cleveland-Cliffs, Inc. 1.50%, 1/15/2025 (2)(b) | | | 850,000 | | | | 930,750 | |
| Jaguar Mining, Inc. 10.00%, 6/1/2018 (3)(e)(h) | | | 310,000 | | | | — | |
| | | | | | | | |
| | | | | | | 5,925,750 | |
| | | | | | | | |
| Mortgage Real Estate Investment Trusts (REITs) - 1.2% | |
| Apollo Commercial Real Estate Finance, Inc. 4.75%, 8/23/2022 (2)(b) | | | 775,000 | | | | 787,109 | |
| Blackstone Mortgage Trust, Inc. 4.38%, 5/5/2022 (2)(b) | | | 1,250,000 | | | | 1,267,969 | |
| New York Mortgage Trust, Inc. | | | | | | | | |
| 6.25%, 1/15/2022 (2)(b) | | | 1,350,000 | | | | 1,375,313 | |
| Redwood Trust, Inc. 4.75%, 8/15/2023 (2)(b) | | | 1,900,000 | | | | 1,833,500 | |
| Resource Capital Corp. 4.50%, 8/15/2022 (2)(b) | | | 600,000 | | | | 567,000 | |
| | | | | | | | |
| | | | | | | 5,830,891 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels - 1.9% | | | | |
| Aegean Marine Petroleum Network, Inc. (Greece) 4.25%, 12/15/2021 (2)(a)(b) | | | 375,000 | | | | 260,859 | |
| Alpha Natural Resources, Inc. 4.88%, 12/15/2020 (3)(a)(h) | | | 800,000 | | | | — | |
| Amyris, Inc. 9.50%, 4/15/2019 (3)(b)(e) | | | 6,461,000 | | | | 4,522,700 | |
| Chesapeake Energy Corp. 5.50%, 9/15/2026 (2)(a)(b) | | | 1,400,000 | | | | 1,274,875 | |
| Emerald Oil, Inc. 2.00%, 4/1/2019 (3)(a)(b)(e)(h) | | | 1,600,000 | | | | 7,360 | |
| Gold Point Energy Corp. 4.50%, 5/1/2015 (3)(e)(h) | | | 1,140,000 | | | | — | |
| Ship Finance International Ltd. (Norway) 5.75%, 10/15/2021 (2)(b) | | | 2,600,000 | | | | 2,764,125 | |
| | | | | | | | |
| | | | | | | 8,829,919 | |
| | | | | | | | |
| Pharmaceuticals - 1.5% | | | | | | |
| Impax Laboratories, Inc. 2.00%, 6/15/2022 (2)(b) | | | 4,575,000 | | | | 4,437,750 | |
| Impax Laboratories, Inc. Escrow 2.00%, 6/15/2022 (3)(e)(h) | | | 1,575,000 | | | | — | |
| Innoviva, Inc. 2.13%, 1/15/2023 (2)(b) | | | 1,700,000 | | | | 1,680,875 | |
| 2.50%, 8/15/2025 (2)(a)(b) | | | 1,000,000 | | | | 1,060,000 | |
| | | | | | | | |
| | | | | | | 7,178,625 | |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment - 10.7% | |
| GT Advanced Technologies, Inc. 3.00%, 10/1/2017 (3)(e)(h) | | | 2,650,000 | | | | — | |
| Inphi Corp. 1.13%, 12/1/2020 (2)(b) | | | 900,000 | | | | 1,042,312 | |
| Intel Corp. 3.25%, 8/1/2039 (2)(b) | | | 14,450,000 | | | | 32,097,063 | |
| Microchip Technology, Inc. 2.25%, 2/15/2037 (2)(a)(b) | | | 1,851,000 | | | | 2,174,925 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL AMOUNT | | | VALUE | |
| Semiconductors & Semiconductor Equipment - 10.7% (continued) | |
| Novellus Systems, Inc. 2.63%, 5/15/2041 (2)(b) | | $ | 2,500,000 | | | $ | 13,756,250 | |
| SunEdison, Inc. 2.00%, 10/1/2018 (3)(b)(e)(h) | | | 16,350,000 | | �� | | 327,000 | |
| 0.25%, 1/15/2020 (3)(a)(b)(e)(h) | | | 575,000 | | | | 11,500 | |
| 2.75%, 1/1/2021 (3)(b)(e)(h) | | | 4,400,000 | | | | 88,000 | |
| Synaptics, Inc. 0.50%, 6/15/2022 (2)(a)(b) | | | 925,000 | | | | 853,313 | |
| | | | | | | | |
| | | | | | | 50,350,363 | |
| | | | | | | | |
| Software - 0.8% | | | | | | |
| BroadSoft, Inc. 1.00%, 9/1/2022 (2)(b) | | | 1,050,000 | | | | 1,555,312 | |
| PROS Holdings, Inc. 2.00%, 12/1/2019 (2)(b) | | | 2,100,000 | | | | 2,198,438 | |
| | | | | | | | |
| | | | | | | 3,753,750 | |
| | | | | | | | |
| Tobacco - 1.0% | | | | | | |
| Vector Group Ltd. 2.50%, 1/15/2019 (2)(b)(g) | | | 3,125,000 | | | | 4,947,266 | |
| | | | | | | | |
| |
| Trading Companies & Distributors - 0.0% (d) | | | | |
| AM Castle & Co. 5.00%, 8/31/2022 (3)(a)(b)(e)(j) | | | 91,101 | | | | 82,446 | |
| | | | | | | | |
TOTAL CONVERTIBLE BONDS
(Cost $171,352,042) | | | | | | | 163,833,003 | |
| | | | | | | | |
| | |
| LOAN PARTICIPATIONS - 1.2% | | | | | | |
| |
| Oil, Gas & Consumable Fuels - 1.2% | | | | |
| Southcross Energy Partners LP (ICE LIBOR USD 3 Month + 4.25%), 5.94%, 8/4/2021 (3)(e)(k) | | | 5,985,305 | | | | 5,873,081 | |
| | | | | | | | |
TOTAL LOAN PARTICIPATIONS
(Cost $5,901,360) | | | | | | | 5,873,081 | |
| | | | | | | | |
| | |
| |
| NO. OF
RIGHTS |
| | | | |
| | |
| RIGHTS - 0.8% | | | | | | |
| | |
| Banks - 0.0% (d) | | | | | | |
| EFG International Finance Guernsey Ltd. (Switzerland) (3)*(e) | | | 283,523 | | | | 2,835 | |
| | | | | | | | |
| | |
| Biotechnology - 0.1% | | | | | | |
| Ambit Biosciences Corp., CVR (3)*(e) | | | 146,272 | | | | 170,799 | |
| Chelsea Therapeutics, Inc., CVR (Denmark) (3)*(e) | | | 4,668,137 | | | | 980 | |
| Durata Therapeutics, Inc., CVR (3)*(e) | | | 261,441 | | | | — | |
| Tobira Therapeutics, Inc., CVR (3)*(e) | | | 11,880 | | | | 83,657 | |
| | | | | | | | |
| | | | | | | 255,436 | |
| | | | | | | | |
| Capital Markets - 0.7% | | | | | | |
| Barington/Hilco Acquisition Corp. *(c) | | | 487,260 | | | | 77,962 | |
| Big Rock Partners Acquisition Corp., expiring 12/1/2022 (3)*(e) | | | 200,000 | | | | 74,000 | |
| Bison Capital Acquisition Corp., expiring 12/31/2049 (China) * | | | 150,000 | | | | 56,850 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
56
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | NO. OF RIGHTS | | | VALUE | |
| Capital Markets - 0.7% (continued) | | | | | | |
| Black Ridge Acquisition Corp., expiring 11/16/2020 * | | | 210,000 | | | $ | 58,800 | |
| CM Seven Star Acquisition Corp., expiring 12/31/2019 (Hong Kong) * | | | 250,000 | | | | 80,000 | |
| Constellation Alpha Capital Corp., expiring 12/31/2049 (2)* | | | 700,000 | | | | 217,000 | |
| Draper Oakwood Technology Acquisition, Inc., expiring 9/30/2022 (3)*(e) | | | 150,000 | | | | 75,000 | |
| Forum Merger Corp., expiring 4/26/2018 *(c) | | | 1,500,000 | | | | 990,000 | |
| I-AM Capital Acquisition Co., expiring 5/22/2019 * | | | 225,000 | | | | 67,500 | |
| Jensyn Acquisition Corp., expiring 3/7/2021 (2)* | | | 174,000 | | | | 65,250 | |
| KBL Merger Corp. IV, expiring 3/6/2019 (2)*(c) | | | 1,000,000 | | | | 290,000 | |
| Modern Media Acquisition Corp., expiring 12/31/2022 *(c) | | | 1,700,000 | | | | 663,000 | |
| Origo Acquisition Corp. *(c) | | | 315,500 | | | | 156,172 | |
| Pensare Acquisition Corp., expiring 8/8/2022 * | | | 1,000,000 | | | | 440,000 | |
| | | | | | | | |
| | | | | | | 3,311,534 | |
| | | | | | | | |
| Closed-ended Funds - 0.0% | | | | | | |
| Dividend and Income Fund, expiring 1/26/2018 (3)*(e) | | | 4,941 | | | | — | |
| | | | | | | | |
|
| Electronic Equipment, Instruments & Components - 0.0% | |
| Gerber Scientific, Inc., CVR (3)*(e) | | | 879,944 | | | | — | |
| | | | | | | | |
|
| Health Care Providers & Services - 0.0% (d) | |
| Community Health Systems, Inc., CVR *(c) | | | 7,762,436 | | | | 55,113 | |
| | | | | | | | |
|
| Life Sciences Tools & Services - 0.0% | |
| Furiex Pharmaceuticals LLC, CVR (3)*(e) | | | 335,833 | | | | — | |
| | | | | | | | |
TOTAL RIGHTS
(Cost $111,420) | | | | | | | 3,624,918 | |
| | | | | | | | |
| | |
| |
| NO. OF
WARRANTS |
| | | | |
| WARRANTS - 4.7% | | | | | | |
| Aerospace & Defense - 0.0% (d) | |
| Ability, Inc., expiring 12/17/2018 (Israel) (2)*(c) | | | 1,449,557 | | | | 1,159 | |
| Tempus Applied Solutions Holdings, Inc., expiring 7/31/2020 *(c) | | | 614,551 | | | | 9,833 | |
| | | | | | | | |
| | | | | | | 10,992 | |
| | | | | | | | |
| Banks - 0.0% (d) | | | | | | |
| Valley National Bancorp, expiring 11/14/2018 * | | | 48,657 | | | | 5,474 | |
| | | | | | | | |
| | |
| Biotechnology - 0.0% (d) | | | | | | |
| Riot Blockchain, Inc., expiring 5/30/2018 (3)*(e) | | | 24,000 | | | | 24 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | NO. OF WARRANTS | | | VALUE | |
| Capital Markets - 2.7% | | | | | | |
| Acasta Enterprises, Inc., expiring 1/3/2022 (Canada) (3)*(e) | | | 579,085 | | | $ | 253,379 | |
| Alignvest Acquisition II Corp., expiring 7/4/2022 (Canada) * | | | 175,000 | | | | 97,454 | |
| Avista Healthcare Public Acquisition Corp., expiring 12/2/2021 * | | | 1,000,000 | | | | 280,100 | |
| Barington/Hilco Acquisition Corp., expiring 2/11/2018 *(c) | | | 487,260 | | | | 34,108 | |
| Big Rock Partners Acquisition Corp., expiring 12/1/2022 (2)* | | | 100,000 | | | | 40,000 | |
| Bison Capital Acquisition Corp., expiring 7/18/2022 (China) * | | | 75,000 | | | | 27,000 | |
| Black Ridge Acquisition Corp., expiring 10/25/2022 * | | | 210,000 | | | | 69,300 | |
| Capitol Investment Corp. IV, expiring 1/1/2025 (2)* | | | 166,667 | | | | 183,334 | |
| CM Seven Star Acquisition Corp., expiring 11/6/2018 * | | | 125,000 | | | | 36,250 | |
| Constellation Alpha Capital Corp., expiring 8/9/2022 (2)* | | | 700,000 | | | | 154,000 | |
| Draper Oakwood Technology Acquisition, Inc., expiring 9/30/2024 (2)* | | | 75,000 | | | | 50,250 | |
| Easterly Acquisition Corp., expiring 7/29/2020 * | | | 573,250 | | | | 341,141 | |
| Electrum Special Acquisition Corp., expiring 6/11/2021 * | | | 990,000 | | | | 400,950 | |
| Federal Street Acquisition Corp., expiring 7/24/2022 * | | | 375,000 | | | | 431,250 | |
| FinTech Acquisition Corp. II, expiring 3/13/2022 *(c) | | | 700,000 | | | | 966,000 | |
| Forum Merger Corp., expiring 5/2/2022 *(c) | | | 750,000 | | | | 480,000 | |
| Global Partner Acquisition Corp., expiring 8/13/2020 * | | | 768,000 | | | | 829,440 | |
| Gores Holdings II, Inc., expiring 3/6/2022 * | | | 133,333 | | | | 267,999 | |
| Hennessy Capital Acquisition Corp. III, expiring 6/15/2024 * | | | 375,000 | | | | 317,175 | |
| Hunter Maritime Acquisition Corp., expiring 10/11/2021 *(c) | | | 470,000 | | | | 141,470 | |
| I-AM Capital Acquisition Co., expiring 10/9/2022 * | | | 225,000 | | | | 74,250 | |
| Industrea Acquisition Corp., expiring 8/1/2024 * | | | 500,000 | | | | 210,450 | |
| Jensyn Acquisition Corp., expiring 4/26/2021 (2)* | | | 174,000 | | | | 39,150 | |
| Kayne Anderson Acquisition Corp., expiring 6/30/2022 (2)* | | | 250,000 | | | | 212,500 | |
| KBL Merger Corp. IV, expiring 7/1/2023 (2)*(c) | | | 1,000,000 | | | | 197,000 | |
| Landcadia Holdings, Inc., expiring 6/1/2023 *(c) | | | 500,000 | | | | 350,000 | |
| M I Acquisitions, Inc., expiring 11/14/2020 (2)*(c) | | | 250,000 | | | | 87,500 | |
| M III Acquisition Corp., expiring 8/29/2021 * | | | 808,712 | | | | 638,883 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
57
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | NO. OF WARRANTS | | | VALUE | |
| | |
| Capital Markets - 2.7% (continued) | | | | | | |
| Matlin and Partners Acquisition Corp., expiring 5/28/2021 *(c) | | | 2,500,000 | | | $ | 1,050,000 | |
| Modern Media Acquisition Corp., expiring 6/7/2022 *(c) | | | 850,000 | | | | 433,500 | |
| National Energy Services Reunited Corp., expiring 6/5/2022 * | | | 1,720,800 | | | | 1,428,264 | |
| Origo Acquisition Corp., expiring 12/17/2021 *(c) | | | 300,000 | | | | 149,040 | |
| Osprey Energy Acquisition Corp., expiring 8/15/2022 * | | | 500,000 | | | | 350,000 | |
| Pensare Acquisition Corp., expiring 8/8/2022 * | | | 500,000 | | | | 275,000 | |
| Saban Capital Acquisition Corp., expiring 9/21/2021 (2)* | | | 42,000 | | | | 51,660 | |
| Silver Run Acquisition Corp. II, expiring 4/27/2022 * | | | 308,333 | | | | 456,333 | |
| Social Capital Hedosophia Holdings Corp., expiring 9/25/2022 * | | | 83,334 | | | | 145,835 | |
| Stellar Acquisition III, Inc., expiring 3/22/2022 *(c) | | | 600,000 | | | | 186,060 | |
| TPG Pace Energy Holdings Corp., expiring 6/21/2022 (2)* | | | 166,667 | | | | 225,000 | |
| TPG Pace Holdings Corp., expiring 8/18/2022 * | | | 66,666 | | | | 103,332 | |
| Vantage Energy Acquisition Corp., expiring 4/12/2024 (3)*(e) | | | 500,000 | | | | 600,000 | |
| | | | | | | | |
| | | | | | | 12,664,357 | |
| | | | | | | | |
| Commercial Services & Supplies - 0.2% | |
| Estre Ambiental, Inc., expiring 12/22/2022 * | | | 1,323,740 | | | | 953,093 | |
| | | | | | | | |
|
| Construction & Engineering - 0.2% | |
| Limbach Holdings, Inc., expiring 7/20/2021 *(c) | | | 336,504 | | | | 723,484 | |
| | | | | | | | |
|
| Consumer Finance - 0.0% (d) | |
| China Lending Corp., expiring 7/6/2021 (China) (2)* | | | 142,386 | | | | 5,724 | |
| | | | | | | | |
|
| Distributors - 0.0% (d) | |
| KBS Fashion Group Ltd., expiring 1/22/2018 (3)*(e) | | | 50,869 | | | | 127 | |
| | | | | | | | |
|
| Diversified Consumer Services - 0.0% (d) | |
| Education Management Corp., expiring 1/5/2022 (3)*(c)(e) | | | 16,528,497 | | | | 16 | |
| | | | | | | | |
|
| Energy Equipment & Services - 0.0% (d) | |
| Glori Energy, Inc., expiring 7/25/2019 (3)*(e) | | | 287,100 | | | | 287 | |
| | | | | | | | |
|
| Equity Real Estate Investment Trusts (REITs) - 0.3% | |
| Williams Scotsman Corp., expiring 10/16/2020 * | | | 950,067 | | | | 1,368,096 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | NO. OF WARRANTS | | | VALUE | |
| Hotels, Restaurants & Leisure - 0.2% | |
| Inspired Entertainment, Inc., expiring 12/23/2021 *(c) | | | 1,273,972 | | | $ | 840,821 | |
| | | | | | | | |
|
| Insurance - 0.1% | |
| FGL Holdings, expiring 12/1/2022 * | | | 300,000 | | | | 465,000 | |
| | | | | | | | |
|
| Internet & Direct Marketing Retail - 0.1% | |
| LXRandCo, Inc., expiring 6/9/2022 (Canada) (2)* | | | 1,274,000 | | | | 334,463 | |
| | | | | | | | |
|
| IT Services - 0.2% | |
| Exela Technologies, Inc., expiring 1/1/2023 * | | | 1,860,708 | | | | 1,097,818 | |
| | | | | | | | |
|
| Machinery - 0.2% | |
| Blue Bird Corp., expiring 2/24/2020 (2)* | | | 182,684 | | | | 794,675 | |
| Jason Industries, Inc., expiring 6/30/2019 *(c) | | | 1,933,070 | | | | 44,461 | |
| | | | | | | | |
| | | | | | | 839,136 | |
| | | | | | | | |
| Media - 0.0% (d) | | | | | | |
| Global Eagle Entertainment, Inc., expiring 1/31/2018 (3)*(e) | | | 367,857 | | | | 1,471 | |
| Kew Media Group, Inc., expiring 3/20/2022 (Canada) (2)* | | | 150,000 | | | | 167,065 | |
| | | | | | | | |
| | | | | | | 168,536 | |
| | | | | | | | |
| Oil, Gas & Consumable Fuels - 0.2% | |
| NextDecade Corp., expiring 7/24/2022 * | | | 1,095,541 | | | | 657,325 | |
| Rosehill Resources, Inc., expiring 9/16/2022 *(c) | | | 489,600 | | | | 484,704 | |
| | | | | | | | |
| | | | | | | 1,142,029 | |
| | | | | | | | |
| Road & Rail - 0.2% | |
| Daseke, Inc., expiring 2/27/2022 * | | | 378,003 | | | | 771,126 | |
| | | | | | | | |
|
| Semiconductors & Semiconductor Equipment - 0.0% | |
| GT Advanced Technologies, Inc., expiring 3/17/2019 (3)*(e) | | | 2,101 | | | | — | |
| | | | | | | | |
| | |
| Software - 0.1% | | | | | | |
| Rimini Street, Inc., expiring 5/26/2022 * | | | 943,380 | | | | 367,918 | |
| RMG Networks Holding Corp., expiring 4/8/2018 *(c) | | | 631,210 | | | | 253 | |
| | | | | | | | |
| | | | | | | 368,171 | |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals - 0.0% (d) | |
| Borqs Technologies, Inc., expiring 8/21/2022 (China) * | | | 373,500 | | | | 65,362 | |
| | | | | | | | |
|
| Transportation Infrastructure - 0.0% (d) | |
| Pingtan Marine Enterprise Ltd., expiring 2/26/2018 (3)*(e) | | | 395,000 | | | | 4,740 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
58
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | NO. OF WARRANTS | | | VALUE | |
| Wireless Telecommunication Services - 0.0% (d) | |
| Trilogy International Partners, Inc., expiring 2/7/2022 (Canada) * | | | 445,000 | | | $ | 219,491 | |
| | | | | | | | |
TOTAL WARRANTS
(Cost $1,666,060) | | | | | | | 22,048,367 | |
| | | | | | | | |
| | |
| |
| NO. OF
UNITS |
| | | | |
| SECURITIES IN LITIGATION - 0.1% | |
|
| Health Care Equipment & Supplies - 0.1% | |
| DEMC, Ltd., Class A-1 (3)*(e) | | | 12,969 | | | | — | |
| DEMC, Ltd., Class A-2 (3)*(e) | | | 242,268,204 | | | | 256,805 | |
| DEMC, Ltd., Class B-1 (3)*(e) | | | 10,488 | | | | — | |
| DEMC, Ltd., Class B-2 (3)*(e) | | | 513,897,326 | | | | 514 | |
| | | | | | | | |
| | | | | | | 257,319 | |
| | | | | | | | |
| Software - 0.0% (d) | | | | | | |
| TimeGate Studios, Inc. (3)*(e)(h) | | | 3,591,250 | | | | 201,735 | |
| | | | | | | | |
TOTAL SECURITIES IN LITIGATION
(Cost $3,960,093) | | | | | | | 459,054 | |
| | | | | | | | |
| | |
| | | SHARES | | | | | |
| SHORT-TERM INVESTMENTS - 37.9% | |
| INVESTMENT COMPANIES - 24.2% | | | | | | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.17% (2)(m) | | | 5,903,486 | | | | 5,903,486 | |
| Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.15% (2)(m) | | | 23,613,945 | | | | 23,613,945 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.24% (2)(m)(n) | | | 235,721 | | | | 235,721 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.18% (2)(m)(n) | | | 26,921,892 | | | | 26,921,892 | |
| Limited Purpose Cash Investment Fund, 1.17% (2)(m) | | | 28,269,380 | | | | 28,266,553 | |
| UBS Select Treasury Preferred Fund, Class I, 1.16% (2)(m) | | | 29,517,431 | | | | 29,517,431 | |
| | | | | | | | |
TOTAL INVESTMENT COMPANIES
(Cost $114,459,028) | | | | | | | 114,459,028 | |
| | | | | | | | |
| | |
| | | PRINCIPAL AMOUNT | | | | |
| U.S. TREASURY OBLIGATIONS - 13.7% | |
| U.S. Treasury Bills | | | | | | | | |
| 1.10%, 1/18/2018 (2)(o) | | $ | 36,941,000 | | | | 36,920,662 | |
| 1.14%, 1/25/2018 (2)(o) | | | 5,789,000 | | | | 5,784,451 | |
| 1.12%, 3/8/2018 (2)(b)(o) | | | 21,874,000 | | | | 21,822,903 | |
| | | | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $64,535,813) | | | | 64,528,016 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(Cost $178,994,841) | | | | 178,987,044 | |
| | | | | | | | |
TOTAL LONG POSITIONS
(Cost $611,996,015) | | | | | | | 625,491,986 | |
| | | | | | | | |
| | | | | | | | |
INVESTMENTS | | SHARES | | | VALUE | |
| SHORT POSITIONS - (33.7)% | | | | | | |
| COMMON STOCKS - (30.6)% | | | | | | |
| | |
| Air Freight & Logistics - (0.2)% | | | | | | |
| Atlas Air Worldwide Holdings, Inc. * | | | (15,156 | ) | | $ | (888,900 | ) |
| | | | | | | | |
| | |
| Automobiles - (0.1)% | | | | | | |
| Tesla, Inc. * | | | (1,977 | ) | | | (615,539 | ) |
| | | | | | | | |
| | |
| Banks - 0.0% (d) | | | | | | |
| Valley National Bancorp | | | (7,070 | ) | | | (79,325 | ) |
| | | | | | | | |
| | |
| Biotechnology - (0.3)% | | | | | | |
| AMAG Pharmaceuticals, Inc. * | | | (33,879 | ) | | | (448,897 | ) |
| PDL BioPharma, Inc. * | | | (339,672 | ) | | | (930,701 | ) |
| | | | | | | | |
| | | | | | | (1,379,598 | ) |
| | | | | | | | |
| Capital Markets - (0.8)% | | | | | | |
| GAIN Capital Holdings, Inc. | | | (157,013 | ) | | | (1,570,130 | ) |
| Hercules Capital, Inc. | | | (13,162 | ) | | | (172,685 | ) |
| Penson Worldwide, Inc. (3)*(e) | | | (217,523 | ) | | | — | |
| Prospect Capital Corp. | | | (18,944 | ) | | | (127,683 | ) |
| TPG Specialty Lending, Inc. | | | (24,923 | ) | | | (493,475 | ) |
| Virtus Investment Partners, Inc. | | | (12,092 | ) | | | (1,391,185 | ) |
| | | | | | | | |
| | | | | | | (3,755,158 | ) |
| | | | | | | | |
| Construction & Engineering - (0.2)% | | | | | | |
| Tutor Perini Corp. * | | | (38,521 | ) | | | (976,507 | ) |
| | | | | | | | |
| | |
| Consumer Finance - (0.6)% | | | | | | |
| Encore Capital Group, Inc. * | | | (34,242 | ) | | | (1,441,588 | ) |
| EZCORP, Inc., Class A * | | | (90,205 | ) | | | (1,100,501 | ) |
| PRA Group, Inc. * | | | (10,900 | ) | | | (361,880 | ) |
| | | | | | | | |
| | | | | | | (2,903,969 | ) |
| | | | | | | | |
| Diversified Financial Services - (0.1)% | | | | | | |
| Element Fleet Management Corp. (Canada) | | | (47,760 | ) | | | (360,955 | ) |
| | | | | | | | |
|
| Electronic Equipment, Instruments & Components - (2.6)% | |
| Knowles Corp. * | | | (58,413 | ) | | | (856,334 | ) |
| Vishay Intertechnology, Inc. | | | (551,765 | ) | | | (11,449,124 | ) |
| | | | | | | | |
| | | | | | | (12,305,458 | ) |
| | | | | | | | |
| Energy Equipment & Services - (0.2)% | | | | | | |
| Ensco plc, Class A | | | (5,769 | ) | | | (34,095 | ) |
| SEACOR Holdings, Inc. * | | | (5,782 | ) | | | (267,244 | ) |
| Weatherford International plc * | | | (150,218 | ) | | | (626,409 | ) |
| | | | | | | | |
| | | | | | | (927,748 | ) |
| | | | | | | | |
| Equity Real Estate Investment Trusts (REITs) - (0.6)% | |
| iStar, Inc. * | | | (18,132 | ) | | | (204,892 | ) |
| Spirit Realty Capital, Inc. | | | (18,790 | ) | | | (161,218 | ) |
| Welltower, Inc. | | | (34,616 | ) | | | (2,207,462 | ) |
| | | | | | | | |
| | | | | | | (2,573,572 | ) |
| | | | | | | | |
| Food Products - (0.4)% | | | | | | |
| Bunge Ltd. | | | (30,839 | ) | | | (2,068,680 | ) |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
59
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Health Care Equipment & Supplies - (0.6)% | |
| Becton Dickinson and Co. | | | (3,876 | ) | | $ | (829,697 | ) |
| China Medical Technologies, Inc., ADR (China) (3)*(e) | | | (40,234 | ) | | | — | |
| Invacare Corp. | | | (128,832 | ) | | | (2,170,819 | ) |
| | | | | | | | |
| | | | | | | (3,000,516 | ) |
| | | | | | | | |
| Health Care Providers & Services - (0.8)% | | | | |
| Anthem, Inc. | | | (17,024 | ) | | | (3,830,570 | ) |
| | | | | | | | |
|
| Independent Power and Renewable Electricity Producers - (0.2)% | |
| NRG Yield, Inc., Class A | | | (34,742 | ) | | | (654,887 | ) |
| | | | | | | | |
| | |
| Insurance - 0.0% (d) | | | | | | |
| HCI Group, Inc. | | | (2,886 | ) | | | (86,291 | ) |
| | | | | | | | |
|
| Internet Software & Services - (8.0)% | |
| Alibaba Group Holding Ltd., ADR (China) * | | | (169,133 | ) | | | (29,163,603 | ) |
| Pandora Media, Inc. * | | | (15,796 | ) | | | (76,137 | ) |
| Quotient Technology, Inc. * | | | (49,280 | ) | | | (579,040 | ) |
| VeriSign, Inc. * | | | (43,936 | ) | | | (5,028,036 | ) |
| Weibo Corp., ADR (China) * | | | (26,394 | ) | | | (2,730,723 | ) |
| | | | | | | | |
| | | | | | | (37,577,539 | ) |
| | | | | | | | |
| IT Services - (0.2)% | | | | | | |
| Euronet Worldwide, Inc. * | | | (12,593 | ) | | | (1,061,212 | ) |
| | | | | | | | |
|
| Leisure Products - 0.0% (d) | |
| JAKKS Pacific, Inc. * | | | (50,506 | ) | | | (118,689 | ) |
| | | | | | | | |
|
| Machinery - (0.4)% | |
| Blue Bird Corp. * | | | (20,901 | ) | | | (415,930 | ) |
| Meritor, Inc. * | | | (59,970 | ) | | | (1,406,896 | ) |
| Rexnord Corp. * | | | (8,651 | ) | | | (225,099 | ) |
| | | | | | | | |
| | | | | | | (2,047,925 | ) |
| | | | | | | | |
| Media - (0.2)% | | | | | | |
| News Corp., Class B | | | (39,972 | ) | | | (663,535 | ) |
| | | | | | | | |
| | |
| Metals & Mining - (0.9)% | | | | | | |
| Allegheny Technologies, Inc. * | | | (169,100 | ) | | | (4,082,074 | ) |
| | | | | | | | |
|
| Mortgage Real Estate Investment Trusts (REITs) - (0.3)% | |
| Apollo Commercial Real Estate Finance, Inc. | | | (11,678 | ) | | | (215,459 | ) |
| Blackstone Mortgage Trust, Inc., Class A | | | (10,121 | ) | | | (325,694 | ) |
| New York Mortgage Trust, Inc. | | | (57,799 | ) | | | (356,620 | ) |
| Redwood Trust, Inc. | | | (23,765 | ) | | | (352,197 | ) |
| Resource Capital Corp. | | | (24,413 | ) | | | (228,750 | ) |
| | | | | | | | |
| | | | | | | (1,478,720 | ) |
| | | | | | | | |
| Oil, Gas & Consumable Fuels - (0.3)% | | | | | | |
| Aegean Marine Petroleum Network, Inc. (Greece) | | | (7,528 | ) | | | (32,370 | ) |
| Chesapeake Energy Corp. * | | | (89,052 | ) | | | (352,646 | ) |
| Dorian LPG Ltd. * | | | (1 | ) | | | (8 | ) |
| Ship Finance International Ltd. (Norway) | | | (76,156 | ) | | | (1,180,418 | ) |
| | | | | | | | |
| | | | | | | (1,565,442 | ) |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Pharmaceuticals - (1.0)% | | | | | | |
| Allergan plc | | | (20,052 | ) | | $ | (3,280,106 | ) |
| Innoviva, Inc. * | | | (101,081 | ) | | | (1,434,340 | ) |
| | | | | | | | |
| | | | | | | (4,714,446 | ) |
| | | | | | | | |
| Semiconductors & Semiconductor Equipment - (10.1)% | |
| Inphi Corp. * | | | (14,790 | ) | | | (541,314 | ) |
| Intel Corp. | | | (670,935 | ) | | | (30,970,360 | ) |
| Lam Research Corp. | | | (74,747 | ) | | | (13,758,680 | ) |
| Microchip Technology, Inc. | | | (25,618 | ) | | | (2,251,310 | ) |
| Synaptics, Inc. * | | | (6,207 | ) | | | (247,907 | ) |
| | | | | | | | |
| | | | | | | (47,769,571 | ) |
| | | | | | | | |
| Software - (0.4)% | | | | | | |
| BroadSoft, Inc. * | | | (22,744 | ) | | | (1,248,646 | ) |
| PROS Holdings, Inc. * | | | (29,212 | ) | | | (772,657 | ) |
| | | | | | | | |
| | | | | | | (2,021,303 | ) |
| | | | | | | | |
| Technology Hardware, Storage & Peripherals - (0.1)% | |
| NCR Corp. * | | | (17,354 | ) | | | (589,863 | ) |
| | | | | | | | |
| | |
| Tobacco - (1.0)% | | | | | | |
| Vector Group Ltd. | | | (202,531 | ) | | | (4,532,644 | ) |
| | | | | | | | |
TOTAL COMMON STOCKS
(Proceeds $(113,983,844)) | | | | | | | (144,630,636 | ) |
| | | | | | | | |
| EXCHANGE TRADED FUNDS - (0.1)% | |
iShares MSCI Brazil Fund
(Proceeds $(232,929)) | | | (6,000 | ) | | | (242,700 | ) |
| | | | | | | | |
| | |
| |
| PRINCIPAL
AMOUNT |
| | | | |
| CONVERTIBLE BONDS - (3.0)% | | | | | | |
|
| Biotechnology - (0.2)% | |
| Neurocrine Biosciences, Inc. 2.25%, 5/15/2024 (2)(a) | | $ | (725,000 | ) | | | (925,734 | ) |
| | | | | | | | |
|
| Health Care Providers & Services - (0.2)% | |
| Teladoc, Inc. 3.00%, 12/15/2022 (2)(a) | | | (900,000 | ) | | | (1,011,938 | ) |
| | | | | | | | |
|
| Internet & Direct Marketing Retail - (0.4)% | |
| Liberty Expedia Holdings, Inc. 1.00%, 6/30/2047 (2)(a) | | | (950,000 | ) | | | (950,000 | ) |
| Priceline Group, Inc. (The) 0.90%, 9/15/2021 (2) | | | (900,000 | ) | | | (1,052,438 | ) |
| | | | | | | | |
| | | | | | | (2,002,438 | ) |
| | | | | | | | |
| IT Services - (0.6)% | | | | | | |
| Blackhawk Network Holdings, Inc. 1.50%, 1/15/2022 (2) | | | (775,000 | ) | | | (788,078 | ) |
| Square, Inc. 0.38%, 3/1/2022 (2)(a) | | | (1,250,000 | ) | | | (2,038,281 | ) |
| | | | | | | | |
| | | | | | | (2,826,359 | ) |
| | | | | | | | |
| Software - (1.5)% | | | | | | |
| Nice Systems, Inc. (Israel) 1.25%, 1/15/2024 (2)(a) | | | (1,125,000 | ) | | | (1,385,859 | ) |
| Proofpoint, Inc. 0.75%, 6/15/2020 (2) | | | (2,375,000 | ) | | | (2,971,719 | ) |
| RealPage, Inc. 1.50%, 11/15/2022 (2)(a) | | | (1,800,000 | ) | | | (2,227,500 | ) |
| ServiceNow, Inc. 0.00%, 6/1/2022 (2)(a) | | | (450,000 | ) | | | (514,969 | ) |
| | | | | | | | |
| | | | | | | (7,100,047 | ) |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
60
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL AMOUNT | | | VALUE | |
| Transportation Infrastructure - (0.1)% | |
| Macquarie Infrastructure Corp. 2.88%, 7/15/2019 (2) | | $ | (400,000 | ) | | $ | (412,250 | ) |
| | | | | | | | |
TOTAL CONVERTIBLE BONDS (Proceeds $(12,982,700)) | | | | | | | (14,278,766 | ) |
| | | | | | | | |
TOTAL SHORT POSITIONS
(Proceeds $(127,199,473)) | | | | | | | (159,152,102 | ) |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 98.8%
(Cost $484,796,542) | | | | | | | 466,339,884 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 1.2% (p) | | | | | 5,821,971 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 472,161,855 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 15,850,813 | | | | 3.4 | % |
| Consumer Staples | | | 11,277,186 | | | | 2.4 | |
| Energy | | | 20,752,518 | | | | 4.4 | |
| Financials | | | 197,465,005 | | | | 41.8 | |
| Health Care | | | 12,297,736 | | | | 2.6 | |
| Industrials | | | 13,305,436 | | | | 2.8 | |
| Information Technology | | | (12,937,867 | ) | | | (2.7 | ) |
| Materials | | | 11,260,117 | | | | 2.4 | |
| Real Estate | | | 11,717,474 | | | | 2.4 | |
| Telecommunication Services | | | 1,941,106 | | | | 0.4 | |
| Utilities | | | 4,423,316 | | | | 1.0 | |
| Short-Term Investments | | | 178,987,044 | | | | 37.9 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 466,339,884 | | | | 98.8 | |
| Other Assets in Excess of Liabilities (p) | | | 5,821,971 | | | | 1.2 | |
| | | | | | | | |
Net Assets | | $ | 472,161,855 | | | | 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 December 31, 2017 amounted to $40,188,089, which represents approximately 8.51% of net assets of the fund. |
| (b) | All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $215,970,164. In addition, $4,062,867 of cash collateral was pledged. |
| (c) | As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended December 31, 2017, transactions in and earnings from issuers considered to be an affiliated person were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| AFFILIATE | | SHARES
HELD AT
12/31/16 | | SHARES
PURCHASED | | SHARES
SOLD | | | SHARES
HELD AT
12/31/17 | | | VALUE
AT
12/31/17 | | | DIVIDEND
INCOME | | | INTEREST
INCOME | | | NET
REALIZED
GAIN (LOSS) | | | NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Other Affiliates: | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| Education Management Corp. (Common Stock) | | 18,525,063 | | — | | | (9,909,835 | ) | | | 8,615,228 | | | | $30,153 | | | | $ — | | | | $ — | | | | $(386,773 | ) | | | $414,495 | |
| FinTech Acquisition Corp. II (Common Stock)* | | — | | 1,800,000 | | | (1,650,000 | ) | | | 150,000 | | | | — | | | | — | | | | — | | | | (406,123 | ) | | | — | |
| Forum Merger Corp. (Common Stock) | | — | | 1,500,000 | | | (816,400 | ) | | | 683,600 | | | | 6,822,328 | | | | — | | | | — | | | | (237,437 | ) | | | (13,672 | ) |
| KBL Merger Corp. IV (Common Stock) | | — | | 1,000,000 | | | (100,000 | ) | | | 900,000 | | | | 8,748,000 | | | | — | | | | — | | | | (35,002 | ) | | | (252,000 | ) |
| M I Acquisitions, Inc. (Common Stock)* | | 250,000 | | — | | | (50,000 | ) | | | 200,000 | | | | — | | | | — | | | | — | | | | 8,488 | | | | (40,000 | ) |
| Matlin and Partners Acquisition Corp. (Common Stock) | | — | | 2,500,000 | | | (2,100,000 | ) | | | 400,000 | | | | 3,904,000 | | | | — | | | | — | | | | (725,946 | ) | | | (96,000 | ) |
| Modern Media Acquisition Corp. (Common Stock) | | — | | 1,700,000 | | | (1,075,000 | ) | | | 625,000 | | | | 6,137,500 | | | | — | | | | — | | | | (291,410 | ) | | | (112,500 | ) |
| Stellar Acquisition III, Inc. (Common Stock) | | 600,000 | | — | | | (400,000 | ) | | | 200,000 | | | | 2,042,000 | | | | — | | | | — | | | | 39,075 | | | | (138,000 | ) |
| Barington/Hilco Acquisition Corp. (Rights) | | 487,260 | | — | | | — | | | | 487,260 | | | | 77,962 | | | | — | | | | — | | | | — | | | | (43,804 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
61
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| AFFILIATE | | SHARES
HELD AT
12/31/16 | | SHARES
PURCHASED | | SHARES
SOLD | | | SHARES
HELD AT
12/31/17 | | | VALUE AT
12/31/17 | | | DIVIDEND
INCOME | | | INTEREST
INCOME | | | NET
REALIZED
GAIN (LOSS) | | | NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Other Affiliates: (continued) | | | | | | | | | | | | | | | | | | | |
| Community Health Systems, Inc., CVR (Rights) | | 7,762,436 | | — | | | — | | | | 7,762,436 | | | | $ 55,113 | | | | $ — | | | | $ — | | | | $ — | | | | $(56,307 | ) |
| Forum Merger Corp. (Rights) | | — | | 1,500,000 | | | — | | | | 1,500,000 | | | | 990,000 | | | | — | | | | — | | | | — | | | | 990,000 | |
| KBL Merger Corp. IV (Rights) | | — | | 1,000,000 | | | — | | | | 1,000,000 | | | | 290,000 | | | | — | | | | — | | | | — | | | | 290,000 | |
| Modern Media Acquisition Corp. (Rights) | | — | | 1,700,000 | | | — | | | | 1,700,000 | | | | 663,000 | | | | — | | | | — | | | | — | | | | 663,000 | |
| Origo Acquisition Corp. (Rights) | | 325,500 | | — | | | (10,000 | ) | | | 315,500 | | | | 156,172 | | | | — | | | | — | | | | 3,496 | | | | 42,248 | |
| Ability, Inc. (Warrants) | | 1,449,557 | | — | | | — | | | | 1,449,557 | | | | 1,159 | | | | — | | | | — | | | | — | | | | (45,226 | ) |
| Barington/Hilco Acquisition Corp. (Warrants) | | 487,260 | | — | | | — | | | | 487,260 | | | | 34,108 | | | | — | | | | — | | | | — | | | | (28,261 | ) |
| Education Management Corp. (Warrants) | | 16,528,497 | | — | | | — | | | | 16,528,497 | | | | 16 | | | | — | | | | — | | | | — | | | | (149 | ) |
| FinTech Acquisition Corp. II (Warrants)* | | — | | 900,000 | | | (200,000 | ) | | | 700,000 | | | | — | | | | — | | | | — | | | | 248,082 | | | | — | |
| Forum Merger Corp. (Warrants) | | — | | 750,000 | | | — | | | | 750,000 | | | | 480,000 | | | | — | | | | — | | | | — | | | | 480,000 | |
| Hunter Maritime Acquisition Corp. (Warrants)* | | — | | 475,000 | | | (5,000 | ) | | | 470,000 | | | | — | | | | — | | | | — | | | | 5,493 | | | | — | |
| Inspired Entertainment, Inc. (Warrants)* | | 1,533,043 | | — | | | (259,071 | ) | | | 1,273,972 | | | | — | | | | — | | | | — | | | | 255,554 | | | | (797,182 | ) |
| Jason Industries, Inc. (Warrants) | | 1,933,070 | | — | | | — | | | | 1,933,070 | | | | 44,461 | | | | — | | | | — | | | | — | | | | 44,461 | |
| KBL Merger Corp. IV (Warrants) | | — | | 1,000,000 | | | — | | | | 1,000,000 | | | | 197,000 | | | | — | | | | — | | | | — | | | | 197,000 | |
| Landcadia Holdings, Inc. (Warrants)* | | 500,000 | | — | | | — | | | | 500,000 | | | | — | | | | — | | | | — | | | | — | | | | (330,000 | ) |
| Limbach Holdings, Inc. (Warrants)* | | 336,504 | | — | | | — | | | | 336,504 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| M I Acquisitions, Inc. (Warrants)* | | — | | 250,000 | | | — | | | | 250,000 | | | | — | | | | — | | | | — | | | | — | | | | — | |
| Matlin and Partners Acquisition Corp. (Warrants) | | — | | 2,500,000 | | | — | | | | 2,500,000 | | | | 1,050,000 | | | | — | | | | — | | | | — | | | | 1,050,000 | |
| Modern Media Acquisition Corp. (Warrants) | | — | | 850,000 | | | — | | | | 850,000 | | | | 433,500 | | | | — | | | | — | | | | — | | | | 433,500 | |
| Origo Acquisition Corp. (Warrants) | | 325,500 | | — | | | (25,500 | ) | | | 300,000 | | | | 149,040 | | | | — | | | | — | | | | 7,650 | | | | 60,829 | |
| RMG Networks Holding Corp. (Warrants) | | 631,210 | | — | | | — | | | | 631,210 | | | | 253 | | | | — | | | | — | | | | — | | | | 252 | |
| Rosehill Resources, Inc. (Warrants) | | 500,000 | | — | | | (10,400 | ) | | | 489,600 | | | | 484,704 | | | | — | | | | — | | | | 17,332 | | | | 484,704 | |
| Stellar Acquisition III, Inc. (Warrants) | | — | | 600,000 | | | — | | | | 600,000 | | | | 186,060 | | | | — | | | | — | | | | — | | | | 186,060 | |
| Tempus Applied Solutions Holdings, Inc. (Warrants)* | | 614,551 | | — | | | — | | | | 614,551 | | | | — | | | | — | | | | — | | | | — | | | | (676 | ) |
| | | | | | | | | | | | | | | | |
| Total | | | | | | | | | | | | $32,976,529 | | | $— | | | $— | | | $(1,497,521) | | | $3,382,772 | |
| | | | | | | | | | | | | | | | |
| * | No longer affiliated as of December 31, 2017. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
62
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| (d) | Represents less than 0.05% of net assets. |
| (e) | Security fair valued as of December 31, 2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at December 31, 2017 amounted to $20,720,921, which represents approximately 4.39% of net assets of the fund. |
| (f) | Perpetual security. The rate reflected was the rate in effect on December 31, 2017. The maturity date reflects the next call date. |
| (g) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. See Note to Financial Statements for further information. The interest rate shown was the current rate as of December 31, 2017. |
| (i) | 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 December 31, 2017, the value of these securities amounted to $223,171 or 0.05% of net assets. |
| (j) | Payment in-kind security. |
| (k) | Variable or floating rate security, linked to the referenced benchmark. The interest rate shown was the current rate as of December 31, 2017. |
| (l) | Step bond. Coupon rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a rating change made by a rating agency. The interest rate shown was the current rate as of December 31, 2017. |
| (m) | Represents 7-day effective yield as of December 31, 2017. |
| (n) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (o) | The rate shown was the effective yield at the date of purchase. |
| (p) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All bonds are denominated in US dollars, unless noted otherwise.
All securities are United States companies, unless noted otherwise in parentheses.
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 5). |
| (3) | Level 3 security (See Note 5). |
Abbreviations
ADR - American Depositary Receipt
CVR - Contingent Value Rights
FHLMC - Federal Home Loan Mortgage Corp.
FNMA - Federal National Mortgage Association
ICE - Intercontinental Exchange
LIBOR - London Interbank Offered Rate
Credit default swap contracts outstanding — buy protection as of December 31, 2017:
Exchange Cleared
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | FINANCING
RATE PAID | | | FREQUENCY OF
PAYMENTS
MADE/
RECEIVED | | MATURITY
DATE | | | CREDIT
SPREAD | | | NOTIONAL
AMOUNT | | | UPFRONT
PAYMENTS
(RECEIPTS) | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | | | VALUE | |
Markit CDX North America High Yield Index Series 29.V1 | | | 5.00 | % | | Quarterly | | | 12/20/2022 | | | | 3.07 | % | | | USD 13,150,000 | | | | $(943,287 | ) | | | $(164,088 | ) | | | $(1,107,375 | ) |
Markit CDX North America Investment Grade Index Series 29.V1 | | | 1.00 | | | Quarterly | | | 12/20/2022 | | | | 0.49 | | | | USD 725,000 | | | | (13,965 | ) | | | (3,512 | ) | | | (17,477 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | $(957,252 | ) | | | $(167,600 | ) | | | $(1,124,852 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
63
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
Futures contracts outstanding as of December 31, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts | |
| EURO STOXX 50 Index | | (41) | | 3/2018 | | | EUR | | | | $(1,718,341 | ) | | | $39,800 | |
| NASDAQ 100 E-Mini Index | | (17) | | 3/2018 | | | USD | | | | (2,178,975 | ) | | | 122 | |
| S&P 500 E-Mini Index | | (432) | | 3/2018 | | | USD | | | | (57,801,600 | ) | | | (370,884 | ) |
| S&P/TSX 60 Index | | (2) | | 3/2018 | | | CAD | | | | (304,662 | ) | | | (935 | ) |
| U.S. Treasury 10 Year Note | | (29) | | 3/2018 | | | USD | | | | (3,597,359 | ) | | | 19,316 | |
| U.S. Treasury 2 Year Note | | (210) | | 3/2018 | | | USD | | | | (44,962,969 | ) | | | 86,632 | |
| U.S. Treasury 5 Year Note | | (103) | | 3/2018 | | | USD | | | | (11,964,899 | ) | | | 53,747 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $(172,202 | ) |
| | | | | | | | | | | | | | | | |
Forward foreign currency contracts outstanding as of December 31, 2017:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| CAD | | | 40,000 | | | USD | | | 31,075 | | | CITI | | | 3/21/2018 | | | | $780 | |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized appreciation | | | | | | | | | | | | | 780 | |
| | | | | | | | | | | | | | | | | | | | |
| BRL | | | 760,000 | | | USD | | | 228,682 | | | CITI** | | | 3/21/2018 | | | | (1,500 | ) |
| USD | | | 3,258,263 | | | CAD | | | 4,176,000 | | | CITI | | | 3/21/2018 | | | | (67,306 | ) |
| USD | | | 1,969,580 | | | CAD | | | 2,513,992 | | | JPMC | | | 3/21/2018 | | | | (32,445 | ) |
| USD | | | 508,755 | | | EUR | | | 430,000 | | | CITI | | | 3/21/2018 | | | | (9,589 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized depreciation | | | | | | | | | | | | | (110,840 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Net unrealized depreciation | | | | | | | | | $ | (110,060 | ) |
| | | | | | | | | | | | | | | | | | | | |
** Non-deliverable forward.
BRL - Brazilian Real
CAD - Canadian Dollar
EUR - Euro
USD - United States Dollar
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
64
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
Total Return Basket Swaps Outstanding at December 31, 2017
Over the Counter
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| BANA | | 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 (0.04%), which is denominated in USD based on the local currencies of the positions within the swap. | | 25 months maturity 12/26/2019 | | $257,755 | | | $5,157 | | | | $24,658 | | | | $29,815 | |
| | | | | | | | | | | | | | | | | | |
| DTBK | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the JPY/USD 1 Week Forward Swap Rate plus or minus a specified spread (-0.04%), which is denominated in JPY based on the local currencies of the positions within the swap. | | 49 months maturity 10/22/2018 | | $1,963,879 | | | $(183,665 | ) | | | $(199,843 | ) | | | $(383,508 | ) |
| | | | | | | | | | | | | | | | | | |
| DTBK | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread (0.04%), which is denominated in GBP based on the local currencies of the positions within the swap. | | 97 months maturity 08/19/2022 | | $409,983 | | | $(386 | ) | | | $(398 | ) | | | $(784 | ) |
| | | | | | | | | | | | | | | | | | |
| DTBK | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EUR/USD 1 Week Forward Swap Rate plus or minus a specified spread (0.04%), which is denominated in EUR based on the local currencies of the positions within the swap. | | 61 months maturity ranging from 03/30/2022 – 12/21/2022 | | $2,445,484 | | | $(174,177 | ) | | | $22,274 | | | | $(151,903 | ) |
| | | | | | | | | | | | | | | | | | |
| DTBK | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Singapore Interbank Offered Rate (“SIBOR”) plus or minus a specified spread (0.04%), which is denominated in SGD based on the local currencies of the positions within the swap. | | 61 months maturity 07/20/2022 | | $438,955 | | | $7,286 | | | | $(663 | ) | | | $6,623 | |
| | | | | | | | | | | | | | | | | | |
| DTBK | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Canadian Dollar Offered Rate (“CDOR”) plus or minus a specified spread (0.04%), which is denominated in CAD based on the local currencies of the positions within the swap. | | 86 months maturity 09/30/2021 | | $609,352 | | | $7,570 | | | | $2,162 | | | | $9,732 | |
| | | | | | | | | | | | | | | | | | |
| DTBK | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HKD/USD 1 Month Forward FX Swap Rate plus or minus a specified spread (0.04%), which is denominated in HKD based on the local currencies of the positions within the swap. | | 61 months maturity 07/13/2022 | | $746,458 | | | $34,074 | | | | $(1,024 | ) | | | $33,050 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
65
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Copenhagen Interbank Offered Rate plus or minus a specified spread (0.03%), which is denominated in DKK based on the local currencies of the positions within the swap. | | 51 months maturity 11/19/2021 | | $2,363,366 | | | $36 | | | | $232 | | | | $268 | |
| | | | | | | | | | | | | | | | | | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Hong Kong Overnight Index Average (“HONIX”) plus or minus a specified spread (-0.04%), which is denominated in HKD based on the local currencies of the positions within the swap. | | 51 months maturity 11/19/2021 | | $1,764,946 | | | $(68,245 | ) | | | $(108 | ) | | | $(68,353 | ) |
| | | | | | | | | | | | | | | | | | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Rand Overnight Deposit Rate plus or minus a specified spread (0.06%), which is denominated in ZAR based on the local currencies of the positions within the swap. | | 51 months maturity 11/22/2021 | | $1,338,722 | | | $(46,577 | ) | | | $(11,476 | ) | | | $(58,053 | ) |
| | | | | | | | | | | | | | | | | | |
| JPMC | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR plus or minus a specified spread (0.35%), which is denominated in EUR based on the local currencies of the positions within the swap. | | 13 months maturity ranging from 06/11/2018 – 11/26/2018 | | $2,607,534 | | | $233,604 | | | | $11,634 | | | | $245,238 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
66
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| BANA | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR plus or minus a specified spread (-0.35% to 0.40%), which is denominated in EUR based on the local currencies of the positions within the swap. | | 25 months maturity ranging from 11/26/2018 – 01/27/2020 | | $12,216,697 | | | $164,428 | | | | $(3,004 | ) | | | $161,424 | |
| | | | | | | | | | | | | | | | | | |
The following table represents required component disclosures associated with the total return basket swap as of period end.
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | PRINCIPAL | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Long Positions | | | | | | | | | | | | |
| | | | |
| Convertible Bond | | | | | | | | | | | | |
| Germany | | | | | | | | | | | | |
Bayer Capital Corp. BV 5.63%, 11/22/2019 | | $ | 5,000,000 | | | $ | 6,910,284 | | | $ | 62,980 | | | | 0.0 | % |
| | | | |
| | | SHARES | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Germany | | | | | | | | | | | | |
| Bayer AG (Registered) | | | (42,703 | ) | | | (5,306,413 | ) | | | 101,448 | | | | 0.0 | |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| DTBK | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Overnight Bank Funding Rate (“OBFR”) plus or minus a specified spread (-0.03% to 0.04%), which is denominated in USD based on the local currencies of the positions within the swap. | | 86 months maturity 09/30/2021 | | $9,863,927 | | | $128,342 | | | | $754,510 | | | | $882,852 | |
| | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| France | | | | | | | | | | | | |
| Advanced Accelerator Applications SA, ADR | | | 4,837 | | | $ | 394,796 | | | $ | 2,562 | | | | 0.0 | % |
| | | | |
| United States | | | | | | | | | | | | |
| Avista Corp. | | | 1,200 | | | | 61,788 | | | | 301 | | | | 0.0 | |
| Axalta Coating Systems Ltd. | | | 806 | | | | 26,082 | | | | (4,091 | ) | | | (0.0 | ) |
| Calgon Carbon Corp. | | | 8,522 | | | | 181,519 | | | | (854 | ) | | | (0.0 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
67
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| | | | |
| United States (continued) | | | | | | | | | | | | |
| Chicago Bridge & Iron Co. NV | | | 68,748 | | | $ | 1,109,593 | | | $ | 3,726 | | | | 0.0 | % |
| General Cable Corp. | | | 42,944 | | | | 1,271,142 | | | | (7,451 | ) | | | (0.0 | ) |
| Genworth Financial, Inc. | | | 28,751 | | | | 89,416 | | | | (9,602 | ) | | | (0.0 | ) |
| Ignyta, Inc. | | | 1,851 | | | | 49,422 | | | | (81 | ) | | | (0.0 | ) |
| Kindred Healthcare, Inc. | | | 25,289 | | | | 245,303 | | | | 16,817 | | | | 0.0 | |
| MoneyGram International, Inc. | | | 1,591 | | | | 20,969 | | | | (1,752 | ) | | | (0.0 | ) |
| Monsanto Co. | | | 3,724 | | | | 434,889 | | | | 37,240 | | | | 0.0 | |
| NxStage Medical, Inc. | | | 3,337 | | | | 80,856 | | | | (11,593 | ) | | | (0.0 | ) |
| Orbital ATK, Inc. | | | 3,368 | | | | 442,892 | | | | (2,799 | ) | | | (0.0 | ) |
| Regal Entertainment Group | | | 51,165 | | | | 1,177,307 | | | | 15,612 | | | | 0.0 | |
| Safeway, Inc., Casa Ley CVR (a) | | | 351,185 | | | | 204,038 | | | | 204,039 | | | | 0.0 | |
| Silver Spring Networks, Inc. | | | 1,986 | | | | 32,253 | | | | 316 | | | | 0.0 | |
| Straight Path Communications, Inc. | | | 395 | | | | 71,807 | | | | (58 | ) | | | (0.0 | ) |
| Sucampo Pharmaceuticals, Inc. | | | 870 | | | | 15,616 | | | | 43 | | | | 0.0 | |
| Westar Energy, Inc. | | | 34,903 | | | | 1,842,878 | | | | (96,681 | ) | | | (0.0 | ) |
| WGL Holdings, Inc. | | | 3,702 | | | | 317,780 | | | | 3,802 | | | | 0.0 | |
| Xcerra Corp. | | | 34,746 | | | | 340,163 | | | | (2,321 | ) | | | (0.0 | ) |
| | | | |
| Rights | | | | | | | | | | | | |
| United States | | | | | | | | | | | | |
| Durata Therapeutics, Inc., CVR (a) | | | 89,246 | | | | — | | | | (66,934 | ) | | | (0.0 | ) |
| Dyax Corp., CVR (a) | | | 50,988 | | | | 74,358 | | | | 54,473 | | | | 0.0 | |
| Media General, Inc., CVR (a) | | | 55,436 | | | | 940 | | | | 940 | | | | 0.0 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| United States | | | | | | | | | | | | |
| Great Plains Energy, Inc. | | | (8,058 | ) | | | (259,790 | ) | | | (19,823 | ) | | | (0.0 | ) |
| McDermott International, Inc. | | | (169,959 | ) | | | (1,118,330 | ) | | | 12,511 | | | | 0.0 | |
| (a) | Security fair valued as of December 31, 2017 in accordance with procedures approved by the Board of Trustees. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
68
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR or Euro Overnight Index Average (“EONIA”) plus or minus a specified spread (-0.04% to 0.03%), which is denominated in EUR based on the local currencies of the positions within the swap. | | 48-57 months maturity 11/19/2021 | | $17,494,832 | | | $222,491 | | | | $(906 | ) | | | $221,585 | |
| | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Germany | | | | | | | | | | | | |
| Linde AG | | | 5,998 | | | $ | 1,406,314 | | | $ | 278,741 | | | | 0.1 | % |
| | | | |
| Italy | | | | | | | | | | | | |
| Luxottica Group SpA | | | 100,220 | | | | 6,150,278 | | | | (77,696 | ) | | | (0.0 | ) |
| | | | |
| Netherlands | | | | | | | | | | | | |
| Gemalto NV | | | 12,107 | | | | 716,978 | | | | (1,869 | ) | | | (0.0 | ) |
| Refresco Group NV | | | 37,309 | | | | 886,292 | | | | 17,067 | | | | 0.0 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| France | | | | | | | | | | | | |
| Essilor International Cie Generale d’Optique SA | | | (46,210 | ) | | | (6,365,038 | ) | | | (27,924 | ) | | | (0.0 | ) |
| Unibail-Rodamco SE | | | (7,828 | ) | | | (1,969,932 | ) | | | 34,172 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
69
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR or Australian Overnight Indexed Swap Rate (“AOISR”) plus or minus a specified spread (-0.04% to 0.04%), which is denominated in AUD based on the local currencies of the positions within the swap. | | 48-57 months maturity 11/19/2021 | | $5,013,441 | | | $16,188 | | | | $(26,628 | ) | | | $(10,440 | ) |
| | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Australia | | | | | | | | | | | | |
| Aconex Ltd. | | | 251,145 | | | $ | 1,498,445 | | | $ | 2,646 | | | | 0.0 | % |
| Mantra Group Ltd. | | | 121,411 | | | | 368,932 | | | | (696 | ) | | | (0.0 | ) |
| Westfield Corp. | | | 425,803 | | | | 3,145,912 | | | | 14,265 | | | | 0.0 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Australia | | | | | | | | | | | | |
| Tabcorp Holdings Ltd. | | | (35 | ) | | | (152 | ) | | | (27 | ) | | | (0.0 | ) |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Tomorrow/Next Overnight Indexed Swaps plus or minus a specified spread (-0.04%), which is denominated in CHF based on the local currencies of the positions within the swap. | | 55 months maturity 11/19/2021 | | $4,953,149 | | | $(1,064,662 | ) | | | $(273,482 | ) | | | $(1,338,144 | ) |
| | | | | | | | | | | | | | | | | | |
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 | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Switzerland | | | | | | | | | | | | |
| Clariant AG (Registered) | | | (177,263 | ) | | $ | (4,953,149 | ) | | $ | (1,064,662 | ) | | | (0.2 | )% |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
70
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Sterling Overnight Index Average (“SONIA”) plus or minus a specified spread (-0.03% to 0.03%), which is denominated in GBP based on the local currencies of the positions within the swap. | | 53-57 months maturity 11/19/2021 | | $15,485,670 | | | $445,478 | | | | $(7,968 | ) | | | $437,510 | |
| | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| United Kingdom | | | | | | | | | | | | |
| Booker Group plc | | | 1,484,110 | | | $ | 4,585,696 | | | $ | 590,023 | | | | 0.1 | % |
| Sky plc | | | 417,607 | | | | 5,699,201 | | | | 160,268 | | | | 0.0 | |
| Worldpay Group plc | | | 276,359 | | | | 1,585,911 | | | | 87,622 | | | | 0.0 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| United Kingdom | | | | | | | | | | | | |
| Tesco plc | | | (1,277,730 | ) | | | (3,614,862 | ) | | | (392,435 | ) | | | (0.1 | ) |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET
UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Federal Funds Floating Rate plus or minus a specified spread (-0.11% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap. | | 48-57 months maturity ranging from 11/19/2021 – 11/22/2021 | | $119,177,877 | | | $(255,772 | ) | | | $67,345 | | | | $(188,427 | ) |
| | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Canada | | | | | | | | | | | | |
| Potash Corp. of Saskatchewan, Inc. | | | 79,045 | | | $ | 1,632,279 | | | $ | 98,994 | | | | 0.0 | % |
| | | | |
| France | | | | | | | | | | | | |
| Advanced Accelerator Applications SA, ADR | | | 38,096 | | | | 3,109,396 | | | | 36,739 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
71
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| United States | | | | | | | | | | | | |
| Aetna, Inc. | | | 7,563 | | | $ | 1,364,290 | | | $ | (11,465 | ) | | | (0.0 | ) % |
| Akorn, Inc. | | | 45,708 | | | | 1,473,169 | | | | (42,690 | ) | | | (0.0 | ) |
| Avista Corp. | | | 88,738 | | | | 4,569,120 | | | | (53,216 | ) | | | (0.0 | ) |
| Bazaarvoice, Inc. | | | 200,000 | | | | 1,090,000 | | | | 3,145 | | | | 0.0 | |
| Bonanza Creek Energy, Inc. | | | 89,175 | | | | 2,460,338 | | | | (345,537 | ) | | | (0.1 | ) |
| BroadSoft, Inc. | | | 42,744 | | | | 2,346,646 | | | | 4,808 | | | | 0.0 | |
| Buffalo Wild Wings, Inc. | | | 11,669 | | | | 1,824,448 | | | | 52,291 | | | | 0.0 | |
| CalAtlantic Group, Inc. | | | 57,908 | | | | 3,265,432 | | | | 319,653 | | | | 0.1 | |
| Calgon Carbon Corp. | | | 60,885 | | | | 1,296,850 | | | | (1,116 | ) | | | (0.0 | ) |
| Calpine Corp. | | | 202,586 | | | | 3,065,126 | | | | 73,057 | | | | 0.0 | |
| Cavium, Inc. | | | 31,148 | | | | 2,611,137 | | | | 1,080 | | | | 0.0 | |
| Deltic Timber Corp. | | | 8,149 | | | | 746,041 | | | | (17,374 | ) | | | (0.0 | ) |
| Dynegy, Inc. | | | 221,507 | | | | 2,624,858 | | | | (71,408 | ) | | | (0.0 | ) |
| Entellus Medical, Inc. | | | 30,595 | | | | 746,212 | | | | 18,357 | | | | 0.0 | |
| General Cable Corp. | | | 33,662 | | | | 996,395 | | | | 8,831 | | | | 0.0 | |
| HSN, Inc. | | | 31,809 | | | | 1,283,493 | | | | 27,791 | | | | 0.0 | |
| Huntsman Corp. | | | 75,265 | | | | 2,505,572 | | | | 553,879 | | | | 0.1 | |
| Ignyta, Inc. | | | 37,800 | | | | 1,009,260 | | | | (3,850 | ) | | | (0.0 | ) |
| IXYS Corp. | | | 43,394 | | | | 1,039,286 | | | | 48,146 | | | | 0.0 | |
| Monsanto Co. | | | 21,281 | | | | 2,485,195 | | | | 85,550 | | | | 0.0 | |
| NxStage Medical, Inc. | | | 103,591 | | | | 2,510,010 | | | | (539,100 | ) | | | (0.1 | ) |
| Orbital ATK, Inc. | | | 34,030 | | | | 4,474,945 | | | | (28,268 | ) | | | (0.0 | ) |
| Regal Entertainment Group | | | 81,891 | | | | 1,884,312 | | | | 67,112 | | | | 0.0 | |
| Rockwell Collins, Inc. | | | 42,783 | | | | 5,802,230 | | | | 195,459 | | | | 0.0 | |
| Scripps Networks Interactive, Inc. | | | 55,639 | | | | 4,750,458 | | | | (118,468 | ) | | | (0.0 | ) |
| Silver Spring Networks, Inc. | | | 223,008 | | | | 3,621,650 | | | | 28,278 | | | | 0.0 | |
| Straight Path Communications, Inc. | | | 14,056 | | | | 2,555,240 | | | | 1,289,837 | | | | 0.3 | |
| Sucampo Pharmaceuticals, Inc. | | | 74,632 | | | | 1,339,644 | | | | 4,848 | | | | 0.0 | |
| Time Warner, Inc. | | | 82,721 | | | | 7,566,490 | | | | (262,370 | ) | | | (0.1 | ) |
| Time, Inc. | | | 97,126 | | | | 1,791,975 | | | | 1,457 | | | | 0.0 | |
| Twenty-First Century Fox, Inc. | | | 34,101 | | | | 1,177,508 | | | | 173 | | | | 0.0 | |
| Westar Energy, Inc. | | | 35,492 | | | | 1,873,978 | | | | (72,125 | ) | | | (0.0 | ) |
| WGL Holdings, Inc. | | | 45,849 | | | | 3,935,678 | | | | 85,435 | | | | 0.0 | |
| Xcerra Corp. | | | 191,793 | | | | 1,877,653 | | | | 4,508 | | | | 0.0 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Canada | | | | | | | | | | | | |
| Agrium, Inc. | | | (14,177 | ) | | | (1,630,355 | ) | | | (92,568 | ) | | | (0.0 | ) |
| | | | |
| United States | | | | | | | | | | | | |
| AT&T, Inc. | | | (72,627 | ) | | | (2,823,738 | ) | | | (416,668 | ) | | | (0.1 | ) |
| Discovery Communications, Inc. | | | (46,473 | ) | | | (983,833 | ) | | | (11,640 | ) | | | (0.0 | ) |
| Great Plains Energy, Inc. | | | (109,593 | ) | | | (3,533,278 | ) | | | (154,619 | ) | | | (0.0 | ) |
| Lennar Corp. | | | (50,600 | ) | | | (3,199,944 | ) | | | (306,693 | ) | | | (0.1 | ) |
| Liberty Interactive Corp. QVC Group | | | (52,507 | ) | | | (1,282,221 | ) | | | (25,089 | ) | | | (0.0 | ) |
| Marvell Technology Group Ltd. | | | (67,769 | ) | | | (1,455,000 | ) | | | 5,597 | | | | 0.0 | |
| Potlatch Corp. | | | (14,677 | ) | | | (732,382 | ) | | | 45,526 | | | | 0.0 | |
| Praxair, Inc. | | | (9,260 | ) | | | (1,432,337 | ) | | | (334,088 | ) | | | (0.1 | ) |
| SandRidge Energy, Inc. | | | (34,056 | ) | | | (717,560 | ) | | | (164,456 | ) | | | (0.0 | ) |
| United Technologies Corp. | | | (10,992 | ) | | | (1,402,249 | ) | | | (158,547 | ) | | | (0.0 | ) |
| Vantiv, Inc. | | | (22,447 | ) | | | (1,650,977 | ) | | | (93,525 | ) | | | (0.0 | ) |
| Vistra Energy Corp. | | | (144,473 | ) | | | (2,646,745 | ) | | | 105,507 | | | | 0.0 | |
| Walt Disney Co. (The) | | | (9,360 | ) | | | (1,006,294 | ) | | | 23,797 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
72
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the CDOR or Canadian Overnight Repurchase Rate Average plus or minus a specified spread (-0.03% to 0.03%), which is denominated in CAD based on the local currencies of the positions within the swap. | | 50-51 months maturity 11/19/2021 | | $6,197,039 | | | $42,811 | | | | $11,060 | | | | $53,871 | |
| | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Canada | | | | | | | | | | | | |
| Aecon Group, Inc. | | | 135,312 | | | $ | 2,146,477 | | | $ | 53,933 | | | | 0.0 | % |
| Jean Coutu Group PJC, Inc. (The) | | | 175,024 | | | | 3,400,228 | | | | (29,896 | ) | | | (0.0 | ) |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Canada | | | | | | | | | | | | |
| Alamos Gold, Inc. | | | (864 | ) | | | (5,629 | ) | | | (123 | ) | | | (0.0 | ) |
| Metro, Inc. | | | (20,134 | ) | | | (644,705 | ) | | | 18,897 | | | | 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 or Federal Funds Floating Rate plus or minus a specified spread (-1.05% to 0.40%), which is denominated in USD based on the local currencies of the positions within the swap. | | 05-61 months maturity ranging from 04/17/2018 – 04/15/2022 | | $32,352,816 | | | $5,869,332 | | | | $3,963,257 | | | | $9,832,589 | |
| | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| | | | |
| Closed-End Fund | | | | | | | | | | | | |
| United States | | | | | | | | | | | | |
| Altaba, Inc. | | | 306,146 | | | $ | 21,384,298 | | | $ | 6,334,821 | | | | 1.3 | % |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Hong Kong | | | | | | | | | | | | |
| Jardine Matheson Holdings Ltd. | | | 19,100 | | | | 1,158,845 | | | | (62,514 | ) | | | (0.0 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
73
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| United States | | | | | | | | | | | | |
| Dell Technologies, Inc. | | | 29,376 | | | $ | 2,387,681 | | | $ | 38,493 | | | | 0.0 | % |
| Genworth Financial, Inc. | | | 51,097 | | | | 158,912 | | | | (35,257 | ) | | | (0.0 | ) |
| Lattice Semiconductor Corp. | | | 9,803 | | | | 56,661 | | | | (8,431 | ) | | | (0.0 | ) |
| MoneyGram International, Inc. | | | 111,931 | | | | 1,475,251 | | | | (456,678 | ) | | | (0.1 | ) |
| WGL Holdings, Inc. | | | 2,803 | | | | 240,609 | | | | 8,353 | | | | 0.0 | |
| | | | |
| Private Placement | | | | | | | | | | | | |
| | | | |
| United States | | | | | | | | | | | | |
| Penson Technologies LLC, Class B Shares (a) | | | 9,326,216 | | | | 92,050 | | | | 92,041 | | | | 0.0 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Canada | | | | | | | | | | | | |
| Potash Corp. of Saskatchewan, Inc. | | | (2 | ) | | | (42 | ) | | | (8 | ) | | | (0.0 | ) |
| | | | |
| Hong Kong | | | | | | | | | | | | |
| Jardine Strategic Holdings Ltd. | | | (24,100 | ) | | | (953,168 | ) | | | 56,263 | | | | 0.0 | |
| | | | |
| United States | | | | | | | | | | | | |
| GoPro, Inc. | | | (65,480 | ) | | | (495,684 | ) | | | 32,085 | | | | 0.0 | |
| Praxair, Inc. | | | (1,734 | ) | | | (268,215 | ) | | | (44,373 | ) | | | (0.0 | ) |
| VMware, Inc. | | | (29,376 | ) | | | (3,681,400 | ) | | | (85,463 | ) | | | (0.0 | ) |
| (a) | Security fair valued as of December 31, 2017 in accordance with procedures approved by the Board of Trustees. |
Collateral pledged to, or (received from), each counterparty at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/
CENTRALLY CLEARED | | | TOTAL | |
| BANA | | | | | | | | | |
| Cash | | | $(120,000 | ) | | | $— | | | | $(120,000 | ) |
| |
| BARC | | | | | | | | | |
| Cash | | | — | | | | 2,673,911 | | | | 2,673,911 | |
| |
| CITG | | | | | | | | | |
| Cash | | | — | | | | 1,528,437 | | | | 1,528,437 | |
| |
| CITI | | | | | | | | | |
| Investment Companies | | | 230,863 | | | | — | | | | 230,863 | |
| |
| DTBK | | | | | | | | | |
| Investment Companies | | | 6,915,634 | | | | — | | | | 6,915,634 | |
| |
| GSCO | | | | | | | | | |
| Cash | | | — | | | | 15,763 | | | | 15,763 | |
| |
| GSIN | | | | | | | | | |
| Investment Companies | | | 20,006,258 | | | | — | | | | 20,006,258 | |
| |
| JPMC | | | | | | | | | |
| Cash | | | (7,059,549 | ) | | | — | | | | (7,059,549 | ) |
| |
| JPMS | | | | | | | | | |
| Cash | | | — | | | | (7,588 | ) | | | (7,588 | ) |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
74
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR EQUITY MARKET NEUTRAL FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| LONG POSITIONS - 105.7% | | | | | | |
| COMMON STOCKS - 25.7% | | | | | | |
| | |
| Belgium - 1.6% | | | | | | |
| Ageas (a) | | | 152,643 | | | $ | 7,456,561 | |
| bpost SA (a) | | | 117,838 | | | | 3,586,317 | |
| KBC Group NV (a) | | | 56,656 | | | | 4,827,852 | |
| Proximus SADP (a) | | | 84,234 | | | | 2,763,849 | |
| Solvay SA (a) | | | 59,444 | | | | 8,264,887 | |
| UCB SA (a) | | | 65,261 | | | | 5,174,738 | |
| Umicore SA (a) | | | 72,796 | | | | 3,446,817 | |
| | | | | | | | |
| | | | | | | 35,521,021 | |
| | | | | | | | |
| Canada - 4.0% | | | | | | |
| Air Canada (1)*(a) | | | 771,664 | | | | 15,887,561 | |
| Atco Ltd., Class I (1) | | | 9,213 | | | | 329,821 | |
| Bank of Montreal (1) | | | 18,439 | | | | 1,475,560 | |
| Canadian Imperial Bank of Commerce (1)(a) | | | 77,602 | | | | 7,565,115 | |
| Canadian Tire Corp. Ltd., Class A (1)(a) | | | 33,930 | | | | 4,424,126 | |
| CCL Industries, Inc., Class B (1) | | | 10,035 | | | | 463,670 | |
| Cenovus Energy, Inc. (1) | | | 108,487 | | | | 990,796 | |
| CGI Group, Inc., Class A (1)* | | | 10,057 | | | | 546,454 | |
| Constellation Software, Inc. (1) | | | 1,491 | | | | 903,876 | |
| Dollarama, Inc. (1)(a) | | | 81,526 | | | | 10,185,886 | |
| Empire Co. Ltd., Class A (1) | | | 22,329 | | | | 435,034 | |
| Encana Corp. (1)(a) | | | 412,335 | | | | 5,501,080 | |
| George Weston Ltd. (1) | | | 7,320 | | | | 635,681 | |
| Industrial Alliance Insurance & Financial Services, Inc. (1) | | | 19,566 | | | | 931,136 | |
| Linamar Corp. (1)(a) | | | 73,593 | | | | 4,286,192 | |
| Lundin Mining Corp. (1) | | | 225,674 | | | | 1,500,903 | |
| Magna International, Inc. (1)(a) | | | 218,986 | | | | 12,410,949 | |
| Manulife Financial Corp. (1)(a) | | | 158,515 | | | | 3,306,494 | |
| Methanex Corp. (1)(a) | | | 47,360 | | | | 2,869,481 | |
| Metro, Inc. (1) | | | 13,659 | | | | 437,371 | |
| National Bank of Canada (1)(a) | | | 81,386 | | | | 4,060,883 | |
| Ritchie Bros Auctioneers, Inc. (1) | | | 12,991 | | | | 389,007 | |
| Royal Bank of Canada (1)(a) | | | 32,351 | | | | 2,641,870 | |
| Saputo, Inc. (1) | | | 16,943 | | | | 608,977 | |
| Toronto-Dominion Bank (The) (1)(a) | | | 48,483 | | | | 2,840,710 | |
| West Fraser Timber Co. Ltd. (1)(a) | | | 46,549 | | | | 2,872,558 | |
| WestJet Airlines Ltd. (1) | | | 18,335 | | | | 384,495 | |
| | | | | | | | |
| | | | | | | 88,885,686 | |
| | | | | | | | |
| China - 0.1% | | | | | | |
| Yangzijiang Shipbuilding Holdings Ltd. (a) | | | 2,905,800 | | | | 3,186,277 | |
| | | | | | | | |
| | |
| Denmark - 1.7% | | | | | | |
| Carlsberg A/S, Class B (a) | | | 19,995 | | | | 2,398,165 | |
| Danske Bank A/S | | | 39,000 | | | | 1,517,958 | |
| DSV A/S | | | 6,238 | | | | 490,842 | |
| GN Store Nord A/S (a) | | | 140,477 | | | | 4,536,990 | |
| H Lundbeck A/S (a) | | | 70,254 | | | | 3,562,652 | |
| ISS A/S | | | 10,540 | | | | 408,057 | |
| Nets A/S *(a) (b) | | | 61,486 | | | | 1,616,287 | |
| Novo Nordisk A/S, Class B (a) | | | 92,570 | | | | 4,974,294 | |
| Orsted A/S (b) | | | 14,140 | | | | 770,755 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Denmark - 1.7% (continued) | | | | | | |
| TDC A/S (a) | | | 680,992 | | | $ | 4,183,133 | |
| Vestas Wind Systems A/S (a) | | | 196,459 | | | | 13,575,381 | |
| | | | | | | | |
| | | | | | | 38,034,514 | |
| | | | | | | | |
| Finland - 1.0% | | | | | | |
| Cargotec OYJ, Class B | | | 9,287 | | | | 525,831 | |
| Fortum OYJ | | | 89,320 | | | | 1,767,765 | |
| Kesko OYJ, Class B (a) | | | 34,047 | | | | 1,848,334 | |
| Neste OYJ (a) | | | 164,827 | | | | 10,550,753 | |
| Orion OYJ, Class B | | | 39,773 | | | | 1,482,942 | |
| UPM-Kymmene OYJ (a) | | | 164,382 | | | | 5,103,214 | |
| | | | | | | | |
| | | | | | | 21,278,839 | |
| | | | | | | | |
| Germany - 1.0% | | | | | | |
| Aurubis AG (a) | | | 41,938 | | | | 3,892,839 | |
| Deutsche Lufthansa AG (Registered) (a) | | | 312,540 | | | | 11,477,632 | |
| OSRAM Licht AG (a) | | | 70,634 | | | | 6,324,808 | |
| | | | | | | | |
| | | | | | | 21,695,279 | |
| | | | | | | | |
| Italy - 3.8% | | | | | | |
| A2A SpA (a) | | | 3,620,655 | | | | 6,699,235 | |
| Assicurazioni Generali SpA (a) | | | 103,938 | | | | 1,891,823 | |
| Autogrill SpA (a) | | | 190,657 | | | | 2,631,612 | |
| Davide Campari-Milano SpA | | | 41,867 | | | | 323,490 | |
| DiaSorin SpA (a) | | | 26,937 | | | | 2,388,649 | |
| Enel SpA (a) | | | 4,681,851 | | | | 28,789,981 | |
| Hera SpA (a) | | | 758,126 | | | | 2,645,769 | |
| Intesa Sanpaolo SpA (a) | | | 4,610,339 | | | | 15,296,465 | |
| Italgas SpA | | | 96,062 | | | | 586,149 | |
| Leonardo SpA (a) | | | 239,953 | | | | 2,851,412 | |
| Moncler SpA (a) | | | 259,287 | | | | 8,104,677 | |
| Poste Italiane SpA (a)(b) | | | 294,808 | | | | 2,219,596 | |
| Prysmian SpA (a) | | | 116,793 | | | | 3,805,715 | |
| Recordati SpA (a) | | | 114,224 | | | | 5,076,059 | |
| Terna Rete Elettrica Nazionale SpA | | | 108,640 | | | | 631,531 | |
| Unipol Gruppo SpA | | | 162,962 | | | | 763,285 | |
| | | | | | | | |
| | | | | | | 84,705,448 | |
| | | | | | | | |
| Luxembourg - 0.0% (c) | | | | | | |
| Aperam SA | | | 7,664 | | | | 393,724 | |
| | | | | | | | |
| | |
| Malta - 0.1% | | | | | | |
| Kindred Group plc, SDR (a) | | | 225,869 | | | | 3,225,143 | |
| | | | | | | | |
| | |
| Netherlands - 2.0% | | | | | | |
| ABN AMRO Group NV, CVA (b) | | | 9,592 | | | | 309,255 | |
| Akzo Nobel NV | | | 14,713 | | | | 1,290,995 | |
| ASM International NV (a) | | | 78,713 | | | | 5,315,676 | |
| ASML Holding NV | | | 2,967 | | | | 515,838 | |
| ASR Nederland NV (a) | | | 69,374 | | | | 2,855,908 | |
| Koninklijke DSM NV (a) | | | 31,553 | | | | 3,014,067 | |
| Koninklijke Philips NV (a) | | | 330,098 | | | | 12,464,065 | |
| NN Group NV (a) | | | 188,920 | | | | 8,171,464 | |
| Philips Lighting NV (a)(b) | | | 116,310 | | | | 4,265,883 | |
| Randstad Holding NV (a) | | | 43,018 | | | | 2,639,544 | |
| Wolters Kluwer NV (a) | | | 57,819 | | | | 3,014,084 | |
| | | | | | | | |
| | | | | | | 43,856,779 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
75
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR EQUITY MARKET NEUTRAL FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Norway - 0.6% | | | | | | |
| Leroy Seafood Group ASA (a) | | | 312,174 | | | $ | 1,669,817 | |
| Marine Harvest ASA *(a) | | | 501,360 | | | | 8,478,341 | |
| Norsk Hydro ASA | | | 159,562 | | | | 1,209,610 | |
| Salmar ASA (a) | | | 71,373 | | | | 2,144,299 | |
| Telenor ASA | | | 14,355 | | | | 307,294 | |
| | | | | | | | |
| | | | | | | 13,809,361 | |
| | | | | | | | |
| Portugal - 0.2% | | | | | | |
| EDP - Energias de Portugal SA (a) | | | 539,459 | | | | 1,866,074 | |
| Galp Energia SGPS SA (a) | | | 93,187 | | | | 1,712,102 | |
| | | | | | | | |
| | | | | | | 3,578,176 | |
| | | | | | | | |
| Singapore - 0.2% | | | | | | |
| Genting Singapore plc (a) | | | 5,224,500 | | | | 5,102,455 | |
| StarHub Ltd. | | | 204,200 | | | | 434,524 | |
| | | | | | | | |
| | | | | | | 5,536,979 | |
| | | | | | | | |
| Spain - 2.1% | | | | | | |
| ACS Actividades de Construccion y Servicios SA (a) | | | 56,834 | | | | 2,220,142 | |
| Amadeus IT Group SA (a) | | | 57,935 | | | | 4,169,148 | |
| Ebro Foods SA | | | 5,246 | | | | 122,783 | |
| Endesa SA (a) | | | 418,430 | | | | 8,949,308 | |
| Gas Natural SDG SA | | | 17,533 | | | | 404,635 | |
| Iberdrola SA (a) | | | 575,923 | | | | 4,458,388 | |
| Mapfre SA (a) | | | 1,129,820 | | | | 3,624,081 | |
| Prosegur Cia de Seguridad SA | | | 13,111 | | | | 102,857 | |
| Repsol SA (a) | | | 1,291,540 | | | | 22,804,015 | |
| | | | | | | | |
| | | | | | | 46,855,357 | |
| | | | | | | | |
| Sweden - 2.0% | | | | | | |
| Alfa Laval AB | | | 17,322 | | | | 409,722 | |
| BillerudKorsnas AB (a) | | | 116,367 | | | | 1,992,636 | |
| Boliden AB (a) | | | 469,684 | | | | 16,062,124 | |
| Electrolux AB, Series B (a) | | | 101,433 | | | | 3,265,675 | |
| Essity AB, Class B *(a) | | | 250,796 | | | | 7,127,098 | |
| Holmen AB, Class B, Series B | | | 24,167 | | | | 1,284,471 | |
| Husqvarna AB, Class B | | | 100,816 | | | | 959,214 | |
| NCC AB, Class B (a) | | | 110,038 | | | | 2,110,362 | |
| Nibe Industrier AB, Class B | | | 33,974 | | | | 325,486 | |
| Saab AB, Class B | | | 32,729 | | | | 1,591,736 | |
| Sandvik AB | | | 34,156 | | | | 597,890 | |
| SSAB AB, Class A * | | | 70,516 | | | | 385,345 | |
| Svenska Cellulosa AB SCA, Class B (a) | | | 517,990 | | | | 5,335,466 | |
| Tele2 AB, Class B | | | 24,490 | | | | 300,983 | |
| Volvo AB, Class B (a) | | | 192,653 | | | | 3,587,563 | |
| | | | | | | | |
| | | | | | | 45,335,771 | |
| | | | | | | | |
| Switzerland - 4.4% | | | | | | |
| ABB Ltd. (Registered) (a) | | | 79,745 | | | | 2,135,918 | |
| Adecco Group AG (Registered) *(a) | | | 157,286 | | | | 12,019,811 | |
| Baloise Holding AG (Registered) | | | 9,010 | | | | 1,400,564 | |
| Bucher Industries AG (Registered) | | | 2,254 | | | | 915,008 | |
| dormakaba Holding AG * | | | 1,096 | | | | 1,020,540 | |
| Flughafen Zurich AG (Registered) | | | 6,360 | | | | 1,453,685 | |
| Georg Fischer AG (Registered) (a) | | | 4,820 | | | | 6,363,203 | |
| Helvetia Holding AG (Registered) | | | 657 | | | | 369,535 | |
| Lonza Group AG (Registered) *(a) | | | 62,808 | | | | 16,939,712 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Switzerland - 4.4% (continued) | | | | | | |
| Nestle SA (Registered) (a) | | | 67,389 | | | $ | 5,793,854 | |
| Novartis AG (Registered) | | | 14,511 | | | | 1,221,137 | |
| Partners Group Holding AG (a) | | | 3,926 | | | | 2,690,069 | |
| Roche Holding AG (a) | | | 35,667 | | | | 9,018,593 | |
| Sika AG (a) | | | 1,169 | | | | 9,274,845 | |
| Sonova Holding AG (Registered) | | | 3,882 | | | | 605,953 | |
| STMicroelectronics NV (a) | | | 486,825 | | | | 10,624,251 | |
| Straumann Holding AG (Registered) (a) | | | 4,725 | | | | 3,333,249 | |
| Swiss Life Holding AG (Registered) *(a) | | | 5,033 | | | | 1,779,035 | |
| Temenos Group AG (Registered) *(a) | | | 93,684 | | | | 11,988,816 | |
| | | | | | | | |
| | | | | | | 98,947,778 | |
| | | | | | | | |
| United Kingdom - 0.9% | | | | | | |
| Fiat Chrysler Automobiles NV *(a) | | | 1,075,931 | | | | 19,208,930 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $481,223,920) | | | | 574,055,062 | |
| | | | | | | | |
| |
| SHORT-TERM INVESTMENTS - 80.0% | | | | |
| INVESTMENT COMPANIES - 56.2% | | | | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.17% (d) | | | 13,626,655 | | | | 13,626,655 | |
| Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.15% (d) | | | 54,506,621 | | | | 54,506,621 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.24% (d)(e) | | | 5,969,908 | | | | 5,969,908 | |
| Limited Purpose Cash Investment Fund, 1.17% (d)(f) | | | 1,114,214,887 | | | | 1,114,103,466 | |
| UBS Select Treasury Preferred Fund, Class I, 1.16% (d) | | | 68,133,276 | | | | 68,133,276 | |
| | | | | | | | |
TOTAL INVESTMENT COMPANIES (Cost $1,256,342,488) | | | | | | | 1,256,339,926 | |
| | | | | | | | |
| | |
| |
| PRINCIPAL
AMOUNT |
| | | | |
| U.S. TREASURY OBLIGATIONS - 23.8% | | | | |
| U.S. Treasury Bills | | | | | | | | |
| 1.14%, 1/4/2018 (g) | | $ | 20,807,000 | | | | 20,805,689 | |
| 1.13%, 1/11/2018 (g) | | | 33,132,000 | | | | 33,122,247 | |
| 1.10%, 1/18/2018 (g) | | | 89,833,000 | | | | 89,783,541 | |
| 1.14%, 1/25/2018 (g) | | | 13,158,000 | | | | 13,147,660 | |
| 1.15%, 2/8/2018 (g) | | | 17,279,000 | | | | 17,256,779 | |
| 1.12%, 2/15/2018 (g) | | | 10,393,000 | | | | 10,377,281 | |
| 1.12%, 2/22/2018 (g) | | | 18,713,000 | | | | 18,679,465 | |
| 1.12%, 3/1/2018 (g) | | | 11,315,000 | | | | 11,291,803 | |
| 1.12%, 3/8/2018 (g) | | | 22,513,000 | | | | 22,460,411 | |
| 1.15%, 3/15/2018 (g) | | | 7,345,000 | | | | 7,325,976 | |
| 1.19%, 3/22/2018 (g) | | | 8,162,000 | | | | 8,137,731 | |
| 1.18%, 3/29/2018 (g) | | | 13,222,000 | | | | 13,178,767 | |
| 1.20%, 4/5/2018 (g) | | | 12,018,000 | | | | 11,974,884 | |
| 1.23%, 4/12/2018 (g) | | | 44,401,000 | | | | 44,229,563 | |
| 1.25%, 4/19/2018 (g) | | | 43,624,000 | | | | 43,443,124 | |
| 1.25%, 4/26/2018 (g) | | | 10,502,000 | | | | 10,456,522 | |
| 1.27%, 5/3/2018 (g) | | | 49,669,000 | | | | 49,435,697 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
76
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR EQUITY MARKET NEUTRAL FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL AMOUNT | | | VALUE | |
| U.S. TREASURY OBLIGATIONS - 23.8% (continued) | |
| 1.31%, 5/10/2018 (g) | | $ | 28,786,000 | | | $ | 28,640,151 | |
| 1.37%, 5/17/2018 (g) | | | 11,331,000 | | | | 11,270,662 | |
| 1.43%, 5/24/2018 (g) | | | 5,295,000 | | | | 5,264,794 | |
| 1.45%, 5/31/2018 (g) | | | 3,906,000 | | | | 3,882,518 | |
| 1.46%, 6/7/2018 (g) | | | 2,172,000 | | | | 2,158,188 | |
| 1.47%, 6/14/2018 (g) | | | 26,353,000 | | | | 26,178,792 | |
| 1.49%, 6/21/2018 (g) | | | 31,066,000 | | | | 30,845,949 | |
| | | | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $533,460,219) | | | | 533,348,194 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS (Cost $1,789,802,707) | | | | 1,789,688,120 | |
| | | | | | | | |
TOTAL LONG POSITIONS
(Cost $2,271,026,627) | | | | | | | 2,363,743,182 | |
| | | | | | | | |
| | |
| | | SHARES | | | | | |
| | |
| SHORT POSITIONS - (21.5)% | | | | | | |
| COMMON STOCKS - (21.5)% | | | | | | |
| | |
| Austria - (0.2)% | | | | | | |
| ams AG * | | | (53,991 | ) | | | (4,891,145 | ) |
| | | | | | | | |
| | |
| Belgium - (1.6)% | | | | | | |
| Anheuser-Busch InBev SA | | | (271,058 | ) | | | (30,261,305 | ) |
| Galapagos NV * | | | (18,507 | ) | | | (1,743,867 | ) |
| Telenet Group Holding NV * | | | (48,389 | ) | | | (3,371,103 | ) |
| | | | | | | | |
| | | | | | | (35,376,275 | ) |
| | | | | | | | |
| Canada - (3.3)% | | | | | | |
| Agnico Eagle Mines Ltd. (1) | | | (46,228 | ) | | | (2,134,505 | ) |
| AltaGas Ltd. (1) | | | (105,418 | ) | | | (2,400,209 | ) |
| Barrick Gold Corp. (1) | | | (70,497 | ) | | | (1,019,599 | ) |
| Bombardier, Inc., Class B (1)* | | | (1,031,193 | ) | | | (2,485,692 | ) |
| Cameco Corp. (1) | | | (412,079 | ) | | | (3,806,076 | ) |
| Canadian Utilities Ltd., Class A (1) | | | (33,832 | ) | | | (1,006,885 | ) |
| Eldorado Gold Corp. (1) | | | (813,664 | ) | | | (1,178,097 | ) |
| Element Fleet Management Corp. (1) | | | (151,175 | ) | | | (1,142,532 | ) |
| Enbridge, Inc. (1) | | | (333,936 | ) | | | (13,059,900 | ) |
| Fairfax Financial Holdings Ltd. (1) | | | (5,133 | ) | | | (2,733,271 | ) |
| Franco-Nevada Corp. (1) | | | (45,373 | ) | | | (3,626,230 | ) |
| Gildan Activewear, Inc. (1) | | | (41,324 | ) | | | (1,335,058 | ) |
| Goldcorp, Inc. (1) | | | (331,740 | ) | | | (4,230,543 | ) |
| Imperial Oil Ltd. (1) | | | (92,002 | ) | | | (2,871,311 | ) |
| Keyera Corp. (1) | | | (66,906 | ) | | | (1,885,291 | ) |
| Peyto Exploration & Development Corp. (1) | | | (68,197 | ) | | | (815,434 | ) |
| Stantec, Inc. (1) | | | (38,718 | ) | | | (1,082,995 | ) |
| Teck Resources Ltd., Class B (1) | | | (92,615 | ) | | | (2,421,842 | ) |
| TransCanada Corp. (1) | | | (266,281 | ) | | | (12,960,280 | ) |
| Wheaton Precious Metals Corp. (1) | | | (338,644 | ) | | | (7,486,807 | ) |
| WSP Global, Inc. (1) | | | (40,237 | ) | | | (1,917,740 | ) |
| Yamana Gold, Inc. (1) | | | (426,559 | ) | | | (1,330,240 | ) |
| | | | | | | | |
| | | | | | | (72,930,537 | ) |
| | | | | | | | |
| Denmark - (1.7)% | | | | | | |
| AP Moller - Maersk A/S, Class B | | | (354 | ) | | | (617,017 | ) |
| Chr Hansen Holding A/S | | | (49,666 | ) | | | (4,656,308 | ) |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Denmark - (1.7)% (continued) | | | | | | |
| Coloplast A/S, Class B | | | (19,811 | ) | | $ | (1,574,985 | ) |
| Genmab A/S * | | | (47,518 | ) | | | (7,869,456 | ) |
| Novozymes A/S, Class B | | | (157,066 | ) | | | (8,966,480 | ) |
| Pandora A/S | | | (139,836 | ) | | | (15,199,969 | ) |
| | | | | | | | |
| | | | | | | (38,884,215 | ) |
| | | | | | | | |
| Finland - (0.3)% | | | | | | |
| Amer Sports OYJ * | | | (139,217 | ) | | | (3,853,282 | ) |
| Huhtamaki OYJ | | | (16,894 | ) | | | (709,120 | ) |
| Metso OYJ | | | (12,867 | ) | | | (438,961 | ) |
| Nokia OYJ | | | (307,885 | ) | | | (1,438,544 | ) |
| | | | | | | | |
| | | | | | | (6,439,907 | ) |
| | | | | | | | |
| Hong Kong - 0.0% (c) | | | | | | |
| Hutchison Port Holdings Trust, Class U (1) | | | (1,010,300 | ) | | | (406,141 | ) |
| | | | | | | | |
| | |
| Italy - (2.6)% | | | | | | |
| Atlantia SpA | | | (12,949 | ) | | | (408,235 | ) |
| Azimut Holding SpA | | | (64,375 | ) | | | (1,231,568 | ) |
| Banca Generali SpA | | | (12,971 | ) | | | (431,018 | ) |
| Banco BPM SpA * | | | (1,477,973 | ) | | | (4,628,984 | ) |
| BPER Banca | | | (1,420,716 | ) | | | (7,157,084 | ) |
| Brembo SpA | | | (38,193 | ) | | | (580,232 | ) |
| Buzzi Unicem SpA | | | (152,731 | ) | | | (4,120,231 | ) |
| Mediaset SpA * | | | (457,226 | ) | | | (1,771,355 | ) |
| Saipem SpA * | | | (1,770,556 | ) | | | (8,078,611 | ) |
| Salvatore Ferragamo SpA | | | (60,554 | ) | | | (1,608,296 | ) |
| UniCredit SpA * | | | (1,092,492 | ) | | | (20,379,618 | ) |
| Unione di Banche Italiane SpA | | | (1,724,030 | ) | | | (7,515,799 | ) |
| Yoox Net-A-Porter Group SpA * | | | (36,256 | ) | | | (1,264,683 | ) |
| | | | | | | | |
| | | | | | | (59,175,714 | ) |
| | | | | | | | |
| Luxembourg - (0.8)% | | | | | | |
| Tenaris SA | | | (1,099,744 | ) | | | (17,455,119 | ) |
| | | | | | | | |
| | |
| Netherlands - (1.7)% | | | | | | |
| Altice NV, Class A * | | | (1,630,238 | ) | | | (17,095,400 | ) |
| Boskalis Westminster | | | (109,670 | ) | | | (4,132,759 | ) |
| Gemalto NV | | | (42,252 | ) | | | (2,502,169 | ) |
| Koninklijke Ahold Delhaize NV | | | (14,146 | ) | | | (310,971 | ) |
| Koninklijke Vopak NV | | | (119,031 | ) | | | (5,214,063 | ) |
| OCI NV * | | | (158,328 | ) | | | (3,993,045 | ) |
| SBM Offshore NV | | | (285,929 | ) | | | (5,035,770 | ) |
| | | | | | | | |
| | | | | | | (38,284,177 | ) |
| | | | | | | | |
| Norway - (0.5)% | | | | | | |
| Gjensidige Forsikring ASA | | | (39,466 | ) | | | (744,419 | ) |
| Schibsted ASA, Class A | | | (94,092 | ) | | | (2,692,929 | ) |
| Statoil ASA | | | (157,486 | ) | | | (3,371,528 | ) |
| Yara International ASA | | | (94,443 | ) | | | (4,336,289 | ) |
| | | | | | | | |
| | | | | | | (11,145,165 | ) |
| | | | | | | | |
| Portugal - (0.3)% | | | | | | |
| Banco Comercial Portugues SA, Class R * | | | (16,945,022 | ) | | | (5,515,505 | ) |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
77
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR EQUITY MARKET NEUTRAL FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Singapore - (0.4)% | | | | | | |
| CapitaLand Ltd. | | | (247,100 | ) | | $ | (650,043 | ) |
| Global Logistic Properties Ltd. | | | (676,600 | ) | | | (1,703,764 | ) |
| Keppel Corp. Ltd. | | | (407,800 | ) | | | (2,231,565 | ) |
| Singapore Post Ltd. | | | (1,388,400 | ) | | | (1,287,185 | ) |
| Singapore Press Holdings Ltd. | | | (1,137,700 | ) | | | (2,250,777 | ) |
| UOL Group Ltd. | | | (54,407 | ) | | | (359,862 | ) |
| | | | | | | | |
| | | | | | | (8,483,196 | ) |
| | | | | | | | |
| Spain - (2.1)% | | | | | | |
| Acerinox SA | | | (21,533 | ) | | | (307,296 | ) |
| Atresmedia Corp. de Medios de Comunicacion SA | | | (30,572 | ) | | | (319,060 | ) |
| Bankia SA | | | (2,325,113 | ) | | | (11,097,655 | ) |
| Cellnex Telecom SA (b) | | | (318,170 | ) | | | (8,140,519 | ) |
| Enagas SA | | | (13,819 | ) | | | (395,216 | ) |
| Ferrovial SA | | | (266,300 | ) | | | (6,043,190 | ) |
| Grifols SA | | | (207,916 | ) | | | (6,079,261 | ) |
| Industria de Diseno Textil SA | | | (431,363 | ) | | | (14,999,262 | ) |
| | | | | | | | |
| | | | | | | (47,381,459 | ) |
| | | | | | | | |
| Sweden - (2.2)% | | | | | | |
| Arjo AB, Class B (1) * | | | (123,662 | ) | | | (352,906 | ) |
| Elekta AB, Class B | | | (166,635 | ) | | | (1,375,965 | ) |
| Getinge AB, Class B | | | (123,662 | ) | | | (1,793,189 | ) |
| Hennes & Mauritz AB, Class B | | | (228,791 | ) | | | (4,732,281 | ) |
| Hexagon AB, Class B | | | (78,798 | ) | | | (3,952,830 | ) |
| Hexpol AB | | | (216,373 | ) | | | (2,193,726 | ) |
| Nordea Bank AB | | | (34,789 | ) | | | (421,224 | ) |
| Svenska Handelsbanken AB, Class A | | | (542,848 | ) | | | (7,418,584 | ) |
| Swedish Orphan Biovitrum AB * | | | (94,696 | ) | | | (1,294,291 | ) |
| Telefonaktiebolaget LM Ericsson, Class B | | | (3,740,001 | ) | | | (24,682,998 | ) |
| | | | | | | | |
| | | | | | | (48,217,994 | ) |
| | | | | | | | |
| Switzerland - (3.0)% | | | | | | |
| Aryzta AG* | | | (185,942 | ) | | | (7,378,698 | ) |
| Barry Callebaut AG (Registered) * | | | (157 | ) | | | (327,249 | ) |
| Chocoladefabriken Lindt & Spruengli AG | | | (1,186 | ) | | | (7,239,806 | ) |
| Credit Suisse Group AG (Registered) * | | | (1,901,657 | ) | | | (33,917,429 | ) |
| Dufry AG (Registered) * | | | (8,880 | ) | | | (1,318,148 | ) |
| GAM Holding AG * | | | (113,637 | ) | | | (1,833,613 | ) |
| OC Oerlikon Corp. AG (Registered) * | | | (42,695 | ) | | | (720,675 | ) |
| UBS Group AG (Registered) * | | | (53,040 | ) | | | (974,491 | ) |
| Vifor Pharma AG | | | (109,646 | ) | | | (14,036,880 | ) |
| | | | | | | | |
| | | | | | | (67,746,989 | ) |
| | | | | | | | |
| United Kingdom - (0.1)% | | | | | | |
| CNH Industrial NV | | | (27,772 | ) | | | (371,549 | ) |
| Subsea 7 SA | | | (159,859 | ) | | | (2,395,017 | ) |
| | | | | | | | |
| | | | | | | (2,766,566 | ) |
| | | | | | | | |
| United States - (0.2)% | | | | | | |
| Valeant Pharmaceuticals International, Inc. (1)* | | | (253,705 | ) | | | (5,288,044 | ) |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Zambia - (0.5)% | | | | | | |
| First Quantum Minerals Ltd. (1) | | | (730,898 | ) | | $ | (10,239,549 | ) |
| | | | | | | | |
TOTAL COMMON STOCKS (Proceeds $ (464,197,370)) | | | | | | | (480,627,697 | ) |
| | | | | | | | |
TOTAL SHORT POSITIONS
(Proceeds $ (464,197,370)) | | | | (480,627,697 | ) |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES
AT VALUE - 84.2%
(Cost $1,806,829,257) | | | | 1,883,115,485 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 15.8% (h) | | | | | 353,919,662 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | $ | 2,237,035,147 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 1,413,027 | | | | 0.1 | % |
| Consumer Staples | | | (13,494,783 | ) | | | (0.6 | ) |
| Energy | | | (38,185,079 | ) | | | (1.7 | ) |
| Financials | | | (29,147,576 | ) | | | (1.3 | ) |
| Health Care | | | 29,370,188 | | | | 1.3 | |
| Industrials | | | 85,523,066 | | | | 3.8 | |
| Information Technology | | | (1,787,339 | ) | | | (0.1 | ) |
| Materials | | | 5,707,743 | | | | 0.3 | |
| Real Estate | | | (2,713,669 | ) | | | (0.1 | ) |
| Telecommunication Services | | | (150,737 | ) | | | 0.0 | |
| Utilities | | | 56,892,524 | | | | 2.5 | |
| Short-Term Investments | | | 1,789,688,120 | | | | 80.0 | |
| | | | | | | | |
Total Investments In Securities
At Value | | 1,883,115,485 | | | 84.2 | |
Other Assets in Excess of
Liabilities (h) | | | 353,919,662 | | | | 15.8 | |
| | | | | | | | |
Net Assets | | $ | 2,237,035,147 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
78
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR EQUITY MARKET NEUTRAL FUND | | | | |
| * | 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 $526,613,194. |
| (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 December 31, 2017 amounted to $1,041,257, which represents approximately 0.05% of net assets of the fund. |
| (c) | Represents less than 0.05% of net assets. |
| (d) | Represents 7-day effective yield as of December 31, 2017. |
| (e) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (f) | As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended December 31, 2017, transactions in and earnings from issuers considered to be an affiliated person were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| AFFILIATE | | SHARES
HELD AT
12/31/16 | | | SHARES
PURCHASED | | SHARES
SOLD | | | SHARES
HELD AT
12/31/17 | | | VALUE AT
12/31/17 | | | DIVIDEND
INCOME | | | NET
REALIZED
GAIN (LOSS) | | | NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Other Controlled Affiliates: | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | |
| Limited Purpose Cash Investment Fund (Short-Term Investment) | | | — | | | 1,483,256,005 | | | (369,041,118 | ) | | | 1,114,214,887 | | | | $1,114,103,466 | | | | $5,381,756 | | | | $(35,023 | ) | | | $(2,562 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (g) | The rate shown was the effective yield at the date of purchase. |
| (h) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swaps contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) Level 1 security (See Note 5).
Abbreviations
| OYJ | - Public Traded Company |
| SCA | - Limited partnership with share capital |
| SDR | - Swedish Depositary Receipt |
Futures contracts outstanding as of December 31, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | | | | | | | | | | | | | | | | | | |
| Hang Seng Index | | | 6 | | | 1/2018 | | | HKD | | | | $1,149,952 | | | | $4,516 | |
| FTSE 100 Index | | | 157 | | | 3/2018 | | | GBP | | | | 16,190,539 | | | | 143,411 | |
| S&P 500 E-Mini Index | | | 311 | | | 3/2018 | | | USD | | | | 41,611,800 | | | | (140,637 | ) |
| S&P/TSX 60 Index | | | 135 | | | 3/2018 | | | CAD | | | | 20,564,678 | | | | 47,155 | |
| SPI 200 Index | | | 41 | | | 3/2018 | | | AUD | | | | 4,814,532 | | | | (13,949 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 40,496 | |
| | | | | | | | | | | | | | | | | | |
| Short Contracts | | | | | | | | | | | | | | |
| MSCI Singapore Index | | | (11 | ) | | 1/2018 | | | SGD | | | | (319,197 | ) | | | (84 | ) |
| EURO STOXX 50 Index | | | (39 | ) | | 3/2018 | | | EUR | | | | (1,634,519 | ) | | | 14,543 | |
| TOPIX Index | | | (87 | ) | | 3/2018 | | | JPY | | | | (14,029,643 | ) | | | 75,783 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 90,242 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | $130,738 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
79
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR EQUITY MARKET NEUTRAL FUND | | | | |
Forward foreign currency contracts outstanding as of December 31, 2017:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| CAD | | | 2,320,683 | | | USD | | | 1,815,941 | | | CITI | | | 3/21/2018 | | | | $32,141 | |
| CAD | | | 3,481,023 | | | USD | | | 2,723,914 | | | JPMC | | | 3/21/2018 | | | | 48,208 | |
| DKK | | | 5,355,200 | | | USD | | | 859,074 | | | CITI | | | 3/21/2018 | | | | 8,275 | |
| DKK | | | 8,032,800 | | | USD | | | 1,288,612 | | | JPMC | | | 3/21/2018 | | | | 12,412 | |
| EUR | | | 3,416,400 | | | USD | | | 4,048,801 | | | CITI | | | 3/21/2018 | | | | 69,500 | |
| EUR | | | 5,124,600 | | | USD | | | 6,073,208 | | | JPMC | | | 3/21/2018 | | | | 104,243 | |
| NOK | | | 1,496,000 | | | USD | | | 182,120 | | | CITI | | | 3/21/2018 | | | | 477 | |
| NOK | | | 2,244,000 | | | USD | | | 273,180 | | | JPMC | | | 3/21/2018 | | | | 715 | |
| SEK | | | 13,051,600 | | | USD | | | 1,570,954 | | | CITI | | | 3/21/2018 | | | | 27,622 | |
| SEK | | | 19,577,400 | | | USD | | | 2,356,433 | | | JPMC | | | 3/21/2018 | | | | 41,430 | |
| SGD | | | 1,570,400 | | | USD | | | 1,164,945 | | | CITI | | | 3/21/2018 | | | | 10,630 | |
| SGD | | | 2,355,600 | | | USD | | | 1,747,419 | | | JPMC | | | 3/21/2018 | | | | 15,943 | |
| USD | | | 12,829 | | | HKD | | | 100,000 | | | CITI | | | 3/21/2018 | | | | 10 | |
| USD | | | 19,243 | | | HKD | | | 150,000 | | | JPMC | | | 3/21/2018 | | | | 15 | |
| USD | | | 114,151 | | | NOK | | | 933,000 | | | CITI | | | 3/21/2018 | | | | 272 | |
| USD | | | 171,226 | | | NOK | | | 1,399,500 | | | JPMC | | | 3/21/2018 | | | | 408 | |
| | | | | | | | | | | | | | | | | | | | |
| Total Unrealized appreciation | | | | | | | | | | | | | 372,301 | |
| | | | | | | | | | | | | | | | | | | | |
| USD | | | 294,969 | | | CAD | | | 375,600 | | | CITI | | | 3/21/2018 | | | | (4,141 | ) |
| USD | | | 442,452 | | | CAD | | | 563,400 | | | JPMC | | | 3/21/2018 | | | | (6,213 | ) |
| USD | | | 8,845,547 | | | CHF | | | 8,663,200 | | | CITI | | | 3/21/2018 | | | | (94,615 | ) |
| USD | | | 13,268,305 | | | CHF | | | 12,994,800 | | | JPMC | | | 3/21/2018 | | | | (141,939 | ) |
| USD | | | 2,806,596 | | | DKK | | | 17,435,600 | | | CITI | | | 3/21/2018 | | | | (17,343 | ) |
| USD | | | 4,209,888 | | | DKK | | | 26,153,400 | | | JPMC | | | 3/21/2018 | | | | (26,020 | ) |
| USD | | | 35,183,706 | | | EUR | | | 29,493,600 | | | CITI | | | 3/21/2018 | | | | (369,368 | ) |
| USD | | | 52,775,493 | | | EUR | | | 44,240,400 | | | JPMC | | | 3/21/2018 | | | | (554,118 | ) |
| USD | | | 7,688 | | | HKD | | | 60,000 | | | CITI | | | 3/21/2018 | | | | (4 | ) |
| USD | | | 11,531 | | | HKD | | | 90,000 | | | JPMC | | | 3/21/2018 | | | | (6 | ) |
| USD | | | 765,312 | | | NOK | | | 6,361,400 | | | CITI | | | 3/21/2018 | | | | (11,140 | ) |
| USD | | | 1,147,966 | | | NOK | | | 9,542,100 | | | JPMC | | | 3/21/2018 | | | | (16,712 | ) |
| USD | | | 4,292 | | | SEK | | | 35,600 | | | CITI | | | 3/21/2018 | | | | (68 | ) |
| USD | | | 6,438 | | | SEK | | | 53,400 | | | JPMC | | | 3/21/2018 | | | | (103 | ) |
| USD | | | 199,926 | | | SGD | | | 270,000 | | | CITI | | | 3/21/2018 | | | | (2,192 | ) |
| USD | | | 299,888 | | | SGD | | | 405,000 | | | JPMC | | | 3/21/2018 | | | | (3,288 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized depreciation | | | | | | | | | | (1,247,270 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Net unrealized depreciation | | | | | | | | | | $(874,969 | ) |
| | | | | | | | | | | | | | | | | | | | |
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
NOK - Norwegian Krone
SEK - Swedish Krona
SGD - Singapore Dollar
USD - United States Dollar
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
80
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR EQUITY MARKET NEUTRAL FUND | | | | |
Total Return Basket Swaps Outstanding at December 31, 2017
Over the Counter
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| MSIP | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Bank of Japan Estimate Unsecured Overnight Call Rate plus or minus a specified spread (–2.75% to 0.45%), which is denominated in JPY based on the local currencies of the positions within the swap. | | 10-49 months maturity 10/16/2018 | | $692,523,368 | | | $11,114,908 | | | | $(655,885 | ) | | | $10,459,023 | |
| | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Japan | | | | | | | | | | | | | | | | |
| Bandai Namco Holdings, Inc. | | | 166,000 | | | | $5,418,194 | | | | $359,426 | | | | 0.0 | % |
| Fujitsu Ltd. | | | 1,570,000 | | | | 11,130,566 | | | | 508,378 | | | | 0.0 | |
| Haseko Corp. | | | 495,300 | | | | 7,676,276 | | | | 2,104,361 | | | | 0.1 | |
| Hitachi Ltd. | | | 2,058,000 | | | | 15,966,376 | | | | 2,027,835 | | | | 0.1 | |
| Idemitsu Kosan Co. Ltd. | | | 197,600 | | | | 7,915,014 | | | | 1,978,014 | | | | 0.1 | |
| Inpex Corp. | | | 589,400 | | | | 7,335,684 | | | | 1,680,422 | | | | 0.1 | |
| Japan Airlines Co. Ltd. | | | 163,300 | | | | 6,380,108 | | | | 961,964 | | | | 0.0 | |
| JFE Holdings, Inc. | | | 419,800 | | | | 10,032,138 | | | | 1,588,225 | | | | 0.1 | |
| JXTG Holdings, Inc. | | | 2,357,900 | | | | 15,152,594 | | | | 3,493,626 | | | | 0.2 | |
| Kajima Corp. | | | 975,000 | | | | 9,367,704 | | | | 980,943 | | | | 0.0 | |
| Marubeni Corp. | | | 825,900 | | | | 5,971,000 | | | | 648,288 | | | | 0.0 | |
| Matsumotokiyoshi Holdings Co. Ltd. | | | 140,600 | | | | 5,775,999 | | | | 1,545,539 | | | | 0.1 | |
| Mitsubishi Gas Chemical Co., Inc. | | | 189,800 | | | | 5,434,919 | | | | 1,566,108 | | | | 0.1 | |
| Mitsui Chemicals, Inc. | | | 194,000 | | | | 6,221,089 | | | | 1,585,152 | | | | 0.1 | |
| Nippon Telegraph & Telephone Corp. | | | 216,300 | | | | 10,169,152 | | | | 62,637 | | | | 0.0 | |
| Obayashi Corp. | | | 569,000 | | | | 6,873,594 | | | | 319,486 | | | | 0.0 | |
| SMC Corp. | | | 12,500 | | | | 5,129,805 | | | | 30,889 | | | | 0.0 | |
| Square Enix Holdings Co. Ltd. | | | 203,300 | | | | 9,646,141 | | | | 3,605,884 | | | | 0.2 | |
| Start Today Co. Ltd. | | | 321,900 | | | | 9,770,666 | | | | 532,259 | | | | 0.0 | |
| Taisei Corp. | | | 238,100 | | | | 11,840,928 | | | | 479,140 | | | | 0.0 | |
| Tokyo Electron Ltd. | | | 72,000 | | | | 12,988,040 | | | | 78,593 | | | | 0.0 | |
| Tosoh Corp. | | | 519,700 | | | | 11,724,537 | | | | 1,308,464 | | | | 0.1 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Japan | | | | | | | | | | | | |
| Aeon Co. Ltd. | | | (513,800 | ) | | | (8,666,603 | ) | | | (1,048,650 | ) | | | (0.0 | ) |
| AEON Financial Service Co. Ltd. | | | (223,100 | ) | | | (5,185,059 | ) | | | (924,614 | ) | | | (0.0 | ) |
| Alps Electric Co. Ltd. | | | (194,800 | ) | | | (5,541,159 | ) | | | (85,801 | ) | | | (0.0 | ) |
| Asics Corp. | | | (425,800 | ) | | | (6,768,008 | ) | | | (62,506 | ) | | | (0.0 | ) |
| Calbee, Inc. | | | (254,400 | ) | | | (8,267,413 | ) | | | 531,380 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
81
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR EQUITY MARKET NEUTRAL FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Japan (continued) | | | | | | | | | | | | |
| Chugoku Electric Power Co., Inc. (The) | | | (445,700 | ) | | $ | (4,784,688 | ) | | $ | 23,668 | | | | 0.0 | % |
| FamilyMart UNY Holdings Co. Ltd. | | | (180,600 | ) | | | (12,648,896 | ) | | | (2,570,072 | ) | | | (0.1 | ) |
| Isetan Mitsukoshi Holdings Ltd. | | | (598,100 | ) | | | (7,401,395 | ) | | | (1,032,932 | ) | | | (0.0 | ) |
| Japan Post Holdings Co. Ltd. | | | (517,500 | ) | | | (5,927,401 | ) | | | 60,435 | | | | 0.0 | |
| Kakaku.com, Inc. | | | (296,500 | ) | | | (5,005,120 | ) | | | (896,370 | ) | | | (0.0 | ) |
| Kansai Paint Co. Ltd. | | | (208,800 | ) | | | (5,418,203 | ) | | | (616,763 | ) | | | (0.0 | ) |
| Kintetsu Group Holdings Co. Ltd. | | | (139,000 | ) | | | (5,319,534 | ) | | | (247,309 | ) | | | (0.0 | ) |
| Kyushu Electric Power Co., Inc. | | | (514,900 | ) | | | (5,393,354 | ) | | | 163,176 | | | | 0.0 | |
| Marui Group Co. Ltd. | | | (486,900 | ) | | | (8,900,588 | ) | | | (2,157,058 | ) | | | (0.1 | ) |
| NGK Spark Plug Co. Ltd. | | | (376,600 | ) | | | (9,127,781 | ) | | | (1,263,878 | ) | | | (0.1 | ) |
| Nidec Corp. | | | (49,900 | ) | | | (6,986,851 | ) | | | (1,138,953 | ) | | | (0.1 | ) |
| Nippon Paint Holdings Co. Ltd. | | | (198,000 | ) | | | (6,256,082 | ) | | | 593,073 | | | | 0.0 | |
| Odakyu Electric Railway Co. Ltd. | | | (273,200 | ) | | | (5,837,378 | ) | | | (622,962 | ) | | | (0.0 | ) |
| Ono Pharmaceutical Co. Ltd. | | | (307,200 | ) | | | (7,145,998 | ) | | | (699,074 | ) | | | (0.0 | ) |
| Ricoh Co. Ltd. | | | (1,097,100 | ) | | | (10,166,621 | ) | | | (599,960 | ) | | | (0.0 | ) |
| Seven Bank Ltd. | | | (1,435,000 | ) | | | (4,900,780 | ) | | | (221,626 | ) | | | (0.0 | ) |
| Shimano, Inc. | | | (93,900 | ) | | | (13,198,454 | ) | | | 123,188 | | | | 0.0 | |
| Sony Financial Holdings, Inc. | | | (429,500 | ) | | | (7,590,817 | ) | | | (787,911 | ) | | | (0.0 | ) |
| Sysmex Corp. | | | (113,200 | ) | | | (8,888,578 | ) | | | (1,994,704 | ) | | | (0.1 | ) |
| T&D Holdings, Inc. | | | (498,400 | ) | | | (8,502,949 | ) | | | (962,021 | ) | | | (0.0 | ) |
| Tokio Marine Holdings, Inc. | | | (123,800 | ) | | | (5,630,802 | ) | | | (222,186 | ) | | | (0.0 | ) |
| Yamato Holdings Co. Ltd. | | | (277,300 | ) | | | (5,566,895 | ) | | | (12,496 | ) | | | (0.0 | ) |
| Yaskawa Electric Corp. | | | (122,400 | ) | | | (5,362,972 | ) | | | (1,719,525 | ) | | | (0.1 | ) |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| MSIP | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Reserve Bank of Australia Cash rate plus or minus a specified spread (–1.50% to 0.45%), which is denominated in AUD based on the local currencies of the positions within the swap. | | 14-49 months maturity 10/15/2018 | | $61,807,488 | | | $106,318 | | | | $(89,780 | ) | | | $16,538 | |
| | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Australia | | | | | | | | | | | | |
| Adelaide Brighton Ltd. | | | 84,692 | | | | $429,213 | | | | $42,278 | | | | 0.0 | % |
| AGL Energy Ltd. | | | 185,144 | | | | 3,508,484 | | | | (204,334 | ) | | | (0.0 | ) |
| Aurizon Holdings Ltd. | | | 789,656 | | | | 3,042,745 | | | | (199,633 | ) | | | (0.0 | ) |
| Australia & New Zealand Banking Group Ltd. | | | 18,961 | | | | 423,002 | | | | (15,427 | ) | | | (0.0 | ) |
| Bendigo & Adelaide Bank Ltd. | | | 39,889 | | | | 361,972 | | | | 12,082 | | | | 0.0 | |
| CIMIC Group Ltd. | | | 108,949 | | | | 4,357,462 | | | | 1,211,148 | | | | 0.1 | |
| Coca-Cola Amatil Ltd. | | | 67,826 | | | | 449,338 | | | | (68,977 | ) | | | (0.0 | ) |
| Crown Resorts Ltd. | | | 39,492 | | | | 400,305 | | | | 44,248 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
82
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR EQUITY MARKET NEUTRAL FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Australia (continued) | | | | | | | | | | | | |
| Fortescue Metals Group Ltd. | | | 764,282 | | | $ | 2,892,323 | | | $ | (323,910 | ) | | | (0.0 | ) % |
| Harvey Norman Holdings Ltd. | | | 130,188 | | | | 422,185 | | | | (4,544 | ) | | | (0.0 | ) |
| Newcrest Mining Ltd. | | | 255,993 | | | | 4,557,183 | | | | 152,323 | | | | 0.0 | |
| Orica Ltd. | | | 135,550 | | | | 1,905,697 | | | | (230,972 | ) | | | (0.0 | ) |
| Origin Energy Ltd. | | | 414,723 | | | | 3,037,927 | | | | 494,016 | | | | 0.0 | |
| South32 Ltd. | | | 1,145,888 | | | | 3,105,985 | | | | 352,977 | | | | 0.0 | |
| Treasury Wine Estates Ltd. | | | 160,883 | | | | 1,996,391 | | | | 482,426 | | | | 0.0 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Australia | | | | | | | | | | | | |
| Alumina Ltd. | | | (542,364 | ) | | | (1,022,120 | ) | | | (35,576 | ) | | | (0.0 | ) |
| AMP Ltd. | | | (959,604 | ) | | | (3,873,447 | ) | | | 26,300 | | | | 0.0 | |
| APA Group | | | (635,205 | ) | | | (4,118,963 | ) | | | 325,501 | | | | 0.0 | |
| AusNet Services | | | (282,843 | ) | | | (397,480 | ) | | | (25,661 | ) | | | (0.0 | ) |
| Brambles Ltd. | | | (342,396 | ) | | | (2,683,380 | ) | | | (107,096 | ) | | | (0.0 | ) |
| Domino’s Pizza Enterprises Ltd. | | | (39,717 | ) | | | (1,443,553 | ) | | | 83,771 | | | | 0.0 | |
| Healthscope Ltd. | | | (3,233,066 | ) | | | (5,284,950 | ) | | | (232,602 | ) | | | (0.0 | ) |
| Ramsay Health Care Ltd. | | | (28,842 | ) | | | (1,574,959 | ) | | | (102,529 | ) | | | (0.0 | ) |
| REA Group Ltd. | | | (35,534 | ) | | | (2,118,800 | ) | | | (369,147 | ) | | | (0.0 | ) |
| SEEK Ltd. | | | (327,125 | ) | | | (4,837,423 | ) | | | (754,839 | ) | | | (0.0 | ) |
| TPG Telecom Ltd. | | | (451,662 | ) | | | (2,311,161 | ) | | | (294,103 | ) | | | (0.0 | ) |
| Vocus Group Ltd. | | | (530,571 | ) | | | (1,251,040 | ) | | | (151,402 | ) | | | (0.0 | ) |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| MSIP | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HONIX plus or minus a specified spread (–1.88% to 0.45%), which is denominated in HKD based on the local currencies of the positions within the swap. | | 11-49 months maturity 10/16/2018 | | $36,272,624 | | | $(160,869 | ) | | | $139,520 | | | | $(21,349 | ) |
| | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Hong Kong | | | | | | | | | | | | |
| Chow Tai Fook Jewellery Group Ltd. | | | 945,000 | | | | $990,934 | | | | $(44,115 | ) | | | (0.0 | )% |
| Henderson Land Development Co. Ltd. | | | 167,000 | | | | 1,098,026 | | | | 21,716 | | | | 0.0 | |
| Kerry Properties Ltd. | | | 662,000 | | | | 2,973,900 | | | | 558,757 | | | | 0.0 | |
| Li & Fung Ltd. | | | 838,000 | | | | 459,189 | | | | 36,356 | | | | 0.0 | |
| Melco International Development Ltd. | | | 1,333,000 | | | | 3,909,015 | | | | 442,827 | | | | 0.0 | |
| New World Development Co. Ltd. | | | 1,220,817 | | | | 1,829,733 | | | | 262,850 | | | | 0.0 | |
| Sino Land Co. Ltd. | | | 730,000 | | | | 1,291,449 | | | | 10,320 | | | | 0.0 | |
| SJM Holdings Ltd. | | | 1,137,000 | | | | 1,015,950 | | | | 1,802 | | | | 0.0 | |
| Swire Properties Ltd. | | | 136,800 | | | | 440,773 | | | | (13,947 | ) | | | (0.0 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
83
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR EQUITY MARKET NEUTRAL FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| | | | |
| Hong Kong (continued) | | | | | | | | | | | | |
| WH Group Ltd. | | | 545,500 | | | $ | 614,796 | | | $ | 140,125 | | | | 0.0 | % |
| Wheelock & Co. Ltd. | | | 170,000 | | | | 1,211,801 | | | | (156,910 | ) | | | (0.0 | ) |
| Xinyi Glass Holdings Ltd. | | | 534,000 | | | | 694,126 | | | | 152,339 | | | | 0.0 | |
| Yue Yuen Industrial Holdings Ltd. | | | 277,000 | | | | 1,087,600 | | | | (27,306 | ) | | | (0.0 | ) |
| | | | |
| Macau | | | | | | | | | | | | |
| Wynn Macau Ltd. | | | 178,800 | | | | 565,271 | | | | 37,609 | | | | 0.0 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| China | | | | | | | | | | | | |
| Guotai Junan International Holdings Ltd. | | | (1,782,000 | ) | | | (557,336 | ) | | | 24,623 | | | | 0.0 | |
| | | | |
| Hong Kong | | | | | | | | | | | | |
| ASM Pacific Technology Ltd. | | | (99,900 | ) | | | (1,385,917 | ) | | | 79,815 | | | | 0.0 | |
| Cathay Pacific Airways Ltd. | | | (845,000 | ) | | | (1,309,930 | ) | | | (102,843 | ) | | | (0.0 | ) |
| Haitong International Securities Group Ltd. | | | (4,545,999 | ) | | | (2,585,719 | ) | | | 83,866 | | | | 0.0 | |
| HK Electric Investments & HK Electric Investments Ltd. | | | (817,500 | ) | | | (748,117 | ) | | | (2,931 | ) | | | (0.0 | ) |
| Hong Kong & China Gas Co. Ltd. | | | (724,073 | ) | | | (1,417,947 | ) | | | (286,238 | ) | | | (0.0 | ) |
| Hysan Development Co. Ltd. | | | (63,000 | ) | | | (333,876 | ) | | | (32,962 | ) | | | (0.0 | ) |
| MTR Corp. Ltd. | | | (534,453 | ) | | | (3,128,224 | ) | | | (111,558 | ) | | | (0.0 | ) |
| Techtronic Industries Co. Ltd. | | | (69,000 | ) | | | (448,875 | ) | | | (96,751 | ) | | | (0.0 | ) |
| Value Partners Group Ltd. | | | (2,231,000 | ) | | | (2,364,813 | ) | | | (237,466 | ) | | | (0.0 | ) |
| | | | |
| Macau | | | | | | | | | | | | |
| MGM China Holdings Ltd. | | | (771,200 | ) | | | (2,327,236 | ) | | | (679,836 | ) | | | (0.0 | ) |
| | | | |
| United States | | | | | | | | | | | | |
| Samsonite International SA | | | (323,100 | ) | | | (1,482,071 | ) | | | (221,011 | ) | | | (0.0 | ) |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| MSIP | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the SONIA plus or minus a specified spread (–5.25% to 0.35%), which is denominated in GBP based on the local currencies of the positions within the swap. | | 22-61 months maturity 10/14/2019 | | $243,931,897 | | | $4,484,224 | | | | $1,814,481 | | | | $6,298,705 | |
| | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Australia | | | | | | | | | | | | |
| BHP Billiton plc | | | 397,014 | | | | $8,027,760 | | | | $515,144 | | | | 0.0 | % |
| | | | |
| Netherlands | | | | | | | | | | | | |
| Royal Dutch Shell plc | | | 85,696 | | | | 2,860,806 | | | | 44,063 | | | | 0.0 | |
| | | | |
| South Africa | | | | | | | | | | | | |
| Investec plc | | | 341,774 | | | | 2,460,858 | | | | (134,346 | ) | | | (0.0 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
84
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR EQUITY MARKET NEUTRAL FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Switzerland | | | | | | | | | | | | |
| Coca-Cola HBC AG | | | 96,610 | | | $ | 3,155,096 | | | $ | 350,003 | | | | 0.0 | % |
| | | | |
| United Kingdom | | | | | | | | | | | | |
| Ashtead Group plc | | | 162,435 | | | | 4,356,746 | | | | 762,401 | | | | 0.0 | |
| AstraZeneca plc | | | 50,795 | | | | 3,505,139 | | | | 126,991 | | | | 0.0 | |
| BAE Systems plc | | | 365,910 | | | | 2,827,140 | | | | (110,963 | ) | | | (0.0 | ) |
| Barratt Developments plc | | | 558,418 | | | | 4,871,341 | | | | 505,423 | | | | 0.0 | |
| Bellway plc | | | 48,323 | | | | 2,316,591 | | | | 441,655 | | | | 0.0 | |
| BT Group plc | | | 3,296,471 | | | | 12,082,504 | | | | (1,096,710 | ) | | | (0.0 | ) |
| GKN plc | | | 839,700 | | | | 3,610,975 | | | | (292,127 | ) | | | (0.0 | ) |
| GlaxoSmithKline plc | | | 399,126 | | | | 7,068,198 | | | | (407,513 | ) | | | (0.0 | ) |
| Imperial Brands plc | | | 106,814 | | | | 4,556,112 | | | | 43,279 | | | | 0.0 | |
| Inchcape plc | | | 249,014 | | | | 2,623,225 | | | | (152,864 | ) | | | (0.0 | ) |
| Indivior plc | | | 760,870 | | | | 4,178,340 | | | | 914,825 | | | | 0.0 | |
| National Grid plc | | | 423,996 | | | | 4,998,286 | | | | (227,157 | ) | | | (0.0 | ) |
| Persimmon plc | | | 127,705 | | | | 4,717,972 | | | | 553,001 | | | | 0.0 | |
| Rio Tinto plc | | | 71,782 | | | | 3,765,511 | | | | 162,661 | | | | 0.0 | |
| Royal Mail plc | | | 693,219 | | | | 4,235,292 | | | | 387,562 | | | | 0.0 | |
| Standard Life Aberdeen plc | | | 607,133 | | | | 3,571,166 | | | | 118,251 | | | | 0.0 | |
| Tate & Lyle plc | | | 285,833 | | | | 2,709,261 | | | | (242,501 | ) | | | (0.0 | ) |
| Taylor Wimpey plc | | | 2,497,170 | | | | 6,947,650 | | | | 545,600 | | | | 0.0 | |
| Vodafone Group plc | | | 894,773 | | | | 2,828,373 | | | | 211,210 | | | | 0.0 | |
| Hikma Pharmaceuticals plc | | | (212,166 | ) | | | (3,241,416 | ) | | | 1,116,125 | | | | 0.0 | |
| | | | |
| South Africa | | | | | | | | | | | | |
| Mediclinic International plc | | | (353,923 | ) | | | (3,097,413 | ) | | | 327,098 | | | | 0.0 | |
| | | | |
| United Kingdom | | | | | | | | | | | | |
| AA plc | | | (1,217,058 | ) | | | (2,787,906 | ) | | | 677,742 | | | | 0.0 | |
| Admiral Group plc | | | (86,672 | ) | | | (2,337,743 | ) | | | (26,047 | ) | | | (0.0 | ) |
| Aggreko plc | | | (267,356 | ) | | | (2,877,083 | ) | | | 229,587 | | | | 0.0 | |
| Auto Trader Group plc | | | (422,861 | ) | | | (2,009,926 | ) | | | 7,045 | | | | 0.0 | |
| Balfour Beatty plc | | | (692,739 | ) | | | (2,770,839 | ) | | | (243,304 | ) | | | (0.0 | ) |
| BTG plc | | | (222,132 | ) | | | (2,283,574 | ) | | | (393,097 | ) | | | (0.0 | ) |
| Capita plc | | | (836,481 | ) | | | (4,519,599 | ) | | | 1,658,066 | | | | 0.1 | |
| Cobham plc | | | (1,959,290 | ) | | | (3,333,665 | ) | | | 245,295 | | | | 0.0 | |
| ConvaTec Group plc | | | (1,195,774 | ) | | | (3,297,137 | ) | | | 738,459 | | | | 0.0 | |
| easyJet plc | | | (96,952 | ) | | | (1,911,700 | ) | | | (235,782 | ) | | | (0.0 | ) |
| Experian plc | | | (132,496 | ) | | | (2,920,569 | ) | | | (171,750 | ) | | | (0.0 | ) |
| Halma plc | | | (136,816 | ) | | | (2,324,662 | ) | | | (366,798 | ) | | | (0.0 | ) |
| Hargreaves Lansdown plc | | | (253,524 | ) | | | (6,157,029 | ) | | | (1,614,319 | ) | | | (0.1 | ) |
| HSBC Holdings plc | | | (275,461 | ) | | | (2,844,981 | ) | | | (41,564 | ) | | | (0.0 | ) |
| Inmarsat plc | | | (764,938 | ) | | | (5,059,913 | ) | | | 2,259,292 | | | | 0.1 | |
| John Wood Group plc | | | (575,596 | ) | | | (5,036,250 | ) | | | 161,271 | | | | 0.0 | |
| Just Eat plc | | | (624,722 | ) | | | (6,570,970 | ) | | | (1,461,294 | ) | | | (0.1 | ) |
| Merlin Entertainments plc | | | (481,207 | ) | | | (2,357,446 | ) | | | 329,620 | | | | 0.0 | |
| Petrofac Ltd. | | | (409,514 | ) | | | (2,811,446 | ) | | | (480,815 | ) | | | (0.0 | ) |
| Rightmove plc | | | (36,892 | ) | | | (2,238,817 | ) | | | (161,543 | ) | | | (0.0 | ) |
| Royal Bank of Scotland Group plc | | | (699,728 | ) | | | (2,623,832 | ) | | | (64,238 | ) | | | (0.0 | ) |
| RPC Group plc | | | (194,875 | ) | | | (2,314,766 | ) | | | 143,392 | | | | 0.0 | |
| Standard Chartered plc | | | (652,635 | ) | | | (6,853,702 | ) | | | (228,157 | ) | | | (0.0 | ) |
| Tesco plc | | | (5,502,576 | ) | | | (15,567,495 | ) | | | (1,530,753 | ) | | | (0.1 | ) |
| Travis Perkins plc | | | (89,490 | ) | | | (1,892,110 | ) | | | (93,011 | ) | | | (0.0 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
85
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR EQUITY MARKET NEUTRAL FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| MSIP | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread (–3.47% to 0.33%), which is denominated in USD based on the local currencies of the positions within the swap. | | 22-49 months maturity 10/16/2019 | | $3,980,384,895 | | | $61,074,385 | | | | $7,508,391 | | | | $68,582,776 | |
| | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| United States | | | | | | | | | | | | |
| Alphabet, Inc. | | | 24,931 | | | | $26,262,315 | | | | $2,207,929 | | | | 0.1 | % |
| Amazon.com, Inc. | | | 27,929 | | | | 32,662,128 | | | | 1,882,340 | | | | 0.1 | |
| Ameriprise Financial, Inc. | | | 125,145 | | | | 21,208,323 | | | | 2,927,125 | | | | 0.1 | |
| Amgen, Inc. | | | 127,199 | | | | 22,119,906 | | | | (601,226 | ) | | | (0.0 | ) |
| Apple, Inc. | | | 126,773 | | | | 21,453,795 | | | | 982,020 | | | | 0.0 | |
| BlackRock, Inc. | | | 37,076 | | | | 19,046,312 | | | | 2,599,083 | | | | 0.1 | |
| Boeing Co. (The) | | | 124,050 | | | | 36,583,586 | | | | 4,741,917 | | | | 0.2 | |
| Celgene Corp. | | | 243,592 | | | | 25,421,261 | | | | (2,012,932 | ) | | | (0.1 | ) |
| Constellation Brands, Inc. | | | 79,737 | | | | 18,225,486 | | | | 1,520,550 | | | | 0.1 | |
| eBay, Inc. | | | 986,438 | | | | 37,228,170 | | | | 1,225,250 | | | | 0.1 | |
| Exelixis, Inc. | | | 604,186 | | | | 18,367,254 | | | | 2,233,705 | | | | 0.1 | |
| Facebook, Inc. | | | 121,602 | | | | 21,457,889 | | | | 524,508 | | | | 0.0 | |
| General Motors Co. | | | 569,212 | | | | 23,332,000 | | | | 2,165,434 | | | | 0.1 | |
| Gilead Sciences, Inc. | | | 472,919 | | | | 33,879,917 | | | | (2,810,269 | ) | | | (0.1 | ) |
| Honeywell International, Inc. | | | 168,730 | | | | 25,876,433 | | | | 2,799,216 | | | | 0.1 | |
| International Business Machines Corp. | | | 126,406 | | | | 19,393,209 | | | | 693,355 | | | | 0.0 | |
| JPMorgan Chase & Co. | | | 302,468 | | | | 32,345,928 | | | | 3,862,472 | | | | 0.2 | |
| Lear Corp. | | | 116,680 | | | | 20,612,689 | | | | 3,804,974 | | | | 0.2 | |
| LyondellBasell Industries NV | | | 345,474 | | | | 38,112,692 | | | | 5,621,201 | | | | 0.3 | |
| McKesson Corp. | | | 196,686 | | | | 30,673,182 | | | | 792,469 | | | | 0.0 | |
| Merck & Co., Inc. | | | 539,609 | | | | 30,363,798 | | | | (3,762,869 | ) | | | (0.2 | ) |
| Micron Technology, Inc. | | | 491,445 | | | | 20,208,218 | | | | (627,551 | ) | | | (0.0 | ) |
| Microsoft Corp. | | | 332,293 | | | | 28,424,343 | | | | 3,706,000 | | | | 0.2 | |
| NVIDIA Corp. | | | 119,774 | | | | 23,176,269 | | | | (2,331,657 | ) | | | (0.1 | ) |
| Oracle Corp. | | | 855,953 | | | | 40,469,458 | | | | (1,781,012 | ) | | | (0.1 | ) |
| Pfizer, Inc. | | | 693,623 | | | | 25,123,025 | | | | 980,640 | | | | 0.0 | |
| Prudential Financial, Inc. | | | 164,777 | | | | 18,946,059 | | | | 1,032,002 | | | | 0.0 | |
| Texas Instruments, Inc. | | | 173,599 | | | | 18,130,680 | | | | 3,156,327 | | | | 0.1 | |
| United Continental Holdings, Inc. | | | 288,445 | | | | 19,441,193 | | | | 986,668 | | | | 0.0 | |
| Wal-Mart Stores, Inc. | | | 195,727 | | | | 19,328,041 | | | | 3,666,103 | | | | 0.2 | |
| Walt Disney Co. (The) | | | 196,813 | | | | 21,159,366 | | | | 989,935 | | | | 0.0 | |
| Western Digital Corp. | | | 317,606 | | | | 25,259,205 | | | | (1,841,608 | ) | | | (0.1 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
86
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR EQUITY MARKET NEUTRAL FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| United States | | | | | | | | | | | | |
| Advanced Micro Devices, Inc. | | | (2,291,189 | ) | | $ | (23,553,423 | ) | | $ | 4,051,794 | | | | 0.2 | % |
| Albemarle Corp. | | | (141,948 | ) | | | (18,153,730 | ) | | | 614,810 | | | | 0.0 | |
| Ball Corp. | | | (793,251 | ) | | | (30,024,550 | ) | | | 1,133,109 | | | | 0.1 | |
| Cheniere Energy, Inc. | | | (343,533 | ) | | | (18,495,817 | ) | | | (2,916,818 | ) | | | (0.1 | ) |
| Domino’s Pizza, Inc. | | | (131,548 | ) | | | (24,857,310 | ) | | | 542,314 | | | | 0.0 | |
| Envision Healthcare Corp. | | | (727,383 | ) | | | (25,138,356 | ) | | | 6,273,381 | | | | 0.3 | |
| FirstEnergy Corp. | | | (809,593 | ) | | | (24,789,738 | ) | | | 485,608 | | | | 0.0 | |
| Hess Corp. | | | (548,373 | ) | | | (26,031,266 | ) | | | (2,241,018 | ) | | | (0.1 | ) |
| L Brands, Inc. | | | (352,789 | ) | | | (21,244,954 | ) | | | (5,355,706 | ) | | | (0.2 | ) |
| NRG Energy, Inc. | | | (673,506 | ) | | | (19,181,451 | ) | | | (2,073,979 | ) | | | (0.1 | ) |
| Perrigo Co. plc | | | (236,000 | ) | | | (20,569,760 | ) | | | (1,648,351 | ) | | | (0.1 | ) |
| ServiceNow, Inc. | | | (220,103 | ) | | | (28,699,230 | ) | | | (4,385,204 | ) | | | (0.2 | ) |
| Square, Inc. | | | (567,636 | ) | | | (19,679,940 | ) | | | (5,871,691 | ) | | | (0.3 | ) |
| Tesla, Inc. | | | (60,761 | ) | | | (18,917,937 | ) | | | 2,263,531 | | | | 0.1 | |
| TransDigm Group, Inc. | | | (118,566 | ) | | | (32,560,595 | ) | | | (2,628,865 | ) | | | (0.1 | ) |
| VEREIT, Inc. | | | (2,768,981 | ) | | | (21,570,362 | ) | | | 998,615 | | | | 0.0 | |
| Workday, Inc. | | | (224,916 | ) | | | (22,882,954 | ) | | | (1,270,950 | ) | | | (0.1 | ) |
| XPO Logistics, Inc. | | | (220,679 | ) | | | (20,211,990 | ) | | | (5,940,762 | ) | | | (0.3 | ) |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| MSIP | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA plus or minus a specified spread (–2.75% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swap. | | 22-61 months maturity 10/14/2019 | | $323,334,804 | | | $(2,243,166 | ) | | | $(1,646,787 | ) | | | $(3,889,953 | ) |
| | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| France | | | | | | | | | | | | |
| Air France-KLM | | | 375,738 | | | | $6,103,508 | | | | $1,185,470 | | | | 0.1 | % |
| Amundi SA | | | 24,913 | | | | 2,110,004 | | | | (22,345 | ) | | | (0.0 | ) |
| Atos SE | | | 62,110 | | | | 9,030,189 | | | | 176,500 | | | | 0.0 | |
| Capgemini SE | | | 61,145 | | | | 7,242,130 | | | | 632,033 | | | | 0.0 | |
| Cie de Saint-Gobain | | | 76,777 | | | | 4,225,519 | | | | (134,629 | ) | | | (0.0 | ) |
| Cie Generale des Etablissements Michelin | | | 62,098 | | | | 8,883,447 | | | | 350,209 | | | | 0.0 | |
| CNP Assurances | | | 87,193 | | | | 2,011,313 | | | | 14,872 | | | | 0.0 | |
| Engie SA | | | 177,534 | | | | 3,052,079 | | | | (81,967 | ) | | | (0.0 | ) |
| Ipsen SA | | | 21,146 | | | | 2,516,826 | | | | (104,820 | ) | | | (0.0 | ) |
| Kering | | | 5,955 | | | | 2,803,181 | | | | (4,368 | ) | | | (0.0 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
87
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR EQUITY MARKET NEUTRAL FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| France (continued) | | | | | | | | | | | | |
| Peugeot SA | | | 374,837 | | | $ | 7,613,408 | | | $ | (654,951 | ) | | | (0.0 | ) % |
| Renault SA | | | 74,299 | | | | 7,457,991 | | | | 71,137 | | | | 0.0 | |
| Sanofi | | | 27,031 | | | | 2,327,152 | | | | (362,175 | ) | | | (0.0 | ) |
| Teleperformance | | | 26,726 | | | | 3,825,825 | | | | 443,692 | | | | 0.0 | |
| Thales SA | | | 38,436 | | | | 4,136,475 | | | | (89,032 | ) | | | (0.0 | ) |
| | | | |
| Germany | | | | | | | | | | | | |
| adidas AG | | | 10,503 | | | | 2,100,493 | | | | (87,027 | ) | | | (0.0 | ) |
| Allianz SE (Registered) | | | 15,231 | | | | 3,485,582 | | | | (123,094 | ) | | | (0.0 | ) |
| Beiersdorf AG | | | 24,367 | | | | 2,856,620 | | | | (73,685 | ) | | | (0.0 | ) |
| Covestro AG | | | 118,447 | | | | 12,196,076 | | | | 258,078 | | | | 0.0 | |
| E.ON SE | | | 266,600 | | | | 2,888,924 | | | | (54,056 | ) | | | (0.0 | ) |
| HOCHTIEF AG | | | 16,351 | | | | 2,887,709 | | | | 39,195 | | | | 0.0 | |
| Infineon Technologies AG | | | 196,100 | | | | 5,340,630 | | | | (62,520 | ) | | | (0.0 | ) |
| Rheinmetall AG | | | 53,391 | | | | 6,752,014 | | | | 40,131 | | | | 0.0 | |
| RWE AG | | | 242,696 | | | | 4,938,968 | | | | (1,077,418 | ) | | | (0.0 | ) |
| Salzgitter AG | | | 60,831 | | | | 3,455,554 | | | | 168,666 | | | | 0.0 | |
| Siemens AG (Registered) | | | 19,080 | | | | 2,641,773 | | | | (35,629 | ) | | | (0.0 | ) |
| Software AG | | | 76,608 | | | | 4,297,000 | | | | 57,046 | | | | 0.0 | |
| Suedzucker AG | | | 128,045 | | | | 2,771,755 | | | | 142,564 | | | | 0.0 | |
| Talanx AG | | | 53,594 | | | | 2,184,047 | | | | (21,938 | ) | | | (0.0 | ) |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| France | | | | | | | | | | | | |
| Accor SA | | | (209,450 | ) | | | (10,782,482 | ) | | | (622,766 | ) | | | (0.0 | ) |
| Airbus SE | | | (40,495 | ) | | | (4,024,671 | ) | | | (160,076 | ) | | | (0.0 | ) |
| Bollore SA | | | (618,452 | ) | | | (3,354,967 | ) | | | (647,826 | ) | | | (0.0 | ) |
| Carrefour SA | | | (623,152 | ) | | | (13,435,423 | ) | | | (579,541 | ) | | | (0.0 | ) |
| Edenred | | | (220,744 | ) | | | (6,390,512 | ) | | | (451,433 | ) | | | (0.0 | ) |
| Electricite de France SA | | | (838,511 | ) | | | (10,474,286 | ) | | | (752,513 | ) | | | (0.0 | ) |
| Getlink SE | | | (439,338 | ) | | | (5,650,615 | ) | | | (526,967 | ) | | | (0.0 | ) |
| Ingenico Group SA | | | (84,411 | ) | | | (9,011,348 | ) | | | (415,908 | ) | | | (0.0 | ) |
| JCDecaux SA | | | (60,550 | ) | | | (2,435,320 | ) | | | (192,973 | ) | | | (0.0 | ) |
| Vivendi SA | | | (91,419 | ) | | | (2,453,643 | ) | | | (227,869 | ) | | | (0.0 | ) |
| | | | |
| Germany | | | | | | | | | | | | |
| Axel Springer SE | | | (32,618 | ) | | | (2,543,562 | ) | | | 100,898 | | | | 0.0 | |
| Bilfinger SE | | | (56,868 | ) | | | (2,693,589 | ) | | | (87,092 | ) | | | (0.0 | ) |
| Deutsche Bank AG (Registered) | | | (1,589,921 | ) | | | (30,071,746 | ) | | | 1,380,169 | | | | 0.1 | |
| Deutsche Telekom AG (Registered) | | | (117,652 | ) | | | (2,079,669 | ) | | | 73,229 | | | | 0.0 | |
| GEA Group AG | | | (212,702 | ) | | | (10,176,552 | ) | | | 28,187 | | | | 0.0 | |
| ProSiebenSat.1 Media SE | | | (236,421 | ) | | | (8,115,314 | ) | | | (25,670 | ) | | | (0.0 | ) |
| Sartorius AG (Preference) | | | (34,266 | ) | | | (3,255,007 | ) | | | 97,814 | | | | 0.0 | |
| Symrise AG | | | (55,186 | ) | | | (4,731,591 | ) | | | (43,264 | ) | | | (0.0 | ) |
| Zalando SE | | | (187,552 | ) | | | (9,889,211 | ) | | | 412,052 | | | | 0.0 | |
| | | | |
| Luxembourg | | | | | | | | | | | | |
| Eurofins Scientific SE | | | (5,952 | ) | | | (3,617,712 | ) | | | (463,500 | ) | | | (0.0 | ) |
| | | | |
| United States | | | | | | | | | | | | |
| QIAGEN NV | | | (135,453 | ) | | | (4,224,850 | ) | | | 150,181 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
88
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR EQUITY MARKET NEUTRAL FUND | | | | |
Collateral pledged to, or (received from), each counterparty at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/
CENTRALLY CLEARED | | | TOTAL | |
| BARC | | | | | | | | | |
| Cash | | | $— | | | | $1,184,000 | | | | $1,184,000 | |
| |
| CITI | | | | | | | | | |
| Investment Companies | | | 1,618,369 | | | | — | | | | 1,618,369 | |
| |
| JPMC | | | | | | | | | |
| Investment Companies | | | 4,351,539 | | | | — | | | | 4,351,539 | |
| |
| JPMS | | | | | | | | | |
| Cash | | | — | | | | 2,944,619 | | | | 2,944,619 | |
| |
| MSIP | | | | | | | | | |
| Cash | | | 263,467,551 | | | | — | | | | 263,467,551 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
89
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| SHORT-TERM INVESTMENTS - 91.3% | |
| INVESTMENT COMPANIES - 48.8% | | | | | | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.24% (a)(b) | | | 3,859,791 | | | $ | 3,859,791 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.18% (a)(b) | | | 431,868 | | | | 431,868 | |
| Limited Purpose Cash Investment Fund, 1.17% (a) | | | 8,423,204 | | | | 8,422,362 | |
| | | | | | | | |
TOTAL INVESTMENT COMPANIES
(Cost $12,714,021) | | | | | | | 12,714,021 | |
| | | | | | | | |
| | |
| | | PRINCIPAL AMOUNT | | | | |
| U.S. TREASURY OBLIGATIONS - 42.5% | | | | | | |
U.S. Treasury Bills 1.37%, 5/17/2018 (c)
(Cost $11,073,811) | | $ | 11,131,000 | | | | 11,071,727 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(Cost $23,787,832) | | | | | | | 23,785,748 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 91.3%
(Cost $23,787,832) | | | | | | | 23,785,748 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 8.7% (d) | | | | | 2,275,554 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 26,061,302 | |
| | | | | | | | |
| (a) | Represents 7-day effective yield as of December 31, 2017. |
| (b) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (c) | The rate shown was the effective yield at the date of purchase. |
| (d) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820 (See Note 5).
Forward Effective Interest rate swap contracts outstanding as of December 31, 2017:
Exchange Cleared
| | | | | | | | | | | | | | | | | | | | | | |
PAY/ RECEIVE FLOATING RATE | | FLOATING RATE INDEX (a) | | FIXED RATE | | MATURITY
DATE | | NOTIONAL
AMOUNT | | | UPFRONT
PREMIUM
PAID
(RECEIVED) | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | | | VALUE | |
| Pay | | 3 Month Australian Bank-Bill Reference Rate Quarterly | | 2.50% Semi-Annually | | 3/11/2020 | | NZD | 60,800,000 | | | | $185,406 | | | | $(4,198 | ) | | | $181,208 | |
| Pay | | 3 Month Canadian Bankers’ Acceptance Rate Quarterly | | 2.50% Semi-Annually | | 3/13/2028 | | CAD | 3,900,000 | | | | 50,964 | | | | (31,571 | ) | | | 19,393 | |
| Pay | | 3 Month Stockholm Interbank Offered Rate Quarterly | | 1.50% Annually | | 3/15/2028 | | SEK | 19,600,000 | | | | 49,738 | | | | 6,701 | | | | 56,439 | |
| Pay | | 6 Month Euro Interbank Offered Rate Semi-Annually | | 1.00% Annually | | 3/21/2028 | | EUR | 4,300,000 | | | | 28,310 | | | | 7,899 | | | | 36,209 | |
| Pay | | 6 Month London Interbank Offered Rate Semi-Annually | | 0.50% Annually | | 3/15/2028 | | CHF | 1,400,000 | | | | 30,745 | | | | (287 | ) | | | 30,458 | |
| Pay | | 6 Month Norwegian Interbank Offered Rate Semi-Annually | | 1.50% Annually | | 3/18/2020 | | NOK | 177,800,000 | | | | 147,215 | | | | (11,385 | ) | | | 135,830 | |
| Receive | | 3 Month Canadian Bankers’ Acceptance Rate Quarterly | | 2.00% Semi-Annually | | 3/16/2020 | | CAD | 15,800,000 | | | | (11,077 | ) | | | 46,926 | | | | 35,849 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
90
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | |
PAY/ RECEIVE FLOATING RATE | | FLOATING RATE INDEX (a) | | FIXED RATE | | MATURITY
DATE | | NOTIONAL
AMOUNT | | | UPFRONT
PREMIUM
PAID
(RECEIVED) | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | | | VALUE | |
| Receive | | 3 Month London Interbank Offered Rate Quarterly | | 1.75% Semi-Annually | | 3/23/2020 | | USD | 60,100,000 | | | $ | 16,624 | | | $ | 446,903 | | | $ | 463,527 | |
| Receive | | 6 Month London Interbank Offered Rate Semi-Annually | | 0.50% Annually | | 3/18/2020 | | CHF | 11,500,000 | | | | (1,971 | ) | | | 15,355 | | | | 13,384 | |
| Receive | | 6 Month London Interbank Offered Rate Semi-Annually | | 0.75% Semi-Annually | | 3/23/2020 | | GBP | 3,500,000 | | | | (11,171 | ) | | | 19,226 | | | | 8,055 | |
| Receive | | 6 Month London Interbank Offered Rate Semi-Annually | | 1.25% Semi-Annually | | 3/21/2028 | | GBP | 1,700,000 | | | | 44,226 | | | | (33,473 | ) | | | 10,753 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | 529,009 | | | | 462,096 | | | | 991,105 | |
| | | | | | | | | | | | | | | | | | | | | | |
| Pay | | 3 Month Australian Bank-Bill Reference Rate Quarterly | | 2.00% Quarterly | | 3/12/2020 | | AUD | 60,900,000 | | | | (94,429 | ) | | | 24,973 | | | | (69,456 | ) |
| Pay | | 3 Month London Interbank Offered Rate Quarterly | | 2.25% Semi-Annually | | 3/21/2028 | | USD | 1,200,000 | | | | (20,950 | ) | | | 2,813 | | | | (18,137 | ) |
| Pay | | 6 Month London Interbank Offered Rate Semi-Annually | | 0.25% Semi-Annually | | 3/15/2028 | | JPY | 948,300,000 | | | | 4,422 | | | | (26,667 | ) | | | (22,245 | ) |
| Receive | | 3 Month Australian Bank-Bill Reference Rate Quarterly | | 3.50% Semi-Annually | | 3/15/2028 | | NZD | 7,900,000 | | | | (180,025 | ) | | | 23,701 | | | | (156,324 | ) |
| Receive | | 3 Month Stockholm Interbank Offered Rate Quarterly | | 0.50% Annually | | 3/18/2020 | | SEK | 70,300,000 | | | | (90,991 | ) | | | (7,195 | ) | | | (98,186 | ) |
| Receive | | 6 Month Australian Bank-Bill Reference Rate Quarterly | | 3.00% Semi-Annually | | 3/09/2028 | | AUD | 7,800,000 | | | | (73,745 | ) | | | (20,482 | ) | | | (94,227 | ) |
| Receive | | 6 Month Euro Interbank Offered Rate Semi-Annually | | 0.00% Annually | | 3/23/2020 | | EUR | 27,100,000 | | | | (64,025 | ) | | | (828 | ) | | | (64,853 | ) |
| Receive | | 6 Month London Interbank Offered Rate Semi-Annually | | 0.25% Semi-Annually | | 3/18/2020 | | JPY | 8,056,000,000 | | | | (333,865 | ) | | | 49,101 | | | | (284,764 | ) |
| Receive | | 6 Month Norwegian Interbank Offered Rate Semi-Annually | | 2.00% Annually | | 3/15/2028 | | NOK | 30,600,000 | | | | (30,408 | ) | | | 19,377 | | | | (11,031 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | (884,016 | ) | | | 64,793 | | | | (819,223 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | $(355,007 | ) | | | $526,889 | | | | $171,882 | |
| | | | | | | | | | | | | | | | | | | | | | |
| (a) | Floating rate indices at December 31, 2017 were as follows: |
| | 3 Month Australian Bank-Bill Reference Rate: 1.80% |
| | 3 Month Canadian Bankers’ Acceptance Rate: 1.54% |
| | 3 Month London Interbank Offered Rate: 1.69% |
| | 3 Month Stockholm Interbank Offered Rate: (0.47)% |
| | 6 Month Canadian Bankers’ Acceptance Rate: 1.73% |
| | 6 Month Euro Interbank Offered Rate: (0.27)% |
| | 6 Month London Interbank Offered Rate: 1.84% |
| | 6 Month Norwegian Interbank Offered Rate: 0.90% |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
91
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
Total return swap contracts outstanding as of December 31, 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 January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | HKD | 5,989,600 | | | | $11,560 | |
Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/30/2018 | | | HKD | 19,466,200 | | | | 32,793 | |
H-Shares Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | HKD | 2,346,000 | | | | 3,028 | |
KOSPI 200 Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 03/08/2018 | | | KRW | 652,300,000 | | | | 7,288 | |
MSCI Switzerland Net Return Index | | Increases in total return of reference entity | | Decreases in total return of reference entity and receives the LIBOR plus or minus a specified spread (-0.40) | | Monthly | | GSIN | | | 03/21/2018 | | | CHF | (504,554 | ) | | | 313 | |
MSCI Taiwan Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | USD | 117,900 | | | | 1,852 | |
Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | (31,680 | ) | | | 1,330 | |
Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | (31,680 | ) | | | 1,301 | |
WIG20 Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 03/16/2018 | | | PLN | 147,240 | | | | 909 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 60,374 | |
| | | | | | | | | | | | | | | | | | | | |
| Corn March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 35,075 | | | | (528 | ) |
| Corn March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | 140,300 | | | | (2,432 | ) |
| Corn March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | 87,688 | | | | (775 | ) |
iBovespa Index February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | BANA | | | 02/14/2018 | | | BRL | (384,215 | ) | | | (5,468 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
92
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS MADE BY FUND | | PAYMENTS
RECEIVED BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL AMOUNT | | | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |
| MSCI South Africa Net Return Index | | Increases in total return of reference entity | | Decreases in total return of reference entity and receives the Johannesburg Interbank Agreed Rate plus or minus a specified spread (-0.45) | | Monthly | | GSIN | | | 03/21/2018 | | | ZAR | (289,168 | ) | | | $(1,279 | ) |
SGX S&P CNX Nifty Index January Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 01/25/2018 | | | USD | (422,340 | ) | | | (358 | ) |
Soybean March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 48,087 | | | | (1,396 | ) |
Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | 31,680 | | | | (265 | ) |
Swiss Market Index March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | Monthly | | BANA | | | 03/16/2018 | | | CHF | (92,690 | ) | | | (597 | ) |
Tel Aviv Index January Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | BANA | | | 01/24/2018 | | | ILS | (604,992 | ) | | | (3,356 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (16,454 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | $43,920 | |
| | | | | | | | | | | | | | | | | | | | |
Futures contracts outstanding as of December 31, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF CONTRACTS | | | EXPIRATION DATE | | TRADING CURRENCY | | | NOTIONAL AMOUNT | | | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |
| Long Contracts | | | | | | | | | | | | | | | | | | |
| Amsterdam Exchange Index | | | 5 | | | 1/2018 | | | EUR | | | | $653,318 | | | | $(6,810 | ) |
| Brent Crude Oil | | | 6 | | | 1/2018 | | | USD | | | | 401,220 | | | | 10,203 | |
| Hang Seng Index | | | 2 | | | 1/2018 | | | HKD | | | | 383,317 | | | | 4,297 | |
| H-Shares Index | | | 2 | | | 1/2018 | | | HKD | | | | 150,137 | | | | 1,244 | |
| LME Aluminum Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 56,475 | | | | 2,734 | |
| LME Aluminum Base Metal | | | 2 | | | 1/2018 | | | USD | | | | 112,937 | | | | 4,960 | |
| LME Copper Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 180,591 | | | | 9,333 | |
| LME Zinc Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 83,458 | | | | 1,997 | |
| MSCI Singapore Index | | | 23 | | | 1/2018 | | | SGD | | | | 667,412 | | | | 3,895 | |
| MSCI Taiwan Index | | | 20 | | | 1/2018 | | | USD | | | | 786,000 | | | | 13,387 | |
| Natural Gas | | | 17 | | | 1/2018 | | | USD | | | | 502,010 | | | | 55,626 | |
| NY Harbor ULSD | | | 1 | | | 1/2018 | | | USD | | | | 86,860 | | | | 6,321 | |
| RBOB Gasoline | | | 2 | | | 1/2018 | | | USD | | | | 150,847 | | | | 7,182 | |
| SGX S&P CNX Nifty Index | | | 9 | | | 1/2018 | | | USD | | | | 190,053 | | | | 398 | |
| WTI Crude Oil | | | 20 | | | 1/2018 | | | USD | | | | 1,208,400 | | | | 62,778 | |
| 100 oz Gold | | | 4 | | | 2/2018 | | | USD | | | | 523,720 | | | | 7,776 | |
| LME Aluminum Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 56,590 | | | | 3,337 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
93
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF CONTRACTS | | | EXPIRATION DATE | | TRADING CURRENCY | | | NOTIONAL AMOUNT | | | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) | |
| Long Contracts (continued) | | | | | | | | | | | | | | | | | | |
| LME Copper Base Metal | | | 1 | | | 2/2018 | | | USD | | | | $180,800 | | | | $7,458 | |
| Australia 10 Year Bond | | | 10 | | | 3/2018 | | | AUD | | | | 1,007,755 | | | | (7,915 | ) |
| Corn | | | 15 | | | 3/2018 | | | USD | | | | 263,063 | | | | (5,473 | ) |
| EURO STOXX 50 Index | | | 38 | | | 3/2018 | | | EUR | | | | 1,592,609 | | | | (38,626 | ) |
| Euro-Schatz | | | 34 | | | 3/2018 | | | EUR | | | | 6,595,719 | | | | (47,777 | ) |
| FTSE/MIB Index | | | 15 | | | 3/2018 | | | EUR | | | | 1,957,885 | | | | (79,773 | ) |
| KOSPI 200 Index | | | 1 | | | 3/2018 | | | KRW | | | | 76,164 | | | | 913 | |
| LME Aluminum Base Metal | | | 1 | | | 3/2018 | | | USD | | | | 56,710 | | | | 6,308 | |
| LME Aluminum Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 283,938 | | | | 25,530 | |
| LME Copper Base Metal | | | 1 | | | 3/2018 | | | USD | | | | 181,213 | | | | 6,739 | |
| LME Copper Base Metal | | | 1 | | | 3/2018 | | | USD | | | | 180,951 | | | | 11,445 | |
| LME Copper Base Metal | | | 3 | | | 3/2018 | | | USD | | | | 543,563 | | | | 29,010 | |
| LME Nickel Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 153,120 | | | | 17,854 | |
| LME Zinc Base Metal | | | 1 | | | 3/2018 | | | USD | | | | 83,175 | | | | 5,941 | |
| LME Zinc Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 166,275 | | | | 6,820 | |
| Silver | | | 4 | | | 3/2018 | | | USD | | | | 342,900 | | | | 5,356 | |
| Soybean | | | 5 | | | 3/2018 | | | USD | | | | 240,438 | | | | (8,939 | ) |
| TOPIX Index | | | 24 | | | 3/2018 | | | JPY | | | | 3,870,246 | | | | 67,178 | |
| Wheat | | | 4 | | | 3/2018 | | | USD | | | | 85,400 | | | | 981 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 191,688 | |
| | | | | | | | | | | | | | | | | | |
| Short Contracts | | | | | | | | | | | | | | | | | | |
| CAC 40 10 Euro Index | | | (36 | ) | | 1/2018 | | | EUR | | | | (2,293,849 | ) | | | 39,346 | |
| IBEX 35 Index | | | (2 | ) | | 1/2018 | | | EUR | | | | (240,469 | ) | | | 5,289 | |
| LME Aluminum Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (56,475 | ) | | | (2,897 | ) |
| LME Aluminum Base Metal | | | (2 | ) | | 1/2018 | | | USD | | | | (112,938 | ) | | | (4,643 | ) |
| LME Copper Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (180,591 | ) | | | (8,793 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (83,458 | ) | | | (1,764 | ) |
| OMXS30 Index | | | (18 | ) | | 1/2018 | | | SEK | | | | (345,436 | ) | | | 9,936 | |
| BIST 30 Index | | | (30 | ) | | 2/2018 | | | TRY | | | | (114,919 | ) | | | (3,164 | ) |
| LME Aluminum Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (56,590 | ) | | | (3,616 | ) |
| LME Copper Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (180,800 | ) | | | (7,469 | ) |
| Canada 10 Year Bond | | | (50 | ) | | 3/2018 | | | CAD | | | | (5,361,177 | ) | | | 59,797 | |
| FTSE 100 Index | | | (29 | ) | | 3/2018 | | | GBP | | | | (2,990,609 | ) | | | (84,333 | ) |
| Japan 10 Year Bond | | | (12 | ) | | 3/2018 | | | JPY | | | | (16,058,221 | ) | | | 10,875 | |
| Japan 10 Year Bond Mini | | | (47 | ) | | 3/2018 | | | JPY | | | | (6,291,972 | ) | | | 2,794 | |
| LME Aluminum Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (56,710 | ) | | | (6,338 | ) |
| LME Aluminum Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (56,788 | ) | | | (6,315 | ) |
| LME Copper Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (181,188 | ) | | | (11,468 | ) |
| LME Copper Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (181,213 | ) | | | (6,815 | ) |
| LME Copper Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (180,951 | ) | | | (11,620 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (83,138 | ) | | | (5,872 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (83,175 | ) | | | (5,919 | ) |
| Long Gilt | | | (6 | ) | | 3/2018 | | | GBP | | | | (1,013,909 | ) | | | (5,928 | ) |
| MEX BOLSA Index | | | (11 | ) | | 3/2018 | | | MXN | | | | (280,073 | ) | | | (10,464 | ) |
| S&P 500 E-Mini Index | | | (25 | ) | | 3/2018 | | | USD | | | | (3,345,000 | ) | | | (386 | ) |
| SET50 Index | | | (25 | ) | | 3/2018 | | | THB | | | | (173,519 | ) | | | 828 | |
| Soybean Oil | | | (3 | ) | | 3/2018 | | | USD | | | | (59,868 | ) | | | 634 | |
| SPI 200 Index | | | (15 | ) | | 3/2018 | | | AUD | | | | (1,761,414 | ) | | | 2,487 | |
| U.S. Treasury 10 Year Note | | | (78 | ) | | 3/2018 | | | USD | | | | (9,675,656 | ) | | | 32,364 | |
| U.S. Treasury 5 Year Note | | | (85 | ) | | 3/2018 | | | USD | | | | (9,873,945 | ) | | | 27,065 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 3,611 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | $195,299 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
94
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
Forward foreign currency contracts outstanding as of December 31, 2017:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| AUD | | | 2,574,400 | | | USD | | | 1,949,910 | | | CITI | | | 3/21/2018 | | | | $58,465 | |
| AUD | | | 3,861,600 | | | USD | | | 2,924,876 | | | JPMC | | | 3/21/2018 | | | | 87,686 | |
| BRL | | | 64,400 | | | USD | | | 19,242 | | | CITI** | | | 3/21/2018 | | | | 9 | |
| BRL | | | 96,600 | | | USD | | | 28,863 | | | JPMC** | | | 3/21/2018 | | | | 13 | |
| CAD | | | 927,200 | | | USD | | | 725,676 | | | CITI | | | 3/21/2018 | | | | 12,702 | |
| CAD | | | 1,390,800 | | | USD | | | 1,088,515 | | | JPMC | | | 3/21/2018 | | | | 19,052 | |
| CHF | | | 464,080 | | | USD | | | 473,152 | | | CITI | | | 3/21/2018 | | | | 5,764 | |
| CHF | | | 696,120 | | | USD | | | 709,729 | | | JPMC | | | 3/21/2018 | | | | 8,646 | |
| CLP | | | 267,600,000 | | | USD | | | 415,233 | | | CITI** | | | 3/21/2018 | | | | 19,370 | |
| CLP | | | 401,400,000 | | | USD | | | 622,850 | | | JPMC** | | | 3/21/2018 | | | | 29,054 | |
| CNY | | | 1,654,000 | | | USD | | | 248,814 | | | CITI** | | | 3/21/2018 | | | | 4,030 | |
| CNY | | | 2,481,000 | | | USD | | | 373,221 | | | JPMC** | | | 3/21/2018 | | | | 6,045 | |
| CZK | | | 4,935,000 | | | USD | | | 230,796 | | | CITI | | | 3/21/2018 | | | | 1,851 | |
| CZK | | | 7,402,500 | | | USD | | | 346,194 | | | JPMC | | | 3/21/2018 | | | | 2,775 | |
| EUR | | | 1,492,400 | | | USD | | | 1,780,421 | | | CITI | | | 3/21/2018 | | | | 18,593 | |
| EUR | | | 2,238,600 | | | USD | | | 2,670,635 | | | JPMC | | | 3/21/2018 | | | | 27,887 | |
| GBP | | | 85,200 | | | USD | | | 114,506 | | | CITI | | | 3/21/2018 | | | | 822 | |
| GBP | | | 127,800 | | | USD | | | 171,759 | | | JPMC | | | 3/21/2018 | | | | 1,233 | |
| HKD | | | 906,150 | | | USD | | | 116,095 | | | CITI | | | 3/21/2018 | | | | 64 | |
| HKD | | | 1,353,825 | | | USD | | | 173,450 | | | JPMC | | | 3/21/2018 | | | | 97 | |
| HUF | | | 65,577,200 | | | USD | | | 250,029 | | | CITI | | | 3/21/2018 | | | | 4,165 | |
| HUF | | | 98,365,800 | | | USD | | | 375,044 | | | JPMC | | | 3/21/2018 | | | | 6,247 | |
| INR | | | 5,866,000 | | | USD | | | 90,767 | | | CITI** | | | 3/21/2018 | | | | 464 | |
| INR | | | 8,799,000 | | | USD | | | 136,158 | | | JPMC** | | | 3/21/2018 | | | | 689 | |
| KRW | | | 476,513,200 | | | USD | | | 435,759 | | | CITI** | | | 3/21/2018 | | | | 11,122 | |
| KRW | | | 714,769,800 | | | USD | | | 653,639 | | | JPMC** | | | 3/21/2018 | | | | 16,683 | |
| NOK | | | 4,887,000 | | | USD | | | 592,449 | | | CITI | | | 3/21/2018 | | | | 4,042 | |
| NOK | | | 7,330,500 | | | USD | | | 888,676 | | | JPMC | | | 3/21/2018 | | | | 6,062 | |
| NZD | | | 650,400 | | | USD | | | 453,680 | | | CITI | | | 3/21/2018 | | | | 6,812 | |
| NZD | | | 975,600 | | | USD | | | 680,529 | | | JPMC | | | 3/21/2018 | | | | 10,210 | |
| PHP | | | 2,080,000 | | | USD | | | 40,786 | | | CITI** | | | 3/21/2018 | | | | 768 | |
| PHP | | | 3,120,000 | | | USD | | | 61,179 | | | JPMC** | | | 3/21/2018 | | | | 1,152 | |
| PLN | | | 1,331,596 | | | USD | | | 374,724 | | | CITI | | | 3/21/2018 | | | | 7,919 | |
| PLN | | | 1,997,404 | | | USD | | | 562,090 | | | JPMC | | | 3/21/2018 | | | | 11,878 | |
| RUB | | | 4,600,000 | | | USD | | | 76,901 | | | CITI** | | | 3/21/2018 | | | | 2,016 | |
| RUB | | | 6,900,000 | | | USD | | | 115,351 | | | JPMC** | | | 3/21/2018 | | | | 3,024 | |
| SGD | | | 419,200 | | | USD | | | 310,972 | | | CITI | | | 3/21/2018 | | | | 2,834 | |
| SGD | | | 628,800 | | | USD | | | 466,459 | | | JPMC | | | 3/21/2018 | | | | 4,250 | |
| TRY | | | 1,706,000 | | | USD | | | 423,830 | | | CITI | | | 3/21/2018 | | | | 16,123 | |
| TRY | | | 2,559,000 | | | USD | | | 635,745 | | | JPMC | | | 3/21/2018 | | | | 24,184 | |
| TWD | | | 1,720,000 | | | USD | | | 57,828 | | | CITI** | | | 3/21/2018 | | | | 663 | |
| TWD | | | 2,580,000 | | | USD | | | 86,742 | | | JPMC** | | | 3/21/2018 | | | | 995 | |
| USD | | | 545,761 | | | BRL | | | 1,797,200 | | | CITI** | | | 3/21/2018 | | | | 8,534 | |
| USD | | | 818,641 | | | BRL | | | 2,695,800 | | | JPMC** | | | 3/21/2018 | | | | 12,800 | |
| USD | | | 161,038 | | | GBP | | | 118,827 | | | CITI | | | 3/21/2018 | | | | 191 | |
| USD | | | 241,556 | | | GBP | | | 178,240 | | | JPMC | | | 3/21/2018 | | | | 287 | |
| USD | | | 144,213 | | | HKD | | | 1,124,500 | | | CITI | | | 3/21/2018 | | | | 63 | |
| USD | | | 216,319 | | | HKD | | | 1,686,750 | | | JPMC | | | 3/21/2018 | | | | 95 | |
| USD | | | 613,978 | | | MXN | | | 11,769,604 | | | CITI | | | 3/21/2018 | | | | 23,650 | |
| USD | | | 920,965 | | | MXN | | | 17,654,396 | | | JPMC | | | 3/21/2018 | | | | 35,474 | |
| ZAR | | | 3,228,400 | | | USD | | | 234,876 | | | CITI | | | 3/22/2018 | | | | 23,044 | |
| ZAR | | | 4,842,600 | | | USD | | | 352,314 | | | JPMC | | | 3/22/2018 | | | | 34,565 | |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized appreciation | | | | | | | | | | | | | 585,163 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
95
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| BRL | | | 403,200 | | | USD | | | 121,825 | | | CITI** | | | 3/21/2018 | | | | $ (1,299 | ) |
| BRL | | | 604,800 | | | USD | | | 182,738 | | | JPMC** | | | 3/21/2018 | | | | (1,948 | ) |
| COP | | | 16,000,000 | | | USD | | | 5,355 | | | CITI** | | | 3/21/2018 | | | | (30 | ) |
| COP | | | 24,000,000 | | | USD | | | 8,033 | | | JPMC** | | | 3/21/2018 | | | | (44 | ) |
| CZK | | | 705,000 | | | USD | | | 33,363 | | | CITI | | | 3/21/2018 | | | | (128 | ) |
| CZK | | | 1,057,500 | | | USD | | | 50,044 | | | JPMC | | | 3/21/2018 | | | | (191 | ) |
| HKD | | | 2,268,650 | | | USD | | | 291,014 | | | CITI | | | 3/21/2018 | | | | (194 | ) |
| HKD | | | 3,408,375 | | | USD | | | 437,214 | | | JPMC | | | 3/21/2018 | | | | (293 | ) |
| MXN | | | 12,837,200 | | | USD | | | 670,845 | | | CITI | | | 3/21/2018 | | | | (26,969 | ) |
| MXN | | | 19,255,800 | | | USD | | | 1,006,268 | | | JPMC | | | 3/21/2018 | | | | (40,455 | ) |
| NOK | | | 1,629,000 | | | USD | | | 199,413 | | | CITI | | | 3/21/2018 | | | | (582 | ) |
| NOK | | | 2,443,500 | | | USD | | | 299,119 | | | JPMC | | | 3/21/2018 | | | | (874 | ) |
| USD | | | 804,888 | | | AUD | | | 1,062,400 | | | CITI | | | 3/21/2018 | | | | (23,926 | ) |
| USD | | | 1,207,330 | | | AUD | | | 1,593,600 | | | JPMC | | | 3/21/2018 | | | | (35,890 | ) |
| USD | | | 1,734,996 | | | CHF | | | 1,698,480 | | | CITI | | | 3/21/2018 | | | | (17,784 | ) |
| USD | | | 2,602,491 | | | CHF | | | 2,547,720 | | | JPMC | | | 3/21/2018 | | | | (26,680 | ) |
| USD | | | 322,540 | | | CLP | | | 207,200,000 | | | CITI** | | | 3/21/2018 | | | | (13,968 | ) |
| USD | | | 483,810 | | | CLP | | | 310,800,000 | | | JPMC** | | | 3/21/2018 | | | | (20,953 | ) |
| USD | | | 306,586 | | | CNY | | | 2,043,600 | | | CITI** | | | 3/21/2018 | | | | (5,815 | ) |
| USD | | | 459,879 | | | CNY | | | 3,065,400 | | | JPMC** | | | 3/21/2018 | | | | (8,723 | ) |
| USD | | | 128,073 | | | COP | | | 388,000,000 | | | CITI** | | | 3/21/2018 | | | | (1,077 | ) |
| USD | | | 192,110 | | | COP | | | 582,000,000 | | | JPMC** | | | 3/21/2018 | | | | (1,616 | ) |
| USD | | | 79,945 | | | CZK | | | 1,720,000 | | | CITI | | | 3/21/2018 | | | | (1,139 | ) |
| USD | | | 119,917 | | | CZK | | | 2,580,000 | | | JPMC | | | 3/21/2018 | | | | (1,709 | ) |
| USD | | | 593,507 | | | EUR | | | 499,600 | | | CITI | | | 3/21/2018 | | | | (8,736 | ) |
| USD | | | 890,260 | | | EUR | | | 749,400 | | | JPMC | | | 3/21/2018 | | | | (13,104 | ) |
| USD | | | 1,244,239 | | | GBP | | | 927,573 | | | CITI | | | 3/21/2018 | | | | (11,343 | ) |
| USD | | | 1,866,356 | | | GBP | | | 1,391,360 | | | JPMC | | | 3/21/2018 | | | | (17,019 | ) |
| USD | | | 168,596 | | | HKD | | | 1,315,900 | | | CITI | | | 3/21/2018 | | | | (90 | ) |
| USD | | | 252,893 | | | HKD | | | 1,973,850 | | | JPMC | | | 3/21/2018 | | | | (136 | ) |
| USD | | | 102,109 | | | HUF | | | 26,800,000 | | | CITI | | | 3/21/2018 | | | | (1,775 | ) |
| USD | | | 153,164 | | | HUF | | | 40,200,000 | | | JPMC | | | 3/21/2018 | | | | (2,662 | ) |
| USD | | | 234,572 | | | IDR | | | 3,208,000,000 | | | CITI** | | | 3/21/2018 | | | | (1,302 | ) |
| USD | | | 351,858 | | | IDR | | | 4,812,000,000 | | | JPMC** | | | 3/21/2018 | | | | (1,954 | ) |
| USD | | | 204,865 | | | ILS | | | 716,000 | | | CITI | | | 3/21/2018 | | | | (1,557 | ) |
| USD | | | 307,296 | | | ILS | | | 1,074,000 | | | JPMC | | | 3/21/2018 | | | | (2,337 | ) |
| USD | | | 385,602 | | | INR | | | 25,392,000 | | | CITI** | | | 3/21/2018 | | | | (9,308 | ) |
| USD | | | 578,403 | | | INR | | | 38,088,000 | | | JPMC** | | | 3/21/2018 | | | | (13,963 | ) |
| USD | | | 583,430 | | | KRW | | | 634,016,000 | | | CITI** | | | 3/21/2018 | | | | (11,160 | ) |
| USD | | | 875,144 | | | KRW | | | 951,024,000 | | | JPMC** | | | 3/21/2018 | | | | (16,741 | ) |
| USD | | | 67,965 | | | MXN | | | 1,361,600 | | | CITI | | | 3/21/2018 | | | | (329 | ) |
| USD | | | 101,948 | | | MXN | | | 2,042,400 | | | JPMC | | | 3/21/2018 | | | | (493 | ) |
| USD | | | 549,459 | | | NOK | | | 4,578,000 | | | CITI | | | 3/21/2018 | | | | (9,317 | ) |
| USD | | | 824,187 | | | NOK | | | 6,867,000 | | | JPMC | | | 3/21/2018 | | | | (13,977 | ) |
| USD | | | 1,855,883 | | | NZD | | | 2,708,808 | | | CITI | | | 3/21/2018 | | | | (61,991 | ) |
| USD | | | 2,783,807 | | | NZD | | | 4,063,192 | | | JPMC | | | 3/21/2018 | | | | (92,989 | ) |
| USD | | | 50,522 | | | PLN | | | 179,596 | | | CITI | | | 3/21/2018 | | | | (1,086 | ) |
| USD | | | 75,786 | | | PLN | | | 269,404 | | | JPMC | | | 3/21/2018 | | | | (1,629 | ) |
| USD | | | 8,696 | | | RUB | | | 520,000 | | | CITI** | | | 3/21/2018 | | | | (225 | ) |
| USD | | | 13,044 | | | RUB | | | 780,000 | | | JPMC** | | | 3/21/2018 | | | | (338 | ) |
| USD | | | 2,026,332 | | | SEK | | | 16,904,400 | | | CITI | | | 3/21/2018 | | | | (44,139 | ) |
| USD | | | 3,037,977 | | | SEK | | | 25,356,600 | | | JPMC | | | 3/21/2018 | | | | (67,730 | ) |
| USD | | | 184,131 | | | TRY | | | 734,800 | | | CITI | | | 3/21/2018 | | | | (5,363 | ) |
| USD | | | 276,197 | | | TRY | | | 1,102,200 | | | JPMC | | | 3/21/2018 | | | | (8,045 | ) |
| JPY | | | 130,709,600 | | | USD | | | 1,170,760 | | | CITI | | | 3/22/2018 | | | | (6,033 | ) |
| JPY | | | 196,064,400 | | | USD | | | 1,756,142 | | | JPMC | | | 3/22/2018 | | | | (9,051 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
96
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| USD | | | 206,619 | | | ZAR | | | 2,863,600 | | | CITI | | | 3/22/2018 | | | | $ (22,156 | ) |
| USD | | | 309,928 | | | ZAR | | | 4,295,400 | | | JPMC | | | 3/22/2018 | | | | (33,235 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized depreciation | | | | | | | | | | | | | (723,600 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Net unrealized depreciation | | | | | | | | | | | | $ | (138,437 | ) |
| | | | | | | | | | | | | | | | | | | | |
| ** | Non-deliverable forward. |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
CNY - Chinese Renminbi
COP - Colombian Peso
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Poland Zloty
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
THB - Thailand Baht
TRY - Turkish Lira
TWD - New Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
Collateral pledged to, or (received from), each counterparty at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/ CENTRALLY CLEARED | | | TOTAL | |
| BARC | | | | | | | | | |
| Cash | | | $— | | | | $1,030,715 | | | | $1,030,715 | |
| |
| CITI | | | | | | | | | |
| Investment Companies | | | 172,250 | | | | — | | | | 172,250 | |
| |
| CRSU | | | | | | | | | |
| Cash | | | — | | | | 568,700 | | | | 568,700 | |
| |
| GSCO | | | | | | | | | |
| Cash | | | — | | | | 295,918 | | | | 295,918 | |
| |
| GSIN | | | | | | | | | |
| Investment Companies | | | 431,868 | | | | — | | | | 431,868 | |
| |
| JPMC | | | | | | | | | |
| Investment Companies | | | 560,000 | | | | — | | | | 560,000 | |
| |
| JPMS | | | | | | | | | |
| Cash | | | — | | | | 36,624 | | | | 36,624 | |
| |
| MSCL | | | | | | | | | |
| Cash | | | — | | | | 66,149 | | | | 66,149 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
97
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/ CENTRALLY CLEARED | | | TOTAL | |
| CITI | | | | | | | | | |
| Investment Companies | | | $60,504 | | | | $— | | | | $60,504 | |
| |
| JPPC | | | | | | | | | |
| Cash | | | — | | | | 3,155 | | | | 3,155 | |
| |
| MSCL | | | | | | | | | |
| Cash | | | — | | | | 69,073 | | | | 69,073 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
98
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR LONG-SHORT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| LONG POSITIONS - 115.3% | | | | | | |
| COMMON STOCKS - 24.5% | | | | | | |
| | |
| Belgium - 1.7% | | | | | | |
| Ageas (a) | | | 402,042 | | | $ | 19,639,621 | |
| bpost SA (a) | | | 237,927 | | | | 7,241,142 | |
| KBC Group NV (a) | | | 125,957 | | | | 10,733,228 | |
| Proximus SADP (a) | | | 220,285 | | | | 7,227,894 | |
| Solvay SA (a) | | | 155,227 | | | | 21,582,223 | |
| UCB SA (a) | | | 176,191 | | | | 13,970,706 | |
| Umicore SA (a) | | | 211,365 | | | | 10,007,919 | |
| | | | | | | | |
| | | | | | | 90,402,733 | |
| | | | | | | | |
| Canada - 3.8% | | | | | | |
| Air Canada (1)*(a) | | | 1,684,423 | | | | 34,680,085 | |
| Atco Ltd., Class I (1) | | | 25,801 | | | | 923,663 | |
| Bank of Montreal (1)(a) | | | 42,065 | | | | 3,366,204 | |
| Canadian Imperial Bank of Commerce (1)(a) | | | 171,304 | | | | 16,699,755 | |
| Canadian Tire Corp. Ltd., Class A (1)(a) | | | 73,532 | | | | 9,587,824 | |
| CCL Industries, Inc., Class B (1) | | | 18,685 | | | | 863,345 | |
| Cenovus Energy, Inc. (1)(a) | | | 279,224 | | | | 2,550,113 | |
| CGI Group, Inc., Class A (1)* | | | 20,907 | | | | 1,135,997 | |
| Constellation Software, Inc. (1) | | | 1,825 | | | | 1,106,354 | |
| Dollarama, Inc. (1)(a) | | | 222,621 | | | | 27,814,342 | |
| Empire Co. Ltd., Class A (1) | | | 58,096 | | | | 1,131,878 | |
| Encana Corp. (1)(a) | | | 903,413 | | | | 12,052,694 | |
| George Weston Ltd. (1) | | | 11,601 | | | | 1,007,450 | |
| Industrial Alliance Insurance & Financial Services, Inc. (1) | | | 19,504 | | | | 928,186 | |
| Linamar Corp. (1)(a) | | | 148,771 | | | | 8,664,698 | |
| Lundin Mining Corp. (1)(a) | | | 570,871 | | | | 3,796,724 | |
| Magna International, Inc. (1)(a) | | | 522,673 | | | | 29,622,295 | |
| Manulife Financial Corp. (1)(a) | | | 353,131 | | | | 7,366,026 | |
| Methanex Corp. (1)(a) | | | 141,233 | | | | 8,557,124 | |
| National Bank of Canada (1)(a) | | | 239,216 | | | | 11,936,060 | |
| Quebecor, Inc., Class B (1) | | | 61,752 | | | | 1,164,298 | |
| Royal Bank of Canada (1)(a) | | | 65,541 | | | | 5,352,254 | |
| Saputo, Inc. (1) | | | 47,512 | | | | 1,707,711 | |
| Toronto-Dominion Bank (The) (1)(a) | | | 172,219 | | | | 10,090,636 | |
| West Fraser Timber Co. Ltd. (1)(a) | | | 125,491 | | | | 7,744,102 | |
| WestJet Airlines Ltd. (1) | | | 47,638 | | | | 998,996 | |
| | | | | | | | |
| | | | | | | 210,848,814 | |
| | | | | | | | |
| China - 0.1% | | | | | | |
| Yangzijiang Shipbuilding Holdings Ltd. (a) | | | 5,520,000 | | | | 6,052,808 | |
| | | | | | | | |
| | |
| Denmark - 1.6% | | | | | | |
| Carlsberg A/S, Class B (a) | | | 44,257 | | | | 5,308,107 | |
| Danske Bank A/S (a) | | | 144,425 | | | | 5,621,309 | |
| DSV A/S | | | 14,455 | | | | 1,137,404 | |
| GN Store Nord A/S (a) | | | 353,430 | | | | 11,414,739 | |
| H Lundbeck A/S (a) | | | 164,285 | | | | 8,331,059 | |
| ISS A/S | | | 29,938 | | | | 1,159,053 | |
| Novo Nordisk A/S, Class B (a) | | | 214,412 | | | | 11,521,534 | |
| Orsted A/S (b) | | | 20,887 | | | | 1,138,525 | |
| TDC A/S (a) | | | 1,339,235 | | | | 8,226,525 | |
| Vestas Wind Systems A/S (a) | | | 483,827 | | | | 33,432,603 | |
| | | | | | | | |
| | | | | | | 87,290,858 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Finland - 0.9% | | | | | | |
| Cargotec OYJ, Class B | | | 13,650 | | | $ | 772,864 | |
| Fortum OYJ | | | 111,334 | | | | 2,203,452 | |
| Kesko OYJ, Class B (a) | | | 51,208 | | | | 2,779,966 | |
| Neste OYJ (a) | | | 311,816 | | | | 19,959,678 | |
| Orion OYJ, Class B (a) | | | 119,153 | | | | 4,442,635 | |
| UPM-Kymmene OYJ (a) | | | 565,880 | | | | 17,567,658 | |
| | | | | | | | |
| | | | | | | 47,726,253 | |
| | | | | | | | |
| Germany - 0.9% | | | | | | |
| Aurubis AG (a) | | | 109,508 | | | | 10,164,935 | |
| Deutsche Lufthansa AG (Registered) (a) | | | 768,632 | | | | 28,227,026 | |
| OSRAM Licht AG (a) | | | 94,204 | | | | 8,435,346 | |
| | | | | | | | |
| | | | | | | 46,827,307 | |
| | | | | | | | |
| Italy - 3.6% | | | | | | |
| A2A SpA (a) | | | 6,943,183 | | | | 12,846,851 | |
| Assicurazioni Generali SpA (a) | | | 333,455 | | | | 6,069,367 | |
| Davide Campari-Milano SpA | | | 139,837 | | | | 1,080,468 | |
| DiaSorin SpA | | | 26,376 | | | | 2,338,902 | |
| Enel SpA (a) | | | 11,294,558 | | | | 69,453,322 | |
| Eni SpA | | | 109,746 | | | | 1,816,071 | |
| FinecoBank Banca Fineco SpA | | | 111,880 | | | | 1,142,811 | |
| Hera SpA (a) | | | 1,554,914 | | | | 5,426,463 | |
| Intesa Sanpaolo SpA (a) | | | 12,093,741 | | | | 40,125,354 | |
| Italgas SpA | | | 190,220 | | | | 1,160,680 | |
| Leonardo SpA (a) | | | 834,296 | | | | 9,914,115 | |
| Moncler SpA (a) | | | 646,138 | | | | 20,196,693 | |
| Poste Italiane SpA (a)(b) | | | 631,982 | | | | 4,758,163 | |
| Prysmian SpA (a) | | | 221,567 | | | | 7,219,790 | |
| Recordati SpA (a) | | | 233,711 | | | | 10,386,004 | |
| Terna Rete Elettrica Nazionale SpA | | | 342,708 | | | | 1,992,182 | |
| Unipol Gruppo SpA | | | 296,082 | | | | 1,386,796 | |
| | | | | | | | |
| | | | | | | 197,314,032 | |
| | | | | | | | |
| Malta - 0.1% | | | | | | |
| Kindred Group plc, SDR (a) | | | 540,883 | | | | 7,723,171 | |
| | | | | | | | |
| | |
| Netherlands - 1.9% | | | | | | |
| Akzo Nobel NV (a) | | | 36,006 | | | | 3,159,353 | |
| ASM International NV (a) | | | 186,131 | | | | 12,569,870 | |
| ASML Holding NV | | | 5,943 | | | | 1,033,241 | |
| ASR Nederland NV (a) | | | 146,715 | | | | 6,039,792 | |
| Koninklijke DSM NV (a) | | | 83,691 | | | | 7,994,493 | |
| Koninklijke Philips NV (a) | | | 813,139 | | | | 30,703,057 | |
| NN Group NV (a) | | | 536,242 | | | | 23,194,380 | |
| Philips Lighting NV (a)(b) | | | 302,915 | | | | 11,109,965 | |
| Randstad Holding NV (a) | | | 114,664 | | | | 7,035,676 | |
| Wolters Kluwer NV (a) | | | 59,732 | | | | 3,113,808 | |
| | | | | | | | |
| | | | | | | 105,953,635 | |
| | | | | | | | |
| Norway - 0.5% | | | | | | |
| Leroy Seafood Group ASA (a) | | | 749,959 | | | | 4,011,526 | |
| Marine Harvest ASA *(a) | | | 1,220,024 | | | | 20,631,440 | |
| Norsk Hydro ASA | | | 206,703 | | | | 1,566,977 | |
| Salmar ASA | | | 69,782 | | | | 2,096,500 | |
| Telenor ASA | | | 36,099 | | | | 772,764 | |
| | | | | | | | |
| | | | | | | 29,079,207 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
99
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR LONG-SHORT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Portugal - 0.2% | | | | | | |
| EDP - Energias de Portugal SA (a) | | | 1,443,676 | | | $ | 4,993,903 | |
| Galp Energia SGPS SA (a) | | | 193,067 | | | | 3,547,173 | |
| | | | | | | | |
| | | | | | | 8,541,076 | |
| | | | | | | | |
| Singapore - 0.2% | | | | | | |
| Genting Singapore plc (a) | | | 12,705,600 | | | | 12,408,796 | |
| StarHub Ltd. | | | 397,200 | | | | 845,216 | |
| | | | | | | | |
| | | | | | | 13,254,012 | |
| | | | | | | | |
| Spain - 2.1% | | | | | | |
| ACS Actividades de Construccion y Servicios SA (a) | | | 161,918 | | | | 6,325,104 | |
| Amadeus IT Group SA (a) | | | 146,599 | | | | 10,549,632 | |
| Endesa SA (a) | | | 857,948 | | | | 18,349,642 | |
| Gas Natural SDG SA | | | 33,460 | | | | 772,206 | |
| Iberdrola SA (a) | | | 1,474,012 | | | | 11,410,757 | |
| Mapfre SA (a) | | | 2,808,141 | | | | 9,007,567 | |
| Melia Hotels International SA | | | 129,913 | | | | 1,787,572 | |
| Repsol SA (a) | | | 3,234,796 | | | | 57,115,022 | |
| | | | | | | | |
| | | | | | | 115,317,502 | |
| | | | | | | | |
| Sweden - 2.0% | | | | | | |
| Alfa Laval AB | | | 44,242 | | | | 1,046,468 | |
| BillerudKorsnas AB (a) | | | 164,771 | | | | 2,821,492 | |
| Boliden AB (a) | | | 1,172,364 | | | | 40,092,181 | |
| Electrolux AB, Series B (a) | | | 255,439 | | | | 8,223,958 | |
| Essity AB, Class B *(a) | | | 608,874 | | | | 17,302,927 | |
| Husqvarna AB, Class B | | | 242,166 | | | | 2,304,088 | |
| NCC AB, Class B (a) | | | 210,681 | | | | 4,040,542 | |
| Saab AB, Class B | | | 50,707 | | | | 2,466,075 | |
| Sandvik AB | | | 96,964 | | | | 1,697,325 | |
| SSAB AB, Class A * | | | 271,793 | | | | 1,485,251 | |
| Svenska Cellulosa AB SCA, Class B (a) | | | 1,327,505 | | | | 13,673,734 | |
| Swedish Match AB | | | 29,003 | | | | 1,142,477 | |
| Tele2 AB, Class B | | | 133,447 | | | | 1,640,067 | |
| Volvo AB, Class B (a) | | | 510,266 | | | | 9,502,117 | |
| | | | | | | | |
| | | | | | | 107,438,702 | |
| | | | | | | | |
| Switzerland - 4.0% | | | | |
| ABB Ltd. (Registered) (a) | | | 282,188 | | | | 7,558,221 | |
| Adecco Group AG (Registered) *(a) | | | 352,882 | | | | 26,967,276 | |
| Baloise Holding AG (Registered) (a) | | | 31,466 | | | | 4,891,248 | |
| dormakaba Holding AG *(a) | | | 2,796 | | | | 2,603,493 | |
| Flughafen Zurich AG (Registered) | | | 7,422 | | | | 1,696,423 | |
| Georg Fischer AG (Registered) (a) | | | 10,526 | | | | 13,896,074 | |
| Lonza Group AG (Registered) *(a) | | | 142,800 | | | | 38,514,058 | |
| Nestle SA (Registered) (a) | | | 135,072 | | | | 11,612,986 | |
| Novartis AG (Registered) | | | 15,543 | | | | 1,307,982 | |
| Partners Group Holding AG (a) | | | 11,485 | | | | 7,869,445 | |
| Roche Holding AG (a) | | | 65,356 | | | | 16,525,616 | |
| Sika AG (a) | | | 2,724 | | | | 21,612,214 | |
| Sonova Holding AG (Registered) | | | 6,816 | | | | 1,063,929 | |
| STMicroelectronics NV (a) | | | 1,122,427 | | | | 24,495,344 | |
| Straumann Holding AG (Registered) (a) | | | 6,008 | | | | 4,238,341 | |
| Swiss Life Holding AG (Registered) *(a) | | | 15,215 | | | | 5,378,109 | |
| Temenos Group AG (Registered) *(a) | | | 209,083 | | | | 26,756,517 | |
| Zurich Insurance Group AG (a) | | | 16,571 | | | | 5,038,306 | |
| | | | | | | | |
| | | | | | | 222,025,582 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| United Kingdom - 0.9% | | | | |
| Fiat Chrysler Automobiles NV *(a) | | | 2,736,403 | | | $ | 48,853,853 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $1,142,653,175) | | | | 1,344,649,545 | |
| | | | | | | | |
| |
| SHORT-TERM INVESTMENTS - 90.8% | | | | |
| INVESTMENT COMPANIES - 53.9% | | | | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.17% (c) | | | 6,985,687 | | | | 6,985,687 | |
| Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.15% (c) | | | 27,942,746 | | | | 27,942,746 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.24% (c)(d) | | | 52,396,902 | | | | 52,396,902 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.18% (c)(d) | | | 854,431,112 | | | | 854,431,112 | |
| Limited Purpose Cash Investment Fund, 1.17% (c)(e) | | | 1,987,905,834 | | | | 1,987,707,043 | |
| UBS Select Treasury Preferred Fund, Class I, 1.16% (c) | | | 34,928,433 | | | | 34,928,433 | |
| | | | | | | | |
TOTAL INVESTMENT COMPANIES
(Cost $2,964,391,923) | | | | 2,964,391,923 | |
| | | | | | | | |
| | |
| |
| PRINCIPAL
AMOUNT |
| | | | |
| |
| U.S. TREASURY OBLIGATIONS - 36.9% | | | | |
| U.S. Treasury Bills | | | | | | | | |
| 1.14%, 1/4/2018 (f) | | $ | 130,227,000 | | | | 130,218,797 | |
| 1.13%, 1/11/2018 (f) | | | 54,146,000 | | | | 54,130,061 | |
| 1.10%, 1/18/2018 (f) | | | 111,518,000 | | | | 111,456,603 | |
| 1.14%, 1/25/2018 (f) | | | 46,455,000 | | | | 46,418,494 | |
| 1.14%, 2/1/2018 (f) | | | 14,847,000 | | | | 14,831,344 | |
| 1.15%, 2/8/2018 (f) | | | 114,402,000 | | | | 114,254,878 | |
| 1.12%, 2/15/2018 (f) | | | 57,857,000 | | | | 57,769,491 | |
| 1.12%, 2/22/2018 (f) | | | 173,249,000 | | | | 172,938,524 | |
| 1.12%, 3/1/2018 (f) | | | 13,662,000 | | | | 13,633,991 | |
| 1.12%, 3/8/2018 (f) | | | 139,007,000 | | | | 138,682,288 | |
| 1.15%, 3/15/2018 (f) | | | 72,635,000 | | | | 72,446,875 | |
| 1.19%, 3/22/2018 (f) | | | 68,680,000 | | | | 68,475,782 | |
| 1.18%, 3/29/2018 (f) | | | 109,745,000 | | | | 109,386,157 | |
| 1.20%, 4/5/2018 (f) | | | 62,615,000 | | | | 62,390,362 | |
| 1.23%, 4/12/2018 (f) | | | 59,415,000 | | | | 59,185,592 | |
| 1.25%, 4/19/2018 (f) | | | 37,626,000 | | | | 37,469,993 | |
| 1.25%, 4/26/2018 (f) | | | 169,209,000 | | | | 168,476,254 | |
| 1.27%, 5/3/2018 (f) | | | 76,812,000 | | | | 76,451,203 | |
| 1.31%, 5/10/2018 (f) | | | 103,281,000 | | | | 102,757,709 | |
| 1.37%, 5/17/2018 (f) | | | 29,722,000 | | | | 29,563,730 | |
| 1.43%, 5/24/2018 (f) | | | 32,606,000 | | | | 32,419,994 | |
| 1.45%, 5/31/2018 (f) | | | 77,177,000 | | | | 76,713,032 | |
| 1.46%, 6/7/2018 (f) | | | 125,772,000 | | | | 124,972,195 | |
| 1.47%, 6/14/2018 (f) | | | 134,259,000 | | | | 133,371,473 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
100
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR LONG-SHORT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
|
| U.S. TREASURY OBLIGATIONS -36.9% (continued) | |
| 1.49%, 6/21/2018 (f) | | $ | 1,125,000 | | | $ | 1,117,031 | |
| 1.54%, 6/28/2018 (f) | | | 16,316,000 | | | | 16,195,068 | |
| | | | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $2,026,126,969) | | | | 2,025,726,921 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(Cost $4,990,518,892) | | | | 4,990,118,844 | |
| | | | | | | | |
TOTAL LONG POSITIONS
(Cost $6,133,172,067) | | | | | | | 6,334,768,389 | |
| | | | | | | | |
| | |
| | | SHARES | | | | | |
| SHORT POSITIONS - (20.8)% | | | | | | |
| COMMON STOCKS - (20.8)% | | | | | | |
| | |
| Austria - (0.2)% | | | | | | |
| ams AG * | | | (130,204 | ) | | | (11,795,423 | ) |
| | | | | | | | |
| | |
| Belgium - (1.6)% | | | | | | |
| Anheuser-Busch InBev SA | | | (712,687 | ) | | | (79,565,402 | ) |
| Galapagos NV * | | | (41,633 | ) | | | (3,922,970 | ) |
| Telenet Group Holding NV * | | | (91,866 | ) | | | (6,400,003 | ) |
| | | | | | | | |
| | | | | | | (89,888,375 | ) |
| | | | | | | | |
| Canada - (3.1)% | | | | | | |
| Agnico Eagle Mines Ltd. (1) | | | (111,033 | ) | | | (5,126,774 | ) |
| AltaGas Ltd. (1) | | | (303,773 | ) | | | (6,916,454 | ) |
| Barrick Gold Corp. (1) | | | (123,476 | ) | | | (1,785,834 | ) |
| Bombardier, Inc., Class B (1)* | | | (905,692 | ) | | | (2,183,172 | ) |
| Cameco Corp. (1) | | | (758,657 | ) | | | (7,007,166 | ) |
| Eldorado Gold Corp. (1) | | | (1,556,761 | ) | | | (2,254,022 | ) |
| Element Fleet Management Corp. (1) | | | (420,632 | ) | | | (3,179,001 | ) |
| Enbridge Income Fund Holdings, Inc. (1) | | | (46,905 | ) | | | (1,112,361 | ) |
| Enbridge, Inc. (1) | | | (787,773 | ) | | | (30,809,006 | ) |
| Fairfax Financial Holdings Ltd. (1) | | | (15,622 | ) | | | (8,318,560 | ) |
| Franco-Nevada Corp. (1) | | | (116,558 | ) | | | (9,315,367 | ) |
| Gildan Activewear, Inc. (1) | | | (122,217 | ) | | | (3,948,474 | ) |
| Goldcorp, Inc. (1) | | | (830,084 | ) | | | (10,585,717 | ) |
| Imperial Oil Ltd. (1) | | | (254,347 | ) | | | (7,937,974 | ) |
| Inter Pipeline Ltd. (1) | | | (38,344 | ) | | | (794,029 | ) |
| Keyera Corp. (1) | | | (122,932 | ) | | | (3,464,003 | ) |
| Kinross Gold Corp. (1)* | | | (248,915 | ) | | | (1,073,285 | ) |
| Peyto Exploration & Development Corp. (1) | | | (102,094 | ) | | | (1,220,742 | ) |
| Teck Resources Ltd., Class B (1) | | | (235,078 | ) | | | (6,147,187 | ) |
| TransCanada Corp. (1) | | | (668,500 | ) | | | (32,536,858 | ) |
| Wheaton Precious Metals Corp. (1) | | | (831,169 | ) | | | (18,375,646 | ) |
| WSP Global, Inc. (1) | | | (50,686 | ) | | | (2,415,750 | ) |
| Yamana Gold, Inc. (1) | | | (1,178,456 | ) | | | (3,675,058 | ) |
| | | | | | | | |
| | | | | | | (170,182,440 | ) |
| | | | | | | | |
| Colombia - (0.1)% | | | | | | |
| Millicom International Cellular SA, SDR | | | (83,557 | ) | | | (5,640,511 | ) |
| | | | | | | | |
| | |
| Denmark - (1.6)% | | | | | | |
| AP Moller - Maersk A/S, Class B | | | (1,060 | ) | | | (1,847,566 | ) |
| Chr Hansen Holding A/S | | | (97,626 | ) | | | (9,152,674 | ) |
| Coloplast A/S, Class B | | | (65,963 | ) | | | (5,244,095 | ) |
| Genmab A/S * | | | (96,380 | ) | | | (15,961,491 | ) |
| | | | | | | | |
INVESTMENTS | | SHARES | | | VALUE | |
| Denmark - (1.6)% (continued) | | | | | | |
| Novozymes A/S, Class B | | | (307,576 | ) | | $ | (17,558,695 | ) |
| Pandora A/S | | | (364,075 | ) | | | (39,574,421 | ) |
| | | | | | | | |
| | | | | | | (89,338,942 | ) |
| | | | | | | | |
| Finland - (0.3)% | | | | | | |
| Amer Sports OYJ * | | | (297,954 | ) | | | (8,246,844 | ) |
| Metso OYJ | | | (31,303 | ) | | | (1,067,909 | ) |
| Nokia OYJ | | | (882,090 | ) | | | (4,121,425 | ) |
| | | | | | | | |
| | | | | | | (13,436,178 | ) |
| | | | | | | | |
| Hong Kong - 0.0% (g) | | | | | | |
| Hutchison Port Holdings Trust, Class U (1) | | | (2,834,100 | ) | | | (1,139,308 | ) |
| | | | | | | | |
| | |
| Italy - (2.6)% | | | | | | |
| Azimut Holding SpA | | | (147,698 | ) | | | (2,825,633 | ) |
| Banca Generali SpA | | | (30,412 | ) | | | (1,010,572 | ) |
| Banco BPM SpA * | | | (3,017,007 | ) | | | (9,449,210 | ) |
| BPER Banca | | | (3,489,185 | ) | | | (17,577,328 | ) |
| Brembo SpA | | | (107,490 | ) | | | (1,632,998 | ) |
| Buzzi Unicem SpA | | | (400,056 | ) | | | (10,792,327 | ) |
| Mediaset SpA * | | | (890,077 | ) | | | (3,448,277 | ) |
| Saipem SpA * | | | (4,709,386 | ) | | | (21,487,768 | ) |
| Salvatore Ferragamo SpA | | | (123,094 | ) | | | (3,269,340 | ) |
| UniCredit SpA * | | | (2,524,242 | ) | | | (47,087,839 | ) |
| Unione di Banche Italiane SpA | | | (3,856,765 | ) | | | (16,813,322 | ) |
| Yoox Net-A-Porter Group SpA * | | | (193,576 | ) | | | (6,752,323 | ) |
| | | | | | | | |
| | | | | | | (142,146,937 | ) |
| | | | | | | | |
| Luxembourg - (0.8)% | | | | | | |
| Tenaris SA | | | (2,856,235 | ) | | | (45,334,116 | ) |
| | | | | | | | |
| | |
| Netherlands - (1.7)% | | | | | | |
| Altice NV, Class A * | | | (3,933,765 | ) | | | (41,251,207 | ) |
| Boskalis Westminster | | | (302,833 | ) | | | (11,411,835 | ) |
| Gemalto NV | | | (108,518 | ) | | | (6,426,449 | ) |
| Koninklijke KPN NV | | | (319,468 | ) | | | (1,115,353 | ) |
| Koninklijke Vopak NV | | | (317,708 | ) | | | (13,916,958 | ) |
| OCI NV * | | | (390,478 | ) | | | (9,847,887 | ) |
| SBM Offshore NV | | | (592,286 | ) | | | (10,431,317 | ) |
| | | | | | | | |
| | | | | | | (94,401,006 | ) |
| | | | | | | | |
| Norway - (0.4)% | | | | | | |
| Gjensidige Forsikring ASA | | | (70,842 | ) | | | (1,336,242 | ) |
| Schibsted ASA, Class A | | | (185,306 | ) | | | (5,303,489 | ) |
| Statoil ASA | | | (232,686 | ) | | | (4,981,442 | ) |
| Yara International ASA | | | (231,897 | ) | | | (10,647,401 | ) |
| | | | | | | | |
| | | | | | | (22,268,574 | ) |
| | | | | | | | |
| Portugal - (0.3)% | | | | | | |
| Banco Comercial Portugues SA, Class R * | | | (42,835,128 | ) | | | (13,942,582 | ) |
| | | | | | | | |
| | |
| Singapore - (0.3)% | | | | | | |
| CapitaLand Ltd. | | | (589,500 | ) | | | (1,550,791 | ) |
| Global Logistic Properties Ltd. | | | (2,354,500 | ) | | | (5,928,927 | ) |
| Keppel Corp. Ltd. | | | (1,109,000 | ) | | | (6,068,675 | ) |
| Singapore Post Ltd. | | | (955,800 | ) | | | (886,121 | ) |
| Singapore Press Holdings Ltd. | | | (2,012,500 | ) | | | (3,981,444 | ) |
| | | | | | | | |
| | | | | | | (18,415,958 | ) |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
101
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR LONG-SHORT EQUITY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Spain - (2.1)% | | | | | | |
| Acerinox SA | | | (78,866 | ) | | $ | (1,125,492 | ) |
| Atresmedia Corp. de Medios de Comunicacion SA | | | (72,432 | ) | | | (755,924 | ) |
| Bankia SA | | | (5,744,940 | ) | | | (27,420,328 | ) |
| Cellnex Telecom SA (b) | | | (623,662 | ) | | | (15,956,666 | ) |
| Ferrovial SA | | | (689,079 | ) | | | (15,637,385 | ) |
| Grifols SA | | | (482,924 | ) | | | (14,120,227 | ) |
| Industria de Diseno Textil SA | | | (1,191,852 | ) | | | (41,442,823 | ) |
| | | | | | | | |
| | | | | | | (116,458,845 | ) |
| | | | | | | | |
| Sweden - (2.0)% | | | | | | |
| Arjo AB, Class B (1)* | | | (231,335 | ) | | | (660,184 | ) |
| Elekta AB, Class B | | | (371,479 | ) | | | (3,067,435 | ) |
| Getinge AB, Class B | | | (231,335 | ) | | | (3,354,525 | ) |
| Hennes & Mauritz AB, Class B | | | (649,728 | ) | | | (13,438,883 | ) |
| Hexagon AB, Class B | | | (174,252 | ) | | | (8,741,192 | ) |
| Hexpol AB | | | (437,164 | ) | | | (4,432,244 | ) |
| Nordea Bank AB | | | (95,453 | ) | | | (1,155,741 | ) |
| Svenska Handelsbanken AB, Class A | | | (1,007,517 | ) | | | (13,768,771 | ) |
| Swedish Orphan Biovitrum AB * | | | (228,781 | ) | | | (3,126,946 | ) |
| Telefonaktiebolaget LM Ericsson, Class B | | | (8,829,344 | ) | | | (58,271,290 | ) |
| | | | | | | | |
| | | | | | | (110,017,211 | ) |
| | | | | | | | |
| Switzerland - (2.8)% | | | | | | |
| Aryzta AG * | | | (376,929 | ) | | | (14,957,595 | ) |
| Chocoladefabriken Lindt & Spruengli AG | | | (2,399 | ) | | | (14,644,431 | ) |
| Credit Suisse Group AG (Registered) * | | | (4,402,940 | ) | | | (78,529,622 | ) |
| DKSH Holding AG | | | (10,664 | ) | | | (932,913 | ) |
| Dufry AG (Registered) * | | | (16,325 | ) | | | (2,423,285 | ) |
| GAM Holding AG * | | | (204,253 | ) | | | (3,295,766 | ) |
| OC Oerlikon Corp. AG (Registered) * | | | (120,930 | ) | | | (2,041,252 | ) |
| UBS Group AG (Registered) * | | | (150,567 | ) | | | (2,766,331 | ) |
| Vifor Pharma AG | | | (264,694 | ) | | | (33,886,124 | ) |
| | | | | | | | |
| | | | | | | (153,477,319 | ) |
| | | | | | | | |
| United Kingdom - (0.1)% | | | | | | |
| Subsea 7 SA | | | (420,547 | ) | | | (6,300,662 | ) |
| | | | | | | | |
| | |
| United States - (0.3)% | | | | | | |
| Valeant Pharmaceuticals International, Inc. (1)* | | | (660,108 | ) | | | (13,758,814 | ) |
| | | | | | | | |
| | |
| Zambia - (0.5)% | | | | | | |
| First Quantum Minerals Ltd. (1) | | | (1,855,853 | ) | | | (25,999,659 | ) |
| | | | | | | | |
TOTAL COMMON STOCKS
(Proceeds $(1,107,421,145)) | | | | | | | (1,143,942,860 | ) |
| | | | | | | | |
TOTAL SHORT POSITIONS (Proceeds $(1,107,421,145)) | | | | | | | (1,143,942,860 | ) |
| | | | | | | | |
| | | | | | |
| INVESTMENTS | | SHARES | | VALUE | |
TOTAL INVESTMENTS IN SECURITIES
AT VALUE - 94.5%
(Cost $5,025,750,922) | | $ | 5,190,825,529 | |
| | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 5.5% (h) | | | | 304,884,157 | |
| | | | | | |
NET ASSETS - 100.0% | | $ | 5,495,709,686 | |
| | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | (3,518,145 | ) | | | (0.1 | )% |
| Consumer Staples | | | (39,353,992 | ) | | | (0.7 | ) |
| Energy | | | (97,210,106 | ) | | | (1.8 | ) |
| Financials | | | (41,842,229 | ) | | | (0.8 | ) |
| Health Care | | | 57,655,750 | | | | 1.1 | |
| Industrials | | | 192,697,913 | | | | 3.5 | |
| Information Technology | | | (11,708,826 | ) | | | (0.2 | ) |
| Materials | | | 24,794,455 | | | | 0.5 | |
| Real Estate | | | (7,479,718 | ) | | | (0.1 | ) |
| Telecommunication Services | | | (4,000,065 | ) | | | (0.1 | ) |
| Utilities | | | 130,671,648 | | | | 2.4 | |
| Short-Term Investments | | | 4,990,118,844 | | | | 90.8 | |
| | | | | | | | |
Total Investments In Securities
At Value | | 5,190,825,529 | | | 94.5 | |
Other Assets in Excess of Liabilities (h) | | | 304,884,157 | | | | 5.5 | |
| | | | | | | | |
Net Assets | | $ | 5,495,709,686 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
102
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR LONG-SHORT EQUITY FUND | | | | |
| * | 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 $1,255,767,605. |
| (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 December 31, 2017 amounted to $1,049,987, which represents approximately 0.02% of net assets of the fund. |
| (c) | Represents 7-day effective yield as of December 31, 2017. |
| (d) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (e) | As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended December 31, 2017, transactions in and earnings from issuers considered to be an affiliated person were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| AFFILIATE | | SHARES
HELD AT
12/31/16 | | SHARES
PURCHASED | | SHARES
SOLD | | | SHARES
HELD AT
12/31/17 | | | VALUE AT
12/31/17 | | | DIVIDEND
INCOME | | | NET
REALIZED
GAIN (LOSS) | | | NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Other Controlled Affiliates: | | | | | | | | | | | | | | | | | | | | | |
| Limited Purpose Cash Investment Fund (Short-Term Investment) | | — | | 5,590,376,045 | | | (3,602,470,211 | ) | | | 1,987,905,834 | | | | $1,987,707,043 | | | | $10,489,329 | | | | $— | | | | $— | |
| | | | | | | | | | | | | | | | |
| (f) | The rate shown was the effective yield at the date of purchase. |
| (g) | Represents less than 0.05% of net assets. |
| (h) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 5). |
Abbreviations
OYJ - Public Traded Company
SCA - Limited partnership with share capital
SDR - Swedish Depositary Receipt
Total return swap contracts outstanding as of December 31, 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) | |
MSCI Australia Net Return Index | | Decreases in total return of reference entity and pays the BBR plus or minus a specified spread (0.10) | | Increases in total return of reference entity | | Monthly | | JPMC | | | 03/23/2018 | | | AUD | 1,339,088 | | | | $12,032 | |
MSCI Hong Kong Net Return Index | | Decreases in total return of reference entity and pays the HIBOR plus or minus a specified spread (0.40) | | Increases in total return of reference entity | | Monthly | | JPMC | | | 03/23/2018 | | | HKD | 95,776,793 | | | | 416,420 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
103
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR LONG-SHORT EQUITY FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS MADE BY FUND | | PAYMENTS
RECEIVED BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
MSCI Japan Net Return Index | | Decreases in total return of reference entity and pays the LIBOR plus or minus a specified spread (0.15) | | Increases in total return of reference entity | | Monthly | | JPMC | | | 03/26/2018 | | | JPY | 4,988,915,707 | | | | $620,880 | |
Swiss Market Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 03/16/2018 | | | CHF | 31,421,910 | | | | 128,252 | |
Swiss Market Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | JPMC | | | 03/16/2018 | | | CHF | 39,485,940 | | | | 91,674 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 1,269,258 | |
| | | | | | | | | | | | | | | | | | | | |
MSCI European Union Net Return Index | | Decreases in total return of reference entity and pays the EURIBOR plus or minus a specified spread (0.00) | | Increases in total return of reference entity | | Monthly | | JPMC | | | 03/23/2018 | | | EUR | 4,793,706 | | | | (81,159 | ) |
MSCI Singapore Index January Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | JPMC | | | 01/30/2018 | | | SGD | (698,580 | ) | | | (213 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (81,372 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | $1,187,886 | |
| | | | | | | | | | | | | | | | | | | | |
Futures contracts outstanding as of December 31, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | EXPIRATION DATE | | TRADING
CURRENCY | | | NOTIONAL AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | | | | | | | | | | | | | |
| Amsterdam Exchange Index | | 334 | | 1/2018 | | | EUR | | | | $43,641,664 | | | | $(479,057 | ) |
| CAC 40 10 Euro Index | | 1,532 | | 1/2018 | | | EUR | | | | 97,616,028 | | | | (1,389,155 | ) |
| Hang Seng Index | | 100 | | 1/2018 | | | HKD | | | | 19,165,861 | | | | 209,446 | |
| IBEX 35 Index | | 229 | | 1/2018 | | | EUR | | | | 27,533,716 | | | | (606,304 | ) |
| MSCI Singapore Index | | 449 | | 1/2018 | | | SGD | | | | 13,029,040 | | | | 72,303 | |
| OMXS30 Index | | 1,725 | | 1/2018 | | | SEK | | | | 33,104,330 | | | | (970,956 | ) |
| DAX Index | | 206 | | 3/2018 | | | EUR | | | | 79,773,826 | | | | (1,348,493 | ) |
| FTSE 100 Index | | 1,841 | | 3/2018 | | | GBP | | | | 189,852,119 | | | | 4,476,796 | |
| FTSE/MIB Index | | 103 | | 3/2018 | | | EUR | | | | 13,444,145 | | | | (542,235 | ) |
| S&P 500 E-Mini Index | | 10,872 | | 3/2018 | | | USD | | | | 1,454,673,600 | | | | 7,689,093 | |
| S&P/TSX 60 Index | | 798 | | 3/2018 | | | CAD | | | | 121,560,096 | | | | 80,734 | |
| SPI 200 Index | | 570 | | 3/2018 | | | AUD | | | | 66,933,744 | | | | (139,260 | ) |
| TOPIX Index | | 718 | | 3/2018 | | | JPY | | | | 115,784,868 | | | | 1,959,482 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 9,012,394 | |
| | | | | | | | | | | | | | | | |
| Short Contracts | |
| EURO STOXX 50 Index | | (116) | | 3/2018 | | | EUR | | | | (4,861,648 | ) | | | 43,255 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 43,255 | |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $9,055,649 | |
| | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
104
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR LONG-SHORT EQUITY FUND | | | | |
Forward foreign currency contracts outstanding as of December 31, 2017:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| AUD | | | 36,718,800 | | | USD | | | 27,792,079 | | | CITI | | | 3/21/2018 | | | | $ 853,473 | |
| AUD | | | 55,078,200 | | | USD | | | 41,688,171 | | | JPMC | | | 3/21/2018 | | | | 1,280,158 | |
| CAD | | | 55,920,166 | | | USD | | | 43,805,798 | | | CITI | | | 3/21/2018 | | | | 726,378 | |
| CAD | | | 83,880,244 | | | USD | | | 65,708,776 | | | JPMC | | | 3/21/2018 | | | | 1,089,485 | |
| CHF | | | 17,977,835 | | | USD | | | 18,365,447 | | | CITI | | | 3/21/2018 | | | | 187,139 | |
| CHF | | | 26,966,747 | | | USD | | | 27,548,199 | | | JPMC | | | 3/21/2018 | | | | 280,674 | |
| DKK | | | 35,069,777 | | | USD | | | 5,644,206 | | | CITI | | | 3/21/2018 | | | | 35,833 | |
| DKK | | | 52,604,666 | | | USD | | | 8,466,320 | | | JPMC | | | 3/21/2018 | | | | 53,740 | |
| EUR | | | 64,261,551 | | | USD | | | 76,701,963 | | | CITI | | | 3/21/2018 | | | | 762,154 | |
| EUR | | | 96,392,329 | | | USD | | | 115,053,091 | | | JPMC | | | 3/21/2018 | | | | 1,143,088 | |
| GBP | | | 47,494,028 | | | USD | | | 63,678,648 | | | CITI | | | 3/21/2018 | | | | 610,278 | |
| GBP | | | 71,241,040 | | | USD | | | 95,518,089 | | | JPMC | | | 3/21/2018 | | | | 915,298 | |
| HKD | | | 45,502,550 | | | USD | | | 5,829,996 | | | CITI | | | 3/21/2018 | | | | 2,994 | |
| HKD | | | 68,253,825 | | | USD | | | 8,745,005 | | | JPMC | | | 3/21/2018 | | | | 4,480 | |
| ILS | | | 6,316,000 | | | USD | | | 1,809,409 | | | CITI | | | 3/21/2018 | | | | 11,488 | |
| ILS | | | 9,474,000 | | | USD | | | 2,714,116 | | | JPMC | | | 3/21/2018 | | | | 17,228 | |
| NOK | | | 16,723,654 | | | USD | | | 2,026,768 | | | CITI | | | 3/21/2018 | | | | 14,467 | |
| NOK | | | 25,085,482 | | | USD | | | 3,040,156 | | | JPMC | | | 3/21/2018 | | | | 21,696 | |
| NZD | | | 955,200 | | | USD | | | 654,935 | | | CITI | | | 3/21/2018 | | | | 21,359 | |
| NZD | | | 1,432,799 | | | USD | | | 982,404 | | | JPMC | | | 3/21/2018 | | | | 32,038 | |
| SEK | | | 129,383,505 | | | USD | | | 15,571,218 | | | CITI | | | 3/21/2018 | | | | 275,830 | |
| SEK | | | 194,075,257 | | | USD | | | 23,356,856 | | | JPMC | | | 3/21/2018 | | | | 413,715 | |
| SGD | | | 10,338,686 | | | USD | | | 7,669,602 | | | CITI | | | 3/21/2018 | | | | 69,760 | |
| SGD | | | 15,508,029 | | | USD | | | 11,504,417 | | | JPMC | | | 3/21/2018 | | | | 104,626 | |
| USD | | | 390 | | | NOK | | | 3,200 | | | CITI | | | 3/21/2018 | | | | — | |
| USD | | | 384,608 | | | JPY | | | 43,027,200 | | | CITI | | | 3/22/2018 | | | | 1,201 | |
| USD | | | 576,912 | | | JPY | | | 64,540,800 | | | JPMC | | | 3/22/2018 | | | | 1,801 | |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized appreciation | | | | | | | | | | | | | 8,930,381 | |
| | | | | | | | | | | | | | | | | | | | |
| GBP | | | 7,306,773 | | | USD | | | 9,898,040 | | | CITI | | | 3/21/2018 | | | | (7,437 | ) |
| GBP | | | 10,960,160 | | | USD | | | 14,847,080 | | | JPMC | | | 3/21/2018 | | | | (11,174 | ) |
| HKD | | | 68,646,250 | | | USD | | | 8,806,554 | | | CITI | | | 3/21/2018 | | | | (6,764 | ) |
| HKD | | | 102,969,375 | | | USD | | | 13,209,847 | | | JPMC | | | 3/21/2018 | | | | (10,162 | ) |
| NOK | | | 2,227,351 | | | USD | | | 272,515 | | | CITI | | | 3/21/2018 | | | | (652 | ) |
| NOK | | | 3,341,028 | | | USD | | | 408,773 | | | JPMC | | | 3/21/2018 | | | | (978 | ) |
| USD | | | 1,240,706 | | | CAD | | | 1,577,200 | | | CITI | | | 3/21/2018 | | | | (15,301 | ) |
| USD | | | 1,861,057 | | | CAD | | | 2,365,800 | | | JPMC | | | 3/21/2018 | | | | (22,954 | ) |
| USD | | | 1,985,966 | | | CHF | | | 1,946,000 | | | CITI | | | 3/21/2018 | | | | (22,247 | ) |
| USD | | | 2,978,946 | | | CHF | | | 2,919,000 | | | JPMC | | | 3/21/2018 | | | | (33,374 | ) |
| USD | | | 3,127,765 | | | DKK | | | 19,497,200 | | | CITI | | | 3/21/2018 | | | | (30,079 | ) |
| USD | | | 4,691,642 | | | DKK | | | 29,245,800 | | | JPMC | | | 3/21/2018 | | | | (45,124 | ) |
| USD | | | 8,196,094 | | | EUR | | | 6,904,000 | | | CITI | | | 3/21/2018 | | | | (126,336 | ) |
| USD | | | 12,294,125 | | | EUR | | | 10,356,000 | | | JPMC | | | 3/21/2018 | | | | (189,520 | ) |
| USD | | | 2,578,094 | | | GBP | | | 1,916,400 | | | CITI | | | 3/21/2018 | | | | (15,986 | ) |
| USD | | | 3,867,136 | | | GBP | | | 2,874,600 | | | JPMC | | | 3/21/2018 | | | | (23,984 | ) |
| USD | | | 933,922 | | | NOK | | | 7,806,800 | | | CITI | | | 3/21/2018 | | | | (18,951 | ) |
| USD | | | 1,401,467 | | | NOK | | | 11,715,000 | | | JPMC | | | 3/21/2018 | | | | (28,428 | ) |
| USD | | | 563,169 | | | SEK | | | 4,708,400 | | | CITI | | | 3/21/2018 | | | | (13,522 | ) |
| USD | | | 844,752 | | | SEK | | | 7,062,600 | | | JPMC | | | 3/21/2018 | | | | (20,284 | ) |
| USD | | | 458,341 | | | SGD | | | 618,800 | | | CITI | | | 3/21/2018 | | | | (4,882 | ) |
| USD | | | 687,510 | | | SGD | | | 928,200 | | | JPMC | | | 3/21/2018 | | | | (7,324 | ) |
| JPY | | | 11,245,800,400 | | | USD | | | 100,677,470 | | | CITI | | | 3/22/2018 | | | | (468,381 | ) |
| JPY | | | 16,868,700,601 | | | USD | | | 151,016,394 | | | JPMC | | | 3/22/2018 | | | | (702,760 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized depreciation | | | | | | | | | | (1,826,604 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Net unrealized appreciation | | | | | | | | | | $7,103,777 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
105
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR LONG-SHORT EQUITY FUND | | | | |
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
Total Return Basket Swaps Outstanding at December 31, 2017
Over the Counter
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| DTBK | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR plus or minus a specified spread (-0.03% to 0.03%), which is denominated in AUD based on the local currencies of the positions within the swap. | | 61 months maturity 09/21/2021 | | $175,263,979 | | | $2,711,909 | | | | $294,607 | | | | $3,006,516 | |
| | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Australia | | | | | | | | | | | | |
| Adelaide Brighton Ltd. | | | 169,355 | | | | $858,280 | | | | $133,817 | | | | 0.0 | % |
| AGL Energy Ltd. | | | 774,310 | | | | 14,673,198 | | | | 1,332,932 | | | | 0.0 | |
| Aurizon Holdings Ltd. | | | 1,788,337 | | | | 6,890,917 | | | | 354,450 | | | | 0.0 | |
| Australia & New Zealand Banking Group Ltd. | | | 48,771 | | | | 1,088,034 | | | | (34,143 | ) | �� | | (0.0 | ) |
| Bendigo & Adelaide Bank Ltd. | | | 115,155 | | | | 1,044,973 | | | | 33,183 | | | | 0.0 | |
| CIMIC Group Ltd. | | | 226,374 | | | | 9,053,926 | | | | 3,236,557 | | | | 0.1 | |
| Coca-Cola Amatil Ltd. | | | 168,298 | | | | 1,114,951 | | | | (173,816 | ) | | | (0.0 | ) |
| Fortescue Metals Group Ltd. | | | 2,350,838 | | | | 8,896,433 | | | | (870,500 | ) | | | (0.0 | ) |
| Harvey Norman Holdings Ltd. | | | 340,622 | | | | 1,104,599 | | | | (14,440 | ) | | | (0.0 | ) |
| Newcrest Mining Ltd. | | | 626,956 | | | | 11,161,059 | | | | 298,844 | | | | 0.0 | |
| Orica Ltd. | | | 406,402 | | | | 5,713,605 | | | | (652,420 | ) | | | (0.0 | ) |
| Origin Energy Ltd. | | | 1,290,793 | | | | 9,455,312 | | | | 1,985,597 | | | | 0.0 | |
| Qantas Airways Ltd. | | | 464,959 | | | | 1,823,127 | | | | (456,803 | ) | | | (0.0 | ) |
| South32 Ltd. | | | 3,900,069 | | | | 10,571,327 | | | | 1,403,064 | | | | 0.0 | |
| Sydney Airport | | | 145,998 | | | | 801,108 | | | | (24,265 | ) | | | (0.0 | ) |
| Treasury Wine Estates Ltd. | | | 262,954 | | | | 3,262,986 | | | | 991,678 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
106
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR LONG-SHORT EQUITY FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Australia | | | | | | | | | | | | |
| Alumina Ltd. | | | (1,320,592 | ) | | $ | (2,488,741 | ) | | $ | (91,037 | ) | | | (0.0 | ) % |
| AMP Ltd. | | | (2,820,978 | ) | | | (11,386,893 | ) | | | (2,477 | ) | | | (0.0 | ) |
| APA Group | | | (1,063,031 | ) | | | (6,893,185 | ) | | | 208,654 | | | | 0.0 | |
| AusNet Services | | | (595,970 | ) | | | (837,519 | ) | | | (67,301 | ) | | | (0.0 | ) |
| Brambles Ltd. | | | (1,079,155 | ) | | | (8,457,410 | ) | | | (322,414 | ) | | | (0.0 | ) |
| CSL Ltd. | | | (41,751 | ) | | | (4,588,172 | ) | | | (89,288 | ) | | | (0.0 | ) |
| Domino’s Pizza Enterprises Ltd. | | | (232,588 | ) | | | (8,453,634 | ) | | | 604,984 | | | | 0.0 | |
| Healthscope Ltd. | | | (7,055,804 | ) | | | (11,533,810 | ) | | | 65,298 | | | | 0.0 | |
| Ramsay Health Care Ltd. | | | (85,732 | ) | | | (4,681,521 | ) | | | (339,328 | ) | | | (0.0 | ) |
| REA Group Ltd. | | | (122,292 | ) | | | (7,291,953 | ) | | | (1,623,095 | ) | | | (0.0 | ) |
| SEEK Ltd. | | | (650,227 | ) | | | (9,615,355 | ) | | | (1,681,980 | ) | | | (0.0 | ) |
| TPG Telecom Ltd. | | | (1,465,877 | ) | | | (7,500,914 | ) | | | (1,152,484 | ) | | | (0.0 | ) |
| Vocus Group Ltd. | | | (1,705,337 | ) | | | (4,021,036 | ) | | | (341,358 | ) | | | (0.0 | ) |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| DTBK | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HKD/USD 1 Month Forward FX Swap Rate plus or minus a specified spread (-0.23% to 0.04%), which is denominated in HKD based on the local currencies of the positions within the swap. | | 61 months maturity 01/19/2022 | | $84,256,715 | | | $576,117 | | | | $412,069 | | | | $988,186 | |
| | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Hong Kong | | | | | | | | | | | | |
| Chow Tai Fook Jewellery Group Ltd. | | | 2,352,800 | | | | $2,467,162 | | | | $(123,668 | ) | | | (0.0 | )% |
| Henderson Land Development Co. Ltd. | | | 413,000 | | | | 2,715,477 | | | | 51,445 | | | | 0.0 | |
| Kerry Properties Ltd. | | | 1,325,000 | | | | 5,952,293 | | | | 1,663,767 | | | | 0.0 | |
| Melco International Development Ltd. | | | 3,472,000 | | | | 10,181,620 | | | | 1,146,416 | | | | 0.0 | |
| New World Development Co. Ltd. | | | 3,189,000 | | | | 4,779,602 | | | | 725,099 | | | | 0.0 | |
| Sino Land Co. Ltd. | | | 1,352,000 | | | | 2,391,834 | | | | 160,939 | | | | 0.0 | |
| SJM Holdings Ltd. | | | 2,521,000 | | | | 2,252,604 | | | | 68,429 | | | | 0.0 | |
| Swire Properties Ltd. | | | 253,600 | | | | 817,106 | | | | 29,027 | | | | 0.0 | |
| WH Group Ltd. | | | 3,731,000 | | | | 4,204,958 | | | | 1,206,725 | | | | 0.0 | |
| Wheelock & Co. Ltd. | | | 390,000 | | | | 2,780,014 | | | | 450,446 | | | | 0.0 | |
| Xinyi Glass Holdings Ltd. | | | 680,000 | | | | 883,905 | | | | 50,411 | | | | 0.0 | |
| Yue Yuen Industrial Holdings Ltd. | | | 390,500 | | | | 1,533,241 | | | | 155,073 | | | | 0.0 | |
| | | | |
| Macau | | | | | | | | | | | | |
| Wynn Macau Ltd. | | | 377,600 | | | | 1,193,772 | | | | 78,742 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
107
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR LONG-SHORT EQUITY FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| China | | | | | | | | | | | | |
| Guotai Junan International Holdings Ltd. | | | (3,104,000 | ) | | $ | (970,803 | ) | | $ | 44,878 | | | | 0.0 | % |
| | | | |
| Hong Kong | | | | | | | | | | | | |
| ASM Pacific Technology Ltd. | | | (316,200 | ) | | | (4,386,655 | ) | | | 189,476 | | | | 0.0 | |
| Cathay Pacific Airways Ltd. | | | (554,000 | ) | | | (858,818 | ) | | | (86,838 | ) | | | (0.0 | ) |
| Haitong International Securities Group Ltd. | | | (9,693,313 | ) | | | (5,513,461 | ) | | | 103,262 | | | | 0.0 | |
| Hong Kong & China Gas Co. Ltd. | | | (3,324,615 | ) | | | (6,510,571 | ) | | | (1,074,602 | ) | | | (0.0 | ) |
| Hysan Development Co. Ltd. | | | (163,000 | ) | | | (863,838 | ) | | | (120,616 | ) | | | (0.0 | ) |
| MTR Corp. Ltd. | | | (1,257,704 | ) | | | (7,361,507 | ) | | | (740,205 | ) | | | (0.0 | ) |
| Techtronic Industries Co. Ltd. | | | (242,500 | ) | | | (1,577,567 | ) | | | (433,508 | ) | | | (0.0 | ) |
| Value Partners Group Ltd. | | | (3,565,000 | ) | | | (3,778,825 | ) | | | (596,920 | ) | | | (0.0 | ) |
| | | | |
| Macau | | | | | | | | | | | | |
| MGM China Holdings Ltd. | | | (1,917,600 | ) | | | (5,786,705 | ) | | | (1,672,871 | ) | | | (0.0 | ) |
| | | | |
| United States | | | | | | | | | | | | |
| Samsonite International SA | | | (979,800 | ) | | | (4,494,377 | ) | | | (698,790 | ) | | | (0.0 | ) |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| DTBK | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread (-0.45% to 0.04%), which is denominated in GBP based on the local currencies of the positions within the swap. | | 111 months maturity 08/19/2022 | | $558,599,366 | | | $7,336,223 | | | | $7,530,575 | | | | $14,866,798 | |
| | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Australia | | | | | | | | | | | | |
| BHP Billiton plc | | | 863,298 | | | | $17,456,184 | | | | $1,045,026 | | | | 0.0 | % |
| | | | |
| Netherlands | | | | | | | | | | | | |
| Royal Dutch Shell plc | | | 178,927 | | | | 5,973,155 | | | | 91,462 | | | | 0.0 | |
| | | | |
| South Africa | | | | | | | | | | | | |
| Investec plc | | | 697,583 | | | | 5,022,772 | | | | (349,660 | ) | | | (0.0 | ) |
| | | | |
| Switzerland | | | | | | | | | | | | |
| Coca-Cola HBC AG | | | 191,460 | | | | 6,252,714 | | | | 1,075,135 | | | | 0.0 | |
| | | | |
| United Kingdom | | | | | | | | | | | | |
| Ashtead Group plc | | | 367,085 | | | | 9,845,760 | | | | 1,877,141 | | | | 0.0 | |
| AstraZeneca plc | | | 121,881 | | | | 8,410,471 | | | | 283,684 | | | | 0.0 | |
| BAE Systems plc | | | 857,420 | | | | 6,624,707 | | | | (276,764 | ) | | | (0.0 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
108
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR LONG-SHORT EQUITY FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| | | | |
| United Kingdom (continued) | | | | | | | | | | | | |
| Barratt Developments plc | | | 1,360,215 | | | $ | 11,865,791 | | | $ | 1,336,247 | | | | 0.0 | % |
| Bellway plc | | | 116,960 | | | | 5,607,028 | | | | 1,144,597 | | | | 0.0 | |
| British American Tobacco plc | | | 163,041 | | | | 11,021,373 | | | | 32,525 | | | | 0.0 | |
| BT Group plc | | | 7,813,304 | | | | 28,637,982 | | | | (3,295,853 | ) | | | (0.1 | ) |
| GKN plc | | | 2,195,937 | | | | 9,443,222 | | | | (648,160 | ) | | | (0.0 | ) |
| GlaxoSmithKline plc | | | 1,171,796 | | | | 20,751,559 | | | | (1,259,505 | ) | | | (0.0 | ) |
| Imperial Brands plc | | | 228,787 | | | | 9,758,826 | | | | 144,017 | | | | 0.0 | |
| Inchcape plc | | | 469,082 | | | | 4,941,520 | | | | 198,525 | | | | 0.0 | |
| Indivior plc | | | 1,568,501 | | | | 8,613,470 | | | | 1,869,721 | | | | 0.0 | |
| National Grid plc | | | 880,632 | | | | 10,381,349 | | | | (478,354 | ) | | | (0.0 | ) |
| Persimmon plc | | | 267,329 | | | | 9,876,282 | | | | 942,891 | | | | 0.0 | |
| Reckitt Benckiser Group plc | | | 54,009 | | | | 5,038,687 | | | | 203,084 | | | | 0.0 | |
| Rio Tinto plc | | | 159,666 | | | | 8,375,694 | | | | 360,173 | | | | 0.0 | |
| Royal Mail plc | | | 1,422,667 | | | | 8,691,928 | | | | (210,019 | ) | | | (0.0 | ) |
| Standard Life Aberdeen plc | | | 1,236,789 | | | | 7,274,813 | | | | 225,564 | | | | 0.0 | |
| Tate & Lyle plc | | | 584,785 | | | | 5,542,869 | | | | (152,728 | ) | | | (0.0 | ) |
| Taylor Wimpey plc | | | 6,247,359 | | | | 17,381,461 | | | | 1,568,371 | | | | 0.0 | |
| Vodafone Group plc | | | 1,552,397 | | | | 4,907,120 | | | | 358,150 | | | | 0.0 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Jordan | | | | | | | | | | | | |
| Hikma Pharmaceuticals plc | | | (413,310 | ) | | | (6,314,440 | ) | | | 2,098,618 | | | | 0.0 | |
| South Africa | | | | | | | | | | | | |
| Mediclinic International plc | | | (1,071,340 | ) | | | (9,376,000 | ) | | | 1,262,724 | | | | 0.0 | |
| | | | |
| United Kingdom | | | | | | | | | | | | |
| Aggreko plc | | | (530,522 | ) | | | (5,709,077 | ) | | | 590,485 | | | | 0.0 | |
| Balfour Beatty plc | | | (1,554,346 | ) | | | (6,217,122 | ) | | | (773,138 | ) | | | (0.0 | ) |
| Barclays plc | | | (1,647,748 | ) | | | (4,510,498 | ) | | | (58,756 | ) | | | (0.0 | ) |
| Capita plc | | | (1,857,166 | ) | | | (10,034,472 | ) | | | 3,991,040 | | | | 0.1 | |
| Cobham plc | | | (4,076,571 | ) | | | (6,936,146 | ) | | | 336,354 | | | | 0.0 | |
| ConvaTec Group plc | | | (2,714,721 | ) | | | (7,485,368 | ) | | | 1,570,407 | | | | 0.0 | |
| easyJet plc | | | (346,550 | ) | | | (6,833,275 | ) | | | (698,023 | ) | | | (0.0 | ) |
| Experian plc | | | (385,734 | ) | | | (8,502,616 | ) | | | (510,593 | ) | | | (0.0 | ) |
| Halma plc | | | (302,593 | ) | | | (5,141,404 | ) | | | (739,992 | ) | | | (0.0 | ) |
| Hargreaves Lansdown plc | | | (489,854 | ) | | | (11,896,489 | ) | | | (3,272,463 | ) | | | (0.1 | ) |
| HSBC Holdings plc | | | (482,489 | ) | | | (4,983,181 | ) | | | (23,342 | ) | | | (0.0 | ) |
| Inmarsat plc | | | (1,738,915 | ) | | | (11,502,578 | ) | | | 3,813,202 | | | | 0.1 | |
| Intertek Group plc | | | (65,771 | ) | | | (4,599,604 | ) | | | (527,951 | ) | | | (0.0 | ) |
| John Wood Group plc | | | (1,628,310 | ) | | | (14,247,104 | ) | | | 639,239 | | | | 0.0 | |
| Just Eat plc | | | (1,205,244 | ) | | | (12,677,033 | ) | | | (2,579,557 | ) | | | (0.0 | ) |
| Pearson plc | | | (463,469 | ) | | | (4,591,125 | ) | | | (133,731 | ) | | | (0.0 | ) |
| Petrofac Ltd. | | | (1,190,338 | ) | | | (8,172,054 | ) | | | (1,424,198 | ) | | | (0.0 | ) |
| Provident Financial plc | | | (468,199 | ) | | | (5,663,744 | ) | | | 2,611,064 | | | | 0.0 | |
| Rightmove plc | | | (92,115 | ) | | | (5,590,063 | ) | | | (417,310 | ) | | | (0.0 | ) |
| Royal Bank of Scotland Group plc | | | (1,292,979 | ) | | | (4,848,398 | ) | | | (14,040 | ) | | | (0.0 | ) |
| RPC Group plc | | | (476,947 | ) | | | (5,665,277 | ) | | | 333,132 | | | | 0.0 | |
| Standard Chartered plc | | | (1,767,584 | ) | | | (18,562,434 | ) | | | (620,395 | ) | | | (0.0 | ) |
| Tesco plc | | | (14,587,119 | ) | | | (41,268,834 | ) | | | (4,235,102 | ) | | | (0.1 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
109
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR LONG-SHORT EQUITY FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| DTBK | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the JPY/USD 1 Week Forward FX Swap Rate plus or minus a specified spread (-0.90% to 0.04%), which is denominated in JPY based on the local currencies of the positions within the swap. | | 99 months maturity 08/20/2021 | | $1,723,735,512 | | | $41,748,629 | | | | $1,313,819 | | | | $43,062,448 | |
| | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Japan | | | | | | | | | | | | |
| Bandai Namco Holdings, Inc. | | | 442,900 | | | | $14,456,132 | | | | $1,643,335 | | | | 0.0 | % |
| Fujitsu Ltd. | | | 4,054,000 | | | | 28,740,965 | | | | 882,832 | | | | 0.0 | |
| Haseko Corp. | | | 1,328,200 | | | | 20,584,757 | | | | 5,216,716 | | | | 0.1 | |
| Hitachi Ltd. | | | 4,929,000 | | | | 38,240,170 | | | | 4,691,778 | | | | 0.1 | |
| Idemitsu Kosan Co. Ltd. | | | 529,000 | | | | 21,189,485 | | | | 6,721,275 | | | | 0.1 | |
| Inpex Corp. | | | 1,460,900 | | | | 18,182,391 | | | | 4,107,786 | | | | 0.1 | |
| Japan Airlines Co. Ltd. | | | 371,400 | | | | 14,510,546 | | | | 2,270,401 | | | | 0.0 | |
| JFE Holdings, Inc. | | | 993,500 | | | | 23,742,089 | | | | 3,907,492 | | | | 0.1 | |
| JXTG Holdings, Inc. | | | 6,145,200 | | | | 39,490,954 | | | | 10,519,450 | | | | 0.2 | |
| Kajima Corp. | | | 2,602,000 | | | | 24,999,760 | | | | 2,853,770 | | | | 0.1 | |
| Marubeni Corp. | | | 1,938,800 | | | | 14,016,921 | | | | 1,649,532 | | | | 0.0 | |
| Matsumotokiyoshi Holdings Co. Ltd. | | | 322,800 | | | | 13,260,970 | | | | 3,310,472 | | | | 0.1 | |
| Mitsubishi Gas Chemical Co., Inc. | | | 493,900 | | | | 14,142,816 | | | | 4,914,794 | | | | 0.1 | |
| Mitsui Chemicals, Inc. | | | 485,700 | | | | 15,575,170 | | | | 4,024,104 | | | | 0.1 | |
| Nippon Telegraph & Telephone Corp. | | | 628,600 | | | | 29,553,069 | | | | 445,409 | | | | 0.0 | |
| Obayashi Corp. | | | 1,523,100 | | | | 18,399,246 | | | | 1,191,972 | | | | 0.0 | |
| SMC Corp. | | | 32,000 | | | | 13,132,301 | | | | 204,366 | | | | 0.0 | |
| Square Enix Holdings Co. Ltd. | | | 493,900 | | | | 23,434,475 | | | | 8,376,270 | | | | 0.2 | |
| Start Today Co. Ltd. | | | 748,200 | | | | 22,710,196 | | | | 1,444,108 | | | | 0.0 | |
| Taisei Corp. | | | 610,400 | | | | 30,355,744 | | | | 1,838,636 | | | | 0.0 | |
| THK Co. Ltd. | | | 339,200 | | | | 12,679,229 | | | | 1,568,322 | | | | 0.0 | |
| Tokyo Electron Ltd. | | | 165,400 | | | | 29,836,414 | | | | 547,497 | | | | 0.0 | |
| Tosoh Corp. | | | 1,316,400 | | | | 29,698,249 | | | | 4,320,952 | | | | 0.1 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Japan | | | | | | | | | | | | |
| Aeon Co. Ltd. | | | (1,262,200 | ) | | | (21,290,359 | ) | | | (3,698,479 | ) | | | (0.1 | ) |
| Alps Electric Co. Ltd. | | | (499,100 | ) | | | (14,197,087 | ) | | | (927,894 | ) | | | (0.0 | ) |
| Asics Corp. | | | (1,014,400 | ) | | | (16,123,690 | ) | | | 864,792 | | | | 0.0 | |
| Calbee, Inc. | | | (534,700 | ) | | | (17,376,515 | ) | | | 1,332,651 | | | | 0.0 | |
| FamilyMart UNY Holdings Co. Ltd. | | | (449,000 | ) | | | (31,447,145 | ) | | | (6,483,086 | ) | | | (0.1 | ) |
| Fast Retailing Co. Ltd. | | | (33,300 | ) | | | (13,240,538 | ) | | | (3,467,558 | ) | | | (0.1 | ) |
| Isetan Mitsukoshi Holdings Ltd. | | | (1,443,300 | ) | | | (17,860,614 | ) | | | (3,287,354 | ) | | | (0.1 | ) |
| Japan Post Holdings Co. Ltd. | | | (1,238,000 | ) | | | (14,179,947 | ) | | | 129,368 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
110
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR LONG-SHORT EQUITY FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Japan (continued) | | | | | | | | | | | | |
| Kakaku.com, Inc. | | | (797,800 | ) | | $ | (13,467,402 | ) | | $ | (1,653,956 | ) | | | (0.0 | ) % |
| Kansai Paint Co. Ltd. | | | (504,300 | ) | | | (13,086,207 | ) | | | (1,538,447 | ) | | | (0.0 | ) |
| Kyushu Electric Power Co., Inc. | | | (1,201,000 | ) | | | (12,579,954 | ) | | | (486,129 | ) | | | (0.0 | ) |
| M3, Inc. | | | (352,600 | ) | | | (12,360,100 | ) | | | (2,815,543 | ) | | | (0.1 | ) |
| Marui Group Co. Ltd. | | | (1,122,100 | ) | | | (20,512,117 | ) | | | (4,596,782 | ) | | | (0.1 | ) |
| MonotaRO Co. Ltd. | | | (413,100 | ) | | | (13,165,429 | ) | | | (1,417,189 | ) | | | (0.0 | ) |
| NGK Spark Plug Co. Ltd. | | | (921,600 | ) | | | (22,337,129 | ) | | | (4,548,404 | ) | | | (0.1 | ) |
| Nidec Corp. | | | (128,200 | ) | | | (17,950,186 | ) | | | (3,083,590 | ) | | | (0.1 | ) |
| Nippon Paint Holdings Co. Ltd. | | | (460,000 | ) | | | (14,534,333 | ) | | | 1,126,845 | | | | 0.0 | |
| Odakyu Electric Railway Co. Ltd. | | | (555,400 | ) | | | (11,867,057 | ) | | | (654,354 | ) | | | (0.0 | ) |
| Ono Pharmaceutical Co. Ltd. | | | (880,100 | ) | | | (20,472,633 | ) | | | (1,642,272 | ) | | | (0.0 | ) |
| Ricoh Co. Ltd. | | | (2,727,300 | ) | | | (25,273,381 | ) | | | (1,418,312 | ) | | | (0.0 | ) |
| Seibu Holdings, Inc. | | | (806,300 | ) | | | (15,232,905 | ) | | | (1,604,305 | ) | | | (0.0 | ) |
| Shimano, Inc. | | | (236,000 | ) | | | (33,171,833 | ) | | | 602,505 | | | | 0.0 | |
| Sony Financial Holdings, Inc. | | | (966,700 | ) | | | (17,085,081 | ) | | | (1,702,350 | ) | | | (0.0 | ) |
| Sysmex Corp. | | | (307,900 | ) | | | (24,176,617 | ) | | | (5,758,718 | ) | | | (0.1 | ) |
| T&D Holdings, Inc. | | | (1,194,400 | ) | | | (20,377,052 | ) | | | (2,376,764 | ) | | | (0.0 | ) |
| Yamato Holdings Co. Ltd. | | | (622,700 | ) | | | (12,500,921 | ) | | | 202,713 | | | | 0.0 | |
| Yaskawa Electric Corp. | | | (291,900 | ) | | | (12,789,638 | ) | | | (4,284,229 | ) | | | (0.1 | ) |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR or EONIA plus or minus a specified spread (-0.11% to 0.03%), which is denominated in EUR based on the local currencies of the positions within the swap. | | 37-45 months maturity 12/21/2020 | | $465,917,902 | | | $(14,647,782 | ) | | | $(378,564 | ) | | | $(15,026,346 | ) |
| | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| France | | | | | | | | | | | | |
| Air France-KLM | | | 960,404 | | | | $15,600,853 | | | | $3,417,461 | | | | 0.1 | % |
| Amundi SA | | | 58,450 | | | | 4,950,416 | | | | (58,195 | ) | | | (0.0 | ) |
| Atos SE | | | 139,451 | | | | 20,274,818 | | | | 133,675 | | | | 0.0 | |
| BioMerieux | | | 40,390 | | | | 3,616,279 | | | | 241,843 | | | | 0.0 | |
| BNP Paribas SA | | | 90,388 | | | | 6,723,839 | | | | (450,526 | ) | | | (0.0 | ) |
| Bouygues SA | | | 21,058 | | | | 1,092,651 | | | | 82,212 | | | | 0.0 | |
| Capgemini SE | | | 181,563 | | | | 21,504,667 | | | | 1,900,270 | | | | 0.0 | |
| Cie de Saint-Gobain | | | 326,383 | | | | 17,962,898 | | | | (610,851 | ) | | | (0.0 | ) |
| Cie Generale des Etablissements Michelin | | | 185,357 | | | | 26,516,299 | | | | 1,140,458 | | | | 0.0 | |
| CNP Assurances | | | 200,374 | | | | 4,622,100 | | | | 54,046 | | | | 0.0 | |
| Engie SA | | | 705,439 | | | | 12,127,566 | | | | (219,668 | ) | | | (0.0 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
111
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR LONG-SHORT EQUITY FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| France (continued) | | | | | | | | | | | | |
| Eutelsat Communications SA | | | 93,947 | | | $ | 2,175,114 | | | $ | (343,997 | ) | | | (0.0 | ) % |
| Faurecia | | | 38,020 | | | | 2,963,093 | | | | 47,735 | | | | 0.0 | |
| Ipsen SA | | | 46,210 | | | | 5,499,978 | | | | (411,059 | ) | | | (0.0 | ) |
| Kering | | | 16,821 | | | | 7,918,102 | | | | 64,007 | | | | 0.0 | |
| Lagardere SCA | | | 133,785 | | | | 4,284,353 | | | | (129,874 | ) | | | (0.0 | ) |
| L’Oreal SA | | | 10,439 | | | | 2,313,083 | | | | (89,284 | ) | | | (0.0 | ) |
| Peugeot SA | | | 1,232,148 | | | | 25,026,465 | | | | (2,242,632 | ) | | | (0.0 | ) |
| Renault SA | | | 201,653 | | | | 20,241,541 | | | | 328,811 | | | | 0.0 | |
| Sanofi | | | 94,776 | | | | 8,159,454 | | | | (1,272,160 | ) | | | (0.0 | ) |
| Teleperformance | | | 46,555 | | | | 6,664,345 | | | | 722,338 | | | | 0.0 | |
| Thales SA | | | 109,670 | | | | 11,802,666 | | | | (178,363 | ) | | | (0.0 | ) |
| Ubisoft Entertainment SA | | | 36,293 | | | | 2,788,455 | | | | 82,058 | | | | 0.0 | |
| Valeo SA | | | 54,205 | | | | 4,037,777 | | | | 162,790 | | | | 0.0 | |
| Veolia Environnement SA | | | 35,931 | | | | 916,211 | | | | (5,100 | ) | | | (0.0 | ) |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| France | | | | | | | | | | | | |
| Accor SA | | | (630,789 | ) | | | (32,473,006 | ) | | | (2,449,216 | ) | | | (0.0 | ) |
| Aeroports de Paris | | | (17,417 | ) | | | (3,311,824 | ) | | | (504,707 | ) | | | (0.0 | ) |
| Air Liquide SA | | | (26,516 | ) | | | (3,333,441 | ) | | | (1,188,902 | ) | | | (0.0 | ) |
| Airbus SE | | | (133,224 | ) | | | (13,240,715 | ) | | | (872,447 | ) | | | (0.0 | ) |
| Bollore SA | | | (1,065,576 | ) | | | (5,780,518 | ) | | | (1,113,180 | ) | | | (0.0 | ) |
| Bollore SA | | | (1,460 | ) | | | (7,971 | ) | | | (7,846 | ) | | | (0.0 | ) |
| Bureau Veritas SA | | | (175,713 | ) | | | (4,799,201 | ) | | | (539,684 | ) | | | (0.0 | ) |
| Carrefour SA | | | (1,524,999 | ) | | | (32,879,630 | ) | | | (1,161,156 | ) | | | (0.0 | ) |
| Casino Guichard Perrachon SA | | | (21,915 | ) | | | (1,328,737 | ) | | | (19,753 | ) | | | (0.0 | ) |
| Edenred | | | (436,117 | ) | | | (12,625,535 | ) | | | (1,129,327 | ) | | | (0.0 | ) |
| Electricite de France SA | | | (2,446,422 | ) | | | (30,559,554 | ) | | | (4,114,142 | ) | | | (0.1 | ) |
| Essilor International Cie Generale d’Optique SA | | | (27,090 | ) | | | (3,731,419 | ) | | | (107,251 | ) | | | (0.0 | ) |
| Iliad SA | | | (18,426 | ) | | | (4,415,172 | ) | | | 187,687 | | | | 0.0 | |
| Ingenico Group SA | | | (235,172 | ) | | | (25,105,930 | ) | | | (1,329,380 | ) | | | (0.0 | ) |
| JCDecaux SA | | | (116,738 | ) | | | (4,695,200 | ) | | | (391,512 | ) | | | (0.0 | ) |
| Natixis SA | | | (893,465 | ) | | | (7,057,047 | ) | | | (636,661 | ) | | | (0.0 | ) |
| Orange SA | | | (43,996 | ) | | | (762,487 | ) | | | 11,572 | | | | 0.0 | |
| Orpea | | | (8,348 | ) | | | (982,860 | ) | | | (79,430 | ) | | | (0.0 | ) |
| Remy Cointreau SA | | | (26,229 | ) | | | (3,634,164 | ) | | | (754,113 | ) | | | (0.0 | ) |
| SCOR SE | | | (46,011 | ) | | | (1,849,345 | ) | | | 21,100 | | | | 0.0 | |
| Vivendi SA | | | (610,520 | ) | | | (16,386,071 | ) | | | (2,183,559 | ) | | | (0.0 | ) |
| Zodiac Aerospace | | | (184,276 | ) | | | (5,508,084 | ) | | | (259,689 | ) | | | (0.0 | ) |
| | | | |
| Luxembourg | | | | | | | | | | | | |
| Eurofins Scientific SE | | | (11,944 | ) | | | (7,259,737 | ) | | | (707,848 | ) | | | (0.0 | ) |
| SES SA | | | (282,667 | ) | | | (4,407,231 | ) | | | 2,315,667 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
112
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR LONG-SHORT EQUITY FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE (Note 5) | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR and Federal Funds Floating Rate plus or minus a specified spread (-1.72% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap. | | 37-45 months maturity ranging from 12/21/2020 – 12/22/2020 | | $10,169,580,605 | | | $171,169,544 | | | | $26,292,438 | | | | $197,461,982 | |
| | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| United States | | | | | | | | | | | | |
| Alphabet, Inc. | | | 65,700 | | | | $69,208,380 | | | | $6,313,987 | | | | 0.1 | % |
| Amazon.com, Inc. | | | 71,220 | | | | 83,289,653 | | | | 5,045,643 | | | | 0.1 | |
| Ameriprise Financial, Inc. | | | 300,829 | | | | 50,981,491 | | | | 7,619,782 | | | | 0.1 | |
| Amgen, Inc. | | | 296,650 | | | | 51,587,435 | | | | (1,428,346 | ) | | | (0.0 | ) |
| Apple, Inc. | | | 336,145 | | | | 56,885,818 | | | | 2,650,330 | | | | 0.0 | |
| BlackRock, Inc. | | | 90,549 | | | | 46,515,927 | | | | 7,195,912 | | | | 0.1 | |
| Boeing Co. (The) | | | 292,237 | | | | 86,183,614 | | | | 12,296,426 | | | | 0.2 | |
| Celgene Corp. | | | 589,656 | | | | 61,536,500 | | | | (4,725,660 | ) | | | (0.1 | ) |
| Constellation Brands, Inc. | | | 203,775 | | | | 46,576,852 | | | | 4,520,986 | | | | 0.1 | |
| eBay, Inc. | | | 2,481,480 | | | | 93,651,055 | | | | 3,528,965 | | | | 0.1 | |
| Exelixis, Inc. | | | 1,548,488 | | | | 47,074,035 | | | | 5,783,598 | | | | 0.1 | |
| Facebook, Inc. | | | 327,917 | | | | 57,864,234 | | | | 1,047,083 | | | | 0.0 | |
| General Motors Co. | | | 1,577,307 | | | | 64,653,814 | | | | 3,912,455 | | | | 0.1 | |
| Gilead Sciences, Inc. | | | 1,222,184 | | | | 87,557,262 | | | | (6,210,789 | ) | | | (0.1 | ) |
| Honeywell International, Inc. | | | 473,651 | | | | 72,639,117 | | | | 7,495,416 | | | | 0.1 | |
| International Business Machines Corp. | | | 339,778 | | | | 52,128,741 | | | | 1,633,797 | | | | 0.0 | |
| Johnson & Johnson | | | 344,918 | | | | 48,191,943 | | | | 2,795,027 | | | | 0.1 | |
| JPMorgan Chase & Co. | | | 756,454 | | | | 80,895,191 | | | | 11,382,952 | | | | 0.2 | |
| Lear Corp. | | | 313,994 | | | | 55,470,180 | | | | 10,120,411 | | | | 0.2 | |
| LyondellBasell Industries NV | | | 831,206 | | | | 91,698,646 | | | | 14,457,679 | | | | 0.3 | |
| McKesson Corp. | | | 536,672 | | | | 83,693,998 | | | | 1,867,833 | | | | 0.0 | |
| Merck & Co., Inc. | | | 1,349,807 | | | | 75,953,640 | | | | (9,282,619 | ) | | | (0.2 | ) |
| Micron Technology, Inc. | | | 1,286,872 | | | | 52,916,177 | | | | (5,040,698 | ) | | | (0.1 | ) |
| Microsoft Corp. | | | 972,285 | | | | 83,169,259 | | | | 10,882,215 | | | | 0.2 | |
| NVIDIA Corp. | | | 323,870 | | | | 62,668,845 | | | | (6,455,787 | ) | | | (0.1 | ) |
| Oracle Corp. | | | 2,061,878 | | | | 97,485,592 | | | | (3,673,921 | ) | | | (0.1 | ) |
| Pfizer, Inc. | | | 1,991,136 | | | | 72,118,946 | | | | 3,006,602 | | | | 0.1 | |
| Prudential Financial, Inc. | | | 410,513 | | | | 47,200,785 | | | | 2,867,498 | | | | 0.1 | |
| Texas Instruments, Inc. | | | 468,080 | | | | 48,886,275 | | | | 8,688,045 | | | | 0.2 | |
| United Continental Holdings, Inc. | | | 750,549 | | | | 50,587,003 | | | | 2,953,349 | | | | 0.1 | |
| Wal-Mart Stores, Inc. | | | 480,714 | | | | 47,470,507 | | | | 8,405,468 | | | | 0.2 | |
| Walt Disney Co. (The) | | | 507,435 | | | | 54,554,337 | | | | 2,086,816 | | | | 0.0 | |
| Western Digital Corp. | | | 774,772 | | | | 61,617,617 | | | | (4,383,675 | ) | | | (0.1 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
113
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR LONG-SHORT EQUITY FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| United States | | | | | | | | | | | | |
| Advanced Micro Devices, Inc. | | | (5,996,564 | ) | | $ | (61,644,678 | ) | | $ | 10,706,349 | | | | 0.2 | % |
| Ball Corp. | | | (2,046,329 | ) | | | (77,453,553 | ) | | | 2,906,327 | | | | 0.1 | |
| Cheniere Energy, Inc. | | | (909,544 | ) | | | (48,969,849 | ) | | | (7,477,314 | ) | | | (0.1 | ) |
| Domino’s Pizza, Inc. | | | (298,345 | ) | | | (56,375,271 | ) | | | 1,644,616 | | | | 0.0 | |
| Envision Healthcare Corp. | | | (1,848,506 | ) | | | (63,884,367 | ) | | | 16,247,419 | | | | 0.3 | |
| FirstEnergy Corp. | | | (2,133,528 | ) | | | (65,328,627 | ) | | | 1,161,330 | | | | 0.0 | |
| Hess Corp. | | | (1,320,057 | ) | | | (62,663,106 | ) | | | (4,891,391 | ) | | | (0.1 | ) |
| L Brands, Inc. | | | (855,698 | ) | | | (51,530,134 | ) | | | (12,256,748 | ) | | | (0.2 | ) |
| NRG Energy, Inc. | | | (1,698,022 | ) | | | (48,359,667 | ) | | | (5,192,770 | ) | | | (0.1 | ) |
| Perrigo Co. plc | | | (588,803 | ) | | | (51,320,069 | ) | | | (4,692,141 | ) | | | (0.1 | ) |
| ServiceNow, Inc. | | | (528,973 | ) | | | (68,972,789 | ) | | | (11,388,826 | ) | | | (0.2 | ) |
| Square, Inc. | | | (1,521,095 | ) | | | (52,736,364 | ) | | | (15,185,919 | ) | | | (0.3 | ) |
| Tesla, Inc. | | | (184,882 | ) | | | (57,563,011 | ) | | | 8,413,628 | | | | 0.2 | |
| TransDigm Group, Inc. | | | (289,495 | ) | | | (79,501,117 | ) | | | (6,680,187 | ) | | | (0.1 | ) |
| VEREIT, Inc. | | | (6,750,628 | ) | | | (52,587,392 | ) | | | 2,580,636 | | | | 0.0 | |
| Workday, Inc. | | | (509,527 | ) | | | (51,839,277 | ) | | | (3,860,334 | ) | | | (0.1 | ) |
| XPO Logistics, Inc. | | | (553,140 | ) | | | (50,662,093 | ) | | | (15,062,659 | ) | | | (0.3 | ) |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| MSIP | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA plus or minus a specified spread (-2.75% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swap. | | 24 months maturity 12/17/2019 | | $402,518,924 | | | $(294,740 | ) | | | $(118,521 | ) | | | $(413,261 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Long Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Germany | | | | | | | | | | | | |
| adidas AG | | | 20,656 | | | | $4,130,989 | | | | $(171,155 | ) | | | (0.0 | )% |
| Allianz SE (Registered) | | | 40,423 | | | | 9,250,718 | | | | (326,690 | ) | | | (0.0 | ) |
| BASF SE | | | 15,453 | | | | 1,694,135 | | | | (51,169 | ) | | | (0.0 | ) |
| Bayer AG (Registered) | | | 14,277 | | | | 1,774,106 | | | | (50,225 | ) | | | (0.0 | ) |
| Beiersdorf AG | | | 51,230 | | | | 6,005,855 | | | | (172,698 | ) | | | (0.0 | ) |
| Continental AG | | | 4,304 | | | | 1,157,260 | | | | 292 | | | | 0.0 | |
| Covestro AG | | | 252,570 | | | | 26,006,255 | | | | 550,311 | | | | 0.0 | |
| Deutsche Post AG (Registered) | | | 53,025 | | | | 2,520,468 | | | | (19,779 | ) | | | (0.0 | ) |
| E.ON SE | | | 594,847 | | | | 6,445,866 | | | | (125,120 | ) | | | (0.0 | ) |
| Evonik Industries AG | | | 20,825 | | | | 782,170 | | | | (10,849 | ) | | | (0.0 | ) |
| Freenet AG | | | 100,140 | | | | 3,694,830 | | | | (85,571 | ) | | | (0.0 | ) |
| Henkel AG & Co. KGaA (Preference) | | | 16,370 | | | | 2,161,748 | | | | (74,858 | ) | | | (0.0 | ) |
| HOCHTIEF AG | | | 34,546 | | | | 6,101,083 | | | | 82,809 | | | | 0.0 | |
| HUGO BOSS AG | | | 12,901 | | | | 1,094,756 | | | | (5,972 | ) | | | (0.0 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
114
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR LONG-SHORT EQUITY FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Germany (continued) | | | | | | | | | | | | |
| Infineon Technologies AG | | | 567,344 | | | $ | 15,451,169 | | | $ | (180,880 | ) | | | (0.0 | ) % |
| KION Group AG | | | 17,424 | | | | 1,499,881 | | | | 109,311 | | | | 0.0 | |
| Merck KGaA | | | 13,782 | | | | 1,479,316 | | | | (32,733 | ) | | | (0.0 | ) |
| MTU Aero Engines AG | | | 19,275 | | | | 3,444,344 | | | | 51,621 | | | | 0.0 | |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | | | 61,390 | | | | 13,257,169 | | | | (346,178 | ) | | | (0.0 | ) |
| Rheinmetall AG | | | 105,962 | | | | 13,400,328 | | | | 79,645 | | | | 0.0 | |
| RWE AG | | | 1,305,318 | | | | 26,563,783 | | | | (5,794,795 | ) | | | (0.1 | ) |
| Salzgitter AG | | | 163,744 | | | | 9,301,610 | | | | 454,012 | | | | 0.0 | |
| Schaeffler AG (Preference) | | | 192,775 | | | | 3,401,417 | | | | 62,999 | | | | 0.0 | |
| Siemens AG (Registered) | | | 53,796 | | | | 7,448,471 | | | | (100,455 | ) | | | (0.0 | ) |
| Software AG | | | 152,547 | | | | 8,556,475 | | | | 113,594 | | | | 0.0 | |
| Suedzucker AG | | | 378,604 | | | | 8,195,536 | | | | 421,534 | | | | 0.0 | |
| Talanx AG | | | 110,559 | | | | 4,505,469 | | | | (45,255 | ) | | | (0.0 | ) |
| Uniper SE | | | 205,326 | | | | 6,396,749 | | | | 88,006 | | | | 0.0 | |
| Wacker Chemie AG | | | 4,667 | | | | 904,264 | | | | 65,342 | | | | 0.0 | |
| Wirecard AG | | | 11,577 | | | | 1,286,696 | | | | 31,549 | | | | 0.0 | |
| | | | |
| United Kingdom | | | | | | | | | | | | |
| Dialog Semiconductor plc | | | 26,989 | | | | 835,781 | | | | 73,327 | | | | 0.0 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Germany | | | | | | | | | | | | |
| Axel Springer SE | | | (92,429 | ) | | | (7,207,644 | ) | | | 285,913 | | | | 0.0 | |
| Bilfinger SE | | | (112,092 | ) | | | (5,309,309 | ) | | | (171,666 | ) | | | (0.0 | ) |
| Brenntag��AG | | | (11,929 | ) | | | (752,047 | ) | | | 19,397 | | | | 0.0 | |
| Commerzbank AG | | | (76,574 | ) | | | (1,142,276 | ) | | | 27,319 | | | | 0.0 | |
| Deutsche Bank AG (Registered) | | | (4,187,227 | ) | | | (79,197,160 | ) | | | 3,634,823 | | | | 0.1 | |
| Deutsche Telekom AG (Registered) | | | (102,570 | ) | | | (1,813,073 | ) | | | 63,842 | | | | 0.0 | |
| Duerr AG | | | (17,544 | ) | | | (2,231,299 | ) | | | (101,235 | ) | | | (0.0 | ) |
| Fielmann AG | | | (60,706 | ) | | | (5,347,229 | ) | | | 25,678 | | | | 0.0 | |
| GEA Group AG | | | (425,641 | ) | | | (20,364,442 | ) | | | 56,406 | | | | 0.0 | |
| Innogy SE | | | (26,614 | ) | | | (1,041,585 | ) | | | 122,699 | | | | 0.0 | |
| Krones AG | | | (7,736 | ) | | | (1,058,823 | ) | | | (68,385 | ) | | | (0.0 | ) |
| ProSiebenSat.1 Media SE | | | (621,364 | ) | | | (21,328,749 | ) | | | (67,466 | ) | | | (0.0 | ) |
| Sartorius AG (Preference) | | | (72,255 | ) | | | (6,863,671 | ) | | | 197,043 | | | | 0.0 | |
| Symrise AG | | | (163,986 | ) | | | (14,059,991 | ) | | | (128,561 | ) | | | (0.0 | ) |
| Telefonica Deutschland Holding AG | | | (700,943 | ) | | | (3,508,039 | ) | | | 41,357 | | | | 0.0 | |
| thyssenkrupp AG | | | (28,292 | ) | | | (815,819 | ) | | | (22,666 | ) | | | (0.0 | ) |
| United Internet AG (Registered) | | | (35,939 | ) | | | (2,462,582 | ) | | | 38,564 | | | | 0.0 | |
| Zalando SE | | | (377,740 | ) | | | (19,917,412 | ) | | | 829,896 | | | | 0.0 | |
| | | | |
| United States | | | | | | | | | | | | |
| QIAGEN NV | | | (299,741 | ) | | | (9,349,079 | ) | | | 332,332 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
115
| | |
| Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR LONG-SHORT EQUITY FUND | | | | |
Collateral pledged to, or (received from), each counterparty at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/ CENTRALLY CLEARED | | | TOTAL | |
| BARC | | | | | | | | | |
| Cash | | | $— | | | | $75,580,901 | | | | $75,580,901 | |
| |
| CITI | | | | | | | | | |
| Cash | | | (1,580,000 | ) | | | — | | | | (1,580,000 | ) |
| Investment Companies | | | 9,620,589 | | | | — | | | | 9,620,589 | |
| |
| DTBK | | | | | | | | | |
| Cash | | | 69,402,955 | | | | — | | | | 69,402,955 | |
| |
| GSIN | | | | | | | | | |
| Cash | | | (195,960,000 | ) | | | — | | | | (195,960,000 | ) |
| Investment Companies | | | 853,798,385 | | | | — | | | | 853,798,385 | |
| |
| JPMC | | | | | | | | | |
| Investment Companies | | | 42,636,292 | | | | — | | | | 42,636,292 | |
| |
| MSIP | | | | | | | | | |
| Cash | | | 60,930,000 | | | | — | | | | 60,930,000 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
116
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| LONG POSITIONS - 109.4% | | | | | | |
| COMMON STOCKS - 2.1% | | | | | | |
| | |
| Israel - 0.0% (a) | | | | | | |
| Nice Ltd., ADR (1)(b) | | | 3,896 | | | $ | 358,082 | |
| | | | | | | | |
|
| United States - 2.1% | |
| 2017 Mandatory Exchangeable Trust* (b) | | | 25,225 | | | | 2,603,220 | |
Blackhawk Network Holdings, Inc. (1)*(b) | | | 33,111 | | | | 1,180,407 | |
| Expedia, Inc. (1) | | | 2,413 | | | | 289,005 | |
| Genworth Financial, Inc., Class A (1)* | | | 328,165 | | | | 1,020,593 | |
| Macquarie Infrastructure Corp. (1)(b) | | | 1,951 | | | | 125,254 | |
| Monsanto Co .(1) | | | 154,642 | | | | 18,059,092 | |
| Neurocrine Biosciences, Inc. (1)*(b) | | | 35,473 | | | | 2,752,350 | |
| Panera Bread Co., Class A (3)*(c) | | | 38,740 | | | | 12,197,736 | |
| Priceline Group, Inc. (The) (1)* | | | 1,543 | | | | 2,681,333 | |
| Proofpoint, Inc. (1)*(b) | | | 5,946 | | | | 528,064 | |
| RealPage, Inc. (1)*(b) | | | 17,665 | | | | 782,560 | |
| ServiceNow, Inc. (1)*(b) | | | 7,903 | | | | 1,030,472 | |
| Square, Inc., Class A (1)*(b) | | | 49,447 | | | | 1,714,327 | |
| Teladoc, Inc. (1)*(b) | | | 8,635 | | | | 300,930 | |
| Tesla, Inc. (1)*(b) | | | 18,300 | | | | 5,697,705 | |
| T-Mobile US, Inc. (1)*(b) | | | 0 | | | | 10 | |
| Westar Energy, Inc. (1) | | | 185,016 | | | | 9,768,845 | |
| WGL Holdings, Inc. (1)(b) | | | 32,436 | | | | 2,784,306 | |
| | | | | | | | |
| | | | | | | 63,516,209 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $61,010,197) | | | | | | | 63,874,291 | |
| | | | | | | | |
| |
| CONVERTIBLE PREFERRED STOCKS - 9.6% | | | | |
|
| China - 3.9% | |
| Mandatory Exchangeable Trust $100 par, 5.75%, 6/3/2019 (b)(d) | | | 610,168 | | | | 118,836,320 | |
| | | | | | | | |
|
| Israel - 0.6% | |
| Teva Pharmaceutical Industries Ltd. $1,000 par, 7.00%, 12/15/2018 (b) | | | 54,225 | | | | 19,206,495 | |
| | | | | | | | |
|
| United States - 5.1% | |
| Allergan plc Series A, $1,000 par, 5.50%, 3/1/2018 (b) | | | 43,225 | | | | 25,259,609 | |
| Anthem, Inc. $50 par, 5.25%, 5/1/2018 (b) | | | 549,150 | | | | 30,752,400 | |
| Becton Dickinson and Co. Series A, $50 par, 6.13%, 5/1/2020 (b) | | | 101,050 | | | | 5,878,078 | |
| Black Hills Corp. $50 par, 7.75%, 11/1/2018 (b) | | | 134,716 | | | | 8,899,339 | |
| Bunge Ltd. $100 par, 4.88%, 12/31/2049 (b)(e) | | | 59,900 | | | | 6,233,344 | |
| Dominion Energy, Inc. Series A, $50 par, 6.75%, 8/15/2019 (b) | | | 277,350 | | | | 14,330,674 | |
| NCR Corp. Series A, $1,000 par, 5.50%, 12/31/2049* (b) (e) | | | 3,567 | | | | 4,766,939 | |
| Post Holdings, Inc. $100 par, 2.50%, 12/31/2049 (b)(e) | | | 244,502 | | | | 36,690,581 | |
| Rexnord Corp. Series A, $50 par, 5.75%, 11/15/2019 (b) | | | 35,625 | | | | 2,088,516 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
|
| United States - 5.1% (continued) | |
| Southwestern Energy Co. Series B, $50 par, 6.25%, 1/15/2018 (b) | | | 379,300 | | | $ | 4,516,022 | |
| Welltower, Inc., REIT Series I, $50 par, 6.50%, 12/31/2049 (b)(e) | | | 221,875 | | | | 13,284,766 | |
| | | | | | | | |
| | | | | | | 152,700,268 | |
| | | | | | | | |
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $304,299,940) | | | | 290,743,083 | |
| | | | | | | | |
| | |
| | | PRINCIPAL
AMOUNT | | | | |
| | |
| CONVERTIBLE BONDS - 18.2% | | | | | | |
| | |
| Canada - 0.4% | | | | | | |
| Element Fleet Management Corp. | | | | | | | | |
| 5.13%, 6/30/2019 (b)(d) | | $ | 1,022,000 | | | | 821,803 | |
| 4.25%, 6/30/2020 (b)(d) | | | 14,346,000 | | | | 11,384,356 | |
| | | | | | | | |
| | | | | | | 12,206,159 | |
| | | | | | | | |
| Monaco - 0.1% | | | | | | |
| Scorpio Tankers, Inc. | | | | | | | | |
| 2.38%, 7/1/2019 (b)(d) | | | 2,700,000 | | | | 2,426,625 | |
| | | | | | | | |
| | |
| Norway - 0.1% | | | | | | |
| Ship Finance International Ltd. | | | | | | | | |
| 5.75%, 10/15/2021 (b) | | | 3,600,000 | | | | 3,827,250 | |
| | | | | | | | |
| |
| United States - 17.6% | | | | |
| Acorda Therapeutics, Inc. 1.75%, 6/15/2021 (b) | | | 4,300,000 | | | | 3,641,562 | |
| Allegheny Technologies, Inc. 4.75%, 7/1/2022 (b) | | | 6,750,000 | | | | 12,487,500 | |
| Allscripts Healthcare Solutions, Inc. 1.25%, 7/1/2020 | | | 525,000 | | | | 561,422 | |
| Alpha Natural Resources, Inc. 4.88%, 12/15/2020 (3) (c)(f) | | | 200,000 | | | | — | |
| AMAG Pharmaceuticals, Inc. 3.25%, 6/1/2022 | | | 2,450,000 | | | | 2,102,406 | |
| Anthem, Inc. 2.75%, 10/15/2042 (b) | | | 13,475,000 | | | | 41,444,047 | |
Apollo Commercial Real Estate Finance, Inc., REIT | | | | | | | | |
| 5.50%, 3/15/2019 | | | 5,175,000 | | | | 5,621,344 | |
| 4.75%, 8/23/2022 (b) | | | 1,350,000 | | | | 1,371,094 | |
| Atlas Air Worldwide Holdings, Inc. | | | | | | | | |
| 1.88%, 6/1/2024 | | | 1,775,000 | | | | 2,090,062 | |
| Blackstone Mortgage Trust, Inc., REIT 4.38%, 5/5/2022 | | | 2,350,000 | | | | 2,383,781 | |
| Brookdale Senior Living, Inc. 2.75%, 6/15/2018 (b) | | | 1,175,000 | | | | 1,171,328 | |
| Chesapeake Energy Corp. 5.50%, 9/15/2026 (b)(d) | | | 10,375,000 | | | | 9,447,734 | |
| Cleveland-Cliffs, Inc. 1.50%, 1/15/2025 (b) | | | 1,300,000 | | | | 1,423,500 | |
| CSG Systems International, Inc. 4.25%, 3/15/2036 | | | 675,000 | | | | 734,063 | |
| Echo Global Logistics, Inc. 2.50%, 5/1/2020 (b) | | | 375,000 | | | | 387,188 | |
| Ensco Jersey Finance Ltd. 3.00%, 1/31/2024 (b) | | | 950,000 | | | | 843,125 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
117
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | |
| | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| |
| United States - 17.6% (continued) | | | | |
| Euronet Worldwide, Inc. 1.50%, 10/1/2044 (b) | | $ | 6,100,000 | | | $ | 7,503,000 | |
| EZCORP, Inc. 2.12%, 6/15/2019 (b) | | | 3,975,000 | | | | 4,089,281 | |
| Huron Consulting Group, Inc. 1.25%, 10/1/2019 (b) | | | 3,000,000 | | | | 2,791,875 | |
| Innoviva, Inc. 2.13%, 1/15/2023 (b) | | | 2,500,000 | | | | 2,471,875 | |
Inphi Corp.
1.13%, 12/1/2020 (b) | | | 536,000 | | | | 620,755 | |
| 0.75%, 9/1/2021 (b) | | | 4,500,000 | | | | 4,469,063 | |
| Intel Corp. 3.25%, 8/1/2039 (b) | | | 30,250,000 | | | | 67,192,813 | |
| Ionis Pharmaceuticals, Inc. 1.00%, 11/15/2021 | | | 2,750,000 | | | | 2,902,969 | |
| iStar, Inc., REIT 3.13%, 9/15/2022 (d) | | | 775,000 | | | | 771,125 | |
| Lending Tree, Inc. 0.63%, 6/1/2022 (d) | | | 2,100,000 | | | | 3,614,625 | |
| Meritor, Inc. 3.25%, 10/15/2037 (d) | | | 2,700,000 | | | | 2,809,688 | |
| Microchip Technology, Inc. 2.25%, 2/15/2037 (b)(d) | | | 10,865,000 | | | | 12,766,375 | |
| Micron Technology, Inc. Series F, 2.13%, 2/15/2033 (b) | | | 7,175,000 | | | | 26,919,703 | |
| Molina Healthcare, Inc. 1.13%, 1/15/2020 (b) | | | 18,775,000 | | | | 35,860,250 | |
| Novellus Systems, Inc. 2.63%, 5/15/2041 (b) | | | 13,650,000 | | | | 75,109,125 | |
NRG Yield, Inc.
3.50%, 2/1/2019 (b) (d) | | | 6,450,000 | | | | 6,526,594 | |
| 3.25%, 6/1/2020 (b) (d) | | | 3,350,000 | | | | 3,314,406 | |
| Pandora Media, Inc. 1.75%, 12/1/2020 (b) | | | 2,625,000 | | | | 2,318,203 | |
| Pattern Energy Group, Inc. 4.00%, 7/15/2020 | | | 1,075,000 | | | | 1,090,453 | |
| PRA Group, Inc. 3.50%, 6/1/2023 (d) | | | 1,175,000 | | | | 1,172,797 | |
| Priceline Group, Inc. (The) 1.00%, 3/15/2018 (b) | | | 16,500,000 | | | | 30,256,875 | |
| Prospect Capital Corp. | | | | | | | | |
| 4.75%, 4/15/2020 (b) | | | 1,100,000 | | | | 1,105,500 | |
| 4.95%, 7/15/2022 | | | 2,200,000 | | | | 2,197,250 | |
| Redwood Trust, Inc., REIT 4.75%, 8/15/2023 | | | 2,750,000 | | | | 2,653,750 | |
| SEACOR Holdings, Inc. 2.50%, 12/15/2027 (b) | | | 5,575,000 | | | | 5,662,109 | |
| Spirit Realty Capital, Inc., REIT | | | | | | | | |
| 2.88%, 5/15/2019 (b) | | | 3,575,000 | | | | 3,581,703 | |
| 3.75%, 5/15/2021 (b) | | | 2,525,000 | | | | 2,616,531 | |
| Starwood Property Trust, Inc., REIT 4.55%, 3/1/2018 (b) | | | 2,550,000 | | | | 2,647,219 | |
| SunEdison, Inc. | | | | | | | | |
| 2.00%, 10/1/2018 (3) (c)(f) | | | 5,950,000 | | | | 119,000 | |
| 0.25%, 1/15/2020 (3) (c)(d)(f) | | | 8,325,000 | | | | 166,500 | |
| 2.75%, 1/1/2021 (3) (c)(f) | | | 4,925,000 | | | | 98,500 | |
| SunPower Corp. 0.75%, 6/1/2018 (b) | | | 2,825,000 | | | | 2,789,688 | |
| | | | | | | | |
| | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| |
| United States - 17.6% (continued) | | | | |
| Synaptics, Inc. 0.50%, 6/15/2022 (d) | | $ | 8,125,000 | | | $ | 7,495,313 | |
| Tesla, Inc. 2.38%, 3/15/2022 | | | 2,650,000 | | | | 3,082,281 | |
| TTM Technologies, Inc. 1.75%, 12/15/2020 (b) | | | 5,725,000 | | | | 9,800,484 | |
| Unisys Corp. 5.50%, 3/1/2021 (b) | | | 1,250,000 | | | | 1,416,406 | |
| Vector Group Ltd. 2.50%, 1/15/2019 (b)(g) | | | 1,850,000 | | | | 2,928,781 | |
| VEREIT, Inc., REIT 3.00%, 8/1/2018 (b) | | | 4,000,000 | | | | 4,000,000 | |
| VeriSign, Inc. 4.70%, 8/15/2037 (b) | | | 22,869,000 | | | | 76,353,874 | |
| Vishay Intertechnology, Inc. 2.25%, 11/15/2040 (b) | | | 5,325,000 | | | | 8,686,406 | |
| Weatherford International Ltd. | | | | | | | | |
| 5.88%, 7/1/2021 (b) | | | 14,950,000 | | | | 16,202,063 | |
| | | | | | | | |
| | | | | | | 533,885,364 | |
| | | | | | | | |
TOTAL CONVERTIBLE BONDS
(Cost $405,097,661) | | | | | | | 552,345,398 | |
| | | | | | | | |
| | |
| | | SHARES | | | | |
| SHORT-TERM INVESTMENTS - 79.5% | |
| INVESTMENT COMPANIES - 74.8% | | | | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares,1.17%(h) | | | 21,176,936 | | | | 21,176,936 | |
| Dreyfus Treasury & Agency Cash Management, Institutional Shares,1.15% (h) | | | 84,707,750 | | | | 84,707,750 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.24%(h) (i) | | | 907,745,233 | | | | 907,745,233 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.18% (h)(i) | | | 87,888,005 | | | | 87,888,005 | |
| Limited Purpose Cash Investment Fund, 1.17% (h)(j) | | | 1,059,378,830 | | | | 1,059,272,893 | |
| UBS Select Treasury Preferred Fund, Class I, 1.16% (h) | | | 105,884,750 | | | | 105,884,750 | |
| | | | | | | | |
TOTAL INVESTMENT COMPANIES
(Cost $2,266,675,567) | | | | 2,266,675,567 | |
| | | | | | | | |
| | | PRINCIPAL
AMOUNT | | | | |
| U.S. TREASURY OBLIGATIONS - 4.7% | | | | |
| U.S. Treasury Bills | | | | | | | | |
| 1.14%, 1/4/2018 (k) | | $ | 3,064,000 | | | | 3,063,807 | |
| 1.13%, 1/11/2018 (k) | | | 6,167,000 | | | | 6,165,185 | |
| 1.14%, 1/25/2018 (k) | | | 23,321,000 | | | | 23,302,674 | |
| 1.14%, 2/1/2018 (k)(l) | | | 18,000,000 | | | | 17,981,019 | |
| 1.15%, 2/8/2018 (k)(l) | | | 7,456,000 | | | | 7,446,412 | |
| 1.12%, 2/15/2018 (k)(l) | | | 9,299,000 | | | | 9,284,935 | |
| 1.12%, 2/22/2018 (k)(l) | | | 9,590,000 | | | | 9,572,814 | |
| 1.12%, 3/1/2018 (k) | | | 1,905,000 | | | | 1,901,094 | |
| 1.12%, 3/8/2018 (k)(l) | | | 1,255,000 | | | | 1,252,068 | |
| 1.15%, 3/15/2018 (k)(l) | | | 9,042,000 | | | | 9,018,581 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
118
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| U.S. TREASURY OBLIGATIONS - 4.7% (continued) | | | | |
| 1.18%, 3/29/2018 (k)(l) | | $ | 7,159,000 | | | $ | 7,135,592 | |
| 1.20%, 4/5/2018 (k)(l) | | | 9,918,000 | | | | 9,882,418 | |
| 1.25%, 4/19/2018 (k)(l) | | | 4,710,000 | | | | 4,690,471 | |
| 1.37%, 5/17/2018 (k)(l) | | | 23,347,000 | | | | 23,222,677 | |
| 1.43%, 5/24/2018 (k)(l) | | | 2,927,000 | | | | 2,910,302 | |
| 1.45%, 5/31/2018 (k)(l) | | | 6,021,000 | | | | 5,984,803 | |
| | | | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $142,838,420) | | | | 142,814,852 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(Cost $2,409,513,987) | | | | 2,409,490,419 | |
| | | | | | | | |
TOTAL LONG POSITIONS
(Cost $3,179,921,785) | | | | | | | 3,316,453,191 | |
| | | | | | | | |
| | |
| | | SHARES | | | | |
| SHORT POSITIONS - (23.5)% | | | | | | |
| COMMON STOCKS - (22.7)% | | | | | | |
| | |
| Canada - 0.0% (a) | | | | | | |
| Element Fleet Management Corp. (1) | | | (148,331 | ) | | | (1,121,038 | ) |
| | | | | | | | |
| | |
| China - (3.8)% | | | | | | |
| Alibaba Group Holding Ltd., ADR (1)* | | | (668,353 | ) | | | (115,244,108 | ) |
| | | | | | | | |
| | |
| Israel - (0.5)% | | | | | | |
| Teva Pharmaceutical Industries Ltd., ADR (1) | | | (858,922 | ) | | | (16,276,572 | ) |
| | | | | | | | |
| | |
| Monaco - 0.0% (a) | | | | | | |
| Scorpio Tankers, Inc. (1) | | | (18,668 | ) | | | (56,937 | ) |
| | | | | | | | |
| | |
| Norway - (0.1)% | | | | | | |
| Ship Finance International Ltd. (1) | | | (105,446 | ) | | | (1,634,413 | ) |
| | | | | | | | |
| | |
| United States - (18.3)% | | | | | | |
| Acorda Therapeutics, Inc. (1)* | | | (44,961 | ) | | | (964,414 | ) |
| Allegheny Technologies, Inc. (1)* | | | (422,751 | ) | | | (10,205,209 | ) |
| Allergan plc (1) | | | (150,086 | ) | | | (24,551,068 | ) |
Allscripts Healthcare Solutions, Inc. (1)* | | | (17,005 | ) | | | (247,423 | ) |
| AMAG Pharmaceuticals, Inc. (1)* | | | (51,878 | ) | | | (687,384 | ) |
| Anthem, Inc. (1) | | | (280,646 | ) | | | (63,148,157 | ) |
Apollo Commercial Real Estate Finance, Inc., REIT (1) | | | (200,648 | ) | | | (3,701,956 | ) |
Atlas Air Worldwide Holdings, Inc. (1)* | | | (22,894 | ) | | | (1,342,733 | ) |
| Becton Dickinson and Co. (1) | | | (18,607 | ) | | | (3,983,014 | ) |
| Black Hills Corp. (1) | | | (127,182 | ) | | | (7,644,910 | ) |
Blackstone Mortgage Trust, Inc., Class A, REIT (1) | | | (19,028 | ) | | | (612,321 | ) |
| Bunge Ltd. (1) | | | (27,316 | ) | | | (1,832,357 | ) |
| Chesapeake Energy Corp. (1)* | | | (659,941 | ) | | | (2,613,366 | ) |
| CSG Systems International, Inc. (1) | | | (5,488 | ) | | | (240,484 | ) |
| Dominion Energy, Inc. (1) | | | (91,217 | ) | | | (7,394,050 | ) |
| Dorian LPG Ltd. (1)* | | | (1 | ) | | | (7 | ) |
| Echo Global Logistics, Inc. (1)* | | | (4,433 | ) | | | (124,124 | ) |
| Ensco plc, Class A (1) | | | (36,540 | ) | | | (215,951 | ) |
| | | | | | | | |
| | |
| INVESTMENTS | | SHARES | | | VALUE | |
| | |
| United States - (18.3)% | | | | | | |
| Euronet Worldwide, Inc. (1)* | | | (59,087 | ) | | $ | (4,979,262 | ) |
| EZCORP, Inc., Class A (1)* | | | (101,720 | ) | | | (1,240,984 | ) |
| Great Plains Energy, Inc. (1) | | | (309,331 | ) | | | (9,972,831 | ) |
| Huron Consulting Group, Inc. (1)* | | | (3,705 | ) | | | (149,867 | ) |
| Innoviva, Inc. (1)* | | | (82,714 | ) | | | (1,173,712 | ) |
| Inphi Corp. (1)* | | | (51,144 | ) | | | (1,871,870 | ) |
| Intel Corp. (1) | | | (1,404,552 | ) | | | (64,834,120 | ) |
| Ionis Pharmaceuticals, Inc. (1)* | | | (26,962 | ) | | | (1,356,189 | ) |
| iStar, Inc., REIT (1)* | | | (24,439 | ) | | | (276,161 | ) |
| Lam Research Corp. (1) | | | (408,117 | ) | | | (75,122,096 | ) |
| LendingTree, Inc. (1)* | | | (9,103 | ) | | | (3,099,116 | ) |
| Meritor, Inc. (1)* | | | (41,253 | ) | | | (967,795 | ) |
| Microchip Technology, Inc. (1) | | | (150,375 | ) | | | (13,214,955 | ) |
| Micron Technology, Inc. (1)* | | | (649,811 | ) | | | (26,720,228 | ) |
| Molina Healthcare, Inc. (1)* | | | (437,482 | ) | | | (33,546,120 | ) |
| NCR Corp. (1)* | | | (74,312 | ) | | | (2,525,865 | ) |
| NRG Yield, Inc., Class A (1) | | | (64,487 | ) | | | (1,215,580 | ) |
| NRG Yield, Inc., Class C (1) | | | (19,491 | ) | | | (368,380 | ) |
| Pandora Media, Inc. (1)* | | | (20,784 | ) | | | (100,179 | ) |
| Pattern Energy Group, Inc. (1) | | | (8,683 | ) | | | (186,598 | ) |
| Post Holdings, Inc. (1)* | | | (397,554 | ) | | | (31,498,203 | ) |
| PRA Group, Inc. (1)* | | | (18,297 | ) | | | (607,460 | ) |
| Priceline Group, Inc. (The) (1)* | | | (17,568 | ) | | | (30,528,616 | ) |
| Prospect Capital Corp. (1) | | | (32,430 | ) | | | (218,578 | ) |
| Redwood Trust, Inc., REIT (1) | | | (34,396 | ) | | | (509,749 | ) |
| Rexnord Corp. (1)* | | | (61,949 | ) | | | (1,611,913 | ) |
| SEACOR Holdings, Inc. (1)* | | | (28,029 | ) | | | (1,295,500 | ) |
| Southwestern Energy Co. (1)* | | | (824,564 | ) | | | (4,601,067 | ) |
| Spirit Realty Capital, Inc., REIT (1) | | | (59,220 | ) | | | (508,108 | ) |
Starwood Property Trust, Inc., REIT (1) | | | (113,990 | ) | | | (2,433,687 | ) |
| SunPower Corp. (1)* | | | (1,132 | ) | | | (9,543 | ) |
| Synaptics, Inc. (1)* | | | (54,522 | ) | | | (2,177,609 | ) |
| Tesla, Inc. (1)* | | | (5,988 | ) | | | (1,864,364 | ) |
| TTM Technologies, Inc. (1)* | | | (537,600 | ) | | | (8,424,192 | ) |
| Unisys Corp. (1)* | | | (90,902 | ) | | | (740,851 | ) |
| Vector Group Ltd. (1) | | | (119,898 | ) | | | (2,683,317 | ) |
| VeriSign, Inc. (1)* | | | (665,415 | ) | | | (76,150,093 | ) |
| Vishay Intertechnology, Inc. (1) | | | (381,479 | ) | | | (7,915,689 | ) |
| Weatherford International plc (1)* | | | (975,699 | ) | | | (4,068,665 | ) |
| Welltower, Inc., REIT (1) | | | (56,031 | ) | | | (3,573,097 | ) |
| | | | | | | | |
| | | | | | | (553,851,137 | ) |
| | | | | | | | |
TOTAL COMMON STOCKS (Proceeds $(578,140,129)) | | | | | | | (688,184,205 | ) |
| | | | | | | | |
| | | PRINCIPAL
AMOUNT | | | | |
| CONVERTIBLE BONDS - (0.8)% | | | | | | |
| | |
| Israel - 0.0% (a) | | | | | | |
| Nice Systems, Inc. | | | | | | | | |
| 1.25%, 1/15/2024 (d) | | $ | (400,000 | ) | | | (492,750 | ) |
| | | | | | | | |
| United States - (0.8)% | | | | | | |
| Blackhawk Network Holdings, Inc. | | | | | | | | |
| 1.50%, 1/15/2022 | | | (3,000,000 | ) | | | (3,050,625 | ) |
| Liberty Expedia Holdings, Inc. | | | | | | | | |
| 1.00%, 6/30/2047 (d) | | | (1,300,000 | ) | | | (1,300,000 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
119
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| United States - (0.8)% (continued) | | | | | | |
| Macquarie Infrastructure Corp. | | | | | | | | |
| 2.88%, 7/15/2019 | | $ | (600,000 | ) | | $ | (618,375 | ) |
| 2.00%, 10/1/2023 | | | (2,150,000 | ) | | | (2,053,250 | ) |
| Neurocrine Biosciences, Inc. | | | | | | | | |
| 2.25%, 5/15/2024 (d) | | | (3,325,000 | ) | | | (4,245,609 | ) |
| Priceline Group, Inc. (The) 0.90%, 9/15/2021 | | | (5,200,000 | ) | | | (6,080,750 | ) |
| Proofpoint, Inc. 0.75%, 6/15/2020 | | | (700,000 | ) | | | (875,875 | ) |
| RealPage, Inc. 1.50%, 11/15/2022 (d) | | | (950,000 | ) | | | (1,175,625 | ) |
| ServiceNow, Inc. 0.00%, 6/1/2022 (d) | | | (1,500,000 | ) | | | (1,716,563 | ) |
| Square, Inc. 0.38%, 3/1/2022 (d) | | | (1,275,000 | ) | | | (2,079,047 | ) |
| Teladoc, Inc. 3.00%, 12/15/2022 (d) | | | (475,000 | ) | | | (534,078 | ) |
| | | | | | | | |
| | | | | | | (23,729,797 | ) |
| | | | | | | | |
TOTAL CONVERTIBLE BONDS (Proceeds $(22,019,863)) | | | | | | | (24,222,547 | ) |
| | | | | | | | |
TOTAL SHORT POSITIONS (Proceeds $(600,159,992)) | | | | | | | (712,406,752 | ) |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 85.9%
(Cost $2,579,761,793) | | | | 2,604,046,439 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 14.1% (m) | | | | | 427,387,922 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 3,031,434,361 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | 14,431,205 | | | | 0.5 | % |
| Consumer Staples | | | 9,838,829 | | | | 0.3 | |
| Energy | | | 28,439,020 | | | | 0.9 | |
| Financials | | | 147,978,044 | | | | 4.9 | |
| Health Care | | | 23,591,984 | | | | 0.8 | |
| Industrials | | | 3,424,524 | | | | 0.1 | |
| Information Technology | | | (94,741,508 | ) | | | (3.1 | ) |
| Materials | | | 21,764,883 | | | | 0.7 | |
| Real Estate | | | 19,896,760 | | | | 0.6 | |
| Telecommunication Services | | | 10 | | | | 0.0 | (a) |
| Utilities | | | 19,932,269 | | | | 0.7 | |
| Short-Term Investments | | | 2,409,490,419 | | | | 79.5 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 2,604,046,439 | | | | 85.9 | |
| Other Assets in Excess of Liabilities (m) | | | 427,387,922 | | | | 14.1 | |
| | | | | | | | |
Net Assets | | $ | 3,031,434,361 | | | | 100.0 | % |
| | | | | | | | |
| * | Non-income producing security. |
| (a) | Represents less than 0.05% of net assets. |
| (b) | All or a portion of this security is segregated in connection with obligations for securities sold short with a total value of $804,983,760. In addition, $116,458,194 of cash collateral was pledged. |
| (c) | Security fair valued as of December 31, 2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at December 31, 2017 amounted to $12,581,736, which represents approximately 0.42% of net assets of the 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 December 31, 2017 amounted to $170,010,589, which represents approximately 5.61% of net assets of the fund. |
| (e) | Perpetual security. The rate reflected was the rate in effect on December 31, 2017. The maturity date reflects the next call date. |
| (g) | Variable or floating rate security, the interest rate of which adjusts periodically based on changes in current interest rates and prepayments on the underlying pool of assets. See Notes to Consolidated Financial Statements for further information. The interest rate shown was the current rate as of December 31, 2017. |
| (h) | Represents 7-day effective yield as of December 31, 2017. |
| (i) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (j) | As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended December 31, 2017, transactions in and earnings from issuers considered to be an affiliated person were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| AFFILIATE | | SHARES
HELD AT
12/31/16 | | SHARES
PURCHASED | | SHARES
SOLD | | SHARES
HELD AT
12/31/17 | | | VALUE AT
12/31/17 | | | DIVIDEND
INCOME | | | NET
REALIZED
GAIN (LOSS) | | | NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Other Controlled Affiliates: | | | | | | | | | | | | | | | | | | | | |
| Limited Purpose Cash Investment Fund (Short-Term Investment) | | — | | 2,844,289,767 | | (1,784,910,937) | | | 1,059,378,830 | | | | $1,059,272,893 | | | | $6,927,816 | | | | $(66,891 | ) | | | $— | |
| | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
120
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| (k) | The rate shown was the effective yield at the date of purchase. |
| (l) | All or a portion of the security pledged as collateral for futures contracts. |
| (m) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 5). |
| (3) | Level 3 security (See Note 5). |
Abbreviations
ADR - American Depositary Receipt
REIT - Real Estate Investment Trust
Credit default swap contracts outstanding - buy protection as of December 31, 2017:
Exchange Cleared
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | FINANCING
RATE PAID | | | PAYMENT
FREQUENCY | | MATURITY
DATE | | | CREDIT
SPREAD | | | NOTIONAL
AMOUNT | | | UPFRONT
PAYMENTS
(RECEIPTS) | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | | | VALUE | |
| iTraxx Europe Series 28.V1 | | | 1.00% | | | Quarterly | | | 12/20/2022 | | | | 0.45% | | | | EUR 187,712,000 | | | | $(4,688,409 | ) | | | $(1,481,963 | ) | | | $(6,170,372 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | $(4,688,409 | ) | | | $(1,481,963 | ) | | | $(6,170,372 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
Credit default swap contracts outstanding — sell protection as of December 31, 2017:
Exchange Cleared
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | FINANCING
RATE
RECEIVED | | | PAYMENT
FREQUENCY | | MATURITY
DATE | | | CREDIT
SPREAD | | | NOTIONAL
AMOUNT | | | UPFRONT
PAYMENTS
(RECEIPTS) | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | | | VALUE | |
iTraxx Europe Crossover Series 28.V1 | | | 5.00% | | | Quarterly | | | 12/20/2022 | | | | 2.34% | | | EUR | 157,479,000 | | | | $20,704,692 | | | | $2,583,601 | | | | $23,288,293 | |
Markit CDX North America High Yield Index Series 29.V1 | | | 5.00 | | | Quarterly | | | 12/20/2022 | | | | 3.07 | | | USD | 7,979,000 | | | | 560,243 | | | | 111,677 | | | | 671,920 | |
Markit CDX North America Investment Grade Index Series 29.V1 | | | 1.00 | | | Quarterly | | | 12/20/2022 | | | | 0.49 | | | USD | 71,500,000 | | | | 1,381,470 | | | | 342,130 | | | | 1,723,600 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | $22,646,405 | | | | $3,037,408 | | | | $25,683,813 | |
| | | | | | | | | | | | | | | | | | | | | | |
Written Call Options Contracts as of December 31, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | COUNTERPARTY | | NUMBER OF
CONTRACTS | | Notional
Amount | | EXERCISE
PRICE | | | EXPIRATION
DATE | | | VALUE | |
| Tesla, Inc. | | JPMS | | 183 | | USD (5,697,705) | | | USD 125.00 | | | | 1/19/2018 | | | | $(3,412,950 | ) |
| | | | | | | | | | | | | | | | | | |
| Total Written Options Contracts (Premiums Received ($955,601)) | | | | | | | | | | | | | $(3,412,950 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
121
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
Total return swap contracts outstanding as of December 31, 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) | |
| BIST 30 Index February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 02/28/2018 | | | TRY | 22,912,560 | | | | $163,401 | |
| Cocoa March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/02/2018 | | | USD | (491,920 | ) | | | 731 | |
| Cocoa March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/02/2018 | | | USD | (321,640 | ) | | | 60 | |
| Cocoa March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/02/2018 | | | USD | (113,520 | ) | | | 1,008 | |
| Coffee ‘C’ March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/09/2018 | | | USD | (2,650,200 | ) | | | 23,644 | |
| Coffee ‘C’ March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MLIN | | | 02/09/2018 | | | USD | (236,625 | ) | | | 5,841 | |
| Corn March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | (12,925,137 | ) | | | 212,830 | |
| Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/09/2018 | | | USD | 1,651,230 | | | | 44,302 | |
| Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/09/2018 | | | USD | 1,061,505 | | | | 79,595 | |
| Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/09/2018 | | | USD | 1,297,395 | | | | 58,533 | |
| Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | HKD | 13,476,600 | | | | 26,734 | |
| Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | JPMC | | | 01/30/2018 | | | HKD | 76,367,400 | | | | 133,526 | |
| Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 01/30/2018 | | | HKD | 58,398,600 | | | | 111,691 | |
| H-Shares Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | HKD | 23,460,000 | | | | 28,687 | |
| H-Shares Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/30/2018 | | | HKD | 52,785,000 | | | | 35,692 | |
| H-Shares Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | JPMC | | | 01/30/2018 | | | HKD | 253,368,000 | | | | 160,734 | |
| H-Shares Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 01/30/2018 | | | HKD | 111,435,000 | | | | 106,327 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
122
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED
BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| iBovespa Index February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 02/14/2018 | | | BRL | 15,752,815 | | | | $171,252 | |
| KOSPI 200 Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | JPMC | | | 03/08/2018 | | | KRW | 17,367,487,500 | | | | 190,232 | |
| KOSPI 200 Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 03/08/2018 | | | KRW | 93,931,200,000 | | | | 1,073,885 | |
| Lean Hogs February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/14/2018 | | | USD | 143,550 | | | | 2,710 | |
| Lean Hogs February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MLIN | | | 02/14/2018 | | | USD | 229,680 | | | | 4,502 | |
| Lean Hogs February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/14/2018 | | | USD | 4,966,830 | | | | 95,300 | |
MSCI Singapore Index January
Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 01/30/2018 | | | SGD | 543,340 | | | | 2,674 | |
| MSCI Taiwan Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | USD | 4,480,200 | | | | 67,612 | |
| MSCI Taiwan Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 01/30/2018 | | | USD | 510,900 | | | | 9,543 | |
| SGX S&P CNX Nifty Index January Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | JPMC | | | 01/25/2018 | | | USD | (1,098,084 | ) | | | 980 | |
| Soybean March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | (36,209,888 | ) | | | 1,005,779 | |
| Soybean March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | (11,444,825 | ) | | | 397,674 | |
| Soybean March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | (240,438 | ) | | | 8,850 | |
Soybean March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MLIN | | | 02/23/2018 | | | USD | (27,842,663 | ) | | | 647,025 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
123
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED
BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Soybean March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | (11,444,825 | ) | | | $17,305 | |
| Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | (2,312,640 | ) | | | 23,118 | |
| Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | (982,080 | ) | | | 3,720 | |
| Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | (411,840 | ) | | | 107 | |
| Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MLIN | | | 02/23/2018 | | | USD | (2,851,200 | ) | | | 82,460 | |
| Soybean Oil March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | (2,274,984 | ) | | | 9,295 | |
| TAIEX Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/17/2018 | | | TWD | 233,926,000 | | | | 109,538 | |
| TAIEX Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 01/17/2018 | | | TWD | 527,396,800 | | | | 243,737 | |
| Tel Aviv Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/24/2018 | | | ILS | 26,468,400 | | | | 140,131 | |
| Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | (4,526,200 | ) | | | 38,351 | |
| Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | (2,348,500 | ) | | | 95,464 | |
| Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | (4,355,400 | ) | | | 112,285 | |
| Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MLIN | | | 02/23/2018 | | | USD | (512,400 | ) | | | 18,763 | |
| Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | (3,821,650 | ) | | | 32,341 | |
| WIG20 Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 03/16/2018 | | | PLN | 59,975,760 | | | | 325,670 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 6,123,639 | |
| | | | | | | | | | | | | | | | | | | | |
| Cocoa March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MLIN | | | 02/02/2018 | | | USD | (132,440 | ) | | | (3,185 | ) |
| Cocoa March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/02/2018 | | | USD | (605,440 | ) | | | (3,304 | ) |
| Coffee ‘C’ March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/09/2018 | | | USD | (2,366,250 | ) | | | (24,413 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
124
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED
BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Coffee ‘C’ March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/09/2018 | | | USD | (2,650,200 | ) | | | $(20,681 | ) |
| Coffee ‘C’ March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/09/2018 | | | USD | (1,514,400 | ) | | | (20,048 | ) |
| CornMarch Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | (5,208,638 | ) | | | (12,776 | ) |
| Cotton No. 2 March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/09/2018 | | | USD | (39,315 | ) | | | (4,810 | ) |
| KC HRW Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | (320,438 | ) | | | (4,454 | ) |
| KC HRW Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | (192,263 | ) | | | (4,678 | ) |
| KC HRW Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | (128,175 | ) | | | (4,115 | ) |
Lean Hogs February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/14/2018 | | | USD | (143,550 | ) | | | (3,814 | ) |
Lean Hogs February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/14/2018 | | | USD | (2,497,770 | ) | | | (148,536 | ) |
Lean Hogs February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MLIN | | | 02/14/2018 | | | USD | (229,680 | ) | | | (5,120 | ) |
Live Cattle February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/02/2018 | | | USD | (2,333,760 | ) | | | (35,780 | ) |
Live Cattle February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/02/2018 | | | USD | 15,704,260 | | | | (787,039 | ) |
OMXS30 Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/19/2018 | | | SEK | 3,620,775 | | | | (13,436 | ) |
| SGX FTSE China A50 Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 01/30/2018 | | | USD | 1,840,708 | | | | (19,586 | ) |
| SGX FTSE China A50 Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | USD | 1,258,038 | | | | (18,195 | ) |
| SGX S&P CNX Nifty Index January Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MSCS | | | 01/25/2018 | | | USD | (4,223,400 | ) | | | (6,456 | ) |
| SGX S&P CNX Nifty Index January Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 01/25/2018 | | | | USD (34,674,114 | ) | | | (5,480 | ) |
| Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | 1,013,760 | | | | (53,103 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
125
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED
BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | (4,023,360 | ) | | | $(925 | ) |
| Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | 411,840 | | | | (21,130 | ) |
| Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MLIN | | | 02/23/2018 | | | USD | 2,851,200 | | | | (166,510 | ) |
| Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 2,312,640 | | | | (119,827 | ) |
| Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | 4,815,360 | | | | (284,032 | ) |
| Soybean Oil March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | (1,057,668 | ) | | | (1,350 | ) |
Swiss Market Index March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | Monthly | | MSCS | | | 03/16/2018 | | | CHF | (188,624,150 | ) | | | (845,811 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (2,638,594 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | $3,485,045 | |
| | | | | | | | | | | | | | | | | | | | |
Futures contracts outstanding as of December 31, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | | | | | | | | | | | | | | | | | | |
| Brent Crude Oil | | | 1,618 | | | 1/2018 | | | USD | | | | $108,195,660 | | | | $6,568,202 | |
| IBEX 35 Index | | | 266 | | | 1/2018 | | | EUR | | | | 31,982,395 | | | | (686,187 | ) |
| LME Aluminum Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 56,468 | | | | 3,316 | |
| LME Aluminum Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 56,475 | | | | 2,727 | |
| LME Aluminum Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 56,429 | | | | 2,457 | |
| LME Aluminum Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 56,493 | | | | 2,828 | |
| LME Aluminum Base Metal | | | 2 | | | 1/2018 | | | USD | | | | 112,975 | | | | 5,037 | |
| LME Aluminum Base Metal | | | 3 | | | 1/2018 | | | USD | | | | 169,387 | | | | 10,270 | |
| LME Aluminum Base Metal | | | 3 | | | 1/2018 | | | USD | | | | 169,444 | | | | 7,373 | |
| LME Copper Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 180,201 | | | | 17,874 | |
| LME Copper Base Metal | | | 3 | | | 1/2018 | | | USD | | | | 541,524 | | | | 16,342 | |
| LME Copper Base Metal | | | 5 | | | 1/2018 | | | USD | | | | 901,805 | | | | 66,512 | |
| LME Copper Base Metal | | | 5 | | | 1/2018 | | | USD | | | | 902,375 | | | | 18,935 | |
| LME Copper Base Metal | | | 6 | | | 1/2018 | | | USD | | | | 1,082,850 | | | | 16,193 | |
| LME Copper Base Metal | | | 6 | | | 1/2018 | | | USD | | | | 1,082,881 | | | | 34,962 | |
| LME Copper Base Metal | | | 9 | | | 1/2018 | | | USD | | | | 1,624,698 | | | | 78,070 | |
| LME Copper Base Metal | | | 12 | | | 1/2018 | | | USD | | | | 2,165,931 | | | | 47,077 | |
| LME Copper Base Metal | | | 14 | | | 1/2018 | | | USD | | | | 2,525,425 | | | | 169,884 | |
| LME Copper Base Metal | | | 28 | | | 1/2018 | | | USD | | | | 5,044,900 | | | | 487,700 | |
| LME Copper Base Metal | | | 31 | | | 1/2018 | | | USD | | | | 5,593,369 | | | | 153,260 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
126
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts (continued) | | | | | | | | | | | | | | | | | | |
| LME Copper Base Metal | | | 35 | | | 1/2018 | | | USD | | | | $ 6,314,175 | | | | $ 287,443 | |
| LME Copper Base Metal | | | 61 | | | 1/2018 | | | USD | | | | 11,005,925 | | | | 366,761 | |
| LME Nickel Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 76,266 | | | | 6,589 | |
| LME Nickel Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 76,309 | | | | 5,334 | |
| LME Nickel Base Metal | | | 2 | | | 1/2018 | | | USD | | | | 152,510 | | | | 22,323 | |
| LME Nickel Base Metal | | | 2 | | | 1/2018 | | | USD | | | | 152,576 | | | | 11,233 | |
| LME Nickel Base Metal | | | 2 | | | 1/2018 | | | USD | | | | 152,561 | | | | 10,608 | |
| LME Nickel Base Metal | | | 2 | | | 1/2018 | | | USD | | | | 152,466 | | | | 24,172 | |
| LME Nickel Base Metal | | | 2 | | | 1/2018 | | | USD | | | | 152,568 | | | | 11,923 | |
| LME Nickel Base Metal | | | 4 | | | 1/2018 | | | USD | | | | 305,169 | | | | 20,527 | |
| LME Zinc Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 83,500 | | | | 2,221 | |
| LME Zinc Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 83,481 | | | | 1,128 | |
| LME Zinc Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 83,500 | | | | 2,858 | |
| LME Zinc Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 83,458 | | | | 2,540 | |
| LME Zinc Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 83,500 | | | | 2,385 | |
| LME Zinc Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 83,460 | | | | 1,201 | |
| LME Zinc Base Metal | | | 2 | | | 1/2018 | | | USD | | | | 166,750 | | | | 11,321 | |
| MSCI Singapore Index | | | 1,002 | | | 1/2018 | | | SGD | | | | 29,075,943 | | | | 171,412 | |
| MSCI Taiwan Index | | | 186 | | | 1/2018 | | | USD | | | | 7,309,800 | | | | 127,052 | |
| NY Harbor ULSD | | | 347 | | | 1/2018 | | | USD | | | | 30,140,489 | | | | 2,026,116 | |
| OMXS30 Index | | | 162 | | | 1/2018 | | | SEK | | | | 3,108,928 | | | | (91,578 | ) |
| RBOB Gasoline | | | 194 | | | 1/2018 | | | USD | | | | 14,632,178 | | | | 553,690 | |
| SGX FTSE China A50 Index | | | 6 | | | 1/2018 | | | USD | | | | 79,455 | | | | (764 | ) |
| SGX S&P CNX Nifty Index | | | 518 | | | 1/2018 | | | USD | | | | 10,938,606 | | | | 22,510 | |
| WTI Crude Oil | | | 1,096 | | | 1/2018 | | | USD | | | | 66,220,320 | | | | 3,562,228 | |
| 100 oz Gold | | | 554 | | | 2/2018 | | | USD | | | | 72,535,220 | | | | 1,302,885 | |
| BIST 30 Index | | | 539 | | | 2/2018 | | | TRY | | | | 2,064,709 | | | | 57,602 | |
| Lean Hogs | | | 12 | | | 2/2018 | | | USD | | | | 344,520 | | | | 7,435 | |
| Live Cattle | | | 1 | | | 2/2018 | | | USD | | | | 48,620 | | | | (1,617 | ) |
| LME Aluminum Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 56,584 | | | | 2,931 | |
| LME Aluminum Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 113,179 | | | | 6,674 | |
| LME Aluminum Base Metal | | | 3 | | | 2/2018 | | | USD | | | | 169,988 | | | | 12,892 | |
| LME Aluminum Base Metal | | | 3 | | | 2/2018 | | | USD | | | | 170,006 | | | | 11,224 | |
| LME Aluminum Base Metal | | | 4 | | | 2/2018 | | | USD | | | | 226,384 | | | | 17,274 | |
| LME Aluminum Base Metal | | | 5 | | | 2/2018 | | | USD | | | | 283,344 | | | | 20,557 | |
| LME Aluminum Base Metal | | | 5 | | | 2/2018 | | | USD | | | | 283,131 | | | | 19,369 | |
| LME Aluminum Base Metal | | | 5 | | | 2/2018 | | | USD | | | | 283,101 | | | | 20,399 | |
| LME Aluminum Base Metal | | | 5 | | | 2/2018 | | | USD | | | | 283,161 | | | | 23,146 | |
| LME Aluminum Base Metal | | | 5 | | | 2/2018 | | | USD | | | | 283,344 | | | | 23,875 | |
| LME Aluminum Base Metal | | | 8 | | | 2/2018 | | | USD | | | | 453,108 | | | | 28,676 | |
| LME Aluminum Base Metal | | | 12 | | | 2/2018 | | | USD | | | | 680,025 | | | | 58,196 | |
| LME Copper Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 180,862 | | | | 9,535 | |
| LME Copper Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 361,600 | | | | 15,420 | |
| LME Copper Base Metal | | | 4 | | | 2/2018 | | | USD | | | | 722,732 | | | | 35,516 | |
| LME Copper Base Metal | | | 5 | | | 2/2018 | | | USD | | | | 904,540 | | | | 38,084 | |
| LME Copper Base Metal | | | 5 | | | 2/2018 | | | USD | | | | 903,025 | | | | 35,145 | |
| LME Copper Base Metal | | | 8 | | | 2/2018 | | | USD | | | | 1,446,284 | | | | 100,260 | |
| LME Copper Base Metal | | | 12 | | | 2/2018 | | | USD | | | | 2,170,197 | | | | 133,912 | |
| LME Copper Base Metal | | | 14 | | | 2/2018 | | | USD | | | | 2,529,380 | | | | 94,564 | |
| LME Copper Base Metal | | | 18 | | | 2/2018 | | | USD | | | | 3,254,368 | | | | 209,412 | |
| LME Copper Base Metal | | | 36 | | | 2/2018 | | | USD | | | | 6,513,462 | | | | 377,345 | |
| LME Copper Base Metal | | | 47 | | | 2/2018 | | | USD | | | | 8,495,708 | | | | 495,507 | |
| LME Copper Base Metal | | | 92 | | | 2/2018 | | | USD | | | | 16,616,925 | | | | 760,563 | |
| LME Nickel Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 76,346 | | | | 267 | |
| LME Nickel Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 76,403 | | | | 7,134 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
127
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts (continued) | | | | | | | | | | | | | | | | | | |
| LME Nickel Base Metal | | | 2 | | | 2/2018 | | | USD | | | | $ 152,866 | | | | $ 11,891 | |
| LME Nickel Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 152,913 | | | | 13,168 | |
| LME Nickel Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 152,856 | | | | 13,201 | |
| LME Nickel Base Metal | | | 3 | | | 2/2018 | | | USD | | | | 229,272 | | | | 20,698 | |
| LME Nickel Base Metal | | | 6 | | | 2/2018 | | | USD | | | | 458,445 | | | | 42,928 | |
| LME Nickel Base Metal | | | 12 | | | 2/2018 | | | USD | | | | 917,537 | | | | 102,022 | |
| LME Zinc Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 83,249 | | | | 2,972 | |
| LME Zinc Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 83,175 | | | | 3,872 | |
| LME Zinc Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 83,264 | | | | 4,311 | |
| LME Zinc Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 83,213 | | | | 4,135 | |
| LME Zinc Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 83,278 | | | | 2,926 | |
| LME Zinc Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 83,235 | | | | 5,482 | |
| LME Zinc Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 83,271 | | | | 3,893 | |
| LME Zinc Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 83,242 | | | | 3,239 | |
| LME Zinc Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 83,300 | | | | 2,273 | |
| LME Zinc Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 166,454 | | | | 8,674 | |
| LME Zinc Base Metal | | | 6 | | | 2/2018 | | | USD | | | | 499,050 | | | | 27,035 | |
| Low Sulphur Gasoil | | | 754 | | | 2/2018 | | | USD | | | | 45,371,950 | | | | 2,680,804 | |
| 3 Month Euroswiss | | | 1 | | | 3/2018 | | | CHF | | | | 258,453 | | | | 17 | |
| ASX 90 Day Bank Accepted Bill | | | 475 | | | 3/2018 | | | AUD | | | | 368,999,186 | | | | 25,381 | |
| Copper | | | 260 | | | 3/2018 | | | USD | | | | 21,453,250 | | | | 985,391 | |
| Cotton No. 2 | | | 30 | | | 3/2018 | | | USD | | | | 1,179,450 | | | | 101,511 | |
| DAX Index | | | 110 | | | 3/2018 | | | EUR | | | | 42,597,674 | | | | (720,504 | ) |
| DJIA CBOT E-Mini Index | | | 227 | | | 3/2018 | | | USD | | | | 28,074,225 | | | | 446,437 | |
| EURO STOXX 50 Index | | | 2,611 | | | 3/2018 | | | EUR | | | | 109,428,995 | | | | (2,675,950 | ) |
| Euro-Bobl | | | 1,025 | | | 3/2018 | | | EUR | | | | 137,712,033 | | | | (163,263 | ) |
| Euro-BTP | | | 477 | | | 3/2018 | | | EUR | | | | 77,916,795 | | | | (1,728,280 | ) |
| Euro-Bund | | | 348 | | | 3/2018 | | | EUR | | | | 54,953,466 | | | | (296,027 | ) |
| Euro-OAT | | | 395 | | | 3/2018 | | | EUR | | | | 73,546,125 | | | | (827,914 | ) |
| Euro-Schatz | | | 2,529 | | | 3/2018 | | | EUR | | | | 490,605,127 | | | | (3,227,907 | ) |
| FTSE/MIB Index | | | 533 | | | 3/2018 | | | EUR | | | | 69,570,188 | | | | (2,840,075 | ) |
| KOSPI 200 Index | | | 65 | | | 3/2018 | | | KRW | | | | 4,950,668 | | | | 63,673 | |
| LME Aluminum Base Metal | | | 1 | | | 3/2018 | | | USD | | | | 56,752 | | | | 5,575 | |
| LME Aluminum Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 113,551 | | | | 9,266 | |
| LME Aluminum Base Metal | | | 4 | | | 3/2018 | | | USD | | | | 227,126 | | | | 15,985 | |
| LME Aluminum Base Metal | | | 4 | | | 3/2018 | | | USD | | | | 226,936 | | | | 25,624 | |
| LME Aluminum Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 283,700 | | | | 31,250 | |
| LME Aluminum Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 283,730 | | | | 29,530 | |
| LME Aluminum Base Metal | | | 6 | | | 3/2018 | | | USD | | | | 340,275 | | | | 296 | |
| LME Aluminum Base Metal | | | 6 | | | 3/2018 | | | USD | | | | 340,227 | | | | 37,209 | |
| LME Aluminum Base Metal | | | 6 | | | 3/2018 | | | USD | | | | 340,012 | | | | 30,998 | |
| LME Aluminum Base Metal | | | 6 | | | 3/2018 | | | USD | | | | 340,191 | | | | 33,276 | |
| LME Aluminum Base Metal | | | 6 | | | 3/2018 | | | USD | | | | 340,200 | | | | (742 | ) |
| LME Aluminum Base Metal | | | 6 | | | 3/2018 | | | USD | | | | 340,155 | | | | 31,890 | |
| LME Aluminum Base Metal | | | 6 | | | 3/2018 | | | USD | | | | 340,261 | | | | 39,347 | |
| LME Aluminum Base Metal | | | 7 | | | 3/2018 | | | USD | | | | 397,075 | | | | 9,931 | |
| LME Aluminum Base Metal | | | 7 | | | 3/2018 | | | USD | | | | 397,337 | | | | 18,457 | |
| LME Aluminum Base Metal | | | 129 | | | 3/2018 | | | USD | | | | 7,325,588 | | | | 544,554 | |
| LME Copper Base Metal | | | 1 | | | 3/2018 | | | USD | | | | 181,037 | | | | 14,204 | |
| LME Copper Base Metal | | | 1 | | | 3/2018 | | | USD | | | | 181,138 | | | | 14,635 | |
| LME Copper Base Metal | | | 1 | | | 3/2018 | | | USD | | | | 181,166 | | | | 11,851 | |
| LME Copper Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 362,350 | | | | 608 | |
| LME Copper Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 361,902 | | | | 23,023 | |
| LME Copper Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 362,161 | | | | 33,406 | |
| LME Copper Base Metal | | | 3 | | | 3/2018 | | | USD | | | | 543,472 | | | | 2,844 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
128
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts (continued) | | | | | | | | | | | | | | | | | | |
| LME Copper Base Metal | | | 4 | | | 3/2018 | | | USD | | | | $ 724,850 | | | | $ 23,608 | |
| LME Copper Base Metal | | | 4 | | | 3/2018 | | | USD | | | | 724,207 | | | | 66,997 | |
| LME Copper Base Metal | | | 4 | | | 3/2018 | | | USD | | | | 724,450 | | | | 15,233 | |
| LME Copper Base Metal | | | 6 | | | 3/2018 | | | USD | | | | 1,086,396 | | | | 98,554 | |
| LME Copper Base Metal | | | 8 | | | 3/2018 | | | USD | | | | 1,449,900 | | | | 70,159 | |
| LME Copper Base Metal | | | 12 | | | 3/2018 | | | USD | | | | 2,174,163 | | | | 125,095 | |
| LME Copper Base Metal | | | 17 | | | 3/2018 | | | USD | | | | 3,079,822 | | | | (15,332 | ) |
| LME Copper Base Metal | | | 58 | | | 3/2018 | | | USD | | | | 10,508,875 | | | | 325,076 | |
| LME Nickel Base Metal | | | 1 | | | 3/2018 | | | USD | | | | 76,528 | | | | 9,625 | |
| LME Nickel Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 153,037 | | | | 19,412 | |
| LME Nickel Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 153,047 | | | | 18,581 | |
| LME Nickel Base Metal | | | 3 | | | 3/2018 | | | USD | | | | 229,680 | | | | 6,011 | |
| LME Nickel Base Metal | | | 4 | | | 3/2018 | | | USD | | | | 305,941 | | | | 38,931 | |
| LME Nickel Base Metal | | | 4 | | | 3/2018 | | | USD | | | | 305,998 | | | | 40,909 | |
| LME Nickel Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 382,331 | | | | 52,916 | |
| LME Nickel Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 382,474 | | | | 56,812 | |
| LME Nickel Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 382,725 | | | | 19,130 | |
| LME Nickel Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 382,778 | | | | 23,525 | |
| LME Nickel Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 382,779 | | | | 23,024 | |
| LME Nickel Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 382,789 | | | | 15,996 | |
| LME Nickel Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 382,450 | | | | 57,535 | |
| LME Nickel Base Metal | | | 8 | | | 3/2018 | | | USD | | | | 612,408 | | | | 49,096 | |
| LME Nickel Base Metal | | | 67 | | | 3/2018 | | | USD | | | | 5,129,520 | | | | 448,861 | |
| LME Zinc Base Metal | | | 1 | | | 3/2018 | | | USD | | | | 83,175 | | | | 3,787 | |
| LME Zinc Base Metal | | | 1 | | | 3/2018 | | | USD | | | | 83,002 | | | | 824 | |
| LME Zinc Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 166,335 | | | | 6,478 | |
| LME Zinc Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 166,350 | | | | 11,345 | |
| LME Zinc Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 166,350 | | | | 11,344 | |
| LME Zinc Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 166,350 | | | | 12,344 | |
| LME Zinc Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 165,950 | | | | 951 | |
| LME Zinc Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 166,059 | | | | 2,562 | |
| LME Zinc Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 166,290 | | | | 4,838 | |
| LME Zinc Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 166,350 | | | | 6,610 | |
| LME Zinc Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 166,221 | | | | 3,716 | |
| LME Zinc Base Metal | | | 4 | | | 3/2018 | | | USD | | | | 332,610 | | | | 13,329 | |
| LME Zinc Base Metal | | | 66 | | | 3/2018 | | | USD | | | | 5,487,075 | | | | 226,604 | |
| MSCI Emerging Markets E-Mini Index | | | 12 | | | 3/2018 | | | USD | | | | 1,227,300 | | | | 17,260 | |
| MSCI Emerging Markets E-Mini Index | | | 135 | | | 3/2018 | | | USD | | | | 7,854,975 | | | | 286,009 | |
| NASDAQ 100 E-Mini Index | | | 264 | | | 3/2018 | | | USD | | | | 33,838,200 | | | | 185,370 | |
| Nikkei 225 Index | | | 118 | | | 3/2018 | | | JPY | | | | 23,825,161 | | | | 26,757 | |
| Palladium | | | 64 | | | 3/2018 | | | USD | | | | 6,790,400 | | | | 471,856 | |
| Russell 2000 E-Mini Index | | | 4,446 | | | 3/2018 | | | USD | | | | 341,563,950 | | | | 2,632,185 | |
| S&P Midcap 400 E-Mini Index | | | 65 | | | 3/2018 | | | USD | | | | 12,365,600 | | | | 68,691 | |
| S&P/TSX 60 Index | | | 248 | | | 3/2018 | | | CAD | | | | 37,778,075 | | | | 172,205 | |
| SET50 Index | | | 500 | | | 3/2018 | | | THB | | | | 3,470,390 | | | | (17,746 | ) |
| Silver | | | 236 | | | 3/2018 | | | USD | | | | 20,231,100 | | | | 204,358 | |
| Soybean Oil | | | 25 | | | 3/2018 | | | EUR | | | | 4,915,186 | | | | (100,820 | ) |
| TOPIX Index | | | 1,855 | | | 3/2018 | | | JPY | | | | 299,137,786 | | | | 5,166,224 | |
| U.S. Treasury 10 Year Note | | | 988 | | | 3/2018 | | | USD | | | | 122,558,313 | | | | (169,301 | ) |
| U.S. Treasury Long Bond | | | 178 | | | 3/2018 | | | USD | | | | 27,234,000 | | | | (51,188 | ) |
| U.S. Treasury Ultra Bond | | | 187 | | | 3/2018 | | | USD | | | | 31,351,719 | | | | (1,672 | ) |
| 3 Month Euroswiss | | | 8 | | | 6/2018 | | | CHF | | | | 2,067,217 | | | | (49 | ) |
| 3 Month Sterling | | | 883 | | | 6/2018 | | | GBP | | | | 148,054,153 | | | | 54,807 | |
| ASX 90 Day Bank Accepted Bill | | | 746 | | | 6/2018 | | | AUD | | | | 579,437,578 | | | | 65,610 | |
| 3 Month Euroswiss | | | 11 | | | 9/2018 | | | CHF | | | | 2,840,731 | | | | (50 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
129
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts (continued) | | | | | | | | | | | | | | | | | | |
| 3 Month Sterling | | | 1,070 | | | 9/2018 | | | GBP | | | | $ 179,282,362 | | | | $ 109,835 | |
| ASX 90 Day Bank Accepted Bill | | | 741 | | | 9/2018 | | | AUD | | | | 575,426,833 | | | | 119,177 | |
| 3 Month Sterling | | | 1,069 | | | 12/2018 | | | GBP | | | | 179,006,560 | | | | 71,481 | |
| ASX 90 Day Bank Accepted Bill | | | 279 | | | 12/2018 | | | AUD | | | | 216,605,528 | | | | (10,280 | ) |
| 3 Month Euro Euribor | | | 99 | | | 3/2019 | | | EUR | | | | 29,745,286 | | | | (17,146 | ) |
| 3 Month Euro Euribor | | | 6 | | | 6/2019 | | | EUR | | | | 1,801,215 | | | | (1,079 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 22,344,258 | |
| | | | | | | | | | | | | | | | | | |
| Short Contracts | | | | | | | | | | | | | | | | | | |
| Amsterdam Exchange Index | | | (250 | ) | | 1/2018 | | | EUR | | | | (32,665,916 | ) | | | 346,068 | |
| CAC 40 10 Euro Index | | | (483 | ) | | 1/2018 | | | EUR | | | | (30,775,810 | ) | | | 502,077 | |
| FTSE Bursa Malaysia KLCI Index | | | (366 | ) | | 1/2018 | | | MYR | | | | (8,071,534 | ) | | | (75,624 | ) |
| H-Shares Index | | | (204 | ) | | 1/2018 | | | HKD | | | | (15,314,002 | ) | | | (105,464 | ) |
| LME Aluminum Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (56,468 | ) | | | (3,151 | ) |
| LME Aluminum Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (56,493 | ) | | | (2,934 | ) |
| LME Aluminum Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (56,429 | ) | | | (2,432 | ) |
| LME Aluminum Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (56,475 | ) | | | (2,897 | ) |
| LME Aluminum Base Metal | | | (2 | ) | | 1/2018 | | | USD | | | | (112,975 | ) | | | (5,240 | ) |
| LME Aluminum Base Metal | | | (3 | ) | | 1/2018 | | | USD | | | | (169,387 | ) | | | (10,694 | ) |
| LME Aluminum Base Metal | | | (3 | ) | | 1/2018 | | | USD | | | | (169,444 | ) | | | (7,245 | ) |
| LME Copper Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (180,202 | ) | | | (17,664 | ) |
| LME Copper Base Metal | | | (3 | ) | | 1/2018 | | | USD | | | | (541,524 | ) | | | (17,206 | ) |
| LME Copper Base Metal | | | (5 | ) | | 1/2018 | | | USD | | | | (902,375 | ) | | | (16,762 | ) |
| LME Copper Base Metal | | | (5 | ) | | 1/2018 | | | USD | | | | (901,805 | ) | | | (64,176 | ) |
| LME Copper Base Metal | | | (6 | ) | | 1/2018 | | | USD | | | | (1,082,882 | ) | | | (36,046 | ) |
| LME Copper Base Metal | | | (6 | ) | | 1/2018 | | | USD | | | | (1,082,850 | ) | | | (23,868 | ) |
| LME Copper Base Metal | | | (9 | ) | | 1/2018 | | | USD | | | | (1,624,698 | ) | | | (68,746 | ) |
| LME Copper Base Metal | | | (12 | ) | | 1/2018 | | | USD | | | | (2,165,931 | ) | | | (40,385 | ) |
| LME Copper Base Metal | | | (14 | ) | | 1/2018 | | | USD | | | | (2,525,425 | ) | | | (160,809 | ) |
| LME Copper Base Metal | | | (28 | ) | | 1/2018 | | | USD | | | | (5,044,900 | ) | | | (499,764 | ) |
| LME Copper Base Metal | | | (31 | ) | | 1/2018 | | | USD | | | | (5,593,369 | ) | | | (151,341 | ) |
| LME Copper Base Metal | | | (35 | ) | | 1/2018 | | | USD | | | | (6,314,175 | ) | | | (298,763 | ) |
| LME Copper Base Metal | | | (61 | ) | | 1/2018 | | | USD | | | | (11,005,925 | ) | | | (341,750 | ) |
| LME Nickel Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (76,266 | ) | | | (6,848 | ) |
| LME Nickel Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (76,309 | ) | | | (5,421 | ) |
| LME Nickel Base Metal | | | (2 | ) | | 1/2018 | | | USD | | | | (152,576 | ) | | | (10,982 | ) |
| LME Nickel Base Metal | | | (2 | ) | | 1/2018 | | | USD | | | | (152,561 | ) | | | (11,086 | ) |
| LME Nickel Base Metal | | | (2 | ) | | 1/2018 | | | USD | | | | (152,466 | ) | | | (24,899 | ) |
| LME Nickel Base Metal | | | (2 | ) | | 1/2018 | | | USD | | | | (152,510 | ) | | | (22,428 | ) |
| LME Nickel Base Metal | | | (2 | ) | | 1/2018 | | | USD | | | | (152,568 | ) | | | (11,873 | ) |
| LME Nickel Base Metal | | | (4 | ) | | 1/2018 | | | USD | | | | (305,169 | ) | | | (19,999 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (83,500 | ) | | | (2,753 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (83,500 | ) | | | (2,952 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (83,460 | ) | | | (1,547 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (83,458 | ) | | | (2,511 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (83,481 | ) | | | (1,234 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (83,500 | ) | | | (1,977 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 1/2018 | | | USD | | | | (166,750 | ) | | | (10,680 | ) |
| Natural Gas | | | (1,472 | ) | | 1/2018 | | | USD | | | | (43,468,160 | ) | | | (2,373,067 | ) |
| LME Aluminum Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (56,584 | ) | | | (2,821 | ) |
| LME Aluminum Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (113,179 | ) | | | (7,263 | ) |
| LME Aluminum Base Metal | | | (3 | ) | | 2/2018 | | | USD | | | | (170,006 | ) | | | (10,759 | ) |
| LME Aluminum Base Metal | | | (3 | ) | | 2/2018 | | | USD | | | | (169,988 | ) | | | (13,881 | ) |
| LME Aluminum Base Metal | | | (4 | ) | | 2/2018 | | | USD | | | | (226,384 | ) | | | (17,027 | ) |
| LME Aluminum Base Metal | | | (5 | ) | | 2/2018 | | | USD | | | | (283,344 | ) | | | (20,271 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
130
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts (continued) | | | | | | | | | | | | |
| LME Aluminum Base Metal | | | (5 | ) | | 2/2018 | | | USD | | | | $ (283,344 | ) | | | $ (23,654 | ) |
| LME Aluminum Base Metal | | | (5 | ) | | 2/2018 | | | USD | | | | (283,101 | ) | | | (19,379 | ) |
| LME Aluminum Base Metal | | | (5 | ) | | 2/2018 | | | USD | | | | (283,161 | ) | | | (21,124 | ) |
| LME Aluminum Base Metal | | | (5 | ) | | 2/2018 | | | USD | | | | (283,131 | ) | | | (20,519 | ) |
| LME Aluminum Base Metal | | | (8 | ) | | 2/2018 | | | USD | | | | (453,108 | ) | | | (30,472 | ) |
| LME Aluminum Base Metal | | | (12 | ) | | 2/2018 | | | USD | | | | (680,025 | ) | | | (59,111 | ) |
| LME Copper Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (180,863 | ) | | | (8,740 | ) |
| LME Copper Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (361,600 | ) | | | (14,886 | ) |
| LME Copper Base Metal | | | (4 | ) | | 2/2018 | | | USD | | | | (722,732 | ) | | | (34,894 | ) |
| LME Copper Base Metal | | | (5 | ) | | 2/2018 | | | USD | | | | (904,540 | ) | | | (37,629 | ) |
| LME Copper Base Metal | | | (5 | ) | | 2/2018 | | | USD | | | | (903,025 | ) | | | (30,540 | ) |
| LME Copper Base Metal | | | (8 | ) | | 2/2018 | | | USD | | | | (1,446,284 | ) | | | (96,753 | ) |
| LME Copper Base Metal | | | (12 | ) | | 2/2018 | | | USD | | | | (2,170,197 | ) | | | (132,554 | ) |
| LME Copper Base Metal | | | (14 | ) | | 2/2018 | | | USD | | | | (2,529,380 | ) | | | (93,709 | ) |
| LME Copper Base Metal | | | (18 | ) | | 2/2018 | | | USD | | | | (3,254,369 | ) | | | (212,493 | ) |
| LME Copper Base Metal | | | (36 | ) | | 2/2018 | | | USD | | | | (6,513,462 | ) | | | (392,002 | ) |
| LME Copper Base Metal | | | (47 | ) | | 2/2018 | | | USD | | | | (8,495,708 | ) | | | (441,608 | ) |
| LME Copper Base Metal | | | (92 | ) | | 2/2018 | | | USD | | | | (16,616,925 | ) | | | (688,389 | ) |
| LME Nickel Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (76,346 | ) | | | (29 | ) |
| LME Nickel Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (76,403 | ) | | | (6,743 | ) |
| LME Nickel Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (152,856 | ) | | | (12,470 | ) |
| LME Nickel Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (152,866 | ) | | | (11,043 | ) |
| LME Nickel Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (152,913 | ) | | | (13,012 | ) |
| LME Nickel Base Metal | | | (3 | ) | | 2/2018 | | | USD | | | | (229,272 | ) | | | (20,566 | ) |
| LME Nickel Base Metal | | | (6 | ) | | 2/2018 | | | USD | | | | (458,445 | ) | | | (42,368 | ) |
| LME Nickel Base Metal | | | (12 | ) | | 2/2018 | | | USD | | | | (917,537 | ) | | | (100,970 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (83,242 | ) | | | (3,876 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (83,212 | ) | | | (3,553 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (83,234 | ) | | | (4,941 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (83,263 | ) | | | (4,281 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (83,271 | ) | | | (3,481 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (83,300 | ) | | | (2,798 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (83,278 | ) | | | (3,404 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (83,175 | ) | | | (3,407 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (83,249 | ) | | | (2,701 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (166,454 | ) | | | (8,567 | ) |
| LME Zinc Base Metal | | | (6 | ) | | 2/2018 | | | USD | | | | (499,050 | ) | | | (26,283 | ) |
| Sugar No. 11 | | | (577 | ) | | 2/2018 | | | USD | | | | (9,796,998 | ) | | | (808,727 | ) |
| 3 Month Canadian Bank Acceptance | | | (139 | ) | | 3/2018 | | | CAD | | | | (27,172,454 | ) | | | (1,929 | ) |
| 3 Month Euro Euribor | | | (1 | ) | | 3/2018 | | | EUR | | | | (300,922 | ) | | | (23 | ) |
| 3 Month Eurodollar | | | (1 | ) | | 3/2018 | | | USD | | | | (245,600 | ) | | | 141 | |
| 3 Month Sterling | | | (3 | ) | | 3/2018 | | | GBP | | | | (503,471 | ) | | | (54 | ) |
| Australia 10 Year Bond | | | (1,605 | ) | | 3/2018 | | | AUD | | | | (161,744,632 | ) | | | 1,171,452 | |
| Australia 3 Year Bond | | | (451 | ) | | 3/2018 | | | AUD | | | | (39,094,154 | ) | | | (34,777 | ) |
| Canada 10 Year Bond | | | (959 | ) | | 3/2018 | | | CAD | | | | (102,827,383 | ) | | | 1,089,099 | |
| Cocoa | | | (136 | ) | | 3/2018 | | | USD | | | | (2,573,120 | ) | | | 43,892 | |
| Cocoa | | | (319 | ) | | 3/2018 | | | GBP | | | | (5,935,016 | ) | | | 438,536 | |
| Coffee ’C’ | | | (186 | ) | | 3/2018 | | | USD | | | | (8,802,450 | ) | | | 81,532 | |
| Corn | | | (838 | ) | | 3/2018 | | | USD | | | | (14,696,425 | ) | | | 32,012 | |
| FTSE 100 Index | | | (689 | ) | | 3/2018 | | | GBP | | | | (71,052,749 | ) | | | (2,039,005 | ) |
| FTSE/JSE Top 40 Index | | | (634 | ) | | 3/2018 | | | ZAR | | | | (27,247,780 | ) | | | (537,036 | ) |
| Japan 10 Year Bond | | | (385 | ) | | 3/2018 | | | JPY | | | | (515,201,243 | ) | | | 344,384 | |
| KC HRW Wheat | | | (270 | ) | | 3/2018 | | | USD | | | | (5,767,875 | ) | | | 160,478 | |
| KOSPI 200 Index | | | (6 | ) | | 3/2018 | | | KRW | | | | (456,985 | ) | | | (2,586 | ) |
| LME Aluminum Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (56,752 | ) | | | (5,286 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
131
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts (continued) | | | | | | | | | | | | |
| LME Aluminum Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | $ (113,551 | ) | | | $ (9,206 | ) |
| LME Aluminum Base Metal | | | (4 | ) | | 3/2018 | | | USD | | | | (227,126 | ) | | | (17,038 | ) |
| LME Aluminum Base Metal | | | (4 | ) | | 3/2018 | | | USD | | | | (226,936 | ) | | | (25,323 | ) |
| LME Aluminum Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (283,700 | ) | | | (32,047 | ) |
| LME Aluminum Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (283,730 | ) | | | (29,565 | ) |
| LME Aluminum Base Metal | | | (6 | ) | | 3/2018 | | | USD | | | | (340,012 | ) | | | (30,126 | ) |
| LME Aluminum Base Metal | | | (6 | ) | | 3/2018 | | | USD | | | | (340,227 | ) | | | (38,171 | ) |
| LME Aluminum Base Metal | | | (6 | ) | | 3/2018 | | | USD | | | | (340,261 | ) | | | (38,125 | ) |
| LME Aluminum Base Metal | | | (6 | ) | | 3/2018 | | | USD | | | | (340,155 | ) | | | (30,917 | ) |
| LME Aluminum Base Metal | | | (6 | ) | | 3/2018 | | | USD | | | | (340,200 | ) | | | (637 | ) |
| LME Aluminum Base Metal | | | (6 | ) | | 3/2018 | | | USD | | | | (340,275 | ) | | | (1,293 | ) |
| LME Aluminum Base Metal | | | (6 | ) | | 3/2018 | | | USD | | | | (340,191 | ) | | | (34,416 | ) |
| LME Aluminum Base Metal | | | (7 | ) | | 3/2018 | | | USD | | | | (397,338 | ) | | | (19,358 | ) |
| LME Aluminum Base Metal | | | (7 | ) | | 3/2018 | | | USD | | | | (397,075 | ) | | | (12,092 | ) |
| LME Aluminum Base Metal | | | (55 | ) | | 3/2018 | | | USD | | | | (3,123,313 | ) | | | (315,744 | ) |
| LME Copper Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (181,038 | ) | | | (15,466 | ) |
| LME Copper Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (181,138 | ) | | | (14,770 | ) |
| LME Copper Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (181,166 | ) | | | (11,993 | ) |
| LME Copper Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (362,350 | ) | | | (990 | ) |
| LME Copper Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (361,903 | ) | | | (22,426 | ) |
| LME Copper Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (362,161 | ) | | | (33,345 | ) |
| LME Copper Base Metal | | | (3 | ) | | 3/2018 | | | USD | | | | (543,472 | ) | | | (4,373 | ) |
| LME Copper Base Metal | | | (4 | ) | | 3/2018 | | | USD | | | | (724,850 | ) | | | (27,262 | ) |
| LME Copper Base Metal | | | (4 | ) | | 3/2018 | | | USD | | | | (724,450 | ) | | | (16,760 | ) |
| LME Copper Base Metal | | | (4 | ) | | 3/2018 | | | USD | | | | (724,207 | ) | | | (66,559 | ) |
| LME Copper Base Metal | | | (6 | ) | | 3/2018 | | | USD | | | | (1,086,396 | ) | | | (100,643 | ) |
| LME Copper Base Metal | | | (8 | ) | | 3/2018 | | | USD | | | | (1,449,900 | ) | | | (70,870 | ) |
| LME Copper Base Metal | | | (12 | ) | | 3/2018 | | | USD | | | | (2,174,163 | ) | | | (131,972 | ) |
| LME Copper Base Metal | | | (17 | ) | | 3/2018 | | | USD | | | | (3,079,822 | ) | | | 8,278 | |
| LME Copper Base Metal | | | (119 | ) | | 3/2018 | | | USD | | | | (21,561,312 | ) | | | (1,373,923 | ) |
| LME Nickel Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (76,528 | ) | | | (9,447 | ) |
| LME Nickel Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (153,037 | ) | | | (19,720 | ) |
| LME Nickel Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (153,047 | ) | | | (19,179 | ) |
| LME Nickel Base Metal | | | (3 | ) | | 3/2018 | | | USD | | | | (229,680 | ) | | | (7,581 | ) |
| LME Nickel Base Metal | | | (4 | ) | | 3/2018 | | | USD | | | | (305,998 | ) | | | (42,275 | ) |
| LME Nickel Base Metal | | | (4 | ) | | 3/2018 | | | USD | | | | (305,941 | ) | | | (41,604 | ) |
| LME Nickel Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (382,789 | ) | | | (16,204 | ) |
| LME Nickel Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (382,779 | ) | | | (23,798 | ) |
| LME Nickel Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (382,450 | ) | | | (56,703 | ) |
| LME Nickel Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (382,331 | ) | | | (47,328 | ) |
| LME Nickel Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (382,474 | ) | | | (55,399 | ) |
| LME Nickel Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (382,725 | ) | | | (22,020 | ) |
| LME Nickel Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (382,778 | ) | | | (25,790 | ) |
| LME Nickel Base Metal | | | (8 | ) | | 3/2018 | | | USD | | | | (612,408 | ) | | | (49,161 | ) |
| LME Nickel Base Metal | | | (36 | ) | | 3/2018 | | | USD | | | | (2,756,160 | ) | | | (363,578 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (83,175 | ) | | | (3,765 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (83,002 | ) | | | (760 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (166,290 | ) | | | (5,296 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (166,058 | ) | | | (2,327 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (166,221 | ) | | | (3,727 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (166,350 | ) | | | (11,214 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (166,350 | ) | | | (6,024 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (166,350 | ) | | | (11,940 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (166,350 | ) | | | (11,500 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (166,335 | ) | | | (6,940 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
132
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts (continued) | | | | | | | | | | | | |
| LME Zinc Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | $ (165,950 | ) | | | $ (1,106 | ) |
| LME Zinc Base Metal | | | (4 | ) | | 3/2018 | | | USD | | | | (332,610 | ) | | | (12,796 | ) |
| LME Zinc Base Metal | | | (12 | ) | | 3/2018 | | | USD | | | | (997,650 | ) | | | (59,131 | ) |
| Long Gilt | | | (2,605 | ) | | 3/2018 | | | GBP | | | | (440,205,322 | ) | | | (2,822,736 | ) |
| MEX BOLSA Index | | | (262 | ) | | 3/2018 | | | MXN | | | | (6,670,823 | ) | | | (249,083 | ) |
| S&P 500 E-Mini Index | | | (3,875 | ) | | 3/2018 | | | USD | | | | (518,475,000 | ) | | | (2,347,245 | ) |
| Soybean | | | (141 | ) | | 3/2018 | | | USD | | | | (6,780,338 | ) | | | 222,571 | |
| Soybean Meal | | | (54 | ) | | 3/2018 | | | USD | | | | (1,710,720 | ) | | | 11,744 | |
| Soybean Oil | | | (139 | ) | | 3/2018 | | | USD | | | | (2,773,884 | ) | | | 29,612 | |
| SPI 200 Index | | | (548 | ) | | 3/2018 | | | AUD | �� | | | (64,350,337 | ) | | | 94,783 | |
| U.S. Treasury 2 Year Note | | | (3,878 | ) | | 3/2018 | | | USD | | | | (830,316,156 | ) | | | 1,358,684 | |
| U.S. Treasury 5 Year Note | | | (1,531 | ) | | 3/2018 | | | USD | | | | (177,847,180 | ) | | | 448,025 | |
| Wheat | | | (160 | ) | | 3/2018 | | | USD | | | | (3,416,000 | ) | | | 10,345 | |
| Platinum | | | (72 | ) | | 4/2018 | | | USD | | | | (3,377,880 | ) | | | (56,118 | ) |
| 3 Month Canadian Bank Acceptance | | | (723 | ) | | 6/2018 | | | CAD | | | | (141,012,321 | ) | | | 673,489 | |
| 3 Month Euro Euribor | | | (723 | ) | | 6/2018 | | | EUR | | | | (217,545,192 | ) | | | (72,322 | ) |
| 3 Month Eurodollar | | | (1,875 | ) | | 6/2018 | | | USD | | | | (459,726,562 | ) | | | 1,020,234 | |
| 3 Month Canadian Bank Acceptance | | | (676 | ) | | 9/2018 | | | CAD | | | | (131,643,874 | ) | | | 139,073 | |
| 3 Month Euro Euribor | | | (727 | ) | | 9/2018 | | | EUR | | | | (218,683,339 | ) | | | (26,838 | ) |
| 3 Month Eurodollar | | | (1,816 | ) | | 9/2018 | | | USD | | | | (444,738,400 | ) | | | 1,144,884 | |
| 3 Month Canadian Bank Acceptance | | | (383 | ) | | 12/2018 | | | CAD | | | | (74,501,422 | ) | | | 96,065 | |
| 3 Month Euro Euribor | | | (396 | ) | | 12/2018 | | | EUR | | | | (119,070,233 | ) | | | 32,628 | |
| 3 Month Eurodollar | | | (1,743 | ) | | 12/2018 | | | USD | | | | (426,403,162 | ) | | | 661,293 | |
| 3 Month Euroswiss | | | (2 | ) | | 12/2018 | | | CHF | | | | (516,137 | ) | | | (52 | ) |
| 3 Month Eurodollar | | | (919 | ) | | 3/2019 | | | USD | | | | (224,684,012 | ) | | | 413,780 | |
| 3 Month Sterling | | | (146 | ) | | 3/2019 | | | GBP | | | | (24,433,259 | ) | | | (23,194 | ) |
| 3 Month Eurodollar | | | (839 | ) | | 6/2019 | | | USD | | | | (205,009,650 | ) | | | 494,639 | |
| 3 Month Sterling | | | (140 | ) | | 6/2019 | | | GBP | | | | (23,417,338 | ) | | | (22,558 | ) |
| 3 Month Euro Euribor | | | (134 | ) | | 9/2019 | | | EUR | | | | (40,188,945 | ) | | | 3,289 | |
| 3 Month Eurodollar | | | (742 | ) | | 9/2019 | | | USD | | | | (181,242,775 | ) | | | 465,145 | |
| 3 Month Sterling | | | (149 | ) | | 9/2019 | | | GBP | | | | (24,910,165 | ) | | | (23,342 | ) |
| 3 Month Euro Euribor | | | (157 | ) | | 12/2019 | | | EUR | | | | (47,042,309 | ) | | | 11,806 | |
| 3 Month Eurodollar | | | (662 | ) | | 12/2019 | | | USD | | | | (161,643,850 | ) | | | 83,707 | |
| 3 Month Sterling | | | (117 | ) | | 12/2019 | | | GBP | | | | (19,550,458 | ) | | | (16,038 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | (8,085,116 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | $14,259,142 | |
| | | | | | | | | | | | | | | | | | |
Forward foreign currency contracts outstanding as of December 31, 2017:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| AUD | | | 280,234,400 | | | USD | | | 212,619,672 | | | CITI | | | 3/21/2018 | | | | $6,000,468 | |
| AUD | | | 420,351,600 | | | USD | | | 318,929,906 | | | JPMC | | | 3/21/2018 | | | | 9,000,304 | |
| CAD | | | 171,143,601 | | | USD | | | 134,082,157 | | | CITI | | | 3/21/2018 | | | | 2,208,517 | |
| CAD | | | 256,490,399 | | | USD | | | 200,948,684 | | | JPMC | | | 3/21/2018 | | | | 3,308,145 | |
| CHF | | | 14,752,000 | | | USD | | | 15,087,509 | | | CITI | | | 3/21/2018 | | | | 136,112 | |
| CHF | | | 22,128,000 | | | USD | | | 22,631,292 | | | JPMC | | | 3/21/2018 | | | | 204,140 | |
| CLP | | | 4,009,169,200 | | | USD | | | 6,408,663 | | | CITI** | | | 3/21/2018 | | | | 102,533 | |
| CLP | | | 6,013,753,800 | | | USD | | | 9,613,006 | | | JPMC** | | | 3/21/2018 | | | | 153,787 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
133
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| CNY | | | 57,666,000 | | | USD | | | 8,654,741 | | | CITI** | | | 3/21/2018 | | | | $ 160,553 | |
| CNY | | | 86,499,000 | | | USD | | | 12,982,127 | | | JPMC** | | | 3/21/2018 | | | | 240,814 | |
| COP | | | 3,149,550,000 | | | USD | | | 1,036,825 | | | CITI** | | | 3/21/2018 | | | | 11,541 | |
| COP | | | 4,724,325,000 | | | USD | | | 1,555,239 | | | JPMC** | | | 3/21/2018 | | | | 17,309 | |
| CZK | | | 612,500,000 | | | USD | | | 28,631,889 | | | CITI | | | 3/21/2018 | | | | 242,646 | |
| CZK | | | 918,750,000 | | | USD | | | 42,948,957 | | | JPMC | | | 3/21/2018 | | | | 362,845 | |
| EUR | | | 73,410,400 | | | USD | | | 87,529,435 | | | CITI | | | 3/21/2018 | | | | 963,166 | |
| EUR | | | 110,115,595 | | | USD | | | 131,293,959 | | | JPMC | | | 3/21/2018 | | | | 1,444,936 | |
| GBP | | | 19,229,147 | | | USD | | | 25,761,390 | | | CITI | | | 3/21/2018 | | | | 267,592 | |
| GBP | | | 28,843,722 | | | USD | | | 38,642,136 | | | JPMC | | | 3/21/2018 | | | | 401,340 | |
| HKD | | | 15,628,800 | | | USD | | | 2,002,591 | | | CITI | | | 3/21/2018 | | | | 872 | |
| HKD | | | 23,443,200 | | | USD | | | 3,003,890 | | | JPMC | | | 3/21/2018 | | | | 1,304 | |
| HUF | | | 112,312,400 | | | USD | | | 432,602 | | | CITI | | | 3/21/2018 | | | | 2,751 | |
| HUF | | | 168,468,600 | | | USD | | | 648,903 | | | JPMC | | | 3/21/2018 | | | | 4,125 | |
| IDR | | | 44,778,318,000 | | | USD | | | 3,275,556 | | | CITI** | | | 3/21/2018 | | | | 16,860 | |
| IDR | | | 67,167,477,000 | | | USD | | | 4,913,340 | | | JPMC** | | | 3/21/2018 | | | | 25,284 | |
| ILS | | | 1,875,600 | | | USD | | | 538,037 | | | CITI | | | 3/21/2018 | | | | 2,696 | |
| ILS | | | 2,813,400 | | | USD | | | 807,057 | | | JPMC | | | 3/21/2018 | | | | 4,043 | |
| INR | | | 339,595,600 | | | USD | | | 5,236,713 | | | CITI** | | | 3/21/2018 | | | | 44,862 | |
| INR | | | 509,393,400 | | | USD | | | 7,855,079 | | | JPMC** | | | 3/21/2018 | | | | 67,283 | |
| KRW | | | 28,679,070,800 | | | USD | | | 26,430,857 | | | CITI** | | | 3/21/2018 | | | | 464,806 | |
| KRW | | | 43,018,606,200 | | | USD | | | 39,646,336 | | | JPMC** | | | 3/21/2018 | | | | 697,159 | |
| MXN | | | 1,030,400 | | | USD | | | 51,280 | | | CITI | | | 3/21/2018 | | | | 402 | |
| MXN | | | 1,545,600 | | | USD | | | 76,920 | | | JPMC | | | 3/21/2018 | | | | 603 | |
| NZD | | | 31,634,000 | | | USD | | | 21,850,702 | | | CITI | | | 3/21/2018 | | | | 546,611 | |
| NZD | | | 47,451,000 | | | USD | | | 32,776,094 | | | JPMC | | | 3/21/2018 | | | | 819,875 | |
| PHP | | | 232,309,600 | | | USD | | | 4,548,190 | | | CITI** | | | 3/21/2018 | | | | 92,870 | |
| PHP | | | 348,464,400 | | | USD | | | 6,822,293 | | | JPMC** | | | 3/21/2018 | | | | 139,296 | |
| PLN | | | 115,187,200 | | | USD | | | 32,405,897 | | | CITI | | | 3/21/2018 | | | | 693,954 | |
| PLN | | | 172,780,800 | | | USD | | | 48,608,906 | | | JPMC | | | 3/21/2018 | | | | 1,040,870 | |
| SGD | | | 5,814,800 | | | USD | | | 4,312,238 | | | CITI | | | 3/21/2018 | | | | 40,621 | |
| SGD | | | 8,722,200 | | | USD | | | 6,468,255 | | | JPMC | | | 3/21/2018 | | | | 61,034 | |
| TRY | | | 128,346,000 | | | USD | | | 31,627,108 | | | CITI | | | 3/21/2018 | | | | 1,471,465 | |
| TRY | | | 192,519,000 | | | USD | | | 47,440,721 | | | JPMC | | | 3/21/2018 | | | | 2,207,137 | |
| TWD | | | 228,489,200 | | | USD | | | 7,680,703 | | | CITI** | | | 3/21/2018 | | | | 89,429 | |
| TWD | | | 342,733,800 | | | USD | | | 11,521,069 | | | JPMC** | | | 3/21/2018 | | | | 134,128 | |
| USD | | | 78,124,283 | | | BRL | | | 256,445,200 | | | CITI** | | | 3/21/2018 | | | | 1,466,538 | |
| USD | | | 117,186,279 | | | BRL | | | 384,667,800 | | | JPMC** | | | 3/21/2018 | | | | 2,199,660 | |
| USD | | | 5,553,221 | | | HKD | | | 43,287,250 | | | CITI | | | 3/21/2018 | | | | 4,211 | |
| USD | | | 8,329,821 | | | HKD | | | 64,930,875 | | | JPMC | | | 3/21/2018 | | | | 6,308 | |
| USD | | | 279,462 | | | MXN | | | 5,537,200 | | | CITI | | | 3/21/2018 | | | | 1,732 | |
| USD | | | 419,192 | | | MXN | | | 8,305,800 | | | JPMC | | | 3/21/2018 | | | | 2,598 | |
| USD | | | 16,342,454 | | | NOK | | | 133,524,900 | | | CITI | | | 3/21/2018 | | | | 44,839 | |
| USD | | | 24,514,961 | | | NOK | | | 200,287,350 | | | JPMC | | | 3/21/2018 | | | | 68,538 | |
| USD | | | 63,971,357 | | | JPY | | | 7,145,734,800 | | | CITI | | | 3/22/2018 | | | | 297,136 | |
| USD | | | 95,956,915 | | | JPY | | | 10,718,602,198 | | | JPMC | | | 3/22/2018 | | | | 445,584 | |
| USD | | | 617,177 | | | ZAR | | | 7,704,800 | | | CITI | | | 3/22/2018 | | | | 1,635 | |
| USD | | | 925,764 | | | ZAR | | | 11,557,200 | | | JPMC | | | 3/22/2018 | | | | 2,451 | |
| ZAR | | | 294,598,000 | | | USD | | | 21,784,352 | | | CITI | | | 3/22/2018 | | | | 1,751,297 | |
| ZAR | | | 441,897,000 | | | USD | | | 32,676,460 | | | JPMC | | | 3/22/2018 | | | | 2,627,013 | |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized appreciation | | | | | | | | | | | | | 42,816,628 | |
| | | | | | | | | | | | | | | | | | | | |
| BRL | | | 2,433,600 | | | USD | | | 734,294 | | | CITI** | | | 3/21/2018 | | | | (6,832 | ) |
| BRL | | | 3,650,400 | | | USD | | | 1,101,443 | | | JPMC** | | | 3/21/2018 | | | | (10,249 | ) |
| CAD | | | 1,936,800 | | | USD | | | 1,545,355 | | | CITI | | | 3/21/2018 | | | | (2,979 | ) |
| CAD | | | 2,905,200 | | | USD | | | 2,318,035 | | | JPMC | | | 3/21/2018 | | | | (4,471 | ) |
| CZK | | | 95,500,000 | | | USD | | | 4,519,998 | | | CITI | | | 3/21/2018 | | | | (17,928 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
134
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| CZK | | | 143,250,000 | | | USD | | | 6,780,006 | | | JPMC | | | 3/21/2018 | | | | $ (26,900 | ) |
| GBP | | | 6,621,653 | | | USD | | | 8,971,161 | | | CITI | | | 3/21/2018 | | | | (7,951 | ) |
| GBP | | | 9,932,480 | | | USD | | | 13,456,759 | | | JPMC | | | 3/21/2018 | | | | (11,943 | ) |
| HKD | | | 1,273,200 | | | USD | | | 163,355 | | | CITI | | | 3/21/2018 | | | | (143 | ) |
| HKD | | | 1,909,800 | | | USD | | | 245,032 | | | JPMC | | | 3/21/2018 | | | | (214 | ) |
| HUF | | | 71,317,600 | | | USD | | | 276,864 | | | CITI | | | 3/21/2018 | | | | (419 | ) |
| HUF | | | 106,976,400 | | | USD | | | 415,297 | | | JPMC | | | 3/21/2018 | | | | (629 | ) |
| MXN | | | 1,852,285,194 | | | USD | | | 97,327,393 | | | CITI | | | 3/21/2018 | | | | (4,422,293 | ) |
| MXN | | | 2,778,427,806 | | | USD | | | 145,991,273 | | | JPMC | | | 3/21/2018 | | | | (6,633,622 | ) |
| PHP | | | 11,430,000 | | | USD | | | 228,761 | | | CITI** | | | 3/21/2018 | | | | (414 | ) |
| PHP | | | 17,145,000 | | | USD | | | 343,142 | | | JPMC** | | | 3/21/2018 | | | | (621 | ) |
| USD | | | 65,989,547 | | | AUD | | | 87,021,600 | | | CITI | | | 3/21/2018 | | | | (1,898,886 | ) |
| USD | | | 98,984,197 | | | AUD | | | 130,532,400 | | | JPMC | | | 3/21/2018 | | | | (2,848,453 | ) |
| USD | | | 70,194,776 | | | CAD | | | 89,884,400 | | | CITI | | | 3/21/2018 | | | | (1,384,912 | ) |
| USD | | | 105,292,032 | | | CAD | | | 134,826,600 | | | JPMC | | | 3/21/2018 | | | | (2,077,500 | ) |
| USD | | | 193,943,515 | | | CHF | | | 189,855,600 | | | CITI | | | 3/21/2018 | | | | (1,981,761 | ) |
| USD | | | 290,914,909 | | | CHF | | | 284,783,400 | | | JPMC | | | 3/21/2018 | | | | (2,973,006 | ) |
| USD | | | 19,055,677 | | | CLP | | | 12,309,812,800 | | | CITI** | | | 3/21/2018 | | | | (936,395 | ) |
| USD | | | 28,583,480 | | | CLP | | | 18,464,719,200 | | | JPMC** | | | 3/21/2018 | | | | (1,404,627 | ) |
| USD | | | 2,235,075 | | | CNY | | | 14,846,800 | | | CITI** | | | 3/21/2018 | | | | (34,528 | ) |
| USD | | | 3,352,609 | | | CNY | | | 22,270,200 | | | JPMC** | | | 3/21/2018 | | | | (51,795 | ) |
| USD | | | 4,652,501 | | | CZK | | | 100,000,000 | | | CITI | | | 3/21/2018 | | | | (61,709 | ) |
| USD | | | 6,978,742 | | | CZK | | | 150,000,000 | | | JPMC | | | 3/21/2018 | | | | (92,572 | ) |
| USD | | | 31,693,518 | | | EUR | | | 26,630,400 | | | CITI | | | 3/21/2018 | | | | (408,111 | ) |
| USD | | | 47,540,217 | | | EUR | | | 39,945,600 | | | JPMC | | | 3/21/2018 | | | | (612,225 | ) |
| USD | | | 31,967,467 | | | GBP | | | 23,803,600 | | | CITI | | | 3/21/2018 | | | | (253,592 | ) |
| USD | | | 47,951,140 | | | GBP | | | 35,705,400 | | | JPMC | | | 3/21/2018 | | | | (380,449 | ) |
| USD | | | 4,202,669 | | | HKD | | | 32,799,950 | | | CITI | | | 3/21/2018 | | | | (1,969 | ) |
| USD | | | 6,303,996 | | | HKD | | | 49,199,925 | | | JPMC | | | 3/21/2018 | | | | (2,963 | ) |
| USD | | | 11,651,514 | | | HUF | | | 3,059,693,200 | | | CITI | | | 3/21/2018 | | | | (208,656 | ) |
| USD | | | 17,477,249 | | | HUF | | | 4,589,539,800 | | | JPMC | | | 3/21/2018 | | | | (313,005 | ) |
| USD | | | 190,184 | | | IDR | | | 2,598,667,600 | | | CITI** | | | 3/21/2018 | | | | (888 | ) |
| USD | | | 285,275 | | | IDR | | | 3,898,001,400 | | | JPMC** | | | 3/21/2018 | | | | (1,333 | ) |
| USD | | | 20,788,786 | | | ILS | | | 72,616,000 | | | CITI | | | 3/21/2018 | | | | (146,331 | ) |
| USD | | | 31,183,180 | | | ILS | | | 108,924,001 | | | JPMC | | | 3/21/2018 | | | | (219,496 | ) |
| USD | | | 3,623,788 | | | INR | | | 238,694,400 | | | CITI** | | | 3/21/2018 | | | | (88,516 | ) |
| USD | | | 5,435,676 | | | INR | | | 358,041,600 | | | JPMC** | | | 3/21/2018 | | | | (132,780 | ) |
| USD | | | 40,893,055 | | | KRW | | | 44,478,562,000 | | | CITI** | | | 3/21/2018 | | | | (819,608 | ) |
| USD | | | 61,339,493 | | | KRW | | | 66,717,843,001 | | | JPMC** | | | 3/21/2018 | | | | (1,229,501 | ) |
| USD | | | 53,312,277 | | | NOK | | | 442,601,100 | | | CITI | | | 3/21/2018 | | | | (710,174 | ) |
| USD | | | 79,968,713 | | | NOK | | | 663,901,651 | | | JPMC | | | 3/21/2018 | | | | (1,064,963 | ) |
| USD | | | 48,363,506 | | | NZD | | | 70,622,785 | | | CITI | | | 3/21/2018 | | | | (1,638,409 | ) |
| USD | | | 72,545,195 | | | NZD | | | 105,934,217 | | | JPMC | | | 3/21/2018 | | | | (2,457,705 | ) |
| USD | | | 294,059 | | | PHP | | | 15,008,800 | | | CITI** | | | 3/21/2018 | | | | (5,786 | ) |
| USD | | | 441,087 | | | PHP | | | 22,513,200 | | | JPMC** | | | 3/21/2018 | | | | (8,679 | ) |
| USD | | | 97,201,520 | | | SEK | | | 809,504,000 | | | CITI | | | 3/21/2018 | | | | (1,947,507 | ) |
| USD | | | 145,802,097 | | | SEK | | | 1,214,255,998 | | | JPMC | | | 3/21/2018 | | | | (2,921,442 | ) |
| USD | | | 20,332,469 | | | SGD | | | 27,420,800 | | | CITI | | | 3/21/2018 | | | | (194,270 | ) |
| USD | | | 30,498,666 | | | SGD | | | 41,131,200 | | | JPMC | | | 3/21/2018 | | | | (291,443 | ) |
| USD | | | 19,644,475 | | | TRY | | | 78,804,000 | | | CITI | | | 3/21/2018 | | | | (677,934 | ) |
| USD | | | 29,466,675 | | | TRY | | | 118,206,000 | | | JPMC | | | 3/21/2018 | | | | (1,016,939 | ) |
| USD | | | 389,665 | | | TWD | | | 11,614,000 | | | CITI** | | | 3/21/2018 | | | | (5,288 | ) |
| USD | | | 584,496 | | | TWD | | | 17,421,000 | | | JPMC** | | | 3/21/2018 | | | | (7,932 | ) |
| JPY | | | 7,874,035,600 | | | USD | | | 70,896,527 | | | CITI | | | 3/22/2018 | | | | (732,563 | ) |
| JPY | | | 11,811,053,400 | | | USD | | | 106,344,924 | | | JPMC | | | 3/22/2018 | | | | (1,098,977 | ) |
| USD | | | 2,114,725 | | | JPY | | | 238,356,400 | | | CITI | | | 3/22/2018 | | | | (9,221 | ) |
| USD | | | 3,172,084 | | | JPY | | | 357,534,600 | | | JPMC | | | 3/22/2018 | | | | (13,836 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
135
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| USD | | | 4,325,114 | | | ZAR | | | 57,441,601 | | | CITI | | | 3/22/2018 | | | | $ (263,938 | ) |
| USD | | | 6,487,662 | | | ZAR | | | 86,162,401 | | | JPMC | | | 3/22/2018 | | | | (395,915 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized depreciation | | | | | | | | | | (47,176,096 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Net unrealized depreciation | | | | | | | | | $ | (4,359,468 | ) |
| | | | | | | | | | | | | | | | | | | | |
| ** | Non-deliverable forward. |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
CNY - Chinese Renminbi
COP - Colombian Peso
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Poland Zloty
SEK - Swedish Krona
SGD - Singapore Dollar
THB - Thai Baht
TRY - Turkish Lira
TWD - New Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
Total Return Basket Swaps Outstanding at December 31, 2017
Over the Counter
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| DTBK | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR plus or minus a specified spread (0.03%), which is denominated in AUD based on the local currencies of the positions within the swap. | | 61 months maturity 05/23/2022 | | $25,408,053 | | | $201,381 | | | | $(17,525 | ) | | | $183,856 | |
| | | | | | | | | | | | | | | | | | |
| DTBK | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the SIBOR plus or minus a specified spread (0.04%), which is denominated in SGD based on the local currencies of the positions within the swap. | | 61 months maturity 07/20/2022 | | $3,100,261 | | | $51,445 | | | | $(1,277 | ) | | | $50,168 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
136
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| DTBK | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the OBFR plus or minus a specified spread (0.03%), which is denominated in USD based on the local currencies of the positions within the swap. | | 85 months maturity 11/22/2021 | | $1,212,052 | | | $140,062 | | | | $4,291 | | | | $144,353 | |
| | | | | | | | | | | | | | | | | | |
| DTBK | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HKD/USD 1 Month Forward FX Swap Rate plus or minus a specified spread (0.04%), which is denominated in HKD based on the local currencies of the positions within the swap. | | 61 months maturity 07/13/2022 | | $5,235,584 | | | $238,991 | | | | $(2,705 | ) | | | $236,286 | |
| | | | | | | | | | | | | | | | | | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Warsaw Interbank Offered Rate plus or minus a specified spread, (-0.35% to 0.07%), which is denominated in PLN based on the local currencies of the positions within the swap | | 52-57 months maturity 11/19/2021 | | $23,099,055 | | | $(364,553 | ) | | | $17,866 | | | | $(346,687 | ) |
| | | | | | | | | | | | | | | | | | |
| GSIN | | 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 (-0.05% to 0.05%), which is denominated in MXN based on the local currencies of the positions within the swap. | | 48-57 months Maturity ranging from 11/19/2021 -11/22/2021 | | $19,839,202 | | | $359,704 | | | | $(21,715 | ) | | | $337,989 | |
| | | | | | | | | | | | | | | | | | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Federal Funds Floating Rate plus or minus a specified spread (-0.05%), which is denominated in USD based on the local currencies of the positions within the swap. | | 53 months maturity 11/22/2021 | | $6,167,609 | | | $(618,557 | ) | | | $5,292 | | | | $(613,265 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
137
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA plus or minus a specified spread (-0.04%), which is denominated in EUR based on the local currencies of the positions within the swap. | | 48 months maturity 11/19/2021 | | $12,506,098 | | | $262,769 | | | | $(1,865 | ) | | | $260,904 | |
| | | | | | | | | | | | | | | | | | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR or AOISR plus or minus a specified spread (-0.04% to 0.04%), which is denominated in AUD based on the local currencies of the positions within the swap. | | 48-57 months maturity 11/19/2021 | | $3,041,026 | | | $(399,500 | ) | | | $(42,369 | ) | | | $(441,869 | ) |
| | | | | | | | | | | | | | | | | | |
| JPMC | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Norway Interbank Offered Rate plus or minus a specified spread (-0.35% to 0.35%), which is denominated in NOK based on the local currencies of the positions within the swap. | | 38-46 months maturity 01/14/2021 | | $21,766,590 | | | $(1,245,176 | ) | | | $4,268 | | | | $(1,240,908 | ) |
| | | | | | | | | | | | | | | | | | |
| JPMC | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Copenhagen Interbank Offered Rate plus or minus a specified spread (0.35%), which is denominated in DKK based on the local currencies of the positions within the swap. | | 39-40 months maturity 01/14/2021 | | $20,559,229 | | | $2,742 | | | | $1,357 | | | | $4,099 | |
| | | | | | | | | | | | | | | | | | |
| JPMC | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the CDOR plus or minus a specified spread (-0.30% to 0.30%), which is denominated in CAD based on the local currencies of the positions within the swap. | | 37-40 months maturity 1/14/2021 | | $10,636,321 | | | $69,012 | | | | $15,134 | | | | $84,146 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
138
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE 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 equity positions and pays or receives the LIBOR plus or minus a specified spread (-0.25% to 0.25%), which is denominated in GBP based on the local currencies of the positions within the swap. | | 37-40 months maturity 1/14/2021 | | $4,495,757 | | | $57,503 | | | | $8,328 | | | | $65,831 | |
| | | | | | | | | | | | | | | | | | |
| MSIP | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread (-0.25% to 0.00%), which is denominated in USD based on the local currencies of the positions within the swap. | | 24 months maturity 10/2/2019 | | $11,520 | | | $(3,841 | ) | | | $15 | | | | $(3,826 | ) |
| | | | | | | | | | | | | | | | | | |
| MSIP | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the RBACR plus or minus a specified spread (0.45%), which is denominated in AUD based on the local currencies of the positions within the swap. | | 24 months maturity 12/24/2019 | | $4,285,297 | | | $46,357 | | | | $(1,583 | ) | | | $44,774 | |
| | | | | | | | | | | | | | | | | | |
| MSIP | | The Fund receives the total return on a portfolio of long and short positions and pays or receives the CAD/USD Overnight Forward FX Swap Rate plus or minus a specified spread (0.33%), which is denominated in CAD based on the local currencies of the positions within the swap | | 24-25 months maturity 11/13/2019 | | $530,543 | | | $6,256 | | | | $2,914 | | | | $9,170 | |
| | | | | | | | | | | | | | | | | | |
| BANA | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR plus or minus a specified spread (-0.35% to 0.50%), which is denominated in EUR based on the local currencies of the positions within the swap. | | 25 months maturity ranging from 11/26/2018 - 07/25/2019 | | $83,073,364 | | | $1,118,104 | | | | $(23,337 | ) | | | $1,094,767 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
139
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
The following table represents required component disclosures associated with the total return basket swap as of period end.
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | PRINCIPAL | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Long Positions | | | | | | | | | | | | |
| Convertible Bond | | | | | | | | | | | | |
| Germany | | | | | | | | | | | | |
Bayer Capital Corp. BV 5.63%, 11/22/2019 | | $ | 34,000,000 | | | $ | 46,989,929 | | | $ | 428,263 | | | | 0.0 | % |
| | | | |
| | | SHARES | | | | | | | | | | |
| Short Positions | | | | | | | | | | | | |
| Common Stock | | | | | | | | | | | | |
| Germany | | | | | | | | | | | | |
| Bayer AG (Registered) | | | (290,379 | ) | | | (36,083,435 | ) | | | 689,841 | | | | 0.0 | |
| | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| DTBK | | The Fund receives the total return on a portfolio of long and short positions and pays or receives the EUR/USD 1 Week Forward FX Swap Rate plus or minus a specified spread (-0.13% to 0.04%), which is denominated in EUR based on the local currencies of the positions within the swaps. | | 49-73 months maturity ranging from 12/19/2018 – 12/20/2018 | | | $177,560,279 | | | | $5,247,999 | | | | $2,632,556 | | | | $7,880,555 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| France | | | | | | | | | | | | |
| Air France-KLM | | | 506,241 | | | $ | 8,223,405 | | | $ | 1,249,287 | | | | 0.0 | % |
| Amundi SA | | | 11,022 | | | | 933,507 | | | | 13,945 | | | | 0.0 | |
| Atos SE | | | 114,507 | | | | 16,648,203 | | | | 3,888,431 | | | | 0.1 | |
| BioMerieux | | | 2,810 | | | | 251,591 | | | | 31,705 | | | | 0.0 | |
| Capgemini SE | | | 4,073 | | | | 482,414 | | | | 1,417 | | | | 0.0 | |
| Casino Guichard Perrachon SA | | | 15,563 | | | | 943,606 | | | | (26,431 | ) | | | (0.0 | ) |
| Cie Generale des Etablissements Michelin | | | 11,136 | | | | 1,593,064 | | | | 103,535 | | | | 0.0 | |
| CNP Assurances | | | 196,043 | | | | 4,522,195 | | | | 789,568 | | | | 0.0 | |
| Eiffage SA | | | 8,866 | | | | 970,309 | | | | 232,561 | | | | 0.0 | |
| Elior Group SA | | | 11,922 | | | | 245,871 | | | | 14,797 | | | | 0.0 | |
| Engie SA | | | 273,302 | | | | 4,698,476 | | | | (57,346 | ) | | | (0.0 | ) |
| Eutelsat Communications SA | | | 40,790 | | | | 944,393 | | | | 16,715 | | | | 0.0 | |
| Faurecia | | | 124,719 | | | | 9,719,991 | | | | 3,582,007 | | | | 0.1 | |
| Ipsen SA | | | 21,333 | | | | 2,539,083 | | | | 534,257 | | | | 0.0 | |
| Kering | | | 13,483 | | | | 6,346,815 | | | | 839,314 | | | | 0.0 | |
| Lagardere SCA | | | 258,978 | | | | 8,293,554 | | | | 1,034,026 | | | | 0.0 | |
| Orange SA | | | 23,573 | | | | 408,540 | | | | (3,859 | ) | | | (0.0 | ) |
| Peugeot SA | | | 245,750 | | | | 4,991,489 | | | | 269,010 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
140
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| France (continued) | | | | | | | | | | | | |
| Renault SA | | | 45,073 | | | $ | 4,524,341 | | | $ | 239,204 | | | | 0.0 | % |
| Rexel SA | | | 36,822 | | | | 666,735 | | | | (22,025 | ) | | | (0.0 | ) |
| SCOR SE | | | 28,161 | | | | 1,131,890 | | | | 177,474 | | | | 0.0 | |
| SPIE SA | | | 19,830 | | | | 515,562 | | | | (30,089 | ) | | | (0.0 | ) |
| Teleperformance | | | 29,586 | | | | 4,235,234 | | | | 873,639 | | | | 0.0 | |
| Thales SA | | | 14,155 | | | | 1,523,359 | | | | 93,815 | | | | 0.0 | |
| Ubisoft Entertainment SA | | | 41,389 | | | | 3,179,989 | | | | 1,092,304 | | | | 0.0 | |
| | | | |
| Portugal | | | | | | | | | | | | |
| EDP - Energias de Portugal SA | | | 441,833 | | | | 1,528,370 | | | | (63,590 | ) | | | (0.0 | ) |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| France | | | | | | | | | | | | |
| Accor SA | | | (136,787 | ) | | | (7,041,792 | ) | | | (1,201,784 | ) | | | (0.0 | ) |
| Aeroports de Paris | | | (9,373 | ) | | | (1,782,266 | ) | | | (566,542 | ) | | | (0.0 | ) |
| Air Liquide SA | | | (12,896 | ) | | | (1,621,212 | ) | | | (308,733 | ) | | | (0.0 | ) |
| Airbus SE | | | (61,231 | ) | | | (6,085,557 | ) | | | (43,547 | ) | | | (0.0 | ) |
| Bollore SA | | | (676,421 | ) | | | (3,669,437 | ) | | | (1,007,611 | ) | | | (0.0 | ) |
| Bureau Veritas SA | | | (105,110 | ) | | | (2,870,841 | ) | | | (443,969 | ) | | | (0.0 | ) |
| Carrefour SA | | | (156,673 | ) | | | (3,377,937 | ) | | | (114,375 | ) | | | (0.0 | ) |
| Edenred | | | (233,486 | ) | | | (6,759,392 | ) | | | (1,004,808 | ) | | | (0.0 | ) |
| Electricite de France SA | | | (400,501 | ) | | | (5,002,870 | ) | | | (891,947 | ) | | | (0.0 | ) |
| Essilor International Cie Generale d’Optique SA | | | (3,995 | ) | | | (550,278 | ) | | | (32,116 | ) | | | (0.0 | ) |
| Getlink SE | | | (619,220 | ) | | | (7,964,196 | ) | | | (1,110,912 | ) | | | (0.0 | ) |
| Iliad SA | | | (18,987 | ) | | | (4,549,597 | ) | | | 296,394 | | | | 0.0 | |
| Ingenico Group SA | | | (73,920 | ) | | | (7,891,374 | ) | | | (596,544 | ) | | | (0.0 | ) |
| JCDecaux SA | | | (130,864 | ) | | | (5,263,348 | ) | | | (610,418 | ) | | | (0.0 | ) |
| L’Oreal SA | | | (9,022 | ) | | | (1,999,103 | ) | | | (49,779 | ) | | | (0.0 | ) |
| Pernod Ricard SA | | | (5,543 | ) | | | (876,653 | ) | | | (65,641 | ) | | | (0.0 | ) |
| Remy Cointreau SA | | | (51,476 | ) | | | (7,132,266 | ) | | | (2,310,679 | ) | | | (0.1 | ) |
| Safran SA | | | (6,065 | ) | | | (625,578 | ) | | | 13,644 | | | | 0.0 | |
| Societe BIC SA | | | (2,218 | ) | | | (243,749 | ) | | | 2,844 | | | | 0.0 | |
| Vivendi SA | | | (151,047 | ) | | | (4,054,031 | ) | | | (440,357 | ) | | | (0.0 | ) |
| Zodiac Aerospace | | | (99,488 | ) | | | (2,973,736 | ) | | | (584,424 | ) | | | (0.0 | ) |
| Luxembourg | | | | | | | | | | | | |
| Eurofins Scientific SE | | | (1,595 | ) | | | (969,464 | ) | | | (132,714 | ) | | | (0.0 | ) |
| SES SA | | | (203,745 | ) | | | (3,176,711 | ) | | | 1,620,592 | | | | 0.1 | |
| | | | |
| Portugal | | | | | | | | | | | | |
| Banco Comercial Portugues SA | | | (1,533,285 | ) | | | (499,075 | ) | | | (29,797 | ) | | | (0.0 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
141
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| DTBK | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the GBP/USD 1 Week Forward FX Swap Rate plus or minus a specified spread (-0.48% to 0.04%), which is denominated in GBP based on the local currencies of the positions within the swap. | | 73 months maturity 12/19/2018 | | | $425,078,367 | | | | $3,629,420 | | | | $2,070,522 | | | | $5,699,942 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Australia | | | | | | | | | | | | |
| BHP Billiton plc | | | 399,423 | | | $ | 8,076,471 | | | $ | 654,940 | | | | 0.0 | % |
| | | | |
| Netherlands | | | | | | | | | | | | |
| Royal Dutch Shell plc | | | 230,267 | | | | 7,687,048 | | | | 643,748 | | | | 0.0 | |
| | | | |
| South Africa | | | | | | | | | | | | |
| Investec plc | | | 730,679 | | | | 5,261,071 | | | | 338,725 | | | | 0.0 | |
| | | | |
| United Kingdom | | | | | | | | | | | | |
| AstraZeneca plc | | | 111,392 | | | | 7,686,672 | | | | 155,424 | | | | 0.0 | |
| BAE Systems plc | | | 605,065 | | | | 4,674,930 | | | | (176,158 | ) | | | (0.0 | ) |
| Barclays plc | | | 1,850,769 | | | | 5,066,241 | | | | 224,599 | | | | 0.0 | |
| BP plc | | | 1,483,405 | | | | 10,406,510 | | | | 801,036 | | | | 0.0 | |
| British American Tobacco plc | | | 57,126 | | | | 3,861,648 | | | | 66,282 | | | | 0.0 | |
| BT Group plc | | | 2,144,244 | | | | 7,859,264 | | | | (608,959 | ) | | | (0.0 | ) |
| Close Brothers Group plc | | | 209,863 | | | | 4,100,321 | | | | 268,929 | | | | 0.0 | |
| DCC plc | | | 53,980 | | | | 5,432,393 | | | | 511,406 | | | | 0.0 | |
| G4S plc | | | 1,035,957 | | | | 3,728,500 | | | | (209,869 | ) | | | (0.0 | ) |
| GlaxoSmithKline plc | | | 667,693 | | | | 11,824,303 | | | | (1,725,729 | ) | | | (0.1 | ) |
| Imperial Brands plc | | | 210,345 | | | | 8,972,189 | | | | (906,185 | ) | | | (0.0 | ) |
| Inchcape plc | | | 467,670 | | | | 4,926,646 | | | | 598,683 | | | | 0.0 | |
| Indivior plc | | | 672,161 | | | | 3,691,192 | | | | 674,017 | | | | 0.0 | |
| Intermediate Capital Group plc | | | 517,358 | | | | 7,988,453 | | | | 3,426,593 | | | | 0.1 | |
| National Grid plc | | | 761,631 | | | | 8,978,503 | | | | (1,329,399 | ) | | | (0.0 | ) |
| Old Mutual plc | | | 1,618,471 | | | | 5,055,144 | | | | 586,985 | | | | 0.0 | |
| Persimmon plc | | | 102,990 | | | | 3,804,893 | | | | 1,199,292 | | | | 0.0 | |
| Reckitt Benckiser Group plc | | | 44,361 | | | | 4,138,592 | | | | (210,767 | ) | | | (0.0 | ) |
| Rio Tinto plc | | | 103,600 | | | | 5,434,607 | | | | 391,648 | | | | 0.0 | |
| Smith & Nephew plc | | | 537,840 | | | | 9,306,307 | | | | (394,508 | ) | | | (0.0 | ) |
| Taylor Wimpey plc | | | 1,347,297 | | | | 3,748,462 | | | | 709,155 | | | | 0.0 | |
| Vodafone Group plc | | | 1,849,256 | | | | 5,845,490 | | | | 404,131 | | | | 0.0 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Jordan | | | | | | | | | | | | |
| Hikma Pharmaceuticals plc | | | (344,127 | ) | | | (5,257,481 | ) | | | 2,467,864 | | | | 0.1 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
142
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF NET ASSETS | |
| | | | |
| South Africa | | | | | | | | | | | | |
| Mediclinic International plc | | | (434,832 | ) | | $ | (3,805,501 | ) | | $ | 525,014 | | | | 0.0 | % |
| | | | |
| United Kingdom | | | | | | | | | | | | |
| Admiral Group plc | | | (298,535 | ) | | | (8,052,176 | ) | | | 612,530 | | | | 0.0 | |
| Aggreko plc | | | (783,751 | ) | | | (8,434,136 | ) | | | 2,171,463 | | | | 0.1 | |
| Berkeley Group Holdings plc | | | (66,471 | ) | | | (3,759,988 | ) | | | (393,179 | ) | | | (0.0 | ) |
| BTG plc | | | (404,787 | ) | | | (4,161,314 | ) | | | (538,984 | ) | | | (0.0 | ) |
| Capita plc | | | (875,294 | ) | | | (4,729,310 | ) | | | 1,642,306 | | | | 0.1 | |
| Cobham plc | | | (2,818,495 | ) | | | (4,795,573 | ) | | | 442,886 | | | | 0.0 | |
| easyJet plc | | | (515,417 | ) | | | (10,162,995 | ) | | | (1,779,141 | ) | | | (0.1 | ) |
| Essentra plc | | | (543,373 | ) | | | (3,884,901 | ) | | | (226,938 | ) | | | (0.0 | ) |
| Experian plc | | | (182,868 | ) | | | (4,030,903 | ) | | | (264,160 | ) | | | (0.0 | ) |
| Greene King plc | | | (599,446 | ) | | | (4,479,262 | ) | | | 724,643 | | | | 0.0 | |
| Hargreaves Lansdown plc | | | (672,625 | ) | | | (16,335,226 | ) | | | (4,531,053 | ) | | | (0.1 | ) |
| Inmarsat plc | | | (849,431 | ) | | | (5,618,818 | ) | | | 2,395,432 | | | | 0.1 | |
| John Wood Group plc | | | (1,009,445 | ) | | | (8,832,267 | ) | | | 415,110 | | | | 0.0 | |
| Just Eat plc | | | (1,122,404 | ) | | | (11,805,703 | ) | | | (2,810,440 | ) | | | (0.1 | ) |
| Pearson plc | | | (432,593 | ) | | | (4,285,267 | ) | | | (110,498 | ) | | | (0.0 | ) |
| Provident Financial plc | | | (297,478 | ) | | | (3,598,554 | ) | | | 3,107,813 | | | | 0.1 | |
| Rightmove plc | | | (65,670 | ) | | | (3,985,229 | ) | | | (333,985 | ) | | | (0.0 | ) |
| Rotork plc | | | (1,037,834 | ) | | | (3,725,575 | ) | | | (609,797 | ) | | | (0.0 | ) |
| Royal Bank of Scotland Group plc | | | (1,773,221 | ) | | | (6,649,205 | ) | | | (1,564,331 | ) | | | (0.1 | ) |
| Schroders plc | | | (76,915 | ) | | | (3,640,868 | ) | | | (717,017 | ) | | | (0.0 | ) |
| Tesco plc | | | (3,371,676 | ) | | | (9,538,905 | ) | | | (1,075,860 | ) | | | (0.0 | ) |
| Travis Perkins plc | | | (202,045 | ) | | | (4,271,889 | ) | | | (199,913 | ) | | | (0.0 | ) |
| Weir Group plc (The) | | | (171,074 | ) | | | (4,893,872 | ) | | | (536,655 | ) | | | (0.0 | ) |
| | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the Rand Overnight Deposit Rate plus or minus a specified spread (-0.88% to 0.06%), which is denominated in ZAR based on the local currencies of the positions within the swap. | | 49-57 months maturity 11/22/2021 | | | $34,826,754 | | | | $(15,795 | ) | | | $283,122 | | | | $267,327 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| South Africa | | | | | | | | | | | | |
| Anglo American Platinum Ltd. | | | 35,731 | | | $ | 1,021,957 | | | $ | (10,884 | ) | | | (0.0 | )% |
| Brait SE | | | 21,781 | | | | 73,355 | | | | (57,482 | ) | | | (0.0 | ) |
| Exxaro Resources Ltd. | | | 508,798 | | | | 6,671,400 | | | | 1,253,794 | | | | 0.0 | |
| Foschini Group Ltd. (The) | | | 61,138 | | | | 972,098 | | | | 297,311 | | | | 0.0 | |
| Mondi Ltd. | | | 112,359 | | | | 2,894,893 | | | | 82,157 | | | | 0.0 | |
| RMB Holdings Ltd. | | | 308,395 | | | | 1,968,391 | | | | 320,691 | | | | 0.0 | |
| Sappi Ltd. | | | 70,411 | | | | 508,984 | | | | 31,574 | | | | 0.0 | |
| Tiger Brands Ltd. | | | 36,509 | | | | 1,355,450 | | | | 152,195 | | | | 0.0 | |
| Vodacom Group Ltd. | | | 3,507 | | | | 41,128 | | | | (3,907 | ) | | | (0.0 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
143
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| South Africa | | | | | | | | | | | | |
| Aspen Pharmacare Holdings Ltd. | | | (3,597 | ) | | $ | (80,627 | ) | | $ | (510 | ) | | | (0.0 | ) % |
| Bid Corp. Ltd. | | | (35,717 | ) | | | (868,101 | ) | | | (15,999 | ) | | | (0.0 | ) |
| Coronation Fund Managers Ltd. | | | (362,530 | ) | | | (2,158,336 | ) | | | (177,720 | ) | | | (0.0 | ) |
| Discovery Ltd. | | | (533,761 | ) | | | (8,025,827 | ) | | | (2,015,241 | ) | | | (0.1 | ) |
| Impala Platinum Holdings Ltd. | | | (867,353 | ) | | | (2,274,696 | ) | | | 386,017 | | | | 0.0 | |
| Life Healthcare Group Holdings Ltd. | | | (686,921 | ) | | | (1,542,808 | ) | | | (8,796 | ) | | | (0.0 | ) |
| Nedbank Group Ltd. | | | (44,245 | ) | | | (912,665 | ) | | | (86,042 | ) | | | (0.0 | ) |
| Pick n Pay Stores Ltd. | | | (78,821 | ) | | | (442,107 | ) | | | (52,913 | ) | | | (0.0 | ) |
| Pioneer Foods Group Ltd. | | | (93,638 | ) | | | (1,030,886 | ) | | | (84,627 | ) | | | (0.0 | ) |
| PSG Group Ltd. | | | (9,975 | ) | | | (217,634 | ) | | | (7,006 | ) | | | (0.0 | ) |
| Sanlam Ltd. | | | (27,570 | ) | | | (193,224 | ) | | | (4,451 | ) | | | (0.0 | ) |
| Sasol Ltd. | | | (4,959 | ) | | | (171,423 | ) | | | (19,557 | ) | | | (0.0 | ) |
| Telkom SA SOC Ltd. | | | (359,371 | ) | | | (1,400,764 | ) | | | 5,601 | | | | 0.0 | |
| | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HIBOR or HONIX plus or minus a specified spread (-1.08% to 0.04%), which is denominated in HKD based on the local currencies of the positions within the swap. | | 47-57 months maturity 11/19/2021 | | | $164,639,090 | | | | $5,307,698 | | | | $(1,109,443 | ) | | | $4,198,255 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| AAC Technologies Holdings, Inc. | | | 118,500 | | | $ | 2,097,268 | | | $ | (245,603 | ) | | | (0.0 | )% |
| Agricultural Bank of China Ltd. | | | 3,531,000 | | | | 1,640,996 | | | | 4,874 | | | | 0.0 | |
| Beijing Capital International Airport Co. Ltd. | | | 2,476,000 | | | | 3,726,805 | | | | 602,000 | | | | 0.0 | |
| Beijing Enterprises Holdings Ltd. | | | 209,000 | | | | 1,237,084 | | | | 87,282 | | | | 0.0 | |
| China Cinda Asset Management Co. Ltd. | | | 10,141,000 | | | | 3,702,835 | | | | (359,530 | ) | | | (0.0 | ) |
| China Construction Bank Corp. | | | 3,560,000 | | | | 3,277,168 | | | | 342,032 | | | | 0.0 | |
| China Huarong Asset Management Co. Ltd. | | | 4,643,000 | | | | 2,188,463 | | | | 132,649 | | | | 0.0 | |
| China Mengniu Dairy Co. Ltd. | | | 573,000 | | | | 1,702,118 | | | | 442,518 | | | | 0.0 | |
| China Resources Power Holdings Co. Ltd. | | | 2,252,000 | | | | 4,188,597 | | | | (10,799 | ) | | | (0.0 | ) |
| China Shenhua Energy Co. Ltd. | | | 508,000 | | | | 1,312,389 | | | | (5,134 | ) | | | (0.0 | ) |
| CSPC Pharmaceutical Group Ltd. | | | 3,384,000 | | | | 6,817,480 | | | | 1,952,234 | | | | 0.1 | |
| Geely Automobile Holdings Ltd. | | | 2,236,000 | | | | 7,701,682 | | | | 3,165,361 | | | | 0.1 | |
| Guangdong Investment Ltd. | | | 1,188,000 | | | | 1,588,360 | | | | (148,238 | ) | | | (0.0 | ) |
| Haitian International Holdings Ltd. | | | 768,000 | | | | 2,310,071 | | | | 185,528 | | | | 0.0 | |
| Industrial & Commercial Bank of China Ltd. | | | 1,742,000 | | | | 1,396,448 | | | | 245,878 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
144
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE
OF NET ASSETS | |
| China (continued) | | | | | | | | | | | | |
| People’s Insurance Co. Group of China Ltd. (The) | | | 8,004,000 | | | $ | 3,930,554 | | | $ | 508,918 | | | | 0.0 | % |
| PICC Property & Casualty Co. Ltd. | | | 1,590,000 | | | | 3,046,084 | | | | 423,809 | | | | 0.0 | |
| Sinopec Engineering Group Co. Ltd. | | | 2,151,000 | | | | 2,037,882 | | | | (8,817 | ) | | | (0.0 | ) |
| Sinopec Shanghai Petrochemical Co. Ltd. | | | 7,367,000 | | | | 4,187,974 | | | | 66,398 | | | | 0.0 | |
| Weichai Power Co. Ltd. | | | 4,014,000 | | | | 4,385,142 | | | | 781,083 | | | | 0.0 | |
| Zhuzhou CRRC Times Electric Co. Ltd. | | | 337,500 | | | | 2,190,398 | | | | 355,282 | | | | 0.0 | |
| | | | |
| Hong Kong | | | | | | | | | | | | |
| Haier Electronics Group Co. Ltd. | | | 667,000 | | | | 1,818,094 | | | | 32,415 | | | | 0.0 | |
| Nine Dragons Paper Holdings Ltd. | | | 688,000 | | | | 1,099,329 | | | | 365,974 | | | | 0.0 | |
| Sino Biopharmaceutical Ltd. | | | 2,837,999 | | | | 5,017,327 | | | | 2,610,174 | | | | 0.1 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| China | | | | | | | | | | | | |
| Alibaba Health Information Technology Ltd. | | | (5,206,000 | ) | | | (2,629,407 | ) | | | (118,583 | ) | | | (0.0 | ) |
| Beijing Enterprises Water Group Ltd. | | | (2,380,000 | ) | | | (1,838,673 | ) | | | (5,409 | ) | | | (0.0 | ) |
| Brilliance China Automotive Holdings Ltd. | | | (560,000 | ) | | | (1,488,146 | ) | | | (533,873 | ) | | | (0.0 | ) |
| BYD Co. Ltd. | | | (703,000 | ) | | | (6,107,314 | ) | | | (44,207 | ) | | | (0.0 | ) |
| CGN Power Co. Ltd. | | | (18,473,000 | ) | | | (5,001,359 | ) | | | 633,048 | | | | 0.0 | |
| China Life Insurance Co. Ltd. | | | (708,000 | ) | | | (2,207,907 | ) | | | 62,434 | | | | 0.0 | |
| China Minsheng Banking Corp. Ltd. | | | (2,247,000 | ) | | | (2,245,601 | ) | | | 284,037 | | | | 0.0 | |
| China Pacific Insurance Group Co. Ltd. | | | (398,400 | ) | | | (1,906,575 | ) | | | (9,820 | ) | | | (0.0 | ) |
| China Railway Construction Corp. Ltd. | | | (1,128,500 | ) | | | (1,306,552 | ) | | | 106,878 | | | | 0.0 | |
| China Southern Airlines Co. Ltd. | | | (1,376,000 | ) | | | (1,418,344 | ) | | | (458,229 | ) | | | (0.0 | ) |
| China State Construction International Holdings Ltd. | | | (1,388,000 | ) | | | (1,938,873 | ) | | | 31,504 | | | | 0.0 | |
| China Taiping Insurance Holdings Co. Ltd. | | | (709,400 | ) | | | (2,647,735 | ) | | | (832,431 | ) | | | (0.0 | ) |
| CITIC Securities Co. Ltd. | | | (828,500 | ) | | | (1,704,091 | ) | | | 44,080 | | | | 0.0 | |
| Fosun International Ltd. | | | (1,704,500 | ) | | | (3,766,891 | ) | | | (1,029,267 | ) | | | (0.0 | ) |
| GF Securities Co. Ltd. | | | (826,200 | ) | | | (1,658,054 | ) | | | 147,909 | | | | 0.0 | |
| Haitong Securities Co. Ltd. | | | (2,006,800 | ) | | | (2,904,972 | ) | | | 436,826 | | | | 0.0 | |
| Huatai Securities Co. Ltd. | | | (1,273,000 | ) | | | (2,528,426 | ) | | | 47,589 | | | | 0.0 | |
| Kingsoft Corp. Ltd. | | | (358,000 | ) | | | (1,186,110 | ) | | | (120,104 | ) | | | (0.0 | ) |
| Kunlun Energy Co. Ltd. | | | (1,796,000 | ) | | | (1,866,652 | ) | | | (53,491 | ) | | | (0.0 | ) |
| Lenovo Group Ltd. | | | (10,520,000 | ) | | | (5,923,945 | ) | | | 125,668 | | | | 0.0 | |
| New China Life Insurance Co. Ltd. | | | (304,900 | ) | | | (2,079,353 | ) | | | (545,622 | ) | | | (0.0 | ) |
| Semiconductor Manufacturing International Corp. | | | (933,500 | ) | | | (1,608,766 | ) | | | (662,061 | ) | | | (0.0 | ) |
| Shanghai Fosun Pharmaceutical Group Co. Ltd. | | | (372,500 | ) | | | (2,388,716 | ) | | | (976,645 | ) | | | (0.0 | ) |
| Yanzhou Coal Mining Co. Ltd. | | | (5,266,000 | ) | | | (6,141,144 | ) | | | (1,619,832 | ) | | | (0.1 | ) |
| Zijin Mining Group Co. Ltd. | | | (7,230,000 | ) | | | (2,729,374 | ) | | | (291,887 | ) | | | (0.0 | ) |
| | | | |
| Hong Kong | | | | | | | | | | | | |
| China Gas Holdings Ltd. | | | (1,258,200 | ) | | | (3,471,055 | ) | | | (1,442,582 | ) | | | (0.0 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
145
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Federal Funds Floating Rate plus or minus a specified spread (-0.75% to 0.08%), which is denominated in USD based on the local currencies of the positions within the swap. | | 47-57 months
maturity ranging
from 11/19/2021-11/22/2021 | | | $296,181,813 | | | | $10,643,937 | | | | $(4,487,703 | ) | | | $6,156,234 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Brazil | | | | | | | | | | | | |
| Cia de Saneamento Basico do Estado de Sao Paulo, ADR | | | 433,154 | | | $ | 4,526,459 | | | $ | 79,599 | | | | 0.0 | % |
| Equatorial Energia SA | | | 141,200 | | | | 2,794,543 | | | | 209,549 | | | | 0.0 | |
| Hypermarcas SA | | | 294,200 | | | | 3,192,909 | | | | 360,540 | | | | 0.0 | |
| Qualicorp SA | | | 403,700 | | | | 3,772,783 | | | | 1,332,373 | | | | 0.0 | |
| | | | |
| South Africa | | | | | | | | | | | | |
| AngloGold Ashanti Ltd., ADR | | | 231,226 | | | | 2,356,193 | | | | (9,361 | ) | | | (0.0 | ) |
| | | | |
| South Korea | | | | | | | | | | | | |
| BNK Financial Group, Inc. | | | 300,802 | | | | 2,643,704 | | | | (31,118 | ) | | | (0.0 | ) |
| Celltrion, Inc. | | | 10,724 | | | | 2,212,077 | | | | 570,587 | | | | 0.0 | |
| DB Insurance Co. Ltd. | | | 32,935 | | | | 2,189,087 | | | | 348,444 | | | | 0.0 | |
| Hana Financial Group, Inc. | | | 58,958 | | | | 2,740,453 | | | | 608,566 | | | | 0.0 | |
| Hanwha Chemical Corp. | | | 82,429 | | | | 2,431,784 | | | | 445,504 | | | | 0.0 | |
| Hanwha Corp. | | | 88,000 | | | | 3,402,914 | | | | 586,124 | | | | 0.0 | |
| Hanwha Life Insurance Co. Ltd. | | | 421,497 | | | | 2,716,828 | | | | 349,759 | | | | 0.0 | |
| Hyundai Development Co-Engineering & Construction | | | 59,830 | | | | 2,152,609 | | | | 26,513 | | | | 0.0 | |
| Hyundai Marine & Fire Insurance Co. Ltd. | | | 138,874 | | | | 6,090,663 | | | | 1,967,119 | | | | 0.1 | |
| Hyundai Mobis Co. Ltd. | | | 15,422 | | | | 3,789,387 | | | | 194,514 | | | | 0.0 | |
| Korea Zinc Co. Ltd. | | | 7,218 | | | | 3,320,696 | | | | 80,262 | | | | 0.0 | |
| LG Corp. | | | 84,679 | | | | 7,196,250 | | | | 1,667,698 | | | | 0.1 | |
| LG Electronics, Inc. | | | 79,540 | | | | 7,864,451 | | | | 1,972,560 | | | | 0.1 | |
| Lotte Chemical Corp. | | | 12,959 | | | | 4,449,745 | | | | 172,772 | | | | 0.0 | |
| POSCO | | | 7,696 | | | | 2,393,850 | | | | 379,068 | | | | 0.0 | |
| Samsung Electronics Co. Ltd. | | | 3,373 | | | | 8,013,949 | | | | 1,481,925 | | | | 0.0 | |
| SK Hynix, Inc. | | | 111,661 | | | | 7,930,872 | | | | 2,245,568 | | | | 0.1 | |
| SK Innovation Co. Ltd. | | | 34,184 | | | | 6,521,311 | | | | 1,529,663 | | | | 0.1 | |
| SK Telecom Co. Ltd. | | | 29,723 | | | | 7,410,507 | | | | 829,927 | | | | 0.0 | |
| | | | |
| Taiwan | | | | | | | | | | | | |
| Hon Hai Precision Industry Co. Ltd. | | | 1,019,700 | | | | 3,242,227 | | | | 193,617 | | | | 0.0 | |
| Uni-President Enterprises Corp. | | | 1,625,000 | | | | 3,598,779 | | | | 374,591 | | | | 0.0 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Brazil | | | | | | | | | | | | |
| BRF SA | | | (575,900 | ) | | | (6,354,328 | ) | | | 853,170 | | | | 0.0 | |
| Centrais Eletricas Brasileiras SA | | | (494,200 | ) | | | (2,881,381 | ) | | | 168,244 | | | | 0.0 | |
| Cia Siderurgica Nacional SA | | | (957,800 | ) | | | (2,419,693 | ) | | | 164,931 | | | | 0.0 | |
| Lojas Americanas SA (Preference) | | | (690,900 | ) | | | (3,551,248 | ) | | | (277,416 | ) | | | (0.0 | ) |
| Ultrapar Participacoes SA | | | (103,800 | ) | | | (2,346,929 | ) | | | (20,308 | ) | | | (0.0 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
146
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE
OF NET ASSETS | |
| | | | |
| Mexico | | | | | | | | | | | | |
| Grupo Televisa SAB, ADR | | | (243,858 | ) | | $ | (4,552,829 | ) | | $ | 1,168,004 | | | | 0.0 | % |
| | | | |
| South Korea | | | | | | | | | | | | |
| Amorepacific Corp. | | | (17,744 | ) | | | (5,043,602 | ) | | | (817,990 | ) | | | (0.0 | ) |
| CJ CheilJedang Corp. | | | (16,866 | ) | | | (5,767,067 | ) | | | (474,093 | ) | | | (0.0 | ) |
| CJ Corp. | | | (24,313 | ) | | | (4,116,445 | ) | | | (380,520 | ) | | | (0.0 | ) |
| CJ Logistics Corp. | | | (31,726 | ) | | | (4,148,665 | ) | | | 582,482 | | | | 0.0 | |
| Hanmi Pharm Co. Ltd. | | | (13,971 | ) | | | (7,606,229 | ) | | | (2,981,317 | ) | | | (0.1 | ) |
| Hanmi Science Co. Ltd. | | | (52,552 | ) | | | (5,440,230 | ) | | | (2,693,729 | ) | | | (0.1 | ) |
| Hanssem Co. Ltd. | | | (19,130 | ) | | | (3,212,711 | ) | | | 16,125 | | | | 0.0 | |
| Hanwha Techwin Co. Ltd. | | | (178,445 | ) | | | (5,924,042 | ) | | | 545,804 | | | | 0.0 | |
| Hyundai Wia Corp. | | | (38,113 | ) | | | (2,316,242 | ) | | | (53,746 | ) | | | (0.0 | ) |
| Korea Aerospace Industries Ltd. | | | (150,292 | ) | | | (6,660,413 | ) | | | 178,996 | | | | 0.0 | |
| Kumho Petrochemical Co. Ltd. | | | (85,184 | ) | | | (7,908,662 | ) | | | (2,232,050 | ) | | | (0.1 | ) |
| Mirae Asset Daewoo Co. Ltd. | | | (421,940 | ) | | | (3,610,394 | ) | | | 92,009 | | | | 0.0 | |
| Orion Corp. | | | (39,063 | ) | | | (3,806,545 | ) | | | (871,701 | ) | | | (0.0 | ) |
| Pan Ocean Co. Ltd. | | | (648,924 | ) | | | (3,188,618 | ) | | | (94,737 | ) | | | (0.0 | ) |
| Samsung C&T Corp. | | | (57,280 | ) | | | (6,732,972 | ) | | | (57,356 | ) | | | (0.0 | ) |
| Shinsegae, Inc. | | | (10,778 | ) | | | (3,019,793 | ) | | | (1,140,536 | ) | | | (0.0 | ) |
| S-Oil Corp. | | | (47,990 | ) | | | (5,241,673 | ) | | | (1,161,967 | ) | | | (0.0 | ) |
| | | | |
| Taiwan | | | | | | | | | | | | |
| Hotai Motor Co. Ltd. | | | (274,000 | ) | | | (3,250,288 | ) | | | (112,565 | ) | | | (0.0 | ) |
| | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or SONIA plus or minus a specified spread (-0.03% to 0.03%), which is denominated in GBP based on the local currencies of the positions within the swap. | | 53-57 months maturity 11/19/2021 | | | $115,352,488 | | | | $3,294,145 | | | | $(77,784 | ) | | | $3,216,361 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| United Kingdom | | | | | | | | | | | | |
| Booker Group plc | | | 11,199,721 | | | $ | 34,605,601 | | | $ | 4,524,767 | | | | 0.1 | % |
| Sky plc | | | 3,205,228 | | | | 43,742,650 | | | | 1,181,604 | | | | 0.0 | |
| Worldpay Group plc | | | 1,694,219 | | | | 9,722,430 | | | | 571,744 | | | | 0.0 | |
| | | | |
| Short Positions | | | �� | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| United Kingdom | | | | | | | | | | | | |
| Tesco plc | | | (9,643,184 | ) | | | (27,281,807 | ) | | | (2,983,970 | ) | | | (0.1 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
147
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE 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 equity positions and pays or receives the STIBOR plus or minus a specified spread (-4.00% to 0.35%), which is denominated in SEK based on the local currencies of the positions within the swap. | | 38-46 months maturity 01/14/2021 | | | $61,573,641 | | | | $2,490,317 | | | | $120,818 | | | | $2,611,135 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Malta | | | | | | | | | | | | |
| Kindred Group plc | | | 155,165 | | | $ | 2,215,573 | | | $ | 387,076 | | | | 0.0 | % |
| Sweden | | | | | | | | | | | | |
| BillerudKorsnas AB | | | 14,328 | | | | 245,349 | | | | (2,010 | ) | | | (0.0 | ) |
| Boliden AB | | | 265,119 | | | | 9,066,467 | | | | 552,931 | | | | 0.0 | |
| Electrolux AB | | | 171,652 | | | | 5,526,403 | | | | 40,148 | | | | 0.0 | |
| Essity AB | | | 8,554 | | | | 243,087 | | | | (12,182 | ) | | | (0.0 | ) |
| Husqvarna AB | | | 367,479 | | | | 3,496,378 | | | | (120,747 | ) | | | (0.0 | ) |
| NCC AB | | | 71,635 | | | | 1,373,851 | | | | (567,070 | ) | | | (0.0 | ) |
| Skandinaviska Enskilda Banken AB | | | 280,093 | | | | 3,288,962 | | | | (180,466 | ) | | | (0.0 | ) |
| SSAB AB | | | 254,403 | | | | 1,390,221 | | | | 130,747 | | | | 0.0 | |
| Svenska Cellulosa AB SCA | | | 248,643 | | | | 2,561,104 | | | | 354,711 | | | | 0.0 | |
| Swedish Match AB | | | 31,177 | | | | 1,228,114 | | | | 125,172 | | | | 0.0 | |
| Tele2 AB | | | 20,093 | | | | 246,943 | | | | (12,708 | ) | | | (0.0 | ) |
| Volvo AB | | | 29,358 | | | | 546,701 | | | | (39,169 | ) | | | (0.0 | ) |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Colombia | | | | | | | | | | | | |
| Millicom International Cellular SA | | | (44,342 | ) | | | (2,993,304 | ) | | | (363,749 | ) | | | (0.0 | ) |
| | | | |
| Sweden | | | | | | | | | | | | |
| Arjo AB | | | (70,747 | ) | | | (201,898 | ) | | | (195,906 | ) | | | (0.0 | ) |
| Atlas Copco AB | | | (23,394 | ) | | | (1,009,593 | ) | | | (143,971 | ) | | | (0.0 | ) |
| Axfood AB | | | (76,872 | ) | | | (1,480,945 | ) | | | (185,407 | ) | | | (0.0 | ) |
| Elekta AB | | | (210,872 | ) | | | (1,741,246 | ) | | | 414,790 | | | | 0.0 | |
| Getinge AB | | | (64,153 | ) | | | (930,265 | ) | | | 264,672 | | | | 0.0 | |
| Hennes & Mauritz AB | | | (382,320 | ) | | | (7,907,853 | ) | | | 2,149,382 | | | | 0.1 | |
| Hexagon AB | | | (9,463 | ) | | | (474,703 | ) | | | (33,420 | ) | | | (0.0 | ) |
| Hexpol AB | | | (96,310 | ) | | | (976,451 | ) | | | 102,983 | | | | 0.0 | |
| Modern Times Group MTG AB | | | (4,334 | ) | | | (182,124 | ) | | | (13,594 | ) | | | (0.0 | ) |
| Skanska AB | | | (55,304 | ) | | | (1,145,939 | ) | | | 64,816 | | | | 0.0 | |
| SKF AB | | | (33,723 | ) | | | (749,183 | ) | | | 15,462 | | | | 0.0 | |
| Svenska Handelsbanken AB | | | (7,865 | ) | | | (107,483 | ) | | | 4,298 | | | | 0.0 | |
| Telefonaktiebolaget LM Ericsson | | | (1,552,109 | ) | | | (10,243,501 | ) | | | (246,472 | ) | | | (0.0 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
148
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE 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 equity positions and pays or receives the LIBOR plus or minus a specified spread (-1.65% to 0.35%), which is denominated in CHF based on the local currencies of the positions within the swap. | | 38-46 months maturity 01/14/2021 | | | $111,884,021 | | | | $4,263,704 | | | | $14,293 | | | | $4,277,997 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Switzerland | | | | | | | | | | | | |
| Adecco Group AG (Registered) | | | 3,490 | | | $ | 266,706 | | | $ | 3,167 | | | | 0.0 | % |
| Baloise Holding AG (Registered) | | | 22,978 | | | | 3,571,827 | | | | 340,872 | | | | 0.0 | |
| Bucher Industries AG (Registered) | | | 611 | | | | 248,035 | | | | 1,514 | | | | 0.0 | |
| DKSH Holding AG | | | 3,656 | | | | 319,836 | | | | 4,889 | | | | 0.0 | |
| Flughafen Zurich AG (Registered) | | | 14,855 | | | | 3,395,360 | | | | 122,960 | | | | 0.0 | |
| Georg Fischer AG (Registered) | | | 2,322 | | | | 3,065,427 | | | | 633,873 | | | | 0.0 | |
| Helvetia Holding AG (Registered) | | | 6,036 | | | | 3,395,001 | | | | 10,516 | | | | 0.0 | |
| Lonza Group AG (Registered) | | | 31,292 | | | | 8,439,649 | | | | 2,278,331 | | | | 0.1 | |
| Novartis AG (Registered) | | | 25,366 | | | | 2,134,612 | | | | (13,173 | ) | | | (0.0 | ) |
| Partners Group Holding AG | | | 2,517 | | | | 1,724,631 | | | | 277,206 | | | | 0.0 | |
| Roche Holding AG | | | 3,155 | | | | 797,759 | | | | 54,111 | | | | 0.0 | |
| Sika AG | | | 868 | | | | 6,886,711 | | | | 1,414,751 | | | | 0.0 | |
| Sonova Holding AG (Registered) | | | 2,696 | | | | 420,827 | | | | (64,765 | ) | | | (0.0 | ) |
| Straumann Holding AG (Registered) | | | 7,574 | | | | 5,343,075 | | | | 1,539,874 | | | | 0.1 | |
| Sunrise Communications Group AG | | | 37,823 | | | | 3,451,691 | | | | 509,673 | | | | 0.0 | |
| Swiss Life Holding AG (Registered) | | | 18,514 | | | | 6,544,220 | | | | 393,132 | | | | 0.0 | |
| Temenos Group AG (Registered) | | | 101,322 | | | | 12,966,257 | | | | 4,057,152 | | | | 0.1 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Austria | | | | | | | | | | | | |
| ams AG | | | (23,320 | ) | | | (2,112,602 | ) | | | 75,313 | | | | 0.0 | |
| | | | |
| Switzerland | | | | | | | | | | | | |
| Aryzta AG | | | (66,559 | ) | | | (2,641,247 | ) | | | (411,791 | ) | | | (0.0 | ) |
| Barry Callebaut AG (Registered) | | | (802 | ) | | | (1,671,677 | ) | | | (565,228 | ) | | | (0.0 | ) |
| Chocoladefabriken Lindt & Spruengli AG | | | (1,132 | ) | | | (6,910,169 | ) | | | (407,217 | ) | | | (0.0 | ) |
| Credit Suisse Group AG (Registered) | | | (989,720 | ) | | | (17,652,372 | ) | | | (3,955,011 | ) | | | (0.1 | ) |
| GAM Holding AG | | | (61,685 | ) | | | (995,331 | ) | | | (85,196 | ) | | | (0.0 | ) |
| Panalpina Welttransport Holding AG (Registered) | | | (3,830 | ) | | | (593,253 | ) | | | (110,091 | ) | | | (0.0 | ) |
| SGS SA (Registered) | | | (95 | ) | | | (247,669 | ) | | | (28,170 | ) | | | (0.0 | ) |
| Swatch Group AG (The) | | | (551 | ) | | | (224,355 | ) | | | (22,337 | ) | | | (0.0 | ) |
| Swiss Re AG | | | (13,946 | ) | | | (1,304,240 | ) | | | 28,096 | | | | 0.0 | |
| UBS Group AG (Registered) | | | (119,975 | ) | | | (2,204,272 | ) | | | (214,148 | ) | | | (0.0 | ) |
| Vifor Pharma AG | | | (96,510 | ) | | | (12,355,210 | ) | | | (1,604,599 | ) | | | (0.1 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
149
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE 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 equity positions and pays or receives the LIBOR plus or minus a specified spread (-15.50% to 0.35%), which is denominated in JPY based on the local currencies of the positions within the swap. | | 37-46 months maturity 01/14/2021 | | | $1,095,302,070 | | | | $26,056,920 | | | | $(6,717,621 | ) | | | $19,339,299 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Japan | | | | | | | | | | | | |
| Aozora Bank Ltd. | | | 255,000 | | | $ | 9,894,590 | | | $ | 7,692,135 | | | | 0.3 | % |
| Bandai Namco Holdings, Inc. | | | 262,200 | | | | 8,558,135 | | | | 934,435 | | | | 0.0 | |
| Fujitsu Ltd. | | | 1,349,000 | | | | 9,563,780 | | | | 469,284 | | | | 0.0 | |
| Haseko Corp. | | | 654,500 | | | | 10,143,595 | | | | 2,410,452 | | | | 0.1 | |
| Hitachi High-Technologies Corp. | | | 213,300 | | | | 8,964,873 | | | | 466,889 | | | | 0.0 | |
| Hitachi Ltd. | | | 3,141,000 | | | | 24,368,507 | | | | 3,671,091 | | | | 0.1 | |
| Idemitsu Kosan Co. Ltd. | | | 202,800 | | | | 8,123,304 | | | | 2,037,807 | | | | 0.1 | |
| Kajima Corp. | | | 1,389,000 | | | | 13,345,375 | | | | 2,474,463 | | | | 0.1 | |
| Kirin Holdings Co. Ltd. | | | 436,400 | | | | 10,997,900 | | | | 1,049,345 | | | | 0.0 | |
| Konami Holdings Corp. | | | 249,600 | | | | 13,726,061 | | | | 3,010,676 | | | | 0.1 | |
| Lion Corp. | | | 427,900 | | | | 8,088,156 | | | | 5,362 | | | | 0.0 | |
| Mitsubishi Gas Chemical Co., Inc. | | | 285,000 | | | | 8,160,969 | | | | 2,449,383 | | | | 0.1 | |
| Nexon Co. Ltd. | | | 329,400 | | | | 9,552,694 | | | | 1,863,541 | | | | 0.1 | |
| Nippon Electric Glass Co. Ltd. | | | 196,400 | | | | 7,475,249 | | | | 1,913,115 | | | | 0.1 | |
| Obayashi Corp. | | | 900,700 | | | | 10,880,573 | | | | 1,298,353 | | | | 0.0 | |
| Resona Holdings, Inc. | | | 2,487,800 | | | | 14,824,231 | | | | 1,868,277 | | | | 0.1 | |
| Shionogi & Co. Ltd. | | | 147,500 | | | | 7,970,148 | | | | 214,228 | | | | 0.0 | |
| Square Enix Holdings Co. Ltd. | | | 202,800 | | | | 9,622,417 | | | | 3,733,519 | | | | 0.1 | |
| Taisei Corp. | | | 334,900 | | | | 16,654,880 | | | | 9,022,134 | | | | 0.3 | |
| Tosoh Corp. | | | 406,200 | | | | 9,163,954 | | | | 3,935,806 | | | | 0.1 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Japan | | | | | | | | | | | | |
| Acom Co. Ltd. | | | (1,699,530 | ) | | | (7,140,546 | ) | | | (274,119 | ) | | | (0.0 | ) |
| AEON Financial Service Co. Ltd. | | | (383,200 | ) | | | (8,905,937 | ) | | | (1,603,851 | ) | | | (0.1 | ) |
| Alps Electric Co. Ltd. | | | (509,900 | ) | | | (14,504,297 | ) | | | (729,298 | ) | | | (0.0 | ) |
| Asics Corp. | | | (528,300 | ) | | | (8,397,225 | ) | | | 96,409 | | | | 0.0 | |
| Calbee, Inc. | | | (409,300 | ) | | | (13,301,305 | ) | | | 789,036 | | | | 0.0 | |
| Casio Computer Co. Ltd. | | | (660,600 | ) | | | (9,479,258 | ) | | | (153,219 | ) | | | (0.0 | ) |
| Chugoku Electric Power Co., Inc. (The) | | | (689,600 | ) | | | (7,403,009 | ) | | | 159,834 | | | | 0.0 | |
| CyberAgent, Inc. | | | (214,600 | ) | | | (8,363,537 | ) | | | (1,957,824 | ) | | | (0.1 | ) |
| DeNA Co. Ltd. | | | (692,700 | ) | | | (14,260,665 | ) | | | 1,039,766 | | | | 0.0 | |
| FamilyMart UNY Holdings Co. Ltd. | | | (237,400 | ) | | | (16,627,065 | ) | | | (3,409,612 | ) | | | (0.1 | ) |
| Kakaku.com, Inc. | | | (581,400 | ) | | | (9,814,424 | ) | | | (1,648,307 | ) | | | (0.1 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
150
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE
OF NET ASSETS | |
| Japan (continued) | | | | | | | | | | | | |
| Kansai Paint Co. Ltd. | | | (434,800 | ) | | $ | (11,282,734 | ) | | $ | (1,595,993 | ) | | | (0.1 | ) % |
| Kikkoman Corp. | | | (214,900 | ) | | | (8,690,479 | ) | | | (2,216,890 | ) | | | (0.1 | ) |
| M3, Inc. | | | (271,111 | ) | | | (9,503,571 | ) | | | (2,186,002 | ) | | | (0.1 | ) |
| MonotaRO Co. Ltd. | | | (229,100 | ) | | | (7,301,379 | ) | | | (290,169 | ) | | | (0.0 | ) |
| Murata Manufacturing Co. Ltd. | | | (95,500 | ) | | | (12,786,314 | ) | | | 475,561 | | | | 0.0 | |
| NGK Spark Plug Co. Ltd. | | | (656,100 | ) | | | (15,902,116 | ) | | | (2,164,595 | ) | | | (0.1 | ) |
| Nidec Corp. | | | (86,500 | ) | | | (12,111,475 | ) | | | (1,946,211 | ) | | | (0.1 | ) |
| Nippon Paint Holdings Co. Ltd. | | | (396,000 | ) | | | (12,512,165 | ) | | | 1,270,019 | | | | 0.0 | |
| Ricoh Co. Ltd. | | | (1,351,100 | ) | | | (12,520,392 | ) | | | (1,787,812 | ) | | | (0.1 | ) |
| Seven Bank Ltd. | | | (2,314,500 | ) | | | (7,904,429 | ) | | | 1,003 | | | | 0.0 | |
| Shimano, Inc. | | | (90,000 | ) | | | (12,650,275 | ) | | | 230,489 | | | | 0.0 | |
| Sony Financial Holdings, Inc. | | | (693,100 | ) | | | (12,249,581 | ) | | | (1,615,477 | ) | | | (0.1 | ) |
| Sumitomo Metal Mining Co. Ltd. | | | (255,800 | ) | | | (11,702,923 | ) | | | (6,584,607 | ) | | | (0.2 | ) |
| Sysmex Corp. | | | (116,000 | ) | | | (9,108,436 | ) | | | (1,993,627 | ) | | | (0.1 | ) |
| Toyota Motor Corp. | | | (109,772 | ) | | | (6,995,770 | ) | | | (584,991 | ) | | | (0.0 | ) |
| Yahoo Japan Corp. | | | (2,024,500 | ) | | | (9,275,229 | ) | | | 25,370 | | | | 0.0 | |
| Yamada Denki Co. Ltd. | | | (1,394,070 | ) | | | (7,677,517 | ) | | | (787,089 | ) | | | (0.0 | ) |
| Yamato Holdings Co. Ltd. | | | (347,800 | ) | | | (6,982,207 | ) | | | 111,920 | | | | 0.0 | |
| Yaskawa Electric Corp. | | | (257,100 | ) | | | (11,264,871 | ) | | | (6,309,867 | ) | | | (0.2 | ) |
| | | | | | | | | | | | | | | | | | | | |
| 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 Federal Funds Floating Rate or LIBOR plus or minus a specified spread (-3.67% to 0.70%), which is denominated in USD based on the local currencies of the positions within the swap. | | 37-46 months maturity 01/14/2021 | | | $5,952,557,895 | | | | $70,254,107 | | | | $7,176,961 | | | | $77,431,068 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| United States | | | | | | | | | | | | |
| Aflac, Inc. | | | 257,958 | | | $ | 22,643,553 | | | $ | 2,376,476 | | | | 0.1 | % |
| Alcoa Corp. | | | 351,685 | | | | 18,945,271 | | | | 3,146,913 | | | | 0.1 | |
| American Electric Power Co., Inc. | | | 280,768 | | | | 20,656,102 | | | | 1,357,247 | | | | 0.0 | |
| Anthem, Inc. | | | 108,798 | | | | 24,480,638 | | | | 5,576,454 | | | | 0.2 | |
| Archer-Daniels-Midland Co. | | | 514,107 | | | | 20,605,409 | | | | (1,485,932 | ) | | | (0.0 | ) |
| Best Buy Co., Inc. | | | 279,612 | | | | 19,145,034 | | | | 3,456,029 | | | | 0.1 | |
| Boeing Co. (The) | | | 118,609 | | | | 34,978,980 | | | | 7,044,093 | | | | 0.2 | |
| Centene Corp. | | | 245,522 | | | | 24,768,259 | | | | 5,068,932 | | | | 0.2 | |
| Chemours Co. (The) | | | 371,090 | | | | 18,576,765 | | | | 820,154 | | | | 0.0 | |
| Cigna Corp. | | | 145,086 | | | | 29,465,516 | | | | 5,617,389 | | | | 0.2 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
151
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE
OF NET ASSETS | |
| United States (continued) | | | | | | | | | | | | |
| eBay, Inc. | | | 478,915 | | | $ | 18,074,252 | | | $ | 1,064,166 | | | | 0.0 | % |
| Exelon Corp. | | | 915,494 | | | | 36,079,619 | | | | 1,412,131 | | | | 0.0 | |
| First Solar, Inc. | | | 272,946 | | | | 18,429,314 | | | | 3,631,795 | | | | 0.1 | |
| Gilead Sciences, Inc. | | | 386,977 | | | | 27,723,032 | | | | (1,225,375 | ) | | | (0.0 | ) |
| Halliburton Co. | | | 468,712 | | | | 22,905,955 | | | | 1,795,780 | | | | 0.1 | |
| Humana, Inc. | | | 109,510 | | | | 27,166,146 | | | | 1,522,492 | | | | 0.1 | |
| Huntington Ingalls Industries, Inc. | | | 126,874 | | | | 29,904,202 | | | | 4,047,284 | | | | 0.1 | |
| Lockheed Martin Corp. | | | 75,832 | | | | 24,345,864 | | | | 1,588,760 | | | | 0.1 | |
| LyondellBasell Industries NV | | | 268,087 | | | | 29,575,358 | | | | 3,902,758 | | | | 0.1 | |
| NVR, Inc. | | | 6,186 | | | | 21,701,849 | | | | 7,132,812 | | | | 0.2 | |
| Owens Corning | | | 222,745 | | | | 20,479,175 | | | | 5,798,431 | | | | 0.2 | |
| Prudential Financial, Inc. | | | 165,453 | | | | 19,023,786 | | | | 1,216,904 | | | | 0.0 | |
| Spirit AeroSystems Holdings, Inc. | | | 223,735 | | | | 19,520,879 | | | | 6,423,313 | | | | 0.2 | |
| WellCare Health Plans, Inc. | | | 154,328 | | | | 31,036,904 | | | | 8,956,697 | | | | 0.3 | |
| Western Digital Corp. | | | 405,802 | | | | 32,273,433 | | | | (2,317,791 | ) | | | (0.1 | ) |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| United States | | | | | | | | | | | | |
| Arista Networks, Inc. | | | (88,831 | ) | | | (20,926,807 | ) | | | (7,145,944 | ) | | | (0.2 | ) |
| Ball Corp. | | | (537,384 | ) | | | (20,339,984 | ) | | | (552,067 | ) | | | (0.0 | ) |
| BioMarin Pharmaceutical, Inc. | | | (225,670 | ) | | | (20,122,994 | ) | | | (212,377 | ) | | | (0.0 | ) |
| Brown-Forman Corp. | | | (282,924 | ) | | | (19,428,391 | ) | | | (6,348,791 | ) | | | (0.2 | ) |
| Charles Schwab Corp. (The) | | | (361,773 | ) | | | (18,584,279 | ) | | | (3,223,475 | ) | | | (0.1 | ) |
| Cheniere Energy, Inc. | | | (440,977 | ) | | | (23,742,202 | ) | | | (3,834,410 | ) | | | (0.1 | ) |
| Copart, Inc. | | | (742,042 | ) | | | (32,048,794 | ) | | | (9,278,931 | ) | | | (0.3 | ) |
| Coty, Inc. | | | (1,367,757 | ) | | | (27,204,687 | ) | | | (4,008,305 | ) | | | (0.1 | ) |
| Envision Healthcare Corp. | | | (726,867 | ) | | | (25,120,524 | ) | | | 6,478,646 | | | | 0.2 | |
| Fastenal Co. | | | (630,815 | ) | | | (34,499,272 | ) | | | (4,363,323 | ) | | | (0.1 | ) |
| Garmin Ltd. | | | (322,996 | ) | | | (19,240,872 | ) | | | (2,796,835 | ) | | | (0.1 | ) |
| Hess Corp. | | | (469,688 | ) | | | (22,296,089 | ) | | | (953,627 | ) | | | (0.0 | ) |
| L Brands, Inc. | | | (337,063 | ) | | | (20,297,934 | ) | | | (5,820,474 | ) | | | (0.2 | ) |
| Marsh & McLennan Cos., Inc. | | | (238,692 | ) | | | (19,427,142 | ) | | | (1,516,341 | ) | | | (0.1 | ) |
| Microchip Technology, Inc. | | | (205,212 | ) | | | (18,034,031 | ) | | | (2,318,353 | ) | | | (0.1 | ) |
| Primerica, Inc. | | | (215,778 | ) | | | (21,912,256 | ) | | | (4,260,489 | ) | | | (0.1 | ) |
| Sensata Technologies Holding NV | | | (544,348 | ) | | | (27,821,626 | ) | | | (4,446,029 | ) | | | (0.1 | ) |
| ServiceNow, Inc. | | | (153,739 | ) | | | (20,046,028 | ) | | | (3,440,958 | ) | | | (0.1 | ) |
| Southern Co. (The) | | | (478,908 | ) | | | (23,030,686 | ) | | | 556,342 | | | | 0.0 | |
| Splunk, Inc. | | | (248,461 | ) | | | (20,582,509 | ) | | | (5,102,084 | ) | | | (0.2 | ) |
| Square, Inc. | | | (697,568 | ) | | | (24,184,683 | ) | | | (4,746,388 | ) | | | (0.2 | ) |
| TransDigm Group, Inc. | | | (165,561 | ) | | | (45,466,362 | ) | | | (5,406,298 | ) | | | (0.2 | ) |
| Ultimate Software Group, Inc. (The) | | | (92,512 | ) | | | (20,188,894 | ) | | | (1,675,126 | ) | | | (0.1 | ) |
| Wabtec Corp. | | | (386,814 | ) | | | (31,498,264 | ) | | | (1,049,601 | ) | | | (0.0 | ) |
| Zillow Group, Inc. | | | (501,781 | ) | | | (20,532,879 | ) | | | (2,721,495 | ) | | | (0.1 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
152
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE 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 equity positions and pays or receives the EURIBOR plus or minus a specified spread (-2.10% to 0.65%), which is denominated in EUR based on the local currencies of the positions within the swap. | | 37-46 months maturity 01/14/2021 | | | $508,370,214 | | | | $27,368,584 | | | | $1,001,306 | | | | $28,369,890 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Belgium | | | | | | | | | | | | |
| Umicore SA | | | 75,189 | | | $ | 3,560,123 | | | $ | 1,159,163 | | | | 0.0 | % |
| | | | |
| Finland | | | | | | | | | | | | |
| Kesko OYJ | | | 89,737 | | | | 4,871,618 | | | | 254,449 | | | | 0.0 | |
| | | | |
| Germany | | | | | | | | | | | | |
| Aurubis AG | | | 66,547 | | | | 6,177,137 | | | | 808,720 | | | | 0.0 | |
| Covestro AG | | | 111,869 | | | | 11,518,762 | | | | 1,477,557 | | | | 0.0 | |
| Deutsche Lufthansa AG (Registered) | | | 163,173 | | | | 5,992,319 | | | | 2,837,743 | | | | 0.1 | |
| HOCHTIEF AG | | | 26,052 | | | | 4,600,979 | | | | (420,367 | ) | | | (0.0 | ) |
| OSRAM Licht AG | | | 76,459 | | | | 6,846,398 | | | | 1,330,804 | | | | 0.0 | |
| Rheinmetall AG | | | 87,363 | | | | 11,048,233 | | | | 2,402,716 | | | | 0.1 | |
| RWE AG | | | 331,386 | | | | 6,743,848 | | | | (1,728,364 | ) | | | (0.1 | ) |
| Salzgitter AG | | | 110,628 | | | | 6,284,313 | | | | 1,513,968 | | | | 0.0 | |
| Schaeffler AG (Preference) | | | 200,077 | | | | 3,530,257 | | | | 134,117 | | | | 0.0 | |
| Software AG | | | 114,941 | | | | 6,447,126 | | | | 1,314,958 | | | | 0.0 | |
| Suedzucker AG | | | 205,494 | | | | 4,448,272 | | | | (654,113 | ) | | | (0.0 | ) |
| Talanx AG | | | 90,938 | | | | 3,705,879 | | | | 59,006 | | | | 0.0 | |
| A2A SpA | | | 4,222,310 | | | | 7,812,467 | | | | 762,399 | | | | 0.0 | |
| Autogrill SpA | | | 306,126 | | | | 4,225,414 | | | | 670,624 | | | | 0.0 | |
| Enel SpA | | | 1,316,451 | | | | 8,095,217 | | | | 893,650 | | | | 0.0 | |
| Intesa Sanpaolo SpA | | | 2,358,943 | | | | 7,826,645 | | | | (419,625 | ) | | | (0.0 | ) |
| Moncler SpA | | | 182,735 | | | | 5,711,849 | | | | 894,018 | | | | 0.0 | |
| Poste Italiane SpA | | | 960,491 | | | | 7,231,492 | | | | 107,562 | | | | 0.0 | |
| Prysmian SpA | | | 190,896 | | | | 6,220,371 | | | | 319,634 | | | | 0.0 | |
| Recordati SpA | | | 106,967 | | | | 4,753,562 | | | | 498,695 | | | | 0.0 | |
| Unipol Gruppo SpA | | | 1,325,452 | | | | 6,208,183 | | | | 143,413 | | | | 0.0 | |
| | | | |
| Netherlands | | | | | | | | | | | | |
| ASM International NV | | | 80,331 | | | | 5,424,943 | | | | 277,541 | | | | 0.0 | |
| ASR Nederland NV | | | 101,890 | | | | 4,194,489 | | | | 132,236 | | | | 0.0 | |
| Koninklijke Philips NV | | | 193,143 | | | | 7,292,825 | | | | (80,769 | ) | | | (0.0 | ) |
| NN Group NV | | | 177,218 | | | | 7,665,311 | | | | 1,337,758 | | | | 0.0 | |
| | | | |
| Spain | | | | | | | | | | | | |
| Bankinter SA | | | 405,299 | | | | 3,834,010 | | | | (47,701 | ) | | | (0.0 | ) |
| Repsol SA | | | 363,855 | | | | 6,424,389 | | | | 34,619 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
153
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE
OF NET ASSETS | |
| Switzerland | | | | �� | | | | | | | | |
| STMicroelectronics NV | | | 480,401 | | | $ | 10,484,056 | | | $ | 1,478,517 | | | | 0.0 | % |
| | | | |
| United Kingdom | | | | | | | | | | | | |
| Fiat Chrysler Automobiles NV | | | 1,003,181 | | | | 17,910,102 | | | | 4,166,928 | | | | 0.1 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Belgium | | | | | | | | | | | | |
| Anheuser-Busch InBev SA/NV | | | (99,356 | ) | | | (11,092,247 | ) | | | 1,092,113 | | | | 0.0 | |
| | | | |
| Germany | | | | | | | | | | | | |
| GEA Group AG | | | (198,659 | ) | | | (9,504,676 | ) | | | (162,176 | ) | | | (0.0 | ) |
| ProSiebenSat.1 Media SE | | | (315,739 | ) | | | (10,837,959 | ) | | | 2,718,625 | | | | 0.1 | |
| United Internet AG (Registered) | | | (75,699 | ) | | | (5,186,984 | ) | | | (1,393,777 | ) | | | (0.0 | ) |
| Volkswagen AG (Preference) | | | (21,908 | ) | | | (4,351,654 | ) | | | 40,291 | | | | 0.0 | |
| Wirecard AG | | | (32,802 | ) | | | (3,645,695 | ) | | | (1,291,294 | ) | | | (0.0 | ) |
| Zalando SE | | | (102,323 | ) | | | (5,395,270 | ) | | | (222,822 | ) | | | (0.0 | ) |
| | | | |
| Italy | | | | | | | | | | | | |
| Azimut Holding SpA | | | (436,037 | ) | | | (8,341,890 | ) | | | 636,665 | | | | 0.0 | |
| Saipem SpA | | | (1,362,881 | ) | | | (6,218,490 | ) | | | (42,062 | ) | | | (0.0 | ) |
| Salvatore Ferragamo SpA | | | (129,197 | ) | | | (3,431,434 | ) | | | 897,443 | | | | 0.0 | |
| UniCredit SpA | | | (562,401 | ) | | | (10,491,168 | ) | | | 819,464 | | | | 0.0 | |
| | | | |
| Luxembourg | | | | | | | | | | | | |
| Tenaris SA | | | (1,437,700 | ) | | | (22,819,151 | ) | | | 1,316,505 | | | | 0.0 | |
| | | | |
| Netherlands | | | | | | | | | | | | |
| Altice NV | | | (1,178,583 | ) | | | (12,359,145 | ) | | | 4,341,029 | | | | 0.1 | |
| Koninklijke Vopak NV | | | (282,097 | ) | | | (12,357,045 | ) | | | 1,050,477 | | | | 0.0 | |
| SBM Offshore NV | | | (302,999 | ) | | | (5,336,406 | ) | | | 341,832 | | | | 0.0 | |
| | | | |
| Spain | | | | | | | | | | | | |
| Bankia SA | | | (2,140,866 | ) | | | (10,218,252 | ) | | | 662,594 | | | | 0.0 | |
| Cellnex Telecom SA | | | (399,739 | ) | | | (10,227,498 | ) | | | (2,464,794 | ) | | | (0.1 | ) |
| Enagas SA | | | (123,980 | ) | | | (3,545,761 | ) | | | 144,725 | | | | 0.0 | |
| Tecnicas Reunidas SA | | | (128,051 | ) | | | (4,060,432 | ) | | | 271,623 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
154
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE 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 equity positions and pays or receives the Copenhagen Interbank Offered Rate plus or minus a specified spread (-0.35% to 0.35%), which is denominated in DKK based on the local currencies of the positions within the swap. | | 38-46 months maturity 01/14/2021 | | | $69,573,672 | | | | $(2,694,048 | ) | | | $63,913 | | | | $(2,630,135 | ) |
| | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Denmark | | | | | | | | | | | | |
| AP Moller - Maersk A/S | | | 488 | | | $ | 850,577 | | | $ | (132,499 | ) | | | (0.0 | )% |
| Carlsberg A/S | | | 28,858 | | | | 3,461,178 | | | | 94,524 | | | | 0.0 | |
| Danske Bank A/S | | | 140,795 | | | | 5,480,023 | | | | 75,254 | | | | 0.0 | |
| Dfds A/S | | | 14,093 | | | | 752,679 | | | | (55,929 | ) | | | (0.0 | ) |
| DSV A/S | | | 16,793 | | | | 1,321,371 | | | | 273,793 | | | | 0.0 | |
| FLSmidth & Co. A/S | | | 6,698 | | | | 389,583 | | | | (16,995 | ) | | | (0.0 | ) |
| GN Store Nord A/S | | | 88,312 | | | | 2,852,215 | | | | 121,639 | | | | 0.0 | |
| H Lundbeck A/S | | | 129,929 | | | | 6,588,831 | | | | (507,816 | ) | | | (0.0 | ) |
| ISS A/S | | | 46,047 | | | | 1,782,715 | | | | (238,055 | ) | | | (0.0 | ) |
| Jyske Bank A/S (Registered) | | | 43,202 | | | | 2,456,333 | | | | (26,157 | ) | | | (0.0 | ) |
| Nets A/S | | | 62,195 | | | | 1,634,925 | | | | (1,579 | ) | | | (0.0 | ) |
| TDC A/S | | | 1,540,831 | | | | 9,464,869 | | | | 559,782 | | | | 0.0 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Denmark | | | | | | | | | | | | |
| Chr Hansen Holding A/S | | | (36,115 | ) | | | (3,385,869 | ) | | | (841,881 | ) | | | (0.0 | ) |
| Coloplast A/S | | | (30,291 | ) | | | (2,408,151 | ) | | | 233,564 | | | | 0.0 | |
| Genmab A/S | | | (1,251 | ) | | | (207,178 | ) | | | 37,522 | | | | 0.0 | |
| Novo Nordisk A/S | | | (19,921 | ) | | | (1,070,465 | ) | | | (85,683 | ) | | | (0.0 | ) |
| Novozymes A/S | | | (151,000 | ) | | | (8,620,188 | ) | | | (1,654,158 | ) | | | (0.1 | ) |
| Orsted A/S | | | (809 | ) | | | (44,098 | ) | | | (2,462 | ) | | | (0.0 | ) |
| Pandora A/S | | | (125,966 | ) | | | (13,692,320 | ) | | | (27,167 | ) | | | (0.0 | ) |
| Tryg A/S | | | (67,844 | ) | | | (1,697,119 | ) | | | (292,849 | ) | | | (0.0 | ) |
| William Demant Holding A/S | | | (50,586 | ) | | | (1,412,985 | ) | | | (206,896 | ) | | | (0.0 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
155
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE 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 equity positions and pays or receives the LIBOR plus or minus a specified spread (-0.75% to 0.00%), which is denominated in CHF based on the local currencies of the positions within the swap. | | 37-40 months maturity 01/14/2021 | | | $36,002,853 | | | | $(7,271,898 | ) | | | $(468,644 | ) | | | $(7,740,542 | ) |
| | | | | | | | | | | | | | | | | | | | |
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 | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| | | | |
| Switzerland | | | | | | | | | | | | |
| Clariant AG (Registered) | | | (1,288,468 | ) | | $ | (36,002,853 | ) | | $ | (7,271,898 | ) | | | (0.2 | )% |
| | | | | | | | | | | | | | | | | | | | |
| 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 EURIBOR plus or minus a specified spread (-0.35% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swap. | | 37-49 months maturity 01/14/2021 | | | $134,144,503 | | | | $(613,940 | ) | | | $(310,654 | ) | | | $(924,594 | ) |
| | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Austria | | | | | | | | | | | | |
| BUWOG AG | | | 91,048 | | | $ | 3,137,710 | | | $ | (4,971 | ) | | | (0.0 | )% |
| | | | |
| France | | | | | | | | | | | | |
| Zodiac Aerospace | | | 620,520 | | | | 18,547,593 | | | | (2,210,892 | ) | | | (0.1 | ) |
| | | | |
| Germany | | | | | | | | | | | | |
| Linde AG | | | 54,946 | | | | 12,882,853 | | | | 2,403,791 | | | | 0.1 | |
| | | | |
| Italy | | | | | | | | | | | | |
| Luxottica Group SpA | | | 696,570 | | | | 42,746,950 | | | | (207,598 | ) | | | (0.0 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
156
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Netherlands | | | | | | | | | | | | |
| Gemalto NV | | | 114,308 | | | $ | 6,769,334 | | | $ | (16,305 | ) | | | (0.0 | )% |
| Refresco Group NV | | | 245,238 | | | | 5,825,736 | | | | 122,467 | | | | 0.0 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| France | | | | | | | | | | | | |
| Essilor International Cie Generale d’Optique SA | | | (321,140 | ) | | | (44,234,327 | ) | | | (700,432 | ) | | | (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 Federal Funds Floating Rate or LIBOR plus or minus a specified spread (-0.25% to 0.30%), which is denominated in USD based on the local currencies of the positions within the swaps. | | 37-57 months maturity 01/14/2021 | | | $767,105,357 | | | | $(1,542,125 | ) | | | $662,678 | | | | $(879,447 | ) |
| | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Canada | | | | | | | | | | | | |
| Potash Corp. of Saskatchewan, Inc. | | | 457,569 | | | $ | 9,448,800 | | | $ | 644,653 | | | | 0.0 | % |
| | | | |
| France | | | | | | | | | | | | |
| Advanced Accelerator Applications SA, ADR | | | 280,601 | | | | 22,902,654 | | | | 194,713 | | | | 0.0 | |
| | | | |
| Netherlands | | | | | | | | | | | | |
| NXP Semiconductors NV | | | 206,550 | | | | 24,184,939 | | | | 3,578,505 | | | | 0.1 | |
| | | | |
| United States | | | | | | | | | | | | |
| Aetna, Inc. | | | 71,620 | | | | 12,919,532 | | | | (164,790 | ) | | | (0.0 | ) |
| Akorn, Inc. | | | 617,340 | | | | 19,896,868 | | | | (734,211 | ) | | | (0.0 | ) |
| Avista Corp. | | | 482,888 | | | | 24,863,903 | | | | (248,274 | ) | | | (0.0 | ) |
| BroadSoft, Inc. | | | 62,600 | | | | 3,436,740 | | | | 8,593 | | | | 0.0 | |
| Buffalo Wild Wings, Inc. | | | 94,242 | | | | 14,734,737 | | | | 341,445 | | | | 0.0 | |
| CalAtlantic Group, Inc. | | | 591,499 | | | | 33,354,629 | | | | 2,953,816 | | | | 0.1 | |
| Calgon Carbon Corp. | | | 274,792 | | | | 5,853,070 | | | | (19,659 | ) | | | (0.0 | ) |
| Calpine Corp. | | | 1,348,436 | | | | 20,401,837 | | | | 514,137 | | | | 0.0 | |
| Cavium, Inc. | | | 345,000 | | | | 28,921,350 | | | | (90,594 | ) | | | (0.0 | ) |
| Chicago Bridge & Iron Co. NV | | | 334,409 | | | | 5,397,361 | | | | 33,668 | | | | 0.0 | |
| Dynegy, Inc. | | | 788,266 | | | | 9,340,952 | | | | (270,043 | ) | | | (0.0 | ) |
| General Cable Corp. | | | 319,066 | | | | 9,444,354 | | | | 32,484 | | | | 0.0 | |
| Genworth Financial, Inc. | | | 1,230,743 | | | | 3,827,611 | | | | (1,877,516 | ) | | | (0.1 | ) |
| HSN, Inc. | | | 86,502 | | | | 3,490,356 | | | | 40,786 | | | | 0.0 | |
| Huntsman Corp. | | | 524,850 | | | | 17,472,256 | | | | 3,338,716 | | | | 0.1 | |
| Ignyta, Inc. | | | 210,319 | | | | 5,615,517 | | | | (20,242 | ) | | | (0.0 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
157
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| | | | |
| United States (continued) | | | | | | | | | | | | |
| ILG, Inc. | | | 92,771 | | | $ | 2,642,118 | | | $ | (63,656 | ) | | | (0.0 | ) % |
| Monsanto Co. | | | 192,749 | | | | 22,509,228 | | | | 2,038,702 | | | | 0.1 | |
| NxStage Medical, Inc. | | | 549,817 | | | | 13,322,066 | | | | (2,809,495 | ) | | | (0.1 | ) |
| Orbital ATK, Inc. | | | 241,240 | | | | 31,723,060 | | | | (245,039 | ) | | | (0.0 | ) |
| Pinnacle Entertainment, Inc. | | | 136,657 | | | | 4,472,784 | | | | 227,326 | | | | 0.0 | |
| Regal Entertainment Group | | | 844,981 | | | | 19,443,013 | | | | 545,665 | | | | 0.0 | |
| Rockwell Collins, Inc. | | | 317,168 | | | | 43,014,324 | | | | 1,417,645 | | | | 0.0 | |
| Scripps Networks Interactive, Inc. | | | 373,887 | | | | 31,922,472 | | | | (753,003 | ) | | | (0.0 | ) |
| Silver Spring Networks, Inc. | | | 364,318 | | | | 5,916,524 | | | | 46,044 | | | | 0.0 | |
| Snyder’s-Lance, Inc. | | | 70,789 | | | | 3,545,113 | | | | 11,487 | | | | 0.0 | |
| Straight Path Communications, Inc. | | | 54,285 | | | | 9,868,470 | | | | 3,117,231 | | | | 0.1 | |
| Time Warner, Inc. | | | 550,599 | | | | 50,363,291 | | | | (1,697,451 | ) | | | (0.1 | ) |
| Time, Inc. | | | 153,100 | | | | 2,824,695 | | | | (1,528 | ) | | | (0.0 | ) |
| Twenty-First Century Fox, Inc. | | | 215,000 | | | | 7,423,950 | | | | 32,497 | | | | 0.0 | |
| Westar Energy, Inc. | | | 435,629 | | | | 23,001,211 | | | | (1,365,758 | ) | | | (0.0 | ) |
| WGL Holdings, Inc. | | | 328,798 | | | | 28,224,020 | | | | 505,669 | | | | 0.0 | |
| Xcerra Corp. | | | 476,792 | | | | 4,667,794 | | | | 22,493 | | | | 0.0 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Canada | | | | | | | | | | | | |
| Agrium, Inc. | | | (92,618 | ) | | | (10,651,070 | ) | | | (695,550 | ) | | | (0.0 | ) |
| | | | |
| United States | | | | | | | | | | | | |
| AT&T, Inc. | | | (483,413 | ) | | | (18,795,097 | ) | | | (2,116,347 | ) | | | (0.1 | ) |
| CVS Health Corp. | | | (60,003 | ) | | | (4,350,217 | ) | | | (18,060 | ) | | | (0.0 | ) |
| Discovery Communications, Inc. | | | (301,499 | ) | | | (6,382,734 | ) | | | (112,235 | ) | | | (0.0 | ) |
| Great Plains Energy, Inc. | | | (728,372 | ) | | | (23,482,713 | ) | | | (1,062,337 | ) | | | (0.0 | ) |
| Lennar Corp. | | | (517,527 | ) | | | (32,728,407 | ) | | | (2,591,147 | ) | | | (0.1 | ) |
| Liberty Interactive Corp. QVC Group | | | (142,740 | ) | | | (3,485,711 | ) | | | (30,399 | ) | | | (0.0 | ) |
| Marvell Technology Group Ltd. | | | (750,617 | ) | | | (16,115,747 | ) | | | 174,248 | | | | 0.0 | |
| McDermott International, Inc. | | | (824,503 | ) | | | (5,425,230 | ) | | | 51,613 | | | | 0.0 | |
| Praxair, Inc. | | | (84,617 | ) | | | (13,088,558 | ) | | | (3,094,450 | ) | | | (0.1 | ) |
| United Technologies Corp. | | | (81,485 | ) | | | (10,395,041 | ) | | | (1,164,610 | ) | | | (0.0 | ) |
| Vantiv, Inc. | | | (44,035 | ) | | | (3,238,774 | ) | | | (94,777 | ) | | | (0.0 | ) |
| Vistra Energy Corp. | | | (513,960 | ) | | | (9,415,747 | ) | | | 390,719 | | | | 0.0 | |
| Walt Disney Co. (The) | | | (59,017 | ) | | | (6,344,918 | ) | | | 143,220 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
158
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | |
Collateral pledged to, or (received from), each counterparty at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/
CENTRALLY CLEARED | | | TOTAL | |
| BANA | | | | | | | | | |
| Cash | | | $(1,280,000 | ) | | | $— | | | | $(1,280,000 | ) |
| |
| BARC | | | | | | | | | |
| Cash | | | — | | | | 55,398,761 | | | | 55,398,761 | |
| |
| CITG | | | | | | | | | |
| Cash | | | — | | | | (11,017,817 | ) | | | (11,017,817 | ) |
| Investment Companies | | | — | | | | 12,266,506 | | | | 12,266,506 | |
| |
| DTBK | | | | | | | | | |
| Investment Companies | | | 21,490,898 | | | | — | | | | 21,490,898 | |
| |
| GSCO | | | | | | | | | |
| Cash | | | — | | | | 30,883,072 | | | | 30,883,072 | |
| |
| GSIN | | | | | | | | | |
| Cash | | | (17,280,000 | ) | | | — | | | | (17,280,000 | ) |
| Investment Companies | | | 65,419,095 | | | | — | | | | 65,419,095 | |
| |
| JPMC | | | | | | | | | |
| Investment Companies | | | 566,953,557 | | | | — | | | | 566,953,557 | |
| |
| JPMS | | | | | | | | | |
| Cash | | | — | | | | 3,332,736 | | | | 3,332,736 | |
| |
| MSCL | | | | | | | | | |
| Cash | | | — | | | | 2,532 | | | | 2,532 | |
| |
| MSCS | | | | | | | | | |
| Cash | | | 51,771,845 | | | | — | | | | 51,771,845 | |
| Investment Companies | | | 970,000 | | | | — | | | | 970,000 | |
| |
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/
CENTRALLY CLEARED | | | TOTAL | |
| CITI | | | | | | | | | |
| Cash | | | $(1,430,000 | ) | | | $— | | | | $(1,430,000 | ) |
| Investment Companies | | | 2,988,853 | | | | — | | | | 2,988,853 | |
| |
| GSCO | | | | | | | | | |
| Cash | | | — | | | | (736,405 | ) | | | (736,405 | ) |
| |
| GSIN | | | | | | | | | |
| Cash | | | 1,760,000 | | | | — | | | | 1,760,000 | |
| |
| JPPC | | | | | | | | | |
| Cash | | | — | | | | 2,066,237 | | | | 2,066,237 | |
| |
| MACQ | | | | | | | | | |
| Cash | | | 710,000 | | | | — | | | | 710,000 | |
| |
| MSCL | | | | | | | | | |
| Cash | | | — | | | | (5,616,121 | ) | | | (5,616,121 | ) |
| U.S. Treasury Bills | | | — | | | | 22,351,144 | | | | 22,351,144 | |
| |
| MLIN | | | | | | | | | |
| Cash | | | 906,665 | | | | — | | | | 906,665 | |
| |
| SOCG | | | | | | | | | |
| Cash | | | 3,420,000 | | | | — | | | | 3,420,000 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
159
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | | | | |
| | | | | | | | |
| INVESTMENTS | |
SHARES | | | VALUE | |
| SHORT-TERM INVESTMENTS - 90.2% | |
| INVESTMENT COMPANIES - 49.3% | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.17% (a) | | | 2,264,787 | | | $ | 2,264,787 | |
| Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.15% (a) | | | 9,059,147 | | | | 9,059,147 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.24% (a)(b) | | | 21,951,110 | | | | 21,951,110 | |
| Limited Purpose Cash Investment Fund, 1.17% (a) | | | 56,961,308 | | | | 56,955,612 | |
| UBS Select Treasury Preferred Fund, Class I, 1.16% (a) | | | 11,323,934 | | | | 11,323,934 | |
| | | | | | | | |
TOTAL INVESTMENT COMPANIES
(Cost $101,554,590) | | | | | | | 101,554,590 | |
| | | | | | | | |
| | | PRINCIPAL
AMOUNT | | | | |
| U.S. TREASURY OBLIGATIONS - 40.9% | |
| U.S. Treasury Bills | | | | | | | | |
| 1.14%, 1/4/2018 (c) | | $ | 1,330,000 | | | | 1,329,916 | |
| 1.13%, 1/11/2018 (c) | | | 3,061,000 | | | | 3,060,099 | |
| 1.10%, 1/18/2018 (c) | | | 8,046,000 | | | | 8,041,570 | |
| 1.14%, 2/1/2018 (c) | | | 1,411,000 | | | | 1,409,512 | |
| 1.15%, 2/8/2018 (c) | | | 20,416,000 | | | | 20,389,745 | |
| 1.12%, 2/15/2018 (c) | | | 3,514,000 | | | | 3,508,685 | |
| 1.12%, 2/22/2018 (c) | | | 7,912,000 | | | | 7,897,821 | |
| 1.12%, 3/1/2018 (c) | | | 1,326,000 | | | | 1,323,282 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| U.S. TREASURY OBLIGATIONS - 40.9% (continued) | |
| 1.12%, 3/8/2018 (c) | | $ | 1,178,000 | | | $ | 1,175,248 | |
| 1.15%, 3/15/2018 (c) | | | 1,447,000 | | | | 1,443,252 | |
| 1.37%, 5/17/2018 (c) | | | 22,785,000 | | | | 22,663,670 | |
| 1.43%, 5/24/2018 (c) | | | 531,000 | | | | 527,971 | |
| 1.45%, 5/31/2018 (c) | | | 5,276,000 | | | | 5,244,282 | |
| 1.46%, 6/7/2018 (c) | | | 3,613,000 | | | | 3,590,024 | |
| 1.54%, 6/28/2018 (c) | | | 2,649,000 | | | | 2,629,366 | |
| | | | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $84,243,530) | | | | 84,234,443 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(Cost $185,798,120) | | | | | | | 185,789,033 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES
AT VALUE - 90.2%
(Cost $185,798,120) | | | | 185,789,033 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 9.8% (d) | | | | | 20,100,160 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 205,889,193 | |
| | | | | | | | |
| (a) | Represents 7-day effective yield as of December 31, 2017. |
| (b) | All or a portion of the security pledged as collateral for swap contracts. |
| (c) | The rate shown was the effective yield at the date of purchase. |
| (d) | Includes appreciation/(depreciation) on futures and swap contracts. |
All securities are Level 2 with respect to ASC 820 (See Note 5).
Total return swap contracts outstanding as of December 31, 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) | |
Cocoa March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/02/2018 | | | USD | (37,840 | ) | | | $4,293 | |
Cocoa March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/02/2018 | | | USD | (473,000 | ) | | | 46,320 | |
Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/09/2018 | | | USD | 4,521,225 | | | | 604,630 | |
Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/09/2018 | | | USD | 393,150 | | | | 53,040 | |
Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/09/2018 | | | USD | 39,315 | | | | 5,328 | |
Live Cattle February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/02/2018 | | | USD | (1,555,840 | ) | | | 69,266 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
160
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED
BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Live Cattle February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/02/2018 | | | USD | (632,060 | ) | | | $748 | |
Live Cattle April Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 04/06/2018 | | | USD | (195,880 | ) | | | 428 | |
Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | (982,080 | ) | | | 6,425 | |
Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | (285,120 | ) | | | 1,440 | |
Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | (63,360 | ) | | | 2,050 | |
Soybean Oil March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | (3,492,300 | ) | | | 28,351 | |
Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | (170,800 | ) | | | 11,586 | |
Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | (405,650 | ) | | | 26,896 | |
Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | (854,000 | ) | | | 56,907 | |
Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | (2,562,000 | ) | | | 172,258 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 1,089,966 | |
| | | | | | | | | | | | | | | | | | | | |
Cocoa March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/02/2018 | | | USD | 37,840 | | | | (3,860 | ) |
Cocoa March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/02/2018 | | | USD | 473,000 | | | | (49,900 | ) |
Coffee ‘C’ March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/09/2018 | | | USD | 1,325,100 | | | | (62,913 | ) |
Coffee ‘C’ March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/09/2018 | | | USD | 520,575 | | | | (28,299 | ) |
Coffee ‘C’ March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/09/2018 | | | USD | 1,845,675 | | | | (95,511 | ) |
| Corn March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | 736,575 | | | | (24,385 | ) |
| Corn March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 4,279,150 | | | | (132,641 | ) |
| Corn March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | 5,892,600 | | | | (190,887 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
161
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED
BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Cotton No. 2 March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/09/2018 | | | USD | (39,315 | ) | | | $(3,150 | ) |
Cotton No. 2 March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/09/2018 | | | USD | (196,575 | ) | | | (14,425 | ) |
Lean Hogs February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/14/2018 | | | USD | 3,100,680 | | | | (19,034 | ) |
Lean Hogs February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/14/2018 | | | USD | (1,033,560 | ) | | | (14,978 | ) |
Lean Hogs April Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 04/13/2018 | | | USD | 242,080 | | | | (1,023 | ) |
Live Cattle February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/02/2018 | | | USD | 6,855,420 | | | | (476,396 | ) |
Live Cattle February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/02/2018 | | | USD | 5,056,480 | | | | (344,078 | ) |
Live Cattle April Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 04/06/2018 | | | USD | 391,760 | | | | (674 | ) |
Live Cattle April Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 04/06/2018 | | | USD | 636,610 | | | | (1,269 | ) |
Soybean March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | 961,750 | | | | (39,360 | ) |
Soybean March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | 240,438 | | | | (8,874 | ) |
Soybean March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | 2,452,462 | | | | (101,028 | ) |
Soybean March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 5,385,800 | | | | (212,275 | ) |
Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | 728,640 | | | | (29,782 | ) |
Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 982,080 | | | | (8,659 | ) |
Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | 2,059,200 | | | | (18,159 | ) |
Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | (570,240 | ) | | | (618 | ) |
Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | 792,000 | | | | (7,251 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
162
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED
BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Soybean Oil March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | 2,574,324 | | | | $(38,034 | ) |
Soybean Oil March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | (179,604 | ) | | | (2,379 | ) |
Soybean Oil March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 179,604 | | | | (2,894 | ) |
Soybean Oil March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | 4,071,024 | | | | (71,663 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (2,004,399 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | $(914,433 | ) |
| | | | | | | | | | | | | | | | | | | | |
Futures contracts outstanding as of December 31, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | |
| LME Aluminum Base Metal | | | 24 | | | 1/2018 | | | USD | | | | $1,354,302 | | | | $58,093 | |
| LME Copper Base Metal | | | 13 | | | 1/2018 | | | USD | | | | 2,342,967 | | | | 211,260 | |
| LME Lead Base Metal | | | 3 | | | 1/2018 | | | USD | | | | 186,222 | | | | (497 | ) |
| LME Lead Base Metal | | | 4 | | | 1/2018 | | | USD | | | | 248,595 | | | | (6,940 | ) |
| LME Lead Base Metal | | | 4 | | | 1/2018 | | | USD | | | | 248,234 | | | | (976 | ) |
| LME Nickel Base Metal | | | 2 | | | 1/2018 | | | USD | | | | 152,481 | | | | 25,276 | |
| LME Nickel Base Metal | | | 6 | | | 1/2018 | | | USD | | | | 457,753 | | | | 37,259 | |
| LME Zinc Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 83,350 | | | | 5,898 | |
| LME Zinc Base Metal | | | 6 | | | 1/2018 | | | USD | | | | 500,888 | | | | 7,575 | |
| 100 oz Gold | | | 513 | | | 2/2018 | | | USD | | | | 67,167,090 | | | | 1,533,192 | |
| Brent Crude Oil | | | 596 | | | 2/2018 | | | USD | | | | 39,598,240 | | | | 2,159,620 | |
| Lean Hogs | | | 180 | | | 2/2018 | | | USD | | | | 5,167,800 | | | | 69,834 | |
| Live Cattle | | | 118 | | | 2/2018 | | | USD | | | | 5,737,160 | | | | (397,850 | ) |
| LME Aluminum Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 113,240 | | | | 8,036 | |
| LME Aluminum Base Metal | | | 6 | | | 2/2018 | | | USD | | | | 339,321 | | | | 14,278 | |
| LME Aluminum Base Metal | | | 36 | | | 2/2018 | | | USD | | | | 2,040,075 | | | | 190,487 | |
| LME Aluminum Base Metal | | | 43 | | | 2/2018 | | | USD | | | | 2,436,756 | | | | 179,151 | |
| LME Aluminum Base Metal | | | 51 | | | 2/2018 | | | USD | | | | 2,888,563 | | | | 182,888 | |
| LME Copper Base Metal | | | 4 | | | 2/2018 | | | USD | | | | 723,200 | | | | 29,833 | |
| LME Copper Base Metal | | | 6 | | | 2/2018 | | | USD | | | | 1,083,712 | | | | 51,395 | |
| LME Copper Base Metal | | | 8 | | | 2/2018 | | | USD | | | | 1,447,436 | | | | 91,187 | |
| LME Copper Base Metal | | | 8 | | | 2/2018 | | | USD | | | | 1,446,078 | | | | 74,989 | |
| LME Lead Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 62,133 | | | | 351 | |
| LME Lead Base Metal | | | 7 | | | 2/2018 | | | USD | | | | 434,625 | | | | 6,208 | |
| LME Nickel Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 152,866 | | | | 11,921 | |
| LME Nickel Base Metal | | | 4 | | | 2/2018 | | | USD | | | | 305,399 | | | | 2,869 | |
| LME Nickel Base Metal | | | 5 | | | 2/2018 | | | USD | | | | 381,975 | | | | 12,813 | |
| LME Nickel Base Metal | | | 14 | | | 2/2018 | | | USD | | | | 1,070,460 | | | | 119,966 | |
| LME Zinc Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 83,227 | | | | 4,424 | |
| LME Zinc Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 166,388 | | | | 4,866 | |
| LME Zinc Base Metal | | | 3 | | | 2/2018 | | | USD | | | | 249,900 | | | | 7,042 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
163
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts (continues) | | | | | | | | | | | | | | | | | | |
| LME Zinc Base Metal | | | 24 | | | 2/2018 | | | USD | | | | $ 1,997,976 | | | | $ 64,042 | |
| Natural Gas | | | 25 | | | 2/2018 | | | USD | | | | 726,500 | | | | 47,894 | |
| NY Harbor ULSD | | | 7 | | | 2/2018 | | | USD | | | | 600,877 | | | | 39,938 | |
| Sugar No. 11 | | | 597 | | | 2/2018 | | | USD | | | | 10,136,582 | | | | 373,331 | |
| WTI Crude Oil | | | 238 | | | 2/2018 | | | USD | | | | 14,384,720 | | | | 791,841 | |
| Cocoa | | | 126 | | | 3/2018 | | | USD | | | | 2,383,920 | | | | (142,866 | ) |
| Coffee ’C’ | | | 177 | | | 3/2018 | | | USD | | | | 8,376,525 | | | | (408,584 | ) |
| Corn | | | 729 | | | 3/2018 | | | USD | | | | 12,784,838 | | | | (417,881 | ) |
| Cotton No. 2 | | | 27 | | | 3/2018 | | | USD | | | | 1,061,505 | | | | 144,831 | |
| LME Aluminum Base Metal | | | 23 | | | 3/2018 | | | USD | | | | 1,304,203 | | | | 144,286 | |
| LME Aluminum Base Metal | | | 86 | | | 3/2018 | | | USD | | | | 4,876,200 | | | | (10,576 | ) |
| LME Aluminum Base Metal | | | 633 | | | 3/2018 | | | USD | | | | 35,946,488 | | | | 1,462,220 | |
| LME Copper Base Metal | | | 4 | | | 3/2018 | | | USD | | | | 724,264 | | | | 66,850 | |
| LME Copper Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 905,875 | | | | 5,585 | |
| LME Copper Base Metal | | | 255 | | | 3/2018 | | | USD | | | | 46,202,812 | | | | 3,228,954 | |
| LME Lead Base Metal | | | 4 | | | 3/2018 | | | USD | | | | 248,750 | | | | (1,160 | ) |
| LME Lead Base Metal | | | 7 | | | 3/2018 | | | USD | | | | 435,117 | | | | (6,018 | ) |
| LME Lead Base Metal | | | 52 | | | 3/2018 | | | USD | | | | 3,233,750 | | | | (60,924 | ) |
| LME Nickel Base Metal | | | 6 | | | 3/2018 | | | USD | | | | 458,969 | | | | 70,257 | |
| LME Nickel Base Metal | | | 10 | | | 3/2018 | | | USD | | | | 765,600 | | | | 20,153 | |
| LME Nickel Base Metal | | | 119 | | | 3/2018 | | | USD | | | | 9,110,640 | | | | 1,148,755 | |
| LME Zinc Base Metal | | | 1 | | | 3/2018 | | | USD | | | | 83,175 | | | | 5,850 | |
| LME Zinc Base Metal | | | 147 | | | 3/2018 | | | USD | | | | 12,221,213 | | | | 363,297 | |
| Low Sulphur Gasoil | | | 89 | | | 3/2018 | | | USD | | | | 5,333,325 | | | | 251,697 | |
| Silver | | | 172 | | | 3/2018 | | | USD | | | | 14,744,700 | | | | (6,963 | ) |
| Soybean | | | 213 | | | 3/2018 | | | USD | | | | 10,242,638 | | | | (437,315 | ) |
| Soybean Meal | | | 277 | | | 3/2018 | | | USD | | | | 8,775,360 | | | | (84,466 | ) |
| Soybean Oil | | | 237 | | | 3/2018 | | | USD | | | | 4,729,572 | | | | (77,369 | ) |
| Wheat | | | 123 | | | 3/2018 | | | USD | | | | 2,626,050 | | | | (168,563 | ) |
| 100 oz Gold | | | 118 | | | 4/2018 | | | USD | | | | 15,505,200 | | | | 58,380 | |
| Lean Hogs | | | 19 | | | 4/2018 | | | USD | | | | 574,940 | | | | (2,326 | ) |
| Live Cattle | | | 13 | | | 4/2018 | | | USD | | | | 636,610 | | | | (1,376 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 11,156,222 | |
| | | | | | | | | | | | | | | | | | |
| Short Contracts | |
| LME Aluminum Base Metal | | | (24 | ) | | 1/2018 | | | USD | | | | (1,354,302 | ) | | | (59,912 | ) |
| LME Copper Base Metal | | | (13 | ) | | 1/2018 | | | USD | | | | (2,342,967 | ) | | | (195,238 | ) |
| LME Lead Base Metal | | | (3 | ) | | 1/2018 | | | USD | | | | (186,222 | ) | | | 521 | |
| LME Lead Base Metal | | | (4 | ) | | 1/2018 | | | USD | | | | (248,595 | ) | | | 7,625 | |
| LME Lead Base Metal | | | (4 | ) | | 1/2018 | | | USD | | | | (248,234 | ) | | | 472 | |
| LME Nickel Base Metal | | | (2 | ) | | 1/2018 | | | USD | | | | (152,481 | ) | | | (24,969 | ) |
| LME Nickel Base Metal | | | (6 | ) | | 1/2018 | | | USD | | | | (457,753 | ) | | | (36,182 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (83,350 | ) | | | (5,816 | ) |
| LME Zinc Base Metal | | | (6 | ) | | 1/2018 | | | USD | | | | (500,888 | ) | | | (6,786 | ) |
| LME Aluminum Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (113,240 | ) | | | (7,744 | ) |
| LME Aluminum Base Metal | | | (6 | ) | | 2/2018 | | | USD | | | | (339,321 | ) | | | (13,836 | ) |
| LME Aluminum Base Metal | | | (36 | ) | | 2/2018 | | | USD | | | | (2,040,075 | ) | | | (190,274 | ) |
| LME Aluminum Base Metal | | | (43 | ) | | 2/2018 | | | USD | | | | (2,436,756 | ) | | | (174,224 | ) |
| LME Aluminum Base Metal | | | (51 | ) | | 2/2018 | | | USD | | | | (2,888,563 | ) | | | (186,537 | ) |
| LME Copper Base Metal | | | (4 | ) | | 2/2018 | | | USD | | | | (723,200 | ) | | | (29,912 | ) |
| LME Copper Base Metal | | | (6 | ) | | 2/2018 | | | USD | | | | (1,083,713 | ) | | | (44,246 | ) |
| LME Copper Base Metal | | | (8 | ) | | 2/2018 | | | USD | | | | (1,446,078 | ) | | | (84,102 | ) |
| LME Copper Base Metal | | | (8 | ) | | 2/2018 | | | USD | | | | (1,447,436 | ) | | | (90,656 | ) |
| LME Lead Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (62,133 | ) | | | (386 | ) |
| LME Lead Base Metal | | | (7 | ) | | 2/2018 | | | USD | | | | (434,625 | ) | | | (3,225 | ) |
| LME Nickel Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (152,866 | ) | | | (11,679 | ) |
| LME Nickel Base Metal | | | (4 | ) | | 2/2018 | | | USD | | | | (305,399 | ) | | | (2,356 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
164
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts (continues) | |
| LME Nickel Base Metal | | | (5 | ) | | 2/2018 | | | USD | | | | $ (381,975 | ) | | | $ (9,477 | ) |
| LME Nickel Base Metal | | | (14 | ) | | 2/2018 | | | USD | | | | (1,070,460 | ) | | | (122,264 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (83,227 | ) | | | (4,329 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (166,387 | ) | | | (5,193 | ) |
| LME Zinc Base Metal | | | (3 | ) | | 2/2018 | | | USD | | | | (249,900 | ) | | | (9,795 | ) |
| LME Zinc Base Metal | | | (24 | ) | | 2/2018 | | | USD | | | | (1,997,976 | ) | | | (72,335 | ) |
| RBOB Gasoline | | | (11 | ) | | 2/2018 | | | USD | | | | (837,745 | ) | | | (7,470 | ) |
| LME Aluminum Base Metal | | | (23 | ) | | 3/2018 | | | USD | | | | (1,304,203 | ) | | | (145,823 | ) |
| LME Aluminum Base Metal | | | (86 | ) | | 3/2018 | | | USD | | | | (4,876,200 | ) | | | (26,054 | ) |
| LME Aluminum Base Metal | | | (155 | ) | | 3/2018 | | | USD | | | | (8,802,063 | ) | | | (703,810 | ) |
| LME Copper Base Metal | | | (4 | ) | | 3/2018 | | | USD | | | | (724,264 | ) | | | (67,434 | ) |
| LME Copper Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (905,875 | ) | | | (2,783 | ) |
| LME Copper Base Metal | | | (11 | ) | | 3/2018 | | | USD | | | | (1,993,062 | ) | | | (58,145 | ) |
| LME Lead Base Metal | | | (4 | ) | | 3/2018 | | | USD | | | | (248,750 | ) | | | 2,411 | |
| LME Lead Base Metal | | | (7 | ) | | 3/2018 | | | USD | | | | (435,117 | ) | | | 1,325 | |
| LME Lead Base Metal | | | (22 | ) | | 3/2018 | | | USD | | | | (1,368,125 | ) | | | 2,018 | |
| LME Nickel Base Metal | | | (6 | ) | | 3/2018 | | | USD | | | | (458,969 | ) | | | (66,623 | ) |
| LME Nickel Base Metal | | | (10 | ) | | 3/2018 | | | USD | | | | (765,600 | ) | | | (19,319 | ) |
| LME Nickel Base Metal | | | (37 | ) | | 3/2018 | | | USD | | | | (2,832,720 | ) | | | (255,280 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (83,175 | ) | | | (5,816 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (83,138 | ) | | | (5,940 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | (2,741,598 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | $8,414,624 | |
| | | | | | | | | | | | | | | | | | |
USD - United States Dollar
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/
CENTRALLY CLEARED | | | TOTAL | |
| CITI | | | | | | | | | |
| Investment Companies | | | $753,058 | | | | $— | | | | $753,058 | |
| |
| GSCO | | | | | | | | | |
| Cash | | | — | | | | (153,482 | ) | | | (153,482 | ) |
| |
| GSIN | | | | | | | | | |
| Cash | | | 850,000 | | | | — | | | | 850,000 | |
| |
| JPPC | | | | | | | | | |
| Cash | | | — | | | | 541,675 | | | | 541,675 | |
| |
| MACQ | | | | | | | | | |
| Cash | | | 1,570,000 | | | | — | | | | 1,570,000 | |
| |
| MSCL | | | | | | | | | |
| Cash | | | — | | | | 7,759,106 | | | | 7,759,106 | |
| |
| SOCG | | | | | | | | | |
| Cash | | | 1,500,000 | | | | — | | | | 1,500,000 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
165
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL AMOUNT | | | VALUE | |
| FOREIGN GOVERNMENT SECURITIES - 13.4% | |
| Deutsche Bundesrepublik Inflation Linked Bond | | | | | | | | |
| 0.10%, 4/15/2023 (a)(b) | | EUR | 8,128,120 | | | $ | 10,499,587 | |
| 0.10%, 4/15/2026 (a)(b) | | EUR | 9,452,172 | | | | 12,506,598 | |
| France Government Bond OAT | | | | | | | | |
| 1.10%, 7/25/2022 (a)(b) | | EUR | 6,823,341 | | | | 9,193,985 | |
| 0.25%, 7/25/2024 (a)(b) | | EUR | 2,060,884 | | | | 2,721,757 | |
| 0.10%, 3/1/2025 | | EUR | 3,045,990 | | | | 3,948,396 | |
| 1.85%, 7/25/2027 (a)(b) | | EUR | 1,634,715 | | | | 2,488,327 | |
| 0.10%, 3/1/2028 (a)(b) | | EUR | 202,728 | | | | 262,180 | |
| 0.70%, 7/25/2030 (a)(b) | | EUR | 204,462 | | | | 285,926 | |
| United Kingdom Index Linked Treasury Gilt | | | | | | | | |
| 0.13%, 3/22/2024 | | GBP | 7,949,900 | | | | 12,241,236 | |
| 0.13%, 3/22/2026 | | GBP | 5,757,048 | | | | 9,147,519 | |
| | | | | | | | |
TOTAL FOREIGN GOVERNMENT SECURITIES
(Cost $60,101,473) | | | | | | | 63,295,511 | |
| | | | | | | | |
| U.S. TREASURY OBLIGATIONS - 20.5% | |
| U.S. Treasury Inflation Linked Notes | |
| 0.13%, 4/15/2020 (c) | | $ | 20,980,000 | | | | 22,052,916 | |
| 0.13%, 4/15/2021 (c) | | | 24,800,000 | | | | 25,703,985 | |
| 0.13%, 4/15/2022 | | | 13,550,000 | | | | 13,646,442 | |
| 0.38%, 7/15/2025 | | | 5,680,000 | | | | 5,917,024 | |
| 0.63%, 1/15/2026 | | | 10,630,000 | | | | 11,211,522 | |
| 0.13%, 7/15/2026 | | | 12,080,000 | | | | 12,146,025 | |
| 0.38%, 7/15/2027 | | | 6,280,000 | | | | 6,298,785 | |
| | | | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $96,821,556) | | | | 96,976,699 | |
| | | | | | | | |
| | |
| | | SHARES | | | | |
| SHORT-TERM INVESTMENTS - 60.3% | |
| INVESTMENT COMPANIES - 43.9% | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.17% (d) | | | 7,727,253 | | | | 7,727,253 | |
| Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.15% (d) | | | 30,909,012 | | | | 30,909,012 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.24% (d)(e) | | | 33,825,191 | | | | 33,825,191 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.18% (d)(e) | | | 3,433,351 | | | | 3,433,351 | |
| Limited Purpose Cash Investment Fund, 1.17% (d) | | | 93,063,242 | | | | 93,053,936 | |
| UBS Select Treasury Preferred Fund, Class I, 1.16% (d) | | | 38,637,110 | | | | 38,637,110 | |
| | | | | | | | |
TOTAL INVESTMENT COMPANIES (Cost $207,585,853) | | | | | | | 207,585,853 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| U.S. TREASURY OBLIGATIONS - 16.4% | |
| U.S. Treasury Bills | |
| 1.10%, 1/18/2018 (f) | | $ | 3,254,000 | | | $ | 3,252,208 | |
| 1.14%, 1/25/2018 (f) | | | 3,024,000 | | | | 3,021,624 | |
| 1.15%, 2/8/2018 (f) | | | 28,446,000 | | | | 28,409,418 | |
| 1.12%, 2/15/2018 (f) | | | 1,582,000 | | | | 1,579,607 | |
| 1.12%, 3/1/2018 (f) | | | 21,178,000 | | | | 21,134,582 | |
| 1.15%, 3/15/2018 (f) | | | 2,826,000 | | | | 2,818,681 | |
| 1.20%, 4/5/2018 (f) | | | 409,000 | | | | 407,533 | |
| 1.23%, 4/12/2018 (f) | | | 1,233,000 | | | | 1,228,239 | |
| 1.25%, 4/26/2018 (f) | | | 1,443,000 | | | | 1,436,751 | |
| 1.31%, 5/10/2018 (f) | | | 1,798,000 | | | | 1,788,890 | |
| 1.37%, 5/17/2018 (f) | | | 2,664,000 | | | | 2,649,814 | |
| 1.43%, 5/24/2018 (f) | | | 104,000 | | | | 103,407 | |
| 1.45%, 5/31/2018 (f) | | | 1,472,000 | | | | 1,463,151 | |
| 1.46%, 6/7/2018 (f) | | | 1,770,000 | | | | 1,758,744 | |
| 1.47%, 6/14/2018 (f) | | | 4,051,000 | | | | 4,024,221 | |
| 1.49%, 6/21/2018 (f) | | | 2,291,000 | | | | 2,274,772 | |
| | | | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $77,362,650) | | | | | | | 77,351,642 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(Cost $284,948,503) | | | | | | | 284,937,495 | |
| | | | | | | | |
TOTAL INVESTMENTS IN
SECURITIES AT VALUE - 94.2%
(Cost $441,871,532) | | | | | | | 445,209,705 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.8% (g) | | | | | | | 27,518,105 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 472,727,810 | |
| | | | | | | | |
| (a) | 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 December 31, 2017, the value of these securities amounted to $37,958,360 or 8.03% of net assets. |
| (b) | Inflation protected security. |
| (c) | All or a portion of the security pledged as collateral for futures contracts. |
| (d) | Represents 7-day effective yield as of December 31, 2017. |
| (e) | All or a portion of the security pledged as collateral for swap contracts. |
| (f) | The rate shown was the effective yield at the date of purchase. |
| (g) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820 (See Note 5).
The following abbreviations are used in portfolio descriptions:
EUR - Euro
GBP - British Pound
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
166
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
Credit default swap contracts outstanding - sell protection as of December 31, 2017:
Exchange Cleared
| | | | | | | | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | FINANCING
RATE
RECEIVED | | PAYMENT
FREQUENCY | | MATURITY
DATE | | CREDIT
SPREAD | | | NOTIONAL
AMOUNT | | | UPFRONT
PAYMENTS
(RECEIPTS) | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | | | VALUE | |
iTraxx Europe Crossover
Series 28.V1 | | 5.00% | | Quarterly | | 12/20/2022 | | | 2.34 | % | | EUR | 55,975,000 | | | | $7,363,671 | | | | $914,018 | | | | $8,277,689 | |
iTraxx Europe Series 28.V1 | | 1.00 | | Quarterly | | 12/20/2022 | | | 0.45 | | | EUR | 102,000,000 | | | | 2,597,715 | | | | 755,177 | | | | 3,352,892 | |
Markit CDX North America High Yield Index Series 29.V1 | | 5.00 | | Quarterly | | 12/20/2022 | | | 3.07 | | | USD | 66,300,000 | | | | 4,702,483 | | | | 880,710 | | | | 5,583,193 | |
Markit CDX North America Investment Grade Index
Series 29.V1 | | 1.00 | | Quarterly | | 12/20/2022 | | | 0.49 | | | USD | 118,875,000 | | | | 2,334,866 | | | | 530,770 | | | | 2,865,636 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 16,998,735 | | | | 3,080,675 | | | | 20,079,410 | |
| | | | | | | | | | | | | | | | | | |
Markit CDX Emerging Market Index Series 28.V2 | | 1.00 | | Quarterly | | 12/20/2022 | | | 1.20 | | | USD | 16,750,000 | | | | $(678,855 | ) | | | $537,247 | | | | $(141,608 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | (678,855 | ) | | | 537,247 | | | | (141,608 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | $16,319,880 | | | | $3,617,922 | | | | $19,937,802 | |
| | | | | | | | | | | | | | | | | | |
Forward Effective Interest rate swap contracts outstanding as of December 31, 2017:
Exchange Cleared
| | | | | | | | | | | | | | | | | | | | | | | | |
PAY/RECEIVE
FLOATING RATE | | FLOATING RATE
INDEX (a) | | FIXED RATE | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | UPFRONT
PREMIUM
PAID
(RECEIVED) | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | | | VALUE | |
| Pay | | 3 Month Johannesburg Interbank Agreed Rate Quarterly | | 7.50% Quarterly | | | 3/15/2023 | | | ZAR | 188,700,000 | | | | $137,882 | | | | $(50,543 | ) | | | $87,339 | |
| Pay | | 6 Month Budapest Interbank Offered Rate Semi-Annually | | 1.50% Annually | | | 3/15/2023 | | | HUF | 2,452,600,000 | | | | 98,739 | | | | 213,411 | | | | 312,150 | |
| Pay | | 6 Month Budapest Interbank Offered Rate Semi-Annually | | 1.00% Annually | | | 3/15/2023 | | | HUF | 730,700,000 | | | | 4,571 | | | | 18,441 | | | | 23,012 | |
| Pay | | 6 Month Singapore Interbank Offered Rate Semi-Annually | | 2.00% Semi-Annually | | | 3/15/2023 | | | SGD | 28,300,000 | | | | 89,987 | | | | 28,302 | | | | 118,289 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 331,179 | | | | 209,611 | | | | 540,790 | |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
167
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | |
PAY/RECEIVE
FLOATING RATE | | FLOATING RATE
INDEX (a) | | FIXED RATE | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | UPFRONT
PREMIUM
PAID
(RECEIVED) | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | | | VALUE | |
| Pay | | 1 Month Mexico Equilibrium Interbank Interest Rate Monthly | | 7.50% Monthly | | | 3/15/2023 | | | MXN | 10,800,000 | | | | $ (10,404 | ) | | | $ 1,926 | | | | $ (8,478 | ) |
| Pay | | 1 Month Mexico Equilibrium Interbank Interest Rate Monthly | | 7.00% Monthly | | | 3/15/2023 | | | MXN | 373,200,000 | | | | (136,462 | ) | | | (545,419 | ) | | | (681,881 | ) |
| Pay | | 3 Month Hong Kong Interbank Offered Rate Quarterly | | 2.00% Quarterly | | | 3/15/2023 | | | HKD | 165,800,000 | | | | 224,368 | | | | (372,068 | ) | | | (147,700 | ) |
| Pay | | 6 Month Prague Interbank Offered Rate Semi-Annually | | 1.50% Annually | | | 3/15/2023 | | | CZK | 72,600,000 | | | | (6,928 | ) | | | (24,128 | ) | | | (31,056 | ) |
| Pay | | 6 Month Prague Interbank Offered Rate Semi-Annually | | 1.00% Annually | | | 3/15/2023 | | | CZK | 248,200,000 | | | | (147,274 | ) | | | (252,172 | ) | | | (399,446 | ) |
| Pay | | 6 Month Warsaw Interbank Offered Rate Semi-Annually | | 2.50% Annually | | | 3/15/2023 | | | PLN | 76,900,000 | | | | 66,667 | | | | (127,090 | ) | | | (60,423 | ) |
| Receive | | 3 Month Johannesburg Interbank Agreed Rate Quarterly | | 8.00% Quarterly | | | 3/15/2023 | | | ZAR | 26,100,000 | | | | 4,402 | | | | (59,563 | ) | | | (55,161 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (5,631 | ) | | | (1,378,514 | ) | | | (1,384,145 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $325,548 | | | | $(1,168,903 | ) | | | $(843,355 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | |
Forward Effective Interest rate swap contracts outstanding as of December 31, 2017:
Over the Counter
| | | | | | | | | | | | | | | | | | | | | | | | | | |
PAY/
RECEIVE
FLOATING
RATE | | FLOATING RATE
INDEX (a) | | FIXED RATE | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | UPFRONT
PREMIUM
PAID
(RECEIVED) | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | | | VALUE | |
| Receive | | 3 Month Korean Certificate of Deposit Quarterly | | 2.02% Quarterly | | CITI | | | 3/15/2023 | | | KRW | 82,300,000 | ** | | | $— | | | | $471 | | | | $471 | |
| Pay | | 3 Month Korean Certificate of Deposit Quarterly | | 2.17% Quarterly | | CITI | | | 3/15/2023 | | | KRW | 341,700,000 | ** | | | — | | | | 259 | | | | 259 | |
| Pay | | 3 Month Korean Certificate of Deposit Quarterly | | 2.20% Quarterly | | CITI | | | 3/15/2023 | | | KRW | 598,600,000 | ** | | | — | | | | 1,242 | | | | 1,242 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | — | | | | 1,972 | | | | 1,972 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Pay | | 3 Month Korean Certificate of Deposit Quarterly | | 1.87% Quarterly | | CITI | | | 3/15/2023 | | | KRW | 14,496,900,000 | ** | | | — | | | | (180,077 | ) | | | (180,077 | ) |
| Pay | | 3 Month Korean Certificate of Deposit Quarterly | | 1.85% Quarterly | | CITI | | | 3/15/2023 | | | KRW | 14,716,600,000 | ** | | | — | | | | (195,736 | ) | | | (195,736 | ) |
| Pay | | 3 Month Korean Certificate of Deposit Quarterly | | 1.85% Quarterly | | CITI | | | 3/15/2023 | | | KRW | 14,716,500,000 | ** | | | — | | | | (198,643 | ) | | | (198,643 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
168
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
PAY/
RECEIVE
FLOATING
RATE | | FLOATING RATE
INDEX (a) | | FIXED RATE | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | UPFRONT
PREMIUM
PAID
(RECEIVED) | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | | | VALUE | |
| Pay | | 3 Month Korean Certificate of Deposit Quarterly | | 1.82% Quarterly | | CITI | | | 3/15/2023 | | | KRW | 282,400,000 | ** | | | $ — | | | | $ (4,097 | ) | | | $ (4,097 | ) |
| Pay | | 3 Month Korean Certificate of Deposit Quarterly | | 2.01% Quarterly | | CITI | | | 3/15/2023 | | | KRW | 663,600,000 | ** | | | — | | | | (4,249 | ) | | | (4,249 | ) |
| Pay | | 3 Month Korean Certificate of Deposit Quarterly | | 2.14% Quarterly | | CITI | | | 3/15/2023 | | | KRW | 42,600,000 | ** | | | — | | | | (29 | ) | | | (29 | ) |
| Receive | | 3 Month Korean Certificate of Deposit Quarterly | | 2.23% Quarterly | | CITI | | | 3/15/2023 | | | KRW | 679,000,000 | ** | | | — | | | | (2,378 | ) | | | (2,378 | ) |
| Receive | | 3 Month Korean Certificate of Deposit Quarterly | | 2.17% Quarterly | | CITI | | | 3/15/2023 | | | | KRW 1,859,800,000 | ** | | | — | | | | (1,652 | ) | | | (1,652 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | — | | | | (586,861 | ) | | | (586,861 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | $— | | | | $(584,889 | ) | | | $(584,889 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| ** | Non-deliverable currency. |
| (a) | Floating rate indices at December 31, 2017 were as follows: |
| | 1 Month Mexico Equilibrium Interbank Interest Rate: 7.98% |
| | 3 Month Hong Kong Interbank Offered Rate: 1.31% |
| | 3 Month Johannesburg Interbank Agreed Rate: 7.16% |
| | 3 Month Korean Certificate of Deposit: 1.66% |
| | 6 Month Budapest Interbank Offered Rate: 0.06% |
| | 6 Month Prague Interbank Offered Rate: 0.85% |
| | 6 Month Singapore Interbank Offered Rate: 1.57% |
| | 6 Month Warsaw Interbank Offered Rate: 1.71 |
Total return swap contracts outstanding as of December 31, 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) | |
Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/09/2018 | | | USD | 825,615 | | | | $111,127 | |
Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/09/2018 | | | USD | 78,630 | | | | 10,790 | |
Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/09/2018 | | | USD | 78,630 | | | | 10,613 | |
Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/09/2018 | | | USD | 78,630 | | | | 1,509 | |
Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | HKD | 14,974,000 | | | | 29,383 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
169
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | | | | | | | | | | | | | | | | | |
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 January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/30/2018 | | | HKD | 1,497,400 | | | | $ 2,604 | |
Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | JPMC | | | 01/30/2018 | | | HKD | 7,487,000 | | | | 13,091 | |
Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 01/30/2018 | | | HKD | 7,487,000 | | | | 14,515 | |
H-Shares Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | HKD | 45,747,000 | | | | 56,179 | |
H-Shares Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/30/2018 | | | HKD | 15,835,500 | | | | 14,485 | |
H-Shares Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | JPMC | | | 01/30/2018 | | | HKD | 26,979,000 | | | | 17,115 | |
H-Shares Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 01/30/2018 | | | HKD | 21,700,500 | | | | 20,779 | |
iBovespa Index February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 02/14/2018 | | | BRL | 7,300,085 | | | | 93,324 | |
KOSPI 200 Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 03/08/2018 | | | KRW | 652,300,000 | | | | 7,488 | |
KOSPI 200 Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | JPMC | | | 03/08/2018 | | | KRW | 1,712,287,500 | | | | 18,755 | |
KOSPI 200 Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 03/08/2018 | | | KRW | 5,463,012,500 | | | | 62,362 | |
Lean Hogs February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/14/2018 | | | USD | (28,710 | ) | | | 63 | |
Lean Hogs February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MLIN | | | 02/14/2018 | | | USD | (86,130 | ) | | | 390 | |
Lean Hogs February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/14/2018 | | | USD | (86,130 | ) | | | 240 | |
Live Cattle February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/02/2018 | | | USD | (48,620 | ) | | | 39 | |
Live Cattle February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/02/2018 | | | USD | (97,240 | ) | | | 115 | |
Live Cattle April Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MLIN | | | 04/06/2018 | | | USD | 195,880 | | | | 20 | |
MSCI Taiwan Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | USD | 1,296,900 | | | | 20,370 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
170
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY FUND | | PAYMENTS
RECEIVED
BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
MSCI Taiwan Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/30/2018 | | | USD | 786,000 | | | | $ 12,182 | |
MSCI Taiwan Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | JPMC | | | 01/30/2018 | | | USD | 628,800 | | | | 6,033 | |
MSCI Taiwan Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 01/30/2018 | | | USD | 1,572,000 | | | | 29,124 | |
SGX S&P CNX Nifty Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/25/2018 | | | USD | 485,691 | | | | 1,384 | |
SGX S&P CNX Nifty Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 01/25/2018 | | | USD | 1,309,254 | | | | 2,007 | |
Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MLIN | | | 02/23/2018 | | | USD | (95,040 | ) | | | 20 | |
Soybean Oil March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | (219,516 | ) | | | 2,063 | |
Swiss Market Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | Monthly | | MSCS | | | 03/16/2018 | | | CHF | 4,819,880 | | | | 13,605 | |
TAIEX Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/17/2018 | | | TWD | 29,772,400 | | | | 13,799 | |
TAIEX Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 01/17/2018 | | | TWD | 34,025,600 | | | | 15,923 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 601,496 | |
| | | | | | | | | | | | | | | | | | | | |
Coffee ‘C’ March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/09/2018 | | | USD | 567,900 | | | | (26,004 | ) |
Coffee ‘C’ March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/09/2018 | | | USD | 189,300 | | | | (6,452 | ) |
Coffee ‘C’ March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/09/2018 | | | USD | 331,275 | | | | (15,304 | ) |
| Corn March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 1,718,675 | | | | (58,571 | ) |
| Corn March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | 210,450 | | | | (89 | ) |
| Corn March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | 210,450 | | | | (6,890 | ) |
| Corn March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | 1,245,162 | | | | (40,145 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
171
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY FUND | | PAYMENTS
RECEIVED
BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
KC HRW Wheat March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 21,362 | | | | $ (881 | ) |
KC HRW Wheat March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | 85,450 | | | | (3,842 | ) |
Lean Hogs February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/14/2018 | | | USD | 86,130 | | | | (270 | ) |
Lean Hogs February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MLIN | | | 02/14/2018 | | | USD | 1,004,850 | | | | (9,097 | ) |
Lean Hogs February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/14/2018 | | | USD | 1,291,950 | | | | (3,872 | ) |
Lean Hogs February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/14/2018 | | | USD | 459,360 | | | | (2,269 | ) |
Lean Hogs April Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MLIN | | | 04/13/2018 | | | USD | 90,780 | | | | (585 | ) |
Lean Hogs April Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 04/13/2018 | | | USD | 90,780 | | | | (384 | ) |
Lean Hogs April Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 04/13/2018 | | | USD | 30,260 | | | | (124 | ) |
Live Cattle February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/02/2018 | | | USD | 680,680 | | | | (48,080 | ) |
Live Cattle February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/02/2018 | | | USD | 1,653,080 | | | | (111,384 | ) |
Live Cattle February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MLIN | | | 02/02/2018 | | | USD | 2,090,660 | | | | (141,133 | ) |
Live Cattle February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MLIN | | | 02/02/2018 | | | USD | (194,480 | ) | | | (120 | ) |
Live Cattle April Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 04/06/2018 | | | USD | 48,970 | | | | (84 | ) |
Live Cattle April Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 04/06/2018 | | | USD | 97,940 | | | | (195 | ) |
SGX S&P CNX Nifty Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | JPMC | | | 01/25/2018 | | | USD | 570,159 | | | | (852 | ) |
Soybean March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | 817,487 | | | | (33,137 | ) |
Soybean March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | 769,400 | | | | (27,277 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
172
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY FUND | | PAYMENTS
RECEIVED
BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Soybean March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 96,175 | | | | $ (4,651 | ) |
Soybean March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | 2,548,637 | | | | (106,229 | ) |
Soybean March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MLIN | | | 02/23/2018 | | | USD | 1,971,587 | | | | (80,175 | ) |
Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | 1,108,800 | | | | (21,245 | ) |
Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 380,160 | | | | (3,277 | ) |
Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MLIN | | | 02/23/2018 | | | USD | 380,160 | | | | (6,460 | ) |
Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | 506,880 | | | | (4,576 | ) |
Soybean Oil March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | 119,736 | | | | (1,584 | ) |
Soybean Oil March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 59,868 | | | | (439 | ) |
Soybean Oil March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | 2,394,720 | | | | (42,351 | ) |
Soybean Oil March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | (19,956 | ) | | | (264 | ) |
Wheat March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | 106,750 | | | | (6,371 | ) |
Wheat March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 149,450 | | | | (8,097 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (822,760 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | $(221,264 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
173
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
Futures contracts outstanding as of December 31, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | | | | | | | | | | | | | |
| Amsterdam Exchange Index | | 28 | | 1/2018 | | | EUR | | | | $3,658,583 | | | | $(37,220 | ) |
| CAC 40 10 Euro Index | | 56 | | 1/2018 | | | EUR | | | | 3,568,210 | | | | (50,652 | ) |
| Hang Seng Index | | 16 | | 1/2018 | | | HKD | | | | 3,066,538 | | | | 37,513 | |
| H-Shares Index | | 4 | | 1/2018 | | | HKD | | | | 300,275 | | | | 1,961 | |
| IBEX 35 Index | | 11 | | 1/2018 | | | EUR | | | | 1,322,580 | | | | (29,051 | ) |
| LME Aluminum Base Metal | | 1 | | 1/2018 | | | USD | | | | 56,468 | | | | 3,095 | |
| LME Aluminum Base Metal | | 2 | | 1/2018 | | | USD | | | | 112,937 | | | | 5,867 | |
| LME Aluminum Base Metal | | 2 | | 1/2018 | | | USD | | | | 113,022 | | | | 2,996 | |
| LME Copper Base Metal | | 6 | | 1/2018 | | | USD | | | | 1,082,550 | | | | 38,749 | |
| LME Copper Base Metal | | 10 | | 1/2018 | | | USD | | | | 1,805,910 | | | | 93,333 | |
| LME Lead Base Metal | | 1 | | 1/2018 | | | USD | | | | 62,085 | | | | 1,408 | |
| LME Lead Base Metal | | 1 | | 1/2018 | | | USD | | | | 62,149 | | | | (1,735 | ) |
| LME Lead Base Metal | | 1 | | 1/2018 | | | USD | | | | 62,059 | | | | (244 | ) |
| LME Nickel Base Metal | | 1 | | 1/2018 | | | USD | | | | 76,321 | | | | 4,798 | |
| LME Nickel Base Metal | | 1 | | 1/2018 | | | USD | | | | 76,266 | | | | 8,703 | |
| LME Nickel Base Metal | | 2 | | 1/2018 | | | USD | | | | 152,481 | | | | 25,276 | |
| LME Nickel Base Metal | | 3 | | 1/2018 | | | USD | | | | 228,877 | | | | 18,629 | |
| LME Zinc Base Metal | | 1 | | 1/2018 | | | USD | | | | 83,304 | | | | 1,851 | |
| LME Zinc Base Metal | | 1 | | 1/2018 | | | USD | | | | 83,350 | | | | 5,898 | |
| SGX S&P CNX Nifty Index | | 66 | | 1/2018 | | | USD | | | | 1,393,722 | | | | 2,893 | |
| 100 oz Gold | | 164 | | 2/2018 | | | USD | | | | 21,472,520 | | | | 457,953 | |
| Brent Crude Oil | | 336 | | 2/2018 | | | USD | | | | 22,323,840 | | | | 1,326,270 | |
| Lean Hogs | | 13 | | 2/2018 | | | USD | | | | 373,230 | | | | 17,786 | |
| Live Cattle | | 55 | | 2/2018 | | | USD | | | | 2,674,100 | | | | (153,626 | ) |
| LME Aluminum Base Metal | | 1 | | 2/2018 | | | USD | | | | 56,553 | | | | 2,351 | |
| LME Aluminum Base Metal | | 8 | | 2/2018 | | | USD | | | | 453,350 | | | | 29,730 | |
| LME Aluminum Base Metal | | 11 | | 2/2018 | | | USD | | | | 623,356 | | | | 58,204 | |
| LME Aluminum Base Metal | | 17 | | 2/2018 | | | USD | | | | 962,854 | | | | 60,963 | |
| LME Copper Base Metal | | 1 | | 2/2018 | | | USD | | | | 180,605 | | | | 7,061 | |
| LME Copper Base Metal | | 3 | | 2/2018 | | | USD | | | | 542,788 | | | | 34,195 | |
| LME Copper Base Metal | | 6 | | 2/2018 | | | USD | | | | 1,085,448 | | | | 45,374 | |
| LME Copper Base Metal | | 6 | | 2/2018 | | | USD | | | | 1,084,789 | | | | 69,015 | |
| LME Copper Base Metal | | 9 | | 2/2018 | | | USD | | | | 1,625,569 | | | | 66,282 | |
| LME Lead Base Metal | | 1 | | 2/2018 | | | USD | | | | 62,120 | | | | 1,505 | |
| LME Lead Base Metal | | 1 | | 2/2018 | | | USD | | | | 62,143 | | | | 890 | |
| LME Lead Base Metal | | 2 | | 2/2018 | | | USD | | | | 124,179 | | | | 1,774 | |
| LME Nickel Base Metal | | 1 | | 2/2018 | | | USD | | | | 76,350 | | | | 717 | |
| LME Nickel Base Metal | | 2 | | 2/2018 | | | USD | | | | 152,923 | | | | 17,138 | |
| LME Nickel Base Metal | | 3 | | 2/2018 | | | USD | | | | 229,222 | | | | 19,155 | |
| LME Nickel Base Metal | | 3 | | 2/2018 | | | USD | | | | 229,370 | | | | 19,843 | |
| LME Zinc Base Metal | | 1 | | 2/2018 | | | USD | | | | 83,175 | | | | 3,897 | |
| LME Zinc Base Metal | | 2 | | 2/2018 | | | USD | | | | 166,454 | | | | 8,847 | |
| LME Zinc Base Metal | | 2 | | 2/2018 | | | USD | | | | 166,350 | | | | 6,922 | |
| LME Zinc Base Metal | | 2 | | 2/2018 | | | USD | | | | 166,600 | | | | 6,595 | |
| Natural Gas | | 66 | | 2/2018 | | | USD | | | | 1,917,960 | | | | 103,024 | |
| NY Harbor ULSD | | 45 | | 2/2018 | | | USD | | | | 3,862,782 | | | | 235,600 | |
| RBOB Gasoline | | 49 | | 2/2018 | | | USD | | | | 3,731,771 | | | | 145,298 | |
| Sugar No. 11 | | 213 | | 2/2018 | | | USD | | | | 3,616,570 | | | | 160,303 | |
| WTI Crude Oil | | 427 | | 2/2018 | | | USD | | | | 25,807,880 | | | | 1,352,173 | |
| Australia 10 Year Bond | | 108 | | 3/2018 | | | AUD | | | | 10,883,751 | | | | (85,008 | ) |
| Canada 10 Year Bond | | 124 | | 3/2018 | | | CAD | | | | 13,295,720 | | | | (151,292 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
174
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts (continued) | | | | | | | | | | | | | |
| Cocoa | | 42 | | 3/2018 | | | USD | | | | $ 794,640 | | | | $ (59,701 | ) |
| Coffee ‘C’ | | 55 | | 3/2018 | | | USD | | | | 2,602,875 | | | | (112,529 | ) |
| Corn | | 307 | | 3/2018 | | | USD | | | | 5,384,012 | | | | (176,695 | ) |
| Cotton No. 2 | | 38 | | 3/2018 | | | USD | | | | 1,493,970 | | | | 199,791 | |
| DAX Index | | 17 | | 3/2018 | | | EUR | | | | 6,583,277 | | | | (111,387 | ) |
| EURO STOXX 50 Index | | 299 | | 3/2018 | | | EUR | | | | 12,531,317 | | | | (301,835 | ) |
| Euro-Schatz | | 583 | | 3/2018 | | | EUR | | | | 113,097,188 | | | | (781,306 | ) |
| Feeder Cattle | | 10 | | 3/2018 | | | USD | | | | 713,375 | | | | (62,884 | ) |
| FTSE 100 Index | | 122 | | 3/2018 | | | GBP | | | | 12,581,183 | | | | 366,411 | |
| FTSE/JSE Top 40 Index | | 71 | | 3/2018 | | | ZAR | | | | 3,051,408 | | | | 59,686 | |
| FTSE/MIB Index | | 18 | | 3/2018 | | | EUR | | | | 2,349,462 | | | | (85,035 | ) |
| Japan 10 Year Bond | | 9 | | 3/2018 | | | JPY | | | | 12,043,665 | | | | (6,591 | ) |
| KC HRW Wheat | | 16 | | 3/2018 | | | USD | | | | 341,800 | | | | (18,310 | ) |
| KOSPI 200 Index | | 12 | | 3/2018 | | | KRW | | | | 913,969 | | | | 11,135 | |
| LME Aluminum Base Metal | | 10 | | 3/2018 | | | USD | | | | 567,045 | | | | 62,733 | |
| LME Aluminum Base Metal | | 205 | | 3/2018 | | | USD | | | | 11,641,438 | | | | 541,041 | |
| LME Copper Base Metal | | 3 | | 3/2018 | | | USD | | | | 543,713 | | | | 27,102 | |
| LME Copper Base Metal | | 91 | | 3/2018 | | | USD | | | | 16,488,062 | | | | 980,980 | |
| LME Lead Base Metal | | 1 | | 3/2018 | | | USD | | | | 62,160 | | | | (860 | ) |
| LME Lead Base Metal | | 27 | | 3/2018 | | | USD | | | | 1,679,063 | | | | (33,961 | ) |
| LME Nickel Base Metal | | 2 | | 3/2018 | | | USD | | | | 152,990 | | | | 23,419 | |
| LME Nickel Base Metal | | 40 | | 3/2018 | | | USD | | | | 3,062,400 | | | | 425,986 | |
| LME Zinc Base Metal | | 52 | | 3/2018 | | | USD | | | | 4,323,150 | | | | 125,982 | |
| Long Gilt | | 52 | | 3/2018 | | | GBP | | | | 8,787,208 | | | | (3,785 | ) |
| Low Sulphur Gasoil | | 104 | | 3/2018 | | | USD | | | | 6,232,200 | | | | 357,355 | |
| Russell 2000 E-Mini Index | | 89 | | 3/2018 | | | USD | | | | 6,837,425 | | | | 52,666 | |
| S&P 500 E-Mini Index | | 735 | | 3/2018 | | | USD | | | | 98,343,000 | | | | 821,073 | |
| S&P Midcap 400 E-Mini Index | | 46 | | 3/2018 | | | USD | | | | 8,751,040 | | | | 49,497 | |
| S&P/TSX 60 Index | | 30 | | 3/2018 | | | CAD | | | | 4,569,928 | | | | 18,774 | |
| Silver | | 33 | | 3/2018 | | | USD | | | | 2,828,925 | | | | 4,525 | |
| Soybean | | 58 | | 3/2018 | | | USD | | | | 2,789,075 | | | | (115,890 | ) |
| SPI 200 Index | | 22 | | 3/2018 | | | AUD | | | | 2,583,408 | | | | (3,786 | ) |
| TOPIX Index | | 120 | | 3/2018 | | | JPY | | | | 19,351,231 | | | | 334,977 | |
| U.S. Treasury 10 Year Note | | 1,288 | | 3/2018 | | | USD | | | | 159,772,375 | | | | (580,788 | ) |
| Wheat | | 57 | | 3/2018 | | | USD | | | | 1,216,950 | | | | (83,178 | ) |
| 100 oz Gold | | 17 | | 4/2018 | | | USD | | | | 2,233,800 | | | | 5,033 | |
| Lean Hogs | | 1 | | 4/2018 | | | USD | | | | 30,260 | | | | (122 | ) |
| Live Cattle | | 5 | | 4/2018 | | | USD | | | | 244,850 | | | | (529 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | 5,932,001 | |
| | | | | | | | | | | | | | | | |
| Short Contracts | | | | | | | | | | | | | |
| LME Aluminum Base Metal | | (1) | | 1/2018 | | | USD | | | | (56,468 | ) | | | (3,371 | ) |
| LME Aluminum Base Metal | | (2) | | 1/2018 | | | USD | | | | (113,022 | ) | | | (3,127 | ) |
| LME Aluminum Base Metal | | (2) | | 1/2018 | | | USD | | | | (112,937 | ) | | | (5,817 | ) |
| LME Copper Base Metal | | (6) | | 1/2018 | | | USD | | | | (1,082,550 | ) | | | (40,965 | ) |
| LME Copper Base Metal | | (10) | | 1/2018 | | | USD | | | | (1,805,910 | ) | | | (89,685 | ) |
| LME Lead Base Metal | | (1) | | 1/2018 | | | USD | | | | (62,059 | ) | | | 118 | |
| LME Lead Base Metal | | (1) | | 1/2018 | | | USD | | | | (62,149 | ) | | | 1,906 | |
| LME Lead Base Metal | | (1) | | 1/2018 | | | USD | | | | (62,085 | ) | | | (1,377 | ) |
| LME Nickel Base Metal | | (1) | | 1/2018 | | | USD | | | | (76,266 | ) | | | (8,584 | ) |
| LME Nickel Base Metal | | (1) | | 1/2018 | | | USD | | | | (76,321 | ) | | | (5,068 | ) |
| LME Nickel Base Metal | | (2) | | 1/2018 | | | USD | | | | (152,481 | ) | | | (24,969 | ) |
| LME Nickel Base Metal | | (3) | | 1/2018 | | | USD | | | | (228,877 | ) | | | (18,091 | ) |
| LME Zinc Base Metal | | (1) | | 1/2018 | | | USD | | | | (83,303 | ) | | | (2,027 | ) |
| LME Zinc Base Metal | | (1) | | 1/2018 | | | USD | | | | (83,350 | ) | | | (5,816 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
175
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts (continued) | | | | | | | | | | | | | |
| LME Aluminum Base Metal | | (1) | | 2/2018 | | | USD | | | | $ (56,553 | ) | | | $ (2,377 | ) |
| LME Aluminum Base Metal | | (8) | | 2/2018 | | | USD | | | | (453,350 | ) | | | (28,730 | ) |
| LME Aluminum Base Metal | | (11) | | 2/2018 | | | USD | | | | (623,356 | ) | | | (58,139 | ) |
| LME Aluminum Base Metal | | (17) | | 2/2018 | | | USD | | | | (962,854 | ) | | | (62,179 | ) |
| LME Copper Base Metal | | (1) | | 2/2018 | | | USD | | | | (180,605 | ) | | | (6,108 | ) |
| LME Copper Base Metal | | (3) | | 2/2018 | | | USD | | | | (542,788 | ) | | | (33,996 | ) |
| LME Copper Base Metal | | (6) | | 2/2018 | | | USD | | | | (1,085,448 | ) | | | (45,663 | ) |
| LME Copper Base Metal | | (6) | | 2/2018 | | | USD | | | | (1,084,789 | ) | | | (69,307 | ) |
| LME Copper Base Metal | | (9) | | 2/2018 | | | USD | | | | (1,625,569 | ) | | | (76,916 | ) |
| LME Lead Base Metal | | (1) | | 2/2018 | | | USD | | | | (62,120 | ) | | | (1,462 | ) |
| LME Lead Base Metal | | (1) | | 2/2018 | | | USD | | | | (62,143 | ) | | | (396 | ) |
| LME Lead Base Metal | | (2) | | 2/2018 | | | USD | | | | (124,179 | ) | | | (921 | ) |
| LME Nickel Base Metal | | (1) | | 2/2018 | | | USD | | | | (76,350 | ) | | | (589 | ) |
| LME Nickel Base Metal | | (2) | | 2/2018 | | | USD | | | | (152,923 | ) | | | (17,466 | ) |
| LME Nickel Base Metal | | (3) | | 2/2018 | | | USD | | | | (229,222 | ) | | | (20,153 | ) |
| LME Nickel Base Metal | | (3) | | 2/2018 | | | USD | | | | (229,370 | ) | | | (19,586 | ) |
| LME Zinc Base Metal | | (1) | | 2/2018 | | | USD | | | | (83,175 | ) | | | (3,890 | ) |
| LME Zinc Base Metal | | (2) | | 2/2018 | | | USD | | | | (166,454 | ) | | | (8,659 | ) |
| LME Zinc Base Metal | | (2) | | 2/2018 | | | USD | | | | (166,600 | ) | | | (4,776 | ) |
| LME Zinc Base Metal | | (2) | | 2/2018 | | | USD | | | | (166,350 | ) | | | (7,774 | ) |
| LME Aluminum Base Metal | | (10) | | 3/2018 | | | USD | | | | (567,045 | ) | | | (63,401 | ) |
| LME Aluminum Base Metal | | (47) | | 3/2018 | | | USD | | | | (2,669,012 | ) | | | (214,198 | ) |
| LME Copper Base Metal | | (3) | | 3/2018 | | | USD | | | | (543,713 | ) | | | (26,926 | ) |
| LME Lead Base Metal | | (1) | | 3/2018 | | | USD | | | | (62,160 | ) | | | 189 | |
| LME Lead Base Metal | | (7) | | 3/2018 | | | USD | | | | (435,313 | ) | | | (4,493 | ) |
| LME Nickel Base Metal | | (2) | | 3/2018 | | | USD | | | | (152,990 | ) | | | (22,208 | ) |
| LME Nickel Base Metal | | (16) | | 3/2018 | | | USD | | | | (1,224,960 | ) | | | (112,464 | ) |
| LME Zinc Base Metal | | (4) | | 3/2018 | | | USD | | | | (332,550 | ) | | | (15,110 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | (1,134,571 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | $4,797,430 | |
| | | | | | | | | | | | | | | | |
Forward foreign currency contracts outstanding as of December 31, 2017:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| CNY | | | 13,700,800 | | | USD | | | 2,054,651 | | | CITI** | | | 3/21/2018 | | | | $39,765 | |
| CNY | | | 20,551,200 | | | USD | | | 3,081,980 | | | JPMC** | | | 3/21/2018 | | | | 59,643 | |
| EUR | | | 694,400 | | | USD | | | 823,280 | | | CITI | | | 3/21/2018 | | | | 13,785 | |
| EUR | | | 1,041,600 | | | USD | | | 1,235,333 | | | JPMC | | | 3/21/2018 | | | | 20,264 | |
| HUF | | | 865,368,400 | | | USD | | | 3,300,462 | | | CITI | | | 3/21/2018 | | | | 53,931 | |
| HUF | | | 1,298,052,600 | | | USD | | | 4,950,702 | | | JPMC | | | 3/21/2018 | | | | 80,889 | |
| INR | | | 339,241,200 | | | USD | | | 5,164,279 | | | CITI** | | | 3/21/2018 | | | | 111,784 | |
| INR | | | 508,861,800 | | | USD | | | 7,746,427 | | | JPMC** | | | 3/21/2018 | | | | 167,666 | |
| KRW | | | 11,064,161,600 | | | USD | | | 10,146,003 | | | CITI** | | | 3/21/2018 | | | | 230,133 | |
| KRW | | | 16,596,242,399 | | | USD | | | 15,219,024 | | | JPMC** | | | 3/21/2018 | | | | 345,181 | |
| PLN | | | 24,711,200 | | | USD | | | 6,952,062 | | | CITI | | | 3/21/2018 | | | | 148,874 | |
| PLN | | | 37,066,800 | | | USD | | | 10,428,106 | | | JPMC | | | 3/21/2018 | | | | 223,299 | |
| TRY | | | 34,958,800 | | | USD | | | 8,630,996 | | | CITI | | | 3/21/2018 | | | | 384,372 | |
| TRY | | | 52,438,200 | | | USD | | | 12,946,515 | | | JPMC | | | 3/21/2018 | | | | 576,537 | |
| USD | | | 117,480 | | | BRL | | | 390,400 | | | CITI** | | | 3/21/2018 | | | | 780 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
176
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| USD | | | 176,219 | | | BRL | | | 585,600 | | | JPMC** | | | 3/21/2018 | | | | $ 1,169 | |
| USD | | | 1,092,889 | | | GBP | | | 806,781 | | | CITI | | | 3/21/2018 | | | | 813 | |
| USD | | | 1,639,332 | | | GBP | | | 1,210,172 | | | JPMC | | | 3/21/2018 | | | | 1,217 | |
| USD | | | 132,444 | | | HKD | | | 1,032,400 | | | CITI | | | 3/21/2018 | | | | 101 | |
| USD | | | 198,666 | | | HKD | | | 1,548,600 | | | JPMC | | | 3/21/2018 | | | | 150 | |
| ZAR | | | 59,134,000 | | | USD | | | 4,166,795 | | | CITI | | | 3/22/2018 | | | | 557,464 | |
| ZAR | | | 88,701,002 | | | USD | | | 6,250,217 | | | JPMC | | | 3/22/2018 | | | | 836,171 | |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized appreciation | | | | | | | | | | | | | 3,853,988 | |
| | | | | | | | | | | | | | | | | | | | |
| BRL | | | 22,456,400 | | | USD | | | 6,845,593 | | | CITI** | | | 3/21/2018 | | | | (132,826 | ) |
| BRL | | | 33,684,600 | | | USD | | | 10,268,402 | | | JPMC** | | | 3/21/2018 | | | | (199,251 | ) |
| HKD | | | 2,048,000 | | | USD | | | 262,748 | | | CITI | | | 3/21/2018 | | | | (214 | ) |
| HKD | | | 3,072,000 | | | USD | | | 394,122 | | | JPMC | | | 3/21/2018 | | | | (321 | ) |
| MXN | | | 193,010,800 | | | USD | | | 10,129,476 | | | CITI | | | 3/21/2018 | | | | (448,630 | ) |
| MXN | | | 289,516,200 | | | USD | | | 15,194,232 | | | JPMC | | | 3/21/2018 | | | | (672,963 | ) |
| USD | | | 59,791 | | | CHF | | | 58,400 | | | CITI | | | 3/21/2018 | | | | (476 | ) |
| USD | | | 89,686 | | | CHF | | | 87,600 | | | JPMC | | | 3/21/2018 | | | | (715 | ) |
| USD | | | 43,039,942 | | | EUR | | | 36,069,621 | | | CITI | | | 3/21/2018 | | | | (440,199 | ) |
| USD | | | 64,559,821 | | | EUR | | | 54,104,422 | | | JPMC | | | 3/21/2018 | | | | (660,379 | ) |
| USD | | | 7,306,245 | | | GBP | | | 5,449,009 | | | CITI | | | 3/21/2018 | | | | (69,650 | ) |
| USD | | | 10,959,362 | | | GBP | | | 8,173,520 | | | JPMC | | | 3/21/2018 | | | | (104,488 | ) |
| USD | | | 170,173 | | | HKD | | | 1,328,000 | | | CITI | | | 3/21/2018 | | | | (64 | ) |
| USD | | | 255,260 | | | HKD | | | 1,992,000 | | | JPMC | | | 3/21/2018 | | | | (95 | ) |
| USD | | | 514,364 | | | HUF | | | 135,848,400 | | | CITI | | | 3/21/2018 | | | | (12,220 | ) |
| USD | | | 771,545 | | | HUF | | | 203,772,600 | | | JPMC | | | 3/21/2018 | | | | (18,331 | ) |
| USD | | | 166,961 | | | INR | | | 11,061,200 | | | CITI** | | | 3/21/2018 | | | | (5,069 | ) |
| USD | | | 250,441 | | | INR | | | 16,591,800 | | | JPMC** | | | 3/21/2018 | | | | (7,604 | ) |
| USD | | | 163,691 | | | TRY | | | 657,200 | | | CITI | | | 3/21/2018 | | | | (5,791 | ) |
| USD | | | 245,537 | | | TRY | | | 985,800 | | | JPMC | | | 3/21/2018 | | | | (8,687 | ) |
| USD | | | 197,147 | | | ZAR | | | 2,874,000 | | | CITI | | | 3/22/2018 | | | | (32,459 | ) |
| USD | | | 295,720 | | | ZAR | | | 4,311,000 | | | JPMC | | | 3/22/2018 | | | | (48,689 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized depreciation | | | | | | | | | | (2,869,121 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Net unrealized appreciation | | | | | | | | | $ | 984,867 | |
| | | | | | | | | | | | | | | | | | | | |
| ** | Non-deliverable forward. |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CNY - Chinese Renminbi
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
PLN - Poland Zloty
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - New Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
177
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
Collateral pledged to, or (received from), each counterparty at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/
CENTRALLY CLEARED | | | TOTAL | |
| BARC | | | | | | | | | |
| Cash | | | $— | | | | $5,992,460 | | | | $5,992,460 | |
| |
| CITG | | | | | | | | | |
| Cash | | | — | | | | (4,910,306 | ) | | | (4,910,306 | ) |
| |
| CITI | | | | | | | | | |
| Investment Companies | | | 2,027,340 | | | | — | | | | 2,027,340 | |
| |
| GSCO | | | | | | | | | |
| Cash | | | — | | | | 875,428 | | | | 875,428 | |
| U.S. Treasury Inflation Linked Notes | | | — | | | | 2,231,618 | | | | 2,231,618 | |
| |
| GSIN | | | | | | | | | |
| Investment Companies | | | 463,252 | | | | — | | | | 463,252 | |
| |
| JPMC | | | | | | | | | |
| Investment Companies | | | 15,350,000 | | | | — | | | | 15,350,000 | |
| |
| JPMS | | | | | | | | | |
| Cash | | | — | | | | 506,993 | | | | 506,993 | |
| |
| MSCL | | | | | | | | | |
| Cash | | | — | | | | 849,039 | | | | 849,039 | |
| U.S. Treasury Inflation Linked Notes | | | — | | | | 1,528,482 | | | | 1,528,482 | |
| |
| MSCS | | | | | | | | | |
| Cash | | | (120,000 | ) | | | — | | | | (120,000 | ) |
| Investment Companies | | | 2,970,099 | | | | — | | | | 2,970,099 | |
| |
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/
CENTRALLY CLEARED | | | TOTAL | |
| CITI | | | | | | | | | |
| Investment Companies | | | $372,424 | | | | $— | | | | $372,424 | |
| |
| GSCO | | | | | | | | | |
| Cash | | | — | | | | (140,976 | ) | | | (140,976 | ) |
| |
| GSIN | | | | | | | | | |
| Cash | | | 400,000 | | | | — | | | | 400,000 | |
| |
| JPPC | | | | | | | | | |
| Cash | | | — | | | | 392,370 | | | | 392,370 | |
| |
| MACQ | | | | | | | | | |
| Cash | | | 460,000 | | | | — | | | | 460,000 | |
| |
| MLIN | | | | | | | | | |
| Cash | | | 930,000 | | | | — | | | | 930,000 | |
| |
| MSCL | | | | | | | | | |
| Cash | | | — | | | | 2,067,456 | | | | 2,067,456 | |
| |
| SOCG | | | | | | | | | |
| Cash | | | 810,984 | | | | — | | | | 810,984 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
178
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK PARITY II HV FUND | | | | |
| | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | VALUE | |
| FOREIGN GOVERNMENT SECURITIES - 21.6% | |
| Deutsche Bundesrepublik Inflation Linked Bond | | | | | | |
| 0.10%, 4/15/2023 (a)(b) | | EUR 1,688,960 | | $ | 2,181,733 | |
| 0.10%, 4/15/2026 (a)(b) | | EUR 1,952,079 | | | 2,582,884 | |
| France Government Bond OAT | | | | | | |
| 1.10%, 7/25/2022 (a)(b) | | EUR 1,349,186 | | | 1,817,936 | |
| 0.25%, 7/25/2024 (a)(b) | | EUR 424,604 | | | 560,764 | |
| 0.10%, 3/1/2025 | | EUR 507,665 | | | 658,066 | |
| 1.85%, 7/25/2027 (a)(b) | | EUR 326,943 | | | 497,665 | |
| United Kingdom Index Linked Treasury Gilt | | | | | | |
| 0.13%, 3/22/2024 | | GBP 1,521,838 | | | 2,343,322 | |
| 0.13%, 3/22/2026 | | GBP 1,172,732 | | | 1,863,384 | |
| | | | | | |
TOTAL FOREIGN GOVERNMENT
SECURITIES
(Cost $11,761,305) | | | 12,505,754 | |
| | | | | | |
| U.S. TREASURY OBLIGATIONS - 31.2% | | | |
| U.S. Treasury Inflation Linked Notes | |
| 0.13%, 4/15/2020 (c) | | $ 2,970,000 | | | 3,121,886 | |
| 0.13%, 4/15/2021 (c) | | 4,860,000 | | | 5,037,152 | |
| 0.13%, 4/15/2022 (c) | | 2,950,000 | | | 2,970,997 | |
| 0.38%, 7/15/2025 | | 1,120,000 | | | 1,166,737 | |
| 0.63%, 1/15/2026 | | 2,100,000 | | | 2,214,882 | |
| 0.13%, 7/15/2026 | | 2,360,000 | | | 2,372,899 | |
| 0.38%, 7/15/2027 | | 1,180,000 | | | 1,183,529 | |
| | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $18,038,076) | | | 18,068,082 | |
| | | | | | |
| | |
| | | SHARES | | | |
| SHORT-TERM INVESTMENTS - 58.8% | | | |
| INVESTMENT COMPANIES - 41.4% | | | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.17% (d) | | 241,758 | | | 241,758 | |
| Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.15% (d) | | 967,033 | | | 967,033 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.24% (d)(e) | | 6,240,772 | | | 6,240,772 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.18% (d)(e) | | 533,749 | | | 533,749 | |
| Limited Purpose Cash Investment Fund, 1.17% (d) | | 14,804,266 | | | 14,802,786 | |
| UBS Select Treasury Preferred Fund, Class I, 1.16% (d) | | 1,208,791 | | | 1,208,791 | |
| | | | | | |
TOTAL INVESTMENT COMPANIES
(Cost $23,994,889) | | | 23,994,889 | |
| | | | | | |
| | | | | | |
| | | PRINCIPAL
AMOUNT | | VALUE | |
| U.S. TREASURY OBLIGATIONS - 17.4% | |
| U.S. Treasury Bills | | | | | | |
| 1.14%, 1/25/2018 (f) | | $3,993,000 | | $ | 3,989,862 | |
| 1.14%, 2/1/2018 (f) | | 1,096,000 | | | 1,094,844 | |
| 1.12%, 3/1/2018 (f) | | 1,929,000 | | | 1,925,045 | |
| 1.37%, 5/17/2018 (f) | | 2,055,000 | | | 2,044,057 | |
| 1.46%, 6/7/2018 (f) | | 1,045,000 | | | 1,038,355 | |
| | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $10,093,253) | | | 10,092,163 | |
| | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(Cost $34,088,142) | | | 34,087,052 | |
| | | | | | |
TOTAL INVESTMENTS IN SECURITIES
AT VALUE - 111.6%
(Cost $63,887,523) | | | 64,660,888 | |
LIABILITIES IN EXCESS OF OTHER
ASSETS - (11.6)% (g) | | | (6,734,882 | ) |
| | | | | | |
NET ASSETS - 100.0% | | | | $ | 57,926,006 | |
| | | | | | |
| (a) | 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 December 31, 2017, the value of these securities amounted to $7,640,982 or 13.19% of net assets. |
| (b) | Inflation protected security. |
| (c) | On 12/31/2017, securities valued at $11,130,035 were pledged as collateral for reverse repurchase agreements outstanding. |
| (d) | Represents 7-day effective yield as of December 31, 2017. |
| (e) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (f) | The rate shown was the effective yield at the date of purchase. |
| (g) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820 (See Note 5).
The following abbreviations are used in portfolio descriptions:
EUR - Euro
GBP - British Pound
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
179
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK PARITY II HV FUND | | | | |
Reverse repurchase agreements at December 31, 2017:
Over the Counter
| | | | | | | | | | | | | | |
| COUNTERPARTY | | TRADE DATE | | | RATE | | DUE
DATE | | | PRINCIPAL
AMOUNT AND
VALUE OF
REVERSE
REPURCHASE
AGREEMENT | |
| CITI | | | 12/15/2017 | | | 1.65% | | | 1/11/2018 | | | | $2,846,384 | |
| CITI | | | 12/21/2017 | | | 1.65% | | | 1/11/2018 | | | | 99,749 | |
| MPFS | | | 12/15/2017 | | | 1.65% | | | 1/11/2018 | | | | 4,662,600 | |
| MPFS | | | 12/21/2017 | | | 1.65% | | | 1/11/2018 | | | | 306,375 | |
| MSCL | | | 12/21/2017 | | | 1.67% | | | 1/11/2018 | | | | 104,875 | |
| MSCL | | | 12/15/2017 | | | 1.72% | | | 1/11/2018 | | | | 3,009,912 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | $11,029,895 | |
| | | | | | | | | | | | | | |
The weighted average daily balance of the reverse repurchase agreements during the year ended December 31, 2017 was $11,897,096 at a net weighted average interest rate of 1.073%
Total return swap contracts outstanding as of December 31, 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) | |
| Corn March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | 87,687 | | | | $64 | |
| Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/09/2018 | | | USD | 157,260 | | | | 22,025 | |
| Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/09/2018 | | | USD | 39,315 | | | | 5,600 | |
| Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/09/2018 | | | USD | 39,315 | | | | 5,454 | |
| Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | HKD | 2,994,800 | | | | 6,263 | |
| Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/30/2018 | | | HKD | 1,497,400 | | | | 2,604 | |
| H-Shares Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | HKD | 11,730,000 | | | | 14,503 | |
| H-Shares Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/30/2018 | | | HKD | 9,384,000 | | | | $8,625 | |
| iBovespa Index February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/14/2018 | | | BRL | 1,921,075 | | | | 22,793 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
180
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK PARITY II HV FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED BY
FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| KOSPI 200 Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 03/08/2018 | | | KRW | 652,300,000 | | | | $ 7,097 | |
| KOSPI 200 Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 03/08/2018 | | | KRW | 244,612,500 | | | | 2,697 | |
| Lean Hogs February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/14/2018 | | | USD | (28,710 | ) | | | 80 | |
| MSCI Taiwan Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | USD | 78,600 | | | | 1,234 | |
| MSCI Taiwan Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/30/2018 | | | USD | 589,500 | | | | 9,020 | |
| SGX S&P CNX Nifty Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/25/2018 | | | USD | 844,680 | | | | 713 | |
| Soybean Oil March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | (99,780 | ) | | | 1,592 | |
| Swiss Market Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | Monthly | | BANA | | | 03/16/2018 | | | CHF | 370,760 | | | | 2,078 | |
| Swiss Market Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 03/16/2018 | | | CHF | 556,140 | | | | 2,354 | |
| TAIEX Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/17/2018 | | | TWD | 4,253,200 | | | | 1,971 | |
TAIEX Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/17/2018 | | | TWD | 14,886,200 | | | | 7,692 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 124,459 | |
| | | | | | | | | | | | | | | | | | | | |
| Coffee ‘C’ March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/09/2018 | | | USD | 141,975 | | | | (4,853 | ) |
| Coffee ‘C’ March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/09/2018 | | | USD | 47,325 | | | | (1,516 | ) |
| Coffee ‘C’ March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/09/2018 | | | USD | 189,300 | | | | (6,129 | ) |
| Corn March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | 175,375 | | | | (5,548 | ) |
| Corn March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | 52,613 | | | | (1,665 | ) |
| Corn March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 596,275 | | | | (19,872 | ) |
| KC HRW Wheat March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | 21,362 | | | | (901 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
181
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK PARITY II HV FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED BY
FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Lean Hogs February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/14/2018 | | | USD | 488,070 | | | | $ (1,409 | ) |
| Lean Hogs February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/14/2018 | | | USD | 143,550 | | | | (674 | ) |
| Lean Hogs April Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 04/13/2018 | | | USD | 30,260 | | | | (128 | ) |
| Live Cattle February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/02/2018 | | | USD | 243,100 | | | | (17,618 | ) |
| Live Cattle February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/02/2018 | | | USD | 583,440 | | | | (41,379 | ) |
| Soybean March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | 913,662 | | | | (36,870 | ) |
| Soybean March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 240,437 | | | | (7,456 | ) |
| Soybean March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | 96,175 | | | | (3,038 | ) |
| Soybean March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | 96,175 | | | | (3,415 | ) |
| Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 126,720 | | | | (872 | ) |
Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | 63,360 | | | | (275 | ) |
Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | 31,680 | | | | (1,295 | ) |
Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | 253,440 | | | | (1,838 | ) |
Soybean Oil March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 19,956 | | | | (87 | ) |
Soybean Oil March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | 578,724 | | | | (9,811 | ) |
Soybean Oil March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | 39,912 | | | | (396 | ) |
Soybean Oil March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | 19,956 | | | | (84 | ) |
Wheat March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | 42,700 | | | | (2,446 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (169,575 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | $(45,116 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
182
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK PARITY II HV FUND | | | | |
Futures contracts outstanding as of December 31, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | | | | | | | | | | | | | | | | | | |
| Amsterdam Exchange Index | | | 4 | | | 1/2018 | | | EUR | | | | $522,655 | | | | $(5,317 | ) |
| CAC 40 10 Euro Index | | | 10 | | | 1/2018 | | | EUR | | | | 637,180 | | | | (9,086 | ) |
| Hang Seng Index | | | 3 | | | 1/2018 | | | HKD | | | | 574,976 | | | | 7,020 | |
| H-Shares Index | | | 3 | | | 1/2018 | | | HKD | | | | 225,206 | | | | 1,429 | |
| IBEX 35 Index | | | 2 | | | 1/2018 | | | EUR | | | | 240,469 | | | | (5,310 | ) |
| LME Aluminum Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 56,429 | | | | 2,421 | |
| LME Copper Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 180,425 | | | | 6,458 | |
| LME Nickel Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 76,292 | | | | 6,210 | |
| LME Zinc Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 83,350 | | | | 5,898 | |
| 100 oz Gold | | | 35 | | | 2/2018 | | | USD | | | | 4,582,550 | | | | 105,165 | |
| Brent Crude Oil | | | 73 | | | 2/2018 | | | USD | | | | 4,850,120 | | | | 289,656 | |
| Lean Hogs | | | 3 | | | 2/2018 | | | USD | | | | 86,130 | | | | 1,762 | |
| Live Cattle | | | 16 | | | 2/2018 | | | USD | | | | 777,920 | | | | (47,414 | ) |
| LME Aluminum Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 56,553 | | | | 2,350 | |
| LME Aluminum Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 113,277 | | | | 7,172 | |
| LME Aluminum Base Metal | | | 3 | | | 2/2018 | | | USD | | | | 170,006 | | | | 15,874 | |
| LME Copper Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 180,930 | | | | 11,398 | |
| LME Copper Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 361,597 | | | | 23,005 | |
| LME Copper Base Metal | | | 3 | | | 2/2018 | | | USD | | | | 541,856 | | | | 22,094 | |
| LME Lead Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 62,089 | | | | 887 | |
| LME Nickel Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 76,407 | | | | 6,385 | |
| LME Nickel Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 76,461 | | | | 8,569 | |
| LME Zinc Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 83,227 | | | | 4,424 | |
| LME Zinc Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 83,300 | | | | 3,298 | |
| Natural Gas | | | 17 | | | 2/2018 | | | USD | | | | 494,020 | | | | 28,844 | |
| NY Harbor ULSD | | | 10 | | | 2/2018 | | | USD | | | | 858,396 | | | | 52,263 | |
| RBOB Gasoline | | | 12 | | | 2/2018 | | | USD | | | | 913,903 | | | | 41,083 | |
| Sugar No. 11 | | | 50 | | | 2/2018 | | | USD | | | | 848,960 | | | | 42,791 | |
| WTI Crude Oil | | | 96 | | | 2/2018 | | | USD | | | | 5,802,240 | | | | 304,197 | |
| Australia 10 Year Bond | | | 28 | | | 3/2018 | | | AUD | | | | 2,821,713 | | | | (22,073 | ) |
| Canada 10 Year Bond | | | 32 | | | 3/2018 | | | CAD | | | | 3,431,154 | | | | (37,752 | ) |
| Cocoa | | | 9 | | | 3/2018 | | | USD | | | | 170,280 | | | | (13,422 | ) |
| Coffee ’C’ | | | 9 | | | 3/2018 | | | USD | | | | 425,925 | | | | (17,659 | ) |
| Corn | | | 58 | | | 3/2018 | | | USD | | | | 1,017,175 | | | | (33,201 | ) |
| Cotton No. 2 | | | 8 | | | 3/2018 | | | USD | | | | 314,520 | | | | 42,166 | |
| DAX Index | | | 3 | | | 3/2018 | | | EUR | | | | 1,161,755 | | | | (19,620 | ) |
| EURO STOXX 50 Index | | | 55 | | | 3/2018 | | | EUR | | | | 2,305,092 | | | | (55,557 | ) |
| Euro-Schatz | | | 140 | | | 3/2018 | | | EUR | | | | 27,158,845 | | | | (182,217 | ) |
| Feeder Cattle | | | 2 | | | 3/2018 | | | USD | | | | 142,675 | | | | (12,101 | ) |
| FTSE 100 Index | | | 22 | | | 3/2018 | | | GBP | | | | 2,268,738 | | | | 66,223 | |
| FTSE/JSE Top 40 Index | | | 15 | | | 3/2018 | | | ZAR | | | | 644,664 | | | | 12,436 | |
| FTSE/MIB Index | | | 3 | | | 3/2018 | | | EUR | | | | 391,577 | | | | (15,793 | ) |
| Japan 10 Year Bond Mini | | | 41 | | | 3/2018 | | | JPY | | | | 5,488,742 | | | | (2,303 | ) |
| KC HRW Wheat | | | 4 | | | 3/2018 | | | USD | | | | 85,450 | | | | (4,417 | ) |
| KOSPI 200 Index | | | 10 | | | 3/2018 | | | KRW | | | | 761,641 | | | | 9,279 | |
| LME Aluminum Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 113,409 | | | | 12,547 | |
| LME Aluminum Base Metal | | | 43 | | | 3/2018 | | | USD | | | | 2,441,863 | | | | 113,005 | |
| LME Copper Base Metal | | | 18 | | | 3/2018 | | | USD | | | | 3,261,375 | | | | 207,007 | |
| LME Lead Base Metal | | | 6 | | | 3/2018 | | | USD | | | | 373,125 | | | | (7,509 | ) |
| LME Nickel Base Metal | | | 8 | | | 3/2018 | | | USD | | | | 612,480 | | | | 87,387 | |
| LME Zinc Base Metal | | | 12 | | | 3/2018 | | | USD | | | | 997,650 | | | | 28,802 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
183
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK PARITY II HV FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts (continued) | | | | | | | | | | | | | | | | | | |
| Long Gilt | | | 20 | | | 3/2018 | | | GBP | | | | $ 3,379,695 | | | | $ 3,000 | |
| Low Sulphur Gasoil | | | 23 | | | 3/2018 | | | USD | | | | 1,378,275 | | | | 79,162 | |
| Russell 2000 E-Mini Index | | | 21 | | | 3/2018 | | | USD | | | | 1,613,325 | | | | 12,510 | |
| S&P 500 E-Mini Index | | | 138 | | | 3/2018 | | | USD | | | | 18,464,400 | | | | 151,745 | |
S&P Midcap 400 E-Mini Index | | | 10 | | | 3/2018 | | | USD | | | | 1,902,400 | | | | 9,959 | |
| S&P/TSX 60 Index | | | 4 | | | 3/2018 | | | CAD | | | | 609,324 | | | | 1,827 | |
| Silver | | | 9 | | | 3/2018 | | | USD | | | | 771,525 | | | | (113 | ) |
| Soybean | | | 12 | | | 3/2018 | | | USD | | | | 577,050 | | | | (22,544 | ) |
| Soybean Meal | | | 1 | | | 3/2018 | | | USD | | | | 31,680 | | | | (996 | ) |
| SPI 200 Index | | | 5 | | | 3/2018 | | | AUD | | | | 587,138 | | | | (725 | ) |
| TOPIX Index | | | 22 | | | 3/2018 | | | JPY | | | | 3,547,726 | | | | 62,415 | |
| U.S. Treasury 10 Year Note | | | 337 | | | 3/2018 | | | USD | | | | 41,803,797 | | | | (154,411 | ) |
| Wheat | | | 15 | | | 3/2018 | | | USD | | | | 320,250 | | | | (20,570 | ) |
| 100 oz Gold | | | 3 | | | 4/2018 | | | USD | | | | 394,200 | | | | 888 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 1,210,901 | |
| | | | | | | | | | | | | | | | | | |
| Short Contracts | | | | | | | | | | | | | | | | | | |
| LME Aluminum Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (56,429 | ) | | | (2,496 | ) |
| LME Copper Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (180,425 | ) | | | (6,828 | ) |
| LME Nickel Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (76,292 | ) | | | (6,030 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (83,350 | ) | | | (5,816 | ) |
| LME Aluminum Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (56,554 | ) | | | (2,377 | ) |
| LME Aluminum Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (113,277 | ) | | | (7,315 | ) |
| LME Aluminum Base Metal | | | (3 | ) | | 2/2018 | | | USD | | | | (170,006 | ) | | | (15,856 | ) |
| LME Copper Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (180,930 | ) | | | (11,332 | ) |
| LME Copper Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (361,597 | ) | | | (23,102 | ) |
| LME Copper Base Metal | | | (3 | ) | | 2/2018 | | | USD | | | | (541,856 | ) | | | (25,639 | ) |
| LME Lead Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (62,089 | ) | | | (461 | ) |
| LME Nickel Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (76,407 | ) | | | (6,718 | ) |
| LME Nickel Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (76,461 | ) | | | (8,733 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (83,300 | ) | | | (2,388 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (83,227 | ) | | | (4,330 | ) |
| LME Aluminum Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (113,409 | ) | | | (12,680 | ) |
| LME Aluminum Base Metal | | | (8 | ) | | 3/2018 | | | USD | | | | (454,300 | ) | | | (37,993 | ) |
| LME Lead Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (62,188 | ) | | | (888 | ) |
| LME Nickel Base Metal | | | (3 | ) | | 3/2018 | | | USD | | | | (229,680 | ) | | | (21,184 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (166,275 | ) | | | (9,442 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | (211,608 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | $999,293 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
184
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK PARITY II HV FUND | | | | |
Forward foreign currency contracts outstanding as of December 31, 2017:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| CHF | | | 11,200 | | | USD | | | 11,441 | | | CITI | | | 3/21/2018 | | | | $117 | |
| CHF | | | 16,800 | | | USD | | | 17,162 | | | JPMC | | | 3/21/2018 | | | | 175 | |
| USD | | | 229,344 | | | GBP | | | 169,304 | | | CITI | | | 3/21/2018 | | | | 171 | |
| USD | | | 344,014 | | | GBP | | | 253,955 | | | JPMC | | | 3/21/2018 | | | | 255 | |
| USD | | | 41,647 | | | HKD | | | 324,700 | | | CITI | | | 3/21/2018 | | | | 24 | |
| USD | | | 53,781 | | | HKD | | | 419,250 | | | JPMC | | | 3/21/2018 | | | | 38 | |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized appreciation | | | | | | | | | | 780 | |
| | | | | | | | | | | | | | | | | | | | |
| BRL | | | 4,000 | | | USD | | | 1,219 | | | CITI** | | | 3/21/2018 | | | | (24 | ) |
| BRL | | | 6,000 | | | USD | | | 1,829 | | | JPMC** | | | 3/21/2018 | | | | (35 | ) |
| HKD | | | 420,000 | | | USD | | | 53,884 | | | CITI | | | 3/21/2018 | | | | (44 | ) |
| HKD | | | 630,000 | | | USD | | | 80,826 | | | JPMC | | | 3/21/2018 | | | | (66 | ) |
| USD | | | 1,226 | | | CHF | | | 1,200 | | | CITI | | | 3/21/2018 | | | | (13 | ) |
| USD | | | 1,839 | | | CHF | | | 1,800 | | | JPMC | | | 3/21/2018 | | | | (19 | ) |
| USD | | | 3,303,411 | | | EUR | | | 2,767,911 | | | CITI | | | 3/21/2018 | | | | (33,169 | ) |
| USD | | | 4,955,096 | | | EUR | | | 4,151,855 | | | JPMC | | | 3/21/2018 | | | | (49,759 | ) |
| USD | | | 1,475,472 | | | GBP | | | 1,100,473 | | | CITI | | | 3/21/2018 | | | | (14,152 | ) |
| USD | | | 2,213,205 | | | GBP | | | 1,650,709 | | | JPMC | | | 3/21/2018 | | | | (21,230 | ) |
| USD | | | 30,045 | | | HKD | | | 234,500 | | | CITI | | | 3/21/2018 | | | | (16 | ) |
| USD | | | 53,757 | | | HKD | | | 419,550 | | | JPMC | | | 3/21/2018 | | | | (26 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized depreciation | | | | | | | | | | (118,553 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Net unrealized depreciation | | | | | | | | | $ | (117,773 | ) |
| | | | | | | | | | | | | | | | | | | | |
| ** | Non-deliverable forward. |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
KRW - Korean Won
TWD - New Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
185
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK PARITY II HV FUND | | | | |
Collateral pledged to, or (received from), each counterparty at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/
CENTRALLY CLEARED | | | TOTAL | |
| BARC | | | | | | | | | |
| Cash | | | $— | | | | $1,156,165 | | | | $1,156,165 | |
| |
| CITI | | | | | | | | | |
| Investment Companies | | | 82,203 | | | | — | | | | 82,203 | |
| U.S. Treasury Inflation Linked Notes | | | 2,970,997 | | | | — | | | | 2,970,997 | |
| |
| GSCO | | | | | | | | | |
| Cash | | | — | | | | 796,254 | | | | 796,254 | |
| |
| GSIN | | | | | | | | | |
| Investment Companies | | | 533,749 | | | | — | | | | 533,749 | |
| |
| JPMC | | | | | | | | | |
| Investment Companies | | | 450,000 | | | | — | | | | 450,000 | |
| |
| JPMS | | | | | | | | | |
| Cash | | | — | | | | 123,442 | | | | 123,442 | |
| |
| MPFS | | | | | | | | | |
| U.S. Treasury Inflation Linked Notes | | | 5,037,152 | | | | — | | | | 5,037,152 | |
| |
| MSCL | | | | | | | | | |
| Cash | | | — | | | | 612,817 | | | | 612,817 | |
| U.S. Treasury Inflation Linked Notes | | | 3,121,886 | | | | — | | | | 3,121,886 | |
| |
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/
CENTRALLY CLEARED | | | TOTAL | |
| CITI | | | | | | | | | |
| Investment Companies | | | $100,795 | | | | $— | | | | $100,795 | |
| |
| GSCO | | | | | | | | | |
| Cash | | | — | | | | (32,372 | ) | | | (32,372 | ) |
| |
| JPPC | | | | | | | | | |
| Cash | �� | | — | | | | 75,762 | | | | 75,762 | |
| |
| MACQ | | | | | | | | | |
| Cash | | | 220,000 | | | | — | | | | 220,000 | |
| |
| MSCL | | | | | | | | | |
| Cash | | | — | | | | 437,891 | | | | 437,891 | |
| |
| SOCG | | | | | | | | | |
| Cash | | | 130,150 | | | | — | | | | 130,150 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
186
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK PARITY II MV FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| FOREIGN GOVERNMENT SECURITIES - 14.1% | | | | |
| Deutsche Bundesrepublik Inflation Linked Bond | | | | | | | | |
| 0.10%, 4/15/2023 (a)(b) | | EUR | 1,583,400 | | | $ | 2,045,374 | |
| 0.10%, 4/15/2026 (a)(b) | | EUR | 1,849,338 | | | | 2,446,943 | |
| France Government Bond OAT | | | | | |
| 1.10%, 7/25/2022 (a)(b) | | EUR | 1,205,420 | | | | 1,624,221 | |
| 0.25%, 7/25/2024 (a)(b) | | EUR | 321,042 | | | | 423,992 | |
| 0.10%, 3/1/2025 | | EUR | 507,665 | | | | 658,066 | |
| 1.85%, 7/25/2027 (a)(b) | | EUR | 217,962 | | | | 331,777 | |
| United Kingdom Index Linked Treasury Gilt | | | | | | | | |
| 0.13%, 3/22/2024 | | GBP | 1,476,410 | | | | 2,273,373 | |
| 0.13%, 3/22/2026 | | GBP | 1,066,120 | | | | 1,693,985 | |
| | | | | | | | |
TOTAL FOREIGN GOVERNMENT SECURITIES
(Cost $10,909,691) | | | | | | | 11,497,731 | |
| | | | | | | | |
| U.S. TREASURY OBLIGATIONS - 22.1% | | | | |
| U.S. Treasury Inflation Linked Notes | | | | | |
| 0.13%, 4/15/2020 (c) | | $ | 3,870,000 | | | | 4,067,911 | |
| 0.13%, 4/15/2021 (c) | | | 4,560,000 | | | | 4,726,217 | |
| 0.13%, 4/15/2022 | | | 2,450,000 | | | | 2,467,438 | |
| 0.38%, 7/15/2025 | | | 1,110,000 | | | | 1,156,320 | |
| 0.63%, 1/15/2026 | | | 2,020,000 | | | | 2,130,505 | |
| 0.13%, 7/15/2026 | | | 2,250,000 | | | | 2,262,298 | |
| 0.38%, 7/15/2027 | | | 1,150,000 | | | | 1,153,440 | |
| | | | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $17,934,192) | | | | 17,964,129 | |
| | | | | | | | |
| | |
| | | SHARES | | | | |
| SHORT-TERM INVESTMENTS - 59.9% | |
| INVESTMENT COMPANIES - 43.4% | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.17% (d) | | | 662,923 | | | | 662,923 | |
| Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.15% (d) | | | 2,651,693 | | | | 2,651,693 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.24% (d)(e) | | | 5,112,969 | | | | 5,112,969 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.18% (d)(e) | | | 443,126 | | | | 443,126 | |
| Limited Purpose Cash Investment Fund, 1.17% (d) | | | 23,185,230 | | | | 23,182,911 | |
| UBS Select Treasury Preferred Fund, Class I, 1.16% (d) | | | 3,314,616 | | | | 3,314,616 | |
| | | | | | | | |
TOTAL INVESTMENT COMPANIES
(Cost $35,368,238) | | | | | | | 35,368,238 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| U.S. TREASURY OBLIGATIONS - 16.5% | | | | |
| U.S. Treasury Bills | | | | | |
| 1.14%, 1/4/2018 (f) | | $ | 791,000 | | | $ | 790,950 | |
| 1.10%, 1/18/2018 (f) | | | 1,506,000 | | | | 1,505,171 | |
| 1.14%, 1/25/2018 (f) | | | 4,887,000 | | | | 4,883,160 | |
| 1.14%, 2/1/2018 (f) | | | 3,653,000 | | | | 3,649,148 | |
| 1.20%, 4/5/2018 (f) | | | 2,613,000 | | | | 2,603,625 | |
| | | | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $13,433,791) | | | | | | | 13,432,054 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(Cost $48,802,029) | | | | | | | 48,800,292 | |
| | | | | | | | |
TOTAL INVESTMENTS IN
SECURITIES AT VALUE - 96.1%
(Cost $77,645,912) | | | | | | | 78,262,152 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 3.9% (g) | | | | | 3,200,417 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 81,462,569 | |
| | | | | | | | |
| (a) | 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 December 31, 2017, the value of these securities amounted to $6,872,307 or 8.44% of net assets. |
| (b) | Inflation protected security. |
| (c) | All or a portion of the security pledged as collateral for futures contracts. |
| (d) | Represents 7-day effective yield as of December 31, 2017. |
| (e) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (f) | The rate shown was the effective yield at the date of purchase. |
| (g) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820 (See Note 5).
The following abbreviations are used in portfolio descriptions:
EUR - Euro
GBP - British Pound
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
187
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK PARITY II MV FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
Total return swap contracts outstanding as of December 31, 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) | |
100 oz Gold February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 01/31/2018 | | | USD | 130,930 | | | | $3,210 | |
100 oz Gold February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 01/31/2018 | | | USD | 130,930 | | | | 3,530 | |
Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/09/2018 | | | USD | 235,890 | | | | 32,287 | |
Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/09/2018 | | | USD | 78,630 | | | | 10,790 | |
Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | HKD | 1,497,400 | | | | 2,649 | |
Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/30/2018 | | | HKD | 1,497,400 | | | | 1,657 | |
H-Shares Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | HKD | 9,970,500 | | | | 12,072 | |
H-Shares Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/30/2018 | | | HKD | 9,384,000 | | | | 8,151 | |
iBovespa Index February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/14/2018 | | | BRL | 1,921,075 | | | | 22,820 | |
| KOSPI 200 Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 03/08/2018 | | | KRW | 1,549,212,500 | | | | 16,897 | |
| KOSPI 200 Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 03/08/2018 | | | KRW | 81,537,500 | | | | 825 | |
Lean Hogs February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/14/2018 | | | USD | (28,710 | ) | | | 80 | |
| MSCI Taiwan Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | USD | 117,900 | | | | 1,852 | |
MSCI Taiwan Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/30/2018 | | | USD | 628,800 | | | | 9,466 | |
| SGX S&P CNX Nifty Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/25/2018 | | | USD | 506,808 | | | | 1,444 | |
SGX S&P CNX Nifty Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/25/2018 | | | USD | 42,234 | | | | 96 | |
Silver March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/28/2018 | | | USD | 85,725 | | | | 1,240 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
188
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK PARITY II MV FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS MADE BY FUND | | PAYMENTS
RECEIVED
BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Soybean Oil March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | (79,824 | ) | | | $ 1,609 | |
Sugar No. 11 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/15/2018 | | | USD | 16,979 | | | | 568 | |
Swiss Market Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | Monthly | | BANA | | | 03/16/2018 | | | CHF | 370,760 | | | | 2,078 | |
Swiss Market Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 03/16/2018 | | | CHF | 463,450 | | | | 1,976 | |
TAIEX Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/17/2018 | | | TWD | 2,126,600 | | | | 986 | |
TAIEX Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/17/2018 | | | TWD | 12,759,600 | | | | 6,368 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 142,651 | |
| | | | | | | | | | | | | | | | | | | | |
Coffee ‘C’ March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/09/2018 | | | USD | 47,325 | | | | (1,516 | ) |
Coffee ‘C’ March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/09/2018 | | | USD | 189,300 | | | | (6,129 | ) |
Coffee ‘C’ March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/09/2018 | | | USD | 47,325 | | | | (1,516 | ) |
| Corn March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | 140,300 | | | | (4,359 | ) |
| Corn March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 648,887 | | | | (21,663 | ) |
| Corn March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | 52,612 | | | | (60 | ) |
| Corn March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | 52,613 | | | | (1,665 | ) |
KC HRW Wheat March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | 21,363 | | | | (895 | ) |
Lean Hogs February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/14/2018 | | | USD | 344,520 | | | | (2,140 | ) |
Lean Hogs February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/14/2018 | | | USD | 258,390 | | | | (1,217 | ) |
Lean Hogs April Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 04/13/2018 | | | USD | 30,260 | | | | (128 | ) |
Live Cattle February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/02/2018 | | | USD | 243,100 | | | | (17,618 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
189
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK PARITY II MV FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS MADE BY FUND | | PAYMENTS
RECEIVED
BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Live Cattle February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/02/2018 | | | USD | 583,440 | | | | $ (41,379 | ) |
Soybean March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | 913,662 | | | | (36,480 | ) |
Soybean March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 192,350 | | | | (5,612 | ) |
Soybean March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | 144,263 | | | | (4,238 | ) |
Soybean March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | 240,437 | | | | (9,565 | ) |
Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 95,040 | | | | (460 | ) |
Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | 158,400 | | | | (1,354 | ) |
Soybean Oil March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | 498,900 | | | | (8,667 | ) |
Soybean Oil March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | 59,868 | | | | (582 | ) |
Soybean Oil March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | 39,912 | | | | (352 | ) |
Soybean Oil March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | 19,956 | | | | (84 | ) |
Soybean Oil March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | (19,956 | ) | | | (264 | ) |
Wheat March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | 42,700 | | | | (2,446 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (170,389 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | $(27,738 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
190
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK PARITY II MV FUND | | | | |
Futures contracts outstanding as of December 31, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | | | | | | | | | | | | | | | | | | |
| Amsterdam Exchange Index | | | 5 | | | 1/2018 | | | EUR | | | | $653,318 | | | | $(6,810 | ) |
| CAC 40 10 Euro Index | | | 11 | | | 1/2018 | | | EUR | | | | 700,898 | | | | (9,956 | ) |
| Hang Seng Index | | | 3 | | | 1/2018 | | | HKD | | | | 574,976 | | | | 7,020 | |
| H-Shares Index | | | 3 | | | 1/2018 | | | HKD | | | | 225,206 | | | | 1,429 | |
| IBEX 35 Index | | | 1 | | | 1/2018 | | | EUR | | | | 120,235 | | | | (2,655 | ) |
| LME Aluminum Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 56,429 | | | | 2,421 | |
| LME Copper Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 180,425 | | | | 6,458 | |
| LME Nickel Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 76,321 | | | | 4,798 | |
| LME Zinc Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 83,350 | | | | 5,898 | |
| SGX S&P CNX Nifty Index | | | 11 | | | 1/2018 | | | USD | | | | 232,287 | | | | 496 | |
| 100 oz Gold | | | 30 | | | 2/2018 | | | USD | | | | 3,927,900 | | | | 88,064 | |
| Brent Crude Oil | | | 69 | | | 2/2018 | | | USD | | | | 4,584,360 | | | | 273,252 | |
| Lean Hogs | | | 2 | | | 2/2018 | | | USD | | | | 57,420 | | | | 1,894 | |
| Live Cattle | | | 14 | | | 2/2018 | | | USD | | | | 680,680 | | | | (45,400 | ) |
| LME Aluminum Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 113,337 | | | | 10,583 | |
| LME Aluminum Base Metal | | | 3 | | | 2/2018 | | | USD | | | | 169,915 | | | | 10,758 | |
| LME Copper Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 180,619 | | | | 7,365 | |
| LME Copper Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 180,930 | | | | 11,398 | |
| LME Copper Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 361,597 | | | | 23,005 | |
| LME Lead Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 62,089 | | | | 887 | |
| LME Nickel Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 76,407 | | | | 6,385 | |
| Natural Gas | | | 16 | | | 2/2018 | | | USD | | | | 464,960 | | | | 27,656 | |
| NY Harbor ULSD | | | 10 | | | 2/2018 | | | USD | | | | 858,396 | | | | 51,723 | |
| RBOB Gasoline | | | 11 | | | 2/2018 | | | USD | | | | 837,745 | | | | 36,443 | |
| Sugar No. 11 | | | 46 | | | 2/2018 | | | USD | | | | 781,043 | | | | 39,671 | |
| WTI Crude Oil | | | 90 | | | 2/2018 | | | USD | | | | 5,439,600 | | | | 286,189 | |
| Australia 10 Year Bond | | | 26 | | | 3/2018 | | | AUD | | | | 2,620,162 | | | | (20,685 | ) |
| Canada 10 Year Bond | | | 31 | | | 3/2018 | | | CAD | | | | 3,323,930 | | | | (36,541 | ) |
| Cocoa | | | 9 | | | 3/2018 | | | USD | | | | 170,280 | | | | (12,630 | ) |
| Coffee ’C’ | | | 11 | | | 3/2018 | | | USD | | | | 520,575 | | | | (22,344 | ) |
| Corn | | | 51 | | | 3/2018 | | | USD | | | | 894,413 | | | | (28,976 | ) |
| Cotton No. 2 | | | 6 | | | 3/2018 | | | USD | | | | 235,890 | | | | 31,895 | |
| DAX Index | | | 3 | | | 3/2018 | | | EUR | | | | 1,161,755 | | | | (19,620 | ) |
| EURO STOXX 50 Index | | | 54 | | | 3/2018 | | | EUR | | | | 2,263,181 | | | | (54,609 | ) |
| Euro-Schatz | | | 134 | | | 3/2018 | | | EUR | | | | 25,994,894 | | | | (175,135 | ) |
| Feeder Cattle | | | 2 | | | 3/2018 | | | USD | | | | 142,675 | | | | (12,101 | ) |
| FTSE 100 Index | | | 22 | | | 3/2018 | | | GBP | | | | 2,268,738 | | | | 66,223 | |
| FTSE/JSE Top 40 Index | | | 16 | | | 3/2018 | | | ZAR | | | | 687,641 | | | | 13,500 | |
| FTSE/MIB Index | | | 2 | | | 3/2018 | | | EUR | | | | 261,051 | | | | (7,019 | ) |
| Japan 10 Year Bond | | | 4 | | | 3/2018 | | | JPY | | | | 5,352,740 | | | | (3,168 | ) |
| Japan 10 Year Bond Mini | | | 1 | | | 3/2018 | | | JPY | | | | 133,872 | | | | (44 | ) |
| KC HRW Wheat | | | 4 | | | 3/2018 | | | USD | | | | 85,450 | | | | (4,417 | ) |
| LME Aluminum Base Metal | | | 1 | | | 3/2018 | | | USD | | | | 56,725 | | | | 1,747 | |
| LME Aluminum Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 113,409 | | | | 12,547 | |
| LME Aluminum Base Metal | | | 42 | | | 3/2018 | | | USD | | | | 2,385,075 | | | | 110,621 | |
| LME Copper Base Metal | | | 1 | | | 3/2018 | | | USD | | | | 181,213 | | | | 6,433 | |
| LME Copper Base Metal | | | 17 | | | 3/2018 | | | USD | | | | 3,080,187 | | | | 196,385 | |
| LME Lead Base Metal | | | 6 | | | 3/2018 | | | USD | | | | 373,125 | | | | (7,509 | ) |
| LME Nickel Base Metal | | | 8 | | | 3/2018 | | | USD | | | | 612,480 | | | | 87,387 | |
| LME Zinc Base Metal | | | 10 | | | 3/2018 | | | USD | | | | 831,375 | | | | 22,001 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
191
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK PARITY II MV FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts (continued) | | | | | | | | | | | | | | | | | | |
| Long Gilt | | | 19 | | | 3/2018 | | | GBP | | | | $ 3,210,711 | | | | $ 2,475 | |
| Low Sulphur Gasoil | | | 23 | | | 3/2018 | | | USD | | | | 1,378,275 | | | | 78,880 | |
| Russell 2000 E-Mini Index | | | 20 | | | 3/2018 | | | USD | | | | 1,536,500 | | | | 12,209 | |
| S&P 500 E-Mini Index | | | 134 | | | 3/2018 | | | USD | | | | 17,929,200 | | | | 148,369 | |
| S&P Midcap 400 E-Mini Index | | | 8 | | | 3/2018 | | | USD | | | | 1,521,920 | | | | 7,685 | |
| S&P/TSX 60 Index | | | 6 | | | 3/2018 | | | CAD | | | | 913,986 | | | | 3,393 | |
| Silver | | | 7 | | | 3/2018 | | | USD | | | | 600,075 | | | | (407 | ) |
| Soybean | | | 8 | | | 3/2018 | | | USD | | | | 384,700 | | | | (14,936 | ) |
| Soybean Meal | | | 7 | | | 3/2018 | | | USD | | | | 221,760 | | | | (3,001 | ) |
| SPI 200 Index | | | 4 | | | 3/2018 | | | AUD | | | | 469,710 | | | | (779 | ) |
| TOPIX Index | | | 22 | | | 3/2018 | | | JPY | | | | 3,547,726 | | | | 62,415 | |
| U.S. Treasury 10 Year Note | | | 321 | | | 3/2018 | | | USD | | | | 39,819,047 | | | | (146,933 | ) |
| Wheat | | | 13 | | | 3/2018 | | | USD | | | | 277,550 | | | | (19,202 | ) |
| 100 oz Gold | | | 3 | | | 4/2018 | | | USD | | | | 394,200 | | | | 888 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 1,113,969 | |
| | | | | | | | | | | | | | | | | | |
| Short Contracts | |
| LME Aluminum Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (56,429 | ) | | | (2,496 | ) |
| LME Copper Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (180,425 | ) | | | (6,828 | ) |
| LME Nickel Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (76,321 | ) | | | (5,068 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (83,350 | ) | | | (5,816 | ) |
| LME Aluminum Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (113,337 | ) | | | (10,571 | ) |
| LME Aluminum Base Metal | | | (3 | ) | | 2/2018 | | | USD | | | | (169,915 | ) | | | (10,973 | ) |
| LME Copper Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (180,619 | ) | | | (8,546 | ) |
| LME Copper Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (180,930 | ) | | | (11,332 | ) |
| LME Copper Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (361,597 | ) | | | (23,102 | ) |
| LME Lead Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (62,089 | ) | | | (461 | ) |
| LME Nickel Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (76,407 | ) | | | (6,718 | ) |
| LME Aluminum Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (56,725 | ) | | | (2,057 | ) |
| LME Aluminum Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (113,409 | ) | | | (12,680 | ) |
| LME Aluminum Base Metal | | | (8 | ) | | 3/2018 | | | USD | | | | (454,300 | ) | | | (35,698 | ) |
| LME Copper Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (181,213 | ) | | | (6,815 | ) |
| LME Lead Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (62,188 | ) | | | (887 | ) |
| LME Nickel Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (153,120 | ) | | | (11,204 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (83,137 | ) | | | (5,940 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | (167,192 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | $946,777 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
192
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK PARITY II MV FUND | | | | |
Forward foreign currency contracts outstanding as of December 31, 2017:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| CHF | | | 14,000 | | | USD | | | 14,302 | | | CITI | | | 3/21/2018 | | | | $146 | |
| CHF | | | 21,000 | | | USD | | | 21,453 | | | JPMC | | | 3/21/2018 | | | | 219 | |
| USD | | | 6,096 | | | BRL | | | 20,000 | | | CITI** | | | 3/21/2018 | | | | 118 | |
| USD | | | 9,144 | | | BRL | | | 30,000 | | | JPMC** | | | 3/21/2018 | | | | 176 | |
| USD | | | 213,021 | | | GBP | | | 157,254 | | | CITI | | | 3/21/2018 | | | | 158 | |
| USD | | | 319,529 | | | GBP | | | 235,880 | | | JPMC | | | 3/21/2018 | | | | 237 | |
| USD | | | 32,994 | | | HKD | | | 257,250 | | | CITI | | | 3/21/2018 | | | | 17 | |
| USD | | | 40,801 | | | HKD | | | 318,075 | | | JPMC | | | 3/21/2018 | | | | 27 | |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized appreciation | | | | | | | | | | 1,098 | |
| | | | | | | | | | | | | | | | | | | | |
| HKD | | | 340,000 | | | USD | | | 43,620 | | | CITI | | | 3/21/2018 | | | | (36 | ) |
| HKD | | | 510,000 | | | USD | | | 65,430 | | | JPMC | | | 3/21/2018 | | | | (53 | ) |
| USD | | | 2,860 | | | CHF | | | 2,800 | | | CITI | | | 3/21/2018 | | | | (29 | ) |
| USD | | | 4,290 | | | CHF | | | 4,200 | | | JPMC | | | 3/21/2018 | | | | (44 | ) |
| USD | | | 2,950,124 | | | EUR | | | 2,471,929 | | | CITI | | | 3/21/2018 | | | | (29,664 | ) |
| USD | | | 4,425,187 | | | EUR | | | 3,707,899 | | | JPMC | | | 3/21/2018 | | | | (44,502 | ) |
| USD | | | 1,370,458 | | | GBP | | | 1,022,149 | | | CITI | | | 3/21/2018 | | | | (13,144 | ) |
| USD | | | 2,055,676 | | | GBP | | | 1,533,217 | | | JPMC | | | 3/21/2018 | | | | (19,719 | ) |
| USD | | | 22,184 | | | HKD | | | 173,150 | | | CITI | | | 3/21/2018 | | | | (11 | ) |
| USD | | | 41,967 | | | HKD | | | 327,525 | | | JPMC | | | 3/21/2018 | | | | (19 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized depreciation | | | | | | | | | | (107,221 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Net unrealized depreciation | | | | | | | | | $ | (106,123 | ) |
| | | | | | | | | | | | | | | | | | | | |
** Non-deliverable forward.
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
KRW - Korean Won
TWD - New Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
193
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR RISK PARITY II MV FUND | | | | |
Collateral pledged to, or (received from), each counterparty at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/
CENTRALLY CLEARED | | | TOTAL | |
| BARC | | | | | | | | | |
| Cash | | | $— | | | | $1,059,116 | | | | $1,059,116 | |
| |
| CITI | | | | | | | | | |
| Investment Companies | | | 141,711 | | | | — | | | | 141,711 | |
| |
| GSCO | | | | | | | | | |
| Cash | | | — | | | | 198,377 | | | | 198,377 | |
| U.S. Treasury Inflation Linked Notes | | | — | | | | 554,133 | | | | 554,133 | |
| |
| GSIN | | | | | | | | | |
| Investment Companies | | | 443,126 | | | | — | | | | 443,126 | |
| |
| JPMC | | | | | | | | | |
| Investment Companies | | | 420,000 | | | | — | | | | 420,000 | |
| |
| JPMS | | | | | | | | | |
| Cash | | | — | | | | 120,143 | | | | 120,143 | |
| |
| MSCL | | | | | | | | | |
| Cash | | | — | | | | 212,408 | | | | 212,408 | |
| U.S. Treasury Inflation Linked Notes | | | — | | | | 384,189 | | | | 384,189 | |
| |
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/
CENTRALLY CLEARED | | | TOTAL | |
| CITI | | | | | | | | | |
| Investment Companies | | | $161,045 | | | | $— | | | | $161,045 | |
| |
| GSCO | | | | | | | | | |
| Cash | | | — | | | | (30,018 | ) | | | (30,018 | ) |
| |
| GSIN | | | | | | | | | |
| Cash | | | 70,000 | | | | — | | | | 70,000 | |
| |
| JPPC | | | | | | | | | |
| Cash | | | — | | | | 68,535 | | | | 68,535 | |
| |
| MACQ | | | | | | | | | |
| Cash | | | 160,000 | | | | — | | | | 160,000 | |
| |
| MSCL | | | | | | | | | |
| Cash | | | — | | | | 408,452 | | | | 408,452 | |
| |
| SOCG | | | | | | | | | |
| Cash | | | 180,197 | | | | — | | | | 180,197 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
194
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| LONG POSITIONS - 115.7% | | | | | | |
| COMMON STOCKS - 30.9% | | | | | | |
| | |
| Belgium - 0.8% | | | | | | |
| Ageas | | | 39,240 | | | $ | 1,916,861 | |
| bpost SA (a) | | | 226,727 | | | | 6,900,278 | |
| KBC Group NV (a) | | | 160,485 | | | | 13,675,478 | |
| Proximus SADP | | | 130,789 | | | | 4,291,391 | |
| Solvay SA | | | 29,578 | | | | 4,112,422 | |
| UCB SA | | | 52,166 | | | | 4,136,397 | |
| Umicore SA (a) | | | 104,794 | | | | 4,961,890 | |
| | | | | | | | |
| | | | | | | 39,994,717 | |
| | | | | | | | |
| Canada - 0.6% | | | | | | |
| Agnico Eagle Mines Ltd. (1) | | | 30,528 | | | | 1,409,582 | |
| Air Canada (1)*(a) | | | 315,008 | | | | 6,485,606 | |
| ARC Resources Ltd. (1) | | | 50,203 | | | | 589,096 | |
| Cenovus Energy, Inc. (1) | | | 336,143 | | | | 3,069,946 | |
| Dollarama, Inc. (1) | | | 12,861 | | | | 1,606,858 | |
| Encana Corp. (1) | | | 206,802 | | | | 2,759,005 | |
| Franco-Nevada Corp. (1) | | | 36,063 | | | | 2,882,171 | |
| Intact Financial Corp. (1) | | | 9,769 | | | | 815,949 | |
| Kinross Gold Corp. (1)* | | | 370,243 | | | | 1,596,434 | |
| Linamar Corp. (1) | | | 23,340 | | | | 1,359,365 | |
| Peyto Exploration & Development Corp. (1) | | | 102,095 | | | | 1,220,754 | |
| Seven Generations Energy Ltd., Class A (1)* | | | 93,420 | | | | 1,321,406 | |
| Tourmaline Oil Corp. (1)* | | | 50,824 | | | | 921,059 | |
| West Fraser Timber Co. Ltd. (1) | | | 14,976 | | | | 924,175 | |
| Whitecap Resources, Inc. (1) | | | 83,452 | | | | 594,189 | |
| | | | | | | | |
| | | | | | | 27,555,595 | |
| | | | | | | | |
| Denmark - 0.9% | | | | | | |
| Danske Bank A/S (a) | | | 501,563 | | | | 19,521,834 | |
| GN Store Nord A/S | | | 103,520 | | | | 3,343,388 | |
| H Lundbeck A/S (a) | | | 186,177 | | | | 9,441,225 | |
| ISS A/S | | | 14,837 | | | | 574,416 | |
| Jyske Bank A/S (Registered) | | | 71,223 | | | | 4,049,520 | |
| TDC A/S | | | 90,815 | | | | 557,850 | |
| William Demant Holding A/S * | | | 104,080 | | | | 2,907,198 | |
| | | | | | | | |
| | | | | | | 40,395,431 | |
| | | | | | | | |
| Finland - 0.9% | | | | | | |
| Cargotec OYJ, Class B | | | 35,793 | | | | 2,026,603 | |
| Kesko OYJ, Class B | | | 16,792 | | | | 911,600 | |
| Neste OYJ (a) | | | 338,815 | | | | 21,687,912 | |
| Outokumpu OYJ | | | 364,296 | | | | 3,380,775 | |
| UPM-Kymmene OYJ (a) | | | 406,113 | | | | 12,607,716 | |
| | | | | | | | |
| | | | | | | 40,614,606 | |
| | | | | | | | |
| Germany - 1.1% | | | | | | |
| Aurubis AG (a) | | | 105,435 | | | | 9,786,863 | |
| Deutsche Lufthansa AG (Registered) (a) | | | 1,083,886 | | | | 39,804,326 | |
| OSRAM Licht AG | | | 42,330 | | | | 3,790,372 | |
| | | | | | | | |
| | | | | | | 53,381,561 | |
| | | | | | | | |
| Italy - 3.3% | | | | | | |
| A2A SpA (a) | | | 5,953,901 | | | | 11,016,400 | |
| Autogrill SpA | | | 209,467 | | | | 2,891,244 | |
| DiaSorin SpA | | | 11,099 | | | | 984,208 | |
| Enel SpA (a) | | | 8,126,302 | | | | 49,970,851 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Italy - 3.3% (continued) | | | | | | |
| Hera SpA | | | 753,753 | | | $ | 2,630,508 | |
| Intesa Sanpaolo SpA (a) | | | 12,354,230 | | | | 40,989,620 | |
| Italgas SpA | | | 240,222 | | | | 1,465,781 | |
| Mediobanca SpA (a) | | | 439,099 | | | | 4,975,316 | |
| Moncler SpA | | | 49,055 | | | | 1,533,339 | |
| Poste Italiane SpA (a)(b) | | | 1,836,069 | | | | 13,823,677 | |
| Prysmian SpA (a) | | | 227,262 | | | | 7,405,362 | |
| Recordati SpA (a) | | | 174,033 | | | | 7,733,942 | |
| Terna Rete Elettrica Nazionale SpA (a) | | | 1,519,139 | | | | 8,830,848 | |
| UnipolSai Assicurazioni SpA | | | 324,094 | | | | 755,980 | |
| | | | | | | | |
| | | | | | | 155,007,076 | |
| | | | | | | | |
| Japan - 14.4% | | | | | | |
| ABC-Mart, Inc. | | | 40,700 | | | | 2,332,837 | |
| Alfresa Holdings Corp. (a) | | | 212,200 | | | | 4,970,249 | |
| Amada Holdings Co. Ltd. (a) | | | 425,100 | | | | 5,771,603 | |
| ANA Holdings, Inc. (a) | | | 284,700 | | | | 11,876,697 | |
| Aozora Bank Ltd. (a) | | | 302,300 | | | | 11,729,939 | |
| Asahi Glass Co. Ltd. | | | 46,100 | | | | 1,992,646 | |
| Asahi Group Holdings Ltd. | | | 34,800 | | | | 1,726,761 | |
| Astellas Pharma, Inc. | | | 313,000 | | | | 3,976,125 | |
| Bandai Namco Holdings, Inc. (a) | | | 156,300 | | | | 5,101,588 | |
| Benesse Holdings, Inc. | | | 71,800 | | | | 2,526,201 | |
| Brother Industries Ltd. (a) | | | 108,500 | | | | 2,666,882 | |
| Central Japan Railway Co. | | | 27,000 | | | | 4,831,936 | |
| Chugoku Bank Ltd. (The) | | | 46,100 | | | | 614,394 | |
| Daiichi Sankyo Co. Ltd. (a) | | | 271,200 | | | | 7,051,762 | |
| Daiwa Securities Group, Inc. | | | 122,000 | | | | 763,295 | |
| Ezaki Glico Co. Ltd. | | | 24,500 | | | | 1,222,038 | |
| Fujitsu Ltd. (a) | | | 1,992,000 | | | | 14,122,349 | |
| GungHo Online Entertainment, Inc. * | | | 824,000 | | | | 2,261,322 | |
| Gunma Bank Ltd. (The) | | | 93,700 | | | | 564,562 | |
| Hakuhodo DY Holdings, Inc. | | | 155,000 | | | | 2,009,245 | |
| Hankyu Hanshin Holdings, Inc. (a) | | | 13,800 | | | | 554,319 | |
| Haseko Corp. (a) | | | 860,500 | | | | 13,336,232 | |
| Hikari Tsushin, Inc. | | | 12,800 | | | | 1,837,755 | |
| Hino Motors Ltd. | | | 43,500 | | | | 561,862 | |
| Hisamitsu Pharmaceutical Co., Inc. | | | 45,200 | | | | 2,730,744 | |
| Hitachi Capital Corp. | | | 30,000 | | | | 752,308 | |
| Hitachi High-Technologies Corp. (a) | | | 144,400 | | | | 6,069,047 | |
| Hitachi Ltd. (a) | | | 921,000 | | | | 7,145,303 | |
| Hitachi Metals Ltd. | | | 91,000 | | | | 1,301,530 | |
| Honda Motor Co. Ltd. | | | 17,200 | | | | 586,993 | |
| Idemitsu Kosan Co. Ltd. (a) | | | 471,600 | | | | 18,890,286 | |
| Inpex Corp. (a) | | | 1,593,800 | | | | 19,836,467 | |
| Isuzu Motors Ltd. | | | 209,400 | | | | 3,496,411 | |
| Ito En Ltd. | | | 26,100 | | | | 1,027,056 | |
| ITOCHU Corp. (a) | | | 966,200 | | | | 18,011,437 | |
| Itochu Techno-Solutions Corp. (a) | | | 206,000 | | | | 8,934,885 | |
| Izumi Co. Ltd. | | | 11,400 | | | | 707,543 | |
| Japan Airlines Co. Ltd. (a) | | | 355,400 | | | | 13,885,428 | |
| Japan Tobacco, Inc. (a) | | | 172,800 | | | | 5,564,699 | |
| JFE Holdings, Inc. (a) | | | 259,000 | | | | 6,189,432 | |
| JSR Corp. | | | 48,700 | | | | 956,676 | |
| JTEKT Corp. | | | 41,500 | | | | 711,067 | |
| JXTG Holdings, Inc. (a) | | | 4,955,000 | | | | 31,842,361 | |
| Kajima Corp. (a) | | | 1,540,000 | | | | 14,796,168 | |
| Kaken Pharmaceutical Co. Ltd. | | | 16,100 | | | | 829,539 | |
| Kamigumi Co. Ltd. | | | 80,000 | | | | 1,767,949 | |
| Kao Corp. (a) | | | 187,600 | | | | 12,676,058 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
195
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - 14.4% (continued) | | | | | | |
| Keihan Holdings Co. Ltd. | | | 19,200 | | | $ | 564,861 | |
| Kewpie Corp. | | | 20,700 | | | | 551,521 | |
| Kirin Holdings Co. Ltd. (a) | | | 456,000 | | | | 11,491,848 | |
| Konami Holdings Corp. (a) | | | 141,700 | | | | 7,792,399 | |
| Kuraray Co. Ltd. (a) | | | 269,700 | | | | 5,077,895 | |
| Kurita Water Industries Ltd. | | | 36,800 | | | | 1,193,109 | |
| Kyushu Railway Co. | | | 95,600 | | | | 2,959,044 | |
| Lion Corp. (a) | | | 332,700 | | | | 6,288,688 | |
| Marubeni Corp. (a) | | | 2,836,400 | | | | 20,506,290 | |
| Maruichi Steel Tube Ltd. | | | 21,200 | | | | 619,479 | |
| Matsumotokiyoshi Holdings Co. Ltd. | | | 27,600 | | | | 1,133,838 | |
| McDonald’s Holdings Co. Japan Ltd. | | | 92,700 | | | | 4,073,624 | |
| Medipal Holdings Corp. | | | 203,900 | | | | 3,980,863 | |
| Mitsubishi Corp. (a) | | | 535,700 | | | | 14,771,272 | |
| Mitsubishi Gas Chemical Co., Inc. (a) | | | 338,800 | | | | 9,701,531 | |
| Mitsubishi Materials Corp. | | | 45,800 | | | | 1,625,235 | |
| Mitsubishi Tanabe Pharma Corp. (a) | | | 388,000 | | | | 7,996,720 | |
| Mitsubishi UFJ Lease & Finance Co. Ltd. | | | 401,400 | | | | 2,382,421 | |
| Mitsui & Co. Ltd. (a) | | | 562,100 | | | | 9,119,190 | |
| Mitsui Chemicals, Inc. (a) | | | 256,200 | | | | 8,215,686 | |
| Mixi, Inc. (a) | | | 115,500 | | | | 5,173,009 | |
| Nagoya Railroad Co. Ltd. | | | 21,700 | | | | 546,477 | |
| Nankai Electric Railway Co. Ltd. | | | 32,300 | | | | 799,324 | |
| Nexon Co. Ltd.*(a) | | | 276,500 | | | | 8,018,579 | |
| NH Foods Ltd. | | | 124,000 | | | | 3,020,548 | |
| NHK Spring Co. Ltd. | | | 407,100 | | | | 4,467,942 | |
| Nippon Electric Glass Co. Ltd. (a) | | | 95,500 | | | | 3,634,859 | |
| Nippon Express Co. Ltd. (a) | | | 99,200 | | | | 6,587,601 | |
| Nippon Shokubai Co. Ltd. | | | 18,800 | | | | 1,267,312 | |
| Nippon Telegraph & Telephone Corp. (a) | | | 142,600 | | | | 6,704,212 | |
| Nissan Motor Co. Ltd. (a) | | | 654,700 | | | | 6,518,252 | |
| Nisshin Seifun Group, Inc. (a) | | | 181,400 | | | | 3,661,301 | |
| Nitori Holdings Co. Ltd. (a) | | | 57,400 | | | | 8,169,427 | |
| Nomura Research Institute Ltd. (a) | | | 35,885 | | | | 1,665,653 | |
| Obayashi Corp. (a) | | | 1,341,100 | | | | 16,200,662 | |
| Oracle Corp. Japan | | | 53,800 | | | | 4,452,544 | |
| Oriental Land Co. Ltd. | | | 31,900 | | | | 2,902,250 | |
| Osaka Gas Co. Ltd. (a) | | | 217,500 | | | | 4,182,383 | |
| Otsuka Corp. (a) | | | 108,100 | | | | 8,278,886 | |
| Otsuka Holdings Co. Ltd. (a) | | | 173,700 | | | | 7,617,998 | |
| Park24 Co. Ltd. | | | 63,900 | | | | 1,529,728 | |
| Pola Orbis Holdings, Inc. (a) | | | 276,800 | | | | 9,699,281 | |
| Resona Holdings, Inc. (a) | | | 1,946,100 | | | | 11,596,364 | |
| Ryohin Keikaku Co. Ltd. (a) | | | 22,100 | | | | 6,879,489 | |
| Sawai Pharmaceutical Co. Ltd. | | | 20,800 | | | | 928,294 | |
| Sekisui Chemical Co. Ltd. | | | 116,800 | | | | 2,338,373 | |
| Shimamura Co. Ltd. (a) | | | 75,300 | | | | 8,272,429 | |
| Shimizu Corp. | | | 321,000 | | | | 3,310,770 | |
| Shionogi & Co. Ltd. (a) | | | 110,500 | | | | 5,970,857 | |
| SMC Corp. | | | 1,400 | | | | 574,538 | |
| Sojitz Corp. (a) | | | 3,434,800 | | | | 10,523,145 | |
| Square Enix Holdings Co. Ltd. (a) | | | 171,700 | | | | 8,146,790 | |
| Start Today Co. Ltd. (a) | | | 213,900 | | | | 6,492,530 | |
| Sugi Holdings Co. Ltd. (a) | | | 27,000 | | | | 1,375,458 | |
| Sumitomo Chemical Co. Ltd. | | | 99,000 | | | | 708,409 | |
| Sumitomo Corp. (a) | | | 796,200 | | | | 13,504,952 | |
| Sumitomo Dainippon Pharma Co. Ltd. (a) | | | 435,400 | | | | 6,445,304 | |
| Sundrug Co. Ltd. | | | 14,300 | | | | 663,325 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - 14.4% (continued) | | | | | | |
| Suzuken Co. Ltd. (a) | | | 37,410 | | | $ | 1,535,918 | |
| Suzuki Motor Corp. | | | 119,200 | | | | 6,899,732 | |
| Taiheiyo Cement Corp. | | | 13,600 | | | | 585,530 | |
| Taisei Corp. (a) | | | 270,300 | | | | 13,442,263 | |
| Taisho Pharmaceutical Holdings Co. Ltd. | | | 8,700 | | | | 692,974 | |
| Toho Gas Co. Ltd. | | | 22,700 | | | | 621,481 | |
| Tohoku Electric Power Co., Inc. | | | 53,800 | | | | 686,859 | |
| Tokyo Century Corp. | | | 15,300 | | | | 740,586 | |
| Tokyo Electric Power Co. Holdings, Inc. * | | | 921,200 | | | | 3,635,676 | |
| Tokyo Electron Ltd. | | | 15,200 | | | | 2,741,920 | |
| Toppan Printing Co. Ltd. | | | 162,000 | | | | 1,463,366 | |
| Tosoh Corp. (a) | | | 714,300 | | | | 16,114,752 | |
| Toyo Suisan Kaisha Ltd. | | | 111,200 | | | | 4,747,221 | |
| Toyota Boshoku Corp. | | | 33,600 | | | | 701,344 | |
| Toyota Tsusho Corp. | | | 24,700 | | | | 992,279 | |
| Welcia Holdings Co. Ltd. | | | 18,300 | | | | 789,894 | |
| West Japan Railway Co. (a) | | | 99,800 | | | | 7,280,811 | |
| Yamada Denki Co. Ltd. (a) | | | 903,100 | | | | 4,973,613 | |
| Yamaguchi Financial Group, Inc. (a) | | | 516,000 | | | | 6,115,306 | |
| Yamazaki Baking Co. Ltd. | | | 148,900 | | | | 2,899,305 | |
| Yokogawa Electric Corp. | | | 40,100 | | | | 765,616 | |
| | | | | | | | |
| | | | | | | 684,413,201 | |
| | | | | | | | |
| Luxembourg - 0.0% (c) | | | | | | |
| Aperam SA | | | 22,579 | | | | 1,159,956 | |
| | | | | | | | |
| | |
| Netherlands - 1.5% | | | | | | |
| Aalberts Industries NV | | | 19,405 | | | | 985,885 | |
| ABN AMRO Group NV, CVA (a)(b) | | | 302,589 | | | | 9,755,737 | |
| Aegon NV | | | 654,198 | | | | 4,156,754 | |
| ASM International NV (a) | | | 80,109 | | | | 5,409,951 | |
| ASML Holding NV | | | 5,001 | | | | 869,466 | |
| ASR Nederland NV (a) | | | 164,698 | | | | 6,780,095 | |
| Koninklijke DSM NV | | | 16,600 | | | | 1,585,697 | |
| Koninklijke Philips NV (a) | | | 183,852 | | | | 6,942,009 | |
| NN Group NV (a) | | | 303,748 | | | | 13,138,185 | |
| Philips Lighting NV (a)(b) | | | 157,987 | | | | 5,794,464 | |
| Randstad Holding NV | | | 33,641 | | | | 2,064,181 | |
| Wolters Kluwer NV (a) | | | 243,830 | | | | 12,710,772 | |
| | | | | | | | |
| | | | | | | 70,193,196 | |
| | | | | | | | |
| Norway - 0.5% | | | | | | |
| DNB ASA (a) | | | 488,309 | | | | 9,039,291 | |
| Gjensidige Forsikring ASA | | | 44,896 | | | | 846,841 | |
| Marine Harvest ASA *(a) | | | 653,731 | | | | 11,055,039 | |
| Norsk Hydro ASA | | | 101,858 | | | | 772,166 | |
| | | | | | | | |
| | | | | | | 21,713,337 | |
| | | | | | | | |
| Portugal - 0.1% | | | | | | |
| EDP - Energias de Portugal SA (a) | | | 1,310,664 | | | | 4,533,794 | |
| Galp Energia SGPS SA | | | 75,369 | | | | 1,384,736 | |
| | | | | | | | |
| | | | | | | 5,918,530 | |
| | | | | | | | |
| Spain - 1.8% | | | | | | |
| ACS Actividades de Construccion y Servicios SA | | | 15,163 | | | | 592,322 | |
| Amadeus IT Group SA (a) | | | 116,902 | | | | 8,412,561 | |
| Bankinter SA | | | 399,176 | | | | 3,776,089 | |
| Ebro Foods SA | | | 143,692 | | | | 3,363,125 | |
| Endesa SA (a) | | | 566,048 | | | | 12,106,536 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
196
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Spain - 1.8% (continued) | | | | | | |
| Iberdrola SA (a) | | | 584,955 | | | $ | 4,528,307 | |
| Repsol SA (a) | | | 2,854,245 | | | | 50,395,841 | |
| | | | | | | | |
| | | | | | | 83,174,781 | |
| | | | | | | | |
| Sweden - 1.2% | | | | | | |
| Boliden AB (a) | | | 826,942 | | | | 28,279,535 | |
| Electrolux AB, Series B | | | 44,063 | | | | 1,418,625 | |
| Essity AB, Class B * | | | 30,518 | | | | 867,258 | |
| Husqvarna AB, Class B | | | 228,332 | | | | 2,172,464 | |
| Modern Times Group MTG AB, Class B | | | 15,240 | | | | 640,416 | |
| NCC AB, Class B | | | 87,324 | | | | 1,674,742 | |
| Nordea Bank AB (a) | | | 627,485 | | | | 7,597,566 | |
| Saab AB, Class B | | | 36,167 | | | | 1,758,939 | |
| Securitas AB, Class B | | | 172,274 | | | | 3,004,827 | |
| Skandinaviska Enskilda Banken AB, Class A | | | 333,418 | | | | 3,915,125 | |
| SSAB AB, Class A * | | | 161,135 | | | | 880,545 | |
| Swedbank AB, Class A (a) | | | 235,448 | | | | 5,680,136 | |
| | | | | | | | |
| | | | | | | 57,890,178 | |
| | | | | | | | |
| Switzerland - 3.0% | | | | | | |
| ABB Ltd. (Registered) (a) | | | 292,697 | | | | 7,839,698 | |
| Adecco Group AG (Registered) *(a) | | | 85,604 | | | | 6,541,866 | |
| Barry Callebaut AG (Registered) * | | | 501 | | | | 1,044,277 | |
| DKSH Holding AG | | | 14,409 | | | | 1,260,535 | |
| dormakaba Holding AG * | | | 986 | | | | 918,113 | |
| Flughafen Zurich AG (Registered) | | | 2,541 | | | | 580,788 | |
| Geberit AG (Registered) | | | 4,102 | | | | 1,805,563 | |
| Georg Fischer AG (Registered) (a) | | | 6,511 | | | | 8,595,605 | |
| Helvetia Holding AG (Registered) | | | 1,684 | | | | 947,181 | |
| Kuehne + Nagel International AG (Registered) | | | 19,160 | | | | 3,389,774 | |
| Lonza Group AG (Registered) *(a) | | | 100,136 | | | | 27,007,309 | |
| Novartis AG (Registered) (a) | | | 110,133 | | | | 9,267,968 | |
| Partners Group Holding AG (a) | | | 15,297 | | | | 10,481,401 | |
| Roche Holding AG (a) | | | 80,419 | | | | 20,334,376 | |
| Schindler Holding AG | | | 2,446 | | | | 562,557 | |
| Sika AG (a) | | | 1,252 | | | | 9,933,367 | |
| Sonova Holding AG (Registered) | | | 31,626 | | | | 4,936,595 | |
| Straumann Holding AG (Registered) | | | 5,816 | | | | 4,102,895 | |
| Swiss Life Holding AG (Registered) *(a) | | | 20,901 | | | | 7,387,963 | |
| Swiss Re AG | | | 42,407 | | | | 3,965,935 | |
| Swisscom AG (Registered) | | | 6,042 | | | | 3,212,878 | |
| Temenos Group AG (Registered) *(a) | | | 73,581 | | | | 9,416,219 | |
| | | | | | | | |
| | | | | | | 143,532,863 | |
| | | | | | | | |
| United Kingdom - 0.8% | | | | | | |
| Fiat Chrysler Automobiles NV *(a) | | | 1,731,077 | | | | 30,905,455 | |
| Subsea 7 SA (a) | | | 593,111 | | | | 8,886,027 | |
| | | | | | | | |
| | | | | | | 39,791,482 | |
| | | | | | | | |
| United States - 0.0% (c) | | | | |
| Valeant Pharmaceuticals International, Inc. (1)* | | | 28,561 | | | | 595,305 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $1,172,675,175) | | | | 1,465,331,815 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| SHORT-TERM INVESTMENTS - 84.8% | | | | |
| INVESTMENT COMPANIES - 61.3% | | | | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.17% (d) | | | 31,587,562 | | | $ | 31,587,562 | |
| Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.15% (d) | | | 126,350,247 | | | | 126,350,247 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.24% (d)(e) | | | 807,755,625 | | | | 807,755,625 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.18% (d)(e) | | | 700,883,242 | | | | 700,883,242 | |
| Limited Purpose Cash Investment Fund, 1.17% (d)(f) | | | 1,084,486,894 | | | | 1,084,378,445 | |
| UBS Select Treasury Preferred Fund, Class I, 1.16% (d) | | | 157,937,809 | | | | 157,937,809 | |
| | | | | | | | |
TOTAL INVESTMENT COMPANIES
(Cost $2,908,892,930) | | | | 2,908,892,930 | |
| | | | | | | | |
| | | PRINCIPAL
AMOUNT | | | | |
| U.S. TREASURY OBLIGATIONS - 23.5% | | | | |
| U.S. Treasury Bills | | | | | |
| 1.13%, 1/11/2018 (g) | | $ | 30,366,000 | | | | 30,357,061 | |
| 1.10%, 1/18/2018 (g) | | | 398,281,000 | | | | 398,061,722 | |
| 1.14%, 2/1/2018 (g) | | | 43,220,000 | | | | 43,174,424 | |
| 1.15%, 2/8/2018 (g)(h) | | | 32,900,000 | | | | 32,857,690 | |
| 1.12%, 2/15/2018 (g) | | | 99,714,000 | | | | 99,563,183 | |
| 1.12%, 2/22/2018 (g) | | | 32,871,000 | | | | 32,812,093 | |
| 1.12%, 3/1/2018 (g) | | | 37,630,000 | | | | 37,552,853 | |
| 1.12%, 3/8/2018 (g) | | | 15,558,000 | | | | 15,521,657 | |
| 1.15%, 3/15/2018 (g) | | | 3,439,000 | | | | 3,430,093 | |
| 1.19%, 3/22/2018 (g) | | | 13,065,000 | | | | 13,026,152 | |
| 1.18%, 3/29/2018 (g) | | | 23,998,000 | | | | 23,919,532 | |
| 1.20%, 4/5/2018 (g) | | | 5,068,000 | | | | 5,049,818 | |
| 1.23%, 4/12/2018 (g) | | | 9,031,000 | | | | 8,996,130 | |
| 1.25%, 4/19/2018 (g) | | | 8,854,000 | | | | 8,817,289 | |
| 1.25%, 4/26/2018 (g) | | | 13,380,000 | | | | 13,322,059 | |
| 1.27%, 5/3/2018 (g) | | | 27,702,000 | | | | 27,571,880 | |
| 1.31%, 5/10/2018 (g) | | | 11,343,000 | | | | 11,285,529 | |
| 1.37%, 5/17/2018 (g)(h) | | | 161,812,000 | | | | 160,950,351 | |
| 1.43%, 5/24/2018 (g)(h) | | | 6,519,000 | | | | 6,481,811 | |
| 1.45%, 5/31/2018 (g) | | | 48,596,000 | | | | 48,303,853 | |
| 1.46%, 6/7/2018 (g)(h) | | | 33,403,000 | | | | 33,190,585 | |
| 1.47%, 6/14/2018 (g) | | | 4,861,000 | | | | 4,828,866 | |
| 1.49%, 6/21/2018 (g)(h) | | | 43,774,000 | | | | 43,463,934 | |
| 1.54%, 6/28/2018 (g) | | | 14,664,000 | | | | 14,555,312 | |
| | | | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $1,117,224,908) | | | | 1,117,093,877 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(Cost $4,026,117,838) | | | | 4,025,986,807 | |
| | | | | | | | |
TOTAL LONG POSITIONS
(Cost $5,198,793,013) | | | | | | | 5,491,318,622 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
197
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE
| |
| | |
| SHORT POSITIONS - (23.5)% | | | | | | |
| COMMON STOCKS - (23.5)% | | | | | | |
| | |
| Austria - (0.1)% | | | | | | |
| ams AG * | | | (39,047 | ) | | $ | (3,537,340 | ) |
| | | | | | | | |
| Belgium - (0.7)% | | | | | | |
| Anheuser-Busch InBev SA | | | (221,804 | ) | | | (24,762,518 | ) |
| Galapagos NV * | | | (25,234 | ) | | | (2,377,735 | ) |
| Telenet Group Holding NV * | | | (70,543 | ) | | | (4,914,499 | ) |
| | | | | | | | |
| | | | | | | (32,054,752 | ) |
| | | | | | | | |
| Canada - (0.5)% | | | | | | |
| BlackBerry Ltd. (1)* | | | (69,427 | ) | | | (775,462 | ) |
| Cameco Corp. (1) | | | (53,726 | ) | | | (496,228 | ) |
| Enbridge, Inc. (1) | | | (181,661 | ) | | | (7,104,578 | ) |
| Shopify, Inc., Class A (1)* | | | (7,894 | ) | | | (798,255 | ) |
| Teck Resources Ltd., Class B (1) | | | (285,273 | ) | | | (7,459,764 | ) |
| TransCanada Corp. (1) | | | (41,893 | ) | | | (2,038,993 | ) |
| Wheaton Precious Metals Corp. (1) | | | (156,997 | ) | | | (3,470,920 | ) |
| | | | | | | | |
| | | | | | | (22,144,200 | ) |
| | | | | | | | |
| Colombia - (0.1)% | | | | | | |
| Millicom International Cellular SA, SDR | | | (73,120 | ) | | | (4,935,962 | ) |
| | | | | | | | |
| | |
| Denmark - (0.7)% | | | | | | |
| AP Moller - Maersk A/S, Class B | | | (2,765 | ) | | | (4,819,358 | ) |
| Chr Hansen Holding A/S | | | (10,597 | ) | | | (993,495 | ) |
| Coloplast A/S, Class B | | | (24,811 | ) | | | (1,972,488 | ) |
| Genmab A/S * | | | (48,290 | ) | | | (7,997,307 | ) |
| Novozymes A/S, Class B | | | (135,591 | ) | | | (7,740,529 | ) |
| Pandora A/S | | | (74,218 | ) | | | (8,067,388 | ) |
| | | | | | | | |
| | | | | | | (31,590,565 | ) |
| | | | | | | | |
| Finland - (0.6)% | | | | | | |
| Amer Sports OYJ * | | | (30,499 | ) | | | (844,159 | ) |
| Fortum OYJ | | | (213,081 | ) | | | (4,217,164 | ) |
| Metso OYJ | | | (20,451 | ) | | | (697,690 | ) |
| Nokia OYJ | | | (4,914,317 | ) | | | (22,961,363 | ) |
| | | | | | | | |
| | | | | | | (28,720,376 | ) |
| | | | | | | | |
| Italy - (2.1)% | | | | | | |
| Banco BPM SpA * | | | (4,905,498 | ) | | | (15,363,929 | ) |
| BPER Banca | | | (485,605 | ) | | | (2,446,313 | ) |
| Buzzi Unicem SpA | | | (118,226 | ) | | | (3,189,388 | ) |
| Ferrari NV | | | (134,219 | ) | | | (14,063,510 | ) |
| Mediaset SpA * | | | (429,155 | ) | | | (1,662,603 | ) |
| Saipem SpA * | | | (165,344 | ) | | | (754,424 | ) |
| UniCredit SpA * | | | (2,327,759 | ) | | | (43,422,596 | ) |
| Unione di Banche Italiane SpA | | | (1,889,302 | ) | | | (8,236,292 | ) |
| Unipol Gruppo SpA | | | (1,278,232 | ) | | | (5,987,013 | ) |
| Yoox Net-A-Porter Group SpA * | | | (116,363 | ) | | | (4,058,977 | ) |
| | | | | | | | |
| | | | | | | (99,185,045 | ) |
| | | | | | | | |
| Japan - (13.2)% | | | | | | |
| Acom Co. Ltd. * | | | (1,404,300 | ) | | | (5,900,143 | ) |
| Advantest Corp. | | | (993,200 | ) | | | (18,323,877 | ) |
| Aeon Co. Ltd. | | | (708,100 | ) | | | (11,943,989 | ) |
| AEON Financial Service Co. Ltd. | | | (248,100 | ) | | | (5,766,083 | ) |
| Alps Electric Co. Ltd. | | | (28,500 | ) | | | (810,693 | ) |
| Asics Corp. | | | (535,000 | ) | | | (8,503,721 | ) |
| Bank of Kyoto Ltd. (The) | | | (186,699 | ) | | | (9,695,807 | ) |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE
| |
| Japan - (13.2)% (continued) | | | | | | |
| Calbee, Inc. | | | (304,800 | ) | | $ | (9,905,296 | ) |
| Chiba Bank Ltd. (The) | | | (691,000 | ) | | | (5,730,295 | ) |
| Chugai Pharmaceutical Co. Ltd. | | | (129,400 | ) | | | (6,613,470 | ) |
| Chugoku Electric Power Co., Inc. (The) | | | (503,900 | ) | | | (5,409,478 | ) |
| Credit Saison Co. Ltd. | | | (39,800 | ) | | | (722,741 | )�� |
| CyberAgent, Inc. | | | (17,300 | ) | | | (674,227 | ) |
| Dai-ichi Life Holdings, Inc. | | | (443,700 | ) | | | (9,118,986 | ) |
| DeNA Co. Ltd. | | | (64,400 | ) | | | (1,325,807 | ) |
| Dentsu, Inc. | | | (120,100 | ) | | | (5,078,432 | ) |
| Don Quijote Holdings Co. Ltd. | | | (17,800 | ) | | | (927,913 | ) |
| Eisai Co. Ltd. | | | (129,000 | ) | | | (7,328,440 | ) |
| Electric Power Development Co. Ltd. | | | (161,200 | ) | | | (4,336,214 | ) |
| FamilyMart UNY Holdings Co. Ltd. | | | (119,500 | ) | | | (8,369,563 | ) |
| FANUC Corp. | | | (20,100 | ) | | | (4,821,918 | ) |
| Fast Retailing Co. Ltd. | | | (67,600 | ) | | | (26,878,689 | ) |
| Fukuoka Financial Group, Inc. | | | (134,000 | ) | | | (749,824 | ) |
| Hachijuni Bank Ltd. (The) | | | (557,200 | ) | | | (3,184,019 | ) |
| Hamamatsu Photonics KK | | | (109,600 | ) | | | (3,676,044 | ) |
| Hirose Electric Co. Ltd. | | | (10,800 | ) | | | (1,576,865 | ) |
| Hokuriku Electric Power Co. | | | (387,400 | ) | | | (3,116,735 | ) |
| Ibiden Co. Ltd. | | | (389,200 | ) | | | (5,809,430 | ) |
| IHI Corp. | | | (200,000 | ) | | | (6,633,286 | ) |
| Isetan Mitsukoshi Holdings Ltd. | | | (770,700 | ) | | | (9,537,293 | ) |
| Iyo Bank Ltd. (The) | | | (518,100 | ) | | | (4,139,936 | ) |
| J Front Retailing Co. Ltd. | | | (51,200 | ) | | | (962,158 | ) |
| Japan Post Insurance Co. Ltd. | | | (29,500 | ) | | | (693,496 | ) |
| JGC Corp. | | | (122,200 | ) | | | (2,360,834 | ) |
| Kakaku.com, Inc. | | | (506,000 | ) | | | (8,541,621 | ) |
| Kansai Paint Co. Ltd. | | | (393,700 | ) | | | (10,216,220 | ) |
| Keikyu Corp. | | | (154,999 | ) | | | (2,974,141 | ) |
| Keio Corp. | | | (21,300 | ) | | | (935,595 | ) |
| Keyence Corp. | | | (5,200 | ) | | | (2,904,883 | ) |
| Kikkoman Corp. | | | (249,300 | ) | | | (10,081,603 | ) |
| Kintetsu Group Holdings Co. Ltd. | | | (47,500 | ) | | | (1,817,827 | ) |
| Kose Corp. | | | (4,700 | ) | | | (732,387 | ) |
| Kyushu Electric Power Co., Inc. | | | (425,900 | ) | | | (4,461,118 | ) |
| Kyushu Financial Group, Inc. | | | (156,000 | ) | | | (940,258 | ) |
| LIXIL Group Corp. | | | (93,500 | ) | | | (2,526,114 | ) |
| M3, Inc. | | | (148,900 | ) | | | (5,219,566 | ) |
| Mabuchi Motor Co. Ltd. | | | (10,400 | ) | | | (562,167 | ) |
| Marui Group Co. Ltd. | | | (329,900 | ) | | | (6,030,610 | ) |
| Mitsubishi Logistics Corp. | | | (141,000 | ) | | | (3,655,437 | ) |
| Mitsubishi Motors Corp. | | | (2,145,300 | ) | | | (15,433,485 | ) |
| MonotaRO Co. Ltd. | | | (53,600 | ) | | | (1,708,223 | ) |
| Murata Manufacturing Co. Ltd. | | | (41,700 | ) | | | (5,583,134 | ) |
| NGK Spark Plug Co. Ltd. | | | (639,200 | ) | | | (15,492,505 | ) |
| Nidec Corp. | | | (164,200 | ) | | | (22,990,800 | ) |
| Nintendo Co. Ltd. | | | (109,500 | ) | | | (39,430,581 | ) |
| Nippon Paint Holdings Co. Ltd. | | | (379,600 | ) | | | (11,993,984 | ) |
| Nippon Yusen KK * | | | (417,000 | ) | | | (10,146,288 | ) |
| Odakyu Electric Railway Co. Ltd. | | | (190,200 | ) | | | (4,063,943 | ) |
| Olympus Corp. | | | (93,200 | ) | | | (3,565,367 | ) |
| Ono Pharmaceutical Co. Ltd. | | | (429,300 | ) | | | (9,986,253 | ) |
| Orient Corp. | | | (626,600 | ) | | | (998,079 | ) |
| PeptiDream, Inc. * | | | (81,200 | ) | | | (2,769,897 | ) |
| Pigeon Corp. | | | (190,900 | ) | | | (7,253,272 | ) |
| Recruit Holdings Co. Ltd. | | | (26,300 | ) | | | (653,028 | ) |
| Renesas Electronics Corp. * | | | (669,500 | ) | | | (7,764,485 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
198
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE
| |
| Japan - (13.2)% (continued) | | | | | | |
| Ricoh Co. Ltd. | | | (457,400 | ) | | $ | (4,238,641 | ) |
| Rohm Co. Ltd. | | | (12,400 | ) | | | (1,366,006 | ) |
| Santen Pharmaceutical Co. Ltd. | | | (89,500 | ) | | | (1,401,603 | ) |
| Seibu Holdings, Inc. | | | (57,800 | ) | | | (1,091,978 | ) |
| Seven Bank Ltd. | | | (1,266,200 | ) | | | (4,324,298 | ) |
| Shikoku Electric Power Co., Inc. | | | (563,700 | ) | | | (6,135,976 | ) |
| Shimano, Inc. | | | (88,300 | ) | | | (12,411,326 | ) |
| Shiseido Co. Ltd. | | | (11,400 | ) | | | (549,310 | ) |
| Shizuoka Bank Ltd. (The) | | | (839,000 | ) | | | (8,636,563 | ) |
| SoftBank Group Corp. | | | (203,500 | ) | | | (16,111,213 | ) |
| Sompo Holdings, Inc. | | | (80,400 | ) | | | (3,103,502 | ) |
| Sony Corp. | | | (77,100 | ) | | | (3,460,469 | ) |
| Sony Financial Holdings, Inc. | | | (904,800 | ) | | | (15,991,084 | ) |
| Stanley Electric Co. Ltd. | | | (109,400 | ) | | | (4,426,598 | ) |
| SUMCO Corp. | | | (679,100 | ) | | | (17,240,094 | ) |
| Suruga Bank Ltd. | | | (137,200 | ) | | | (2,933,662 | ) |
| Sysmex Corp. | | | (28,800 | ) | | | (2,261,405 | ) |
| T&D Holdings, Inc. | | | (529,200 | ) | | | (9,028,413 | ) |
| Taiyo Nippon Sanso Corp. | | | (2,100 | ) | | | (29,304 | ) |
| Tobu Railway Co. Ltd. | | | (21,700 | ) | | | (700,336 | ) |
| Tokio Marine Holdings, Inc. | | | (418,600 | ) | | | (19,039,205 | ) |
| Toyo Seikan Group Holdings Ltd. | | | (34,100 | ) | | | (547,383 | ) |
| Toyota Industries Corp. | | | (38,700 | ) | | | (2,480,630 | ) |
| Unicharm Corp. | | | (69,500 | ) | | | (1,804,714 | ) |
| Yakult Honsha Co. Ltd. | | | (117,200 | ) | | | (8,843,362 | ) |
| Yamaha Corp. | | | (34,000 | ) | | | (1,254,150 | ) |
| Yamaha Motor Co. Ltd. | | | (53,700 | ) | | | (1,759,120 | ) |
| Yamato Holdings Co. Ltd. | | | (340,900 | ) | | | (6,843,687 | ) |
| Yaskawa Electric Corp. | | | (1,038,200 | ) | | | (45,488,873 | ) |
| | | | | | | | |
| | | | | | | (625,561,478 | ) |
| | | | | | | | |
| Luxembourg - (0.3)% | | | | | | |
| Tenaris SA | | | (787,491 | ) | | | (12,499,045 | ) |
| | | | | | | | |
| | |
| Netherlands - (1.1)% | | | | | | |
| Altice NV, Class A * | | | (2,650,628 | ) | | | (27,795,663 | ) |
| Boskalis Westminster | | | (15,167 | ) | | | (571,547 | ) |
| Gemalto NV | | | (58,469 | ) | | | (3,462,541 | ) |
| Koninklijke KPN NV | | | (2,758,616 | ) | | | (9,631,105 | ) |
| Koninklijke Vopak NV | | | (149,229 | ) | | | (6,536,863 | ) |
| OCI NV * | | | (161,304 | ) | | | (4,068,100 | ) |
| SBM Offshore NV | | | (32,567 | ) | | | (573,569 | ) |
| | | | | | | | |
| | | | | | | (52,639,388 | ) |
| | | | | | | | |
| Norway - (0.1)% | | | | | | |
| Schibsted ASA, Class A | | | (191,759 | ) | | | (5,488,174 | ) |
| | | | | | | | |
| | |
| Portugal - (0.1)% | | | | | | |
| Banco Comercial Portugues SA, Class R * | | | (17,745,189 | ) | | | (5,775,954 | ) |
| Banco Espirito Santo SA (Registered) (3)*(i) | | | (216,618 | ) | | | (3 | ) |
| | | | | | | | |
| | | | | | | (5,775,957 | ) |
| | | | | | | | |
| Spain - (1.3)% | | | | | | |
| Atresmedia Corp. de Medios de Comunicacion SA | | | (61,671 | ) | | | (643,619 | ) |
| Banco Santander SA | | | (1,866,995 | ) | | | (12,240,462 | ) |
| Bankia SA | | | (2,736,931 | ) | | | (13,063,243 | ) |
| Cellnex Telecom SA (b) | | | (643,458 | ) | | | (16,463,155 | ) |
| Enagas SA | | | (92,117 | ) | | | (2,634,496 | ) |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE
| |
| Spain - (1.3)% (continued) | | | | | | |
| Industria de Diseno Textil SA | | | (478,139 | ) | | $ | (16,625,747 | ) |
| | | | | | | | |
| | | | | | | (61,670,722 | ) |
| | | | | | | | |
| Sweden - (1.1)% | | | | | | |
| Arjo AB, Class B (1)* | | | (68,007 | ) | | | (194,078 | ) |
| Atlas Copco AB, Class A | | | (114,844 | ) | | | (4,956,217 | ) |
| Elekta AB, Class B | | | (97,998 | ) | | | (809,205 | ) |
| Getinge AB, Class B | | | (38,292 | ) | | | (555,262 | ) |
| Hennes & Mauritz AB, Class B | | | (255,119 | ) | | | (5,276,845 | ) |
| Telefonaktiebolaget LM Ericsson, Class B | | | (6,031,011 | ) | | | (39,803,046 | ) |
| | | | | | | | |
| | | | | | | (51,594,653 | ) |
| | | | | | | | |
| Switzerland - (1.4)% | | | | | | |
| Aryzta AG * | | | (45,194 | ) | | | (1,793,424 | ) |
| Chocoladefabriken Lindt & Spruengli AG | | | (546 | ) | | | (3,332,997 | ) |
| Credit Suisse Group AG (Registered) * | | | (2,931,184 | ) | | | (52,279,788 | ) |
| Idorsia Ltd. * | | | (107,635 | ) | | | (2,818,996 | ) |
| OC Oerlikon Corp. AG (Registered) * | | | (298,298 | ) | | | (5,035,155 | ) |
| Vifor Pharma AG | | | (32,816 | ) | | | (4,201,104 | ) |
| | | | | | | | |
| | | | | | | (69,461,464 | ) |
| | | | | | | | |
| United Kingdom - 0.0% (c) | | | | | | |
| CNH Industrial NV | | | (113,282 | ) | | | (1,515,548 | ) |
| | | | | | | | |
| | |
| Zambia - (0.1)% | | | | | | |
| First Quantum Minerals Ltd. (1) | | | (365,322 | ) | | | (5,117,995 | ) |
| | | | | | | | |
TOTAL COMMON STOCKS
(Proceeds $ (1,036,315,204)) | | | | | | | (1,113,492,664 | ) |
| | | | | | | | |
TOTAL SHORT POSITIONS
(Proceeds $ (1,036,315,204)) | | | | | | | (1,113,492,664 | ) |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT
VALUE - 92.2%
(Cost $4,162,477,809) | | | | 4,377,825,958 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 7.8% (j) | | | | | | | 369,601,311 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 4,747,427,269 | |
| | | | | | | | |
| | | | | | | | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | (67,600,931 | ) | | | (1.4 | )% |
| Consumer Staples | | | (3,592,299 | ) | | | (0.1 | ) |
| Energy | | | 130,760,890 | | | | 2.8 | |
| Financials | | | (46,260,280 | ) | | | (1.0 | ) |
| Health Care | | | 96,387,989 | | | | 2.0 | |
| Industrials | | | 235,617,271 | | | | 5.0 | |
| Information Technology | | | (119,440,805 | ) | | | (2.5 | ) |
| Materials | | | 81,809,682 | | | | 1.7 | |
| Telecommunication Services | | | (32,375,105 | ) | | | (0.7 | ) |
| Utilities | | | 76,532,739 | | | | 1.6 | |
| Short-Term Investments | | | 4,025,986,807 | | | | 84.8 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 4,377,825,958 | | | | 92.2 | |
| Other Assets in Excess of Liabilities (j) | | | 369,601,311 | | | | 7.8 | |
| | | | | | | | |
Net Assets | | $ | 4,747,427,269 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
199
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | |
| * | 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 $1,221,118,025. |
| (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 December 31, 2017 amounted to $12,910,723, which represents approximately 0.27% of net assets of the fund. |
| (c) | Represents less than 0.05% of net assets. |
| (d) | Represents 7-day effective yield as of December 31, 2017. |
| (e) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (f) | As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended December 31, 2017, transactions in and earnings from issuers considered to be an affiliated person were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| AFFILIATE | | SHARES
HELD AT
12/31/16 | | SHARES
PURCHASED | | SHARES
SOLD | | | SHARES
HELD AT
12/31/17 | | | VALUE AT 12/31/17 | | | DIVIDEND
INCOME | | | NET
REALIZED
GAIN (LOSS) | | | NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Other Controlled Affiliates: | | | | | | | | | | | | | | | | | | | | | |
| Limited Purpose Cash Investment Fund (Short-Term Investment) | | — | | 2,348,516,780 | | | (1,264,029,886 | ) | | | 1,084,486,894 | | | | $1,084,378,445 | | | | $6,728,379 | | | | $(60,861 | ) | | | $— | |
| | | | | | | | | | | | | | | | |
| (g) | The rate shown was the effective yield at the date of purchase. |
| (h) | All or a portion of the security pledged as collateral for futures contracts. |
| (i) | Security fair valued as of December 31, 2017 in accordance with procedures approved by the Board of Trustees. Total value of all such securities at December 31, 2017 amounted to $(3), which represents approximately (0.00)% of net assets of the fund. |
| (j) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All bonds are denominated in US dollars, unless noted otherwise.
All securities are United States companies, unless noted otherwise in parentheses.
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
(1) Level 1 security (See Note 5).
(3) Level 3 security (See Note 5).
Abbreviations
CVA - Dutch Certification
OYJ - Public Traded Company
SDR - Swedish Depositary Receipt
Total return swap contracts outstanding as of December 31, 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) | |
BIST 30 Index February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/28/2018 | | | TRY | 71,380,320 | | | | $516,917 | |
| Corn March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | (96,631,625 | ) | | | 1,891,658 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
200
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY FUND | | PAYMENTS
RECEIVED BY
FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Corn March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | (22,711,063 | ) | | | $427,407 | |
| Corn March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | (21,764,037 | ) | | | 438,405 | |
Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | HKD | 1,832,817,600 | | | | 3,626,236 | |
Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/30/2018 | | | HKD | 2,087,375,600 | | | | 3,620,568 | |
KOSPI 200 Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 03/08/2018 | | | KRW | 128,095,412,500 | | | | 1,425,203 | |
KOSPI 200 Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 03/08/2018 | | | KRW | 22,422,812,500 | | | | 261,935 | |
MSCI Taiwan Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | USD | 10,532,400 | | | | 165,426 | |
Soybean March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | (47,077,663 | ) | | | 1,636,329 | |
Soybean March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | (26,496,213 | ) | | | 940,359 | |
TAIEX Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/17/2018 | | | TWD | 1,224,921,600 | | | | 573,691 | |
Tel Aviv Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/24/2018 | | | ILS | 23,140,944 | | | | 122,514 | |
WIG20 Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 03/16/2018 | | | PLN | 73,374,600 | | | | 281,898 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 15,928,546 | |
| | | | | | | | | | | | | | | | | | | | |
| Corn March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | (10,241,900 | ) | | | (41,896 | ) |
iBovespa Index February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | BANA | | | 02/14/2018 | | | BRL | (493,332,060 | ) | | | (6,212,327 | ) |
Swiss Market Index March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | Monthly | | BANA | | | 03/16/2018 | | | CHF | (329,049,500 | ) | | | (1,897,045 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (8,151,268 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | $7,777,278 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
201
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | |
Futures contracts outstanding as of December 31, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | |
| Brent Crude Oil | | | 7,103 | | | 1/2018 | | | USD | | | | $474,977,610 | | | | $28,633,518 | |
| FTSE Bursa Malaysia KLCI Index | | | 333 | | | 1/2018 | | | MYR | | | | 7,343,773 | | | | 69,196 | |
| Hang Seng Index | | | 457 | | | 1/2018 | | | HKD | | | | 87,587,987 | | | | 1,097,107 | |
| IBEX 35 Index | | | 74 | | | 1/2018 | | | EUR | | | | 8,897,358 | | | | (195,087 | ) |
| LME Copper Base Metal | | | 25 | | | 1/2018 | | | USD | | | | 4,505,706 | | | | 362,417 | |
| LME Copper Base Metal | | | 34 | | | 1/2018 | | | USD | | | | 6,137,748 | | | | 270,540 | |
| LME Copper Base Metal | | | 64 | | | 1/2018 | | | USD | | | | 11,547,200 | | | | 457,181 | |
| LME Copper Base Metal | | | 65 | | | 1/2018 | | | USD | | | | 11,730,875 | | | | 231,776 | |
| LME Copper Base Metal | | | 65 | | | 1/2018 | | | USD | | | | 11,738,415 | | | | 590,723 | |
| LME Copper Base Metal | | | 69 | | | 1/2018 | | | USD | | | | 12,449,756 | | | | 341,561 | |
| LME Copper Base Metal | | | 95 | | | 1/2018 | | | USD | | | | 17,154,839 | | | | 869,088 | |
| MSCI Singapore Index | | | 1,685 | | | 1/2018 | | | SGD | | | | 48,895,174 | | | | 288,282 | |
| MSCI Taiwan Index | | | 92 | | | 1/2018 | | | USD | | | | 3,615,600 | | | | 61,450 | |
| WTI Crude Oil | | | 3,672 | | | 1/2018 | | | USD | | | | 221,862,240 | | | | 12,045,122 | |
| BIST 30 Index | | | 5,223 | | | 2/2018 | | | TRY | | | | 20,007,376 | | | | 558,175 | |
| LME Copper Base Metal | | | 56 | | | 2/2018 | | | USD | | | | 10,132,052 | | | | 631,903 | |
| LME Copper Base Metal | | | 76 | | | 2/2018 | | | USD | | | | 13,730,920 | | | | 513,358 | |
| LME Copper Base Metal | | | 95 | | | 2/2018 | | | USD | | | | 17,186,260 | | | | 726,521 | |
| LME Copper Base Metal | | | 98 | | | 2/2018 | | | USD | | | | 17,718,400 | | | | 760,760 | |
| LME Copper Base Metal | | | 103 | | | 2/2018 | | | USD | | | | 18,602,315 | | | | 661,800 | |
| 3 Month Euro Euribor | | | 1 | | | 3/2018 | | | EUR | | | | 300,922 | | | | (16 | ) |
| ASX 90 Day Bank Accepted Bill | | | 1,384 | | | 3/2018 | | | AUD | | | | 1,075,147,103 | | | | 130,458 | |
| Australia 10 Year Bond | | | 3,932 | | | 3/2018 | | | AUD | | | | 396,249,155 | | | | (3,147,041 | ) |
| Australia 3 Year Bond | | | 9,198 | | | 3/2018 | | | AUD | | | | 797,312,696 | | | | (3,556,001 | ) |
| DAX Index | | | 881 | | | 3/2018 | | | EUR | | | | 341,168,646 | | | | (5,762,216 | ) |
| Euro-Bund | | | 1,197 | | | 3/2018 | | | EUR | | | | 189,020,972 | | | | (862,137 | ) |
| Euro-Schatz | | | 3,889 | | | 3/2018 | | | EUR | | | | 754,433,902 | | | | (5,658,770 | ) |
| KOSPI 200 Index | | | 786 | | | 3/2018 | | | KRW | | | | 59,864,999 | | | | 777,944 | |
| LME Copper Base Metal | | | 24 | | | 3/2018 | | | USD | | | | 4,347,984 | | | | (12,709 | ) |
| LME Copper Base Metal | | | 61 | | | 3/2018 | | | USD | | | | 11,051,995 | | | | 660,270 | |
| LME Copper Base Metal | | | 82 | | | 3/2018 | | | USD | | | | 14,847,412 | | | | 1,364,259 | |
| LME Copper Base Metal | | | 397 | | | 3/2018 | | | USD | | | | 71,911,588 | | | | 6,498,520 | |
| LME Copper Base Metal | | | 426 | | | 3/2018 | | | USD | | | | 77,185,875 | | | | 5,169,892 | |
| Long Gilt | | | 1,546 | | | 3/2018 | | | GBP | | | | 261,250,452 | | | | 567,763 | |
| SET50 Index | | | 2,128 | | | 3/2018 | | | THB | | | | 14,769,979 | | | | (68,504 | ) |
| Silver | | | 708 | | | 3/2018 | | | USD | | | | 60,693,300 | | | | 3,095 | |
| TOPIX Index | | | 4,461 | | | 3/2018 | | | JPY | | | | 719,382,028 | | | | 12,351,966 | |
| U.S. Treasury 2 Year Note | | | 2,174 | | | 3/2018 | | | USD | | | | 465,473,781 | | | | (682,479 | ) |
| U.S. Treasury 5 Year Note | | | 27 | | | 3/2018 | | | USD | | | | 3,136,430 | | | | (9,861 | ) |
| 3 Month Euro Euribor | | | 3,521 | | | 6/2018 | | | EUR | | | | 1,059,442,074 | | | | 378,885 | |
| 3 Month Sterling | | | 1,702 | | | 6/2018 | | | GBP | | | | 285,377,314 | | | | 18,433 | |
| ASX 90 Day Bank Accepted Bill | | | 2,471 | | | 6/2018 | | | AUD | | | | 1,919,289,888 | | | | 62,172 | |
| 3 Month Euro Euribor | | | 3,521 | | | 9/2018 | | | EUR | | | | 1,059,125,224 | | | | 116,486 | |
| 3 Month Sterling | | | 1,702 | | | 9/2018 | | | GBP | | | | 285,176,243 | | | | 110,486 | |
| ASX 90 Day Bank Accepted Bill | | | 2,472 | | | 9/2018 | | | AUD | | | | 1,919,642,553 | | | | 339,327 | |
| 3 Month Euro Euribor | | | 3,520 | | | 12/2018 | | | EUR | | | | 1,058,402,074 | | | | (290,780 | ) |
| 3 Month Sterling | | | 1,701 | | | 12/2018 | | | GBP | | | | 284,836,444 | | | | 173,041 | |
| ASX 90 Day Bank Accepted Bill | | | 1,087 | | | 12/2018 | | | AUD | | | | 843,907,561 | | | | (77,209 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 57,570,665 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
202
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts | |
| Amsterdam Exchange Index | | | (1,283 | ) | | 1/2018 | | | EUR | | | | $ (167,641,481 | ) | | | $ 1,784,021 | |
| CAC 40 10 Euro Index | | | (234 | ) | | 1/2018 | | | EUR | | | | (14,910,020 | ) | | | 255,866 | |
| H-Shares Index | | | (715 | ) | | 1/2018 | | | HKD | | | | (53,674,075 | ) | | | (351,928 | ) |
| LME Copper Base Metal | | | (25 | ) | | 1/2018 | | | USD | | | | (4,505,706 | ) | | | (406,080 | ) |
| LME Copper Base Metal | | | (34 | ) | | 1/2018 | | | USD | | | | (6,137,748 | ) | | | (325,668 | ) |
| LME Copper Base Metal | | | (64 | ) | | 1/2018 | | | USD | | | | (11,547,200 | ) | | | (414,504 | ) |
| LME Copper Base Metal | | | (65 | ) | | 1/2018 | | | USD | | | | (11,738,415 | ) | | | (608,000 | ) |
| LME Copper Base Metal | | | (65 | ) | | 1/2018 | | | USD | | | | (11,730,875 | ) | | | (249,284 | ) |
| LME Copper Base Metal | | | (69 | ) | | 1/2018 | | | USD | | | | (12,449,756 | ) | | | (338,493 | ) |
| LME Copper Base Metal | | | (95 | ) | | 1/2018 | | | USD | | | | (17,154,839 | ) | | | (892,750 | ) |
| Natural Gas | | | (5,417 | ) | | 1/2018 | | | USD | | | | (159,964,010 | ) | | | (9,500,711 | ) |
| OMXS30 Index | | | (14,271 | ) | | 1/2018 | | | SEK | | | | (273,873,557 | ) | | | 7,871,180 | |
| 100 oz Gold | | | (1,798 | ) | | 2/2018 | | | USD | | | | (235,412,140 | ) | | | (4,677,729 | ) |
| LME Copper Base Metal | | | (56 | ) | | 2/2018 | | | USD | | | | (10,132,052 | ) | | | (639,683 | ) |
| LME Copper Base Metal | | | (76 | ) | | 2/2018 | | | USD | | | | (13,730,920 | ) | | | (508,707 | ) |
| LME Copper Base Metal | | | (95 | ) | | 2/2018 | | | USD | | | | (17,186,260 | ) | | | (714,958 | ) |
| LME Copper Base Metal | | | (98 | ) | | 2/2018 | | | USD | | | | (17,718,400 | ) | | | (729,418 | ) |
| LME Copper Base Metal | | | (103 | ) | | 2/2018 | | | USD | | | | (18,602,315 | ) | | | (729,994 | ) |
| 3 Month Canadian Bank Acceptance | | | (67 | ) | | 3/2018 | | | CAD | | | | (13,097,514 | ) | | | 19,095 | |
| Canada 10 Year Bond | | | (6,604 | ) | | 3/2018 | | | CAD | | | | (708,104,312 | ) | | | 7,900,993 | |
| Corn | | | (652 | ) | | 3/2018 | | | USD | | | | (11,434,450 | ) | | | 171,903 | |
| EURO STOXX 50 Index | | | (4,339 | ) | | 3/2018 | | | EUR | | | | (181,850,788 | ) | | | 4,257,743 | |
| Euro-Bobl | | | (17,305 | ) | | 3/2018 | | | EUR | | | | (2,324,982,171 | ) | | | 2,247,029 | |
| FTSE 100 Index | | | (6,584 | ) | | 3/2018 | | | GBP | | | | (678,971,402 | ) | | | (19,624,380 | ) |
| FTSE/JSE Top 40 Index | | | (1,591 | ) | | 3/2018 | | | ZAR | | | | (68,377,316 | ) | | | (1,210,474 | ) |
| FTSE/MIB Index | | | (1,206 | ) | | 3/2018 | | | EUR | | | | (157,413,971 | ) | | | 6,557,257 | |
| Japan 10 Year Bond | | | (311 | ) | | 3/2018 | | | JPY | | | | (416,175,549 | ) | | | 458,308 | |
| LME Copper Base Metal | | | (24 | ) | | 3/2018 | | | USD | | | | (4,347,984 | ) | | | 20,886 | |
| LME Copper Base Metal | | | (61 | ) | | 3/2018 | | | USD | | | | (11,051,995 | ) | | | (635,832 | ) |
| LME Copper Base Metal | | | (82 | ) | | 3/2018 | | | USD | | | | (14,847,412 | ) | | | (1,374,015 | ) |
| LME Copper Base Metal | | | (397 | ) | | 3/2018 | | | USD | | | | (71,911,588 | ) | | | (6,414,482 | ) |
| LME Copper Base Metal | | | (673 | ) | | 3/2018 | | | USD | | | | (121,939,187 | ) | | | (9,418,815 | ) |
| S&P 500 E-Mini Index | | | (2,786 | ) | | 3/2018 | | | USD | | | | (372,766,800 | ) | | | (1,306,055 | ) |
| S&P/TSX 60 Index | | | (80 | ) | | 3/2018 | | | CAD | | | | (12,186,476 | ) | | | (56,585 | ) |
| Soybean | | | (1,717 | ) | | 3/2018 | | | USD | | | | (82,566,238 | ) | | | 3,289,982 | |
| Soybean Oil | | | (1,297 | ) | | 3/2018 | | | EUR | | | | (254,999,823 | ) | | | 3,366,344 | |
| SPI 200 Index | | | (2,261 | ) | | 3/2018 | | | AUD | | | | (265,503,852 | ) | | | 389,614 | |
| U.S. Treasury 10 Year Note | | | (1,726 | ) | | 3/2018 | | | USD | | | | (214,104,906 | ) | | | 516,575 | |
| U.S. Treasury Long Bond | | | (2,320 | ) | | 3/2018 | | | USD | | | | (354,960,000 | ) | | | (383,882 | ) |
| 3 Month Canadian Bank Acceptance | | | (1,006 | ) | | 6/2018 | | | CAD | | | | (196,208,015 | ) | | | 265,496 | |
| 3 Month Eurodollar | | | (4,622 | ) | | 6/2018 | | | USD | | | | (1,133,256,625 | ) | | | 3,576,578 | |
| 3 Month Canadian Bank Acceptance | | | (1,006 | ) | | 9/2018 | | | CAD | | | | (195,907,896 | ) | | | 238,144 | |
| 3 Month Eurodollar | | | (4,622 | ) | | 9/2018 | | | USD | | | | (1,131,927,800 | ) | | | 5,136,539 | |
| 3 Month Canadian Bank Acceptance | | | (938 | ) | | 12/2018 | | | CAD | | | | (182,460,402 | ) | | | 253,622 | |
| 3 Month Eurodollar | | | (4,622 | ) | | 12/2018 | | | USD | | | | (1,130,714,525 | ) | | | 586,127 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | (12,349,125 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | $45,221,540 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
203
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | |
Forward foreign currency contracts outstanding as of December 31, 2017:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| AUD | | | 147,485,596 | | | USD | | | 111,625,316 | | | CITI | | | 3/21/2018 | | | | $3,433,083 | |
| AUD | | | 221,228,393 | | | USD | | | 167,438,183 | | | JPMC | | | 3/21/2018 | | | | 5,149,415 | |
| CAD | | | 509,948,945 | | | USD | | | 399,514,553 | | | CITI | | | 3/21/2018 | | | | 6,584,681 | |
| CAD | | | 764,923,405 | | | USD | | | 599,272,569 | | | JPMC | | | 3/21/2018 | | | | 9,876,272 | |
| CHF | | | 27,798,800 | | | USD | | | 28,368,738 | | | CITI | | | 3/21/2018 | | | | 318,788 | |
| CHF | | | 41,698,200 | | | USD | | | 42,553,161 | | | JPMC | | | 3/21/2018 | | | | 478,129 | |
| CNY | | | 207,108,400 | | | USD | | | 31,117,788 | | | CITI** | | | 3/21/2018 | | | | 542,488 | |
| CNY | | | 310,662,600 | | | USD | | | 46,676,741 | | | JPMC** | | | 3/21/2018 | | | | 813,674 | |
| DKK | | | 40,157,200 | | | USD | | | 6,442,416 | | | CITI | | | 3/21/2018 | | | | 61,603 | |
| DKK | | | 60,235,800 | | | USD | | | 9,663,636 | | | JPMC | | | 3/21/2018 | | | | 92,392 | |
| EUR | | | 131,247,852 | | | USD | | | 156,001,359 | | | CITI | | | 3/21/2018 | | | | 2,211,426 | |
| EUR | | | 196,871,776 | | | USD | | | 234,002,328 | | | JPMC | | | 3/21/2018 | | | | 3,316,846 | |
| GBP | | | 92,084,672 | | | USD | | | 123,480,988 | | | CITI | | | 3/21/2018 | | | | 1,166,783 | |
| GBP | | | 138,127,010 | | | USD | | | 185,221,717 | | | JPMC | | | 3/21/2018 | | | | 1,749,941 | |
| HKD | | | 21,925,600 | | | USD | | | 2,809,810 | | | CITI | | | 3/21/2018 | | | | 841 | |
| HKD | | | 32,888,400 | | | USD | | | 4,214,721 | | | JPMC | | | 3/21/2018 | | | | 1,256 | |
| HUF | | | 2,224,400,000 | | | USD | | | 8,488,478 | | | CITI | | | 3/21/2018 | | | | 133,877 | |
| HUF | | | 3,336,600,000 | | | USD | | | 12,732,734 | | | JPMC | | | 3/21/2018 | | | | 200,799 | |
| INR | | | 1,624,099,476 | | | USD | | | 24,710,242 | | | CITI** | | | 3/21/2018 | | | | 548,630 | |
| INR | | | 2,436,149,214 | | | USD | | | 37,065,409 | | | JPMC** | | | 3/21/2018 | | | | 822,899 | |
| KRW | | | 52,164,144,000 | | | USD | | | 47,783,557 | | | CITI** | | | 3/21/2018 | | | | 1,136,760 | |
| KRW | | | 78,246,216,000 | | | USD | | | 71,675,425 | | | JPMC** | | | 3/21/2018 | | | | 1,705,050 | |
| MXN | | | 12,000,000 | | | USD | | | 598,999 | | | CITI | | | 3/21/2018 | | | | 2,885 | |
| MXN | | | 18,000,000 | | | USD | | | 898,499 | | | JPMC | | | 3/21/2018 | | | | 4,327 | |
| PLN | | | 151,600,000 | | | USD | | | 42,649,999 | | | CITI | | | 3/21/2018 | | | | 913,326 | |
| PLN | | | 227,400,000 | | | USD | | | 63,975,078 | | | JPMC | | | 3/21/2018 | | | | 1,369,908 | |
| SEK | | | 10,400 | | | USD | | | 1,244 | | | CITI | | | 3/21/2018 | | | | 30 | |
| SEK | | | 15,600 | | | USD | | | 1,866 | | | JPMC | | | 3/21/2018 | | | | 45 | |
| TRY | | | 179,605,178 | | | USD | | | 44,371,169 | | | CITI | | | 3/21/2018 | | | | 1,946,403 | |
| TRY | | | 269,407,772 | | | USD | | | 66,556,837 | | | JPMC | | | 3/21/2018 | | | | 2,919,521 | |
| USD | | | 65,757,171 | | | BRL | | | 218,400,000 | | | CITI** | | | 3/21/2018 | | | | 472,067 | |
| USD | | | 98,635,633 | | | BRL | | | 327,600,000 | | | JPMC** | | | 3/21/2018 | | | | 707,977 | |
| USD | | | 24,059,132 | | | HKD | | | 187,549,350 | | | CITI | | | 3/21/2018 | | | | 17,106 | |
| USD | | | 36,088,653 | | | HKD | | | 281,324,025 | | | JPMC | | | 3/21/2018 | | | | 25,615 | |
| USD | | | 15,032,169 | | | NOK | | | 122,863,640 | | | CITI | | | 3/21/2018 | | | | 35,833 | |
| USD | | | 22,548,226 | | | NOK | | | 184,295,460 | | | JPMC | | | 3/21/2018 | | | | 53,721 | |
| USD | | | 1,882,550 | | | JPY | | | 209,252,800 | | | CITI | | | 3/22/2018 | | | | 17,940 | |
| USD | | | 2,823,822 | | | JPY | | | 313,879,200 | | | JPMC | | | 3/22/2018 | | | | 26,907 | |
| ZAR | | | 452,000,000 | | | USD | | | 33,980,987 | | | CITI | | | 3/22/2018 | | | | 2,129,622 | |
| ZAR | | | 678,000,000 | | | USD | | | 50,970,642 | | | JPMC | | | 3/22/2018 | | | | 3,195,271 | |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized appreciation | | | | | | | | | | | | | 54,184,137 | |
| | | | | | | | | | | | | | | | | | | | |
| BRL | | | 6,500,227 | | | USD | | | 1,964,756 | | | CITI** | | | 3/21/2018 | | | | (21,679 | ) |
| BRL | | | 9,750,343 | | | USD | | | 2,947,139 | | | JPMC** | | | 3/21/2018 | | | | (32,523 | ) |
| GBP | | | 11,666,627 | | | USD | | | 15,804,069 | | | CITI | | | 3/21/2018 | | | | (11,875 | ) |
| GBP | | | 17,499,940 | | | USD | | | 23,706,132 | | | JPMC | | | 3/21/2018 | | | | (17,841 | ) |
| HKD | | | 152,226,800 | | | USD | | | 19,524,919 | | | CITI | | | 3/21/2018 | | | | (10,906 | ) |
| HKD | | | 228,340,200 | | | USD | | | 29,287,403 | | | JPMC | | | 3/21/2018 | | | | (16,382 | ) |
| MXN | | | 2,480,453,735 | | | USD | | | 130,061,343 | | | CITI | | | 3/21/2018 | | | | (5,649,183 | ) |
| MXN | | | 3,720,680,606 | | | USD | | | 195,092,259 | | | JPMC | | | 3/21/2018 | | | | (8,474,019 | ) |
| NOK | | | 16,400 | | | USD | | | 2,006 | | | CITI | | | 3/21/2018 | | | | (4 | ) |
| NOK | | | 24,600 | | | USD | | | 3,009 | | | JPMC | | | 3/21/2018 | | | | (6 | ) |
| USD | | | 32,873,060 | | | AUD | | | 43,156,000 | | | CITI | | | 3/21/2018 | | | | (794,366 | ) |
| USD | | | 49,309,528 | | | AUD | | | 64,734,000 | | | JPMC | | | 3/21/2018 | | | | (1,191,610 | ) |
| USD | | | 20,160,489 | | | BRL | | | 67,600,000 | | | CITI** | | | 3/21/2018 | | | | (46,805 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
204
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| USD | | | 30,240,696 | | | BRL | | | 101,400,000 | | | JPMC** | | | 3/21/2018 | | | | $ (70,246 | ) |
| USD | | | 34,886,980 | | | CAD | | | 44,574,400 | | | CITI | | | 3/21/2018 | | | | (609,965 | ) |
| USD | | | 52,330,405 | | | CAD | | | 66,861,600 | | | JPMC | | | 3/21/2018 | | | | (915,013 | ) |
| USD | | | 546,589,105 | | | CHF | | | 535,128,495 | | | CITI | | | 3/21/2018 | | | | (5,647,428 | ) |
| USD | | | 819,882,616 | | | CHF | | | 802,692,727 | | | JPMC | | | 3/21/2018 | | | | (8,472,167 | ) |
| USD | | | 10,124,360 | | | CNY | | | 67,506,800 | | | CITI** | | | 3/21/2018 | | | | (195,279 | ) |
| USD | | | 15,187,116 | | | CNY | | | 101,260,200 | | | JPMC** | | | 3/21/2018 | | | | (292,342 | ) |
| USD | | | 11,591,007 | | | DKK | | | 71,882,170 | | | CITI | | | 3/21/2018 | | | | (51,313 | ) |
| USD | | | 17,386,489 | | | DKK | | | 107,823,253 | | | JPMC | | | 3/21/2018 | | | | (76,991 | ) |
| USD | | | 4,147,893 | | | EUR | | | 3,488,800 | | | CITI | | | 3/21/2018 | | | | (57,683 | ) |
| USD | | | 6,221,832 | | | EUR | | | 5,233,200 | | | JPMC | | | 3/21/2018 | | | | (86,532 | ) |
| USD | | | 15,269,324 | | | HKD | | | 119,175,050 | | | CITI | | | 3/21/2018 | | | | (7,772 | ) |
| USD | | | 22,903,958 | | | HKD | | | 178,762,575 | | | JPMC | | | 3/21/2018 | | | | (11,687 | ) |
| USD | | | 52,335,042 | | | ILS | | | 182,703,638 | | | CITI | | | 3/21/2018 | | | | (338,226 | ) |
| USD | | | 78,502,463 | | | ILS | | | 274,055,453 | | | JPMC | | | 3/21/2018 | | | | (507,437 | ) |
| USD | | | 118,211,886 | | | KRW | | | 128,641,295,584 | | | CITI** | | | 3/21/2018 | | | | (2,429,851 | ) |
| USD | | | 177,317,607 | | | KRW | | | 192,961,943,376 | | | JPMC** | | | 3/21/2018 | | | | (3,644,998 | ) |
| USD | | | 98,227,797 | | | NOK | | | 815,332,118 | | | CITI | | | 3/21/2018 | | | | (1,288,990 | ) |
| USD | | | 147,341,829 | | | NOK | | | 1,222,998,180 | | | JPMC | | | 3/21/2018 | | | | (1,933,352 | ) |
| USD | | | 145,921,485 | | | NZD | | | 211,696,850 | | | CITI | | | 3/21/2018 | | | | (3,962,833 | ) |
| USD | | | 218,881,966 | | | NZD | | | 317,545,293 | | | JPMC | | | 3/21/2018 | | | | (5,944,523 | ) |
| USD | | | 64,522,653 | | | SEK | | | 536,595,704 | | | CITI | | | 3/21/2018 | | | | (1,200,235 | ) |
| USD | | | 96,783,860 | | | SEK | | | 804,893,564 | | | JPMC | | | 3/21/2018 | | | | (1,800,474 | ) |
| USD | | | 99,818,833 | | | SGD | | | 134,617,800 | | | CITI | | | 3/21/2018 | | | | (953,736 | ) |
| USD | | | 149,728,062 | | | SGD | | | 201,926,699 | | | JPMC | | | 3/21/2018 | | | | (1,430,792 | ) |
| USD | | | 6,596,367 | | | TRY | | | 26,000,000 | | | CITI | | | 3/21/2018 | | | | (108,656 | ) |
| USD | | | 9,894,539 | | | TRY | | | 39,000,000 | | | JPMC | | | 3/21/2018 | | | | (162,996 | ) |
| USD | | | 26,477,729 | | | TWD | | | 787,705,474 | | | CITI** | | | 3/21/2018 | | | | (309,425 | ) |
| USD | | | 39,716,543 | | | TWD | | | 1,181,558,210 | | | JPMC** | | | 3/21/2018 | | | | (464,187 | ) |
| JPY | | | 11,701,344,538 | | | USD | | | 104,697,988 | | | CITI | | | 3/22/2018 | | | | (429,635 | ) |
| JPY | | | 17,552,016,818 | | | USD | | | 157,047,178 | | | JPMC | | | 3/22/2018 | | | | (644,649 | ) |
| ZAR | | | 28,000,000 | | | USD | | | 2,243,816 | | | CITI | | | 3/22/2018 | | | | (6,876 | ) |
| ZAR | | | 42,000,000 | | | USD | | | 3,363,766 | | | JPMC | | | 3/22/2018 | | | | (8,355 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized depreciation | | | | | | | | | | (60,331,843 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Net unrealized depreciation | | | | | | | | | $ | (6,147,706 | ) |
| | | | | | | | | | | | | | | | | | | | |
| ** | Non-deliverable forward. |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CNY - Chinese Renminbi
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PLN - Poland Zloty
SEK - Swedish Krona
SGD - Singapore Dollar
THB - Thailand Baht
TRY - Turkish Lira
TWD - New Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
205
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | |
Total Return Basket Swaps Outstanding at December 31, 2017
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA plus or minus a specified spread (-0.03% to 0.00%), which is denominated in EUR based on the local currencies of the positions within the swap. | | 57 months maturity 11/19/2021 | | | $7,598,529 | | | | $(756,420 | ) | | | $(46,480 | ) | | | $(802,900 | ) |
| | | | | | | | | | | | | | | | | | | | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the SONIA plus or minus a specified spread (-0.03% to 0.00%), which is denominated in GBP based on the local currencies of the positions within the swap. | | 50-53 months maturity 11/19/2021 | | | $50,731 | | | | $(49,385 | ) | | | $(2,698 | ) | | | $(52,083 | )(3) |
| | | | | | | | | | | | | | | | | | | | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR or AOISR plus or minus a specified spread (-0.04% to 0.04%), which is denominated in AUD based on the local currencies of the positions within the swap. | | 48 months maturity 11/19/2021 | | | $15,725,533 | | | | $387,447 | | | | $(15,403 | ) | | | $372,044 | |
| | | | | | | | | | | | | | | | | | | | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HIBOR or HONIX plus or minus a specified spread (-0.04% to 0.04%), which is denominated in HKD based on the local currencies of the positions within the swap. | | 48 months maturity 11/19/2021 | | | $9,463,487 | | | | $(67,939 | ) | | | $(2,056 | ) | | | $(69,995 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
206
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Federal Funds Floating Rate plus or minus a specified spread (-1.83% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap. | | 48-57 months maturity ranging from 11/19/2021 – 11/22/2021 | | | $8,266,231,401 | | | | $182,525,651 | | | | $2,270,430 | | | | $184,796,081 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| United States | | | | | | | | | | | | |
| AbbVie, Inc. | | | 407,985 | | | $ | 39,456,229 | | | $ | 8,587,754 | | | | 0.2 | % |
| Aflac, Inc. | | | 571,286 | | | | 50,147,485 | | | | 6,648,454 | | | | 0.1 | |
| Amgen, Inc. | | | 321,965 | | | | 55,989,713 | | | | (1,383,990 | ) | | | (0.0 | ) |
| Anthem, Inc. | | | 347,222 | | | | 78,128,422 | | | | 18,654,251 | | | | 0.4 | |
| Best Buy Co., Inc. | | | 868,326 | | | | 59,454,281 | | | | 15,472,591 | | | | 0.3 | |
| Biogen, Inc. | | | 221,541 | | | | 70,576,316 | | | | 5,417,353 | | | | 0.1 | |
| eBay, Inc. | | | 2,431,604 | | | | 91,768,735 | | | | 5,965,949 | | | | 0.1 | |
| Facebook, Inc. | | | 385,776 | | | | 68,074,033 | | | | (70,516 | ) | | | (0.0 | ) |
| General Motors Co. | | | 1,258,871 | | | | 51,601,122 | | | | 3,402,517 | | | | 0.1 | |
| Gilead Sciences, Inc. | | | 1,126,986 | | | | 80,737,277 | | | | (1,955,600 | ) | | | (0.0 | ) |
| Huntington Ingalls Industries, Inc. | | | 180,872 | | | | 42,631,530 | | | | 3,973,781 | | | | 0.1 | |
| Intel Corp. | | | 1,363,525 | | | | 62,940,314 | | | | 15,033,849 | | | | 0.3 | |
| International Business Machines Corp. | | | 273,765 | | | | 42,001,026 | | | | (1,074,687 | ) | | | (0.0 | ) |
| IQVIA Holdings, Inc. | | | 426,009 | | | | 41,706,281 | | | | (662,901 | ) | | | (0.0 | ) |
| Kohl’s Corp. | | | 791,813 | | | | 42,940,019 | | | | 8,956,044 | | | | 0.2 | |
| LyondellBasell Industries NV | | | 706,828 | | | | 77,977,265 | | | | 14,466,042 | | | | 0.3 | |
| McKesson Corp. | | | 388,913 | | | | 60,650,982 | | | | 2,874,102 | | | | 0.1 | |
| Micron Technology, Inc. | | | 1,772,082 | | | | 72,868,012 | | | | 9,914,370 | | | | 0.2 | |
| Mylan NV | | | 1,296,441 | | | | 54,852,419 | | | | 10,257,159 | | | | 0.2 | |
| Netflix, Inc. | | | 242,921 | | | | 46,631,115 | | | | 1,362,187 | | | | 0.0 | |
| Northrop Grumman Corp. | | | 144,451 | | | | 44,333,456 | | | | 8,704,378 | | | | 0.2 | |
| Oracle Corp. | | | 887,261 | | | | 41,949,700 | | | | (1,372,204 | ) | | | (0.0 | ) |
| Raytheon Co. | | | 247,356 | | | | 46,465,825 | | | | 6,278,752 | | | | 0.1 | |
| Spirit AeroSystems Holdings, Inc. | | | 447,768 | | | | 39,067,758 | | | | 12,102,566 | | | | 0.3 | |
| Tyson Foods, Inc. | | | 494,021 | | | | 40,050,282 | | | | 8,299,650 | | | | 0.2 | |
| United Rentals, Inc. | | | 333,566 | | | | 57,343,331 | | | | 17,855,651 | | | | 0.4 | |
| Walt Disney Co. (The) | | | 383,497 | | | | 41,229,762 | | | | 719,747 | | | | 0.0 | |
| Western Digital Corp. | | | 800,563 | | | | 63,668,775 | | | | (3,748,010 | ) | | | (0.1 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
207
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| United States | | | | | | | | | | | | |
| American Airlines Group, Inc. | | | (800,496 | ) | | $ | (41,649,807 | ) | | $ | (2,977,259 | ) | | | (0.1 | ) % |
| Ball Corp. | | | (1,020,659 | ) | | | (38,631,943 | ) | | | 1,216,659 | | | | 0.0 | |
| CenturyLink, Inc. | | | (2,707,304 | ) | | | (45,157,831 | ) | | | (3,325,489 | ) | | | (0.1 | ) |
| Charles Schwab Corp. (The) | | | (1,149,706 | ) | | | (59,060,397 | ) | | | (10,276,376 | ) | | | (0.2 | ) |
| Charter Communications, Inc. | | | (201,817 | ) | | | (67,802,439 | ) | | | 3,806,689 | | | | 0.1 | |
| Cheniere Energy, Inc. | | | (866,560 | ) | | | (46,655,590 | ) | | | (7,684,646 | ) | | | (0.2 | ) |
| Chevron Corp. | | | (489,813 | ) | | | (61,319,689 | ) | | | (4,822,243 | ) | | | (0.1 | ) |
| Coty, Inc. | | | (2,034,845 | ) | | | (40,473,067 | ) | | | (3,005,801 | ) | | | (0.1 | ) |
| Envision Healthcare Corp. | | | (1,165,698 | ) | | | (40,286,523 | ) | | | 11,806,947 | | | | 0.2 | |
| Exxon Mobil Corp. | | | (456,311 | ) | | | (38,165,852 | ) | | | (735,208 | ) | | | (0.0 | ) |
| Fastenal Co. | | | (777,058 | ) | | | (42,497,302 | ) | | | (6,610,884 | ) | | | (0.1 | ) |
| First Data Corp. | | | (2,681,002 | ) | | | (44,799,543 | ) | | | (785,412 | ) | | | (0.0 | ) |
| FirstEnergy Corp. | | | (1,862,737 | ) | | | (57,037,007 | ) | | | 1,429,351 | | | | 0.0 | |
| Hess Corp. | | | (1,302,754 | ) | | | (61,841,732 | ) | | | (4,273,968 | ) | | | (0.1 | ) |
| L Brands, Inc. | | | (837,501 | ) | | | (50,434,310 | ) | | | (15,704,047 | ) | | | (0.3 | ) |
| ONEOK, Inc. | | | (715,883 | ) | | | (38,263,946 | ) | | | (225,983 | ) | | | (0.0 | ) |
| Palo Alto Networks, Inc. | | | (402,976 | ) | | | (58,407,341 | ) | | | (6,048,075 | ) | | | (0.1 | ) |
| Schlumberger Ltd. | | | (865,350 | ) | | | (58,315,936 | ) | | | (1,672,539 | ) | | | (0.0 | ) |
| Sealed Air Corp. | | | (1,237,391 | ) | | | (61,003,376 | ) | | | (5,094,576 | ) | | | (0.1 | ) |
| Tesla, Inc. | | | (318,307 | ) | | | (99,104,884 | ) | | | 4,882,263 | | | | 0.1 | |
| Wynn Resorts Ltd. | | | (265,025 | ) | | | (44,680,565 | ) | | | (13,626,088 | ) | | | (0.3 | ) |
| XPO Logistics, Inc. | | | (488,969 | ) | | | (44,784,671 | ) | | | (14,569,363 | ) | | | (0.3 | ) |
| | | | | | | | | | | | | | | | | | | | |
| 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 (-0.25% to 0.25%), which is denominated in GBP based on the local currencies of the positions within the swap. | | 37-39 months maturity 01/14/2021 | | | $645,796,884 | | | | $8,206,554 | | | | $59,111 | | | | $8,265,665 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Australia | | | | | | | | | | | | |
| BHP Billiton plc | | | 926,700 | | | $ | 18,738,194 | | | $ | 277,530 | | | | 0.0 | % |
| | | | |
| Germany | | | | | | | | | | | | |
| TUI AG | | | 229,332 | | | | 4,751,136 | | | | 638,536 | | | | 0.0 | |
| | | | |
| South Africa | | | | | | | | | | | | |
| Investec plc | | | 588,038 | | | | 4,234,020 | | | | 81,852 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
208
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| United Kingdom | | | | | | | | | | | | |
| Anglo American plc | | | 482,429 | | | $ | 10,034,029 | | | $ | 250,184 | | | | 0.0 | % |
| Ashtead Group plc | | | 503,635 | | | | 13,508,232 | | | | 136,288 | | | | 0.0 | |
| Barclays plc | | | 2,061,271 | | | | 5,642,463 | | | | 639,084 | | | | 0.0 | |
| Barratt Developments plc | | | 2,236,101 | | | | 19,506,554 | | | | 340,377 | | | | 0.0 | |
| Bellway plc | | | 291,047 | | | | 13,952,709 | | | | (247,219 | ) | | | (0.0 | ) |
| Berkeley Group Holdings plc | | | 420,715 | | | | 23,798,098 | | | | 2,945,134 | | | | 0.1 | |
| BT Group plc | | | 3,871,551 | | | | 14,190,336 | | | | 1,062,028 | | | | 0.0 | |
| Close Brothers Group plc | | | 211,197 | | | | 4,126,385 | | | | 256,440 | | | | 0.0 | |
| Compass Group plc | | | 179,005 | | | | 3,859,744 | | | | (104,891 | ) | | | (0.0 | ) |
| DCC plc | | | 79,675 | | | | 8,018,265 | | | | 79,757 | | | | 0.0 | |
| GKN plc | | | 1,190,882 | | | | 5,121,168 | | | | (123,210 | ) | | | (0.0 | ) |
| Greene King plc | | | 568,251 | | | | 4,246,162 | | | | 131,099 | | | | 0.0 | |
| Howden Joinery Group plc | | | 874,277 | | | | 5,503,450 | | | | 10,163 | | | | 0.0 | |
| Indivior plc | | | 1,148,023 | | | | 6,304,402 | | | | 338,120 | | | | 0.0 | |
| Intermediate Capital Group plc | | | 405,882 | | | | 6,267,168 | | | | 1,068,021 | | | | 0.0 | |
| J Sainsbury plc | | | 1,465,203 | | | | 4,771,182 | | | | 154,445 | | | | 0.0 | |
| Kingfisher plc | | | 1,906,811 | | | | 8,706,559 | | | | 696,340 | | | | 0.0 | |
| Marks & Spencer Group plc | | | 1,060,708 | | | | 4,500,182 | | | | (259,488 | ) | | | (0.0 | ) |
| Micro Focus International plc | | | 314,153 | | | | 10,677,051 | | | | (590,069 | ) | | | (0.0 | ) |
| Next plc | | | 120,161 | | | | 7,323,723 | | | | 187,446 | | | | 0.0 | |
| Persimmon plc | | | 621,685 | | | | 22,967,716 | | | | (262,973 | ) | | | (0.0 | ) |
| Playtech plc | | | 511,732 | | | | 5,939,007 | | | | 329,181 | | | | 0.0 | |
| Royal Mail plc | | | 1,342,557 | | | | 8,202,488 | | | | 1,334,035 | | | | 0.0 | |
| Taylor Wimpey plc | | | 6,025,298 | | | | 16,763,641 | | | | 703,445 | | | | 0.0 | |
| Travis Perkins plc | | | 227,489 | | | | 4,809,858 | | | | 64,203 | | | | 0.0 | |
| Whitbread plc | | | 140,191 | | | | 7,562,514 | | | | 718,401 | | | | 0.0 | |
| William Hill plc | | | 1,543,159 | | | | 6,693,737 | | | | 932,560 | | | | 0.0 | |
| Wm Morrison Supermarkets plc | | | 2,271,918 | | | | 6,748,659 | | | | 87,484 | | | | 0.0 | |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Chile | | | | | | | | | | | | |
| Antofagasta plc | | | (289,350 | ) | | | (3,905,093 | ) | | | (4,120 | ) | | | (0.0 | ) |
| | | | |
| Netherlands | | | | | | | | | | | | |
| Royal Dutch Shell plc | | | (1,239,156 | ) | | | (41,366,984 | ) | | | (847,123 | ) | | | (0.0 | ) |
| | | | |
| United Kingdom | | | | | | | | | | | | |
| AstraZeneca plc | | | (435,755 | ) | | | (30,069,535 | ) | | | (672,753 | ) | | | (0.0 | ) |
| BP plc | | | (7,323,967 | ) | | | (51,379,723 | ) | | | 406,796 | | | | 0.0 | |
| British American Tobacco plc | | | (656,662 | ) | | | (44,389,553 | ) | | | (420,506 | ) | | | (0.0 | ) |
| Capita plc | | | (1,391,847 | ) | | | (7,520,302 | ) | | | 2,031,541 | | | | 0.0 | |
| Cobham plc | | | (2,085,839 | ) | | | (3,548,984 | ) | | | 188,700 | | | | 0.0 | |
| ConvaTec Group plc | | | (1,154,132 | ) | | | (3,182,317 | ) | | | (60,932 | ) | | | (0.0 | ) |
| Diageo plc | | | (332,869 | ) | | | (12,201,101 | ) | | | (640,292 | ) | | | (0.0 | ) |
| Experian plc | | | (436,526 | ) | | | (9,622,208 | ) | | | (88,775 | ) | | | (0.0 | ) |
| Intertek Group plc | | | (59,986 | ) | | | (4,195,038 | ) | | | 135,393 | | | | 0.0 | |
| John Wood Group plc | | | (472,033 | ) | | | (4,130,112 | ) | | | 512,327 | | | | 0.0 | |
| Petrofac Ltd. | | | (689,455 | ) | | | (4,733,331 | ) | | | (618,533 | ) | | | (0.0 | ) |
| Prudential plc | | | (692,386 | ) | | | (17,732,225 | ) | | | (544,006 | ) | | | (0.0 | ) |
| Rolls-Royce Holdings plc | | | (744,226 | ) | | | (8,493,687 | ) | | | 1,127,919 | | | | 0.0 | |
| Royal Bank of Scotland Group plc | | | (1,513,279 | ) | | | (5,674,477 | ) | | | (39,715 | ) | | | (0.0 | ) |
| RSA Insurance Group plc | | | (598,797 | ) | | | (5,104,117 | ) | | | (190,850 | ) | | | (0.0 | ) |
| Standard Chartered plc | | | (974,895 | ) | | | (10,237,943 | ) | | | (603,089 | ) | | | (0.0 | ) |
| Tesco plc | | | (9,863,544 | ) | | | (27,905,234 | ) | | | (4,007,983 | ) | | | (0.1 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
209
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| MSIP | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EONIA plus or minus a specified spread (-2.75% to 0.35%), which is denominated in EUR based on the local currencies of the positions within the swap. | | 23-24 months maturity 11/12/2019 | | | $588,421,340 | | | | $(3,963,754 | ) | | | $(141,695 | ) | | | $(4,105,449 | ) |
| | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| France | | | | | | | | | | | | |
| Air France-KLM | | | 1,249,961 | | | $ | 20,304,432 | | | $ | 2,967,686 | | | | 0.1 | % |
| Atos SE | | | 122,301 | | | | 17,781,375 | | | | (1,274,409 | ) | | | (0.0 | ) |
| Capgemini SE | | | 80,432 | | | | 9,526,519 | | | | (452,371 | ) | | | (0.0 | ) |
| Cie Generale des Etablissements Michelin | | | 169,120 | | | | 24,193,510 | | | | (914,838 | ) | | | (0.0 | ) |
| CNP Assurances | | | 140,435 | | | | 3,239,465 | | | | (103,137 | ) | | | (0.0 | ) |
| Dassault Systemes SE | | | 27,830 | | | | 2,954,970 | | | | (76,707 | ) | | | (0.0 | ) |
| Engie SA | | | 589,970 | | | | 10,142,479 | | | | (218,741 | ) | | | (0.0 | ) |
| Eutelsat Communications SA | | | 160,193 | | | | 3,708,878 | | | | (432,073 | ) | | | (0.0 | ) |
| Lagardere SCA | | | 116,111 | | | | 3,718,358 | | | | (207,822 | ) | | | (0.0 | ) |
| Orange SA | | | 379,701 | | | | 6,580,534 | | | | 47,946 | | | | 0.0 | |
| Peugeot SA | | | 648,975 | | | | 13,181,493 | | | | (2,430,426 | ) | | | (0.1 | ) |
| Renault SA | | | 173,082 | | | | 17,373,639 | | | | (713,860 | ) | | | (0.0 | ) |
| Sanofi | | | 49,839 | | | | 4,290,738 | | | | (419,123 | ) | | | (0.0 | ) |
| Sodexo SA | | | 49,906 | | | | 6,690,330 | | | | 122,378 | | | | 0.0 | |
| Teleperformance | | | 45,579 | | | | 6,524,630 | | | | (132,884 | ) | | | (0.0 | ) |
| Thales SA | | | 123,014 | | | | 13,238,745 | | | | (38,746 | ) | | | (0.0 | ) |
| | | | |
| Germany | | | | | | | | | | | | |
| Bayerische Motoren Werke AG | | | 32,336 | | | | 3,352,667 | | | | (15,068 | ) | | | (0.0 | ) |
| Covestro AG | | | 198,878 | | | | 20,477,776 | | | | 433,324 | | | | 0.0 | |
| Evonik Industries AG | | | 139,582 | | | | 5,242,584 | | | | (72,714 | ) | | | (0.0 | ) |
| Freenet AG | | | 159,879 | | | | 5,898,998 | | | | (136,618 | ) | | | (0.0 | ) |
| Hannover Rueck SE | | | 69,877 | | | | 8,767,043 | | | | (262,776 | ) | | | (0.0 | ) |
| Henkel AG & Co. KGaA (Preference) | | | 21,105 | | | | 2,787,031 | | | | (96,511 | ) | | | (0.0 | ) |
| HOCHTIEF AG | | | 37,379 | | | | 6,601,412 | | | | 89,600 | | | | 0.0 | |
| Infineon Technologies AG | | | 222,390 | | | | 6,056,617 | | | | (70,902 | ) | | | (0.0 | ) |
| Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | | | 32,108 | | | | 6,933,722 | | | | (181,057 | ) | | | (0.0 | ) |
| Rheinmetall AG | | | 48,486 | | | | 6,131,711 | | | | 36,444 | | | | 0.0 | |
| SAP SE | | | 105,597 | | | | 11,813,703 | | | | (368,418 | ) | | | (0.0 | ) |
| Software AG | | | 158,858 | | | | 8,910,464 | | | | 118,294 | | | | 0.0 | |
| Suedzucker AG | | | 330,951 | | | | 7,164,005 | | | | 368,477 | | | | 0.0 | |
| Talanx AG | | | 87,021 | | | | 3,546,255 | | | | (35,620 | ) | | | (0.0 | ) |
| Volkswagen AG (Preference) | | | 120,794 | | | | 23,993,686 | | | | (671,478 | ) | | | (0.0 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
210
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| France | | | | | | | | | | | | |
| Accor SA | | | (319,818 | ) | | $ | (16,464,225 | ) | | $ | (338,833 | ) | | | (0.0 | ) % |
| Airbus SE | | | (314,410 | ) | | | (31,248,223 | ) | | | 977,591 | | | | 0.0 | |
| Bollore SA | | | (869,722 | ) | | | (4,718,052 | ) | | | (474,859 | ) | | | (0.0 | ) |
| Carrefour SA | | | (768,710 | ) | | | (16,573,716 | ) | | | (282,211 | ) | | | (0.0 | ) |
| Edenred | | | (429,575 | ) | | | (12,436,145 | ) | | | 268,634 | | | | 0.0 | |
| Iliad SA | | | (32,652 | ) | | | (7,823,955 | ) | | | 366,099 | | | | 0.0 | |
| Ingenico Group SA | | | (81,387 | ) | | | (8,688,519 | ) | | | (746,360 | ) | | | (0.0 | ) |
| Natixis SA | | | (1,241,084 | ) | | | (9,802,721 | ) | | | 264,177 | | | | 0.0 | |
| Remy Cointreau SA | | | (47,698 | ) | | | (6,608,805 | ) | | | (175,338 | ) | | | (0.0 | ) |
| Vivendi SA | | | (1,132,722 | ) | | | (30,401,728 | ) | | | (1,561,803 | ) | | | (0.0 | ) |
| | | | |
| Germany | | | | | | | | | | | | |
| Bilfinger SE | | | (65,158 | ) | | | (3,086,250 | ) | | | (99,788 | ) | | | (0.0 | ) |
| Commerzbank AG | | | (2,307,915 | ) | | | (34,427,823 | ) | | | 823,384 | | | | 0.0 | |
| Deutsche Bank AG (Registered) | | | (2,372,277 | ) | | | (44,869,218 | ) | | | 2,059,312 | | | | 0.0 | |
| Deutsche Telekom AG (Registered) | | | (251,628 | ) | | | (4,447,887 | ) | | | 156,619 | | | | 0.0 | |
| GEA Group AG | | | (125,042 | ) | | | (5,982,531 | ) | | | 16,571 | | | | 0.0 | |
| LANXESS AG | | | (35,216 | ) | | | (2,791,551 | ) | | | (48,691 | ) | | | (0.0 | ) |
| ProSiebenSat.1 Media SE | | | (230,809 | ) | | | (7,922,679 | ) | | | 2,130 | | | | 0.0 | |
| Telefonica Deutschland Holding AG | | | (726,630 | ) | | | (3,636,596 | ) | | | 42,873 | | | | 0.0 | |
| Zalando SE | | | (163,856 | ) | | | (8,639,772 | ) | | | 359,992 | | | | 0.0 | |
Collateral pledged to, or (received from), each counterparty at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/
CENTRALLY CLEARED | | | TOTAL | |
| BANA | | | | | | | | | |
| Investment Companies | | | $6,680,000 | | | | $— | | | | $6,680,000 | |
| |
| BARC | | | | | | | | | |
| Cash | | | — | | | | 142,465,290 | | | | 142,465,290 | |
| |
| CITI | | | | | | | | | |
| Investment Companies | | | 23,425,442 | | | | — | | | | 23,425,442 | |
| |
| GSCO | | | | | | | | | |
| Cash | | | — | | | | (7,149,757 | ) | | | (7,149,757 | ) |
| U.S. Treasury Bills | | | — | | | | 22,572,812 | | | | 22,572,812 | |
| |
| GSIN | | | | | | | | | |
| Cash | | | (199,470,000 | ) | | | — | | | | (199,470,000 | ) |
| Investment Companies | | | 700,542,478 | | | | — | | | | 700,542,478 | |
| |
| JPMC | | | | | | | | | |
| Investment Companies | | | 118,308,690 | | | | — | | | | 118,308,690 | |
| |
| JPMS | | | | | | | | | |
| Cash | | | — | | | | 23,436,423 | | | | 23,436,423 | |
| |
| MSCL | | | | | | | | | |
| Cash | | | — | | | | 8,220,993 | | | | 8,220,993 | |
| |
| MSIP | | | | | | | | | |
| Cash | | | 92,520,000 | | | | — | | | | 92,520,000 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
211
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | |
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/
CENTRALLY CLEARED | | | TOTAL | |
| CITI | | | | | | | | | |
| Investment Companies | | | $6,100,159 | | | | $— | | | | $6,100,159 | |
| |
| GSCO | | | | | | | | | |
| Cash | | | — | | | | (2,494,278 | ) | | | (2,494,278 | ) |
| |
| GSIN | | | | | | | | | |
| Cash | | | 8,620,000 | | | | — | | | | 8,620,000 | |
| |
| JPPC | | | | | | | | | |
| Cash | | | — | | | | 7,623,064 | | | | 7,623,064 | |
| |
| MACQ | | | | | | | | | |
| Cash | | | 1,429,556 | | | | — | | | | 1,429,556 | |
| |
| MSCL | | | | | | | | | |
| Cash | | | — | | | | 28,121,546 | | | | 28,121,546 | |
| |
| SOCG | | | | | | | | | |
| Cash | | | 1,720,000 | | | | — | | | | 1,720,000 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
212
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| LONG POSITIONS - 107.2% | | | | | | |
| COMMON STOCKS - 15.7% | | | | | | |
| | |
| Belgium - 0.4% | | | | | | |
| Ageas (a) | | | 831 | | | $ | 40,594 | |
| bpost SA (a) | | | 11,908 | | | | 362,412 | |
| KBC Group NV (a) | | | 9,330 | | | | 795,042 | |
| Proximus SADP (a) | | | 4,541 | | | | 148,997 | |
| Solvay SA (a) | | | 1,451 | | | | 201,742 | |
| UCB SA (a) | | | 3,319 | | | | 263,173 | |
| Umicore SA (a) | | | 4,066 | | | | 192,521 | |
| | | | | | | | |
| | | | | | | 2,004,481 | |
| | | | | | | | |
| Canada - 0.2% | | | | | | |
| Agnico Eagle Mines Ltd. (1)(a) | | | 1,403 | | | | 64,781 | |
| Air Canada (1)*(a) | | | 15,444 | | | | 317,972 | |
| Cenovus Energy, Inc. (1)(a) | | | 13,567 | | | | 123,905 | |
| Dollarama, Inc. (1)(a) | | | 560 | | | | 69,967 | |
| Encana Corp. (1)(a) | | | 6,647 | | | | 88,680 | |
| Franco-Nevada Corp. (1)(a) | | | 1,205 | | | | 96,304 | |
| Intact Financial Corp. (1) | | | 330 | | | | 27,563 | |
| Kinross Gold Corp. (1)*(a) | | | 18,603 | | | | 80,213 | |
| Linamar Corp. (1)(a) | | | 877 | | | | 51,078 | |
| Peyto Exploration & Development Corp. (1) | | | 3,760 | | | | 44,959 | |
| Seven Generations Energy Ltd., Class A (1)*(a) | | | 4,142 | | | | 58,588 | |
| Tourmaline Oil Corp. (1)* | | | 2,251 | | | | 40,794 | |
| West Fraser Timber Co. Ltd. (1) | | | 535 | | | | 33,015 | |
| | | | | | | | |
| | | | | | | 1,097,819 | |
| | | | | | | | |
| Denmark - 0.5% | | | | | | |
| Danske Bank A/S (a) | | | 24,340 | | | | 947,361 | |
| GN Store Nord A/S (a) | | | 5,992 | | | | 193,524 | |
| H Lundbeck A/S (a) | | | 10,870 | | | | 551,229 | |
| ISS A/S | | | 728 | | | | 28,185 | |
| Jyske Bank A/S (Registered) (a) | | | 3,827 | | | | 217,591 | |
| William Demant Holding A/S *(a) | | | 15,140 | | | | 422,896 | |
| | | | | | | | |
| | | | | | | 2,360,786 | |
| | | | | | | | |
| Finland - 0.5% | | | | | | |
| Cargotec OYJ, Class B (a) | | | 3,511 | | | | 198,793 | |
| Elisa OYJ | | | 687 | | | | 26,947 | |
| Kesko OYJ, Class B (a) | | | 2,651 | | | | 143,917 | |
| Neste OYJ (a) | | | 17,087 | | | | 1,093,757 | |
| Outokumpu OYJ (a) | | | 15,603 | | | | 144,800 | |
| UPM-Kymmene OYJ (a) | | | 22,641 | | | | 702,886 | |
| | | | | | | | |
| | | | | | | 2,311,100 | |
| | | | | | | | |
| Germany - 0.7% | | | | | | |
| Aurubis AG (a) | | | 5,002 | | | | 464,304 | |
| Deutsche Lufthansa AG (Registered) (a) | | | 63,684 | | | | 2,338,713 | |
| OSRAM Licht AG (a) | | | 2,412 | | | | 215,979 | |
| | | | | | | | |
| | | | | | | 3,018,996 | |
| | | | | | | | |
| Italy - 1.7% | | | | | | |
| A2A SpA | | | 337,129 | | | | 623,784 | |
| Autogrill SpA | | | 11,067 | | | | 152,756 | |
| Azimut Holding SpA | | | 1,499 | | | | 28,678 | |
| Banca Monte dei Paschi di Siena SpA (1)* | | | 1,320 | | | | 6,199 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Italy - 1.7% (continued) | | | | | | |
| Davide Campari-Milano SpA | | | 4,814 | | | $ | 37,196 | |
| DiaSorin SpA | | | 424 | | | | 37,598 | |
| Enel SpA (a) | | | 379,424 | | | | 2,333,182 | |
| Hera SpA | | | 35,739 | | | | 124,725 | |
| Intesa Sanpaolo SpA (a) | | | 595,897 | | | | 1,977,104 | |
| Italgas SpA | | | 16,783 | | | | 102,406 | |
| Mediobanca SpA (a) | | | 12,978 | | | | 147,050 | |
| Moncler SpA | | | 1,950 | | | | 60,952 | |
| Poste Italiane SpA (b) | | | 101,095 | | | | 761,140 | |
| Prysmian SpA (a) | | | 9,494 | | | | 309,363 | |
| Recordati SpA | | | 11,124 | | | | 494,345 | |
| Terna Rete Elettrica Nazionale SpA (a) | | | 78,266 | | | | 454,965 | |
| | | | | | | | |
| | | | | | | 7,651,443 | |
| | | | | | | | |
| Japan - 7.4% | | | | | | |
| ABC-Mart, Inc. | | | 700 | | | | 40,122 | |
| Alfresa Holdings Corp. (a) | | | 12,300 | | | | 288,096 | |
| Amada Holdings Co. Ltd. (a) | | | 25,900 | | | | 351,645 | |
| ANA Holdings, Inc. (a) | | | 16,200 | | | | 675,808 | |
| Aozora Bank Ltd. (a) | | | 15,900 | | | | 616,957 | |
| Asahi Glass Co. Ltd. (a) | | | 1,400 | | | | 60,514 | |
| Astellas Pharma, Inc. (a) | | | 22,800 | | | | 289,635 | |
| Bandai Namco Holdings, Inc. (a) | | | 6,000 | | | | 195,838 | |
| Brother Industries Ltd. (a) | | | 2,500 | | | | 61,449 | |
| Central Japan Railway Co. | | | 200 | | | | 35,792 | |
| Chugoku Bank Ltd. (The) | | | 2,000 | | | | 26,655 | |
| Citizen Watch Co. Ltd. | | | 5,400 | | | | 39,552 | |
| Daiichi Sankyo Co. Ltd. (a) | | | 12,700 | | | | 330,226 | |
| Daiwa Securities Group, Inc. | | | 7,000 | | | | 43,796 | |
| Ezaki Glico Co. Ltd. (a) | | | 2,500 | | | | 124,698 | |
| Fujitsu Ltd. (a) | | | 106,000 | | | | 751,490 | |
| GungHo Online Entertainment, Inc. *(a) | | | 43,600 | | | | 119,652 | |
| Gunma Bank Ltd. (The) | | | 5,400 | | | | 32,536 | |
| Hakuhodo DY Holdings, Inc. (a) | | | 7,000 | | | | 90,740 | |
| Hankyu Hanshin Holdings, Inc. | | | 700 | | | | 28,118 | |
| Haseko Corp. (a) | | | 44,700 | | | | 692,771 | |
| Hikari Tsushin, Inc. (a) | | | 600 | | | | 86,145 | |
| Hiroshima Bank Ltd. (The) | | | 4,000 | | | | 34,705 | |
| Hisamitsu Pharmaceutical Co., Inc. (a) | | | 3,100 | | | | 187,286 | |
| Hitachi High-Technologies Corp. (a) | | | 7,900 | | | | 332,032 | |
| Hitachi Ltd. (a) | | | 48,000 | | | | 372,394 | |
| Honda Motor Co. Ltd. | | | 1,000 | | | | 34,127 | |
| Idemitsu Kosan Co. Ltd. (a) | | | 22,500 | | | | 901,254 | |
| Inpex Corp. (a) | | | 81,100 | | | | 1,009,372 | |
| Isuzu Motors Ltd. (a) | | | 6,300 | | | | 105,193 | |
| Ito En Ltd. (a) | | | 1,900 | | | | 74,767 | |
| ITOCHU Corp. (a) | | | 43,900 | | | | 818,363 | |
| Itochu Techno-Solutions Corp. (a) | | | 10,400 | | | | 451,082 | |
| Izumi Co. Ltd. (a) | | | 1,200 | | | | 74,478 | |
| Japan Airlines Co. Ltd. (a) | | | 22,800 | | | | 890,793 | |
| Japan Tobacco, Inc. (a) | | | 6,800 | | | | 218,981 | |
| JFE Holdings, Inc. (a) | | | 13,000 | | | | 310,666 | |
| JSR Corp. (a) | | | 2,100 | | | | 41,253 | |
| JXTG Holdings, Inc. (a) | | | 248,300 | | | | 1,595,652 | |
| Kajima Corp. (a) | | | 74,000 | | | | 710,985 | |
| Kaken Pharmaceutical Co. Ltd. (a) | | | 1,500 | | | | 77,286 | |
| Kamigumi Co. Ltd. (a) | | | 4,500 | | | | 99,447 | |
| Kao Corp. (a) | | | 8,100 | | | | 547,314 | |
| Keihan Holdings Co. Ltd. | | | 1,000 | | | | 29,420 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
213
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - 7.4% (continued) | | | | | | |
| Kewpie Corp. (a) | | | 2,300 | | | $ | 61,280 | |
| Kirin Holdings Co. Ltd. (a) | | | 18,900 | | | | 476,307 | |
| Kobayashi Pharmaceutical Co. Ltd. | | | 600 | | | | 38,882 | |
| Konami Holdings Corp. (a) | | | 8,100 | | | | 445,437 | |
| Kuraray Co. Ltd. (a) | | | 13,900 | | | | 261,708 | |
| Kurita Water Industries Ltd. (a) | | | 1,700 | | | | 55,116 | |
| Kyushu Railway Co. (a) | | | 5,700 | | | | 176,428 | |
| Lion Corp. (a) | | | 13,200 | | | | 249,506 | |
| Marubeni Corp. (a) | | | 126,800 | | | | 916,725 | |
| Maruichi Steel Tube Ltd. | | | 1,200 | | | | 35,065 | |
| Matsumotokiyoshi Holdings Co. Ltd. (a) | | | 3,200 | | | | 131,459 | |
| McDonald’s Holdings Co. Japan Ltd. | | | 4,800 | | | | 210,932 | |
| Medipal Holdings Corp. (a) | | | 12,800 | | | | 249,902 | |
| Mitsubishi Corp. (a) | | | 20,200 | | | | 556,990 | |
| Mitsubishi Gas Chemical Co., Inc. (a) | | | 17,800 | | | | 509,703 | |
| Mitsubishi Materials Corp. (a) | | | 2,500 | | | | 88,714 | |
| Mitsubishi Tanabe Pharma Corp. (a) | | | 22,300 | | | | 459,605 | |
| Mitsubishi UFJ Lease & Finance Co. Ltd. (a) | | | 37,900 | | | | 224,947 | |
| Mitsui & Co. Ltd. (a) | | | 22,800 | | | | 369,894 | |
| Mitsui Chemicals, Inc. (a) | | | 12,200 | | | | 391,223 | |
| Mixi, Inc. | | | 6,000 | | | | 268,728 | |
| Nankai Electric Railway Co. Ltd. | | | 1,100 | | | | 27,222 | |
| Nexon Co. Ltd. *(a) | | | 12,100 | | | | 350,903 | |
| NH Foods Ltd. (a) | | | 10,000 | | | | 243,593 | |
| NHK Spring Co. Ltd. (a) | | | 32,800 | | | | 359,982 | |
| Nippon Electric Glass Co. Ltd. (a) | | | 4,300 | | | | 163,664 | |
| Nippon Express Co. Ltd. (a) | | | 6,400 | | | | 425,006 | |
| Nippon Shokubai Co. Ltd. (a) | | | 1,600 | | | | 107,856 | |
| Nippon Telegraph & Telephone Corp. (a) | | | 7,900 | | | | 371,411 | |
| Nissan Motor Co. Ltd. (a) | | | 22,800 | | | | 226,999 | |
| Nisshin Seifun Group, Inc. (a) | | | 12,800 | | | | 258,350 | |
| Nitori Holdings Co. Ltd. (a) | | | 1,700 | | | | 241,952 | |
| Nomura Holdings, Inc. (a) | | | 12,000 | | | | 70,341 | |
| Nomura Research Institute Ltd. (a) | | | 1,800 | | | | 83,550 | |
| Obayashi Corp. (a) | | | 66,900 | | | | 808,161 | |
| Oracle Corp. Japan (a) | | | 3,800 | | | | 314,492 | |
| Oriental Land Co. Ltd. | | | 300 | | | | 27,294 | |
| Osaka Gas Co. Ltd. (a) | | | 13,900 | | | | 267,288 | |
| Otsuka Corp. (a) | | | 4,900 | | | | 375,269 | |
| Otsuka Holdings Co. Ltd. (a) | | | 8,200 | | | | 359,629 | |
| Park24 Co. Ltd. (a) | | | 2,200 | | | | 52,667 | |
| Pola Orbis Holdings, Inc. (a) | | | 22,200 | | | | 777,905 | |
| Resona Holdings, Inc. (a) | | | 89,100 | | | | 530,926 | |
| Ryohin Keikaku Co. Ltd. (a) | | | 1,000 | | | | 311,289 | |
| Sawai Pharmaceutical Co. Ltd. | | | 800 | | | | 35,704 | |
| Seiko Epson Corp. (a) | | | 3,400 | | | | 80,041 | |
| Sekisui Chemical Co. Ltd. (a) | | | 3,600 | | | | 72,073 | |
| Shimamura Co. Ltd. (a) | | | 4,100 | | | | 450,424 | |
| Shimizu Corp. (a) | | | 6,000 | | | | 61,884 | |
| Shionogi & Co. Ltd. (a) | | | 4,700 | | | | 253,964 | |
| Sojitz Corp. (a) | | | 167,900 | | | | 514,393 | |
| Square Enix Holdings Co. Ltd. (a) | | | 8,400 | | | | 398,562 | |
| Start Today Co. Ltd. (a) | | | 5,400 | | | | 163,907 | |
| Sugi Holdings Co. Ltd. (a) | | | 1,600 | | | | 81,509 | |
| Sumitomo Corp. (a) | | | 32,700 | | | | 554,649 | |
| Sumitomo Dainippon Pharma Co. Ltd. (a) | | | 20,700 | | | | 306,426 | |
| Sundrug Co. Ltd. | | | 700 | | | | 32,470 | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - 7.4% (continued) | | | | | | |
| Suzuken Co. Ltd. (a) | | | 4,370 | | | $ | 179,416 | |
| Suzuki Motor Corp. (a) | | | 4,300 | | | | 248,900 | |
| Taiheiyo Cement Corp. | | | 700 | | | | 30,138 | |
| Taisei Corp. (a) | | | 14,600 | | | | 726,071 | |
| Taisho Pharmaceutical Holdings Co. Ltd. | | | 400 | | | | 31,861 | |
| Teijin Ltd. | | | 1,800 | | | | 39,996 | |
| Toho Gas Co. Ltd. (a) | | | 5,800 | | | | 158,792 | |
| Tokyo Broadcasting System Holdings, Inc. (a) | | | 7,500 | | | | 186,922 | |
| Tokyo Century Corp. (a) | | | 2,200 | | | | 106,490 | |
| Tokyo Electric Power Co. Holdings, Inc. * (a) | | | 26,600 | | | | 104,982 | |
| Tokyo Electron Ltd. (a) | | | 800 | | | | 144,312 | |
| Toppan Printing Co. Ltd. | | | 3,000 | | | | 27,099 | |
| Tosoh Corp. (a) | | | 32,700 | | | | 737,719 | |
| Toyo Suisan Kaisha Ltd. (a) | | | 5,800 | | | | 247,607 | |
| Toyoda Gosei Co. Ltd. (a) | | | 3,800 | | | | 96,413 | |
| Toyota Tsusho Corp. | | | 900 | | | | 36,156 | |
| Welcia Holdings Co. Ltd. | | | 900 | | | | 38,847 | |
| West Japan Railway Co. (a) | | | 3,900 | | | | 284,521 | |
| Yamada Denki Co. Ltd. (a) | | | 61,300 | | | | 337,595 | |
| Yamaguchi Financial Group, Inc. (a) | | | 29,000 | | | | 343,690 | |
| Yamazaki Baking Co. Ltd. (a) | | | 10,100 | | | | 196,662 | |
| Yokogawa Electric Corp. (a) | | | 5,000 | | | | 95,463 | |
| | | | | | | | |
| | | | | | | 34,239,043 | |
| | | | | | | | |
| Luxembourg - 0.0% (c) | | | | | | |
| Aperam SA | | | 670 | | | | 34,420 | |
| | | | | | | | |
| | |
| Malta - 0.0% (c) | | | | | | |
| Kindred Group plc, SDR | | | 2,124 | | | | 30,328 | |
| | | | | | | | |
| | |
| Netherlands - 0.7% | | | | | | |
| ABN AMRO Group NV, CVA (a)(b) | | | 11,344 | | | | 365,741 | |
| Aegon NV | | | 13,959 | | | | 88,695 | |
| ASM International NV (a) | | | 6,009 | | | | 405,802 | |
| ASR Nederland NV (a) | | | 6,898 | | | | 283,969 | |
| Koninklijke DSM NV (a) | | | 1,149 | | | | 109,757 | |
| Koninklijke Philips NV (a) | | | 6,939 | | | | 262,007 | |
| NN Group NV (a) | | | 15,667 | | | | 677,654 | |
| Philips Lighting NV (a) (b) | | | 7,840 | | | | 287,546 | |
| Randstad Holding NV (a) | | | 3,219 | | | | 197,515 | |
| Wolters Kluwer NV (a) | | | 14,757 | | | | 769,277 | |
| | | | | | | | |
| | | | | | | 3,447,963 | |
| | | | | | | | |
| Norway - 0.2% | | | | | | |
| DNB ASA (a) | | | 22,434 | | | | 415,285 | |
| Gjensidige Forsikring ASA | | | 1,510 | | | | 28,482 | |
| Leroy Seafood Group ASA (a) | | | 23,763 | | | | 127,108 | |
| Marine Harvest ASA *(a) | | | 31,739 | | | | 536,728 | |
| | | | | | | | |
| | | | | | | 1,107,603 | |
| | | | | | | | |
| Portugal - 0.1% | | | | | | |
| EDP - Energias de Portugal SA (a) | | | 71,461 | | | | 247,195 | |
| Galp Energia SGPS SA | | | 1,497 | | | | 27,504 | |
| | | | | | | | |
| | | | | | | 274,699 | |
| | | | | | | | |
| Spain - 0.8% | | | | | | |
| Aena SME SA (b) | | | 179 | | | | 36,226 | |
| Almirall SA | | | 3,676 | | | | 36,811 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
214
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Spain - 0.8% (continued) | | | | | | |
| Amadeus IT Group SA (a) | | | 3,623 | | | $ | 260,720 | |
| Bankinter SA (a) | | | 14,894 | | | | 140,893 | |
| Ebro Foods SA (a) | | | 17,836 | | | | 417,453 | |
| Endesa SA (a) | | | 28,098 | | | | 600,955 | |
| Iberdrola SA (a) | | | 22,255 | | | | 172,283 | |
| Repsol SA (a) | | | 122,295 | | | | 2,159,296 | |
| | | | | | | | |
| | | | | | | 3,824,637 | |
| | | | | | | | |
| Sweden - 0.6% | | | | | | |
| Boliden AB | | | 40,791 | | | | 1,394,959 | |
| Electrolux AB, Series B | | | 3,909 | | | | 125,852 | |
| Husqvarna AB, Class B | | | 8,044 | | | | 76,535 | |
| Modern Times Group MTG AB, Class B | | | 848 | | | | 35,635 | |
| NCC AB, Class B | | | 1,829 | | | | 35,077 | |
| Nordea Bank AB (a) | | | 37,196 | | | | 450,368 | |
| Saab AB, Class B | | | 1,118 | | | | 54,373 | |
| Securitas AB, Class B | | | 8,364 | | | | 145,886 | |
| Skandinaviska Enskilda Banken AB, Class A | | | 14,183 | | | | 166,542 | |
| SSAB AB, Class A * | | | 8,252 | | | | 45,094 | |
| Swedbank AB, Class A | | | 5,972 | | | | 144,073 | |
| | | | | | | | |
| | | | | | | 2,674,394 | |
| | | | | | | | |
| Switzerland - 1.5% | | | | | | |
| ABB Ltd. (Registered) (a) | | | 9,118 | | | | 244,220 | |
| Adecco Group AG (Registered) *(a) | | | 4,881 | | | | 373,007 | |
| Baloise Holding AG (Registered) | | | 227 | | | | 35,286 | |
| Barry Callebaut AG (Registered) * | | | 61 | | | | 127,148 | |
| DKSH Holding AG | | | 694 | | | | 60,713 | |
| Flughafen Zurich AG (Registered) | | | 179 | | | | 40,913 | |
| Geberit AG (Registered) | | | 71 | | | | 31,252 | |
| Georg Fischer AG (Registered) | | | 367 | | | | 484,501 | |
| Helvetia Holding AG (Registered) | | | 108 | | | | 60,746 | |
| Kuehne + Nagel International AG (Registered) | | | 924 | | | | 163,473 | |
| Lonza Group AG (Registered) *(a) | | | 4,752 | | | | 1,281,644 | |
| Novartis AG (Registered) (a) | | | 7,216 | | | | 607,245 | |
| Partners Group Holding AG | | | 709 | | | | 485,802 | |
| Roche Holding AG (a) | | | 4,076 | | | | 1,030,638 | |
| Sika AG (a) | | | 60 | | | | 476,040 | |
| Sonova Holding AG (Registered) | | | 1,767 | | | | 275,816 | |
| Straumann Holding AG (Registered) | | | 190 | | | | 134,035 | |
| Swiss Life Holding AG (Registered) *(a) | | | 919 | | | | 324,843 | |
| Swiss Re AG (a) | | | 1,529 | | | | 142,993 | |
| Swisscom AG (Registered) (a) | | | 280 | | | | 148,892 | |
| Temenos Group AG (Registered) * | | | 5,019 | | | | 642,285 | |
| | | | | | | | |
| | | | | | | 7,171,492 | |
| | | | | | | | |
| United Kingdom - 0.4% | | | | | | |
| Fiat Chrysler Automobiles NV * | | | 79,282 | | | | 1,415,446 | |
| Subsea 7 SA (a) | | | 34,251 | | | | 513,151 | |
| | | | | | | | |
| | | | | | | 1,928,597 | |
| | | | | | | | |
TOTAL COMMON STOCKS
(Cost $57,662,998) | | | | | | | 73,177,801 | |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| SHORT-TERM INVESTMENTS - 91.5% | | | | |
| INVESTMENT COMPANIES - 61.7% | | | | | | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.17% (d) | | | 1,890,564 | | | $ | 1,890,564 | |
| Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.15% (d) | | | 7,562,258 | | | | 7,562,258 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.24% (d)(e) | | | 70,097,171 | | | | 70,097,171 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.18% (d)(e) | | | 39,394,175 | | | | 39,394,175 | |
| Limited Purpose Cash Investment Fund, 1.17% (d) | | | 159,080,914 | | | | 159,065,006 | |
| UBS Select Treasury Preferred Fund, Class I, 1.16% (d) | | | 9,452,822 | | | | 9,452,822 | |
| | | | | | | | |
TOTAL INVESTMENT COMPANIES (Cost $287,461,996) | | | | | | | 287,461,996 | |
| | | | | | | | |
| | | PRINCIPAL
AMOUNT | | | | |
| U.S. TREASURY OBLIGATIONS - 29.8% | |
| U.S. Treasury Bills | | | | | | | | |
| 1.10%, 1/18/2018 (f) | | $ | 28,699,000 | | | | 28,683,199 | |
| 1.14%, 2/1/2018 (f) | | | 1,244,000 | | | | 1,242,688 | |
| 1.15%, 2/8/2018 (f) | | | 1,494,000 | | | | 1,492,079 | |
| 1.12%, 2/15/2018 (f) | | | 15,326,000 | | | | 15,302,819 | |
| 1.12%, 2/22/2018 (f) | | | 1,885,000 | | | | 1,881,622 | |
| 1.12%, 3/1/2018 (f) | | | 1,126,000 | | | | 1,123,692 | |
| 1.12%, 3/8/2018 (f) | | | 1,555,000 | | | | 1,551,368 | |
| 1.19%, 3/22/2018 (f) | | | 2,065,000 | | | | 2,058,860 | |
| 1.18%, 3/29/2018 (f) | | | 5,323,000 | | | | 5,305,595 | |
| 1.20%, 4/5/2018 (f) | | | 5,771,000 | | | | 5,750,296 | |
| 1.23%, 4/12/2018 (f) | | | 2,043,000 | | | | 2,035,112 | |
| 1.25%, 4/19/2018 (f) | | | 16,530,000 | | | | 16,461,462 | |
| 1.25%, 4/26/2018 (f) | | | 3,076,000 | | | | 3,062,680 | |
| 1.27%, 5/3/2018 (f) | | | 5,369,000 | | | | 5,343,781 | |
| 1.31%, 5/10/2018 (f) | | | 20,787,000 | | | | 20,681,679 | |
| 1.37%, 5/17/2018 (f) | | | 18,940,000 | | | | 18,839,144 | |
| 1.43%, 5/24/2018 (f) | | | 1,947,000 | | | | 1,935,893 | |
| 1.46%, 6/7/2018 (f) | | | 1,406,000 | | | | 1,397,059 | |
| 1.47%, 6/14/2018 (f) | | | 3,905,000 | | | | 3,879,186 | |
| 1.54%, 6/28/2018 (f) | | | 632,000 | | | | 627,316 | |
| | | | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS (Cost $138,688,787) | | | | 138,655,530 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS (Cost $426,150,783) | | | | 426,117,526 | |
| | | | | | | | |
TOTAL LONG POSITIONS (Cost $483,813,781) | | | | | | | 499,295,327 | |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
215
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| SHORT POSITIONS - (11.8)% | | | | | | |
| COMMON STOCKS - (11.8)% | | | | | | |
| | |
| Austria - 0.0% (c) | | | | | | |
| ams AG * | | | (2,780 | ) | | $ | (251,845 | ) |
| | | | | | | | |
| | |
| Belgium - (0.3)% | | | | | | |
| Anheuser-Busch InBev SA | | | (9,803 | ) | | | (1,094,421 | ) |
| Galapagos NV * | | | (1,574 | ) | | | (148,314 | ) |
| Telenet Group Holding NV * | | | (4,500 | ) | | | (313,500 | ) |
| | | | | | | | |
| | | | | | | (1,556,235 | ) |
| | | | | | | | |
| Canada - (0.2)% | | | | | | |
| Enbridge, Inc. (1) | | | (5,634 | ) | | | (220,340 | ) |
| Shopify, Inc., Class A (1)* | | | (404 | ) | | | (40,853 | ) |
| Teck Resources Ltd., Class B (1) | | | (11,617 | ) | | | (303,780 | ) |
| TransCanada Corp. (1) | | | (2,010 | ) | | | (97,830 | ) |
| Wheaton Precious Metals Corp. (1) | | | (7,230 | ) | | | (159,842 | ) |
| | | | | | | | |
| | | | | | | (822,645 | ) |
| | | | | | | | |
| Colombia - (0.1)% | | | | | | |
| Millicom International Cellular SA, SDR | | | (3,895 | ) | | | (262,932 | ) |
| | | | | | | | |
| | |
| Denmark - (0.4)% | | | | | | |
| AP Moller - Maersk A/S, Class B | | | (130 | ) | | | (226,588 | ) |
| Chr Hansen Holding A/S | | | (1,063 | ) | | | (99,659 | ) |
| Coloplast A/S, Class B | | | (2,055 | ) | | | (163,374 | ) |
| Genmab A/S * | | | (2,384 | ) | | | (394,814 | ) |
| Novozymes A/S, Class B | | | (6,814 | ) | | | (388,993 | ) |
| Pandora A/S | | | (4,152 | ) | | | (451,316 | ) |
| Tryg A/S | | | (1,592 | ) | | | (39,824 | ) |
| | | | | | | | |
| | | | | | | (1,764,568 | ) |
| | | | | | | | |
| Finland - (0.3)% | | | | | | |
| Amer Sports OYJ * | | | (1,647 | ) | | | (45,586 | ) |
| Fortum OYJ | | | (18,465 | ) | | | (365,447 | ) |
| Metso OYJ | | | (1,053 | ) | | | (35,923 | ) |
| Nokia OYJ | | | (205,889 | ) | | | (961,984 | ) |
| | | | | | | | |
| | | | | | | (1,408,940 | ) |
| | | | | | | | |
| Italy - (1.0)% | | | | | | |
| Banco BPM SpA * | | | (231,898 | ) | | | (726,300 | ) |
| BPER Banca | | | (18,977 | ) | | | (95,600 | ) |
| Buzzi Unicem SpA | | | (1,294 | ) | | | (34,908 | ) |
| Ferrari NV | | | (7,261 | ) | | | (760,810 | ) |
| Saipem SpA * | | | (17,267 | ) | | | (78,785 | ) |
| UniCredit SpA * | | | (118,738 | ) | | | (2,214,968 | ) |
| Unione di Banche Italiane SpA | | | (68,153 | ) | | | (297,109 | ) |
| Unipol Gruppo SpA | | | (68,223 | ) | | | (319,545 | ) |
| Yoox Net-A-Porter Group SpA * | | | (6,094 | ) | | | (212,571 | ) |
| | | | | | | | |
| | | | | | | (4,740,596 | ) |
| | | | | | | | |
| Japan - (6.8)% | | | | | | |
| Acom Co. Ltd. * | | | (89,300 | ) | | | (375,192 | ) |
| Advantest Corp. | | | (46,200 | ) | | | (852,359 | ) |
| Aeon Co. Ltd. | | | (36,200 | ) | | | (610,609 | ) |
| AEON Financial Service Co. Ltd. | | | (13,100 | ) | | | (304,457 | ) |
| Alps Electric Co. Ltd. | | | (3,600 | ) | | | (102,403 | ) |
| Asics Corp. | | | (32,000 | ) | | | (508,634 | ) |
| Bank of Kyoto Ltd. (The) | | | (9,200 | ) | | | (477,782 | ) |
| Benesse Holdings, Inc. | | | (3,800 | ) | | | (133,699 | ) |
| Calbee, Inc. | | | (18,800 | ) | | | (610,957 | ) |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - (6.8)% (continued) | | | | | | |
| Chiba Bank Ltd. (The) | | | (36,000 | ) | | $ | (298,539 | ) |
| Chugai Pharmaceutical Co. Ltd. | | | (8,400 | ) | | | (429,313 | ) |
| Chugoku Electric Power Co., Inc. (The) | | | (36,300 | ) | | | (389,689 | ) |
| Dai-ichi Life Holdings, Inc. | | | (18,900 | ) | | | (388,436 | ) |
| DeNA Co. Ltd. | | | (2,700 | ) | | | (55,585 | ) |
| Dentsu, Inc. | | | (5,700 | ) | | | (241,025 | ) |
| Don Quijote Holdings Co. Ltd. | | | (600 | ) | | | (31,278 | ) |
| Eisai Co. Ltd. | | | (5,800 | ) | | | (329,496 | ) |
| Electric Power Development Co. Ltd. | | | (12,300 | ) | | | (330,865 | ) |
| FamilyMart UNY Holdings Co. Ltd. | | | (5,600 | ) | | | (392,214 | ) |
| Fast Retailing Co. Ltd. | | | (2,300 | ) | | | (914,512 | ) |
| Hachijuni Bank Ltd. (The) | | | (34,900 | ) | | | (199,430 | ) |
| Hamamatsu Photonics KK | | | (4,800 | ) | | | (160,995 | ) |
| Hirose Electric Co. Ltd. | | | (200 | ) | | | (29,201 | ) |
| Hokuriku Electric Power Co. | | | (30,900 | ) | | | (248,599 | ) |
| Ibiden Co. Ltd. | | | (22,000 | ) | | | (328,385 | ) |
| IHI Corp. | | | (9,400 | ) | | | (311,764 | ) |
| Isetan Mitsukoshi Holdings Ltd. | | | (38,800 | ) | | | (480,144 | ) |
| Iyo Bank Ltd. (The) | | | (48,600 | ) | | | (388,344 | ) |
| J Front Retailing Co. Ltd. | | | (1,500 | ) | | | (28,188 | ) |
| Japan Airport Terminal Co. Ltd. | | | (2,600 | ) | | | (96,261 | ) |
| JGC Corp. | | | (6,500 | ) | | | (125,576 | ) |
| Kakaku.com, Inc. | | | (32,500 | ) | | | (548,622 | ) |
| Kansai Paint Co. Ltd. | | | (19,900 | ) | | | (516,390 | ) |
| Keikyu Corp. | | | (18,999 | ) | | | (364,555 | ) |
| Keio Corp. | | | (1,500 | ) | | | (65,887 | ) |
| Keisei Electric Railway Co. Ltd. | | | (1,200 | ) | | | (38,528 | ) |
| Keyence Corp. | | | (300 | ) | | | (167,589 | ) |
| Kikkoman Corp. | | | (16,000 | ) | | | (647,034 | ) |
| Kintetsu Group Holdings Co. Ltd. | | | (1,500 | ) | | | (57,405 | ) |
| Koito Manufacturing Co. Ltd. | | | (400 | ) | | | (28,005 | ) |
| Kose Corp. | | | (300 | ) | | | (46,748 | ) |
| Kyushu Electric Power Co., Inc. | | | (13,000 | ) | | | (136,169 | ) |
| Kyushu Financial Group, Inc. | | | (7,700 | ) | | | (46,410 | ) |
| LIXIL Group Corp. | | | (4,000 | ) | | | (108,069 | ) |
| M3, Inc. | | | (6,500 | ) | | | (227,852 | ) |
| Mabuchi Motor Co. Ltd. | | | (1,400 | ) | | | (75,676 | ) |
| Marui Group Co. Ltd. | | | (12,600 | ) | | | (230,329 | ) |
| Mitsubishi Logistics Corp. | | | (7,000 | ) | | | (181,476 | ) |
| Mitsubishi Motors Corp. | | | (117,800 | ) | | | (847,464 | ) |
| MonotaRO Co. Ltd. | | | (2,600 | ) | | | (82,862 | ) |
| Murata Manufacturing Co. Ltd. | | | (200 | ) | | | (26,778 | ) |
| NGK Spark Plug Co. Ltd. | | | (33,500 | ) | | | (811,951 | ) |
| Nidec Corp. | | | (6,600 | ) | | | (924,113 | ) |
| Nintendo Co. Ltd. | | | (5,400 | ) | | | (1,944,522 | ) |
| Nippon Paint Holdings Co. Ltd. | | | (19,300 | ) | | | (609,810 | ) |
| Nippon Yusen KK * | | | (26,800 | ) | | | (652,088 | ) |
| Odakyu Electric Railway Co. Ltd. | | | (11,400 | ) | | | (243,580 | ) |
| Olympus Corp. | | | (2,900 | ) | | | (110,940 | ) |
| Ono Pharmaceutical Co. Ltd. | | | (23,500 | ) | | | (546,650 | ) |
| Orient Corp. | | | (25,600 | ) | | | (40,777 | ) |
| PeptiDream, Inc. * | | | (3,500 | ) | | | (119,392 | ) |
| Pigeon Corp. | | | (11,500 | ) | | | (436,944 | ) |
| Renesas Electronics Corp. * | | | (26,300 | ) | | | (305,013 | ) |
| Ricoh Co. Ltd. | | | (14,700 | ) | | | (136,222 | ) |
| Rohm Co. Ltd. | | | (300 | ) | | | (33,049 | ) |
| Santen Pharmaceutical Co. Ltd. | | | (7,300 | ) | | | (114,321 | ) |
| Seibu Holdings, Inc. | | | (1,800 | ) | | | (34,006 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
216
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Japan - (6.8)% (continued) | | | | | | |
| Seven Bank Ltd. | | | (79,200 | ) | | $ | (270,482 | ) |
| Shikoku Electric Power Co., Inc. | | | (27,500 | ) | | | (299,342 | ) |
| Shimano, Inc. | | | (4,200 | ) | | | (590,346 | ) |
| Shizuoka Bank Ltd. (The) | | | (41,000 | ) | | | (422,049 | ) |
| SoftBank Group Corp. | | | (9,400 | ) | | | (744,203 | ) |
| Sompo Holdings, Inc. | | | (2,800 | ) | | | (108,082 | ) |
| Sony Corp. | | | (3,600 | ) | | | (161,578 | ) |
| Sony Financial Holdings, Inc. | | | (48,500 | ) | | | (857,170 | ) |
| Stanley Electric Co. Ltd. | | | (6,700 | ) | | | (271,099 | ) |
| SUMCO Corp. | | | (23,000 | ) | | | (583,894 | ) |
| Suruga Bank Ltd. | | | (6,600 | ) | | | (141,124 | ) |
| Sysmex Corp. | | | (2,000 | ) | | | (157,042 | ) |
| T&D Holdings, Inc. | | | (29,400 | ) | | | (501,578 | ) |
| Taiyo Nippon Sanso Corp. | | | (26,400 | ) | | | (368,389 | ) |
| Tobu Railway Co. Ltd. | | | (1,200 | ) | | | (38,728 | ) |
| Tokio Marine Holdings, Inc. | | | (19,600 | ) | | | (891,468 | ) |
| Toyota Industries Corp. | | | (2,400 | ) | | | (153,838 | ) |
| Unicharm Corp. | | | (2,000 | ) | | | (51,934 | ) |
| USS Co. Ltd. | | | (1,500 | ) | | | (31,720 | ) |
| Yakult Honsha Co. Ltd. | | | (5,800 | ) | | | (437,641 | ) |
| Yamaha Corp. | | | (700 | ) | | | (25,821 | ) |
| Yamaha Motor Co. Ltd. | | | (1,800 | ) | | | (58,965 | ) |
| Yamato Holdings Co. Ltd. | | | (16,400 | ) | | | (329,236 | ) |
| Yaskawa Electric Corp. | | | (52,100 | ) | | | (2,282,768 | ) |
| Yokohama Rubber Co. Ltd. (The) | | | (1,900 | ) | | | (46,410 | ) |
| | | | | | | | |
| | | | | | | (31,506,064 | ) |
| | | | | | | | |
| Luxembourg - (0.1)% | | | | | | |
| Tenaris SA | | | (32,728 | ) | | | (519,458 | ) |
| | | | | | | | |
| | |
| Netherlands - (0.6)% | | | | | | |
| Altice NV, Class A * | | | (145,030 | ) | | | (1,520,849 | ) |
| Gemalto NV | | | (3,088 | ) | | | (182,872 | ) |
| Koninklijke KPN NV | | | (143,413 | ) | | | (500,695 | ) |
| Koninklijke Vopak NV | | | (8,582 | ) | | | (375,928 | ) |
| OCI NV * | | | (8,733 | ) | | | (220,247 | ) |
| | | | | | | | |
| | | | | | | (2,800,591 | ) |
| | | | | | | | |
| Norway - (0.1)% | | | | | | |
| Schibsted ASA, Class A | | | (9,687 | ) | | | (277,244 | ) |
| Statoil ASA | | | (23 | ) | | | (492 | ) |
| | | | | | | | |
| | | | | | | (277,736 | ) |
| | | | | | | | |
| Portugal - (0.1)% | | | | | | |
| Banco Comercial Portugues SA, Class R * | | | (980,849 | ) | | | (319,261 | ) |
| | | | | | | | |
| | |
| Spain - (0.6)% | | | | | | |
| Acerinox SA | | | (2,114 | ) | | | (30,169 | ) |
| Atresmedia Corp. de Medios de Comunicacion SA | | | (2,890 | ) | | | (30,161 | ) |
| Banco Santander SA | | | (65,011 | ) | | | (426,227 | ) |
| Bankia SA | | | (124,011 | ) | | | (591,899 | ) |
| Cellnex Telecom SA (b) | | | (33,002 | ) | | | (844,370 | ) |
| Enagas SA | | | (6,507 | ) | | | (186,097 | ) |
| Ferrovial SA | | | (1,275 | ) | | | (28,934 | ) |
| Industria de Diseno Textil SA | | | (18,092 | ) | | | (629,091 | ) |
| Melia Hotels International SA | | | (2,293 | ) | | | (31,551 | ) |
| | | | | | | | |
| | | | | | | (2,798,499 | ) |
| | | | | | | | |
| | | | | | | | |
| INVESTMENTS | | SHARES | | | VALUE | |
| Sweden - (0.5)% | | | | | | |
| Arjo AB, Class B (1)* | | | (2,232 | ) | | $ | (6,370 | ) |
| Atlas Copco AB, Class A | | | (6,664 | ) | | | (287,592 | ) |
| Elekta AB, Class B | | | (3,559 | ) | | | (29,388 | ) |
| Hennes & Mauritz AB, Class B | | | (10,080 | ) | | | (208,493 | ) |
| Swedish Orphan Biovitrum AB * | | | (2,360 | ) | | | (32,256 | ) |
| Telefonaktiebolaget LM Ericsson, Class B | | | (274,082 | ) | | | (1,808,867 | ) |
| | | | | | | | |
| | | | | | | (2,372,966 | ) |
| | | | | | | | |
| Switzerland - (0.7)% | | | | | | |
| Aryzta AG * | | | (946 | ) | | | (37,540 | ) |
| Chocoladefabriken Lindt & Spruengli AG | | | (21 | ) | | | (128,192 | ) |
| Credit Suisse Group AG (Registered) * | | | (148,106 | ) | | | (2,641,578 | ) |
| OC Oerlikon Corp. AG (Registered) * | | | (13,709 | ) | | | (231,403 | ) |
| Sunrise Communications Group AG *(b) | | | (452 | ) | | | (41,249 | ) |
| Vifor Pharma AG | | | (1,765 | ) | | | (225,955 | ) |
| | | | | | | | |
| | | | | | | (3,305,917 | ) |
| | | | | | | | |
| United Kingdom - 0.0% (c) | | | | | | |
| CNH Industrial NV | | | (11,190 | ) | | | (149,706 | ) |
| | | | | | | | |
| | |
| Zambia - 0.0% (c) | | | | | | |
| First Quantum Minerals Ltd. (1) | | | (17,706 | ) | | | (248,053 | ) |
| | | | | | | | |
TOTAL COMMON STOCKS
(Proceeds $ (51,122,519)) | | | | | | | (55,106,012 | ) |
| | | | | | | | |
TOTAL SHORT POSITIONS
(Proceeds $(51,122,519)) | | | | | | | (55,106,012 | ) |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 95.4%
(Cost $432,691,262) | | | | | | | 444,189,315 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 4.6% (g) | | | | | 21,377,385 | |
| | | | | | | | |
Net Assets - 100.0% | | | | | | $ | 465,566,700 | |
| | | | | | | | |
| | |
| SECTOR | | VALUE | | | % OF NET
ASSETS | |
| Consumer Discretionary | | $ | (3,803,532 | ) | | | (0.8 | )% |
| Consumer Staples | | | 695,452 | | | | 0.2 | |
| Energy | | | 6,177,982 | | | | 1.3 | |
| Financials | | | (2,592,895 | ) | | | (0.5 | ) |
| Health Care | | | 5,604,522 | | | | 1.2 | |
| Industrials | | | 11,299,306 | | | | 2.4 | |
| Information Technology | | | (4,646,927 | ) | | | (1.0 | ) |
| Materials | | | 3,614,639 | | | | 0.8 | |
| Telecommunication Services | | | (1,697,203 | ) | | | (0.4 | ) |
| Utilities | | | 3,420,445 | | | | 0.7 | |
| Short-Term Investments | | | 426,117,526 | | | | 91.5 | |
| | | | | | | | |
Total Investments In Securities At Value | | | 444,189,315 | | | | 95.4 | |
| Other Assets in Excess of Liabilities (g) | | | 21,377,385 | | | | 4.6 | |
| | | | | | | | |
Net Assets | | $ | 465,566,700 | | | | 100.0 | % |
| | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
217
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | |
| * | 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 $60,424,860. |
| (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 December 31, 2017 amounted to $565,034, which represents approximately 0.12% of net assets of the fund. |
| (c) | Represents less than 0.05% of net assets. |
| (d) | Represents 7-day effective yield as of December 31, 2017. |
| (e) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (f) | The rate shown was the effective yield at the date of purchase. |
| (g) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 5). |
Abbreviations
CVA - Dutch Certification
OYJ - Public Traded Company
SDR - Swedish Depositary Receipt
Total return swap contracts outstanding as of December 31, 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) | |
| BIST 30 Index February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/28/2018 | | | TRY | 3,252,480 | | | | $23,554 | |
| Corn March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | (3,717,950 | ) | | | 73,046 | |
| Corn March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | (1,017,175 | ) | | | 18,807 | |
| Corn March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | (2,227,262 | ) | | | 44,666 | |
| Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | HKD | 106,315,400 | | | | 210,261 | |
| Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/30/2018 | | | HKD | 62,890,800 | | | | 108,972 | |
| Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 01/30/2018 | | | HKD | 61,393,400 | | | | 117,614 | |
| KOSPI 200 Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 03/08/2018 | | | KRW | 570,762,500 | | | | 6,441 | |
| KOSPI 200 Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 03/08/2018 | | | KRW | 8,072,212,500 | | | | 93,069 | |
MSCI Singapore Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 01/30/2018 | | | SGD | 77,620 | | | | 382 | |
| MSCI Taiwan Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | USD | 707,400 | | | | 11,111 | |
| MSCI Taiwan Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/30/2018 | | | USD | 196,500 | | | | 2,880 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
218
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY FUND | | PAYMENTS
RECEIVED
BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY
DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
Soybean March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | (2,404,375 | ) | | | $83,441 | |
| Soybean March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | (1,394,537 | ) | | | 48,783 | |
| TAIEX Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/17/2018 | | | TWD | 44,658,600 | | | | 21,072 | |
| TAIEX Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 01/17/2018 | | | TWD | 2,126,600 | | | | 970 | |
| Tel Aviv Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/24/2018 | | | ILS | 1,814,976 | | | | 9,609 | |
| WIG20 Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 03/16/2018 | | | PLN | 3,533,760 | | | | 15,048 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | 889,726 | |
| | | | | | | | | | | | | | | | | | | | |
| Corn March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | (508,587 | ) | | | (2,080 | ) |
| iBovespa Index February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MSCS | | | 02/14/2018 | | | BRL | (8,836,945 | ) | | | (112,901 | ) |
| iBovespa Index February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | BANA | | | 02/14/2018 | | | BRL | (16,137,030 | ) | | | (203,201 | ) |
| Swiss Market Index March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | Monthly | | BANA | | | 03/16/2018 | | | CHF | (15,942,680 | ) | | | (91,907 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | (410,089 | ) |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | $479,637 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
219
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | |
Futures contracts outstanding as of December 31, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | | | | | | | | | | | | | | | | | | |
| Brent Crude Oil | | | 336 | | | 1/2018 | | | USD | | | | $22,468,320 | | | | $1,347,117 | |
| FTSE Bursa Malaysia KLCI Index | | | 15 | | | 1/2018 | | | MYR | | | | 330,801 | | | | 5,210 | |
| Hang Seng Index | | | 4 | | | 1/2018 | | | HKD | | | | 766,634 | | | | 10,161 | |
| IBEX 35 Index | | | 5 | | | 1/2018 | | | EUR | | | | 601,173 | | | | (13,198 | ) |
| LME Copper Base Metal | | | 2 | | | 1/2018 | | | USD | | | | 361,044 | | | | 15,914 | |
| LME Copper Base Metal | | | 3 | | | 1/2018 | | | USD | | | | 541,294 | | | | 14,861 | |
| LME Copper Base Metal | | | 3 | | | 1/2018 | | | USD | | | | 541,773 | | | | 27,264 | |
| LME Copper Base Metal | | | 4 | | | 1/2018 | | | USD | | | | 721,700 | | | | 28,665 | |
| LME Copper Base Metal | | | 5 | | | 1/2018 | | | USD | | | | 902,886 | | | | 45,696 | |
| LME Copper Base Metal | | | 5 | | | 1/2018 | | | USD | | | | 902,375 | | | | 17,511 | |
| MSCI Singapore Index | | | 88 | | | 1/2018 | | | SGD | | | | 2,553,576 | | | | 10,445 | |
| MSCI Taiwan Index | | | 4 | | | 1/2018 | | | USD | | | | 157,200 | | | | 2,631 | |
| WTI Crude Oil | | | 187 | | | 1/2018 | | | USD | | | | 11,298,540 | | | | 612,815 | |
| BIST 30 Index | | | 311 | | | 2/2018 | | | TRY | | | | 1,191,326 | | | | 33,236 | |
| LME Copper Base Metal | | | 3 | | | 2/2018 | | | USD | | | | 542,788 | | | | 33,781 | |
| LME Copper Base Metal | | | 4 | | | 2/2018 | | | USD | | | | 722,680 | | | | 27,018 | |
| LME Copper Base Metal | | | 5 | | | 2/2018 | | | USD | | | | 904,540 | | | | 38,409 | |
| LME Copper Base Metal | | | 5 | | | 2/2018 | | | USD | | | | 903,025 | | | | 32,138 | |
| LME Copper Base Metal | | | 5 | | | 2/2018 | | | USD | | | | 904,000 | | | | 38,838 | |
| ASX 90 Day Bank Accepted Bill | | | 74 | | | 3/2018 | | | AUD | | | | 57,486,189 | | | | 9,554 | |
| Australia 10 Year Bond | | | 181 | | | 3/2018 | | | AUD | | | | 18,240,360 | | | | (144,865 | ) |
| Australia 3 Year Bond | | | 535 | | | 3/2018 | | | AUD | | | | 46,375,548 | | | | (207,289 | ) |
| DAX Index | | | 44 | | | 3/2018 | | | EUR | | | | 17,039,070 | | | | (289,738 | ) |
| Euro-Bund | | | 63 | | | 3/2018 | | | EUR | | | | 9,948,472 | | | | (45,462 | ) |
| Euro-Schatz | | | 191 | | | 3/2018 | | | EUR | | | | 37,052,424 | | | | (272,653 | ) |
| KOSPI 200 Index | | | 5 | | | 3/2018 | | | KRW | | | | 380,821 | | | | 4,127 | |
| KOSPI 200 Index | | | 20 | | | 3/2018 | | | KRW | | | | 1,523,282 | | | | 21,108 | |
| LME Copper Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 362,332 | | | | (1,061 | ) |
| LME Copper Base Metal | | | 4 | | | 3/2018 | | | USD | | | | 724,264 | | | | 66,605 | |
| LME Copper Base Metal | | | 6 | | | 3/2018 | | | USD | | | | 1,087,081 | | | | 65,319 | |
| LME Copper Base Metal | | | 23 | | | 3/2018 | | | USD | | | | 4,167,312 | | | | 278,076 | |
| Long Gilt | | | 74 | | | 3/2018 | | | GBP | | | | 12,504,873 | | | | 31,826 | |
| SET50 Index | | | 128 | | | 3/2018 | | | THB | | | | 888,420 | | | | (1,965 | ) |
| Silver | | | 26 | | | 3/2018 | | | USD | | | | 2,228,850 | | | | 1,468 | |
| TOPIX Index | | | 230 | | | 3/2018 | | | JPY | | | | 37,089,860 | | | | 638,045 | |
| U.S. Treasury 2 Year Note | | | 100 | | | 3/2018 | | | USD | | | | 21,410,938 | | | | (31,690 | ) |
| U.S. Treasury 5 Year Note | | | 27 | | | 3/2018 | | | USD | | | | 3,136,430 | | | | (9,861 | ) |
| 3 Month Euro Euribor | | | 204 | | | 6/2018 | | | EUR | | | | 61,382,046 | | | | 19,183 | |
| 3 Month Sterling | | | 84 | | | 6/2018 | | | GBP | | | | 14,084,427 | | | | 150 | |
| ASX 90 Day Bank Accepted Bill | | | 129 | | | 6/2018 | | | AUD | | | | 100,197,651 | | | | 2,901 | |
| 3 Month Euro Euribor | | | 204 | | | 9/2018 | | | EUR | | | | 61,363,688 | | | | 5,348 | |
| 3 Month Sterling | | | 84 | | | 9/2018 | | | GBP | | | | 14,074,503 | | | | 4,568 | |
| ASX 90 Day Bank Accepted Bill | | | 129 | | | 9/2018 | | | AUD | | | | 100,175,521 | | | | 17,188 | |
| 3 Month Euro Euribor | | | 204 | | | 12/2018 | | | EUR | | | | 61,339,211 | | | | (15,681 | ) |
| 3 Month Sterling | | | 84 | | | 12/2018 | | | GBP | | | | 14,065,997 | | | | 8,563 | |
| ASX 90 Day Bank Accepted Bill | | | 55 | | | 12/2018 | | | AUD | | | | 42,700,015 | | | | (3,802 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 2,478,474 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
220
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts | | | | | | | | | | | | | | | | | | |
| Amsterdam Exchange Index | | | (60 | ) | | 1/2018 | | | EUR | | | | $ (7,839,820 | ) | | | $ 88,575 | |
| CAC 40 10 Euro Index | | | (22 | ) | | 1/2018 | | | EUR | | | | (1,401,797 | ) | | | 20,685 | |
| H-Shares��Index | | | (39 | ) | | 1/2018 | | | HKD | | | | (2,927,677 | ) | | | (19,184 | ) |
| LME Copper Base Metal | | | (2 | ) | | 1/2018 | | | USD | | | | (361,044 | ) | | | (19,157 | ) |
| LME Copper Base Metal | | | (3 | ) | | 1/2018 | | | USD | | | | (541,773 | ) | | | (28,062 | ) |
| LME Copper Base Metal | | | (3 | ) | | 1/2018 | | | USD | | | | (541,294 | ) | | | (14,717 | ) |
| LME Copper Base Metal | | | (4 | ) | | 1/2018 | | | USD | | | | (721,700 | ) | | | (25,906 | ) |
| LME Copper Base Metal | | | (5 | ) | | 1/2018 | | | USD | | | | (902,886 | ) | | | (46,987 | ) |
| LME Copper Base Metal | | | (5 | ) | | 1/2018 | | | USD | | | | (902,375 | ) | | | (19,176 | ) |
| Natural Gas | | | (262 | ) | | 1/2018 | | | USD | | | | (7,736,860 | ) | | | (461,009 | ) |
| OMXS30 Index | | | (745 | ) | | 1/2018 | | | SEK | | | | (14,297,232 | ) | | | 410,909 | |
| 100 oz Gold | | | (91 | ) | | 2/2018 | | | USD | | | | (11,914,630 | ) | | | (239,083 | ) |
| LME Copper Base Metal | | | (3 | ) | | 2/2018 | | | USD | | | | (542,788 | ) | | | (34,269 | ) |
| LME Copper Base Metal | | | (4 | ) | | 2/2018 | | | USD | | | | (722,680 | ) | | | (26,774 | ) |
| LME Copper Base Metal | | | (5 | ) | | 2/2018 | | | USD | | | | (904,540 | ) | | | (37,629 | ) |
| LME Copper Base Metal | | | (5 | ) | | 2/2018 | | | USD | | | | (904,000 | ) | | | (37,215 | ) |
| LME Copper Base Metal | | | (5 | ) | | 2/2018 | | | USD | | | | (903,025 | ) | | | (35,437 | ) |
| 3 Month Canadian Bank Acceptance | | | (4 | ) | | 3/2018 | | | CAD | | | | (781,941 | ) | | | 1,146 | |
| Canada 10 Year Bond | | | (337 | ) | | 3/2018 | | | CAD | | | | (36,134,336 | ) | | | 405,617 | |
| Corn | | | (35 | ) | | 3/2018 | | | USD | | | | (613,812 | ) | | | 9,335 | |
| EURO STOXX 50 Index | | | (215 | ) | | 3/2018 | | | EUR | | | | (9,010,813 | ) | | | 211,460 | |
| Euro-Bobl | | | (827 | ) | | 3/2018 | | | EUR | | | | (111,110,099 | ) | | | 109,271 | |
| FTSE 100 Index | | | (343 | ) | | 3/2018 | | | GBP | | | | (35,371,688 | ) | | | (1,022,300 | ) |
| FTSE/JSE Top 40 Index | | | (68 | ) | | 3/2018 | | | ZAR | | | | (2,922,475 | ) | | | (51,647 | ) |
| FTSE/MIB Index | | | (60 | ) | | 3/2018 | | | EUR | | | | (7,831,541 | ) | | | 326,318 | |
| Japan 10 Year Bond | | | (16 | ) | | 3/2018 | | | JPY | | | | (21,410,961 | ) | | | 23,410 | |
| LME Copper Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (362,332 | ) | | | 1,741 | |
| LME Copper Base Metal | | | (4 | ) | | 3/2018 | | | USD | | | | (724,264 | ) | | | (67,025 | ) |
| LME Copper Base Metal | | | (6 | ) | | 3/2018 | | | USD | | | | (1,087,081 | ) | | | (62,541 | ) |
| LME Copper Base Metal | | | (20 | ) | | 3/2018 | | | USD | | | | (3,623,750 | ) | | | (190,574 | ) |
| MEX BOLSA Index | | | (1 | ) | | 3/2018 | | | MXN | | | | (25,461 | ) | | | (196 | ) |
| S&P 500 E-Mini Index | | | (151 | ) | | 3/2018 | | | USD | | | | (20,203,800 | ) | | | (76,577 | ) |
| S&P/TSX 60 Index | | | (4 | ) | | 3/2018 | | | CAD | | | | (609,324 | ) | | | (2,532 | ) |
| Soybean | | | (93 | ) | | 3/2018 | | | USD | | | | (4,472,137 | ) | | | 176,717 | |
| Soybean Oil | | | (64 | ) | | 3/2018 | | | EUR | | | | (12,582,875 | ) | | | 164,111 | |
| SPI 200 Index | | | (117 | ) | | 3/2018 | | | AUD | | | | (13,739,032 | ) | | | 10,699 | |
| U.S. Treasury 10 Year Note | | | (93 | ) | | 3/2018 | | | USD | | | | (11,536,359 | ) | | | 29,692 | |
| U.S. Treasury Long Bond | | | (117 | ) | | 3/2018 | | | USD | | | | (17,901,000 | ) | | | (18,340 | ) |
| 3 Month Canadian Bank Acceptance | | | (56 | ) | | 6/2018 | | | CAD | | | | (10,922,116 | ) | | | 15,937 | |
| 3 Month Eurodollar | | | (246 | ) | | 6/2018 | | | USD | | | | (60,316,125 | ) | | | 182,956 | |
| 3 Month Canadian Bank Acceptance | | | (56 | ) | | 9/2018 | | | CAD | | | | (10,905,410 | ) | | | 12,944 | |
| 3 Month Eurodollar | | | (246 | ) | | 9/2018 | | | USD | | | | (60,245,400 | ) | | | 263,598 | |
| 3 Month Canadian Bank Acceptance | | | (52 | ) | | 12/2018 | | | CAD | | | | (10,115,076 | ) | | | 14,317 | |
| 3 Month Eurodollar | | | (246 | ) | | 12/2018 | | | USD | | | | (60,180,825 | ) | | | 28,818 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | (28,081 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | $2,450,393 | |
| | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
221
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | |
Forward foreign currency contracts outstanding as of December 31, 2017:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| AUD | | | 7,544,800 | | | USD | | | 5,710,325 | | | CITI | | | 3/21/2018 | | | | $175,623 | |
| AUD | | | 11,317,200 | | | USD | | | 8,565,498 | | | JPMC | | | 3/21/2018 | | | | 263,424 | |
| CAD | | | 26,174,800 | | | USD | | | 20,506,608 | | | CITI | | | 3/21/2018 | | | | 337,765 | |
| CAD | | | 39,262,200 | | | USD | | | 30,759,951 | | | JPMC | | | 3/21/2018 | | | | 506,609 | |
| CHF | | | 1,692,400 | | | USD | | | 1,730,652 | | | CITI | | | 3/21/2018 | | | | 15,854 | |
| CHF | | | 2,538,600 | | | USD | | | 2,596,344 | | | JPMC | | | 3/21/2018 | | | | 23,415 | |
| CNY | | | 10,919,200 | | | USD | | | 1,640,422 | | | CITI** | | | 3/21/2018 | | | | 28,776 | |
| CNY | | | 16,378,800 | | | USD | | | 2,460,636 | | | JPMC** | | | 3/21/2018 | | | | 43,161 | |
| DKK | | | 1,687,200 | | | USD | | | 270,878 | | | CITI | | | 3/21/2018 | | | | 2,387 | |
| DKK | | | 2,530,800 | | | USD | | | 406,318 | | | JPMC | | | 3/21/2018 | | | | 3,580 | |
| EUR | | | 5,940,400 | | | USD | | | 7,063,753 | | | CITI | | | 3/21/2018 | | | | 97,105 | |
| EUR | | | 8,910,600 | | | USD | | | 10,595,642 | | | JPMC | | | 3/21/2018 | | | | 145,645 | |
| GBP | | | 4,463,147 | | | USD | | | 5,985,166 | | | CITI | | | 3/21/2018 | | | | 56,245 | |
| GBP | | | 6,694,720 | | | USD | | | 8,977,760 | | | JPMC | | | 3/21/2018 | | | | 84,356 | |
| HKD | | | 1,053,200 | | | USD | | | 134,961 | | | CITI | | | 3/21/2018 | | | | 50 | |
| HKD | | | 1,579,800 | | | USD | | | 202,441 | | | JPMC | | | 3/21/2018 | | | | 73 | |
| HUF | | | 128,000,000 | | | USD | | | 488,373 | | | CITI | | | 3/21/2018 | | | | 7,789 | |
| HUF | | | 192,000,000 | | | USD | | | 732,560 | | | JPMC | | | 3/21/2018 | | | | 11,682 | |
| INR | | | 82,120,000 | | | USD | | | 1,248,838 | | | CITI** | | | 3/21/2018 | | | | 28,337 | |
| INR | | | 123,180,000 | | | USD | | | 1,873,259 | | | JPMC** | | | 3/21/2018 | | | | 42,503 | |
| KRW | | | 3,147,016,000 | | | USD | | | 2,883,082 | | | CITI** | | | 3/21/2018 | | | | 68,237 | |
| KRW | | | 4,720,524,000 | | | USD | | | 4,324,629 | | | JPMC** | | | 3/21/2018 | | | | 102,349 | |
| NOK | | | 2,400 | | | USD | | | 289 | | | CITI | | | 3/21/2018 | | | | 4 | |
| NOK | | | 3,600 | | | USD | | | 433 | | | JPMC | | | 3/21/2018 | | | | 6 | |
| PLN | | | 7,880,000 | | | USD | | | 2,216,900 | | | CITI | | | 3/21/2018 | | | | 47,474 | |
| PLN | | | 11,820,000 | | | USD | | | 3,325,354 | | | JPMC | | | 3/21/2018 | | | | 71,206 | |
| SEK | | | 400 | | | USD | | | 48 | | | CITI | | | 3/21/2018 | | | | 1 | |
| SEK | | | 600 | | | USD | | | 72 | | | JPMC | | | 3/21/2018 | | | | 2 | |
| TRY | | | 8,992,000 | | | USD | | | 2,222,363 | | | CITI | | | 3/21/2018 | | | | 96,543 | |
| TRY | | | 13,488,000 | | | USD | | | 3,333,549 | | | JPMC | | | 3/21/2018 | | | | 144,811 | |
| USD | | | 3,276,189 | | | BRL | | | 10,880,000 | | | CITI** | | | 3/21/2018 | | | | 23,890 | |
| USD | | | 4,914,277 | | | BRL | | | 16,320,000 | | | JPMC** | | | 3/21/2018 | | | | 35,830 | |
| USD | | | 1,261,405 | | | HKD | | | 9,832,950 | | | CITI | | | 3/21/2018 | | | | 914 | |
| USD | | | 1,892,105 | | | HKD | | | 14,749,425 | | | JPMC | | | 3/21/2018 | | | | 1,370 | |
| USD | | | 784,106 | | | NOK | | | 6,408,800 | | | CITI | | | 3/21/2018 | | | | 1,869 | |
| USD | | | 1,176,158 | | | NOK | | | 9,613,200 | | | JPMC | | | 3/21/2018 | | | | 2,802 | |
| USD | | | 111,773 | | | JPY | | | 12,424,000 | | | CITI | | | 3/22/2018 | | | | 1,065 | |
| USD | | | 167,659 | | | JPY | | | 18,636,000 | | | JPMC | | | 3/22/2018 | | | | 1,597 | |
| ZAR | | | 22,400,000 | | | USD | | | 1,679,690 | | | CITI | | | 3/22/2018 | | | | 109,862 | |
| ZAR | | | 33,600,000 | | | USD | | | 2,519,539 | | | JPMC | | | 3/22/2018 | | | | 164,790 | |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized appreciation | | | | | | | | | | | | | 2,749,001 | |
| | | | | | | | | | | | | | | | | | | | |
| BRL | | | 672,000 | | | USD | | | 202,873 | | | CITI** | | | 3/21/2018 | | | | (1,996 | ) |
| BRL | | | 1,008,000 | | | USD | | | 304,310 | | | JPMC** | | | 3/21/2018 | | | | (2,994 | ) |
| GBP | | | 596,853 | | | USD | | | 808,520 | | | CITI | | | 3/21/2018 | | | | (608 | ) |
| GBP | | | 895,280 | | | USD | | | 1,212,783 | | | JPMC | | | 3/21/2018 | | | | (913 | ) |
| HKD | | | 8,566,800 | | | USD | | | 1,098,949 | | | CITI | | | 3/21/2018 | | | | (768 | ) |
| HKD | | | 12,850,200 | | | USD | | | 1,648,426 | | | JPMC | | | 3/21/2018 | | | | (1,152 | ) |
| MXN | | | 121,844,000 | | | USD | | | 6,394,350 | | | CITI | | | 3/21/2018 | | | | (283,019 | ) |
| MXN | | | 182,766,000 | | | USD | | | 9,591,538 | | | JPMC | | | 3/21/2018 | | | | (424,540 | ) |
| NOK | | | 2,400 | | | USD | | | 294 | | | CITI | | | 3/21/2018 | | | | (1 | ) |
| NOK | | | 3,600 | | | USD | | | 440 | | | JPMC | | | 3/21/2018 | | | | (1 | ) |
| USD | | | 1,951,620 | | | AUD | | | 2,562,000 | | | CITI | | | 3/21/2018 | | | | (47,081 | ) |
| USD | | | 2,926,886 | | | AUD | | | 3,843,000 | | | JPMC | | | 3/21/2018 | | | | (71,165 | ) |
| USD | | | 1,013,991 | | | BRL | | | 3,400,000 | | | CITI** | | | 3/21/2018 | | | | (2,352 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
222
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| USD | | | 1,520,985 | | | BRL | | | 5,100,000 | | | JPMC** | | | 3/21/2018 | | | | $ (3,530 | ) |
| USD | | | 2,439,301 | | | CAD | | | 3,125,200 | | | CITI | | | 3/21/2018 | | | | (49,461 | ) |
| USD | | | 3,658,947 | | | CAD | | | 4,687,800 | | | JPMC | | | 3/21/2018 | | | | (74,196 | ) |
| USD | | | 27,218,793 | | | CHF | | | 26,644,800 | | | CITI | | | 3/21/2018 | | | | (277,840 | ) |
| USD | | | 40,828,138 | | | CHF | | | 39,967,200 | | | JPMC | | | 3/21/2018 | | | | (416,812 | ) |
| USD | | | 504,377 | | | CNY | | | 3,362,800 | | | CITI** | | | 3/21/2018 | | | | (9,688 | ) |
| USD | | | 756,564 | | | CNY | | | 5,044,200 | | | JPMC** | | | 3/21/2018 | | | | (14,534 | ) |
| USD | | | 538,574 | | | DKK | | | 3,340,000 | | | CITI | | | 3/21/2018 | | | | (2,385 | ) |
| USD | | | 807,861 | | | DKK | | | 5,010,000 | | | JPMC | | | 3/21/2018 | | | | (3,579 | ) |
| USD | | | 114,621 | | | EUR | | | 96,400 | | | CITI | | | 3/21/2018 | | | | (1,584 | ) |
| USD | | | 171,931 | | | EUR | | | 144,600 | | | JPMC | | | 3/21/2018 | | | | (2,377 | ) |
| USD | | | 837,201 | | | HKD | | | 6,534,250 | | | CITI | | | 3/21/2018 | | | | (427 | ) |
| USD | | | 1,255,799 | | | HKD | | | 9,801,375 | | | JPMC | | | 3/21/2018 | | | | (643 | ) |
| USD | | | 15,065 | | | HUF | | | 4,000,000 | | | CITI | | | 3/21/2018 | | | | (440 | ) |
| USD | | | 22,598 | | | HUF | | | 6,000,000 | | | JPMC | | | 3/21/2018 | | | | (659 | ) |
| USD | | | 2,691,463 | | | ILS | | | 9,396,000 | | | CITI | | | 3/21/2018 | | | | (17,394 | ) |
| USD | | | 4,037,189 | | | ILS | | | 14,094,000 | | | JPMC | | | 3/21/2018 | | | | (26,096 | ) |
| USD | | | 6,249,663 | | | KRW | | | 6,801,048,000 | | | CITI** | | | 3/21/2018 | | | | (128,462 | ) |
| USD | | | 9,374,482 | | | KRW | | | 10,201,572,000 | | | JPMC** | | | 3/21/2018 | | | | (192,705 | ) |
| USD | | | 4,547,351 | | | NOK | | | 37,712,000 | | | CITI | | | 3/21/2018 | | | | (55,653 | ) |
| USD | | | 6,821,719 | | | NOK | | | 56,568,000 | | | JPMC | | | 3/21/2018 | | | | (82,787 | ) |
| USD | | | 7,235,334 | | | NZD | | | 10,503,200 | | | CITI | | | 3/21/2018 | | | | (201,078 | ) |
| USD | | | 10,852,988 | | | NZD | | | 15,754,800 | | | JPMC | | | 3/21/2018 | | | | (301,630 | ) |
| USD | | | 3,385,510 | | | SEK | | | 28,155,200 | | | CITI | | | 3/21/2018 | | | | (62,973 | ) |
| USD | | | 5,078,259 | | | SEK | | | 42,232,800 | | | JPMC | | | 3/21/2018 | | | | (94,465 | ) |
| USD | | | 5,330,184 | | | SGD | | | 7,188,400 | | | CITI | | | 3/21/2018 | | | | (50,928 | ) |
| USD | | | 7,995,267 | | | SGD | | | 10,782,600 | | | JPMC | | | 3/21/2018 | | | | (76,402 | ) |
| USD | | | 385,288 | | | TRY | | | 1,520,000 | | | CITI | | | 3/21/2018 | | | | (6,698 | ) |
| USD | | | 577,931 | | | TRY | | | 2,280,000 | | | JPMC | | | 3/21/2018 | | | | (10,048 | ) |
| USD | | | 1,304,213 | | | TWD | | | 38,800,000 | | | CITI** | | | 3/21/2018 | | | | (15,241 | ) |
| USD | | | 1,956,317 | | | TWD | | | 58,200,000 | | | JPMC** | | | 3/21/2018 | | | | (22,864 | ) |
| JPY | | | 612,611,200 | | | USD | | | 5,481,521 | | | CITI | | | 3/22/2018 | | | | (22,664 | ) |
| JPY | | | 918,916,800 | | | USD | | | 8,222,292 | | | JPMC | | | 3/22/2018 | | | | (34,007 | ) |
| ZAR | | | 1,200,000 | | | USD | | | 96,192 | | | CITI | | | 3/22/2018 | | | | (323 | ) |
| ZAR | | | 1,800,000 | | | USD | | | 144,288 | | | JPMC | | | 3/22/2018 | | | | (485 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized depreciation | | | | | | | | | | (3,097,648 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Net unrealized depreciation | | | | | | | | | $ | (348,647 | ) |
| | | | | | | | | | | | | | | | | | | | |
| ** | Non-deliverable forward. |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CNY - Chinese Renminbi
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PLN - Poland Zloty
SEK - Swedish Krona
SGD - Singapore Dollar
THB - Thai Baht
TRY - Turkish Lira
TWD - New Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
223
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | |
Total Return Basket Swaps Outstanding at December 31, 2017
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the HONIX plus or minus a specified spread (-0.04% to 0.04%), which is denominated in HKD based on the local currencies of the positions within the swap. | | 48 months maturity 11/19/2021 | | | $333,332 | | | | $601 | | | | $(69 | ) | | | $532 | |
| | | | | | | | | | | | | | | | | | | | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the BBR or AOISR plus or minus a specified spread (-0.04% to 0.04%), which is denominated in AUD based on the local currencies of the positions within the swap. | | 48 months maturity 11/19/2021 | | | $630,362 | | | | $14,791 | | | | $(832 | ) | | | $13,959 | |
| | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the EURIBOR or EONIA plus or minus a specified spread (-0.30% to 0.03%), which is denominated in EUR based on the local currencies of the positions within the swap. | | 1-57 months maturity ranging from 01/11/2018 – 11/19/2021 | | | $30,029,894 | | | | $(199,206 | ) | | | $10,748 | | | | $(188,458 | ) |
| | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | |
| France | | | | | | | | | | | | |
| Air France-KLM | | | 67,692 | | | $ | 1,099,593 | | | $ | 195,145 | | | | 0.0 | % |
| Atos SE | | | 5,997 | | | | 871,906 | | | | 59,901 | | | | 0.0 | |
| Capgemini SE | | | 2,750 | | | | 325,715 | | | | 23,277 | | | | 0.0 | |
| Cie Generale des Etablissements Michelin | | | 8,357 | | | | 1,195,513 | | | | 94,676 | | | | 0.0 | |
| CNP Assurances | | | 7,083 | | | | 163,386 | | | | 3,280 | | | | 0.0 | |
| Engie SA | | | 25,169 | | | | 432,693 | | | | (4,099 | ) | | | (0.0 | ) |
| Eutelsat Communications SA | | | 6,851 | | | | 158,618 | | | | (33,204 | ) | | | (0.0 | ) |
| Faurecia | | | 1,949 | | | | 151,896 | | | | 41,151 | | | | 0.0 | |
| Ipsen SA | | | 1,784 | | | | 212,334 | | | | 14,723 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
224
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| France (continued) | | | | | | | | | | | | |
| Lagardere SCA | | | 8,263 | | | $ | 264,616 | | | $ | 3,368 | | | | 0.0 | % |
| Orange SA | | | 12,593 | | | | 218,247 | | | | 1,102 | | | | 0.0 | |
| Peugeot SA | | | 37,073 | | | | 752,999 | | | | (84,356 | ) | | | (0.0 | ) |
| Renault SA | | | 9,287 | | | | 932,211 | | | | 22,669 | | | | 0.0 | |
| SEB SA | | | 1,071 | | | | 198,253 | | | | 33,461 | | | | 0.0 | |
| Sodexo SA | | | 3,105 | | | | 416,252 | | | | 22,248 | | | | 0.0 | |
| Teleperformance | | | 2,816 | | | | 403,110 | | | | 60,455 | | | | 0.0 | |
| Thales SA | | | 6,136 | | | | 660,355 | | | | (1,717 | ) | | | (0.0 | ) |
| | | | |
| Germany | | | | | | | | | | | | |
| Covestro AG | | | 10,893 | | | | 1,121,614 | | | | 23,740 | | | | 0.0 | |
| Evonik Industries AG | | | 5,761 | | | | 216,378 | | | | (3,001 | ) | | | (0.0 | ) |
| Freenet AG | | | 10,019 | | | | 369,668 | | | | (8,561 | ) | | | (0.0 | ) |
| Hannover Rueck SE | | | 2,739 | | | | 343,646 | | | | (10,300 | ) | | | (0.0 | ) |
| Hella GmbH & Co. KGaA | | | 3,141 | | | | 193,873 | | | | 8,283 | | | | 0.0 | |
| HOCHTIEF AG | | | 2,121 | | | | 374,585 | | | | 5,084 | | | | 0.0 | |
| Infineon Technologies AG | | | 7,631 | | | | 207,824 | | | | (2,433 | ) | | | (0.0 | ) |
| Rheinmetall AG | | | 4,482 | | | | 566,810 | | | | 3,369 | | | | 0.0 | |
| Salzgitter AG | | | 5,439 | | | | 308,967 | | | | 15,081 | | | | 0.0 | |
| Software AG | | | 8,147 | | | | 456,971 | | | | 6,067 | | | | 0.0 | |
| Suedzucker AG | | | 20,644 | | | | 446,875 | | | | 22,985 | | | | 0.0 | |
| Talanx AG | | | 5,827 | | | | 237,460 | | | | (2,385 | ) | | | (0.0 | ) |
| Volkswagen AG (Preference) | | | 5,056 | | | | 1,004,289 | | | | (27,309 | ) | | | (0.0 | ) |
| | | | |
| France | | | | | | | | | | | | |
| Accor SA | | | (19,567 | ) | | | (1,007,309 | ) | | | (134,767 | ) | | | (0.0 | ) |
| Air Liquide SA | | | (1,390 | ) | | | (174,743 | ) | | | (19,494 | ) | | | (0.0 | ) |
| Airbus SE | | | (16,028 | ) | | | (1,592,973 | ) | | | (130,992 | ) | | | (0.0 | ) |
| Bollore SA | | | (43,367 | ) | | | (235,256 | ) | | | (49,088 | ) | | | (0.0 | ) |
| Carrefour SA | | | (39,899 | ) | | | (860,239 | ) | | | (46,040 | ) | | | (0.0 | ) |
| Edenred | | | (24,242 | ) | | | (701,803 | ) | | | (77,945 | ) | | | (0.0 | ) |
| Iliad SA | | | (1,482 | ) | | | (355,112 | ) | | | 20,352 | | | | 0.0 | |
| Ingenico Group SA | | | (5,220 | ) | | | (557,264 | ) | | | (1,698 | ) | | | (0.0 | ) |
| JCDecaux SA | | | (4,421 | ) | | | (177,813 | ) | | | (9,960 | ) | | | (0.0 | ) |
| Natixis SA | | | (63,769 | ) | | | (503,680 | ) | | | (49,578 | ) | | | (0.0 | ) |
| Remy Cointreau SA | | | (1,954 | ) | | | (270,737 | ) | | | (63,878 | ) | | | (0.0 | ) |
| Vivendi SA | | | (55,350 | ) | | | (1,485,568 | ) | | | (220,110 | ) | | | (0.0 | ) |
| Zodiac Aerospace | | | (13,250 | ) | | | (396,048 | ) | | | (39,426 | ) | | | (0.0 | ) |
| | | | |
| Germany | | | | | | | | | | | | |
| Commerzbank AG | | | (111,737 | ) | | | (1,666,813 | ) | | | 39,862 | | | | 0.0 | |
| Deutsche Bank AG (Registered) | | | (121,009 | ) | | | (2,288,763 | ) | | | 105,045 | | | | 0.0 | |
| Deutsche Telekom AG (Registered) | | | (12,290 | ) | | | (217,243 | ) | | | 7,649 | | | | 0.0 | |
| GEA Group AG | | | (5,548 | ) | | | (265,440 | ) | | | 735 | | | | 0.0 | |
| ProSiebenSat.1 Media SE | | | (9,154 | ) | | | (314,217 | ) | | | (994 | ) | | | (0.0 | ) |
| Telefonica Deutschland Holding AG | | | (39,317 | ) | | | (196,771 | ) | | | 2,320 | | | | 0.0 | |
| Zalando SE | | | (8,473 | ) | | | (446,763 | ) | | | 18,615 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
225
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or Federal Funds Floating Rate plus or minus a specified spread (-1.83% to 0.03%), which is denominated in USD based on the local currencies of the positions within the swap. | | 48-57 months maturity ranging from 11/19/2021 – 11/22/2021 | | | $400,599,651 | | | | $9,542,409 | | | | $75,466 | | | | $9,617,875 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| United States | | | | | | | | | | | | |
| Aflac, Inc. | | | 28,875 | | | $ | 2,534,647 | | | $ | 346,420 | | | | 0.1 | % |
| Allstate Corp. (The) | | | 18,560 | | | | 1,943,418 | | | | 405,722 | | | | 0.1 | |
| Ameriprise Financial, Inc. | | | 11,297 | | | | 1,914,503 | | | | 289,353 | | | | 0.1 | |
| Amgen, Inc. | | | 16,267 | | | | 2,828,831 | | | | (70,967 | ) | | | (0.0 | ) |
| Anthem, Inc. | | | 16,501 | | | | 3,712,890 | | | | 872,500 | | | | 0.2 | |
| Best Buy Co., Inc. | | | 43,086 | | | | 2,950,098 | | | | 747,684 | | | | 0.2 | |
| Biogen, Inc. | | | 11,343 | | | | 3,613,540 | | | | 285,315 | | | | 0.1 | |
| eBay, Inc. | | | 121,815 | | | | 4,597,298 | | | | 327,664 | | | | 0.1 | |
| Facebook, Inc. | | | 19,915 | | | | 3,514,201 | | | | (278 | ) | | | (0.0 | ) |
| General Motors Co. | | | 64,453 | | | | 2,641,928 | | | | 127,659 | | | | 0.0 | |
| Gilead Sciences, Inc. | | | 49,919 | | | | 3,576,197 | | | | (80,095 | ) | | | (0.0 | ) |
| Huntington Ingalls Industries, Inc. | | | 10,524 | | | | 2,480,507 | | | | 250,234 | | | | 0.1 | |
| Intel Corp. | | | 69,869 | | | | 3,225,153 | | | | 777,401 | | | | 0.2 | |
| International Business Machines Corp. | | | 14,683 | | | | 2,252,666 | | | | 26,673 | | | | 0.0 | |
| IQVIA Holdings, Inc. | | | 20,796 | | | | 2,035,928 | | | | (36,469 | ) | | | (0.0 | ) |
| Kohl’s Corp. | | | 37,717 | | | | 2,045,393 | | | | 433,571 | | | | 0.1 | |
| Lear Corp. | | | 10,744 | | | | 1,898,035 | | | | 329,789 | | | | 0.1 | |
| LyondellBasell Industries NV | | | 35,929 | | | | 3,963,687 | | | | 804,410 | | | | 0.2 | |
| McKesson Corp. | | | 18,560 | | | | 2,894,432 | | | | 155,501 | | | | 0.0 | |
| Micron Technology, Inc. | | | 78,659 | | | | 3,234,458 | | | | 560,621 | | | | 0.1 | |
| Mylan NV | | | 56,005 | | | | 2,369,572 | | | | 498,507 | | | | 0.1 | |
| Netflix, Inc. | | | 12,682 | | | | 2,434,437 | | | | 70,579 | | | | 0.0 | |
| Northrop Grumman Corp. | | | 6,218 | | | | 1,908,366 | | | | 377,155 | | | | 0.1 | |
| Oracle Corp. | | | 43,507 | | | | 2,057,011 | | | | (84,228 | ) | | | (0.0 | ) |
| Owens Corning | | | 21,964 | | | | 2,019,370 | | | | 642,372 | | | | 0.1 | |
| Raytheon Co. | | | 13,187 | | | | 2,477,178 | | | | 340,280 | | | | 0.1 | |
| Spirit AeroSystems Holdings, Inc. | | | 23,620 | | | | 2,060,845 | | | | 663,055 | | | | 0.1 | |
| United Rentals, Inc. | | | 17,316 | | | | 2,976,794 | | | | 936,873 | | | | 0.2 | |
| Walt Disney Co. (The) | | | 18,141 | | | | 1,950,339 | | | | 43,650 | | | | 0.0 | |
| Western Digital Corp. | | | 37,797 | | | | 3,005,995 | | | | (151,522 | ) | | | (0.0 | ) |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| United States | | | | | | | | | | | | |
| American Airlines Group, Inc. | | | (41,301 | ) | | | (2,148,891 | ) | | | (153,862 | ) | | | (0.0 | ) |
| Ball Corp. | | | (54,381 | ) | | | (2,058,321 | ) | | | 58,611 | | | | 0.0 | |
| CenturyLink, Inc. | | | (117,084 | ) | | | (1,952,961 | ) | | | (171,668 | ) | | | (0.0 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
226
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| United States (continued) | | | | | | | | | | | | |
| Charles Schwab Corp. (The) | | | (49,533 | ) | | $ | (2,544,510 | ) | | $ | (434,941 | ) | | | (0.1 | ) % |
| Charter Communications, Inc. | | | (10,341 | ) | | | (3,474,162 | ) | | | 187,282 | | | | 0.0 | |
| Cheniere Energy, Inc. | | | (45,727 | ) | | | (2,461,942 | ) | | | (405,835 | ) | | | (0.1 | ) |
| Chevron Corp. | | | (21,453 | ) | | | (2,685,701 | ) | | | (211,263 | ) | | | (0.0 | ) |
| Coty, Inc. | | | (97,566 | ) | | | (1,940,588 | ) | | | (150,987 | ) | | | (0.0 | ) |
| Envision Healthcare Corp. | | | (59,984 | ) | | | (2,073,047 | ) | | | 616,741 | | | | 0.1 | |
| Fastenal Co. | | | (41,504 | ) | | | (2,269,854 | ) | | | (338,960 | ) | | | (0.1 | ) |
| First Data Corp. | | | (131,112 | ) | | | (2,190,882 | ) | | | (40,471 | ) | | | (0.0 | ) |
| FirstEnergy Corp. | | | (92,506 | ) | | | (2,832,534 | ) | | | 63,045 | | | | 0.0 | |
| Hess Corp. | | | (64,287 | ) | | | (3,051,704 | ) | | | (211,104 | ) | | | (0.0 | ) |
| L Brands, Inc. | | | (42,481 | ) | | | (2,558,206 | ) | | | (806,671 | ) | | | (0.2 | ) |
| Palo Alto Networks, Inc. | | | (20,637 | ) | | | (2,991,127 | ) | | | (357,434 | ) | | | (0.1 | ) |
| Schlumberger Ltd. | | | (40,992 | ) | | | (2,762,451 | ) | | | (89,845 | ) | | | (0.0 | ) |
| Sealed Air Corp. | | | (57,792 | ) | | | (2,849,146 | ) | | | (265,270 | ) | | | (0.1 | ) |
| Tesla, Inc. | | | (15,617 | ) | | | (4,862,353 | ) | | | 282,776 | | | | 0.1 | |
| Wynn Resorts Ltd. | | | (12,668 | ) | | | (2,135,698 | ) | | | (663,740 | ) | | | (0.1 | ) |
| XPO Logistics, Inc. | | | (24,396 | ) | | | (2,234,430 | ) | | | (727,711 | ) | | | (0.2 | ) |
| | | | | | | | | | | | | | | | | | | | |
| COUNTERPARTY | | DESCRIPTION | | TERMINATION
DATE | | ABSOLUTE
NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | NET CASH
AND OTHER
RECEIVABLES
(PAYABLES) | | | VALUE
(Note 5) | |
| GSIN | | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the LIBOR or SONIA plus or minus a specified spread (-0.25% to 0.03%), which is denominated in GBP based on the local currencies of the positions within the swap. | | 1-57 months maturity 11/19/2021 | | | $34,673,543 | | | | $692,825 | | | | $47,202 | | | | $740,027 | |
| | | | | | | | | | | | | | | | | | | | |
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 | | | | | | | | | | | | |
| Australia | | | | | | | | | | | | |
| BHP Billiton plc | | | 47,699 | | | $ | 964,490 | | | $ | 90,376 | | | | 0.0 | % |
| | | | |
| Germany | | | | | | | | | | | | |
| TUI AG | | | 13,748 | | | | 284,821 | | | | 45,893 | | | | 0.0 | |
| | | | |
| United Kingdom | | | | | | | | | | | | |
| Anglo American plc | | | 24,203 | | | | 503,398 | | | | 77,700 | | | | 0.0 | |
| Ashtead Group plc | | | 26,555 | | | | 712,244 | | | | 122,149 | | | | 0.0 | |
| Barclays plc | | | 83,299 | | | | 228,020 | | | | 7,704 | | | | 0.0 | |
| Barratt Developments plc | | | 131,033 | | | | 1,143,062 | | | | 164,765 | | | | 0.0 | |
| Bellway plc | | | 15,296 | | | | 733,286 | | | | 129,475 | | | | 0.0 | |
| Berkeley Group Holdings plc | | | 22,031 | | | | 1,246,202 | | | | 234,897 | | | | 0.1 | |
| BT Group plc | | | 200,388 | | | | 734,479 | | | | (48,363 | ) | | | (0.0 | ) |
| Close Brothers Group plc | | | 11,051 | | | | 215,915 | | | | (18,429 | ) | | | (0.0 | ) |
| DCC plc | | | 3,789 | | | | 381,314 | | | | 15,803 | | | | 0.0 | |
| GKN plc | | | 47,999 | | | | 206,411 | | | | (33,357 | ) | | | (0.0 | ) |
| Greene King plc | | | 31,559 | | | | 235,820 | | | | (41,078 | ) | | | (0.0 | ) |
| Howden Joinery Group plc | | | 47,793 | | | | 300,850 | | | | 26,935 | | | | 0.0 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
227
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | |
| | | | | | | | | | | | | | | | |
| REFERENCE ENTITY | | SHARES | | | NOTIONAL
VALUE | | | NET UNREALIZED
APPRECIATION
(DEPRECIATION) | | | PERCENTAGE OF
NET ASSETS | |
| | | | |
| United Kingdom (continued) | | | | | | | | | | | | |
| Indivior plc | | | 84,798 | | | $ | 465,671 | | | $ | 86,693 | | | | 0.0 | % |
| Intermediate Capital Group plc | | | 35,755 | | | | 552,088 | | | | 199,950 | | | | 0.0 | |
| Kingfisher plc | | | 92,340 | | | | 421,627 | | | | 28,263 | | | | 0.0 | |
| Marks & Spencer Group plc | | | 49,964 | | | | 211,978 | | | | (16,244 | ) | | | (0.0 | ) |
| Micro Focus International plc | | | 17,802 | | | | 605,033 | | | | 22,573 | | | | 0.0 | |
| Next plc | | | 5,910 | | | | 360,210 | | | | (27,087 | ) | | | (0.0 | ) |
| Persimmon plc | | | 34,658 | | | | 1,280,416 | | | | 259,828 | | | | 0.1 | |
| Playtech plc | | | 31,222 | | | | 362,353 | | | | (28,782 | ) | | | (0.0 | ) |
| Royal Mail plc | | | 75,124 | | | | 458,978 | | | | 39,341 | | | | 0.0 | |
| Sky plc | | | 24,743 | | | | 337,675 | | | | 7,766 | | | | 0.0 | |
| Taylor Wimpey plc | | | 308,608 | | | | 858,612 | | | | 53,194 | | | | 0.0 | |
| Travis Perkins plc | | | 10,474 | | | | 221,454 | | | | 10,718 | | | | 0.0 | |
| WH Smith plc | | | 9,868 | | | | 312,565 | | | | 64,312 | | | | 0.0 | |
| Whitbread plc | | | 5,888 | | | | 317,624 | | | | 16,122 | | | | 0.0 | |
| William Hill plc | | | 101,312 | | | | 439,460 | | | | 68,164 | | | | 0.0 | |
| Wm Morrison Supermarkets plc | | | 131,010 | | | | 389,161 | | | | (31,615 | ) | | | (0.0 | ) |
| | | | |
| Short Positions | | | | | | | | | | | | |
| | | | |
| Common Stock | | | | | | | | | | | | |
| Chile | | | | | | | | | | | | |
| Antofagasta plc | | | (18,566 | ) | | | (250,568 | ) | | | (35,119 | ) | | | (0.0 | ) |
| | | | |
| Netherlands | | | | | | | | | | | | |
| Royal Dutch Shell plc | | | (63,164 | ) | | | (2,108,616 | ) | | | (282,301 | ) | | | (0.1 | ) |
| | | | |
| United Kingdom | | | | | | | | | | | | |
| Associated British Foods plc | | | (5,239 | ) | | | (199,265 | ) | | | (11,990 | ) | | | (0.0 | ) |
| AstraZeneca plc | | | (22,647 | ) | | | (1,562,770 | ) | | | (88,002 | ) | | | (0.0 | ) |
| BP plc | | | (379,097 | ) | | | (2,659,474 | ) | | | (275,678 | ) | | | (0.1 | ) |
| British American Tobacco plc | | | (32,021 | ) | | | (2,164,581 | ) | | | (56,444 | ) | | | (0.0 | ) |
| Capita plc | | | (69,444 | ) | | | (375,214 | ) | | | 177,203 | | | | 0.0 | |
| Cobham plc | | | (145,854 | ) | | | (248,166 | ) | | | 10,509 | | | | 0.0 | |
| Diageo plc | | | (14,013 | ) | | | (513,638 | ) | | | (72,193 | ) | | | (0.0 | ) |
| Experian plc | | | (20,169 | ) | | | (444,579 | ) | | | (2,287 | ) | | | (0.0 | ) |
| John Wood Group plc | | | (25,306 | ) | | | (221,418 | ) | | | 5,743 | | | | 0.0 | |
| Just Eat plc | | | (19,161 | ) | | | (201,540 | ) | | | (46,159 | ) | | | (0.0 | ) |
| Petrofac Ltd. | | | (62,085 | ) | | | (426,233 | ) | | | 42,578 | | | | 0.0 | |
| Prudential plc | | | (38,415 | ) | | | (983,820 | ) | | | (54,191 | ) | | | (0.0 | ) |
| Rolls-Royce Holdings plc | | | (33,079 | ) | | | (377,523 | ) | | | 7,283 | | | | 0.0 | |
| Royal Bank of Scotland Group plc | | | (69,879 | ) | | | (262,032 | ) | | | (19,148 | ) | | | (0.0 | ) |
| RSA Insurance Group plc | | | (34,901 | ) | | | (297,494 | ) | | | (18,694 | ) | | | (0.0 | ) |
| Serco Group plc | | | (296,979 | ) | | | (395,339 | ) | | | 71,337 | | | | 0.0 | |
| Standard Chartered plc | | | (49,541 | ) | | | (520,259 | ) | | | (26,642 | ) | | | (0.0 | ) |
| Tesco plc | | | (481,801 | ) | | | (1,363,077 | ) | | | (146,048 | ) | | | (0.0 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
228
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | |
Collateral pledged to, or (received from), each counterparty at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/
CENTRALLY CLEARED | | | TOTAL | |
| BANA | | | | | | | | | |
| Investment Companies | | | $270,000 | | | | $— | | | | $270,000 | |
| |
| BARC | | | | | | | | | |
| Cash | | | — | | | | 5,637,079 | | | | 5,637,079 | |
| |
| CITI | | | | | | | | | |
| Investment Companies | | | 1,150,999 | | | | — | | | | 1,150,999 | |
| |
| GSCO | | | | | | | | | |
| Cash | | | — | | | | 751,052 | | | | 751,052 | |
| |
| GSIN | | | | | | | | | |
| Cash | | | (11,020,000 | ) | | | — | | | | (11,020,000 | ) |
| Investment Companies | | | 39,377,007 | | | | — | | | | 39,377,007 | |
| |
| JPMC | | | | | | | | | |
| Investment Companies | | | 3,317,356 | | | | — | | | | 3,317,356 | |
| |
| JPMS | | | | | | | | | |
| Cash | | | — | | | | 2,767,699 | | | | 2,767,699 | |
| |
| MSCL | | | | | | | | | |
| Cash | | | — | | | | 411,498 | | | | 411,498 | |
| |
| MSCS | | | | | | | | | |
| Cash | | | 2,653,038 | | | | — | | | | 2,653,038 | |
| |
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/
CENTRALLY CLEARED | | | TOTAL | |
| CITI | | | | | | | | | |
| Cash | | | $(100,000 | ) | | | $— | | | | $(100,000 | ) |
| Investment Companies | | | 303,221 | | | | — | | | | 303,221 | |
| |
| GSCO | | | | | | | | | |
| Cash | | | — | | | | (109,991 | ) | | | (109,991 | ) |
| |
| GSIN | | | | | | | | | |
| Cash | | | 450,000 | | | | — | | | | 450,000 | |
| |
| JPPC | | | | | | | | | |
| Cash | | | — | | | | 1,324 | | | | 1,324 | |
| |
| MACQ | | | | | | | | | |
| Cash | | | 139,957 | | | | — | | | | 139,957 | |
| |
| MSCL | | | | | | | | | |
| Cash | | | — | | | | 1,387,648 | | | | 1,387,648 | |
| |
| SOCG | | | | | | | | | |
| Cash | | | 120,000 | | | | — | | | | 120,000 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
229
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
The following reference rates, and their values as of period-end, are used for security descriptions:
Australian Bank-Bill Swap Reference Rate (“BBR”): 1.71%
Australian Overnight Indexed Swap Rate (“AOISR”): -0.05%
Bank of Japan Estimate Unsecured Overnight Call Rate: -0.06%
CAD/USD Overnight Forward FX Swap Rate: -2.24%
Canadian Dollar Offered Rate (“CDOR”): 1.44%
Canadian Overnight Repurchase Rate: 1.00%
CHF London Interbank Offered Rate (“LIBOR”): -0.81%
Copenhagen Interbank Offered Rate: -0.37%
EUR/USD 1 Week Forward Swap Rate: -0.38%
Euro Interbank Offered Rate (“EURIBOR”): -0.37%
Euro Overnight Index Average (“EONIA”): -0.35%
Federal Funds Floating Rate: 1.33%
GBP London Interbank Offered Rate (“LIBOR”): 0.50%
GBP/USD 1 Week Forward FX Swap Rate: 2.90%
HKD/USD 1 Month Forward FX Swap Rate: 1.18%
Hong Kong Interbank Offered Rate (“HIBOR”): 1.19%
Hong Kong Overnight Index Average (“HONIA”): 1.39%
Johannesburg Interbank Agreed Rate: 6.91%
JPY London Interbank Offered Rate (“LIBOR”): 0.03%
JPY/USD 1 Week Forward FX Swap Rate: -0.03%
London Interbank Offered Rate (“LIBOR”): 1.56%
Mexico Equilibrium Interbank Interest Rate: 7.67%
Norway Interbank Offered Rate: 0.67%
Overnight Bank Funding Rate: 1.33%
Rand Overnight Deposit Rate: 6.53%
Reserve Bank of Australia Cash Rate: 1.50%
Singapore Interbank Offered Rate (“SIBOR”): 1.33%
Sterling Overnight Index Average (“SONIA”): 0.47%
Stockholm Interbank Offered Rate (“STIBOR”): -0.51%
Tomorrow/Next Overnight Indexed Swaps: -0.48%
Warsaw Interbank Offered Rate: 1.55%
The following abbreviations are used for counterparty descriptions:
BANA - Bank of America, NA
BARC - Barclays Capital, Inc.
BNPP - BNP Paribas
CITG - Citigroup Global Markets, Inc.
CITI - Citibank NA
CRSU - Credit Suisse Securities (USA) LLC
DTBK - Deutsche Bank AG
GSCO - Goldman Sachs & Co.
GSIN - Goldman Sachs International
JPMC - J.P. Morgan Chase Bank, NA
JPMS - J.P. Morgan Securities LLC
JPPC - J.P. Morgan Securities plc
MACQ - Macquarie Bank Ltd.
MLIN - Merrill Lynch International
MPFS - Merrill Lynch, Pierce, Fenner & Smith, Inc.
MSCL - Morgan Stanley & Co. LLC
MSCS - Morgan Stanley Capital Services LLC
MSIP - Morgan Stanley & Co. International plc
SOCG - Societe Generale
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
230
| | |
| Statements of Assets and Liabilities | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR
ALTERNATIVE
RISK PREMIA
FUND | | | AQR DIVERSIFIED
ARBITRAGE FUND | | | AQR EQUITY MARKET NEUTRAL
FUND | | | AQR GLOBAL
MACRO FUND** | |
| ASSETS: | | | | | | | | | | | | | | | | |
| Investments in securities of unaffiliated issuers, at cost | | $ | 132,552,290 | | | $ | 582,045,556 | | | $ | 1,156,920,599 | | | $ | 23,787,832 | |
| Investments in securities of affiliated issuers, at cost | | | — | | | | 29,950,459 | | | | — | | | | — | |
| Investments in securities of controlled affiliated issuers, at cost | | | — | | | | — | | | | 1,114,106,028 | | | | — | |
| | | | | | | | | | | | | | | | | |
| Investments in securities of unaffiliated issuers, at value | | $ | 133,572,242 | | | $ | 592,515,457 | | | $ | 1,249,639,716 | | | $ | 23,785,748 | |
| Investments in securities of affiliated issuers, at value | | | — | | | | 32,976,529 | | | | — | | | | — | |
| Investments in securities of controlled affiliated issuers, at value | | | — | | | | — | | | | 1,114,103,466 | | | | — | |
| Cash | | | 693,861 | | | | 53,149 | | | | 4,237,243 | | | | — | |
| Cash denominated in foreign currencies‡ | | | 95,532 | | | | 634,431 | | | | 3,809,541 | | | | 6,311 | |
| Unrealized appreciation on forward foreign currency exchange contracts | | | 723,986 | | | | 780 | | | | 372,301 | | | | 585,163 | |
| Unrealized appreciation on OTC swaps | | | 315,909 | | | | 11,914,557 | | | | 85,357,042 | | | | 60,374 | |
| Deposits for securities sold short | | | — | | | | 4,062,867 | | | | — | | | | — | |
| Deposits for written options contracts | | | 2,687,666 | | | | — | | | | — | | | | — | |
| Due from broker | | | 2,750,134 | | | | — | | | | 263,467,551 | | | | 1,713 | |
| Deposits with brokers for centrally cleared swaps (unamortized upfront payments, $—, $(957,252), $— and $(355,007), respectively) | | | — | | | | 415,063 | | | | — | | | | 764,935 | |
| Deposits with brokers for futures contracts | | | 1,883,358 | | | | 2,305,248 | | | | 3,829,869 | | | | 1,718,029 | |
| Variation margin on futures contracts | | | 11,308 | | | | 216,072 | | | | 429,488 | | | | 48,678 | |
| Receivables: | | | | | | | | | | | | | | | | |
Securities sold | | | 22,697 | | | | 1,524,183 | | | | — | | | | — | |
Foreign tax reclaims | | | 839 | | | | 53,660 | | | | 675,612 | | | | — | |
Dividends and interest | | | 89,327 | | | | 1,663,985 | | | | 1,677,459 | | | | 13,093 | |
Capital shares sold | | | 327,365 | | | | 1,761,619 | | | | 8,400,493 | | | | 1,250 | |
Due from Investment Adviser | | | — | | | | — | | | | — | | | | 13,125 | |
| Prepaid expenses | | | 75,218 | | | | 31,115 | | | | 139,730 | | | | 17,374 | |
| Total Assets | | | 143,249,442 | | | | 650,128,715 | | | | 2,736,139,511 | | | | 27,015,793 | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
| Securities sold short, at value (proceeds $63,077,436, $127,199,473, $464,197,370 and $—, respectively) | | | 63,868,604 | | | | 159,152,102 | | | | 480,627,697 | | | | — | |
| Option contracts written, at value (proceeds $275,064, $—, $— and $—, respectively) | | | 239,527 | | | | — | | | | — | | | | — | |
| Due to custodian | | | — | | | | — | | | | — | | | | 2,621 | |
| Due to broker | | | — | | | | 7,179,549 | | | | — | | | | 3,911 | |
| Unrealized depreciation on forward foreign currency exchange contracts | | | 642,289 | | | | 110,840 | | | | 1,247,270 | | | | 723,600 | |
| Unrealized depreciation on OTC swaps | | | 24,891 | | | | 2,199,612 | | | | 3,911,302 | | | | 16,454 | |
| Variation margin on centrally cleared swaps | | | — | | | | 11,478 | | | | — | | | | 24,353 | |
| Variation margin on futures contracts | | | 110,053 | | | | 11,436 | | | | — | | | | 70,537 | |
| Payables: | | | | | | | | | | | | | | | | |
Securities purchased | | | 26,879 | | | | 6,904,460 | | | | 1,589,993 | | | | — | |
Accrued investment advisory fees | | | 26,599 | | | | 426,827 | | | | 2,074,452 | | | | — | |
Accrued distribution fees—Class N | | | 363 | | | | 16,842 | | | | 73,307 | | | | 606 | |
Capital shares redeemed | | | — | | | | 1,372,112 | | | | 8,198,981 | | | | 801 | |
Dividends and interest payable on securities sold short | | | 46,683 | | | | 235,341 | | | | 539,250 | | | | — | |
| Other accrued expenses and liabilities | | | 55,751 | | | | 346,261 | | | | 842,112 | | | | 111,608 | |
| Total Liabilities | | | 65,041,639 | | | | 177,966,860 | | | | 499,104,364 | | | | 954,491 | |
| Commitments and contingent liabilities* | | | | | | | | | | | | | | | | |
| Net Assets | | $ | 78,207,803 | | | $ | 472,161,855 | | | $ | 2,237,035,147 | | | $ | 26,061,302 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | $ | 78,544,752 | | | $ | 805,951,115 | | | $ | 2,187,532,442 | | | $ | 27,384,456 | |
| Undistributed accumulated net investment income (loss) | | | (57,561 | ) | | | (22,420,553 | ) | | | (76,996,769 | ) | | | (78,678 | ) |
| Undistributed accumulated net realized gain (loss) | | | (618,339 | ) | | | (302,185,022 | ) | | | (30,615,061 | ) | | | (1,881,504 | ) |
| Net unrealized appreciation (depreciation) | | | 338,951 | | | | (9,183,685 | ) | | | 157,114,535 | | | | 637,028 | |
| Net Assets | | $ | 78,207,803 | | | $ | 472,161,855 | | | $ | 2,237,035,147 | | | $ | 26,061,302 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
| Class I | | $ | 26,851,616 | | | $ | 386,971,869 | | | $ | 1,552,268,794 | | | $ | 9,198,658 | |
| Class N | | | 1,538,112 | | | | 76,774,260 | | | | 357,839,560 | | | | 2,892,471 | |
| Class R6 | | | 49,818,075 | | | | 8,415,726 | | | | 326,926,793 | | | | 13,970,173 | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| Class I | | | 2,682,282 | | | | 42,440,083 | | | | 126,740,391 | | | | 1,051,631 | |
| Class N | | | 153,729 | | | | 8,415,812 | | | | 29,297,507 | | | | 334,118 | |
| Class R6 | | | 4,972,362 | | | | 924,895 | | | | 26,681,122 | | | | 1,597,192 | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
| Class I | | $ | 10.01 | | | $ | 9.12 | | | $ | 12.25 | | | $ | 8.75 | |
| Class N | | $ | 10.01 | | | $ | 9.12 | | | $ | 12.21 | | | $ | 8.66 | |
Class R6 | | $ | 10.02 | | | $ | 9.10 | | | $ | 12.25 | | | $ | 8.75 | |
| | | | | | | | | | | | | | | | | |
‡ Cash denominated in foreign currencies at cost | | $ | 94,921 | | | $ | 627,562 | | | $ | 3,777,711 | | | $ | 6,389 | |
| | * | AQR Diversified Arbitrage Fund |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
231
| | |
| Statements of Assets and Liabilities | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR
LONG-SHORT
EQUITY
FUND | | | AQR
MULTI-
STRATEGY
ALTERNATIVE
FUND** | | | AQR RISK-
BALANCED
COMMODITIES
STRATEGY
FUND** | | | AQR
RISK
PARITY
FUND** | |
| ASSETS: | | | | | | | | | | | | | | | | |
| Investments in securities of unaffiliated issuers, at cost | | $ | 4,145,465,024 | | | $ | 2,120,648,892 | | | $ | 185,798,120 | | | $ | 441,871,532 | |
| Investments in securities of controlled affiliated issuers, at cost | | | 1,987,707,043 | | | | 1,059,272,893 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | |
| Investments in securities of unaffiliated issuers, at value | | $ | 4,347,061,346 | | | $ | 2,257,180,298 | | | $ | 185,789,033 | | | $ | 445,209,705 | |
| Investments in securities of controlled affiliated issuers, at value | | | 1,987,707,043 | | | | 1,059,272,893 | | | | — | | | | — | |
| Cash | | | 18,534,774 | | | | 4,594,071 | | | | 278 | | | | — | |
| Cash denominated in foreign currencies‡ | | | 8,451,047 | | | | 24,631,955 | | | | — | | | | 929,533 | |
| Unrealized appreciation on forward foreign currency exchange contracts | | | 8,930,381 | | | | 42,816,628 | | | | — | | | | 3,853,988 | |
| Unrealized appreciation on OTC swaps | | | 260,655,188 | | | | 168,088,045 | | | | 1,089,966 | | | | 603,468 | |
| Deposits for securities sold short | | | — | | | | 116,458,194 | | | | — | | | | — | |
| Due from broker | | | 130,510,808 | | | | 57,257,374 | | | | 3,842,791 | | | | 2,577,828 | |
| Deposits with brokers for centrally cleared swaps (unamortized upfront payments, $—, $17,957,996, $— and $16,645,428, respectively) | | | — | | | | 9,397,874 | | | | — | | | | 14,179,784 | |
| Deposits with brokers for futures contracts | | | 90,280,880 | | | | 97,166,180 | | | | 15,601,817 | | | | 14,946,102 | |
| Variation margin on centrally cleared swaps | | | — | | | | — | | | | — | | | | 4,357 | |
| Variation margin on futures contracts | | | — | | | | 4,431,504 | | | | 1,460,568 | | | | 1,135,937 | |
| Receivables: | | | | | | | | | | | | | | | | |
Securities sold | | | — | | | | 60,591,382 | | | | — | | | | 130 | |
Foreign tax reclaims | | | 1,552,842 | | | | 403,742 | | | | — | | | | — | |
Dividends and interest | | | 3,110,893 | | | | 5,803,771 | | | | 89,752 | | | | 368,954 | |
Capital shares sold | | | 21,115,596 | | | | 6,238,625 | | | | 769,690 | | | | 604,943 | |
| Prepaid expenses | | | 189,296 | | | | 80,832 | | | | 24,908 | | | | 34,745 | |
| Total Assets | | | 6,878,100,094 | | | | 3,914,413,368 | | | | 208,668,803 | | | | 484,449,474 | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
| Securities sold short, at value (proceeds $1,107,421,145, $600,159,992, $— and $—, respectively) | | | 1,143,942,860 | | | | 712,406,752 | | | | — | | | | — | |
| Option contracts written, at value (proceeds $—, $955,601, $— and $—, respectively) | | | — | | | | 3,412,950 | | | | — | | | | — | |
| Due to custodian | | | — | | | | — | | | | — | | | | 53,079 | |
| Due to broker | | | 197,508,832 | | | | 19,961,466 | | | | — | | | | 353,088 | |
| Unrealized depreciation on forward foreign currency exchange contracts | | | 1,826,604 | | | | 47,176,096 | | | | — | | | | 2,869,121 | |
| Unrealized depreciation on OTC swaps | | | 15,520,979 | | | | 17,459,867 | | | | 2,004,399 | | | | 1,409,621 | |
| Variation margin on centrally cleared swaps | | | — | | | | 902,250 | | | | — | | | | — | |
| Variation margin on futures contracts | | | 5,644,330 | | | | 2,007,730 | | | | 500,462 | | | | 741,839 | |
| Payables: | | | | | | | | | | | | | | | | |
Securities purchased | | | — | | | | 60,016,060 | | | | — | | | | 586 | |
Accrued investment advisory fees | | | 5,198,511 | | | | 4,898,832 | | | | 153,202 | | | | 340,131 | |
Accrued distribution fees—Class N | | | 83,692 | | | | 92,536 | | | | 1,486 | | | | 4,055 | |
Capital shares redeemed | | | 9,410,438 | | | | 13,022,338 | | | | — | | | | 5,658,918 | |
Dividends and interest payable on securities sold short | | | 1,276,899 | | | | 453,945 | | | | — | | | | — | |
Other accrued expenses and liabilities | | | 1,977,263 | | | | 1,168,185 | | | | 120,061 | | | | 291,226 | |
| Total Liabilities | | | 1,382,390,408 | | | | 882,979,007 | | | | 2,779,610 | | | | 11,721,664 | |
| Net Assets | | $ | 5,495,709,686 | | | $ | 3,031,434,361 | | | $ | 205,889,193 | | | $ | 472,727,810 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | $ | 5,221,986,588 | | | $ | 3,231,022,521 | | | $ | 185,361,031 | | | $ | 455,500,227 | |
| Undistributed accumulated net investment income (loss) | | | (239,450,766 | ) | | | (176,296,129 | ) | | | 13,049,688 | | | | (1,118,580 | ) |
| Undistributed accumulated net realized gain (loss) | | | 86,882,114 | | | | (208,906,713 | ) | | | (12,630 | ) | | | 7,723,719 | |
| Net unrealized appreciation (depreciation) | | | 426,291,750 | | | | 185,614,682 | | | | 7,491,104 | | | | 10,622,444 | |
| Net Assets | | $ | 5,495,709,686 | | | $ | 3,031,434,361 | | | $ | 205,889,193 | | | $ | 472,727,810 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
| Class I | | $ | 4,144,435,499 | | | $ | 1,987,556,979 | | | $ | 87,863,251 | | | $ | 415,798,630 | |
| Class N | | | 385,301,770 | | | | 433,225,686 | | | | 7,559,036 | | | | 16,673,327 | |
| Class R6 | | | 965,972,417 | | | | 610,651,696 | | | | 110,466,906 | | | | 40,255,853 | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| Class I | | | 298,568,829 | | | | 219,604,853 | | | | 12,725,339 | | | | 42,326,766 | |
| Class N | | | 27,927,412 | | | | 48,119,919 | | | | 1,109,579 | | | | 1,701,531 | |
| Class R6 | | | 69,452,664 | | | | 67,398,448 | | | | 15,954,715 | | | | 4,096,425 | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
| Class I | | $ | 13.88 | | | $ | 9.05 | | | $ | 6.90 | | | $ | 9.82 | |
| Class N | | $ | 13.80 | | | $ | 9.00 | | | $ | 6.81 | | | $ | 9.80 | |
Class R6 | | $ | 13.91 | | | $ | 9.06 | | | $ | 6.92 | | | $ | 9.83 | |
| | | | | | | | | | | | | | | | | |
‡ Cash denominated in foreign currencies at cost | | $ | 8,326,322 | | | $ | 24,617,228 | | | $ | — | | | $ | 964,706 | |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
232
| | |
| Statements of Assets and Liabilities | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR
RISK
PARITY II
HV FUND** | | | AQR
RISK
PARITY II
MV FUND** | | | AQR
STYLE
PREMIA
ALTERNATIVE
FUND** | | | AQR
STYLE
PREMIA
ALTERNATIVE
LV FUND** | |
| ASSETS: | | | | | | | | | | | | | | | | |
| Investments in securities of unaffiliated issuers, at cost | | $ | 63,887,523 | | | $ | 77,645,912 | | | $ | 4,114,414,568 | | | $ | 483,813,781 | |
| Investments in securities of controlled affiliated issuers, at cost | | | — | | | | — | | | | 1,084,378,445 | | | | — | |
| | | | | | | | | | | | | | | | | |
| Investments in securities of unaffiliated issuers, at value | | $ | 64,660,888 | | | $ | 78,262,152 | | | $ | 4,406,940,177 | | | $ | 499,295,327 | |
| Investments in securities of controlled affiliated issuers, at value | | | — | | | | — | | | | 1,084,378,445 | | | | — | |
| Cash | | | 1,157 | | | | — | | | | 13,508,960 | | | | 4,859,978 | |
| Cash denominated in foreign currencies‡ | | | 46,951 | | | | 119,138 | | | | 7,473,616 | | | | 791,380 | |
| Unrealized appreciation on forward foreign currency exchange contracts | | | 780 | | | | 1,098 | | | | 54,184,137 | | | | 2,749,001 | |
| Unrealized appreciation on OTC swaps | | | 124,459 | | | | 142,651 | | | | 209,362,336 | | | | 11,262,119 | |
| Due from broker | | | 331,681 | | | | 395,153 | | | | 104,417,666 | | | | 3,278,676 | |
| Deposits with brokers for futures contracts | | | 4,056,010 | | | | 2,870,383 | | | | 240,878,925 | | | | 13,116,543 | |
| Variation margin on futures contracts | | | 261,472 | | | | 249,830 | | | | 8,302,787 | | | | 545,404 | |
| Receivables: | | | | | | | | | | | | | | | | |
Securities sold | | | 72 | | | | 1,443 | | | | 34,469,068 | | | | — | |
Foreign tax reclaims | | | — | | | | — | | | | 2,666,652 | | | | 84,932 | |
Dividends and interest | | | 56,805 | | | | 65,118 | | | | 3,512,853 | | | | 359,994 | |
Capital shares sold | | | 4,290 | | | | 5,294 | | | | 21,066,164 | | | | 236,576 | |
| Prepaid expenses | | | 28,988 | | | | 28,911 | | | | 140,228 | | | | 36,505 | |
| Total Assets | | | 69,573,553 | | | | 82,141,171 | | | | 6,191,302,014 | | | | 536,616,435 | |
| LIABILITIES: | | | | | | | | | | | | | | | | |
| Securities sold short, at value (proceeds $—, $—, $1,036,315,204 and $51,122,519, respectively) | | | — | | | | — | | | | 1,113,492,664 | | | | 55,106,012 | |
| Reverse repurchase agreements, at value | | | 11,029,895 | | | | — | | | | — | | | | — | |
| Due to custodian | | | — | | | | 5,981 | | | | — | | | | — | |
| Due to broker | | | 20,675 | | | | 24,831 | | | | 200,615,541 | | | | 11,124,760 | |
| Unrealized depreciation on forward foreign currency exchange contracts | | | 118,553 | | | | 107,221 | | | | 60,331,843 | | | | 3,097,648 | |
| Unrealized depreciation on OTC swaps | | | 169,575 | | | | 170,389 | | | | 13,181,695 | | | | 598,547 | |
| Deposits from brokers for futures contracts | | | — | | | | 5,573 | | | | 492,507 | | | | — | |
| Variation margin on futures contracts | | | 148,230 | | | | 130,850 | | | | 3,244,384 | | | | 365,245 | |
| Payables: | | | | | | | | | | | | | | | | |
Securities purchased | | | 172 | | | | 1,537 | | | | 34,483,501 | | | | — | |
Accrued investment advisory fees | | | 43,782 | | | | 55,814 | | | | 5,391,896 | | | | 237,945 | |
Accrued distribution fees—Class N | | | 3,864 | | | | 592 | | | | 37,668 | | | | 7,705 | |
Capital shares redeemed | | | 330 | | | | 70,416 | | | | 10,248,285 | | | | 218,252 | |
Dividends and interest payable on securities sold short | | | — | | | | — | | | | 1,101,624 | | | | 55,607 | |
Interest payable for reverse repurchase agreements | | | 5,602 | | | | — | | | | — | | | | — | |
Other accrued expenses and liabilities | | | 106,869 | | | | 105,398 | | | | 1,253,137 | | | | 238,014 | |
| Total Liabilities | | | 11,647,547 | | | | 678,602 | | | | 1,443,874,745 | | | | 71,049,735 | |
| Net Assets | | $ | 57,926,006 | | | $ | 81,462,569 | | | $ | 4,747,427,269 | | | $ | 465,566,700 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | | | | | | | | | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | $ | 55,257,497 | | | $ | 78,868,183 | | | $ | 4,535,653,473 | | | $ | 455,345,901 | |
| Undistributed accumulated net investment income (loss) | | | (29,980 | ) | | | 148,842 | | | | (168,939,404 | ) | | | (9,221,970 | ) |
| Undistributed accumulated net realized gain (loss) | | | 1,087,934 | | | | 1,013,202 | | | | (70,227,837 | ) | | | (4,865,904 | ) |
| Net unrealized appreciation (depreciation) | | | 1,610,555 | | | | 1,432,342 | | | | 450,941,037 | | | | 24,308,673 | |
| Net Assets | | $ | 57,926,006 | | | $ | 81,462,569 | | | $ | 4,747,427,269 | | | $ | 465,566,700 | |
| | | | | | | | | | | | | | | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
| Class I | | $ | 38,688,766 | | | $ | 78,000,411 | | | $ | 2,956,926,319 | | | $ | 336,047,315 | |
| Class N | | | 18,472,008 | | | | 2,783,713 | | | | 177,319,191 | | | | 35,465,008 | |
| Class R6 | | | 765,232 | | | | 678,445 | | | | 1,613,181,759 | | | | 94,054,377 | |
| SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| Class I | | | 4,358,862 | | | | 8,422,139 | | | | 284,753,468 | | | | 31,798,558 | |
| Class N | | | 2,086,431 | | | | 302,522 | | | | 17,131,773 | | | | 3,367,115 | |
| Class R6 | | | 86,209 | | | | 73,253 | | | | 155,015,501 | | | | 8,884,892 | |
| NET ASSET VALUE: | | | | | | | | | | | | | | | | |
| Class I | | $ | 8.88 | | | $ | 9.26 | | | $ | 10.38 | | | $ | 10.57 | |
| Class N | | $ | 8.85 | | | $ | 9.20 | | | $ | 10.35 | | | $ | 10.53 | |
Class R6 | | $ | 8.88 | | | $ | 9.26 | | | $ | 10.41 | | | $ | 10.59 | |
| | | | | | | | | | | | | | | | | |
‡ Cash denominated in foreign currencies at cost | | $ | 46,256 | | | $ | 115,993 | | | $ | 7,354,552 | | | $ | 788,609 | |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
233
| | |
| Statements of Operations | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR ALTERNATIVE
RISK PREMIA
FUND | | | AQR
DIVERSIFIED
ARBITRAGE
FUND | | | AQR
EQUITY
MARKET
NEUTRAL
FUND | | | AQR
GLOBAL
MACRO
FUND** | |
| | | FOR THE PERIOD
09/19/17*- 12/31/17 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
| Dividend income: | | | | | | | | | | | | | | | | |
Unaffiliated issuers† | | $ | 172,213 | | | $ | 4,220,352 | | | $ | 13,812,542 | | | $ | 97,030 | |
Controlled affiliated issuers | | | — | | | | — | | | | 5,381,756 | | | | — | |
Interest income | | | — | | | | 6,892,737 | | | | 3,563,925 | | | | 126,276 | |
| Total Income | | | 172,213 | | | | 11,113,089 | | | | 22,758,223 | | | | 223,306 | |
| | | | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 87,690 | | | | 4,882,637 | | | | 17,771,496 | | | | 333,776 | |
Custody fees | | | 1,016 | | | | 33,409 | | | | 36,160 | | | | 22,851 | |
Administration & accounting fees | | | 1,577 | | | | 99,067 | | | | 449,951 | | | | 8,715 | |
Legal fees | | | — | | | | 15,141 | | | | 34,534 | | | | 3,136 | |
Audit & tax fees | | | 65,725 | | | | 173,937 | | | | 105,097 | | | | 110,813 | |
Shareholder reporting fees | | | 375 | | | | 102,895 | | | | 187,395 | | | | 4,538 | |
Transfer agent fees | | | 7,172 | | | | 468,334 | | | | 1,265,003 | | | | 27,321 | |
Trustee fees | | | 1,577 | | | | 19,142 | | | | 46,220 | | | | 6,730 | |
Offering costs | | | 6,737 | | | | — | | | | — | | | | — | |
Distribution fees—Class N | | | 931 | | | | 235,664 | | | | 491,330 | | | | 7,011 | |
Dividends and interest on securities sold short (Note 4) | | | 91,320 | | | | 4,046,629 | | | | 12,928,568 | | | | — | |
Recoupment of waiver | | | — | | | | 20,593 | | | | 223,519 | | | | — | |
Registration fees | | | 16,386 | | | | 70,700 | | | | 264,584 | | | | 59,199 | |
Pricing fee | | | 120 | | | | 199,549 | | | | 22,642 | | | | 38,215 | |
Other expenses | | | 1,433 | | | | 15,576 | | | | 44,254 | | | | 3,087 | |
| Total Expenses | | | 282,059 | | | | 10,383,273 | | | | 33,870,753 | | | | 625,392 | |
| | | | |
Less fee waivers and/or reimbursements | | | (92,376 | ) | | | (271,612 | ) | | | — | | | | (246,579 | ) |
| Net Expenses | | | 189,683 | | | | 10,111,661 | | | | 33,870,753 | | | | 378,813 | |
| Net Investment Income (Loss) | | | (17,470 | ) | | | 1,001,428 | | | | (11,112,530 | ) | | | (155,507 | ) |
| | | | |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Transactions in investment securities of unaffiliated issuers | | | (114,696 | ) | | | 12,558,309 | | | | 55,328,407 | | | | 12,459 | |
Transactions in investment securities of affiliated issuers | | | — | | | | (1,497,521 | ) | | | — | | | | — | |
Transactions in investment securities of controlled affiliated issuers | | | — | | | | — | | | | (35,023 | ) | | | — | |
Settlement of foreign currency and foreign currency transactions | | | (45,703 | ) | | | 488,474 | | | | (406,065 | ) | | | 133,692 | |
Settlement of forward foreign currency contracts | | | (31,945 | ) | | | (102,332 | ) | | | (4,577,939 | ) | | | (321,015 | ) |
Expiration or closing of futures contracts | | | (128,117 | ) | | | (6,422,953 | ) | | | 278,130 | | | | (1,435,181 | ) |
Closed short positions in securities | | | (468,896 | ) | | | (23,841,412 | ) | | | (70,325,680 | ) | | | — | |
Expiration or closing of swap contracts | | | 79,539 | | | | 8,191,175 | | | | 55,037,373 | | | | (65,114 | ) |
Expiration or closing of option contracts written | | | 30,712 | | | | 51,447 | | | | — | | | | — | |
| Net realized gain (loss) | | | (679,106 | ) | | | (10,574,813 | ) | | | 35,299,203 | | | | (1,675,159 | ) |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investment securities of unaffiliated issuers | | | 1,019,952 | | | | 60,285,282 | | | | 67,529,906 | | | | (3,449 | ) |
Investment securities of affiliated issuers | | | — | | | | 796,858 | | | | — | | | | — | |
Transactions in investment securities of controlled affiliated issuers | | | — | | | | — | | | | (2,562 | ) | | | — | |
Foreign currency and foreign currency transactions | | | (921 | ) | | | 246,975 | | | | 1,685,811 | | | | (50,561 | ) |
Forward foreign currency exchange contracts | | | 81,697 | | | | (306,462 | ) | | | (1,553,526 | ) | | | (109,421 | ) |
Futures contracts | | | (297,164 | ) | | | (517,868 | ) | | | 130,738 | | | | 179,103 | |
Short positions in securities | | | (791,168 | ) | | | (27,605,627 | ) | | | (12,443,688 | ) | | | — | |
Swap contracts | | | 291,018 | | | | 4,347,053 | | | | 9,930,499 | | | | 890,183 | |
Option contracts written | | | 35,537 | | | | — | | | | — | | | | — | |
| Net change in unrealized appreciation (depreciation) | | | 338,951 | | | | 37,246,211 | | | | 65,277,178 | | | | 905,855 | |
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | | | (340,155 | ) | | | 26,671,398 | | | | 100,576,381 | | | | (769,304 | ) |
| Net increase (decrease) in net assets resulting from operations | | $ | (357,625 | ) | | $ | 27,672,826 | | | $ | 89,463,851 | | | $ | (924,811 | ) |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | $ | 5,880 | | | $ | 2,370 | | | $ | 1,553,177 | | | $ | — | |
| | * | Commencement of operations. |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
234
| | |
| Statements of Operations | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR
LONG-SHORT
EQUITY
FUND | | | AQR
MULTI-
STRATEGY
ALTERNATIVE
FUND** | | | AQR RISK-
BALANCED
COMMODITIES
STRATEGY
FUND** | | | AQR
RISK
PARITY
FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
Dividend income: | | | | | | | | | | | | | | | | |
Unaffiliated issuers† | | $ | 34,949,665 | | | $ | 31,620,551 | | | $ | 741,048 | | | $ | 1,408,140 | |
Controlled affiliated issuers | | | 10,489,329 | | | | 6,927,816 | | | | — | | | | — | |
Interest income | | | 14,808,802 | | | | 13,791,128 | | | | 747,255 | | | | 3,569,041 | |
| Total Income | | | 60,247,796 | | | | 52,339,495 | | | | 1,488,303 | | | | 4,977,181 | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 46,489,479 | | | | 60,101,197 | | | | 1,636,886 | | | | 3,329,254 | |
Custody fees | | | 153,512 | | | | 108,605 | | | | 21,732 | | | | 57,049 | |
Administration & accounting fees | | | 1,191,053 | | | | 1,064,202 | | | | 64,913 | | | | 137,544 | |
Legal fees | | | 95,043 | | | | 90,776 | | | | 9,063 | | | | 11,716 | |
Audit & tax fees | | | 118,333 | | | | 196,194 | | | | 90,602 | | | | 116,545 | |
Shareholder reporting fees | | | 455,327 | | | | 402,363 | | | | 18,021 | | | | 18,173 | |
Transfer agent fees | | | 3,598,966 | | | | 2,449,810 | | | | 97,237 | | | | 332,970 | |
Trustee fees | | | 110,875 | | | | 97,713 | | | | 11,540 | | | | 17,750 | |
Distribution fees—Class N | | | 881,533 | | | | 1,132,721 | | | | 18,097 | | | | 42,708 | |
Dividends and interest on securities sold short (Note 4) | | | 31,210,370 | | | | 11,143,895 | | | | — | | | | — | |
Recoupment of waiver | | | 233,277 | | | | 327,336 | | | | 21,505 | | | | 41,032 | |
Registration fees | | | 532,578 | | | | 172,392 | | | | 70,003 | | | | 62,641 | |
Pricing fee | | | 22,731 | | | | 26,882 | | | | 103 | | | | 20,151 | |
Other expenses | | | 108,032 | | | | 115,137 | | | | 9,129 | | | | 15,340 | |
| Total Expenses | | | 85,201,109 | | | | 77,429,223 | | | | 2,068,831 | | | | 4,202,873 | |
| | | | |
Less fee waivers and/or reimbursements | | | — | | | | — | | | | (124,095 | ) | | | (61,828 | ) |
| Net Expenses | | | 85,201,109 | | | | 77,429,223 | | | | 1,944,736 | | | | 4,141,045 | |
| Net Investment Income (Loss) | | | (24,953,313 | ) | | | (25,089,728 | ) | | | (456,433 | ) | | | 836,136 | |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Transactions in investment securities of unaffiliated issuers | | | 110,078,629 | | | | 58,389,521 | | | | (2,440 | ) | | | 477,467 | |
Transactions in investment securities of controlled affiliated issuers | | | — | | | | (66,891 | ) | | | — | | | | — | |
Settlement of foreign currency and foreign currency transactions | | | 326,339 | | | | 1,545,618 | | | | — | | | | (779,290 | ) |
Settlement of forward foreign currency contracts | | | 27,915,875 | | | | (57,424,994 | ) | | | — | | | | (1,754,118 | ) |
Expiration or closing of futures contracts | | | 317,159,448 | | | | (29,881,798 | ) | | | 13,433,435 | | | | 32,380,060 | |
Closed short positions in securities | | | (164,481,523 | ) | | | (48,051,334 | ) | | | — | | | | — | |
Expiration or closing of swap contracts | | | 59,368,452 | | | | 239,826,545 | | | | (2,593,218 | ) | | | 25,472,768 | |
Expiration or closing of option contracts written | | | — | | | | 1,190,583 | | | | — | | | | — | |
| Net realized gain (loss) | | | 350,367,220 | | | | 165,527,250 | | | | 10,837,777 | | | | 55,796,887 | |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investment securities of unaffiliated issuers | | | 171,548,194 | | | | 98,485,936 | | | | (11,567 | ) | | | 6,106,255 | |
Foreign currency and foreign currency transactions | | | 2,167,069 | | | | 7,238,422 | | | | — | | | | (432,117 | ) |
Forward foreign currency exchange contracts | | | 12,999,145 | | | | 2,135,703 | | | | — | | | | (736,538 | ) |
Futures contracts | | | 6,082,137 | | | | 1,629,360 | | | | 10,498,367 | | | | 4,268,866 | |
Short positions in securities | | | (36,874,499 | ) | | | (105,428,554 | ) | | | — | | | | — | |
Swap contracts | | | 143,863,421 | | | | (42,681,727 | ) | | | (904,771 | ) | | | 1,610,249 | |
Option contracts written | | | — | | | | (824,390 | ) | | | — | | | | — | |
| Net change in unrealized appreciation (depreciation) | | | 299,785,467 | | | | (39,445,250 | ) | | | 9,582,029 | | | | 10,816,715 | |
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | | | 650,152,687 | | | | 126,082,000 | | | | 20,419,806 | | | | 66,613,602 | |
| Net increase (decrease) in net assets resulting from operations | | $ | 625,199,374 | | | $ | 100,992,272 | | | $ | 19,963,373 | | | $ | 67,449,738 | |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | $ | 3,702,498 | | | $ | 758,539 | | | $ | — | | | $ | 75,588 | |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
235
| | |
| Statements of Operations | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR
RISK
PARITY II
HV FUND** | | | AQR
RISK
PARITY II
MV FUND** | | | AQR
STYLE
PREMIA
ALTERNATIVE
FUND** | | | AQR
STYLE
PREMIA
ALTERNATIVE
LV FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | |
| INVESTMENT INCOME: | | | | | | | | | | | | | | | | |
Dividend income: | | | | | | | | | | | | | | | | |
Unaffiliated issuers† | | $ | 178,772 | | | $ | 270,692 | | | $ | 46,514,224 | | | $ | 3,886,839 | |
Controlled affiliated issuers
| | | — | | | | — | | | | 6,728,379 | | | | — | |
Interest income | | | 671,407 | | | | 688,284 | | | | 8,577,581 | | | | 1,095,962 | |
| Total Income | | | 850,179 | | | | 958,976 | | | | 61,820,184 | | | | 4,982,801 | |
| EXPENSES: | | | | | | | | | | | | | | | | |
Investment advisory fees | | | 542,655 | | | | 615,989 | | | | 56,164,645 | | | | 2,759,186 | |
Custody fees | | | 17,848 | | | | 19,139 | | | | 102,095 | | | | 19,994 | |
Administration & accounting fees | | | 18,316 | | | | 26,243 | | | | 1,269,670 | | | | 131,710 | |
Legal fees | | | 4,077 | | | | 5,116 | | | | 104,334 | | | | — | |
Audit & tax fees | | | 110,693 | | | | 105,732 | | | | 146,120 | | | | 133,402 | |
Shareholder reporting fees | | | 5,345 | | | | 6,838 | | | | 445,032 | | | | 48,483 | |
Transfer agent fees | | | 49,490 | | | | 84,436 | | | | 2,486,318 | | | | 283,035 | |
Trustee fees | | | 7,545 | | | | 8,241 | | | | 115,449 | | | | 17,214 | |
Distribution fees—Class N | | | 21,445 | | | | 10,023 | | | | 453,961 | | | | 93,545 | |
| Dividends and interest on securities sold short and reverse repurchase agreements (Note 4) | | | 130,670 | | | | — | | | | 29,870,616 | | | | 1,634,378 | |
Recoupment of waiver | | | — | | | | 4,210 | | | | — | | | | 361 | |
Registration fees | | | 58,994 | | | | 65,758 | | | | 394,684 | | | | 100,230 | |
Pricing fee | | | 10 | | | | 15 | | | | 22,441 | | | | 22,417 | |
Other expenses | | | 3,992 | | | | 4,890 | | | | 135,545 | | | | 14,579 | |
| Total Expenses | | | 971,080 | | | | 956,630 | | | | 91,710,910 | | | | 5,258,534 | |
| | | | |
Less fee waivers and/or reimbursements | | | (184,982 | ) | | | (178,721 | ) | | | (588,080 | ) | | | (73,264 | ) |
| Net Expenses | | | 786,098 | | | | 777,909 | | | | 91,122,830 | | | | 5,185,270 | |
| Net Investment Income (Loss) | | | 64,081 | | | | 181,067 | | | | (29,302,646 | ) | | | (202,469 | ) |
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | | | | | | | | | |
Transactions in investment securities of unaffiliated issuers | | | 84,561 | | | | 58,508 | | | | 150,900,383 | | | | 8,680,769 | |
Transactions in investment securities of controlled affiliated issuers | | | — | | | | — | | | | (60,861 | ) | | | — | |
Settlement of foreign currency and foreign currency transactions | | | 9,473 | | | | 16,587 | | | | 1,211,957 | | | | 72,218 | |
Settlement of forward foreign currency contracts | | | (1,073,750 | ) | | | (974,700 | ) | | | 23,100,288 | | | | 1,306,733 | |
Expiration or closing of futures contracts | | | 7,198,844 | | | | 7,267,185 | | | | 54,895,146 | | | | 1,752,985 | |
Closed short positions in securities | | | — | | | | — | | | | (165,303,604 | ) | | | (9,438,723 | ) |
Expiration or closing of swap contracts | | | 1,578,476 | | | | 1,557,749 | | | | 232,688,537 | | | | 14,975,616 | |
| Net realized gain (loss) | | | 7,797,604 | | | | 7,925,329 | | | | 297,431,846 | | | | 17,349,598 | |
| | | | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | | | | | | | | | |
Investment securities of unaffiliated issuers | | | 1,334,702 | | | | 1,221,328 | | | | 210,365,313 | | | | 11,006,833 | |
Foreign currency and foreign currency transactions | | | 6,425 | | | | 7,058 | | | | (169,863 | ) | | | 61,747 | |
Forward foreign currency exchange contracts | | | (316,550 | ) | | | (295,630 | ) | | | (6,281,178 | ) | | | (357,345 | ) |
Futures contracts | | | 783,676 | | | | 768,085 | | | | 53,405,588 | | | | 2,976,514 | |
Short positions in securities | | | — | | | | — | | | | (80,465,218 | ) | | | (4,085,937 | ) |
Swap contracts | | | (189,526 | ) | | | (176,220 | ) | | | 37,206,231 | | | | 1,769,923 | |
| Net change in unrealized appreciation (depreciation) | | | 1,618,727 | | | | 1,524,621 | | | | 214,060,873 | | | | 11,371,735 | |
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | | | 9,416,331 | | | | 9,449,950 | | | | 511,492,719 | | | | 28,721,333 | |
| Net increase (decrease) in net assets resulting from operations | | $ | 9,480,412 | | | $ | 9,631,017 | | | $ | 482,190,073 | | | $ | 28,518,864 | |
| | | | | | | | | | | | | | | | | |
† Net of foreign taxes withheld of | | $ | 2,205 | | | $ | 2,781 | | | $ | 4,477,776 | | | $ | 233,773 | |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
236
| | |
| Statements of Changes in Net Assets | | December 31, 2017 |
| | | | | | | | | | | | |
| | | AQR
ALTERNATIVE
RISK PREMIA
FUND | | | AQR DIVERSIFIED
ARBITRAGE FUND | |
| | | FOR THE PERIOD
9/19/17*-
12/31/17 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | |
| OPERATIONS: | |
Net investment income (loss) | | $ | (17,470 | ) | | $ | 1,001,428 | | | $ | 4,324,396 | |
Net realized gain (loss) | | | (679,106 | ) | | | (10,574,813 | ) | | | (54,241,603 | ) |
Net change in unrealized appreciation (depreciation) | | | 338,951 | | | | 37,246,211 | | | | 79,131,274 | |
Net increase (decrease) in net assets resulting from operations | | | (357,625 | ) | | | 27,672,826 | | | | 29,214,067 | |
|
| DISTRIBUTIONS TO SHAREHOLDERS: | |
| Net investment income: | | | | | | | | | | | | |
Class I | | | — | | | | (26,664,397 | ) | | | (26,188,748 | ) |
Class N | | | — | | | | (5,145,014 | ) | | | (6,707,013 | ) |
Class R6 | | | — | | | | (558,283 | ) | | | (340,939 | ) |
Total | | | — | | | | (32,367,694 | ) | | | (33,236,700 | ) |
Total distributions | | | — | | | | (32,367,694 | ) | | | (33,236,700 | ) |
|
| CAPITAL TRANSACTIONS: | |
| CLASS I | | | | | | | | | | | | |
Proceeds from shares sold | | | 29,460,090 | | | | 159,039,676 | | | | 154,211,452 | |
Reinvestment of distributions | | | — | | | | 15,220,267 | | | | 16,337,336 | |
Cost of shares redeemed | | | (2,476,748 | ) | | | (142,617,620 | ) | | | (578,275,502 | ) |
Net increase (decrease) from capital transactions | | | 26,983,342 | | | | 31,642,323 | | | | (407,726,714 | ) |
| CLASS N | | | | | | | | | | | | |
Proceeds from shares sold | | | 2,408,539 | | | | 19,139,174 | | | | 22,349,404 | |
Reinvestment of distributions | | | — | | | | 5,124,877 | | | | 6,680,121 | |
Cost of shares redeemed | | | (870,459 | ) | | | (48,486,010 | ) | | | (111,843,544 | ) |
Net increase (decrease) from capital transactions | | | 1,538,080 | | | | (24,221,959 | ) | | | (82,814,019 | ) |
| CLASS R6 | | | | | | | | | | | | |
Proceeds from shares sold | | | 51,685,926 | | | | 3,691,438 | | | | 5,261,147 | |
Reinvestment of distributions | | | — | | | | 558,283 | | | | 340,939 | |
Cost of shares redeemed | | | (1,641,920 | ) | | | (830,613 | ) | | | (1,310,714 | ) |
Net increase (decrease) from capital transactions | | | 50,044,006 | | | | 3,419,108 | | | | 4,291,372 | |
Net increase (decrease) in net assets resulting from capital transactions | | | 78,565,428 | | | | 10,839,472 | | | | (486,249,361 | ) |
Total increase (decrease) in net assets | | | 78,207,803 | | | | 6,144,604 | | | | (490,271,994 | ) |
|
| NET ASSETS: | |
Beginning of period | | | — | | | | 466,017,251 | | | | 956,289,245 | |
End of period | | $ | 78,207,803 | | | $ | 472,161,855 | | | $ | 466,017,251 | |
| | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | $ | (57,561 | ) | | $ | (22,420,553 | ) | | $ | (10,949,212 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 238) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
237
| | |
| Statements of Changes in Net Assets | | December 31, 2017 |
| | | | | | | | | | | | |
| | | AQR
ALTERNATIVE
RISK PREMIA
FUND | | | AQR DIVERSIFIED
ARBITRAGE FUND | |
| | | FOR THE PERIOD
9/19/17*-
12/31/17 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | |
| CHANGES IN SHARES OUTSTANDING: | |
| CLASS I | |
Shares outstanding, beginning of period | | | — | | | | 39,012,519 | | | | 83,828,615 | |
Shares sold | | | 2,928,020 | | | | 16,738,611 | | | | 16,606,801 | |
Shares issued on reinvestment of distributions | | | — | | | | 1,674,397 | | | | 1,793,341 | |
Shares redeemed | | | (245,738 | ) | | | (14,985,444 | ) | | | (63,216,238 | ) |
Shares outstanding, end of period | | | 2,682,282 | | | | 42,440,083 | | | | 39,012,519 | |
| CLASS N | |
Shares outstanding, beginning of period | | | — | | | | 10,932,154 | | | | 19,881,331 | |
Shares sold | | | 240,206 | | | | 2,021,912 | | | | 2,425,460 | |
Shares issued on reinvestment of distributions | | | — | | | | 563,793 | | | | 733,273 | |
Shares redeemed | | | (86,477 | ) | | | (5,102,047 | ) | | | (12,107,910 | ) |
Shares outstanding, end of period | | | 153,729 | | | | 8,415,812 | | | | 10,932,154 | |
| CLASS R6 | |
Shares outstanding, beginning of period | | | — | | | | 560,186 | | | | 94,204 | |
Shares sold | | | 5,135,575 | | | | 389,979 | | | | 569,248 | |
Shares issued on reinvestment of distributions | | | — | | | | 61,552 | | | | 37,507 | |
Shares redeemed | | | (163,213 | ) | | | (86,822 | ) | | | (140,773 | ) |
Shares outstanding, end of period | | | 4,972,362 | | | | 924,895 | | | | 560,186 | |
| | * | Commencement of operations. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
238
| | |
| Statements of Changes in Net Assets | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR EQUITY MARKET
NEUTRAL FUND | | | AQR GLOBAL MACRO FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | |
| OPERATIONS: | |
Net investment income (loss) | | $ | (11,112,530 | ) | | $ | (9,725,321 | ) | | $ | (155,507 | ) | | $ | (445,659 | ) |
Net realized gain (loss) | | | 35,299,203 | | | | (28,609,234 | ) | | | (1,675,159 | ) | | | 1,091,247 | |
Net change in unrealized appreciation (depreciation) | | | 65,277,178 | | | | 83,730,375 | | | | 905,855 | | | | (1,140,871 | ) |
Net increase (decrease) in net assets resulting from operations | | | 89,463,851 | | | | 45,395,820 | | | | (924,811 | ) | | | (495,283 | ) |
|
| DISTRIBUTIONS TO SHAREHOLDERS: | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (51,647,198 | ) | | | (11,191,080 | ) | | | (4,091 | ) | | | — | |
Class N | | | (11,886,225 | ) | | | (1,759,993 | ) | | | — | | | | — | |
Class R6 | | | (10,859,269 | ) | | | (2,728,650 | ) | | | (16,957 | ) | | | — | |
Total | | | (74,392,692 | ) | | | (15,679,723 | ) | | | (21,048 | ) | | | — | |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | — | | | | (59,855 | ) | | | — | | | | (1,147,757 | ) |
Class N | | | — | | | | (12,009 | ) | | | — | | | | (197,405 | ) |
Class R6 | | | — | | | | (14,027 | ) | | | — | | | | (249,638 | ) |
Total | | | — | | | | (85,891 | ) | | | — | | | | (1,594,800 | ) |
Total distributions | | | (74,392,692 | ) | | | (15,765,614 | ) | | | (21,048 | ) | | | (1,594,800 | ) |
|
| CAPITAL TRANSACTIONS: | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 1,080,261,350 | | | | 830,628,301 | | | | 9,413,713 | | | | 12,508,088 | |
Reinvestment of distributions | | | 40,825,774 | | | | 8,810,805 | | | | 4,091 | | | | 1,101,710 | |
Cost of shares redeemed | | | (376,083,911 | ) | | | (250,648,937 | ) | | | (18,482,929 | ) | | | (24,519,868 | ) |
Net increase (decrease) from capital transactions | | | 745,003,213 | | | | 588,790,169 | | | | (9,065,125 | ) | | | (10,910,070 | ) |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 319,225,684 | | | | 261,246,001 | | | | 1,132,109 | | | | 6,267,519 | |
Reinvestment of distributions | | | 11,872,249 | | | | 1,715,084 | | | | — | | | | 197,405 | |
Cost of shares redeemed | | | (122,959,941 | ) | | | (201,987,284 | ) | | | (1,354,486 | ) | | | (23,859,907 | ) |
Net increase (decrease) from capital transactions | | | 208,137,992 | | | | 60,973,801 | | | | (222,377 | ) | | | (17,394,983 | ) |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 215,624,249 | | | | 193,413,965 | | | | 9,732,823 | | | | 5,440,435 | |
Reinvestment of distributions | | | 3,793,780 | | | | 1,292,551 | | | | 16,957 | | | | 249,600 | |
Cost of shares redeemed | | | (72,646,247 | ) | | | (21,264,966 | ) | | | (18,553 | ) | | | (1,126,806 | ) |
Net increase (decrease) from capital transactions | | | 146,771,782 | | | | 173,441,550 | | | | 9,731,227 | | | | 4,563,229 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 1,099,912,987 | | | | 823,205,520 | | | | 443,725 | | | | (23,741,824 | ) |
Total increase (decrease) in net assets | | | 1,114,984,146 | | | | 852,835,726 | | | | (502,134 | ) | | | (25,831,907 | ) |
|
| NET ASSETS: | |
Beginning of period | | | 1,122,051,001 | | | | 269,215,275 | | | | 26,563,436 | | | | 52,395,343 | |
End of period | | $ | 2,237,035,147 | | | $ | 1,122,051,001 | | | $ | 26,061,302 | | | $ | 26,563,436 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | $ | (76,996,769 | ) | | $ | (46,484,619 | ) | | $ | (78,678 | ) | | $ | 172,772 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 240) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
239
| | |
| Statements of Changes in Net Assets | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR EQUITY MARKET
NEUTRAL FUND | | | AQR GLOBAL MACRO FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | |
| CHANGES IN SHARES OUTSTANDING: | |
| CLASS I | |
Shares outstanding, beginning of period | | | 66,027,774 | | | | 15,613,151 | | | | 2,093,720 | | | | 3,276,016 | |
Shares sold | | | 88,121,432 | | | | 71,219,176 | | | | 1,070,707 | | | | 1,295,462 | |
Shares issued on reinvestment of distributions | | | 3,276,547 | | | | 740,404 | | | | 469 | | | | 120,274 | |
Shares redeemed | | | (30,685,362 | ) | | | (21,544,957 | ) | | | (2,113,265 | ) | | | (2,598,032 | ) |
Shares outstanding, end of period | | | 126,740,391 | | | | 66,027,774 | | | | 1,051,631 | | | | 2,093,720 | |
| CLASS N | |
Shares outstanding, beginning of period | | | 12,899,700 | | | | 7,826,988 | | | | 357,773 | | | | 2,181,378 | |
Shares sold | | | 25,393,645 | | | | 22,415,067 | | | | 130,287 | | | | 653,532 | |
Shares issued on reinvestment of distributions | | | 955,897 | | | | 144,246 | | | | — | | | | 21,717 | |
Shares redeemed | | | (9,951,735 | ) | | | (17,486,601 | ) | | | (153,942 | ) | | | (2,498,854 | ) |
Shares outstanding, end of period | | | 29,297,507 | | | | 12,899,700 | | | | 334,118 | | | | 357,773 | |
| CLASS R6 | |
Shares outstanding, beginning of period | | | 14,839,955 | | | | 12,859 | | | | 482,492 | | | | 10,855 | |
Shares sold | | | 17,476,921 | | | | 16,548,221 | | | | 1,114,858 | | | | 562,070 | |
Shares issued on reinvestment of distributions | | | 304,477 | | | | 108,526 | | | | 1,945 | | | | 27,249 | |
Shares redeemed | | | (5,940,231 | ) | | | (1,829,651 | ) | | | (2,103 | ) | | | (117,682 | ) |
Shares outstanding, end of period | | | 26,681,122 | | | | 14,839,955 | | | | 1,597,192 | | | | 482,492 | |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
240
| | |
| Statements of Changes in Net Assets | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR LONG-SHORT
EQUITY FUND | | | AQR MULTI-STRATEGY
ALTERNATIVE FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | |
| OPERATIONS: | |
Net investment income (loss) | | $ | (24,953,313 | ) | | $ | (15,756,874 | ) | | $ | (25,089,728 | ) | | $ | (37,816,221 | ) |
Net realized gain (loss) | | | 350,367,220 | | | | 75,392,875 | | | | 165,527,250 | | | | (9,526,359 | ) |
Net change in unrealized appreciation (depreciation) | | | 299,785,467 | | | | 114,669,664 | | | | (39,445,250 | ) | | | 48,509,415 | |
Net increase (decrease) in net assets resulting from operations | | | 625,199,374 | | | | 174,305,665 | | | | 100,992,272 | | | | 1,166,835 | |
| | | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (155,690,395 | ) | | | (30,176,354 | ) | | | (127,847,201 | ) | | | (20,956,045 | ) |
Class N | | | (13,887,554 | ) | | | (4,706,896 | ) | | | (25,853,587 | ) | | | (4,106,578 | ) |
Class R6 | | | (36,742,265 | ) | | | (7,848,604 | ) | | | (38,661,644 | ) | | | (5,347,752 | ) |
Total | | | (206,320,214 | ) | | | (42,731,854 | ) | | | (192,362,432 | ) | | | (30,410,375 | ) |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | (195,742,211 | ) | | | (18,662,428 | ) | | | (31,061,805 | ) | | | (39,203,993 | ) |
Class N | | | (18,658,669 | ) | | | (3,169,455 | ) | | | (6,565,641 | ) | | | (7,682,473 | ) |
Class R6 | | | (45,336,865 | ) | | | (4,720,734 | ) | | | (9,250,786 | ) | | | (10,004,428 | ) |
Total | | | (259,737,745 | ) | | | (26,552,617 | ) | | | (46,878,232 | ) | | | (56,890,894 | ) |
Total distributions | | | (466,057,959 | ) | | | (69,284,471 | ) | | | (239,240,664 | ) | | | (87,301,269 | ) |
|
| CAPITAL TRANSACTIONS: | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 2,781,588,310 | | | | 1,714,249,271 | | | | 592,399,242 | | | | 1,640,556,468 | |
Reinvestment of distributions | | | 246,544,609 | | | | 37,971,044 | | | | 121,893,204 | | | | 41,668,005 | |
Cost of shares redeemed | | | (798,799,416 | ) | | | (485,335,729 | ) | | | (1,041,915,240 | ) | | | (1,489,688,316 | ) |
Net increase (decrease) from capital transactions | | | 2,229,333,503 | | | | 1,266,884,586 | | | | (327,622,794 | ) | | | 192,536,157 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 271,303,334 | | | | 289,678,694 | | | | 80,752,855 | | | | 472,919,773 | |
Reinvestment of distributions | | | 32,265,788 | | | | 7,839,548 | | | | 32,408,081 | | | | 11,784,766 | |
Cost of shares redeemed | | | (224,410,842 | ) | | | (111,888,155 | ) | | | (129,604,451 | ) | | | (107,164,483 | ) |
Net increase (decrease) from capital transactions | | | 79,158,280 | | | | 185,630,087 | | | | (16,443,515 | ) | | | 377,540,056 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 558,911,989 | | | | 456,865,260 | | | | 114,152,756 | | | | 693,614,602 | |
Reinvestment of distributions | | | 38,588,892 | | | | 6,782,137 | | | | 46,123,161 | | | | 14,120,098 | |
Cost of shares redeemed | | | (109,232,039 | ) | | | (40,383,757 | ) | | | (144,378,330 | ) | | | (182,572,738 | ) |
Net increase (decrease) from capital transactions | | | 488,268,842 | | | | 423,263,640 | | | | 15,897,587 | | | | 525,161,962 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 2,796,760,625 | | | | 1,875,778,313 | | | | (328,168,722 | ) | | | 1,095,238,175 | |
Total increase (decrease) in net assets | | | 2,955,902,040 | | | | 1,980,799,507 | | | | (466,417,114 | ) | | | 1,009,103,741 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 2,539,807,646 | | | | 559,008,139 | | | | 3,497,851,475 | | | | 2,488,747,734 | |
End of period | | $ | 5,495,709,686 | | | $ | 2,539,807,646 | | | $ | 3,031,434,361 | | | $ | 3,497,851,475 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | $ | (239,450,766 | ) | | $ | (57,791,007 | ) | | $ | (176,296,129 | ) | | $ | (254,308,705 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 242) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
241
| | |
| Statements of Changes in Net Assets | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR LONG-SHORT
EQUITY FUND | | | AQR MULTI-STRATEGY
ALTERNATIVE FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | |
| CHANGES IN SHARES OUTSTANDING: | |
| CLASS I | |
Shares outstanding, beginning of period | | | 137,770,452 | | | | 37,352,680 | | | | 253,175,292 | | | | 234,044,091 | |
Shares sold | | | 199,716,250 | | | | 136,071,032 | | | | 62,004,170 | | | | 170,130,941 | |
Shares issued on reinvestment of distributions | | | 17,485,434 | | | | 2,911,890 | | | | 13,394,858 | | | | 4,363,142 | |
Shares redeemed | | | (56,403,307 | ) | | | (38,565,150 | ) | | | (108,969,467 | ) | | | (155,362,882 | ) |
Shares outstanding, end of period | | | 298,568,829 | | | | 137,770,452 | | | | 219,604,853 | | | | 253,175,292 | |
| CLASS N | |
Shares outstanding, beginning of period | | | 22,112,585 | | | | 7,468,130 | | | | 49,655,549 | | | | 10,628,943 | |
Shares sold | | | 19,567,362 | | | | 23,006,638 | | | | 8,464,360 | | | | 49,000,755 | |
Shares issued on reinvestment of distributions | | | 2,303,054 | | | | 604,437 | | | | 3,581,003 | | | | 1,240,502 | |
Shares redeemed | | | (16,055,589 | ) | | | (8,966,620 | ) | | | (13,580,993 | ) | | | (11,214,651 | ) |
Shares outstanding, end of period | | | 27,927,412 | | | | 22,112,585 | | | | 48,119,919 | | | | 49,655,549 | |
| CLASS R6 | |
Shares outstanding, beginning of period | | | 34,579,765 | | | | 1,335,480 | | | | 65,492,180 | | | | 10,345,164 | |
Shares sold | | | 39,728,027 | | | | 35,852,243 | | | | 11,858,560 | | | | 72,614,796 | |
Shares issued on reinvestment of distributions | | | 2,730,990 | | | | 519,306 | | | | 5,062,916 | | | | 1,476,997 | |
Shares redeemed | | | (7,586,118 | ) | | | (3,127,264 | ) | | | (15,015,208 | ) | | | (18,944,777 | ) |
Shares outstanding, end of period | | | 69,452,664 | �� | | | 34,579,765 | | | | 67,398,448 | | | | 65,492,180 | |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
242
| | |
| Statements of Changes in Net Assets | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR RISK-BALANCED
COMMODITIES STRATEGY FUND** | | | AQR RISK PARITY FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | |
| OPERATIONS: | |
Net investment income (loss) | | $ | (456,433 | ) | | $ | (1,064,934 | ) | | $ | 836,136 | | | $ | (1,058,063 | ) |
Net realized gain (loss) | | | 10,837,777 | | | | 21,095,231 | | | | 55,796,887 | | | | 35,336,470 | |
Net change in unrealized appreciation (depreciation) | | | 9,582,029 | | | | 1,495,116 | | | | 10,816,715 | | | | 11,516,218 | |
Net increase (decrease) in net assets resulting from operations | | | 19,963,373 | | | | 21,525,413 | | | | 67,449,738 | | | | 45,794,625 | |
| | | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (7,748 | ) | | | (4,217,596 | ) | | | (7,460,646 | ) | | | (8,365,046 | ) |
Class N | | | (670 | ) | | | (266,235 | ) | | | (312,807 | ) | | | (365,427 | ) |
Class R6 | | | (9,893 | ) | | | (4,773,617 | ) | | | (734,994 | ) | | | (825,764 | ) |
Total | | | (18,311 | ) | | | (9,257,448 | ) | | | (8,508,447 | ) | | | (9,556,237 | ) |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | — | | | | — | | | | (32,756,280 | ) | | | (15,160,890 | ) |
Class N | | | — | | | | — | | | | (1,571,227 | ) | | | (757,131 | ) |
Class R6 | | | — | | | | — | | | | (3,102,543 | ) | | | (1,446,368 | ) |
Total | | | — | | | | — | | | | (37,430,050 | ) | | | (17,364,389 | ) |
Total distributions | | | (18,311 | ) | | | (9,257,448 | ) | | | (45,938,497 | ) | | | (26,920,626 | ) |
|
| CAPITAL TRANSACTIONS: | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 30,798,302 | | | | 93,980,312 | | | | 92,782,113 | | | | 86,230,896 | |
Reinvestment of distributions | | | 6,204 | | | | 3,133,938 | | | | 38,834,250 | | | | 23,045,872 | |
Cost of shares redeemed | | | (44,888,455 | ) | | | (77,036,497 | ) | | | (84,102,767 | ) | | | (274,300,216 | ) |
Net increase (decrease) from capital transactions | | | (14,083,949 | ) | | | 20,077,753 | | | | 47,513,596 | | | | (165,023,448 | ) |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 3,479,417 | | | | 6,991,689 | | | | 8,383,608 | | | | 5,286,651 | |
Reinvestment of distributions | | | 670 | | | | 266,235 | | | | 1,884,034 | | | | 1,106,497 | |
Cost of shares redeemed | | | (3,711,574 | ) | | | (2,231,532 | ) | | | (11,247,752 | ) | | | (12,139,315 | ) |
Net increase (decrease) from capital transactions | | | (231,487 | ) | | | 5,026,392 | | | | (980,110 | ) | | | (5,746,167 | ) |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 22,487,772 | | | | 65,280,626 | | | | 2,890,454 | | | | 34,999,379 | |
Reinvestment of distributions | | | 6,667 | | | | 3,340,958 | | | | 3,837,537 | | | | 2,272,132 | |
Cost of shares redeemed | | | (25,453,423 | ) | | | (5,301,531 | ) | | | (2,393,569 | ) | | | (2,805,200 | ) |
Net increase (decrease) from capital transactions | | | (2,958,984 | ) | | | 63,320,053 | | | | 4,334,422 | | | | 34,466,311 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | (17,274,420 | ) | | | 88,424,198 | | | | 50,867,908 | | | | (136,303,304 | ) |
Total increase (decrease) in net assets | | | 2,670,642 | | | | 100,692,163 | | | | 72,379,149 | | | | (117,429,305 | ) |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 203,218,551 | | | | 102,526,388 | | | | 400,348,661 | | | | 517,777,966 | |
End of period | | $ | 205,889,193 | | | $ | 203,218,551 | | | $ | 472,727,810 | | | $ | 400,348,661 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | $ | 13,049,688 | | | $ | 1,810,504 | | | $ | (1,118,580 | ) | | $ | 5,462,016 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 244) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
243
| | |
| Statements of Changes in Net Assets | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR RISK-BALANCED
COMMODITIES STRATEGY FUND** | | | AQR RISK PARITY FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | |
| CHANGES IN SHARES OUTSTANDING: | |
| CLASS I | |
Shares outstanding, beginning of period | | | 15,023,251 | | | | 12,690,552 | | | | 37,411,773 | | �� | | 54,203,404 | |
Shares sold | | | 4,771,225 | | | | 15,068,409 | | | | 9,347,782 | | | | 8,965,775 | |
Shares issued on reinvestment of distributions | | | 947 | | | | 502,234 | | | | 4,020,109 | | | | 2,491,445 | |
Shares redeemed | | | (7,070,084 | ) | | | (13,237,944 | ) | | | (8,452,898 | ) | | | (28,248,851 | ) |
Shares outstanding, end of period | | | 12,725,339 | | | | 15,023,251 | | | | 42,326,766 | | | | 37,411,773 | |
| CLASS N | |
Shares outstanding, beginning of period | | | 1,167,206 | | | | 374,027 | | | | 1,827,019 | | | | 2,424,293 | |
Shares sold | | | 547,782 | | | | 1,101,418 | | | | 830,983 | | | | 551,916 | |
Shares issued on reinvestment of distributions | | | 103 | | | | 43,150 | | | | 195,439 | | | | 119,751 | |
Shares redeemed | | | (605,512 | ) | | | (351,389 | ) | | | (1,151,910 | ) | | | (1,268,941 | ) |
Shares outstanding, end of period | | | 1,109,579 | | | | 1,167,206 | | | | 1,701,531 | | | | 1,827,019 | |
| CLASS R6 | |
Shares outstanding, beginning of period | | | 16,318,860 | | | | 5,175,399 | | | | 3,638,709 | | | | 307,370 | |
Shares sold | | | 3,585,028 | | | | 11,426,208 | | | | 303,627 | | | | 3,396,345 | |
Shares issued on reinvestment of distributions | | | 1,015 | | | | 534,553 | | | | 397,260 | | | | 245,371 | |
Shares redeemed | | | (3,950,188 | ) | | | (817,300 | ) | | | (243,171 | ) | | | (310,377 | ) |
Shares outstanding, end of period | | | 15,954,715 | | | | 16,318,860 | | | | 4,096,425 | | | | 3,638,709 | |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
244
| | |
| Statements of Changes in Net Assets | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR RISK PARITY II HV FUND** | | | AQR RISK PARITY II MV FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | |
| OPERATIONS: | |
Net investment income (loss) | | $ | 64,081 | | | $ | (151,494 | ) | | $ | 181,067 | | | $ | (222,445 | ) |
Net realized gain (loss) | | | 7,797,604 | | | | 4,585,967 | | | | 7,925,329 | | | | 6,306,756 | |
Net change in unrealized appreciation (depreciation) | | | 1,618,727 | | | | 1,220,264 | | | | 1,524,621 | | | | 1,833,527 | |
Net increase (decrease) in net assets resulting from operations | | | 9,480,412 | | | | 5,654,737 | | | | 9,631,017 | | | | 7,917,838 | |
| | | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (167,670 | ) | | | (627,027 | ) | | | (127,613 | ) | | | (727,667 | ) |
Class N | | | (80,039 | ) | | | (70,031 | ) | | | (4,594 | ) | | | (38,536 | ) |
Class R6 | | | (2,754 | ) | | | (36,784 | ) | | | (1,094 | ) | | | (6,409 | ) |
Total | | | (250,463 | ) | | | (733,842 | ) | | | (133,301 | ) | | | (772,612 | ) |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | (4,177,994 | ) | | | (1,299,453 | ) | | | (6,262,860 | ) | | | (2,123,563 | ) |
Class N | | | (1,994,405 | ) | | | (179,001 | ) | | | (225,476 | ) | | | (160,468 | ) |
Class R6 | | | (68,617 | ) | | | (73,147 | ) | | | (53,679 | ) | | | (17,038 | ) |
Total | | | (6,241,016 | ) | | | (1,551,601 | ) | | | (6,542,015 | ) | | | (2,301,069 | ) |
Total distributions | | | (6,491,479 | ) | | | (2,285,443 | ) | | | (6,675,316 | ) | | | (3,073,681 | ) |
|
| CAPITAL TRANSACTIONS: | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 15,110,513 | | | | 26,776,206 | | | | 7,101,891 | | | | 29,159,017 | |
Reinvestment of distributions | | | 3,036,675 | | | | 1,709,991 | | | | 5,580,145 | | | | 2,671,414 | |
Cost of shares redeemed | | | (28,964,516 | ) | | | (26,035,541 | ) | | | (16,281,871 | ) | | | (43,280,962 | ) |
Net increase (decrease) from capital transactions | | | (10,817,328 | ) | | | 2,450,656 | | | | (3,599,835 | ) | | | (11,450,531 | ) |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 16,904,780 | | | | 2,390,229 | | | | 208,795 | | | | 5,931,482 | |
Reinvestment of distributions | | | 2,074,444 | | | | 248,801 | | | | 230,070 | | | | 198,845 | |
Cost of shares redeemed | | | (6,275,267 | ) | | | (1,987,408 | ) | | | (3,521,633 | ) | | | (5,128,783 | ) |
Net increase (decrease) from capital transactions | | | 12,703,957 | | | | 651,622 | | | | (3,082,768 | ) | | | 1,001,544 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 166,683 | | | | 2,498,129 | | | | — | | | | 467,405 | |
Reinvestment of distributions | | | 62,917 | | | | 106,924 | | | | 54,773 | | | | 23,447 | |
Cost of shares redeemed | | | (2,725,155 | ) | | | (2,326,557 | ) | | | (5,041 | ) | | | (5,000 | ) |
Net increase (decrease) from capital transactions | | | (2,495,555 | ) | | | 278,496 | | | | 49,732 | | | | 485,852 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | (608,926 | ) | | | 3,380,774 | | | | (6,632,871 | ) | | | (9,963,135 | ) |
Total increase (decrease) in net assets | | | 2,380,007 | | | | 6,750,068 | | | | (3,677,170 | ) | | | (5,118,978 | ) |
|
| NET ASSETS: | |
Beginning of period | | | 55,545,999 | | | | 48,795,931 | | | | 85,139,739 | | | | 90,258,717 | |
End of period | | $ | 57,926,006 | | | $ | 55,545,999 | | | $ | 81,462,569 | | | $ | 85,139,739 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | $ | (29,980 | ) | | $ | 406,197 | | | $ | 148,842 | | | $ | 341,732 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 246) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
245
| | |
| Statements of Changes in Net Assets | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR RISK PARITY II HV FUND** | | | AQR RISK PARITY II MV FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | |
| CHANGES IN SHARES OUTSTANDING: | |
| CLASS I | |
Shares outstanding, beginning of period | | | 5,479,411 | | | | 5,250,810 | | | | 8,787,446 | | | | 10,090,660 | |
Shares sold | | | 1,691,028 | | | | 3,133,414 | | | | 762,186 | | | | 3,215,809 | |
Shares issued on reinvestment of distributions | | | 352,283 | | | | 206,023 | | | | 613,877 | | | | 300,497 | |
Shares redeemed | | | (3,163,860 | ) | | | (3,110,836 | ) | | | (1,741,370 | ) | | | (4,819,520 | ) |
Shares outstanding, end of period | | | 4,358,862 | | | | 5,479,411 | | | | 8,422,139 | | | | 8,787,446 | |
| CLASS N | |
Shares outstanding, beginning of period | | | 780,920 | | | | 704,394 | | | | 632,594 | | | | 499,865 | |
Shares sold | | | 1,761,444 | | | | 281,645 | | | | 22,607 | | | | 668,526 | |
Shares issued on reinvestment of distributions | | | 241,214 | | | | 29,940 | | | | 25,478 | | | | 22,443 | |
Shares redeemed | | | (697,147 | ) | | | (235,059 | ) | | | (378,157 | ) | | | (558,240 | ) |
Shares outstanding, end of period | | | 2,086,431 | | | | 780,920 | | | | 302,522 | | | | 632,594 | |
| CLASS R6 | |
Shares outstanding, beginning of period | | | 337,040 | | | | 310,087 | | | | 67,769 | | | | 11,671 | |
Shares sold | | | 18,874 | | | | 314,776 | | | | — | | | | 54,018 | |
Shares issued on reinvestment of distributions | | | 7,299 | | | | 12,898 | | | | 6,026 | | | | 2,640 | |
Shares redeemed | | | (277,004 | ) | | | (300,721 | ) | | | (542 | ) | | | (560 | ) |
Shares outstanding, end of period | | | 86,209 | | | | 337,040 | | | | 73,253 | | | | 67,769 | |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
246
| | |
| Statements of Changes in Net Assets | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR STYLE PREMIA
ALTERNATIVE FUND** | | | AQR STYLE PREMIA
ALTERNATIVE LV FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | |
| OPERATIONS: | |
Net investment income (loss) | | $ | (29,302,646 | ) | | $ | (38,653,409 | ) | | $ | (202,469 | ) | | $ | (1,995,602 | ) |
Net realized gain (loss) | | | 297,431,846 | | | | (224,319,004 | ) | | | 17,349,598 | | | | (7,790,440 | ) |
Net change in unrealized appreciation (depreciation) | | | 214,060,873 | | | | 236,995,010 | | | | 11,371,735 | | | | 10,768,951 | |
Net increase (decrease) in net assets resulting from operations | | | 482,190,073 | | | | (25,977,403 | ) | | | 28,518,864 | | | | 982,909 | |
| | | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | (198,173,947 | ) | | | (38,510,727 | ) | | | (16,573,601 | ) | | | (795,349 | ) |
Class N | | | (11,434,857 | ) | | | (3,276,100 | ) | | | (1,709,872 | ) | | | (118,822 | ) |
Class R6 | | | (107,819,061 | ) | | | (22,466,055 | ) | | | (4,676,131 | ) | | | (249,839 | ) |
Total | | | (317,427,865 | ) | | | (64,252,882 | ) | | | (22,959,604 | ) | | | (1,164,010 | ) |
| Net realized gain: | | | | | | | | | | | | | | | | |
Class I | | | — | | | | — | | | | — | | | | (508,606 | ) |
Class N | | | — | | | | — | | | | — | | | | (75,984 | ) |
Class R6 | | | — | | | | — | | | | — | | | | (159,765 | ) |
Total | | | — | | | | — | | | | — | | | | (744,355 | ) |
Total distributions | | | (317,427,865 | ) | | | (64,252,882 | ) | | | (22,959,604 | ) | | | (1,908,365 | ) |
|
| CAPITAL TRANSACTIONS: | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 1,236,903,921 | | | | 1,885,360,726 | | | | 175,105,320 | | | | 311,386,784 | |
Reinvestment of distributions | | | 173,061,541 | | | | 33,715,714 | | | | 16,205,243 | | | | 1,291,847 | |
Cost of shares redeemed | | | (813,602,935 | ) | | | (942,395,923 | ) | | | (109,840,424 | ) | | | (212,924,851 | ) |
Net increase (decrease) from capital transactions | | | 596,362,527 | | | | 976,680,517 | | | | 81,470,139 | | | | 99,753,780 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 56,223,970 | | | | 235,255,329 | | | | 10,005,272 | | | | 46,356,991 | |
Reinvestment of distributions | | | 11,321,176 | | | | 3,233,851 | | | | 1,707,961 | | | | 194,718 | |
Cost of shares redeemed | | | (87,214,527 | ) | | | (136,383,628 | ) | | | (19,255,880 | ) | | | (17,229,454 | ) |
Net increase (decrease) from capital transactions | | | (19,669,381 | ) | | | 102,105,552 | | | | (7,542,647 | ) | | | 29,322,255 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 500,805,412 | | | | 1,144,901,288 | | | | 11,556,130 | | | | 75,648,609 | |
Reinvestment of distributions | | | 94,724,682 | | | | 19,653,750 | | | | 4,676,131 | | | | 409,604 | |
Cost of shares redeemed | | | (391,172,273 | ) | | | (180,244,147 | ) | | | (14,732,984 | ) | | | (7,420,574 | ) |
Net increase (decrease) from capital transactions | | | 204,357,821 | | | | 984,310,891 | | | | 1,499,277 | | | | 68,637,639 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | 781,050,967 | | | | 2,063,096,960 | | | | 75,426,769 | | | | 197,713,674 | |
Total increase (decrease) in net assets | | | 945,813,175 | | | | 1,972,866,675 | | | | 80,986,029 | | | | 196,788,218 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 3,801,614,094 | | | | 1,828,747,419 | | | | 384,580,671 | | | | 187,792,453 | |
End of period | | $ | 4,747,427,269 | | | $ | 3,801,614,094 | | | $ | 465,566,700 | | | $ | 384,580,671 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | $ | (168,939,404 | ) | | $ | (140,791,266 | ) | | $ | (9,221,970 | ) | | $ | (5,437,448 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 248) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
247
| | |
| Statements of Changes in Net Assets | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR STYLE PREMIA
ALTERNATIVE FUND** | | | AQR STYLE PREMIA
ALTERNATIVE LV FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| CLASS I | |
Shares outstanding, beginning of period | | | 228,188,253 | | | | 132,222,963 | | | | 24,164,696 | | | | 14,645,410 | |
Shares sold | | | 119,718,870 | | | | 186,181,598 | | | | 16,492,368 | | | | 29,820,289 | |
Shares issued on reinvestment of distributions | | | 16,403,938 | | | | 3,391,923 | | | | 1,523,049 | | | | 123,977 | |
Shares redeemed | | | (79,557,593 | ) | | | (93,608,231 | ) | | | (10,381,555 | ) | | | (20,424,980 | ) |
Shares outstanding, end of period | | | 284,753,468 | | | | 228,188,253 | | | | 31,798,558 | | | | 24,164,696 | |
| CLASS N | |
Shares outstanding, beginning of period | | | 19,081,538 | | | | 9,168,045 | | | | 4,098,530 | | | | 1,294,548 | |
Shares sold | | | 5,470,866 | | | | 23,236,438 | | | | 947,010 | | | | 4,443,549 | |
Shares issued on reinvestment of distributions | | | 1,077,181 | | | | 326,322 | | | | 160,977 | | | | 18,759 | |
Shares redeemed | | | (8,497,812 | ) | | | (13,649,267 | ) | | | (1,839,402 | ) | | | (1,658,326 | ) |
Shares outstanding, end of period | | | 17,131,773 | | | | 19,081,538 | | | | 3,367,115 | | | | 4,098,530 | |
| CLASS R6 | |
Shares outstanding, beginning of period | | | 135,855,853 | | | | 38,861,071 | | | | 8,688,585 | | | | 2,132,230 | |
Shares sold | | | 48,436,461 | | | | 112,887,115 | | | | 1,094,697 | | | | 7,229,751 | |
Shares issued on reinvestment of distributions | | | 8,961,654 | | | | 1,975,251 | | | | 438,661 | | | | 39,272 | |
Shares redeemed | | | (38,238,467 | ) | | | (17,867,584 | ) | | | (1,337,051 | ) | | | (712,668 | ) |
Shares outstanding, end of period | | | 155,015,501 | | | | 135,855,853 | | | | 8,884,892 | | | | 8,688,585 | |
| | ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
248
| | |
| Statements of Cash Flows | | December 31, 2017 |
| | | | | | | | | | | | |
| | | AQR ALTERNATIVE RISK PREMIA FUND* | | | AQR DIVERSIFIED
ARBITRAGE FUND | | | AQR EQUITY
MARKET
NEUTRAL FUND | |
| CASH FLOWS FROM OPERATING ACTIVITIES: | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | (357,625 | ) | | $ | 27,672,826 | | | $ | 89,463,851 | |
| 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 | | | (75,347,882 | ) | | | (682,333,632 | ) | | | (599,826,641 | ) |
Payments to cover short positions in securities | | | (3,455,789 | ) | | | (210,385,776 | ) | | | (546,750,693 | ) |
Proceeds from short positions in securities | | | 66,064,329 | | | | 134,083,853 | | | | 636,862,973 | |
Proceeds from sale of securities | | | 1,455,870 | | | | 760,734,477 | | | | 499,218,319 | |
Proceeds from option contracts written | | | 416,819 | | | | 51,447 | | | | — | |
Payments to close option contracts written | | | (111,043 | ) | | | — | | | | — | |
(Purchases) sales of short-term investments, net | | | (58,774,974 | ) | | | (13,401,681 | ) | | | (797,085,949 | ) |
Realized (gain) loss on investments in securities | | | 114,696 | | | | (11,060,788 | ) | | | (55,293,384 | ) |
Realized (gain) loss on short positions in securities | | | 468,896 | | | | 23,841,412 | | | | 70,325,680 | |
Realized (gain) loss on option contracts written | | | (30,712 | ) | | | (51,447 | ) | | | — | |
Realized (gain) loss on paydowns | | | — | | | | (207 | ) | | | — | |
Change in unrealized (appreciation) depreciation on investments in securities | | | (1,019,952 | ) | | | (61,082,140 | ) | | | (67,527,344 | ) |
Change in unrealized (appreciation) depreciation on short positions in securities | | | 791,168 | | | | 27,605,627 | | | | 12,443,688 | |
Change in unrealized (appreciation) depreciation on option contracts written | | | (35,537 | ) | | | — | | | | — | |
Amortization (accretion) of bond premium (discount) | | | — | | | | (929,968 | ) | | | (3,563,925 | ) |
| (Increases) decreases in operating assets: | | | | | | | | | | | | |
Due from brokers | | | (2,750,134 | ) | | | 22,713,003 | | | | (261,836,685 | ) |
Deposits with brokers for futures contracts | | | (1,883,358 | ) | | | 306,011 | | | | (3,829,869 | ) |
Unrealized appreciation on forward foreign currency exchange contracts | | | (723,986 | ) | | | 199,715 | | | | 348,568 | |
Unrealized appreciation on OTC swaps | | | (315,909 | ) | | | (5,603,171 | ) | | | (12,832,348 | ) |
Deposits for securities sold short | | | — | | | | (4,062,867 | ) | | | — | |
Deposits for written options | | | (2,687,666 | ) | | | — | | | | — | |
Deposits with brokers for centrally cleared swaps | | | — | | | | (415,063 | ) | | | — | |
Variation margin on futures contracts | | | (11,308 | ) | | | (99,255 | ) | | | (429,488 | ) |
Receivable for securities sold | | | (22,697 | ) | | | (24,697 | ) | | | 42,703,382 | |
Foreign tax reclaim | | | (839 | ) | | | 8,029 | | | | (469,680 | ) |
Dividends and interest | | | (89,327 | ) | | | 66,331 | | | | (1,302,634 | ) |
Prepaid expenses | | | (75,218 | ) | | | 12,542 | | | | (49,938 | ) |
| Increases (decreases) in operating liabilities | | | | | | | | | | | | |
Due to broker | | | — | | | | 7,179,549 | | | | (1,630,000 | ) |
Unrealized depreciation on forward foreign currency exchange contracts | | | 642,289 | | | | 106,747 | | | | 1,204,958 | |
Unrealized depreciation on OTC swaps | | | 24,891 | | | | 1,694,158 | | | | 2,901,849 | |
Variation margin on centrally cleared swaps | | | — | | | | 9,419 | | | | — | |
Variation margin on futures contracts | | | 110,053 | | | | 10,197 | | | | — | |
Payable for securities purchased | | | 26,879 | | | | 4,038,396 | | | | (34,156,827 | ) |
Accrued investment advisory fees | | | 26,599 | | | | 22,794 | | | | 1,095,915 | |
Accrued distribution fees—Class N | | | 363 | | | | (5,040 | ) | | | 42,041 | |
Accrued Trustees fees | | | — | | | | (15 | ) | | | (14 | ) |
Dividends and Interest payable on securities sold short and reverse repurchase agreements | | | 46,683 | | | | 4,858 | | | | 341,207 | |
Other accrued expenses and liabilities | | | 55,751 | | | | (32,234 | ) | | | 481,094 | |
Net cash provided by (used in) operating activities | | $ | (77,448,670 | ) | | $ | 20,873,410 | | | $ | (1,029,151,894 | ) |
| | | |
| CASH FLOWS FROM FINANCING ACTIVITIES | | | | | | | | | | | | |
Proceeds from shares sold | | | 83,227,190 | | | | 181,244,086 | | | | 1,616,614,077 | |
Payments on shares redeemed | | | (4,989,127 | ) | | | (191,667,876 | ) | | | (567,310,109 | ) |
Cash distributions paid | | | — | | | | (11,464,267 | ) | | | (17,900,889 | ) |
Net cash provided by (used in) financing activities | | $ | 78,238,063 | | | $ | (21,888,057 | ) | | $ | 1,031,403,079 | |
| Net change in cash and cash denominated in foreign currencies | | | 789,393 | | | | (1,014,647 | ) | | | 2,251,185 | |
Cash, beginning of period | | | — | | | | 1,702,227 | | | | 5,795,599 | |
Cash, end of period** | | $ | 789,393 | | | $ | 687,580 | | | $ | 8,046,784 | |
| | * | For the period 9/19/2017-12/31/2017 |
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $27,331, $1,587,195 and $3,091,044.
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
249
| | |
| Statements of Cash Flows | | December 31, 2017 |
| | | | | | | | | | | | |
| | | AQR LONG-SHORT
EQUITY
FUND | | | AQR MULTI-
STRATEGY
ALTERNATIVE
FUND*** | | | AQR RISK
PARITY II
HV FUND*** | |
| CASH FLOWS FROM OPERATING ACTIVITIES: | | | | | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 625,199,374 | | | $ | 100,992,272 | | | $ | 9,480,412 | |
| 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 | | | (1,541,084,922 | ) | | | (447,342,085 | ) | | | (14,221,938 | ) |
Payments to cover short positions in securities | | | (1,323,885,446 | ) | | | (739,144,898 | ) | | | — | |
Proceeds from short positions in securities | | | 1,613,245,413 | | | | 412,664,931 | | | | — | |
Proceeds from sale of securities | | | 1,223,647,575 | | | | 1,065,280,319 | | | | 16,984,244 | |
(Purchases) sales of short-term investments, net | | | (2,722,401,058 | ) | | | (656,458,576 | ) | | | (4,422,223 | ) |
Realized (gain) loss on investments in securities | | | (110,078,629 | ) | | | (58,322,630 | ) | | | (84,561 | ) |
Realized (gain) loss on short positions in securities | | | 164,481,523 | | | | 48,051,334 | | | | — | |
Realized (gain) loss on option contracts written | | | — | | | | (1,190,583 | ) | | | — | |
Change in unrealized (appreciation) depreciation on investments in securities | | | (171,548,194 | ) | | | (98,485,936 | ) | | | (1,334,702 | ) |
Change in unrealized (appreciation) depreciation on short positions in securities | | | 36,874,499 | | | | 105,428,554 | | | | — | |
Change in unrealized (appreciation) depreciation on option contracts written | | | — | | | | 824,390 | | | | — | |
Amortization (accretion) of bond premium (discount) | | | (14,808,802 | ) | | | (2,110,536 | ) | | | (577,191 | ) |
| (Increases) decreases in operating assets: | | | | | | | | | | | | |
Due from brokers | | | (113,088,747 | ) | | | 840,566,822 | | | | 39,783 | |
Deposits with brokers for futures contracts | | | (34,742,613 | ) | | | 30,279,090 | | | | 264,674 | |
Repurchase Agreements | | | — | | | | — | | | | 3,279,000 | |
Unrealized appreciation on forward foreign currency exchange contracts | | | (8,718,924 | ) | | | (8,788,381 | ) | | | 198,656 | |
Unrealized appreciation on OTC swaps | | | (156,233,611 | ) | | | 45,735,485 | | | | 156,808 | |
Deposits for securities sold short | | | — | | | | (116,458,194 | ) | | | — | |
Deposits with brokers for centrally cleared swaps | | | — | | | | (9,397,874 | ) | | | — | |
Variation margin on futures contracts | | | — | | | | 5,685,878 | | | | (84,269 | ) |
Receivable for securities sold | | | 162,414,190 | | | | 129,155,813 | | | | 19,939 | |
Foreign tax reclaim | | | (1,227,995 | ) | | | 268,451 | | | | — | |
Dividends and interest | | | (2,484,112 | ) | | | (383,652 | ) | | | 9,363 | |
Prepaid expenses | | | (53,253 | ) | | | 51,994 | | | | 8,460 | |
| Increases (decreases) in operating liabilities | | | | | | | | | | | | |
Due to broker | | | 197,508,832 | | | | 10,936,199 | | | | (64,538 | ) |
Unrealized depreciation on forward foreign currency exchange contracts | | | (4,280,221 | ) | | | 6,652,678 | | | | 117,894 | |
Unrealized depreciation on OTC swaps | | | 12,370,190 | | | | (5,497,296 | ) | | | 32,718 | |
Deposits from brokers for futures contracts | | | — | | | | (393,510 | ) | | | — | |
Variation margin on centrally cleared swaps | | | — | | | | 902,250 | | | | — | |
Variation margin on futures contracts | | | 2,856,820 | | | | 569,916 | | | | (64,538 | ) |
Payable for securities purchased | | | (146,386,813 | ) | | | (133,730,256 | ) | | | (19,842 | ) |
Accrued investment advisory fees | | | 3,045,853 | | | | (465,186 | ) | | | 26,283 | |
Accrued distribution fees—Class N | | | 28,048 | | | | (7,598 | ) | | | 2,575 | |
Accrued Trustees fees | | | — | | | | (76 | ) | | | (2 | ) |
Dividends and Interest payable on securities sold short and reverse repurchase agreements | | | 965,174 | | | | (469,834 | ) | | | — | |
Interest payable for reverse repurchase agreements | | | — | | | | — | | | | (3,916 | ) |
Other accrued expenses and liabilities | | | 1,338,833 | | | | (132,797 | ) | | | 31,606 | |
Net cash provided by (used in) operating activities | | $ | (2,307,047,016 | ) | | $ | 525,266,478 | | | $ | 9,774,695 | |
| | | |
| CASH FLOWS FROM FINANCING ACTIVITIES | | | | | | | | | | | | |
Proceeds from shares sold | | | 3,610,261,555 | | | | 784,877,927 | | | | 32,178,417 | |
Net change in reverse repurchase agreements | | | — | | | | — | | | | (2,630,692 | ) |
Payments on shares redeemed | | | (1,130,252,273 | ) | | | (1,311,558,825 | ) | | | (37,974,938 | ) |
Cash distributions paid | | | (148,658,670 | ) | | | (38,816,218 | ) | | | (1,317,443 | ) |
Due to custodian | | | — | | | | — | | | | — | |
Net cash provided by (used in) financing activities | | $ | 2,331,350,612 | | | $ | (565,497,116 | ) | | $ | (9,744,656 | ) |
| Net change in cash and cash denominated in foreign currencies | | | 24,303,596 | | | | (40,230,638 | ) | | | 30,039 | |
Cash, beginning of period | | | 2,682,225 | | | | 69,456,664 | | | | 18,069 | |
Cash, end of period** | | $ | 26,985,821 | | | $ | 29,226,026 | | | $ | 48,108 | |
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $7,193,661, $1,907,854 and $130,670.
| | *** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
250
| | |
| Statements of Cash Flows | | December 31, 2017 |
| | | | | | | | |
| | | AQR STYLE PREMIA ALTERNATIVE FUND*** | | | AQR STYLE PREMIA ALTERNATIVE
LV FUND*** | |
| CASH FLOWS FROM OPERATING ACTIVITIES: | | | | | | | | |
Net increase (decrease) in net assets resulting from operations | | $ | 482,190,073 | | | $ | 28,518,864 | |
| 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 | | | (949,268,723 | ) | | | (44,113,743 | ) |
Payments to cover short positions in securities | | | (1,079,252,708 | ) | | | (62,437,972 | ) |
Proceeds from short positions in securities | | | 923,980,198 | | | | 45,652,168 | |
Proceeds from sale of securities | | | 1,137,811,704 | | | | 63,487,776 | |
(Purchases) sales of short-term investments, net | | | (999,727,489 | ) | | | (82,685,531 | ) |
Realized (gain) loss on investments in securities | | | (150,839,522 | ) | | | (8,680,769 | ) |
Realized (gain) loss on short positions in securities | | | 165,303,604 | | | | 9,438,723 | |
Change in unrealized (appreciation) depreciation on investments in securities | | | (210,365,313 | ) | | | (11,006,833 | ) |
Change in unrealized (appreciation) depreciation on short positions in securities | | | 80,465,218 | | | | 4,085,937 | |
Amortization (accretion) of bond premium (discount) | | | (8,732,881 | ) | | | (1,097,629 | ) |
| (Increases) decreases in operating assets: | | | | | | | | |
Due from brokers | | | 59,528 | | | | 1,457,651 | |
Deposits with brokers for futures contracts | | | (17,834,287 | ) | | | (308,744 | ) |
Unrealized appreciation on forward foreign currency exchange contracts | | | (20,420,119 | ) | | | (795,161 | ) |
Unrealized appreciation on OTC swaps | | | (20,614,315 | ) | | | (976,131 | ) |
Variation margin on futures contracts | | | (1,450,680 | ) | | | (112,563 | ) |
Receivable for securities sold | | | 68,874,171 | | | | 5,945,239 | |
Foreign tax reclaim | | | (706,751 | ) | | | (13,344 | ) |
Dividends and interest | | | (1,999,784 | ) | | | (225,913 | ) |
Prepaid expenses | | | 166,293 | | | | 27,949 | |
| Increases (decreases) in operating liabilities | | | | | | | | |
Due to broker | | | 195,289,118 | | | | 10,659,778 | |
Unrealized depreciation on forward foreign currency exchange contracts | | | 26,701,297 | | | | 1,152,506 | |
Unrealized depreciation on OTC swaps | | | (16,591,916 | ) | | | (793,792 | ) |
Deposits from brokers for futures contracts | | | 119,771 | | | | — | |
Variation margin on futures contracts | | | (1,169,282 | ) | | | 115,415 | |
Payable for securities purchased | | | (89,715,108 | ) | | | (6,209,074 | ) |
Accrued investment advisory fees | | | 1,269,611 | | | | 29,815 | |
Accrued distribution fees—Class N | | | (2,668 | ) | | | (1,205 | ) |
Accrued Trustees fees | | | (66 | ) | | | (5 | ) |
Dividends and Interest payable on securities sold short and reverse repurchase agreements | | | 162,432 | | | | 687 | |
Other accrued expenses and liabilities | | | 18,378 | | | | 49,042 | |
Net cash provided by (used in) operating activities | | $ | (486,280,216 | ) | | $ | (48,836,859 | ) |
| | |
| CASH FLOWS FROM FINANCING ACTIVITIES | | | | | | | | |
Proceeds from shares sold | | | 1,785,907,458 | | | | 197,239,490 | |
Payments on shares redeemed | | | (1,288,942,442 | ) | | | (143,728,569 | ) |
Cash distributions paid | | | (38,320,466 | ) | | | (370,269 | ) |
Net cash provided by (used in) financing activities | | $ | 458,644,550 | | | $ | 53,140,652 | |
| Net change in cash and cash denominated in foreign currencies | | | (27,635,666 | ) | | | 4,303,793 | |
Cash, beginning of period | | | 48,618,242 | | | | 1,347,565 | |
Cash, end of period** | | $ | 20,982,576 | | | $ | 5,651,358 | |
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $8,342,490 and $464,586.
| | *** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
251
| | |
| Statements of Cash Flows | | December 31, 2017 |
| ** | The following is a reconciliation of cash and cash held in foreign currencies reported within the Statements of Assets and Liabilities that sum to the total of the same such amounts disclosed in the Statements of Cash Flows: |
| | | | | | | | | | | | |
| FUND | | CASH | | | CASH DENOMINATED
IN FOREIGN CURRENCIES | | | TOTAL CASH
AND CASH DENOMINATED
IN FOREIGN CURRENCIES | |
AQR Alternative Risk Premia Fund | | | $693,861 | | | | $95,532 | | | | $789,393 | |
AQR Diversified Arbitrage Fund | | | 53,149 | | | | 634,431 | | | | 687,580 | |
AQR Equity Market Neutral Fund | | | 4,237,243 | | | | 3,809,541 | | | | 8,046,784 | |
AQR Long-Short Equity Fund | | | 18,534,774 | | | | 8,451,047 | | | | 26,985,821 | |
AQR Multi-Strategy Alternative Fund | | | 4,594,071 | | | | 24,631,955 | | | | 29,226,026 | |
AQR Risk Parity II HV Fund | | | 1,157 | | | | 46,951 | | | | 48,108 | |
AQR Style Premia Alternative Fund | | | 13,508,960 | | | | 7,473,616 | | | | 20,982,576 | |
AQR Style Premia Alternative LV Fund | | | 4,859,978 | | | | 791,380 | | | | 5,651,358 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
252
[Intentionally Left Blank]
| | |
| Financial Highlights | | December 31, 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 | | | Return of
Capital | | | Total
Distributions | |
| AQR ALTERNATIVE RISK PREMIA FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 9/19/176—12/31/17 | | | $10.00 | | | | (0.01) | | | | 0.02 | 7 | | | 0.01 | | | | — | | | | — | | | | — | | | | — | |
| AQR ALTERNATIVE RISK PREMIA FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 9/19/176—12/31/17 | | | $10.00 | | | | (0.01) | | | | 0.02 | 7 | | | 0.01 | | | | — | | | | — | | | | — | | | | — | |
| AQR ALTERNATIVE RISK PREMIA FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE PERIOD 9/19/176—12/31/17 | | | $10.00 | | | | (0.01) | | | | 0.03 | 7 | | | 0.02 | | | | — | | | | — | | | | — | | | | — | |
| AQR DIVERSIFIED ARBITRAGE FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $9.23 | | | | 0.02 | | | | 0.52 | | | | 0.54 | | | | (0.65) | | | | — | | | | — | | | | (0.65) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $9.21 | | | | 0.07 | | | | 0.61 | | | | 0.68 | | | | (0.66) | | | | — | | | | — | | | | (0.66) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $10.14 | | | | 0.07 | | | | (0.55) | | | | (0.48) | | | | (0.45) | | | | — | | | | — | | | | (0.45) | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.91 | | | | 0.23 | | | | (0.80) | | | | (0.57) | | | | (0.20) | | | | — | | | | — | | | | (0.20) | |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $11.05 | | | | 0.17 | | | | 0.02 | | | | 0.19 | | | | (0.18) | | | | (0.06) | | | | (0.09) | | | | (0.33) | |
| AQR DIVERSIFIED ARBITRAGE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $9.23 | | | | 0.00 | 9 | | | 0.51 | | | | 0.51 | | | | (0.62) | | | | — | | | | — | | | | (0.62) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $9.21 | | | | 0.05 | | | | 0.60 | | | | 0.65 | | | | (0.63) | | | | — | | | | — | | | | (0.63) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $10.10 | | | | 0.03 | | | | (0.51) | | | | (0.48) | | | | (0.41) | | | | — | | | | — | | | | (0.41) | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.87 | | | | 0.21 | | | | (0.81) | | | | (0.60) | | | | (0.17) | | | | — | | | | — | | | | (0.17) | |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $11.01 | | | | 0.13 | | | | 0.04 | | | | 0.17 | | | | (0.16) | | | | (0.06) | | | | (0.09) | | | | (0.31) | |
| AQR DIVERSIFIED ARBITRAGE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $9.21 | | | | 0.03 | | | | 0.52 | | | | 0.55 | | | | (0.66) | | | | — | | | | — | | | | (0.66) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $9.20 | | | | 0.12 | | | | 0.56 | | | | 0.68 | | | | (0.67) | | | | — | | | | — | | | | (0.67) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $10.13 | | | | 0.09 | | | | (0.55) | | | | (0.46) | | | | (0.47) | | | | — | | | | — | | | | (0.47) | |
| FOR THE PERIOD 9/02/1410—12/31/14 | | | $11.00 | | | | 0.16 | | | | (0.82) | | | | (0.66) | | | | (0.21) | | | | — | | | | — | | | | (0.21) | |
| AQR EQUITY MARKET NEUTRAL FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $11.97 | | | | (0.08) | | | | 0.79 | | | | 0.71 | | | | (0.43) | | | | — | | | | — | | | | (0.43) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $11.48 | | | | (0.13) | | | | 0.80 | | | | 0.67 | | | | (0.18) | | | | (0.00) | 9 | | | — | | | | (0.18) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $10.01 | | | | (0.15) | | | | 1.91 | | | | 1.76 | | | | (0.28) | | | | (0.01) | | | | — | | | | (0.29) | |
| FOR THE PERIOD 10/07/146—12/31/14 | | | $10.00 | | | | (0.02) | | | | 0.62 | | | | 0.60 | | | | (0.59) | | | | — | | | | (0.00) | 9 | | | (0.59) | |
| AQR EQUITY MARKET NEUTRAL FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $11.95 | | | | (0.11) | | | | 0.78 | | | | 0.67 | | | | (0.41) | | | | — | | | | — | | | | (0.41) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $11.47 | | | | (0.15) | | | | 0.77 | | | | 0.62 | | | | (0.14) | | | | (0.00) | 9 | | | — | | | | (0.14) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $10.01 | | | | (0.19) | | | | 1.94 | | | | 1.75 | | | | (0.28) | | | | (0.01) | | | | — | | | | (0.29) | |
| FOR THE PERIOD 10/07/146—12/31/14 | | | $10.00 | | | | (0.03) | | | | 0.62 | | | | 0.59 | | | | (0.58) | | | | — | | | | (0.00) | 9 | | | (0.58) | |
| AQR EQUITY MARKET NEUTRAL FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $11.97 | | | | (0.08) | | | | 0.79 | | | | 0.71 | | | | (0.43) | | | | — | | | | — | | | | (0.43) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $11.49 | | | | (0.14) | | | | 0.81 | | | | 0.67 | | | | (0.19) | | | | (0.00) | 9 | | | — | | | | (0.19) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $10.01 | | | | (0.13) | | | | 1.90 | | | | 1.77 | | | | (0.28) | | | | (0.01) | | | | — | | | | (0.29) | |
| FOR THE PERIOD 10/07/146—12/31/14 | | | $10.00 | | | | (0.02) | | | | 0.62 | | | | 0.60 | | | | (0.59) | | | | — | | | | (0.00) | 9 | | | (0.59) | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
254
| | |
| Financial Highlights | | December 31, 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 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.01 | | | | 0.10 | % | | | $26,852 | | | | 3.06 | %8 | | | 2.65 | % | | | 1.40 | % | | | (0.25 | )% | | | 293 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.01 | | | | 0.10 | % | | | $1,538 | | | | 3.70 | %8 | | | 2.90 | % | | | 1.65 | % | | | (0.44 | )% | | | 293 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.02 | | | | 0.20 | % | | | $49,818 | | | | 3.14 | %8 | | | 2.55 | % | | | 1.30 | % | | | (0.22 | )% | | | 293 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.12 | | | | 5.92 | % | | | $386,972 | | | | 2.08 | % | | | 2.02 | % | | | 1.19 | % | | | 0.25 | % | | | 205 | % | | | | |
| | $9.23 | | | | 7.51 | % | | | $359,989 | | | | 2.36 | % | | | 2.27 | % | | | 1.20 | % | | | 0.78 | % | | | 277 | % | | | | |
| | $9.21 | | | | (4.67 | )% | | | $772,394 | | | | 2.44 | % | | | 2.42 | % | | | 1.19 | % | | | 0.71 | % | | | 249 | % | | | | |
| | $10.14 | | | | (5.25 | )% | | | $1,546,685 | | | | 1.88 | % | | | 1.88 | % | | | 1.20 | % | | | 2.07 | % | | | 380 | % | | | | |
| | $10.91 | | | | 1.75 | % | | | $1,876,481 | | | | 1.64 | % | | | 1.64 | % | | | 1.20 | % | | | 1.52 | % | | | 349 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.12 | | | | 5.58 | % | | | $76,774 | | | | 2.34 | % | | | 2.28 | % | | | 1.44 | % | | | 0.01 | % | | | 205 | % | | | | |
| | $9.23 | | | | 7.15 | % | | | $100,869 | | | | 2.61 | % | | | 2.52 | % | | | 1.44 | % | | | 0.53 | % | | | 277 | % | | | | |
| | $9.21 | | | | (4.75 | )% | | | $183,029 | | | | 2.69 | % | | | 2.67 | % | | | 1.45 | % | | | 0.32 | % | | | 249 | % | | | | |
| | $10.10 | | | | (5.51 | )% | | | $678,528 | | | | 2.12 | % | | | 2.12 | % | | | 1.44 | % | | | 1.99 | % | | | 380 | % | | | | |
| | $10.87 | | | | 1.51 | % | | | $836,355 | | | | 1.88 | % | | | 1.88 | % | | | 1.44 | % | | | 1.21 | % | | | 349 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.10 | | | | 6.02 | % | | | $8,416 | | | | 1.98 | % | | | 1.93 | % | | | 1.10 | % | | | 0.36 | % | | | 205 | % | | | | |
| | $9.21 | | | | 7.52 | % | | | $5,159 | | | | 2.27 | % | | | 2.18 | % | | | 1.10 | % | | | 1.26 | % | | | 277 | % | | | | |
| | $9.20 | | | | (4.55 | )% | | | $866 | | | | 2.36 | % | | | 2.33 | % | | | 1.10 | % | | | 0.92 | % | | | 249 | % | | | | |
| | $10.13 | | | | (5.99 | )% | | | $94 | | | | 1.94 | % | | | 1.94 | % | | | 1.10 | % | | | 4.69 | % | | | 380 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.25 | | | | 5.84 | % | | | $1,552,269 | | | | 2.07 | % | | | 2.07 | % | | | 1.27 | % | | | (0.66 | )% | | | 237 | % | | | | |
| | $11.97 | | | | 5.85 | % | | | $790,179 | | | | 2.13 | % | | | 2.13 | % | | | 1.28 | % | | | (1.15 | )% | | | 227 | % | | | | |
| | $11.48 | | | | 17.60 | % | | | $179,312 | | | | 2.17 | %8 | | | 1.90 | % | | | 1.25 | % | | | (1.36 | )% | | | 383 | % | | | | |
| | $10.01 | | | | 5.93 | % | | | $1,445 | | | | 4.57 | %8 | | | 1.63 | % | | | 1.30 | % | | | (1.04 | )% | | | 152 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.21 | | | | 5.56 | % | | | $357,839 | | | | 2.35 | % | | | 2.35 | % | | | 1.55 | % | | | (0.92 | )% | | | 237 | % | | | | |
| | $11.95 | | | | 5.43 | % | | | $154,189 | | | | 2.40 | % | | | 2.40 | % | | | 1.55 | % | | | (1.27 | )% | | | 227 | % | | | | |
| | $11.47 | | | | 17.43 | % | | | $89,755 | | | | 2.41 | %8 | | | 2.16 | % | | | 1.51 | % | | | (1.69 | )% | | | 383 | % | | | | |
| | $10.01 | | | | 5.88 | % | | | $1,233 | | | | 4.83 | %8 | | | 1.88 | % | | | 1.55 | % | | | (1.29 | )% | | | 152 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $12.25 | | | | 5.91 | % | | | $326,927 | | | | 2.00 | % | | | 2.00 | % | | | 1.20 | % | | | (0.61 | )% | | | 237 | % | | | | |
| | $11.97 | | | | 5.82 | % | | | $177,683 | | | | 2.05 | % | | | 2.05 | % | | | 1.20 | % | | | (1.22 | )% | | | 227 | % | | | | |
| | $11.49 | | | | 17.72 | % | | | $148 | | | | 3.05 | %8 | | | 1.85 | % | | | 1.20 | % | | | (1.26 | )% | | | 383 | % | | | | |
| | $10.01 | | | | 5.95 | % | | | $3,210 | | | | 4.49 | %8 | | | 1.53 | % | | | 1.20 | % | | | (0.95 | )% | | | 152 | % | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
255
| | |
| Financial Highlights | | December 31, 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 | | | Return of
Capital | | | Total
Distributions | |
| AQR GLOBAL MACRO FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $9.06 | | | | (0.06) | | | | (0.25) | | | | (0.31) | | | | (0.00) | 9 | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $9.60 | | | | (0.11) | | | | 0.12 | 7 | | | 0.01 | | | | — | | | | (0.55) | | | | — | | | | (0.55) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $9.94 | | | | (0.15) | | | | 0.32 | | | | 0.17 | | | | — | | | | (0.51) | | | | — | | | | (0.51) | |
| FOR THE PERIOD 4/08/146—12/31/14 | | | $10.00 | | | | (0.10) | | | | 0.06 | | | | (0.04) | | | | — | | | | (0.02) | | | | — | | | | (0.02) | |
| AQR GLOBAL MACRO FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $8.99 | | | | (0.08) | | | | (0.25) | | | | (0.33) | | | | — | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $9.55 | | | | (0.13) | | | | 0.12 | 7 | | | (0.01) | | | | — | | | | (0.55) | | | | — | | | | (0.55) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $9.92 | | | | (0.16) | | | | 0.30 | | | | 0.14 | | | | — | | | | (0.51) | | | | — | | | | (0.51) | |
| FOR THE PERIOD 4/08/146—12/31/14 | | | $10.00 | | | | (0.12) | | | | 0.06 | | | | (0.06) | | | | — | | | | (0.02) | | | | — | | | | (0.02) | |
| AQR GLOBAL MACRO FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $9.07 | | | | (0.03) | | | | (0.28) | | | | (0.31) | | | | (0.01) | | | | — | | | | — | | | | (0.01) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $9.60 | | | | (0.10) | | | | 0.12 | 7 | | | 0.02 | | | | — | | | | (0.55) | | | | — | | | | (0.55) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $9.94 | | | | (0.14) | | | | 0.31 | | | | 0.17 | | | | — | | | | (0.51) | | | | — | | | | (0.51) | |
| FOR THE PERIOD 9/02/1410—12/31/14 | | | $9.72 | | | | (0.04) | | | | 0.28 | | | | 0.24 | | | | — | | | | (0.02) | | | | — | | | | (0.02) | |
| AQR LONG-SHORT EQUITY FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $13.07 | | | | (0.08) | | | | 2.15 | | | | 2.07 | | | | (0.56) | | | | (0.70) | | | | — | | | | (1.26) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $12.12 | | | | (0.14) | | | | 1.48 | | | | 1.34 | | | | (0.24) | | | | (0.15) | | | | — | | | | (0.39) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $10.87 | | | | (0.15) | | | | 2.00 | | | | 1.85 | | | | (0.58) | | | | (0.02) | | | | — | | | | (0.60) | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.21 | | | | (0.14) | | | | 1.67 | | | | 1.53 | | | | (0.74) | | | | (0.10) | | | | (0.03) | | | | (0.87) | |
| FOR THE PERIOD 7/16/136—12/31/13 | | | $10.00 | | | | (0.06) | | | | 1.17 | | | | 1.11 | | | | (0.67) | | | | (0.23) | | | | — | | | | (0.90) | |
| AQR LONG-SHORT EQUITY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $13.00 | | | | (0.11) | | | | 2.13 | | | | 2.02 | | | | (0.52) | | | | (0.70) | | | | — | | | | (1.22) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $12.07 | | | | (0.17) | | | | 1.47 | | | | 1.30 | | | | (0.22) | | | | (0.15) | | | | — | | | | (0.37) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $10.84 | | | | (0.19) | | | | 2.01 | | | | 1.82 | | | | (0.57) | | | | (0.02) | | | | — | | | | (0.59) | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.21 | | | | (0.20) | | | | 1.70 | | | | 1.50 | | | | (0.74) | | | | (0.10) | | | | (0.03) | | | | (0.87) | |
| FOR THE PERIOD 7/16/136—12/31/13 | | | $10.00 | | | | (0.07) | | | | 1.17 | | | | 1.10 | | | | (0.66) | | | | (0.23) | | | | — | | | | (0.89) | |
| AQR LONG-SHORT EQUITY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $13.08 | | | | (0.07) | | | | 2.17 | | | | 2.10 | | | | (0.57) | | | | (0.70) | | | | — | | | | (1.27) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $12.13 | | | | (0.14) | | | | 1.49 | | | | 1.35 | | | | (0.25) | | | | (0.15) | | | | — | | | | (0.40) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $10.87 | | | | (0.15) | | | | 2.02 | | | | 1.87 | | | | (0.59) | | | | (0.02) | | | | — | | | | (0.61) | |
| FOR THE PERIOD 9/02/1410—12/31/14 | | | $11.05 | | | | (0.08) | | | | 0.78 | | | | 0.70 | | | | (0.75) | | | | (0.10) | | | | (0.03) | | | | (0.88) | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $9.50 | | | | (0.07) | | | | 0.37 | | | | 0.30 | | | | (0.60) | | | | (0.15) | | | | — | | | | (0.75) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $9.76 | | | | (0.11) | | | | 0.09 | | | | (0.02) | | | | (0.08) | | | | (0.16) | | | | — | | | | (0.24) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $9.76 | | | | (0.15) | | | | 1.05 | | | | 0.90 | | | | (0.74) | | | | (0.16) | | | | — | | | | (0.90) | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $9.78 | | | | (0.14) | | | | 0.85 | | | | 0.71 | | | | (0.73) | | | | — | | | | — | | | | (0.73) | |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $9.90 | | | | (0.17) | | | | 0.61 | | | | 0.44 | | | | (0.44) | | | | (0.12) | | | | — | | | | (0.56) | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $9.45 | | | | (0.09) | | | | 0.37 | | | | 0.28 | | | | (0.58) | | | | (0.15) | | | | — | | | | (0.73) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $9.74 | | | | (0.13) | | | | 0.08 | | | | (0.05) | | | | (0.08) | | | | (0.16) | | | | — | | | | (0.24) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $9.74 | | | | (0.17) | | | | 1.05 | | | | 0.88 | | | | (0.72) | | | | (0.16) | | | | — | | | | (0.88) | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $9.76 | | | | (0.17) | | | | 0.85 | | | | 0.68 | | | | (0.70) | | | | — | | | | — | | | | (0.70) | |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $9.89 | | | | (0.20) | | | | 0.61 | | | | 0.41 | | | | (0.42) | | | | (0.12) | | | | — | | | | (0.54) | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $9.51 | | | | (0.06) | | | | 0.37 | | | | 0.31 | | | | (0.61) | | | | (0.15) | | | | — | | | | (0.76) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $9.76 | | | | (0.09) | | | | 0.08 | | | | (0.01) | | | | (0.08) | | | | (0.16) | | | | — | | | | (0.24) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $9.75 | | | | (0.13) | | | | 1.05 | | | | 0.92 | | | | (0.75) | | | | (0.16) | | | | — | | | | (0.91) | |
| FOR THE PERIOD 9/02/1410—12/31/14 | | | $9.88 | | | | (0.11) | | | | 0.71 | | | | 0.60 | | | | (0.73) | | | | — | | | | — | | | | (0.73) | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
256
| | |
| Financial Highlights | | December 31, 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 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.75 | | | | (3.38 | )% | | | $9,199 | | | | 2.30 | % | | | 1.40 | % | | | 1.40 | % | | | (0.65 | )% | | | 0 | % | | | | |
| | $9.06 | | | | 0.02 | % | | | $18,972 | | | | 1.98 | % | | | 1.41 | % | | | 1.41 | % | | | (1.12 | )% | | | 0 | % | | | | |
| | $9.60 | | | | 1.71 | % | | | $31,453 | | | | 1.78 | %8 | | | 1.38 | % | | | 1.38 | % | | | (1.45 | )% | | | 0 | % | | | | |
| | $9.94 | | | | (0.42 | )% | | | $35,466 | | | | 2.24 | %8 | | | 1.45 | % | | | 1.45 | % | | | (1.44 | )% | | | 0 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.66 | | | | (3.67 | )% | | | $2,892 | | | | 2.63 | % | | | 1.70 | % | | | 1.70 | % | | | (0.89 | )% | | | 0 | % | | | | |
| | $8.99 | | | | (0.19 | )% | | | $3,217 | | | | 2.17 | % | | | 1.65 | % | | | 1.65 | % | | | (1.35 | )% | | | 0 | % | | | | |
| | $9.55 | | | | 1.41 | % | | | $20,838 | | | | 1.88 | %8 | | | 1.70 | % | | | 1.70 | % | | | (1.56 | )% | | | 0 | % | | | | |
| | $9.92 | | | | (0.62 | )% | | | $1,050 | | | | 2.49 | %8 | | | 1.70 | % | | | 1.70 | % | | | (1.69 | )% | | | 0 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.75 | | | | (3.41 | )% | | | $13,970 | | | | 2.32 | % | | | 1.35 | % | | | 1.35 | % | | | (0.34 | )% | | | 0 | % | | | | |
| | $9.07 | | | | 0.14 | % | | | $4,374 | | | | 1.95 | % | | | 1.35 | % | | | 1.35 | % | | | (1.09 | )% | | | 0 | % | | | | |
| | $9.60 | | | | 1.71 | % | | | $104 | | | | 1.72 | %8 | | | 1.35 | % | | | 1.35 | % | | | (1.41 | )% | | | 0 | % | | | | |
| | $9.94 | | | | 2.45 | % | | | $102 | | | | 2.02 | %8 | | | 1.35 | % | | | 1.35 | % | | | (1.37 | )% | | | 0 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.88 | | | | 15.73 | % | | | $4,144,436 | | | | 2.01 | % | | | 2.01 | % | | | 1.27 | % | | | (0.60 | )% | | | 249 | % | | | | |
| | $13.07 | | | | 11.09 | % | | | $1,799,994 | | | | 1.99 | % | | | 1.99 | % | | | 1.28 | % | | | (1.12 | )% | | | 247 | % | | | | |
| | $12.12 | | | | 17.04 | % | | | $452,667 | | | | 1.86 | % | | | 1.81 | % | | | 1.27 | % | | | (1.28 | )% | | | 303 | % | | | | |
| | $10.87 | | | | 14.91 | % | | | $43,667 | | | | 2.34 | % | | | 1.30 | % | | | 1.30 | % | | | (1.26 | )% | | | 0 | % | | | | |
| | $10.21 | | | | 11.17 | % | | | $5,246 | | | | 3.56 | %8 | | | 1.30 | % | | | 1.30 | % | | | (1.29 | )% | | | 0 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.80 | | | | 15.47 | % | | | $385,302 | | | | 2.27 | % | | | 2.27 | % | | | 1.53 | % | | | (0.80 | )% | | | 249 | % | | | | |
| | $13.00 | | | | 10.80 | % | | | $287,362 | | | | 2.25 | % | | | 2.25 | % | | | 1.54 | % | | | (1.39 | )% | | | 247 | % | | | | |
| | $12.07 | | | | 16.79 | % | | | $90,141 | | | | 2.12 | % | | | 2.07 | % | | | 1.53 | % | | | (1.58 | )% | | | 303 | % | | | | |
| | $10.84 | | | | 14.55 | % | | | $10,688 | | | | 2.46 | % | | | 1.55 | % | | | 1.55 | % | | | (1.81 | )% | | | 0 | % | | | | |
| | $10.21 | | | | 11.04 | % | | | $910 | | | | 5.49 | %8 | | | 1.55 | % | | | 1.55 | % | | | (1.54 | )% | | | 0 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $13.91 | | | | 15.95 | % | | | $965,972 | | | | 1.92 | % | | | 1.92 | % | | | 1.17 | % | | | (0.46 | )% | | | 249 | % | | | | |
| | $13.08 | | | | 11.13 | % | | | $452,452 | | | | 1.90 | % | | | 1.90 | % | | | 1.19 | % | | | (1.07 | )% | | | 247 | % | | | | |
| | $12.13 | | | | 17.16 | % | | | $16,200 | | | | 1.77 | % | | | 1.74 | % | | | 1.20 | % | | | (1.21 | )% | | | 303 | % | | | | |
| | $10.87 | | | | 6.19 | % | | | $427 | | | | 1.99 | % | | | 1.20 | % | | | 1.20 | % | | | (2.21 | )% | | | 0 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.05 | | | | 3.10 | % | | | $1,987,557 | | | | 2.30 | % | | | 2.30 | % | | | 1.97 | % | | | (0.75 | )% | | | 110 | % | | | | |
| | $9.50 | | | | (0.20 | )% | | | $2,405,511 | | | | 2.47 | % | | | 2.47 | % | | | 1.97 | % | | | (1.10 | )% | | | 261 | % | | | | |
| | $9.76 | | | | 9.25 | % | | | $2,284,285 | | | | 2.41 | % | | | 2.41 | % | | | 1.97 | % | | | (1.44 | )% | | | 208 | % | | | | |
| | $9.76 | | | | 7.31 | % | | | $1,443,799 | | | | 3.67 | % | | | 3.65 | % | | | 1.98 | % | | | (1.46 | )% | | | 204 | % | | | | |
| | $9.78 | | | | 4.46 | % | | | $1,453,977 | | | | 3.37 | % | | | 3.34 | % | | | 1.98 | % | | | (1.67 | )% | | | 137 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.00 | | | | 2.84 | % | | | $433,225 | | | | 2.56 | % | | | 2.56 | % | | | 2.23 | % | | | (0.96 | )% | | | 110 | % | | | | |
| | $9.45 | | | | (0.51 | )% | | | $469,478 | | | | 2.73 | % | | | 2.73 | % | | | 2.23 | % | | | (1.31 | )% | | | 261 | % | | | | |
| | $9.74 | | | | 9.02 | % | | | $103,504 | | | | 2.68 | % | | | 2.67 | % | | | 2.23 | % | | | (1.66 | )% | | | 208 | % | | | | |
| | $9.74 | | | | 7.03 | % | | | $84,480 | | | | 3.96 | % | | | 3.91 | % | | | 2.23 | % | | | (1.75 | )% | | | 204 | % | | | | |
| | $9.76 | | | | 4.16 | % | | | $74,641 | | | | 3.66 | % | | | 3.59 | % | | | 2.23 | % | | | (1.95 | )% | | | 137 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.06 | | | | 3.19 | % | | | $610,652 | | | | 2.20 | % | | | 2.20 | % | | | 1.87 | % | | | (0.61 | )% | | | 110 | % | | | | |
| | $9.51 | | | | (0.10 | )% | | | $622,862 | | | | 2.38 | % | | | 2.38 | % | | | 1.88 | % | | | (0.94 | )% | | | 261 | % | | | | |
| | $9.76 | | | | 9.44 | % | | | $100,959 | | | | 2.33 | % | | | 2.32 | % | | | 1.88 | % | | | (1.29 | )% | | | 208 | % | | | | |
| | $9.75 | | | | 6.19 | % | | | $35,228 | | | | 3.21 | % | | | 3.14 | % | | | 1.88 | % | | | (3.41 | )% | | | 204 | % | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
257
| | |
| Financial Highlights | | December 31, 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 | | | Return of
Capital | | | Total
Distributions | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $6.25 | | | | (0.02) | | | | 0.67 | | | | 0.65 | | | | (0.00) | 9 | | | — | | | | — | | | | (0.00) | 9 |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $5.62 | | | | (0.04) | | | | 0.97 | | | | 0.93 | | | | (0.30) | | | | — | | | | — | | | | (0.30) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $6.98 | | | | (0.05) | | | | (1.31) | | | | (1.36) | | | | — | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $8.29 | | | | (0.08) | | | | (1.23) | | | | (1.31) | | | | — | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $9.87 | | | | (0.09) | | | | (1.49) | | | | (1.58) | | | | — | | | | — | | | | — | | | | — | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $6.18 | | | | (0.03) | | | | 0.66 | | | | 0.63 | | | | (0.00) | 9 | | | — | | | | — | | | | (0.00) | 9 |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $5.57 | | | | (0.06) | | | | 0.96 | | | | 0.90 | | | | (0.29) | | | | — | | | | — | | | | (0.29) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $6.94 | | | | (0.08) | | | | (1.29) | | | | (1.37) | | | | — | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $8.27 | | | | (0.11) | | | | (1.22) | | | | (1.33) | | | | — | | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $9.86 | | | | (0.11) | | | | (1.48) | | | | (1.59) | | | | — | | | | — | | | | — | | | | — | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $6.26 | | | | (0.01) | | | | 0.67 | | | | 0.66 | | | | (0.00) | 9 | | | — | | | | — | | | | (0.00) | 9 |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $5.63 | | | | (0.04) | | | | 0.97 | | | | 0.93 | | | | (0.30) | | | | — | | | | — | | | | (0.30) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $6.99 | | | | (0.05) | | | | (1.31) | | | | (1.36) | | | | — | | | | — | | | | — | | | | — | |
| FOR THE PERIOD 9/02/1410—12/31/14 | | | $8.60 | | | | (0.02) | | | | (1.59) | | | | (1.61) | | | | — | | | | — | | | | — | | | | — | |
| AQR RISK PARITY FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $9.34 | | | | 0.02 | | | | 1.49 | | | | 1.51 | | | | (0.19) | | | | (0.84) | | | | — | | | | (1.03) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $9.09 | | | | (0.02) | | | | 0.94 | | | | 0.92 | | | | (0.24) | | | | (0.43) | | | | — | | | | (0.67) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $10.14 | | | | (0.07) | | | | (0.75) | | | | (0.82) | | | | — | | | | (0.23) | | | | — | | | | (0.23) | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.77 | | | | (0.04) | | | | 0.81 | | | | 0.77 | | | | (0.30) | | | | (1.10) | | | | — | | | | (1.40) | |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $11.49 | | | | (0.07) | | | | 0.08 | 7 | | | 0.01 | | | | (0.27) | | | | (0.46) | | | | — | | | | (0.73) | |
| AQR RISK PARITY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $9.32 | | | | (0.01) | | | | 1.50 | | | | 1.49 | | | | (0.17) | | | | (0.84) | | | | — | | | | (1.01) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $9.08 | | | | (0.04) | | | | 0.92 | | | | 0.88 | | | | (0.21) | | | | (0.43) | | | | — | | | | (0.64) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $10.14 | | | | (0.10) | | | | (0.73) | | | | (0.83) | | | | — | | | | (0.23) | | | | — | | | | (0.23) | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.76 | | | | (0.07) | | | | 0.80 | | | | 0.73 | | | | (0.25) | | | | (1.10) | | | | — | | | | (1.35) | |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $11.47 | | | | (0.11) | | | | 0.08 | 7 | | | (0.03) | | | | (0.22) | | | | (0.46) | | | | — | | | | (0.68) | |
| AQR RISK PARITY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $9.34 | | | | 0.02 | | | | 1.51 | | | | 1.53 | | | | (0.20) | | | | (0.84) | | | | — | | | | (1.04) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $9.10 | | | | (0.04) | | | | 0.95 | | | | 0.91 | | | | (0.24) | | | | (0.43) | | | | — | | | | (0.67) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $10.14 | | | | (0.04) | | | | (0.77) | | | | (0.81) | | | | — | | | | (0.23) | | | | — | | | | (0.23) | |
| FOR THE PERIOD 9/02/1410—12/31/14 | | | $12.01 | | | | (0.04) | | | | (0.43) | 7 | | | (0.47) | | | | (0.30) | | | | (1.10) | | | | — | | | | (1.40) | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
258
| | |
| Financial Highlights | | December 31, 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 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $6.90 | | | | 10.41 | % | | | $87,863 | | | | 1.05 | % | | | 0.99 | % | | | 0.99 | % | | | (0.27 | )% | | | 0 | % | | | | |
| | $6.25 | | | | 16.58 | % | | | $93,849 | | | | 1.04 | % | | | 0.96 | % | | | 0.96 | % | | | (0.65 | )% | | | 0 | % | | | | |
| | $5.62 | | | | (19.48 | )% | | | $71,321 | | | | 1.14 | % | | | 0.94 | % | | | 0.94 | % | | | (0.88 | )% | | | 0 | % | | | | |
| | $6.98 | | | | (15.80 | )% | | | $46,443 | | | | 1.34 | % | | | 1.01 | % | | | 1.01 | % | | | (1.00 | )% | | | 0 | % | | | | |
| | $8.29 | | | | (16.01 | )% | | | $28,375 | | | | 1.32 | % | | | 1.05 | % | | | 1.05 | % | | | (1.05 | )% | | | 0 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $6.81 | | | | 10.20 | % | | | $7,559 | | | | 1.31 | % | | | 1.25 | % | | | 1.25 | % | | | (0.50 | )% | | | 0 | % | | | | |
| | $6.18 | | | | 16.16 | % | | | $7,214 | | | | 1.33 | % | | | 1.25 | % | | | 1.25 | % | | | (0.97 | )% | | | 0 | % | | | | |
| | $5.57 | | | | (19.74 | )% | | | $2,083 | | | | 1.48 | % | | | 1.25 | % | | | 1.25 | % | | | (1.21 | )% | | | 0 | % | | | | |
| | $6.94 | | | | (16.08 | )% | | | $4,764 | | | | 1.59 | % | | | 1.26 | % | | | 1.26 | % | | | (1.25 | )% | | | 0 | % | | | | |
| | $8.27 | | | | (16.13 | )% | | | $3,861 | | | | 1.70 | % | | | 1.30 | % | | | 1.30 | % | | | (1.28 | )% | | | 0 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $6.92 | | | | 10.55 | % | | | $110,467 | | | | 0.96 | % | | | 0.90 | % | | | 0.90 | % | | | (0.16 | )% | | | 0 | % | | | | |
| | $6.26 | | | | 16.61 | % | | | $102,156 | | | | 0.98 | % | | | 0.90 | % | | | 0.90 | % | | | (0.63 | )% | | | 0 | % | | | | |
| | $5.63 | | | | (19.46 | )% | | | $29,122 | | | | 1.11 | % | | | 0.90 | % | | | 0.90 | % | | | (0.85 | )% | | | 0 | % | | | | |
| | $6.99 | | | | (18.72 | )% | | | $15,482 | | | | 1.31 | % | | | 0.90 | % | | | 0.90 | % | | | (0.89 | )% | | | 0 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.82 | | | | 16.36 | % | | | $415,799 | | | | 0.94 | % | | | 0.93 | % | | | 0.93 | % | | | 0.19 | % | | | 48 | % | | | | |
| | $9.34 | | | | 10.10 | % | | | $349,335 | | | | 0.94 | % | | | 0.92 | % | | | 0.92 | % | | | (0.22 | )% | | | 72 | % | | | | |
| | $9.09 | | | | (8.10 | )% | | | $492,977 | | | | 0.94 | % | | | 0.93 | % | | | 0.93 | % | | | (0.71 | )% | | | 157 | % | | | | |
| | $10.14 | | | | 7.04 | % | | | $583,927 | | | | 0.90 | % | | | 0.90 | % | | | 0.90 | % | | | (0.34 | )% | | | 94 | % | | | | |
| | $10.77 | | | | 0.12 | % | | | $855,024 | | | | 0.89 | % | | | 0.89 | % | | | 0.88 | % | | | (0.64 | )% | | | 167 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.80 | | | | 16.13 | % | | | $16,673 | | | | 1.21 | % | | | 1.20 | % | | | 1.20 | % | | | (0.06 | )% | | | 48 | % | | | | |
| | $9.32 | | | | 9.66 | % | | | $17,027 | | | | 1.21 | % | | | 1.19 | % | | | 1.19 | % | | | (0.46 | )% | | | 72 | % | | | | |
| | $9.08 | | | | (8.20 | )% | | | $22,005 | | | | 1.19 | % | | | 1.18 | % | | | 1.18 | % | | | (0.96 | )% | | | 157 | % | | | | |
| | $10.14 | | | | 6.69 | % | | | $36,232 | | | | 1.20 | % | | | 1.20 | % | | | 1.20 | % | | | (0.65 | )% | | | 94 | % | | | | |
| | $10.76 | | | | (0.23 | )% | | | $79,026 | | | | 1.20 | % | | | 1.20 | % | | | 1.20 | % | | | (0.92 | )% | | | 167 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.83 | | | | 16.56 | % | | | $40,256 | | | | 0.87 | % | | | 0.85 | % | | | 0.85 | % | | | 0.24 | % | | | 48 | % | | | | |
| | $9.34 | | | | 10.06 | % | | | $33,987 | | | | 0.88 | % | | | 0.85 | % | | | 0.85 | % | | | (0.42 | )% | | | 72 | % | | | | |
| | $9.10 | | | | (8.00 | )% | | | $2,796 | | | | 0.86 | % | | | 0.85 | % | | | 0.85 | % | | | (0.37 | )% | | | 157 | % | | | | |
| | $10.14 | | | | (3.96 | )% | | | $96 | | | | 0.86 | % | | | 0.85 | % | | | 0.85 | % | | | (0.99 | )% | | | 94 | % | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
259
| | |
| Financial Highlights | | December 31, 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 | | | Return of
Capital | | | Total
Distributions | |
| AQR RISK PARITY II HV FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $8.42 | | | | (0.02) | | | | 1.59 | | | | 1.57 | | | | (0.04) | | | | (1.07) | | | | — | | | | (1.11) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $7.79 | | | | (0.02) | | | | 1.01 | | | | 0.99 | | | | (0.12) | | | | (0.24) | | | | — | | | | (0.36) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $9.55 | | | | (0.08) | | | | (1.19) | | | | (1.27) | | | | (0.03) | | | | (0.46) | | | | — | | | | (0.49) | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $9.87 | | | | (0.03) | | | | 0.95 | | | | 0.92 | | | | (0.06) | | | | (1.18) | | | | — | | | | (1.24) | |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $10.21 | | | | (0.06) | | | | (0.23) | | | | (0.29) | | | | (0.03) | | | | (0.02) | | | | — | | | | (0.05) | |
| AQR RISK PARITY II HV FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $8.43 | | | | 0.21 | | | | 1.32 | | | | 1.53 | | | | (0.04) | | | | (1.07) | | | | — | | | | (1.11) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $ 7.80 | | | | (0.04) | | | | 1.00 | | | | 0.96 | | | | (0.09) | | | | (0.24) | | | | — | | | | (0.33) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $9.56 | | | | (0.10) | | | | (1.20) | | | | (1.30) | | | | — | | | | (0.46) | | | | — | | | | (0.46) | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $9.86 | | | | (0.04) | | | | 0.93 | | | | 0.89 | | | | (0.01) | | | | (1.18) | | | | — | | | | (1.19) | |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $10.23 | | | | (0.09) | | | | (0.23) | | | | (0.32) | | | | (0.03) | | | | (0.02) | | | | — | | | | (0.05) | |
| AQR RISK PARITY II HV FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $8.41 | | | | (0.13) | | | | 1.71 | | | | 1.58 | | | | (0.04) | | | | (1.07) | | | | — | | | | (1.11) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $7.78 | | | | (0.00) | 9 | | | 0.99 | | | | 0.99 | | | | (0.12) | | | | (0.24) | | | | — | | | | (0.36) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $9.55 | | | | (0.03) | | | | (1.25) | | | | (1.28) | | | | (0.03) | | | | (0.46) | | | | — | | | | (0.49) | |
| FOR THE PERIOD 9/02/1410—12/31/14 | | | $11.37 | | | | (0.05) | | | | (0.53) | 7 | | | (0.58) | | | | (0.06) | | | | (1.18) | | | | — | | | | (1.24) | |
| AQR RISK PARITY II MV FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $8.98 | | | | 0.02 | | | | 1.08 | | | | 1.10 | | | | (0.02) | | | | (0.80) | | | | — | | | | (0.82) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $8.51 | | | | (0.02) | | | | 0.84 | | | | 0.82 | | | | (0.09) | | | | (0.26) | | | | — | | | | (0.35) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $9.90 | | | | (0.08) | | | | (0.79) | | | | (0.87) | | | | (0.02) | | | | (0.50) | | | | — | | | | (0.52) | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.02 | | | | (0.04) | | | | 0.65 | | | | 0.61 | | | | (0.02) | | | | (0.71) | | | | — | | | | (0.73) | |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $10.17 | | | | (0.06) | | | | (0.08) | | | | (0.14) | | | | (0.01) | | | | (0.00) | 9 | | | — | | | | (0.01) | |
| AQR RISK PARITY II MV FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $ 8.95 | | | | (0.05) | | | | 1.12 | | | | 1.07 | | | | (0.02) | | | | (0.80) | | | | — | | | | (0.82) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $8.49 | | | | (0.04) | | | | 0.82 | | | | 0.78 | | | | (0.06) | | | | (0.26) | | | | — | | | | (0.32) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $9.87 | | | | (0.10) | | | | (0.78) | | | | (0.88) | | | | — | | | | (0.50) | | | | — | | | | (0.50) | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $9.99 | | | | (0.06) | | | | 0.65 | | | | 0.59 | | | | — | | | | (0.71) | | | | — | | | | (0.71) | |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $10.18 | | | | (0.07) | | | | (0.11) | | | | (0.18) | | | | (0.01) | | | | (0.00) | 9 | | | — | | | | (0.01) | |
| AQR RISK PARITY II MV FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $8.97 | | | | 0.04 | | | | 1.07 | | | | 1.11 | | | | (0.02) | | | | (0.80) | | | | — | | | | (0.82) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $8.51 | | | | (0.01) | | | | 0.83 | | | | 0.82 | | | | (0.10) | | | | (0.26) | | | | — | | | | (0.36) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $9.89 | | | | (0.07) | | | | (0.78) | | | | (0.85) | | | | (0.03) | | | | (0.50) | | | | — | | | | (0.53) | |
| FOR THE PERIOD 9/02/1410—12/31/14 | | | $11.00 | | | | (0.04) | | | | (0.33) | 7 | | | (0.37) | | | | (0.03) | | | | (0.71) | | | | — | | | | (0.74) | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
260
| | |
| Financial Highlights | | December 31, 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 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.88 | | | | 19.03 | % | | | $38,689 | | | | 1.66 | % | | | 1.34 | % | | | 1.11 | % | | | (0.21 | )% | | | 45 | % | | | | |
| | $8.42 | | | | 12.77 | % | | | $46,127 | | | | 1.61 | % | | | 1.23 | % | | | 1.11 | % | | | (0.26 | )% | | | 68 | % | | | | |
| | $7.79 | | | | (13.33 | )% | | | $40,890 | | | | 1.43 | % | | | 1.13 | % | | | 1.08 | % | | | (0.83 | )% | | | 184 | % | | | | |
| | $9.55 | | | | 9.23 | % | | | $42,279 | | | | 1.54 | % | | | 1.20 | % | | | 1.15 | % | | | (0.28 | )% | | | 108 | % | | | | |
| | $9.87 | | | | (2.83 | )% | | | $17,577 | | | | 1.85 | % | | | 1.23 | % | | | 1.15 | % | | | (0.62 | )% | | | 257 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.85 | | | | 18.52 | % | | | $18,472 | | | | 1.92 | % | | | 1.63 | % | | | 1.39 | % | | | 2.36 | % | | | 45 | % | | | | |
| | $8.43 | | | | 12.47 | % | | | $6,583 | | | | 1.89 | % | | | 1.52 | % | | | 1.39 | % | | | (0.51 | )% | | | 68 | % | | | | |
| | $7.80 | | | | (13.64 | )% | | | $5,493 | | | | 1.77 | % | | | 1.45 | % | | | 1.40 | % | | | (1.04 | )% | | | 184 | % | | | | |
| | $9.56 | | | | 9.02 | % | | | $7,834 | | | | 1.86 | % | | | 1.45 | % | | | 1.40 | % | | | (0.37 | )% | | | 108 | % | | | | |
| | $9.86 | | | | (3.12 | )% | | | $8,652 | | | | 2.22 | % | | | 1.48 | % | | | 1.40 | % | | | (0.84 | )% | | | 257 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $8.88 | | | | 19.17 | % | | | $765 | | | | 1.62 | % | | | 1.28 | % | | | 1.05 | % | | | (1.47 | )% | | | 45 | % | | | | |
| | $8.41 | | | | 12.85 | % | | | $2,836 | | | | 1.55 | % | | | 1.17 | % | | | 1.05 | % | | | (0.06 | )% | | | 68 | % | | | | |
| | $7.78 | | | | (13.42 | )% | | | $2,413 | | | | 1.43 | % | | | 1.11 | % | | | 1.05 | % | | | (0.36 | )% | | | 184 | % | | | | |
| | $9.55 | | | | (5.10 | )% | | | $95 | | | | 1.47 | % | | | 1.10 | % | | | 1.05 | % | | | (1.49 | )% | | | 108 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.26 | | | | 12.36 | % | | | $78,000 | | | | 1.15 | % | | | 0.93 | % | | | 0.93 | % | | | 0.26 | % | | | 39 | % | | | | |
| | $8.98 | | | | 9.66 | % | | | $78,873 | | | | 1.15 | % | | | 0.94 | % | | | 0.94 | % | | | (0.24 | )% | | | 58 | % | | | | |
| | $8.51 | | | | (8.77 | )% | | | $85,918 | | | | 1.10 | % | | | 0.93 | % | | | 0.93 | % | | | (0.80 | )% | | | 159 | % | | | | |
| | $9.90 | | | | 6.04 | % | | | $106,473 | | | | 1.12 | % | | | 0.95 | % | | | 0.95 | % | | | (0.34 | )% | | | 128 | % | | | | |
| | $10.02 | | | | (1.32 | )% | | | $37,848 | | | | 1.18 | % | | | 0.95 | % | | | 0.95 | % | | | (0.61 | )% | | | 234 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.20 | | | | 12.07 | % | | | $2,784 | | | | 1.43 | % | | | 1.20 | % | | | 1.20 | % | | | (0.55 | )% | | | 39 | % | | | | |
| | $8.95 | | | | 9.25 | % | | | $5,659 | | | | 1.41 | % | | | 1.20 | % | | | 1.20 | % | | | (0.41 | )% | | | 58 | % | | | | |
| | $8.49 | | | | (8.94 | )% | | | $4,242 | | | | 1.38 | % | | | 1.20 | % | | | 1.20 | % | | | (0.99 | )% | | | 159 | % | | | | |
| | $9.87 | | | | 5.87 | % | | | $7,795 | | | | 1.44 | % | | | 1.20 | % | | | 1.20 | % | | | (0.54 | )% | | | 128 | % | | | | |
| | $9.99 | | | | (1.71 | )% | | | $9,397 | | | | 1.59 | % | | | 1.20 | % | | | 1.20 | % | | | (0.71 | )% | | | 234 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.26 | | | | 12.49 | % | | | $679 | | | | 1.07 | % | | | 0.85 | % | | | 0.85 | % | | | 0.42 | % | | | 39 | % | | | | |
| | $8.97 | | | | 9.64 | % | | | $608 | | | | 1.07 | % | | | 0.85 | % | | | 0.85 | % | | | (0.06 | )% | | | 58 | % | | | | |
| | $8.51 | | | | (8.59 | )% | | | $99 | | | | 1.03 | % | | | 0.85 | % | | | 0.85 | % | | | (0.68 | )% | | | 159 | % | | | | |
| | $9.89 | | | | (3.44 | )% | | | $97 | | | | 1.03 | % | | | 0.85 | % | | | 0.85 | % | | | (1.13 | )% | | | 128 | % | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
261
| | |
| Financial Highlights | | December 31, 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 | | | Return of
Capital | | | Total
Distributions | |
| AQR STYLE PREMIA ALTERNATIVE FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $9.92 | | | | (0.07) | | | | 1.27 | | | | 1.20 | | | | (0.74) | | | | — | | | | — | | | | (0.74) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $10.14 | | | | (0.12) | | | | 0.07 | | | | (0.05) | | | | (0.17) | | | | — | | | | — | | | | (0.17) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $9.86 | | | | (0.14) | | | | 1.01 | | | | 0.87 | | | | (0.56) | | | | (0.03) | | | | — | | | | (0.59) | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.18 | | | | (0.10) | | | | 1.24 | | | | 1.14 | | | | (1.16) | | | | (0.30) | | | | — | | | | (1.46) | |
| FOR THE PERIOD 10/30/136—12/31/13 | | | $10.00 | | | | (0.03) | | | | 0.44 | | | | 0.41 | | | | (0.20) | | | | (0.03) | | | | — | | | | (0.23) | |
| AQR STYLE PREMIA ALTERNATIVE FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $9.89 | | | | (0.13) | | | | 1.30 | | | | 1.17 | | | | (0.71) | | | | — | | | | — | | | | (0.71) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $10.14 | | | | (0.15) | | | | 0.07 | | | | (0.08) | | | | (0.17) | | | | — | | | | — | | | | (0.17) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $9.87 | | | | (0.17) | | | | 1.02 | | | | 0.85 | | | | (0.55) | | | | (0.03) | | | | — | | | | (0.58) | |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.18 | | | | (0.16) | | | | 1.28 | | | | 1.12 | | | | (1.13) | | | | (0.30) | | | | — | | | | (1.43) | |
| FOR THE PERIOD 10/30/136—12/31/13 | | | $10.00 | | | | (0.04) | | | | 0.45 | | | | 0.41 | | | | (0.20) | | | | (0.03) | | | | — | | | | (0.23) | |
| AQR STYLE PREMIA ALTERNATIVE FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $9.94 | | | | (0.07) | | | | 1.28 | | | | 1.21 | | | | (0.74) | | | | — | | | | — | | | | (0.74) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $10.15 | | | | (0.11) | | | | 0.07 | | | | (0.04) | | | | (0.17) | | | | — | | | | — | | | | (0.17) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $9.87 | | | | (0.14) | | | | 1.02 | | | | 0.88 | | | | (0.57) | | | | (0.03) | | | | — | | | | (0.60) | |
| FOR THE PERIOD 9/02/1410—12/31/14 | | | $10.35 | | | | (0.07) | | | | 0.86 | | | | 0.79 | | | | (1.16) | | | | (0.11) | | | | — | | | | (1.27) | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $10.41 | | | | (0.00) | 9 | | | 0.71 | | | | 0.71 | | | | (0.55) | | | | — | | | | — | | | | (0.55) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $10.39 | | | | (0.06) | | | | 0.13 | | | | 0.07 | | | | (0.03) | | | | (0.02) | | | | — | | | | (0.05) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $10.18 | | | | (0.08) | | | | 0.49 | | | | 0.41 | | | | (0.17) | | | | (0.03) | | | | — | | | | (0.20) | |
| FOR THE PERIOD 9/17/146—12/31/14 | | | $10.00 | | | | (0.02) | | | | 0.32 | | | | 0.30 | | | | (0.09) | | | | (0.03) | | | | — | | | | (0.12) | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $10.37 | | | | (0.05) | | | | 0.72 | | | | 0.67 | | | | (0.51) | | | | — | | | | — | | | | (0.51) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $10.39 | | | | (0.08) | | | | 0.11 | | | | 0.03 | | | | (0.03) | | | | (0.02) | | | | — | | | | (0.05) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $10.17 | | | | (0.09) | | | | 0.48 | | | | 0.39 | | | | (0.14) | | | | (0.03) | | | | — | | | | (0.17) | |
| FOR THE PERIOD 9/17/146—12/31/14 | | | $10.00 | | | | (0.03) | | | | 0.32 | | | | 0.29 | | | | (0.09) | | | | (0.03) | | | | — | | | | (0.12) | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $10.42 | | | | (0.00) | 9 | | | 0.72 | | | | 0.72 | | | | (0.55) | | | | — | | | | — | | | | (0.55) | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $10.40 | | | | (0.05) | | | | 0.12 | | | | 0.07 | | | | (0.03) | | | | (0.02) | | | | — | | | | (0.05) | |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $10.17 | | | | (0.05) | | | | 0.48 | | | | 0.43 | | | | (0.17) | | | | (0.03) | | | | — | | | | (0.20) | |
| FOR THE PERIOD 9/17/146—12/31/14 | | | $10.00 | | | | (0.01) | | | | 0.31 | | | | 0.30 | | | | (0.10) | | | | (0.03) | | | | — | | | | (0.13) | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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262
| | |
| Financial Highlights | | December 31, 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 | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.38 | | | | 11.94 | % | | | $2,956,926 | | | | 2.22 | % | | | 2.21 | % | | | 1.49 | % | | | (0.70 | )% | | | 140 | % | | | | |
| | $9.92 | | | | (0.47 | )% | | | $2,263,101 | | | | 2.26 | % | | | 2.24 | % | | | 1.49 | % | | | (1.20 | )% | | | 114 | % | | | | |
| | $10.14 | | | | 8.76 | % | | | $1,341,232 | | | | 2.29 | % | | | 2.25 | % | | | 1.48 | % | | | (1.39 | )% | | | 138 | % | | | | |
| | $9.86 | | | | 11.30 | % | | | $387,666 | | | | 2.56 | % | | | 2.56 | % | | | 1.50 | % | | | (0.95 | )% | | | 145 | % | | | | |
| | $10.18 | | | | 4.08 | % | | | $403,243 | | | | 2.11 | %8 | | | 2.07 | % | | | 1.50 | % | | | (1.77 | )% | | | 133 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.35 | | | | 11.67 | % | | | $177,319 | | | | 2.49 | % | | | 2.47 | % | | | 1.75 | % | | | (1.23 | )% | | | 140 | % | | | | |
| | $9.89 | | | | (0.76 | )% | | | $188,647 | | | | 2.53 | % | | | 2.50 | % | | | 1.75 | % | | | (1.46 | )% | | | 114 | % | | | | |
| | $10.14 | | | | 8.50 | % | | | $92,947 | | | | 2.56 | % | | | 2.52 | % | | | 1.75 | % | | | (1.65 | )% | | | 138 | % | | | | |
| | $9.87 | | | | 11.08 | % | | | $26,594 | | | | 2.92 | % | | | 2.81 | % | | | 1.75 | % | | | (1.50 | )% | | | 145 | % | | | | |
| | $10.18 | | | | 4.05 | % | | | $15,972 | | | | 2.70 | %8 | | | 2.44 | % | | | 1.75 | % | | | (2.05 | )% | | | 133 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.41 | | | | 12.10 | % | | | $1,613,182 | | | | 2.14 | % | | | 2.12 | % | | | 1.40 | % | | | (0.65 | )% | | | 140 | % | | | | |
| | $9.94 | | | | (0.37 | )% | | | $1,349,866 | | | | 2.18 | % | | | 2.15 | % | | | 1.40 | % | | | (1.08 | )% | | | 114 | % | | | | |
| | $10.15 | | | | 8.80 | % | | | $394,568 | | | | 2.21 | % | | | 2.17 | % | | | 1.40 | % | | | (1.37 | )% | | | 138 | % | | | | |
| | $9.87 | | | | 7.67 | % | | | $74,872 | | | | 2.57 | % | | | 2.46 | % | | | 1.40 | % | | | (1.94 | )% | | | 145 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.57 | | | | 6.74 | % | | | $336,047 | | | | 1.23 | % | | | 1.22 | % | | | 0.83 | % | | | — | % | | | 136 | % | | | | |
| | $10.41 | | | | 0.65 | % | | | $251,496 | | | | 1.22 | % | | | 1.19 | % | | | 0.83 | % | | | (0.54 | )% | | | 106 | % | | | | |
| | $10.39 | | | | 4.02 | % | | | $152,172 | | | | 1.46 | % | | | 1.11 | % | | | 0.79 | % | | | (0.80 | )% | | | 213 | % | | | | |
| | $10.18 | | | | 3.07 | % | | | $28,094 | | | | 1.49 | %8 | | | 1.01 | % | | | 0.85 | % | | | (0.68 | )% | | | 191 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.53 | | | | 6.46 | % | | | $35,465 | | | | 1.50 | % | | | 1.49 | % | | | 1.10 | % | | | (0.48 | )% | | | 136 | % | | | | |
| | $10.37 | | | | 0.26 | % | | | $42,514 | | | | 1.48 | % | | | 1.45 | % | | | 1.10 | % | | | (0.78 | )% | | | 106 | % | | | | |
| | $10.39 | | | | 3.85 | % | | | $13,444 | | | | 1.90 | % | | | 1.41 | % | | | 1.09 | % | | | (0.91 | )% | | | 213 | % | | | | |
| | $10.17 | | | | 2.94 | % | | | $8,577 | | | | 1.92 | %8 | | | 1.32 | % | | | 1.10 | % | | | (0.91 | )% | | | 191 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $10.59 | | | | 6.90 | % | | | $94,055 | | | | 1.15 | % | | | 1.14 | % | | | 0.75 | % | | | (0.01 | )% | | | 136 | % | | | | |
| | $10.42 | | | | 0.65 | % | | | $90,570 | | | | 1.14 | % | | | 1.11 | % | | | 0.75 | % | | | (0.45 | )% | | | 106 | % | | | | |
| | $10.40 | | | | 4.23 | % | | | $22,176 | | | | 1.57 | % | | | 1.08 | % | | | 0.75 | % | | | (0.50 | )% | | | 213 | % | | | | |
| | $10.17 | | | | 2.98 | % | | | $23,695 | | | | 1.75 | %8 | | | 1.00 | % | | | 0.75 | % | | | (0.32 | )% | | | 191 | % | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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263
| | |
| Financial Highlights | | December 31, 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 | Commencement of operations. |
| 7 | 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 purchases of the Fund shares in relation to fluctuating market value of the investments in the Fund. |
| 8 | Certain expenses incurred by the Fund were not annualized for the period. |
| 9 | Amount is less than $.005 per share |
| 10 | Commencement of offering of shares. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
264
| | |
| Notes to Financial Statements | | December 31, 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 December 31, 2017, the Trust consists of thirty-eight active series, twelve of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Alternative Risk Premia Fund, AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Global Macro Fund, AQR Long-Short Equity Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund. The remaining active series are reported in separate books. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each Fund. The Adviser has retained CNH Partners, LLC (the “Sub-Adviser”), an affiliate of the Adviser, to serve as an investment sub-adviser to the AQR Diversified Arbitrage Fund and certain strategies of the AQR Multi-Strategy Alternative Fund.
AQR Alternative Risk Premia Fund commenced operations on September 19, 2017.
The investment objective of the AQR Alternative Risk Premia Fund, AQR Diversified Arbitrage Fund, the AQR Equity Market Neutral Fund, the AQR Global Macro Fund, the AQR Multi-Strategy Alternative Fund, the AQR Style Premia Alternative Fund and the AQR Style Premia Alternative LV Fund is to seek positive absolute returns. The investment objective of the AQR Risk-Balanced Commodities Strategy Fund, the AQR Risk Parity Fund, the AQR Risk Parity II HV Fund and the AQR Risk Parity II MV Fund is to seek total return. The investment objective of the AQR Long-Short Equity Fund is to seek capital appreciation. Each fund offers Class I, Class N and Class R6 shares.
The following Funds are closed to new investors, subject to certain exceptions: AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Long-Short Equity Fund, AQR Multi-Strategy Alternative Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund.
2. Consolidation of Subsidiaries
The consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets, of Cash Flows, where applicable, and Financial Highlights of the AQR Global Macro Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund (“Consolidated Funds”) include the accounts of AQR Global Macro Offshore Fund Ltd., AQR Multi-Strategy Alternative Offshore Fund Ltd., AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd., AQR Risk Parity Offshore Fund Ltd., AQR Risk Parity II HV Offshore Fund Ltd., AQR Risk Parity II MV Offshore Fund Ltd., AQR Style Premia Alternative Offshore Fund Ltd., and AQR Style Premia Alternative LV Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the “Subsidiaries”). All intercompany accounts and transactions have been eliminated in consolidation. Subsequent references to the Funds within the Notes to the Consolidated Financial Statements collectively refer to the Consolidated Funds and their Subsidiaries.
Each consolidated Fund may invest up to 25% of its total assets in its respective Subsidiary, which acts as an investment vehicle in order to affect certain investment strategies consistent with the Funds’ investment objectives and policies. The Funds expect that they will achieve a significant portion of their exposure to commodities and commodities-related investments through investment in the Subsidiaries. Unlike the Funds, the Subsidiaries may invest without limitation in commodities and commodities-related investments.
| | | | | | | | |
| | | SUBSIDIARY NET
ASSETS AT
DECEMBER 31, 2017 | | | % OF TOTAL NET
ASSETS AT
DECEMBER 31, 2017 | |
AQR Global Macro Offshore Fund Ltd | | $ | 6,155,383 | | | | 23.6 | % |
AQR Multi-Strategy Alternative Offshore Fund Ltd | | | 499,553,791 | | | | 16.5 | % |
AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd | | | 49,402,698 | | | | 24.0 | % |
AQR Risk Parity Offshore Fund Ltd | | | 95,671,274 | | | | 20.2 | % |
AQR Risk Parity II HV Offshore Fund Ltd | | | 13,343,294 | | | | 23.0 | % |
AQR Risk Parity II MV Offshore Fund Ltd | | | 12,552,390 | | | | 15.4 | % |
AQR Style Premia Alternative Offshore Fund Ltd | | | 1,086,237,967 | | | | 22.9 | % |
AQR Style Premia Alternative LV Offshore Fund Ltd | | | 105,475,763 | | | | 22.7 | % |
3. Significant Accounting Policies
The Funds are investment companies and apply specialized accounting and reporting guidance in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
Use of Estimates: The preparation of the financial statements in conformity with GAAP requires the Adviser to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities, if any, at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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265
| | |
| Notes to Financial Statements | | December 31, 2017 |
Valuation of Investments: All securities and other investments are recorded at their estimated fair value, as described in Note 5.
Cash: Cash comprises U.S. Dollar and foreign currency deposits held at a bank(s) or custodian bank(s) which may exceed insured limits. The Funds are subject to risk to the extent that the institutions may be unable to fulfill their obligations.
Due to/from Brokers: Due to/from brokers represents cash balances on deposit with, or cash balances owed to, the Funds’ prime brokers and counterparties. The Funds are subject to credit risk should the prime brokers and counterparties be unable to meet their obligations to the Funds.
Foreign Currency Translation: The books and records of the Funds are maintained in U.S. Dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of such activity.
The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) 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 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). Realized gains and losses on investment transactions 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. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis. 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.
Federal Income Taxes: Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If so qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. Accordingly no provision for Federal income tax is necessary.
The Adviser evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Funds are required to analyze all open tax years. Open tax
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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266
| | |
| Notes to Financial Statements | | December 31, 2017 |
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 December 31, 2017, the Funds had no examinations in progress.
For Federal tax purposes, taxable income for each Consolidated Fund and its Subsidiary are calculated separately. The Subsidiaries are classified as controlled foreign corporations (“CFCs”) under the Code and each CFCs taxable income is included in the calculation of the relevant Consolidated Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Consolidated Funds either in the current period or future periods. Each of the CFCs has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.
Distributions to Shareholders: Distributions to shareholders are recorded on the ex-dividend date. The Funds intend to declare and distribute substantially all of their net investment income and net realized capital gains, if any, at least annually. Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from GAAP. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gain (loss) reported on the Funds’ financial statements presented under GAAP.
Distributions classified as a tax basis return of capital, if any, are reflected on the accompanying Statements of Changes in Net Assets and have been recorded to paid in capital. In addition, other amounts have been reclassified between undistributed net investment income, accumulated undistributed/overdistributed net realized gains or losses and/or paid in capital to more appropriately conform financial accounting to tax characterizations of dividend distributions.
Indemnification: In the normal course of business, the Funds may enter into various agreements that provide for general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as any potential exposure involves future claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.
4. Securities and Other Investments
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.
Convertible Securities: Certain Funds invest in preferred stocks and fixed-income securities which are convertible into common stock. Convertible securities may be converted either at a stated price or rate within a specified period of time into a specified number of shares of common stock. By investing in a convertible security, the Funds may participate in any capital appreciation or depreciation of a company’s stock, but to a lesser degree than if they had invested in that company’s common stock. Convertible securities rank senior to common stock in a corporation’s capital structure and, therefore, entail less risk than the corporation’s common stock. The Funds may attempt to hedge some of their investments in convertible debt securities by selling short the issuer’s common stock. The premiums attributable to the conversion feature are not amortized.
High Yield Securities: Certain Funds invest in lower-quality debt securities. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities causing greater price volatility. These instruments involve a greater risk of loss due to default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims.
Inflation-Indexed Bonds: Certain Funds may invest in Inflation-indexed bonds which are adjusted for inflation through periodic increases or decreases in the security’s interest accruals, face amount, or principal redemption value, by amounts corresponding to the rate of inflation as measured by an index.
Loan Participations, Assignments and Unfunded Commitments: Certain Funds invest in loan participations and assignments. When a Fund purchases a loan participation, the Fund enters into a contractual relationship with the lender or a third party selling such participations (“Selling
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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| Notes to Financial Statements | | December 31, 2017 |
Participant”), but not the borrower. In this case, the Fund assumes the credit risk of the borrower and the Selling Participant and any other persons inter-positioned between the Fund and the borrower (“Intermediate Participants”). In contrast, when one of the Funds purchases an assignment, the contractual relationship is with the borrower and the credit risk assumed by the Fund is only with the borrower. Although certain loan participations or assignments are secured by collateral, the Fund could experience delays or limitations in realizing such collateral or have its interest subordinated to other indebtedness of the obligor.
The Funds may also enter into unfunded commitments, which are contractual obligations for future funding. These unfunded commitments represent a future obligation in full, even though a percentage of the commitment may not be utilized by the borrower. These types of investments may include standby financing commitments, such as revolving credit facilities, which obligate the Fund to supply additional cash to the borrower on demand. The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unfunded commitments are marked to market daily and any unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities as well as the Statements of Operations. When investing in a loan participation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt of payments by the lender from the borrower. The Fund may receive a commitment fee based on the undrawn portion of the underlying line of credit portion of a loan. In certain circumstances, the Fund may receive a penalty fee upon the prepayment of a loan by a borrower. Fees earned or paid are recorded as a component of interest income or interest expense, respectively, on the Statements of Operations. In addition, loan participations and assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan participations and assignments and certain loan participations and assignments which were liquid, when purchased, may become illiquid.
As of December 31, 2017, AQR Diversified Arbitrage Fund’s unfunded commitments were as follows:
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| BORROWER | | COMMITMENT AMOUNT |
DEMC, Ltd Class A-2 | | $322,225 |
Centene Corp. | | $5,000,000 |
The fund has no unrealized gain or loss on the unfunded commitment.
Defaulted Securities and Distressed Investments: Certain Funds held defaulted securities or other securities which were placed in non-accrual status as the collection of a portion or all of the interest has been deemed to be uncollectible. The securities have been identified on the Schedules of Investments. Debt obligations may be placed on non-accrual status and related interest income may be reduced by ceasing current accruals and writing off interest receivable when the collection of a portion of interest has become doubtful based on consistently applied procedures. A debt obligation is removed from non-accrual status when the issuer resumes interest payments or when collectability of interest is probable. The Fund may invest in distressed investments, which are issued by companies that are, or might be, involved in reorganizations or financial restructurings, either out of court or in bankruptcy.
Securities Sold Short: Certain Funds sell securities they do not own as a hedge against some of their long positions and/or in anticipation of a decline in the market value of that security, a short sale. When one of the Funds makes a short sale, it must borrow the security sold short and deliver it to the broker through which it made the short sale. The Fund may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions are recorded on the ex-date as an expense. A gain, limited to the price at which the Fund sold the security short, or a loss, 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.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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268
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| Notes to Financial Statements | | December 31, 2017 |
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 Alternative Risk Premia Fund | | $ | 14,156 | |
AQR Diversified Arbitrage Fund | | | 708,752 | |
AQR Equity Market Neutral Fund | | | 2,059,626 | |
AQR Long-Short Equity Fund | | | 4,749,522 | |
AQR Multi-Strategy Alternative Fund | | | 1,955,199 | |
AQR Style Premia Alternative Fund | | | 3,785,811 | |
AQR Style Premia Alternative LV Fund | | | 306,169 | |
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.
Forward Foreign Currency Exchange Contracts: Certain Funds buy and sell forward foreign currency exchange contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. Dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities that a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as unrealized appreciation or depreciation. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Funds are unable to enter into a closing position. Risks may exceed amounts recognized on the Statements of Assets and Liabilities. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Swap Contracts: Certain Funds engage in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions may be privately negotiated in the over-the-counter (“OTC”) market where payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (“centrally cleared swaps”). These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”), in which case all payments are settled with the CCP through the DCM. For centrally cleared swaps, the Schedules of Investments includes the cumulative appreciation (depreciation), while only the current day’s variation margin is reported within the Statements of Assets and Liabilities. For credit default and interest rate contracts, an up-front payment received by a Fund is recorded as a liability and an upfront payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Upfront 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) from the expiration or closing of swap contracts in the Statements of Operations. The Funds’ use of swap contracts create additional risks beyond those that would exist if the Funds invested in the underlying positions directly.
Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instruments, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, security index or index component during the period of the swap. Total return swap contracts are marked to market daily and the change, if any, is recorded as net change in appreciation (depreciation) on swap contracts in the Statements of Operations. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities. The use of short total return swaps subject the Funds to 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
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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| Notes to Financial Statements | | December 31, 2017 |
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.
Credit Default Swap Contracts: Certain Funds enter into credit default swap contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In a credit default contract, the protection buyer typically makes an up-front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. The credit default contracts are marked to market daily and the change, if any, is recorded as an unrealized gain or loss. Variation margin is accounted for as unrealized appreciation or depreciation until the contract is closed, at which time the gains or losses are realized. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the up-front payment, is recorded as a realized gain or loss on swap contracts in the Statements of Operations.
Implied credit spreads are used to determine the value of credit default swap contracts and reflect the cost of buying/selling protection, which may include up-front payments made to enter into the contract. Therefore, higher spreads indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index.
Risks of loss may exceed amounts recognized on the Statements of Assets and Liabilities. A Fund’s maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the specific Fund and the counterparty. The central clearing house acts as the counterparty to each centrally cleared swap transaction, therefore credit risk is limited to the failure of the clearing house. Where a Fund is a seller of protection, the maximum potential amount of future payments the Fund may be required to make is equal to the notional amount of the relevant credit default contract. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.
Interest Rate Swaps: Certain Funds enter into interest rate swaps as part of their investment strategy. Interest rate swaps generally involve agreements to exchange fixed and floating payment obligations, without the exchange of the underlying notional amounts. Interest rate swap agreements are privately negotiated in the OTC market or may be executed in a multilateral or other trade facility platform, such as a registered exchange (centrally cleared swaps). Periodic payments received (paid) by the Funds are recorded as realized gains (losses). Interest rate swaps are marked to market daily and the change is recorded as unrealized gain (loss) on swap contracts in the Statements of Operations. The Funds’ risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Non-deliverable interest rate swap contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Centrally cleared interest rate swaps may have forward effective dates. The amortization of the upfront premiums (if applicable) and payments related to these swap contracts begin on the effective date of the contract. Interest rate contracts outstanding, including their respective notional amounts at period end, if any, are listed after each Fund’s Schedule of Investments.
Repurchase Agreements: Certain Funds may enter into repurchase agreements. In a repurchase agreement, a Fund takes possession of an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. Under the terms of a master repurchase agreement, the underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated sub-custodians under tri-party repurchase agreements. Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for receipt of collateral, which may result in interest expense to the Fund. Generally, in the event of counterparty default, a Fund has the right to use the collateral to
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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270
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| Notes to Financial Statements | | December 31, 2017 |
offset losses incurred. If the counterparty should default, a Fund may seek to sell the securities which it holds as collateral. This could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price. Repurchase agreements outstanding at period end, if any, including the underlying debt obligation (collateral) assigned to each agreement, are included within each Fund’s Schedule of Investments.
Reverse Repurchase Agreements: Certain Funds may enter into reverse repurchase agreements under the terms of a master repurchase agreement. A Fund sells a security that it holds to a counterparty with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date. Reverse repurchase agreements are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made on reverse repurchase agreements are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, a Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. A Fund monitors collateral market value for the reverse repurchase agreement, including accrued interest, throughout the lives of the agreements, and when necessary, delivers or receives cash or securities in order to manage credit exposure and liquidity. If the counterparty defaults or enters insolvency proceeding, realization or return of the collateral to the Fund may be delayed or limited. Reverse repurchase agreements outstanding at period end, if any, including the underlying debt obligation (collateral) assigned to each agreement, are listed after each Fund’s Schedule of Investments.
The collateral held in relation to the repurchase agreements and reverse repurchase agreements was in U.S. Treasury Inflation Protected Securities with a maturity of up to 30 days in the amount of $11,130,035 for AQR Risk Parity II HV Fund.
Options: Certain Funds may write and purchase put and call options. When a Fund writes an option, an amount equal to the premium received by the Fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked to market to reflect the current market value of the option written. When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires, a Fund realizes a gain or loss on the option to the extent of the premiums received or paid. When a Fund enters into a closing transaction, the Fund realizes a gain or loss to the extent the cost of the closing transaction exceeds the premiums paid or received. Written uncovered call options subject a Fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Put options written subject a Fund to risk of loss if the value of the security declines below the exercise price minus the put premium. A Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. Written and purchased options are non-income producing investments.
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.
Master Repurchase Agreements govern repurchase, or reverse repurchase transactions, relating to government bonds between certain Funds and select counterparties. Master Repurchase Agreements maintain provisions for initiation, income payments, events of default, and maintenance of collateral.
Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of equities, bonds, equity options or short sales of securities between certain Funds and selected counterparties. These arrangements provide financing terms for such transactions and include guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically held by the prime broker and offset any obligations due to the prime broker.
Customer Account Agreements govern cleared derivatives transactions and exchange-traded futures and options transactions. Upon entering into an exchange-traded or centrally cleared derivative contract, the Funds are required to deposit with the relevant clearing organization cash or securities, which is referred to as the initial margin. Securities deposited as initial margin are designated on the Schedules of Investments and cash deposited is recorded as Deposits with brokers for centrally cleared swaps and Deposits with brokers for futures contracts on the Statements of Assets and Liabilities. For exchange-traded futures or centrally cleared swaps, initial margin is posted, and daily changes in fair value are recorded as a payable or receivable on the Statement of Assets and Liabilities as Variation margin on 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.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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271
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| Notes to Financial Statements | | December 31, 2017 |
International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (“ISDA Master Agreements”) govern OTC derivative transactions entered into between certain Funds and a counterparty. ISDA Master Agreements maintain provisions for general obligations, representations, netting of settlement payments, agreements to deliver supporting documents, collateral transfer and events of default or termination. Events of termination include a decline in the Fund’s net assets below a specified threshold over a certain period of time or a decline in the counterparty’s long-term and short-term credit ratings below a specified level. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all OTC contracts outstanding, including the payment of any losses and costs resulting from such early termination, as reasonably determined by the terminating party. Any decision by a party to elect early termination could be material to the financial statements and impact a Fund’s future derivative activity.
Collateral and margin requirements differ according to the terms of each type of Master Agreement. Collateral is routinely transferred if the total net exposure net of existing collateral already in place governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold. Collateral can be in the form of cash, debt securities issued by the U.S. government, money market funds and other securities as agreed to by the Fund and the applicable counterparty, or as permitted by the clearing house or exchange.
Collateral pledged by a Fund for OTC derivatives pursuant to a Master Agreement is segregated by the Fund’s custodian and identified as an asset in the Statements of Assets and Liabilities either as a component of Investments in securities, at value (securities) or in Due from brokers (cash). Segregation of fund’s collateral in the custodian account helps mitigate counterparty risk.
Collateral posted for the benefit of a Fund pursuant to a Master Agreement is held by a custodian of the Fund. Amounts which can be invested or repledged, are presented in the Fund’s Schedule of Investments. Collateral received is reflected as a liability within Due to brokers in the Statements of Assets and Liabilities.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities subject to master netting agreements on the Statements of Assets and Liabilities.
5. Investment Valuation and Fair Value Measurements
Investment Valuation Policies: The Net Asset Value (“NAV”) of the Funds’ shares are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of each class within each Fund is computed by dividing the total current value of the assets of such Fund attributable to a class, less class liabilities, by the total number of shares of that class of the Fund outstanding at the time the computation is made. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. 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 approaches 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 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. These inputs are summarized in the three broad levels as follows:
Level 1 — Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities.
Level 2 — Other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, credit risks and default rates) or other market corroborated inputs.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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| Notes to Financial Statements | | December 31, 2017 |
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, or composite 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 on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on daily basis using quotations provided by an independent pricing service.
OTC derivatives, including forward contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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273
| | |
| Notes to Financial Statements | | December 31, 2017 |
The value of each total return swap contract and total return basket swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.
The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Credit default swap contracts and interest rate swap contracts are marked to market daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract.
Generally, a valuation model is used consistently for similar derivative types. 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.
The Funds value the repurchase agreements and reverse repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral), and reverse repurchase agreements are carried at the amount of cash received plus accrued interest payable (or interest receivable in periods of increased demand for collateral).
Quantitative Information
The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments.
| | | | | | | | | | | | | | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 51,130,370 | | | $ | 23,666,899 | | | $ | — | | | $ | 74,797,269 | |
Short-Term Investments | | | — | | | | 58,774,973 | | | | — | | | | 58,774,973 | |
Futures Contracts* | | | 215,758 | | | | — | | | | — | | | | 215,758 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 723,986 | | | | — | | | | 723,986 | |
Total Return Swaps Contracts* | | | — | | | | 315,909 | | | | — | | | | 315,909 | |
| | | | |
Total Assets | | $ | 51,346,128 | | | $ | 83,481,767 | | | $ | — | | | $ | 134,827,895 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Common Stocks (Sold Short)† | | $ | (43,739,161 | ) | | $ | (20,129,418 | ) | | $ | (25 | ) | | $ | (63,868,604 | ) |
Written Options (Sold Short) | | | (239,527 | ) | | | — | | | | — | | | | (239,527 | ) |
Futures Contracts* | | | (512,922 | ) | | | — | | | | — | | | | (512,922 | ) |
Forward Foreign Currency Exchange Contracts* | | | — | | | | (642,289 | ) | | | — | | | | (642,289 | ) |
Total Return Swaps Contracts* | | | — | | | | (24,891 | ) | | | — | | | | (24,891 | ) |
| | | | |
Total Liabilities | | $ | (44,491,610 | ) | | $ | (20,796,598 | ) | | $ | (25 | ) | | $ | (65,288,233 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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274
| | |
| Notes to Financial Statements | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks | | $ | 111,964,631 | | | $ | 67,738,214 | | | $ | 7,262,232 | | | $ | 186,965,077 | |
Convertible Preferred Stocks | | | — | | | | 34,102,317 | | | | — | | | | 34,102,317 | |
Corporate Bonds | | | — | | | | 17,660,145 | | | | 40,006 | | | | 17,700,151 | |
Convertible Bonds | | | — | | | | 158,647,746 | | | | 5,185,257 | | | | 163,833,003 | |
Closed End Funds | | | 9,156,671 | | | | — | | | | — | | | | 9,156,671 | |
Loan Participations | | | — | | | | — | | | | 5,873,081 | | | | 5,873,081 | |
Preferred Stocks | | | 2,108,327 | | | | — | | | | 633,976 | | | | 2,742,303 | |
Rights | | | 2,645,397 | | | | 572,250 | | | | 407,271 | | | | 3,624,918 | |
Securities in Litigation | | | — | | | | — | | | | 459,054 | | | | 459,054 | |
Warrants | | | 18,644,843 | | | | 2,543,480 | | | | 860,044 | | | | 22,048,367 | |
Short-Term Investments | | | — | | | | 178,987,044 | | | | — | | | | 178,987,044 | |
Futures Contracts* | | | 199,617 | | | | — | | | | — | | | | 199,617 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 780 | | | | — | | | | 780 | |
Total Return Basket Swaps Contracts* | | | — | | | | 11,914,557 | | | | — | | | | 11,914,557 | |
| | | | |
Total Assets | | $ | 144,719,486 | | | $ | 472,166,533 | | | $ | 20,720,921 | | | $ | 637,606,940 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Common Stocks (Sold Short) | | $ | (144,630,636 | ) | | $ | — | | | $ | — | (a) | | $ | (144,630,636 | ) |
Convertible Bonds (Sold Short) | | | — | | | | (14,278,766 | ) | | | — | | | | (14,278,766 | ) |
Exchange-Traded Funds (Sold Short) | | | (242,700 | ) | | | — | | | | — | | | | (242,700 | ) |
Futures Contracts* | | | (371,819 | ) | | | — | | | | — | | | | (371,819 | ) |
Forward Foreign Currency Exchange Contracts* | | | — | | | | (110,840 | ) | | | — | | | | (110,840 | ) |
Credit Default Swap Contracts* | | | — | | | | (1,124,852 | ) | | | — | | | | (1,124,852 | ) |
Total Return Basket Swaps Contracts* | | | — | | | | (2,199,612 | ) | | | — | | | | (2,199,612 | ) |
| | | | |
Total Liabilities | | $ | (145,245,155 | ) | | $ | (17,714,070 | ) | | $ | — | (a) | | $ | (162,959,225 | ) |
| | | | | | | | | | | | | | | | |
| AQR EQUITY MARKET NEUTRAL FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 88,885,686 | | | $ | 485,169,376 | | | $ | — | | | $ | 574,055,062 | |
Short-Term Investments | | | — | | | | 1,789,688,120 | | | | — | | | | 1,789,688,120 | |
Futures Contracts* | | | 285,408 | | | | — | | | | — | | | | 285,408 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 372,301 | | | | — | | | | 372,301 | |
Total Return Basket Swaps Contracts* | | | — | | | | 85,357,042 | | | | — | | | | 85,357,042 | |
| | | | |
Total Assets | | $ | 89,171,094 | | | $ | 2,360,586,839 | | | $ | — | | | $ | 2,449,757,933 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Common Stocks (Sold Short)† | | $ | (89,217,177 | ) | | $ | (391,410,520 | ) | | $ | — | | | $ | (480,627,697 | ) |
Futures Contracts* | | | (154,670 | ) | | | — | | | | — | | | | (154,670 | ) |
Forward Foreign Currency Exchange Contracts* | | | — | | | | (1,247,270 | ) | | | — | | | | (1,247,270 | ) |
Total Return Basket Swaps Contracts* | | | — | | | | (3,911,302 | ) | | | — | | | | (3,911,302 | ) |
| | | | |
Total Liabilities | | $ | (89,371,847 | ) | | $ | (396,569,092 | ) | | $ | — | | | $ | (485,940,939 | ) |
| | | | | | | | | | | | | | | | |
| AQR GLOBAL MACRO FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | | | | | | | | | | | | | | | | |
Short-Term Investments | | $ | — | | | $ | 23,785,748 | | | $ | — | | | $ | 23,785,748 | |
Futures Contracts* | | | 578,416 | | | | — | | | | — | | | | 578,416 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 585,163 | | | | — | | | | 585,163 | |
Interest Rate Swap Contracts* | | | — | | | | 991,105 | | | | — | | | | 991,105 | |
Total Return Swaps Contracts* | | | — | | | | 60,374 | | | | — | | | | 60,374 | |
| | | | |
Total Assets | | $ | 578,416 | | | $ | 25,422,390 | | | $ | — | | | $ | 26,000,806 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures Contracts* | | $ | (383,117 | ) | | $ | — | | | $ | — | | | $ | (383,117 | ) |
Forward Foreign Currency Exchange Contracts* | | | — | | | | (723,600 | ) | | | — | | | | (723,600 | ) |
Interest Rate Swap Contracts* | | | — | | | | (819,223 | ) | | | — | | | | (819,223 | ) |
Total Return Swaps Contracts* | | | — | | | | (16,454 | ) | | | — | | | | (16,454 | ) |
| | | | |
Total Liabilities | | $ | (383,117 | ) | | $ | (1,559,277 | ) | | $ | — | | | $ | (1,942,394 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
275
| | |
| Notes to Financial Statements | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| AQR LONG-SHORT EQUITY FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | | | | | | | | | | | | | | | | |
Common Stocks† | | $ | 210,848,814 | | | $ | 1,133,800,731 | | | $ | — | | | $ | 1,344,649,545 | |
Short-Term Investments | | | — | | | | 4,990,118,844 | | | | — | | | | 4,990,118,844 | |
Futures Contracts* | | | 14,531,109 | | | | — | | | | — | | | | 14,531,109 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 8,930,381 | | | | — | | | | 8,930,381 | |
Total Return Basket Swaps Contracts* | | | — | | | | 259,385,930 | | | | — | | | | 259,385,930 | |
Total Return Swaps Contracts* | | | — | | | | 1,269,258 | | | | — | | | | 1,269,258 | |
| | | | |
Total Assets | | $ | 225,379,923 | | | $ | 6,393,505,144 | | | $ | — | | | $ | 6,618,885,067 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Common Stocks (Sold Short)† | | $ | (211,740,405 | ) | | $ | (932,202,455 | ) | | $ | — | | | $ | (1,143,942,860 | ) |
Futures Contracts* | | | (5,475,460 | ) | | | — | | | | — | | | | (5,475,460 | ) |
Forward Foreign Currency Exchange Contracts* | | | — | | | | (1,826,604 | ) | | | — | | | | (1,826,604 | ) |
Total Return Basket Swaps Contracts* | | | — | | | | (15,439,607 | ) | | | — | | | | (15,439,607 | ) |
Total Return Swaps Contracts* | | | — | | | | (81,372 | ) | | | — | | | | (81,372 | ) |
| | | | |
Total Liabilities | | $ | (217,215,865 | ) | | $ | (949,550,038 | ) | | $ | — | | | $ | (1,166,765,903 | ) |
| | | | | | | | | | | | | | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 49,073,335 | | | $ | 2,603,220 | | | $ | 12,197,736 | | | $ | 63,874,291 | |
Convertible Preferred Stocks† | | | — | | | | 290,743,083 | | | | — | | | | 290,743,083 | |
Convertible Bonds† | | | — | | | | 551,961,398 | | | | 384,000 | | | | 552,345,398 | |
Short-Term Investments | | | — | | | | 2,409,490,419 | | | | — | | | | 2,409,490,419 | |
Futures Contracts* | | | 47,623,474 | | | | — | | | | — | | | | 47,623,474 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 42,816,628 | | | | — | | | | 42,816,628 | |
Credit Default Swap Contracts* | | | — | | | | 25,683,813 | | | | — | | | | 25,683,813 | |
Total Return Basket Swaps Contracts* | | | — | | | | 161,964,406 | | | | — | | | | 161,964,406 | |
Total Return Swaps Contracts* | | | — | | | | 6,123,639 | | | | — | | | | 6,123,639 | |
| | | | |
Total Assets | | $ | 96,696,809 | | | $ | 3,491,386,606 | | | $ | 12,581,736 | | | $ | 3,600,665,151 | |
|
LIABILITIES | |
Common Stocks (Sold Short)† | | $ | (688,184,205 | ) | | $ | — | | | $ | — | | | $ | (688,184,205 | ) |
Convertible Bonds (Sold Short)† | | | — | | | | (24,222,547 | ) | | | — | | | | (24,222,547 | ) |
Written Options (Sold Short) | | | (3,412,950 | ) | | | — | | | | — | | | | (3,412,950 | ) |
Futures Contracts* | | | (33,364,332 | ) | | | — | | | | — | | | | (33,364,332 | ) |
Forward Foreign Currency Exchange Contracts* | | | — | | | | (47,176,096 | ) | | | — | | | | (47,176,096 | ) |
Credit Default Swap Contracts* | | | — | | | | (6,170,372 | ) | | | — | | | | (6,170,372 | ) |
Total Return Basket Swaps Contracts* | | | — | | | | (14,821,273 | ) | | | — | | | | (14,821,273 | ) |
Total Return Swaps Contracts* | | | — | | | | (2,638,594 | ) | | | — | | | | (2,638,594 | ) |
| | | | |
Total Liabilities | | $ | (724,961,487 | ) | | $ | (95,028,882 | ) | | $ | — | | | $ | (819,990,369 | ) |
| | | | | | | | | | | | | | | | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Short-Term Investments | | $ | — | | | $ | 185,789,033 | | | $ | — | | | $ | 185,789,033 | |
Futures Contracts* | | | 13,403,244 | | | | — | | | | — | | | | 13,403,244 | |
Total Return Swaps Contracts* | | | — | | | | 1,089,966 | | | | — | | | | 1,089,966 | |
| | | | |
Total Assets | | $ | 13,403,244 | | | $ | 186,878,999 | | | $ | — | | | $ | 200,282,243 | |
|
LIABILITIES | |
Futures Contracts* | | $ | (4,988,620 | ) | | $ | — | | | $ | — | | | $ | (4,988,620 | ) |
Total Return Swaps Contracts* | | | — | | | | (2,004,399 | ) | | | — | | | | (2,004,399 | ) |
| | | | |
Total Liabilities | | $ | (4,988,620 | ) | | $ | (2,004,399 | ) | | $ | — | | | $ | (6,993,019 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
276
| | |
| Notes to Financial Statements | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| AQR RISK PARITY FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Foreign Government Securities | | $ | — | | | $ | 63,295,511 | | | $ | — | | | $ | 63,295,511 | |
U.S. Treasury Obligations | | | — | | | | 96,976,699 | | | | — | | | | 96,976,699 | |
Short-Term Investments | | | — | | | | 284,937,495 | | | | — | | | | 284,937,495 | |
Futures Contracts* | | | 8,982,214 | | | | — | | | | — | | | | 8,982,214 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 3,853,988 | | | | — | | | | 3,853,988 | |
Interest Rate Swap Contracts* | | | — | | | | 542,762 | | | | — | | | | 542,762 | |
Credit Default Swap Contracts* | | | — | | | | 20,079,410 | | | | — | | | | 20,079,410 | |
Total Return Swaps Contracts* | | | — | | | | 601,496 | | | | — | | | | 601,496 | |
| | | | |
Total Assets | | $ | 8,982,214 | | | $ | 470,287,361 | | | $ | — | | | $ | 479,269,575 | |
|
LIABILITIES | |
Futures Contracts* | | $ | (4,184,784 | ) | | $ | — | | | $ | — | | | $ | (4,184,784 | ) |
Forward Foreign Currency Exchange Contracts* | | | — | | | | (2,869,121 | ) | | | — | | | | (2,869,121 | ) |
Interest Rate Swap Contracts* | | | — | | | | (1,971,006 | ) | | | — | | | | (1,971,006 | ) |
Credit Default Swap Contracts* | | | — | | | | (141,608 | ) | | | — | | | | (141,608 | ) |
Total Return Swaps Contracts* | | | — | | | | (822,760 | ) | | | — | | | | (822,760 | ) |
| | | | |
Total Liabilities | | $ | (4,184,784 | ) | | $ | (5,804,495 | ) | | $ | — | | | $ | (9,989,279 | ) |
| | | | | | | | | | | | | | | | |
| AQR RISK PARITY II HV FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Foreign Government Securities | | $ | — | | | $ | 12,505,754 | | | $ | — | | | $ | 12,505,754 | |
U.S. Treasury Obligations | | | — | | | | 18,068,082 | | | | — | | | | 18,068,082 | |
Short-Term Investments | | | — | | | | 34,087,052 | | | | — | | | | 34,087,052 | |
Futures Contracts* | | | 1,901,011 | | | | — | | | | — | | | | 1,901,011 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 780 | | | | — | | | | 780 | |
Total Return Swaps Contracts* | | | — | | | | 124,459 | | | | — | | | | 124,459 | |
| | | | |
Total Assets | | $ | 1,901,011 | | | $ | 64,786,127 | | | $ | — | | | $ | 66,687,138 | |
|
LIABILITIES | |
Reverse Repurchase Agreements (Sold Short) | | $ | — | | | $ | (11,029,895 | ) | | $ | — | | | $ | (11,029,895 | ) |
Futures Contracts* | | | (901,718 | ) | | | — | | | | — | | | | (901,718 | ) |
Forward Foreign Currency Exchange Contracts* | | | — | | | | (118,553 | ) | | | — | | | | (118,553 | ) |
Total Return Swaps Contracts* | | | — | | | | (169,575 | ) | | | — | | | | (169,575 | ) |
| | | | |
Total Liabilities | | $ | (901,718 | ) | | $ | (11,318,023 | ) | | $ | — | | | $ | (12,219,741 | ) |
| | | | | | | | | | | | | | | | |
| AQR RISK PARITY II MV FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Foreign Government Securities | | $ | — | | | $ | 11,497,731 | | | $ | — | | | $ | 11,497,731 | |
U.S. Treasury Obligations | | | — | | | | 17,964,129 | | | | — | | | | 17,964,129 | |
Short-Term Investments | | | — | | | | 48,800,292 | | | | — | | | | 48,800,292 | |
Futures Contracts* | | | 1,768,846 | | | | — | | | | — | | | | 1,768,846 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 1,098 | | | | — | | | | 1,098 | |
Total Return Swaps Contracts* | | | — | | | | 142,651 | | | | — | | | | 142,651 | |
| | | | |
Total Assets | | $ | 1,768,846 | | | $ | 78,405,901 | | | $ | — | | | $ | 80,174,747 | |
|
LIABILITIES | |
Futures Contracts* | | $ | (822,069 | ) | | $ | — | | | $ | — | | | $ | (822,069 | ) |
Forward Foreign Currency Exchange Contracts* | | | — | | | | (107,221 | ) | | | — | | | | (107,221 | ) |
Total Return Swaps Contracts* | | | — | | | | (170,389 | ) | | | — | | | | (170,389 | ) |
| | | | |
Total Liabilities | | $ | (822,069 | ) | | $ | (277,610 | ) | | $ | — | | | $ | (1,099,679 | ) |
| | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
277
| | |
| Notes to Financial Statements | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 28,150,900 | | | $ | 1,437,180,915 | | | $ | — | | | $ | 1,465,331,815 | |
Short-Term Investments | | | — | | | | 4,025,986,807 | | | | — | | | | 4,025,986,807 | |
Futures Contracts* | | | 127,056,777 | | | | — | | | | — | | | | 127,056,777 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 54,184,137 | | | | — | | | | 54,184,137 | |
Total Return Basket Swaps Contracts* | | | — | | | | 193,433,790 | | | | — | | | | 193,433,790 | |
Total Return Swaps Contracts* | | | — | | | | 15,928,546 | | | | — | | | | 15,928,546 | |
| | | | |
Total Assets | | $ | 155,207,677 | | | $ | 5,726,714,195 | | | $ | — | | | $ | 5,881,921,872 | |
|
LIABILITIES | |
Common Stocks (Sold Short)† | | $ | (27,456,273 | ) | | $ | (1,086,036,388 | ) | | $ | (3 | ) | | $ | (1,113,492,664 | ) |
Futures Contracts* | | | (81,835,237 | ) | | | — | | | | — | | | | (81,835,237 | ) |
Forward Foreign Currency Exchange Contracts* | | | — | | | | (60,331,843 | ) | | | — | | | | (60,331,843 | ) |
Total Return Basket Swaps Contracts* | | | — | | | | (5,030,427 | ) | | | — | | | | (5,030,427 | ) |
Total Return Swaps Contracts* | | | — | | | | (8,099,185 | ) | | | (52,083 | ) | | | (8,151,268 | ) |
| | | | |
Total Liabilities | | $ | (109,291,510 | ) | | $ | (1,159,497,843 | ) | | $ | (52,086 | ) | | $ | (1,268,841,439 | ) |
| | | | | | | | | | | | | | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | |
Common Stocks† | | $ | 1,104,018 | | | $ | 72,073,783 | | | $ | — | | | $ | 73,177,801 | |
Short-Term Investments | | | — | | | | 426,117,526 | | | | — | | | | 426,117,526 | |
Futures Contracts* | | | 6,023,995 | | | | — | | | | — | | | | 6,023,995 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 2,749,001 | | | | — | | | | 2,749,001 | |
Total Return Basket Swaps Contracts* | | | — | | | | 10,372,393 | | | | — | | | | 10,372,393 | |
Total Return Swaps Contracts | | | — | | | | 889,726 | | | | — | | | | 889,726 | |
| | | | |
Total Assets | | $ | 7,128,013 | | | $ | 512,202,429 | | | $ | — | | | $ | 519,330,442 | |
|
LIABILITIES | |
Common Stocks (Sold Short)† | | $ | (1,077,068 | ) | | $ | (54,028,944 | ) | | $ | — | | | $ | (55,106,012 | ) |
Futures Contracts* | | | (3,573,602 | ) | | | — | | | | — | | | | (3,573,602 | ) |
Forward Foreign Currency Exchange Contracts* | | | — | | | | (3,097,648 | ) | | | — | | | | (3,097,648 | ) |
Total Return Basket Swaps Contracts* | | | — | | | | (188,458 | ) | | | — | | | | (188,458 | ) |
Total Return Swaps Contracts | | | — | | | | (410,089 | ) | | | — | | | | (410,089 | ) |
| | | | |
Total Liabilities | | $ | (4,650,670 | ) | | $ | (57,725,139 | ) | | $ | — | | | $ | (62,375,809 | ) |
| | * | Derivative instruments, including futures, total return swap, total return basket swap and forward foreign currency exchange contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Credit default swaps, interest rate swaps and option contracts are reported at market value. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and cleared derivatives. |
| | † | Please refer to the Schedule of Investments to view securities segregated by country. |
| | (a) | Security has zero value. |
The Funds recognize all transfers at the beginning of the reporting period, related unrealized appreciation/(depreciation) is also transferred out at the beginning of the reporting period. Transfers between Level 1 and 2 generally relate to whether the principal market for the security becomes active or inactive. Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g., frequency of trades), which resulted in a lack of or increase in available market inputs to determine price. During the period ended December 31, 2017, the amount of securities that transferred from Level 1 into Level 2 for the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund was $19,984,041 and $115,671,826 and the amount transferred from Level 2 into Level 1 for the AQR Diversified Arbitrage Fund was $2,054,561. There were no transfers of investments between levels for any of the remaining Funds.
There were no other Level 3 securities held at period end, except where noted in AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund. Securities classified as Level 3 in the Schedules of Investments are considered quantitatively insignificant in the aggregate for AQR Alternative Risk Premia Fund and AQR Style Premia Alternative Fund.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
278
| | |
| Notes to Financial Statements | | December 31, 2017 |
The following tables include a rollforward of the balances of investments classified within Level 3 of the fair value hierarchy for the period for each Fund that held Level 3 securities that were considered quantitatively significant:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
AQR DIVERSIFIED
ARBITRAGE FUND | | COMMON
STOCKS | | | LOAN PARTICIPATIONS/
CORPORATE
BONDS | | | CONVERTIBLE
BONDS | | | PREFERRED
STOCKS | | | RIGHTS | | | WARRANTS | | | SECURITIES
IN
LITIGATION | | | SHORT COMMON STOCKS | | | TOTAL RETURN BASKET
SWAP
CONTRACTS | |
Balance as of December 31, 2016 | | $ | 6,494,137 | | | $ | 3,219,344 | | | $ | 782,139 | | | $ | 692,778 | | | $ | 567,662 | | | $ | 17,778 | | | $ | 452,769 | | | $ | (402 | ) | | $ | 432,995 | |
Accrued discounts/(premiums) | | | — | | | | 41,679 | | | | 10,287 | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
Realized gain/(loss) | | | 152,246 | | | | (28,682,612 | ) | | | (1,004,610 | ) | | | — | | | | 217,031 | | | | (142,020 | ) | | | (728 | ) | | | — | | | | — | |
Change in unrealized appreciation/(depreciation) | | | 772,174 | | | | 29,384,678 | | | | 1,286,731 | | | | (58,802 | ) | | | (160,391 | ) | | | 331,159 | | | | (115,074 | ) | | | 402 | | | | — | |
Purchases1 | | | 3,348,859 | | | | 6,221,828 | | | | 1,911,994 | | | | — | | | | — | | | | — | | | | 122,087 | | | | — | | | | — | |
Sales2 | | | (3,505,184 | ) | | | (1,895,431 | ) | | | (1,851,523 | ) | | | — | | | | (217,031 | ) | | | — | | | | — | | | | — | | | | — | |
Transfers in to Level 3 | | | — | | | | 62 | | | | 4,050,239 | | | | — | | | | — | | | | 653,803 | | | | — | | | | — | | | | — | |
Transfers out of Level 3 | | | — | | | | (2,376,461 | ) | | | — | | | | — | | | | — | | | | (676 | ) | | | — | | | | — | | | | (432,995 | ) |
Balance as of December 31, 2017 | | $ | 7,262,232 | | | $ | 5,913,087 | | | $ | 5,185,257 | | | $ | 633,976 | | | $ | 407,271 | | | $ | 860,044 | | | $ | 459,054 | | | $ | — | (a) | | $ | — | |
Change in Unrealized appreciation/(depreciation) for securities still held at December 31, 2017 | | $ | 834,079 | | | $ | (295,503 | ) | | $ | (1,312,101 | ) | | $ | (58,802 | ) | | $ | (160,391 | ) | | $ | 202,103 | | | $ | (114,640 | ) | | $ | 402 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | COMMON STOCKS | | | CORPORATE BONDS | | | CONVERTIBLE BONDS | | | TOTAL RETURN BASKET SWAP
CONTRACTS-
SHORT | |
Balance as of December 31, 2016 | | $ | — | | | $ | — | (a) | | $ | 8,192,575 | | | $ | (71,858 | ) |
Accrued discounts/(premiums) | | | — | | | | — | | | | 57,782 | | | | — | |
Realized gain/(loss) | | | 9,242 | | | | (3,965,812 | ) | | | 531,365 | | | | — | |
Change in unrealized appreciation/(depreciation) | | | 5,314 | | | | 3,965,812 | | | | (535,445 | ) | | | 71,858 | |
Purchases1 | | | 23,136,045 | | | | — | | | | — | | | | — | |
Sales2 | | | (10,952,865 | ) | | | — | | | | (6,789,089 | ) | | | — | (a) |
Transfers in to Level 3 | | | — | | | | — | | | | — | | | | — | |
Transfers out of Level 3 | | | — | | | | — | | | | (1,073,188 | ) | | | — | |
Balance as of December 31, 2017 | | $ | 12,197,736 | | | $ | — | | | $ | 384,000 | | | $ | — | |
Change in Unrealized appreciation/(depreciation) for securities still held at December 31, 2017 | | $ | 5,314 | | | $ | — | | | $ | (96,000 | ) | | $ | — | |
| 1 | Purchases include all purchases of securities and securities received in corporate actions. |
| 2 | Sales include all sales of securities, maturities, pay downs and securities tendered in a corporate action. |
| (a) | Security has zero value. |
The fair market values of Level 3 investments are based on significant unobservable inputs that reflect the Adviser’s determination of assumptions that market participants might reasonably use in valuing the securities. Changes in significant unobservable inputs could cause significant changes in valuation to individual securities and in aggregate. Fair value determinations and valuation of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.
The significant unobservable inputs used in the fair value measurement of a Fund’s investments in common stocks, corporate bonds, convertible bonds, convertible preferred stocks and warrants potentially include credit spread, liquidity discount, earnings multiples and volatility. Significant increases in the credit spread or liquidity discount inputs in isolation would potentially result in a significantly lower fair value measurement, whereas an increase in volatility generally results in a higher fair value measurement. Generally, a change in the assumption used for the credit spread would be accompanied by a directionally-similar change in the assumptions used for the volatility and liquidity discount. Investments in common stocks potentially include liquidity discounts, theoretical values, book to value analysis and/or broker quotes. Significant changes in any of these inputs would significantly change the fair value measurement of the position.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
279
| | |
| Notes to Financial Statements | | December 31, 2017 |
The following table summarizes the quantitative inputs and assumptions used in the valuation of investments classified within Level 3 of the fair value hierarchy for the year ended December 31, 2017 for the AQR Diversified Arbitrage Fund and AQR Multi–Strategy Alternative Fund:
Quantitative Information about Level 3 Fair Value Measurements*
AQR DIVERSIFIED ARBITRAGE FUND
| | | | | | | | | | | | |
| INVESTMENT TYPE | | TOTAL FAIR
VALUE | | | VALUATION
METHODOLOGY | | UNOBSERVABLE INPUT(S) | | INPUT
VALUE/RANGE | | WEIGHTED
AVERAGE |
| | | | | | |
| Common Stock | | | $2,161,280 | | | Enterprise Value Waterfall Analysis | | Discount for Lack of Marketability** | | 18.74%—40.32% | | 20.30% |
| | | | | | | | Revenue Multiple | | 0.35x to 1.2x | | N/A |
| | | | | | |
| | | | $5,038,052 | | | Probability Weighted Expected Return | | Discount for Lack of Marketability** | | 8.84%—18.98% | | 12.31% |
| | | | | | | | Discount Rate | | 6.75% | | N/A |
| | | | | | | | Equity Cost of Capital | | 40.00% | | N/A |
| | | | | | | | Legal Fees (% of potential proceeds) | | 8.25%—15.00% | | 12.69% |
| | | | | | | | Premium to Merger Price | | 10.70% | | N/A |
| | | | | | | | Scenario Probability | | 33.33%—50.00% | | 39.65% |
| | | | | | | | | Term | | 1.01 to 1.55 years | | N/A |
| | | | | | |
| | | | $62,892 | | | Public Price Adjusted for Lack of Marketability | | Discount for Lack of Marketability** | | 9.98%—25.61% | | 18.39% |
| | | | | | |
| Preferred Stock | | | $633,976 | | | Enterprise Value Waterfall Analysis | | Equity Cost of Capital | | 17.09% | | N/A |
| | | | | | | | Term | | 10 years | | N/A |
| | | | | | |
| Rights | | | $254,456 | | | Probability Weighted Expected Return | | Discount for Lack of Marketability** | | 12.15%—39.93% | | 30.79% |
| | | | | | | | | Equity Cost of Capital | | 19.50% | | N/A |
| | | | | | | | | Scenario Probability | | 26.25%—75.00% | | 49.09% |
| | | | | | | | | Weighted Average Cost of Capital | | 29.00% | | N/A |
| | | | | | |
| Securities in Litigation | | | $458,540 | | | Liquidation Analysis | | Discount for Lack of Marketability** | | 30.00% | | N/A |
| | | | | | | | | Discount Rate | | 6.00% | | N/A |
| | | | | | | | | Future Fundings as % of Expected Proceeds | | 36.13% | | N/A |
| | | | | | | | | Recovery Probability | | 50.00% | | N/A |
| | | | | | | | | Term | | 2.75 years | | N/A |
AQR MULTI-STRATEGY ALTERNATIVE FUND
| | | | | | | | | | | | |
| INVESTMENT TYPE | | TOTAL
FAIR
VALUE | | | VALUATION
METHODOLOGY | | UNOBSERVABLE INPUT(S) | | INPUT
VALUE/RANGE | | WEIGHTED
AVERAGE |
| | | | | | |
| Common Stock | | | $12,197,736 | | | Probability Weighted Expected Return | | Discount for Lack of Marketability** | | 8.84% | | N/A |
| | | | | | | | Discount Rate | | 6.75% | | N/A |
| | | | | | | | | Equity Cost of Capital | | 40.00% | | N/A |
| | | | | | | | | Legal Fees (% of potential proceeds) | | 15.00% | | N/A |
| | | | | | | | | Premium to Merger Price | | 10.70% | | N/A |
| | | | | | | | | Scenario Probability | | 50.00% | | N/A |
| | | | | | | | | Term | | 1.55 years | | N/A |
| | * | The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At December 31, 2017, the value of these securities for the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund were $12,111,725 and $384,000, respectively. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 5. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of pricing vendor and/or broker due diligence, unchanged price review and consideration of macro or security specific events. |
| | ** | Represents amounts used when the reporting entity has determined that market participants would take into account discounts, as applicable, when pricing the investments. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
280
| | |
| Notes to Financial Statements | | December 31, 2017 |
6. Federal Income Tax Matters
At December 31, 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 Alternative Risk Premia Fund | | $ | 69,307,418 | | | $ | 3,774,838 | | | $ | (3,542,594 | ) | | $ | 232,244 | |
AQR Diversified Arbitrage Fund | | | 510,715,540 | | | | 79,228,832 | | | | (115,296,657 | ) | | | (36,067,825 | ) |
AQR Equity Market Neutral Fund | | | 1,895,217,739 | | | | 130,521,221 | | | | (61,921,966 | ) | | | 68,599,255 | |
AQR Global Macro Fund | | | 23,092,579 | | | | 2,090,856 | | | | (1,125,023 | ) | | | 965,833 | |
AQR Long-Short Equity Fund | | | 5,309,502,664 | | | | 311,175,869 | | | | (168,559,369 | ) | | | 142,616,500 | |
AQR Multi-Strategy Alternative Fund | | | 2,813,628,983 | | | | 440,344,979 | | | | (473,299,180 | ) | | | (32,954,201 | ) |
AQR Risk-Balanced Commodities Strategy Fund | | | 181,702,276 | | | | 17,255,300 | | | | (5,668,352 | ) | | | 11,586,948 | |
AQR Risk Parity Fund | | | 458,330,984 | | | | 21,220,871 | | | | (10,271,559 | ) | | | 10,949,312 | |
AQR Risk Parity II HV Fund | | | 52,324,266 | | | | 3,222,748 | | | | (1,079,617 | ) | | | 2,143,131 | |
AQR Risk Parity II MV Fund | | | 77,009,807 | | | | 3,069,830 | | | | (1,004,569 | ) | | | 2,065,261 | |
AQR Style Premia Alternative Fund | | | 4,364,802,816 | | | | 585,706,694 | | | | (337,429,077 | ) | | | 248,277,617 | |
AQR Style Premia Alternative LV Fund | | | 443,500,418 | | | | 30,262,870 | | | | (16,808,655 | ) | | | 13,454,215 | |
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals, and differences in the tax treatment of passive foreign investment companies (“PFIC”), investments in partnerships, convertible securities, contingent payment debt instruments (“CPDI”) and certain forward foreign currency, swap, and futures contracts.
As of December 31, 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 Alternative Risk Premia Fund | | $ | 289,904 | | | $ | (91,565 | ) | | $ | 229,886 | | | $ | (765,174 | ) | | $ | — | | | $ | (336,949 | ) |
AQR Diversified Arbitrage Fund | | | 325,210 | | | | (279,395,256 | ) | | | (49,564,907 | ) | | | (5,437,610 | ) | | | 283,303 | | | | (333,789,260 | ) |
AQR Equity Market Neutral Fund | | | 5,657,899 | | | | (24,696,851 | ) | | | 68,726,053 | | | | (184,396 | ) | | | — | | | | 49,502,705 | |
AQR Global Macro Fund | | | — | | | | (1,781,887 | ) | | | 976,876 | | | | (362,289 | ) | | | (155,854 | ) | | | (1,323,154 | ) |
AQR Long-Short Equity Fund | | | 54,672,479 | | | | 76,674,221 | | | | 142,376,396 | | | | — | | | | — | | | | 273,723,096 | |
AQR Multi-Strategy Alternative Fund | | | 444,458 | | | | (97,744,155 | ) | | | (89,023,950 | ) | | | (15,587,907 | ) | | | 2,323,394 | | | | (199,588,160 | ) |
AQR Risk-Balanced Commodities Strategy Fund | | | — | | | | (12,630 | ) | | | 9,801,401 | | | | — | | | | 10,739,391 | | | | 20,528,162 | |
AQR Risk Parity Fund | | | 6,010,126 | | | | 3,701,568 | | | | 6,488,414 | | | | (1,063,252 | ) | | | 2,090,727 | | | | 17,227,583 | |
AQR Risk Parity II HV Fund | | | 724,437 | | | | 220,517 | | | | 1,217,484 | | | | (31,299 | ) | | | 537,370 | | | | 2,668,509 | |
AQR Risk Parity II MV Fund | | | 693,000 | | | | 171,578 | | | | 1,269,019 | | | | (52,264 | ) | | | 513,053 | | | | 2,594,386 | |
AQR Style Premia Alternative Fund | | | — | | | | (61,106,702 | ) | | | 228,998,242 | | | | — | | | | 43,882,256 | | | | 211,773,796 | |
AQR Style Premia Alternative LV Fund | | | — | | | | (4,544,386 | ) | | | 12,548,273 | | | | — | | | | 2,216,912 | | | | 10,220,799 | |
The differences between book basis and tax basis components of net assets are primarily attributable to wash sale loss deferrals and other book and tax differences including, mark to market on PFICs, mark to market on forward foreign currency exchange contracts, mark to market on regulated futures contracts, mark to market and income on certain swaps, certain late year loss deferrals, straddle loss deferrals, loss deferrals on unsettled short sales, gain/(loss) recognition on constructive sales, investments in partnerships, investments in inflation protected securities, deemed dividends from convertible securities, Cayman subsidiary taxable income, CPDI accrued income, capital loss carryforwards and finance charges on equity swaps.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
281
| | |
| Notes to Financial Statements | | December 31, 2017 |
As of December 31, 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 Alternative Risk Premia Fund | | $ | (40,091 | ) | | $ | 60,767 | | | $ | (20,676 | ) |
AQR Diversified Arbitrage Fund | | | 19,894,925 | | | | (19,894,896 | ) | | | (29 | ) |
AQR Equity Market Neutral Fund | | | 54,993,072 | | | | (54,993,070 | ) | | | (2 | ) |
AQR Global Macro Fund | | | (74,895 | ) | | | 439,650 | | | | (364,755 | ) |
AQR Long-Short Equity Fund | | | 49,613,768 | | | | (49,613,768 | ) | | | — | |
AQR Multi-Strategy Alternative Fund | | | 295,464,736 | | | | (237,162,581 | ) | | | (58,302,155 | ) |
AQR Risk-Balanced Commodities Strategy Fund | | | 11,713,928 | | | | (10,837,777 | ) | | | (876,151 | ) |
AQR Risk Parity Fund | | | 1,091,715 | | | | (1,091,715 | ) | | | — | |
AQR Risk Parity II HV Fund | | | (249,795 | ) | | | 249,794 | | | | 1 | |
AQR Risk Parity II MV Fund | | | (240,656 | ) | | | 209,426 | | | | 31,230 | |
AQR Style Premia Alternative Fund | | | 318,582,373 | | | | (229,370,202 | ) | | | (89,212,171 | ) |
AQR Style Premia Alternative LV Fund | | | 19,377,551 | | | | (14,158,120 | ) | | | (5,219,431 | ) |
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, dividend expense for securities sold short, investments in PFICs, investments in certain swap contracts, net operating losses, finance charges and monthly reset on equity swaps, CPDI accrual income, taxable overdistributions and the tax treatment of income from investments in the Cayman subsidiary. 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 December 31, 2017 and December 31, 2016 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | DECEMBER 31, 2017 | | | DECEMBER 31, 2016 | |
| FUND | | ORDINARY INCOME | | | CAPITAL GAINS | | | RETURN OF CAPITAL | | | ORDINARY INCOME | | | CAPITAL GAINS | | | RETURN OF
CAPITAL | |
AQR Diversified Arbitrage Fund | | $ | 32,367,694 | | | $ | — | | | $ | — | | | $ | 33,236,700 | | | $ | — | | | $ | — | |
AQR Equity Market Neutral Fund | | | 74,392,692 | | | | — | | | | — | | | | 15,680,585 | | | | 85,029 | | | | — | |
AQR Global Macro Fund | | | 21,048 | | | | — | | | | — | | | | — | | | | 1,594,800 | | | | — | |
AQR Long-Short Equity Fund | | | 303,946,721 | | | | 162,111,238 | | | | — | | | | 53,420,812 | | | | 15,863,659 | | | | — | |
AQR Multi-Strategy Alternative Fund | | | 239,240,662 | | | | — | | | | — | | | | 30,410,375 | | | | 56,890,894 | | | | — | |
AQR Risk-Balanced Commodities Strategy Fund | | | 18,311 | | | | — | | | | — | | | | 9,257,448 | | | | — | | | | — | |
AQR Risk Parity Fund | | | 34,837,112 | | | | 11,101,385 | | | | — | | | | 17,645,522 | | | | 9,275,104 | | | | — | |
AQR Risk Parity II HV Fund | | | 4,059,743 | | | | 2,431,736 | | | | — | | | | 1,288,635 | | | | 996,808 | | | | — | |
AQR Risk Parity II MV Fund | | | 4,190,271 | | | | 2,485,045 | | | | — | | | | 1,561,747 | | | | 1,511,934 | | | | — | |
AQR Style Premia Alternative Fund | | | 317,427,865 | | | | — | | | | — | | | | 64,252,882 | | | | — | | | | — | |
AQR Style Premia Alternative LV Fund | | | 22,959,604 | | | | — | | | | — | | | | 1,164,533 | | | | 743,832 | | | | — | |
During the year ended December 31, 2017, the Funds utilized capital loss carryforwards in the amounts listed below:
| | | | | | | | |
| FUND | | SHORT-TERM | | | LONG-TERM | |
AQR Diversified Arbitrage Fund | | $ | 8,033,556 | | | $ | — | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
282
| | |
| Notes to Financial Statements | | December 31, 2017 |
As of December 31, 2017, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset future capital gains, if any, to the extent provided by the U.S. Treasury regulations:
| | | | | | | | |
| FUND | | SHORT-TERM | | | LONG-TERM | |
AQR Alternative Risk Premia Fund | | $ | 63,197 | | | $ | 28,368 | |
AQR Diversified Arbitrage Fund | | | 57,066,072 | | | | 222,329,184 | |
AQR Equity Market Neutral Fund | | | 24,696,851 | | | | — | |
AQR Global Macro Fund | | | 1,533,147 | | | | 248,740 | |
AQR Multi-Strategy Alternative Fund | | | — | | | | 97,744,155 | |
AQR Risk-Balanced Commodities Strategy Fund | | | 12,630 | | | | — | |
AQR Style Premia Alternative Fund | | | 61,106,702 | | | | — | |
AQR Style Premia Alternative LV Fund | | | 4,544,386 | | | | — | |
7. Investment Transactions
During the year ended December 31, 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 Alternative Risk Premia Fund | | $ | 75,345,431 | | | $ | 1,453,403 | | | $ | 66,064,329 | | | $ | 3,455,789 | |
AQR Diversified Arbitrage Fund | | | 679,761,418 | | | | 748,181,931 | | | | 134,083,853 | | | | 209,533,977 | |
AQR Equity Market Neutral Fund | | | 598,723,147 | | | | 497,923,652 | | | | 636,643,206 | | | | 544,810,523 | |
AQR Long-Short Equity Fund | | | 1,562,972,883 | | | | 1,219,887,786 | | | | 1,612,660,555 | | | | 1,318,861,042 | |
AQR Multi-Strategy Alternative Fund | | | 447,991,281 | | | | 1,064,259,371 | | | | 412,664,931 | | | | 739,452,908 | |
AQR Risk Parity Fund | | | 79,021,723 | | | | 74,690,506 | | | | — | | | | — | |
AQR Risk Parity II HV Fund | | | 14,220,566 | | | | 16,984,245 | | | | — | | | | — | |
AQR Risk Parity II MV Fund | | | 11,767,313 | | | | 14,215,092 | | | | — | | | | — | |
AQR Style Premia Alternative Fund | | | 947,279,662 | | | | 1,135,336,054 | | | | 923,912,503 | | | | 1,075,610,830 | |
AQR Style Premia Alternative LV Fund | | | 44,019,742 | | | | 63,358,960 | | | | 45,645,446 | | | | 62,259,764 | |
During the year ended December 31, 2017, the Funds had purchases and sales of long-term U.S. Government obligations as follows:
| | | | | | | | | | | | | | | | |
FUND | | PURCHASES | | | SALES | | | SECURITIES
SOLD SHORT | | | COVERS ON
SECURITIES SOLD
SHORT | |
AQR Diversified Arbitrage Fund | | $ | 1,074,260 | | | $ | 1,073,311 | | | $ | 12,622,799 | | | $ | 12,618,403 | |
AQR Risk Parity Fund | | | 49,128,527 | | | | 38,188,279 | | | | — | | | | — | |
AQR Risk Parity II HV Fund | | | 8,882,999 | | | | 9,303,326 | | | | — | | | | — | |
AQR Risk Parity II MV Fund | | | 7,431,095 | | | | 7,337,659 | | | | — | | | | — | |
8. Derivative Instruments and Activities
The Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds’ derivative contracts, are not accounted for as hedging instruments under GAAP. For financial reporting purposes, the Funds do not offset financial assets and financial liabilities that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities. All derivative instruments held by the Funds were subject to a master netting agreement or similar arrangement.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
283
| | |
| Notes to Financial Statements | | December 31, 2017 |
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 December 31, 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 | | | WRITTEN
OPTIONS
AT
MARKET
VALUE | |
| Equity Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Alternative Risk Premia Fund | | $ | 129,343 | | | $ | 315,909 | | | $ | — | | | $ | 302,150 | | | $ | 24,891 | | | $ | — | | | $ | 149,325 | |
AQR Diversified Arbitrage Fund | | | 39,922 | | | | 11,852,728 | | | | — | | | | 371,819 | | | | 2,199,612 | | | | — | | | | — | |
AQR Equity Market Neutral Fund | | | 285,408 | | | | 85,357,042 | | | | — | | | | 154,670 | | | | 3,911,302 | | | | — | | | | — | |
AQR Global Macro Fund | | | 149,198 | | | | 57,743 | | | | — | | | | 223,556 | | | | 11,058 | | | | — | | | | — | |
AQR Long-Short Equity Fund | | | 14,531,109 | | | | 260,655,188 | | | | — | | | | 5,475,460 | | | | 15,520,979 | | | | — | | | | — | |
AQR Multi-Strategy Alternative Fund | | | 10,386,315 | | | | 164,647,128 | | | | — | | | | 12,388,847 | | | | 15,730,237 | | | | — | | | | 3,412,950 | |
AQR Risk Parity Fund | | | 1,756,586 | | | | 464,507 | | | | — | | | | 618,966 | | | | 852 | | | | — | | | | — | |
AQR Risk Parity II HV Fund | | | 334,843 | | | | 89,644 | | | | — | | | | 111,408 | | | | — | | | | — | | | | — | |
AQR Risk Parity II MV Fund | | | 322,739 | | | | 89,337 | | | | — | | | | 101,448 | | | | — | | | | — | | | | — | |
AQR Style Premia Alternative Fund | | | 36,319,801 | | | | 204,028,178 | | | | — | | | | 28,575,229 | | | | 13,139,799 | | | | — | | | | — | |
AQR Style Premia Alternative LV Fund | | | 1,793,609 | | | | 10,993,376 | | | | — | | | | 1,477,337 | | | | 596,467 | | | | — | | | | — | |
| | | | | | |
| Foreign Exchange Rate Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Alternative Risk Premia Fund | | | — | | | | — | | | | 723,986 | | | | — | | | | — | | | | 642,289 | | | | — | |
AQR Diversified Arbitrage Fund | | | — | | | | — | | | | 780 | | | | — | | | | — | | | | 110,840 | | | | — | |
AQR Equity Market Neutral Fund | | | — | | | | — | | | | 372,301 | | | | — | | | | — | | | | 1,247,270 | | | | — | |
AQR Global Macro Fund | | | — | | | | — | | | | 585,163 | | | | — | | | | — | | | | 723,600 | | | | — | |
AQR Long-Short Equity Fund | | | — | | | | — | | | | 8,930,381 | | | | — | | | | — | | | | 1,826,604 | | | | — | |
AQR Multi-Strategy Alternative Fund | | | — | | | | — | | | | 42,816,628 | | | | — | | | | — | | | | 47,176,096 | | | | — | |
AQR Risk Parity Fund | | | — | | | | — | | | | 3,853,988 | | | | — | | | | — | | | | 2,869,121 | | | | — | |
AQR Risk Parity II HV Fund | | | — | | | | — | | | | 780 | | | | — | | | | — | | | | 118,553 | | | | — | |
AQR Risk Parity II MV Fund | | | — | | | | — | | | | 1,098 | | | | — | | | | — | | | | 107,221 | | | | — | |
AQR Style Premia Alternative Fund | | | — | | | | — | | | | 54,184,137 | | | | — | | | | — | | | | 60,331,843 | | | | — | |
AQR Style Premia Alternative LV Fund | | | — | | | | — | | | | 2,749,001 | | | | — | | | | — | | | | 3,097,648 | | | | — | |
| | | | | | | |
| Interest Rate Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Alternative Risk Premia Fund | | | 86,415 | | | | — | | | | — | | | | 205,355 | | | | — | | | | — | | | | 90,202 | |
AQR Diversified Arbitrage Fund | | | 159,695 | | | | 61,829 | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR Global Macro Fund | | | 132,895 | | | | 991,105 | | | | — | | | | 61,620 | | | | 819,223 | | | | — | | | | — | |
AQR Multi-Strategy Alternative Fund | | | 10,098,125 | | | | 419,324 | | | | — | | | | 9,538,019 | | | | — | | | | — | | | | — | |
AQR Risk Parity Fund | | | — | | | | 542,762 | | | | — | | | | 1,608,770 | | | | 1,971,006 | | | | — | | | | — | |
AQR Risk Parity II HV Fund | | | 3,000 | | | | — | | | | — | | | | 398,756 | | | | — | | | | — | | | | — | |
AQR Risk Parity II MV Fund | | | 2,475 | | | | — | | | | — | | | | 382,506 | | | | — | | | | — | | | | — | |
AQR Style Premia Alternative Fund | | | 23,095,557 | | | | — | | | | — | | | | 14,668,176 | | | | — | | | | — | | | | — | |
AQR Style Premia Alternative LV Fund | | | 1,186,987 | | | | — | | | | — | | | | 749,643 | | | | — | | | | — | | | | — | |
| | | | | | | |
| Credit Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Diversified Arbitrage Fund | | | — | | | | — | | | | — | | | | — | | | | 1,124,852 | | | | — | | | | — | |
AQR Multi-Strategy Alternative Fund | | | — | | | | 25,683,813 | | | | — | | | | — | | | | 6,170,372 | | | | — | | | | — | |
AQR Risk Parity Fund | | | — | | | | 20,079,410 | | | | — | | | | — | | | | 141,608 | | | | — | | | | — | |
| | | | | | | |
| Commodity Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Alternative Risk Premia Fund | | | — | | | | — | | | | — | | | | 5,417 | | | | — | | | | — | | | | — | |
AQR Diversified Arbitrage Fund | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | |
AQR Global Macro Fund | | | 296,323 | | | | 2,631 | | | | — | | | | 97,941 | | | | 5,396 | | | | — | | | | — | |
AQR Multi-Strategy Alternative Fund | | | 27,139,034 | | | | 3,021,593 | | | | — | | | | 11,437,466 | | | | 1,729,630 | | | | — | | | | — | |
AQR Risk-Balanced Commodities Strategy Fund | | | 13,403,244 | | | | 1,089,966 | | | | — | | | | 4,988,620 | | | | 2,004,399 | | | | — | | | | — | |
AQR Risk Parity Fund | | | 7,225,628 | | | | 136,989 | | | | — | | | | 1,957,048 | | | | 821,908 | | | | — | | | | — | |
AQR Risk Parity II HV Fund | | | 1,563,168 | | | | 34,815 | | | | — | | | | 391,554 | | | | 169,575 | | | | — | | | | — | |
AQR Risk Parity II MV Fund | | | 1,443,632 | | | | 53,314 | | | | — | | | | 338,115 | | | | 170,389 | | | | — | | | | — | |
AQR Style Premia Alternative Fund | | | 67,641,419 | | | | 5,334,158 | | | | — | | | | 38,591,832 | | | | 41,896 | | | | — | | | | — | |
AQR Style Premia Alternative LV Fund | | | 3,043,399 | | | | 268,743 | | | | — | | | | 1,346,622 | | | | 2,080 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
284
| | |
| Notes to Financial Statements | | December 31, 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 | | | WRITTEN
OPTIONS
AT
MARKET
VALUE | |
| Netting: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Alternative Risk Premia Fund | | $ | (215,758 | ) | | $ | (24,891 | ) | | $ | (642,289 | ) | | $ | (215,758 | ) | | $ | (24,891 | ) | | $ | (642,289 | ) | | $ | — | |
AQR Diversified Arbitrage Fund | | | (199,617 | ) | | | (3,324,464 | ) | | | (780 | ) | | | (199,617 | ) | | | (3,324,464 | ) | | | (780 | ) | | | — | |
AQR Equity Market Neutral Fund | | | (154,670 | ) | | | (3,911,302 | ) | | | (372,301 | ) | | | (154,670 | ) | | | (3,911,302 | ) | | | (372,301 | ) | | | — | |
AQR Global Macro Fund | | | (383,117 | ) | | | (835,677 | ) | | | (585,163 | ) | | | (383,117 | ) | | | (835,677 | ) | | | (585,163 | ) | | | — | |
AQR Long-Short Equity Fund | | | (5,475,460 | ) | | | (15,520,979 | ) | | | (1,826,604 | ) | | | (5,475,460 | ) | | | (15,520,979 | ) | | | (1,826,604 | ) | | | — | |
AQR Multi-Strategy Alternative Fund | | | (33,364,332 | ) | | | (23,630,239 | ) | | | (42,816,628 | ) | | | (33,364,332 | ) | | | (23,630,239 | ) | | | (42,816,628 | ) | | | — | |
AQR Risk-Balanced Commodities Strategy Fund | | | (4,988,620 | ) | | | (1,089,966 | ) | | | — | | | | (4,988,620 | ) | | | (1,089,966 | ) | | | — | | | | — | |
AQR Risk Parity Fund | | | (4,184,784 | ) | | | (2,935,374 | ) | | | (2,869,121 | ) | | | (4,184,784 | ) | | | (2,935,374 | ) | | | (2,869,121 | ) | | | — | |
AQR Risk Parity II HV Fund | | | (901,718 | ) | | | (124,459 | ) | | | (780 | ) | | | (901,718 | ) | | | (124,459 | ) | | | (780 | ) | | | — | |
AQR Risk Parity II MV Fund | | | (822,069 | ) | | | (142,651 | ) | | | (1,098 | ) | | | (822,069 | ) | | | (142,651 | ) | | | (1,098 | ) | | | — | |
AQR Style Premia Alternative Fund | | | (81,835,237 | ) | | | (13,181,695 | ) | | | (54,184,137 | ) | | | (81,835,237 | ) | | | (13,181,695 | ) | | | (54,184,137 | ) | | | — | |
AQR Style Premia Alternative LV Fund | | | (3,573,602 | ) | | | (598,547 | ) | | | (2,749,001 | ) | | | (3,573,602 | ) | | | (598,547 | ) | | | (2,749,001 | ) | | | — | |
| | | | | | |
| Net Value of Derivative Contracts: | | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Alternative Risk Premia Fund | | | — | | | | 291,018 | | | | 81,697 | | | | 297,164 | | | | — | | | | — | | | | 239,527 | |
AQR Diversified Arbitrage Fund | | | — | | | | 8,590,093 | | | | — | | | | 172,202 | | | | — | | | | 110,060 | | | | — | |
AQR Equity Market Neutral Fund | | | 130,738 | | | | 81,445,740 | | | | — | | | | — | | | | — | | | | 874,969 | | | | — | |
AQR Global Macro Fund | | | 195,299 | | | | 215,802 | | | | — | | | | — | | | | — | | | | 138,437 | | | | — | |
AQR Long-Short Equity Fund | | | 9,055,649 | | | | 245,134,209 | | | | 7,103,777 | | | | — | | | | — | | | | — | | | | — | |
AQR Multi-Strategy Alternative Fund | | | 14,259,142 | | | | 170,141,619 | | | | — | | | | — | | | | — | | | | 4,359,468 | | | | 3,412,950 | |
AQR Risk-Balanced Commodities Strategy Fund | | | 8,414,624 | | | | — | | | | — | | | | — | | | | 914,433 | | | | — | | | | — | |
AQR Risk Parity Fund | | | 4,797,430 | | | | 18,288,294 | | | | 984,867 | | | | — | | | | — | | | | — | | | | — | |
AQR Risk Parity II HV Fund | | | 999,293 | | | | — | | | | — | | | | — | | | | 45,116 | | | | 117,773 | | | | — | |
AQR Risk Parity II MV Fund | | | 946,777 | | | | — | | | | — | | | | — | | | | 27,738 | | | | 106,123 | | | | — | |
AQR Style Premia Alternative Fund | | | 45,221,540 | | | | 196,180,641 | | | | — | | | | — | | | | — | | | | 6,147,706 | | | | — | |
AQR Style Premia Alternative LV Fund | | | 2,450,393 | | | | 10,663,572 | | | | — | | | | — | | | | — | | | | 348,647 | | | | — | |
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 December 31, 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 | | | WRITTEN
OPTIONS | | | FUTURES
CONTRACTS | | | SWAPS
CONTRACTS | | | FORWARD
CURRENCY
EXCHANGE
CONTRACTS | | | WRITTEN
OPTIONS | |
| Equity Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Alternative Risk Premia Fund | | $ | 48,073 | | | $ | 79,539 | | | $ | — | | | $ | 25,110 | | | $ | (172,808 | ) | | $ | 291,018 | | | $ | — | | | $ | 24,135 | |
AQR Diversified Arbitrage Fund | | | (6,441,590 | ) | | | 8,480,241 | | | | — | | | | 51,447 | | | | (582,721 | ) | | | 4,691,716 | | | | — | | | | — | |
AQR Equity Market Neutral Fund | | | 278,130 | | | | 55,037,373 | | | | — | | | | — | | | | 130,738 | | | | 9,930,499 | | | | — | | | | — | |
AQR Global Macro Fund | | | (688,044 | ) | | | 412,283 | | | | — | | | | — | | | | (263,500 | ) | | | 28,964 | | | | — | | | | — | |
AQR Long-Short Equity Fund | | | 317,159,448 | | | | 59,368,452 | | | | — | | | | — | | | | 6,082,137 | | | | 143,863,421 | | | | — | | | | — | |
AQR Multi-Strategy Alternative Fund | | | 36,991,782 | | | | 226,473,856 | | | | — | | | | 1,190,583 | | | | (14,954,202 | ) | | | (45,854,395 | ) | | | — | | | | (824,390 | ) |
AQR Risk Parity Fund | | | 27,291,174 | | | | 7,777,707 | | | | — | | | | — | | | | 701,920 | | | | 5,232 | | | | — | | | | — | |
AQR Risk Parity II HV Fund | | | 5,840,279 | | | | 1,665,016 | | | | — | | | | — | | | | 109,213 | | | | (26,471 | ) | | | — | | | | — | |
AQR Risk Parity II MV Fund | | | 5,739,246 | | | | 1,645,223 | | | | — | | | | — | | | | 110,595 | | | | (40,508 | ) | | | — | | | | — | |
AQR Style Premia Alternative Fund | | | (12,376,246 | ) | | | 232,620,483 | | | | — | | | | — | | | | (1,246,092 | ) | | | 28,678,284 | | | | — | | | | — | |
AQR Style Premia Alternative LV Fund | | | (2,303,073 | ) | | | 14,911,300 | | | | — | | | | — | | | | (126,016 | ) | | | 1,331,299 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
285
| | |
| Notes to Financial Statements | | December 31, 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 | | | WRITTEN
OPTIONS | | | FUTURES
CONTRACTS | | | SWAPS
CONTRACTS | | | FORWARD
CURRENCY
EXCHANGE
CONTRACTS | | | WRITTEN
OPTIONS | |
| | | | | | |
| Foreign Exchange Rate Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Alternative Risk Premia Fund | | $ | — | | | $ | — | | | $ | (31,945 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | 81,697 | | | $ | — | |
AQR Diversified Arbitrage Fund | | | — | | | | — | | | | (102,332 | ) | | | — | | | | — | | | | — | | | | (306,462 | ) | | | — | |
AQR Equity Market Neutral Fund | | | — | | | | — | | | | (4,577,939 | ) | | | — | | | | — | | | | — | | | | (1,553,526 | ) | | | — | |
AQR Global Macro Fund | | | — | | | | — | | | | (321,015 | ) | | | — | | | | — | | | | — | | | | (109,421 | ) | | | — | |
AQR Long-Short Equity Fund | | | — | | | | — | | | | 27,915,875 | | | | — | | | | — | | | | — | | | | 12,999,145 | | | | — | |
AQR Multi-Strategy Alternative Fund | | | — | | | | — | | | | (57,424,994 | ) | | | — | | | | — | | | | — | | | | 2,135,703 | | | | — | |
AQR Risk Parity Fund | | | — | | | | — | | | | (1,754,118 | ) | | | — | | | | — | | | | — | | | | (736,538 | ) | | | — | |
AQR Risk Parity II HV Fund | | | — | | | | — | | | | (1,073,750 | ) | | | — | | | | — | | | | — | | | | (316,550 | ) | | | — | |
AQR Risk Parity II MV Fund | | | — | | | | — | | | | (974,700 | ) | | | — | | | | — | | | | — | | | | (295,630 | ) | | | — | |
AQR Style Premia Alternative Fund | | | — | | | | — | | | | 23,100,288 | | | | — | | | | — | | | | — | | | | (6,281,178 | ) | | | — | |
AQR Style Premia Alternative LV Fund | | | — | | | | — | | | | 1,306,733 | | | | — | | | | — | | | | — | | | | (357,345 | ) | | | — | |
| | | | | | | | |
| Interest Rate Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Alternative Risk Premia Fund | | | (90,941 | ) | | | — | | | | — | | | | 5,602 | | | | (118,940 | ) | | | — | | | | — | | | | 11,402 | |
AQR Diversified Arbitrage Fund | | | 18,637 | | | | 1,346,589 | | | | — | | | | — | | | | 64,853 | | | | (782,703 | ) | | | — | | | | — | |
AQR Global Macro Fund | | | (565,417 | ) | | | (427,265 | ) | | | — | | | | — | | | | 242,029 | | | | 868,026 | | | | — | | | | — | |
AQR Multi-Strategy Alternative Fund | | | (48,926,235 | ) | | | 3,973,759 | | | | — | | | | — | | | | (444,428 | ) | | | (1,511,127 | ) | | | — | | | | — | |
AQR Risk Parity Fund | | | 1,328,939 | | | | 339,708 | | | | — | | | | — | | | | (1,545,883 | ) | | | 1,397,234 | | | | — | | | | — | |
AQR Risk Parity II HV Fund | | | 630,209 | | | | — | | | | — | | | | — | | | | (398,316 | ) | | | — | | | | — | | | | — | |
AQR Risk Parity II MV Fund | | | 616,364 | | | | — | | | | — | | | | — | | | | (364,862 | ) | | | — | | | | — | | | | — | |
AQR Style Premia Alternative Fund | | | (32,431,588 | ) | | | — | | | | — | | | | — | | | | 2,757,503 | | | | — | | | | — | | | | — | |
AQR Style Premia Alternative LV Fund | | | (1,739,062 | ) | | | — | | | | — | | | | — | | | | 175,117 | | | | — | | | | — | | | | — | |
| | | | | | | | |
| Credit Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Diversified Arbitrage Fund | | | — | | | | (1,635,655 | ) | | | — | | | | — | | | | — | | | | 438,040 | | | | — | | | | — | |
AQR Multi-Strategy Alternative Fund | | | — | | | | 25,273,735 | | | | — | | | | — | | | | — | | | | (2,443,538 | ) | | | — | | | | — | |
AQR Risk Parity Fund | | | — | | | | 17,371,170 | | | | — | | | | — | | | | — | | | | 1,096,665 | | | | — | | | | — | |
| | | | | | | | |
| Commodity Risk Exposure: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
AQR Alternative Risk Premia Fund | | | (85,249 | ) | | | — | | | | — | | | | — | | | | (5,416 | ) | | | — | | | | — | | | | — | |
AQR Global Macro Fund | | | (181,720 | ) | | | (50,132 | ) | | | — | | | | — | | | | 200,574 | | | | (6,807 | ) | | | — | | | | — | |
AQR Multi-Strategy Alternative Fund | | | (17,947,345 | ) | | | (15,894,805 | ) | | | — | | | | — | | | | 17,027,990 | | | | 7,127,333 | | | | — | | | | — | |
AQR Risk-Balanced Commodities Strategy Fund | | | 13,433,435 | | | | (2,593,218 | ) | | | — | | | | — | | | | 10,498,367 | | | | (904,771 | ) | | | — | | | | — | |
AQR Risk Parity Fund | | | 3,759,947 | | | | (15,817 | ) | | | — | | | | — | | | | 5,112,829 | | | | (888,882 | ) | | | — | | | | — | |
AQR Risk Parity II HV Fund | | | 728,356 | | | | (86,540 | ) | | | — | | | | — | | | | 1,072,779 | | | | (163,055 | ) | | | — | | | | — | |
AQR Risk Parity II MV Fund | | | 911,575 | | | | (87,474 | ) | | | — | | | | — | | | | 1,022,352 | | | | (135,712 | ) | | | — | | | | — | |
AQR Style Premia Alternative Fund | | | 99,702,980 | | | | 68,054 | | | | — | | | | — | | | | 51,894,177 | | | | 8,527,947 | | | | — | | | | — | |
AQR Style Premia Alternative LV Fund | | | 5,795,120 | | | | 64,316 | | | | — | | | | — | | | | 2,927,413 | | | | 438,624 | | | | — | | | | — | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
286
| | |
| Notes to Financial Statements | | December 31, 2017 |
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 December 31, 2017:
AQR ALTERNATIVE RISK PREMIA FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF ASSETS | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED | | | NET
AMOUNT | |
| BANA | | Total Return Swap Contracts | | $ | 315,909 | | | $ | (20,819 | ) | | $ | 295,090 | | | $ | — | | | $ | — | | | $ | 295,090 | |
| CITI | | Forward Foreign Currency Exchange Contracts | | | 292,450 | | | | (265,738 | ) | | | 26,712 | | | | — | | | | — | | | | 26,712 | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 431,536 | | | | (376,551 | ) | | | 54,985 | | | | — | | | | — | | | | 54,985 | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 1,039,895 | | | | (663,108 | ) | | | 376,787 | | | | — | | | | — | | | | 376,787 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF LIABILITIES | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
PLEDGED (a) | | | NET
AMOUNT | |
| BANA | | Total Return Swap Contracts | | $ | 20,819 | | | $ | (20,819 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| CITI | | Forward Foreign Currency Exchange Contracts | | | 265,738 | | | | (265,738 | ) | | | — | | | | — | | | | — | | | | — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 376,551 | | | | (376,551 | ) | | | — | | | | — | | | | — | | | | — | |
| MSCS | | Total Return Swap Contracts | | | 4,072 | | | | — | | | | 4,072 | | | | — | | | | (4,072 | ) | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 667,180 | | | | (663,108 | ) | | | 4,072 | | | | — | | | | (4,072 | ) | | | — | |
(a) In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 2,745,928. | | | | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
287
| | |
| Notes to Financial Statements | | December 31, 2017 |
AQR DIVERSIFIED ARBITRAGE FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF ASSETS | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED | | | NET
AMOUNT | |
| BANA | | Total Return Basket Swaps Contracts | | $ | 191,239 | | | $ | — | | | $ | 191,239 | | | $ | — | | | $ | (120,000 | ) | | $ | 71,239 | |
| CITI | | Forward Foreign Currency Exchange Contracts | | | 780 | | | | (780 | ) | | | — | | | | — | | | | — | | | | — | |
| DTBK | | Total Return Basket Swaps Contracts | | | 932,257 | | | | (536,195 | ) | | | 396,062 | | | | — | | | | — | | | | 396,062 | |
| GSIN | | Total Return Basket Swaps Contracts | | | 713,234 | | | | (713,234 | ) | | | — | | | | — | | | | — | | | | — | |
| JPMC | | Total Return Basket Swaps Contracts | | | 10,077,827 | | | | — | | | | 10,077,827 | | | | — | | | | (7,059,549 | ) | | | 3,018,278 | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 11,915,337 | | | | (1,250,209 | ) | | | 10,665,128 | | | | — | | | | (7,179,549 | ) | | | 3,485,579 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF LIABILITIES | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
PLEDGED (a) | | | NET
AMOUNT | |
| CITI | | Forward Foreign Currency Exchange Contracts | | $ | 78,395 | | | $ | (780 | ) | | $ | 77,615 | | | $ | — | | | $ | (77,615 | ) | | $ | — | |
| DTBK | | Total Return Basket Swaps Contracts | | | 536,195 | | | | (536,195 | ) | | | — | | | | — | | | | — | | | | — | |
| GSIN | | Total Return Basket Swaps Contracts | | | 1,663,417 | | | | (713,234 | ) | | | 950,183 | | | | — | | | | (950,183 | ) | | | — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 32,445 | | | | — | | | | 32,445 | | | | — | | | | — | | | | 32,445 | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 2,310,452 | | | | (1,250,209 | ) | | | 1,060,243 | | | | — | | | | (1,027,798 | ) | | | 32,445 | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 26,124,957. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
288
| | |
| Notes to Financial Statements | | December 31, 2017 |
AQR EQUITY MARKET NEUTRAL FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF
ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF ASSETS | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED | | | NET
AMOUNT | |
| CITI | | Forward Foreign Currency
Exchange Contracts | | $ | 148,927 | | | $ | (148,927 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| JPMC | | Forward Foreign Currency
Exchange Contracts | | | 223,374 | | | | (223,374 | ) | | | — | | | | — | | | | — | | | | — | |
| MSIP | | Total Return Basket Swaps Contracts | | | 85,357,042 | | | | (3,911,302 | ) | | | 81,445,740 | | | | — | | | | — | | | | 81,445,740 | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 85,729,343 | | | | (4,283,603 | ) | | | 81,445,740 | | | | — | | | | — | | | | 81,445,740 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF LIABILITIES | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
PLEDGED (a) | | | NET
AMOUNT | |
| CITI | | Forward Foreign Currency Exchange Contracts | | $ | 498,871 | | | $ | (148,927 | ) | | $ | 349,944 | | | $ | — | | | $ | (349,944 | ) | | $ | — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 748,399 | | | | (223,374 | ) | | | 525,025 | | | | — | | | | (525,025 | ) | | | — | |
| MSIP | | Total Return Basket Swaps Contracts | | | 3,911,302 | | | | (3,911,302 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 5,158,572 | | | | (4,283,603 | ) | | | 874,969 | | | | — | | | | (874,969 | ) | | | — | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 268,562,490. |
AQR GLOBAL MACRO FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF ASSETS | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED | | | NET
AMOUNT | |
| BANA | | Total Return Swap Contracts | | $ | 23,728 | | | $ | (9,421 | ) | | $ | 14,307 | | | $ | — | | | $ | — | | | $ | 14,307 | |
| CITI | | Forward Foreign Currency Exchange Contracts | | | 234,080 | | | | (234,080 | ) | | | — | | | | — | | | | — | | | | — | |
| GSIN | | Total Return Swap Contracts | | | 34,015 | | | | (1,637 | ) | | | 32,378 | | | | — | | | | — | | | | 32,378 | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 351,083 | | | | (351,083 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 642,906 | | | | (596,221 | ) | | | 46,685 | | | | — | | | | — | | | | 46,685 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
289
| | |
| Notes to Financial Statements | | December 31, 2017 |
AQR GLOBAL MACRO FUND (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES
PRESENTED IN THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF LIABILITIES | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
PLEDGED (a) | | | NET
AMOUNT | |
| BANA | | Total Return Swap Contracts | | $ | 9,421 | | | $ | (9,421 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| CITI | | Forward Foreign Currency Exchange Contracts | | | 288,821 | | | | (234,080 | ) | | | 54,741 | | | | — | | | | (54,741 | ) | | | — | |
| GSIN | | Total Return Swap Contracts | | | 1,637 | | | | (1,637 | ) | | | — | | | | — | | | | — | | | | — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 434,779 | | | | (351,083 | ) | | | 83,696 | | | | — | | | | (83,696 | ) | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 734,658 | | | | (596,221 | ) | | | 138,437 | | | | — | | | | (138,437 | ) | | | — | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 1,025,681. |
AQR GLOBAL MACRO OFFSHORE FUND LTD.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF ASSETS | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED | | | NET
AMOUNT | |
| MACQ | | Total Return Swap Contracts | | $ | 1,330 | | | $ | (1,330 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| SOCG | | Total Return Swap Contracts | | | 1,301 | | | | (775 | ) | | | 526 | | | | — | | | | — | | | | 526 | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 2,631 | | | | (2,105 | ) | | | 526 | | | | — | | | | — | | | | 526 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF LIABILITIES | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
PLEDGED (a) | | | NET
AMOUNT | |
| CITI | | Total Return Swap Contracts | | $ | 1,924 | | | $ | — | | | $ | 1,924 | | | $ | — | | | $ | (1,924 | ) | | $ | — | |
| MACQ | | Total Return Swap Contracts | | | 2,697 | | | | (1,330 | ) | | | 1,367 | | | | — | | | | — | | | | 1,367 | |
| SOCG | | Total Return Swap Contracts | | | 775 | | | | (775 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 5,396 | | | | (2,105 | ) | | | 3,291 | | | | — | | | | (1,924 | ) | | | 1,367 | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 58,580. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
290
| | |
| Notes to Financial Statements | | December 31, 2017 |
AQR LONG-SHORT EQUITY FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF ASSETS | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED (a) | | | NET
AMOUNT | |
| CITI | | Forward Foreign Currency Exchange Contracts | | $ | 3,572,354 | | | $ | (730,538 | ) | | $ | 2,841,816 | | | $ | — | | | $ | (1,580,000 | ) | | $ | 1,261,816 | |
| DTBK | | Total Return Basket Swaps Contracts | | | 61,923,948 | | | | — | | | | 61,923,948 | | | | — | | | | — | | | | 61,923,948 | |
| GSIN | | Total Return Swaps Contracts | | | 128,252 | | | | — | | | | 128,252 | | | | | | | | | | | | | |
| | | Total Return Basket Swaps Contracts | | | 197,461,982 | | | | (15,026,346 | ) | | | 182,435,636 | | | | | | | | | | | | | |
| | | Total GSIN | | | 197,590,234 | | | | (15,026,346 | ) | | | 182,563,888 | | | | — | | | | (182,563,888 | ) | | | — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 5,358,027 | | | | (1,096,066 | ) | | | 4,261,961 | | | | | | | | | | | | | |
| | | Total Return Swaps Contracts | | | 1,141,006 | | | | (81,372 | ) | | | 1,059,634 | | | | | | | | | | | | | |
| | | Total JPMC | | | 6,499,033 | | | | (1,177,438 | ) | | | 5,321,595 | | | | — | | | | — | | | | 5,321,595 | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 269,585,569 | | | | (16,934,322 | ) | | | 252,651,247 | | | | — | | | | (184,143,888 | ) | | | 68,507,359 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF LIABILITIES | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
PLEDGED (b) | | | NET
AMOUNT | |
| CITI | | Forward Foreign Currency Exchange Contracts | | $ | 730,538 | | | $ | (730,538 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| GSIN | | Total Return Basket Swaps Contracts | | | 15,026,346 | | | | (15,026,346 | ) | | | — | | | | — | | | | — | | | | — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 1,096,066 | | | | (1,096,066 | ) | | | — | | | | | | | | | | | | | |
| | | Total Return Swaps Contracts | | | 81,372 | | | | (81,372 | ) | | | — | | | | | | | | | | | | | |
| | | Total JPMC | | | 1,177,438 | | | | (1,177,438 | ) | | | — | | | | — | | | | — | | | | — | |
| MSIP | | Total Return Basket Swaps Contracts | | | 413,261 | | | | — | | | | 413,261 | | | | — | | | | (413,261 | ) | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 17,347,583 | | | | (16,934,322 | ) | | | 413,261 | | | | — | | | | (413,261 | ) | | | — | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 13,396,112. |
| (b) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 1,035,974,960. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
291
| | |
| Notes to Financial Statements | | December 31, 2017 |
AQR MULTI-STRATEGY ALTERNATIVE 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 (a) | | | NET
AMOUNT | |
| BANA | | Total Return Swap Contracts | | $ | 372,702 | | | $ | (31,631 | ) | | $ | 341,071 | | | | | | | | | | | | | |
| | | Total Return Basket Swaps Contracts | | | 1,094,767 | | | | — | | | | 1,094,767 | | | | | | | | | | | | | |
| | | Total BANA | | | 1,467,469 | | | | (31,631 | ) | | | 1,435,838 | | | $ | — | | | $ | (1,280,000 | ) | | $ | 155,838 | |
| CITI | | Forward Foreign Currency Exchange Contracts | | | 17,128,715 | | | | (17,128,715 | ) | | | — | | | | — | | | | — | | | | — | |
| DTBK | | Total Return Basket Swaps Contracts | | | 14,195,160 | | | | — | | | | 14,195,160 | | | | — | | | | — | | | | 14,195,160 | |
| GSIN | | Total Return Swap Contracts | | | 361,362 | | | | (5,480 | ) | | | 355,882 | | | | | | | | | | | | | |
| | | Total Return Basket Swaps Contracts | | | 14,437,070 | | | | (1,401,821 | ) | | | 13,035,249 | | | | | | | | | | | | | |
| | | Total GSIN | | | 14,798,432 | | | | (1,407,301 | ) | | | 13,391,131 | | | | — | | | | (13,391,131 | ) | | | — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 25,687,913 | | | | (25,687,913 | ) | | | — | | | | | | | | | | | | | |
| | Total Return Swap Contracts | | | 485,471 | | �� | | — | | | | 485,471 | | | | | | | | | | | | | |
| | | Total Return Basket Swaps Contracts | | | 132,183,465 | | | | (13,415,626 | ) | | | 118,767,839 | | | | | | | | | | | | | |
| | | Total JPMC | | | 158,356,849 | | | | (39,103,539 | ) | | | 119,253,310 | | | | — | | | | — | | | | 119,253,310 | |
| MSCS | | Total Return Swap Contracts | | | 1,882,511 | | | | (871,853 | ) | | | 1,010,658 | | | | — | | | | — | | | | 1,010,658 | |
| MSIP | | Total Return Basket Swaps Contracts | | | 53,944 | | | | (3,826 | ) | | | 50,118 | | | | — | | | | — | | | | 50,118 | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 207,883,080 | | | | (58,546,865 | ) | | | 149,336,215 | | | | — | | | | (14,671,131 | ) | | | 134,665,084 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
292
| | |
| Notes to Financial Statements | | December 31, 2017 |
AQR MULTI-STRATEGY ALTERNATIVE 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 (b) | | | NET
AMOUNT | |
| BANA | | Total Return Swap Contracts | | $ | 31,631 | | | $ | (31,631 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| CITI | | Forward Foreign Currency Exchange Contracts | | | 18,869,911 | | | | (17,128,715 | ) | | | 1,741,196 | | | | — | | | | — | | | | 1,741,196 | |
| GSIN | | Total Return Swap Contracts | | | 5,480 | | | | (5,480 | ) | | | — | | | | | | | | | | | | | |
| | | Total Return Basket Swaps Contracts | | | 1,401,821 | | | | (1,401,821 | ) | | | — | | | | | | | | | | | | | |
| | | Total GSIN | | | 1,407,301 | | | | (1,407,301 | ) | | | — | | | | — | | | | — | | | | — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 28,306,185 | | | | (25,687,913 | ) | | | 2,618,272 | | | | | | | | | | | | | |
| | | Total Return Basket Swaps Contracts | | | 13,415,626 | | | | (13,415,626 | ) | | | — | | | | | | | | | | | | | |
| | | Total JPMC | | | 41,721,811 | | | | (39,103,539 | ) | | | 2,618,272 | | | | — | | | | (2,618,272 | ) | | | — | |
| MSCS | | Total Return Swap Contracts | | | 871,853 | | | | (871,853 | ) | | | — | | | | — | | | | — | | | | — | |
| MSIP | | Total Return Basket Swaps Contracts | | | 3,826 | | | | (3,826 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 62,906,333 | | | | (58,546,865 | ) | | | 4,359,468 | | | | — | | | | (2,618,272 | ) | | | 1,741,196 | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 3,888,869. |
| (b) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 703,987,123. |
AQR MULTI-STRATEGY ALTERNATIVE OFFSHORE FUND LTD.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF ASSETS | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED (a) | | | NET
AMOUNT | |
| CITI | | Total Return Swap Contracts | | $ | 1,325,111 | | | $ | (139,875 | ) | | $ | 1,185,236 | | | $ | — | | | $ | (1,185,236 | ) | | $ | — | |
| GSIN | | Total Return Swap Contracts | | | 602,867 | | | | (67,192 | ) | | | 535,675 | | | | — | | | | — | | | | 535,675 | |
| MACQ | | Total Return Swap Contracts | | | 130,537 | | | | (49,569 | ) | | | 80,968 | | | | — | | | | — | | | | 80,968 | |
| MLIN | | Total Return Swap Contracts | | | 758,591 | | | | (174,815 | ) | | | 583,776 | | | | — | | | | — | | | | 583,776 | |
| SOCG | | Total Return Swap Contracts | | | 204,487 | | | | (204,487 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 3,021,593 | | | | (635,938 | ) | | | 2,385,655 | | | | — | | | | (1,185,236 | ) | | | 1,200,419 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
293
| | |
| Notes to Financial Statements | | December 31, 2017 |
AQR MULTI-STRATEGY ALTERNATIVE OFFSHORE FUND LTD. (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES
PRESENTED IN
THE STATEMENT OF
ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF LIABILITIES | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
PLEDGED (b) | | | NET
AMOUNT | |
| CITI | | Total Return Swap Contracts | | $ | 139,875 | | | $ | (139,875 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| GSIN | | Total Return Swap Contracts | | | 67,192 | | | | (67,192 | ) | | | — | | | | — | | | | — | | | | — | |
| MACQ | | Total Return Swap Contracts | | | 49,569 | | | | (49,569 | ) | | | — | | | | — | | | | — | | | | — | |
| MLIN | | Total Return Swap Contracts | | | 174,815 | | | | (174,815 | ) | | | — | | | | — | | | | — | | | | — | |
| SOCG | | Total Return Swap Contracts | | | 1,298,179 | | | | (204,487 | ) | | | 1,093,692 | | | | — | | | | (1,093,692 | ) | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 1,729,630 | | | | (635,938 | ) | | | 1,093,692 | | | | — | | | | (1,093,692 | ) | | | — | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $244,764. |
| (b) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $8,691,826. |
AQR RISK-BALANCED COMMODITIES STRATEGY OFFSHORE FUND LTD.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF ASSETS | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED | | | NET
AMOUNT | |
| CITI | | Total Return Swap Contracts | | $ | 626,934 | | | $ | (458,219 | ) | | $ | 168,715 | | | $ | — | | | $ | — | | | $ | 168,715 | |
| GSIN | | Total Return Swap Contracts | | | 127,696 | | | | (127,696 | ) | | | — | | | | — | | | | — | | | | — | |
| MACQ | | Total Return Swap Contracts | | | 133,979 | | | | (133,979 | ) | | | — | | | | — | | | | — | | | | — | |
| SOCG | | Total Return Swap Contracts | | | 201,357 | | | | (201,357 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 1,089,966 | | | | (921,251 | ) | | | 168,715 | | | | — | | | | — | | | | 168,715 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF LIABILITIES | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
PLEDGED (a) | | | NET
AMOUNT | |
| CITI | | Total Return Swap Contracts | | $ | 458,219 | | | $ | (458,219 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| GSIN | | Total Return Swap Contracts | | | 153,777 | | | | (127,696 | ) | | | 26,081 | | | | — | | | | (26,081 | ) | | | — | |
| MACQ | | Total Return Swap Contracts | | | 675,367 | | | | (133,979 | ) | | | 541,388 | | | | — | | | | (541,388 | ) | | | — | |
| SOCG | | Total Return Swap Contracts | | | 717,036 | | | | (201,357 | ) | | | 515,679 | | | | — | | | | (515,679 | ) | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 2,004,399 | | | | (921,251 | ) | | | 1,083,148 | | | | — | | | | (1,083,148 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 3,589,910. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
294
| | |
| Notes to Financial Statements | | December 31, 2017 |
AQR RISK PARITY FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF ASSETS | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED | | | NET
AMOUNT | |
| BANA | | Total Return Swap Contracts | | $ | 121,115 | | | $ | — | | | $ | 121,115 | | | $ | — | | | $ | — | | | $ | 121,115 | |
| CITI | | Forward Foreign Currency Exchange Contracts | | | 1,541,802 | | | | (1,147,598 | ) | | | 394,204 | | | | | | | | | | | | | |
| | | Interest Rate Swap Contracts | | | 1,972 | | | | (1,972 | ) | | | — | | | | | | | | | | | | | |
| | | Total CITI | | | 1,543,774 | | | | (1,149,570 | ) | | | 394,204 | | | | — | | | | — | | | | 394,204 | |
| GSIN | | Total Return Swap Contracts | | | 36,759 | | | | — | | | | 36,759 | | | | — | | | | — | | | | 36,759 | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 2,312,186 | | | | (1,721,523 | ) | | | 590,663 | | | | | | | | | | | | | |
| | | Total Return Swap Contracts | | | 54,994 | | | | (852 | ) | | | 54,142 | | | | | | | | | | | | | |
| | | Total JPMC | | | 2,367,180 | | | | (1,722,375 | ) | | | 644,805 | | | | — | | | | — | | | | 644,805 | |
| MSCS | | Total Return Swap Contracts | | | 251,639 | | | | — | | | | 251,639 | | | | — | | | | (120,000 | ) | | | 131,639 | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 4,320,467 | | | | (2,871,945 | ) | | | 1,448,522 | | | | — | | | | (120,000 | ) | | | 1,328,522 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF LIABILITIES | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
PLEDGED (a) | | | NET
AMOUNT | |
| CITI | | Forward Foreign Currency Exchange Contracts | | $ | 1,147,598 | | | $ | (1,147,598 | ) | | $ | — | | | | | | | | | | | | | |
| | | Interest Rate Swap Contracts | | | 586,861 | | | | (1,972 | ) | | | 584,889 | | | | | | | | | | | | | |
| | | Total CITI | | | 1,734,459 | | | | (1,149,570 | ) | | | 584,889 | | | $ | — | | | $ | (584,889 | ) | | $ | — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 1,721,523 | | | | (1,721,523 | ) | | | — | | | | | | | | | | | | | |
| | | Total Return Swap Contracts | | | 852 | | | | (852 | ) | | | — | | | | | | | | | | | | | |
| | | Total JPMC | | | 1,722,375 | | | | (1,722,375 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 3,456,834 | | | | (2,871,945 | ) | | | 584,889 | | | | — | | | | (584,889 | ) | | | — | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 20,225,802. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
295
| | |
| Notes to Financial Statements | | December 31, 2017 |
AQR RISK PARITY OFFSHORE FUND LTD.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF ASSETS | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED | | | NET
AMOUNT | |
| CITI | | Total Return Swap Contracts | | $ | 111,127 | | | $ | (102,184 | ) | | $ | 8,943 | | | $ | — | | | $ | — | | | $ | 8,943 | |
| GSIN | | Total Return Swap Contracts | | | 10,790 | | | | (10,790 | ) | | | — | | | | — | | | | — | | | | — | |
| MACQ | | Total Return Swap Contracts | | | 10,715 | | | | (10,715 | ) | | | — | | | | — | | | | — | | | | — | |
| MLIN | | Total Return Swap Contracts | | | 430 | | | | (430 | ) | | | — | | | | — | | | | — | | | | — | |
| SOCG | | Total Return Swap Contracts | | | 3,927 | | | | (3,927 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 136,989 | | | | (128,046 | ) | | | 8,943 | | | | — | | | | — | | | | 8,943 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF LIABILITIES | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
PLEDGED (a) | | | NET
AMOUNT | |
| CITI | | Total Return Swap Contracts | | $ | 102,184 | | | $ | (102,184 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| GSIN | | Total Return Swap Contracts | | | 57,266 | | | | (10,790 | ) | | | 46,476 | | | | — | | | | (46,476 | ) | | | — | |
| MACQ | | Total Return Swap Contracts | | | 141,238 | | | | (10,715 | ) | | | 130,523 | | | | — | | | | (130,523 | ) | | | — | |
| MLIN | | Total Return Swap Contracts | | | 237,570 | | | | (430 | ) | | | 237,140 | | | | — | | | | (237,140 | ) | | | — | |
| SOCG | | Total Return Swap Contracts | | | 283,650 | | | | (3,927 | ) | | | 279,723 | | | | — | | | | (279,723 | ) | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 821,908 | | | | (128,046 | ) | | | 693,862 | | | | — | | | | (693,862 | ) | | | — | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 2,279,546. |
AQR RISK PARITY II HV FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF ASSETS | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED | | | NET
AMOUNT | |
| BANA | | Total Return Swap Contracts | | $ | 33,146 | | | $ | — | | | $ | 33,146 | | | $ | — | | | $ | — | | | $ | 33,146 | |
| CITI | | Forward Foreign Currency Exchange Contracts | | | 312 | | | | (312 | ) | | | — | | | | — | | | | — | | | | — | |
| GSIN | | Total Return Swap Contracts | | | 56,498 | | | | — | | | | 56,498 | | | | — | | | | — | | | | 56,498 | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 468 | | | | (468 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 90,424 | | | | (780 | ) | | | 89,644 | | | | — | | | | — | | | | 89,644 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
296
| | |
| Notes to Financial Statements | | December 31, 2017 |
AQR RISK PARITY II HV 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 | |
| CITI | | Forward Foreign Currency Exchange Contracts | | $ | 47,418 | | | $ | (312 | ) | | $ | 47,106 | | | | | | | | | | | | | |
| | | Reverse Repurchase Agreements | | | 2,946,133 | | | | — | | | | 2,946,133 | | | | | | | | | | | | | |
| | | Total CITI | | | 2,993,551 | | | | (312 | ) | | | 2,993,239 | | | $ | (2,946,133 | ) | | $ | (47,106 | ) | | $ | — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 71,135 | | | | (468 | ) | | | 70,667 | | | | — | | | | (70,667 | ) | | | — | |
| MPFS | | Reverse Repurchase Agreements | | | 4,968,975 | | | | — | | | | 4,968,975 | | | | (4,968,975 | ) | | | — | | | | — | |
| MSCL | | Reverse Repurchase Agreements | | | 3,114,787 | | | | — | | | | 3,114,787 | | | | (3,114,787 | ) | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 11,148,448 | | | | (780 | ) | | | 11,147,668 | | | | (11,029,895 | ) | | | (117,773 | ) | | | — | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 1,048,319. |
AQR RISK PARITY II HV OFFSHORE FUND LTD.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF ASSETS | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED | | | NET
AMOUNT | |
| CITI | | Total Return Swap Contracts | | $ | 22,025 | | | $ | (22,025 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| GSIN | | Total Return Swap Contracts | | | 5,600 | | | | (5,600 | ) | | | — | | | | — | | | | — | | | | — | |
| SOCG | | Total Return Swap Contracts | | | 7,190 | | | | (7,190 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 34,815 | | | | (34,815 | ) | | | — | | | | — | | | | — | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF LIABILITIES | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
PLEDGED (a) | | | NET
AMOUNT | |
| CITI | | Total Return Swap Contracts | | $ | 34,416 | | | $ | (22,025 | ) | | $ | 12,391 | | | $ | — | | | $ | (12,391 | ) | | $ | — | |
| GSIN | | Total Return Swap Contracts | | | 6,625 | | | | (5,600 | ) | | | 1,025 | | | | — | | | | — | | | | 1,025 | |
| MACQ | | Total Return Swap Contracts | | | 90,005 | | | | — | | | | 90,005 | | | | — | | | | (90,005 | ) | | | — | |
| SOCG | | Total Return Swap Contracts | | | 38,529 | | | | (7,190 | ) | | | 31,339 | | | | — | | | | (31,339 | ) | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 169,575 | | | | (34,815 | ) | | | 134,760 | | | | — | | | | (133,735 | ) | | | 1,025 | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 317,210. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
297
| | |
| Notes to Financial Statements | | December 31, 2017 |
AQR RISK PARITY II MV FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF ASSETS | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED | | | NET
AMOUNT | |
| BANA | | Total Return Swap Contracts | | $ | 37,978 | | | $ | — | | | $ | 37,978 | | | $ | — | | | $ | — | | | $ | 37,978 | |
| CITI | | Forward Foreign Currency Exchange Contracts | | | 439 | | | | (439 | ) | | | — | | | | — | | | | — | | | | — | |
| GSIN | | Total Return Swap Contracts | | | 51,359 | | | | — | | | | 51,359 | | | | — | | | | — | | | | 51,359 | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 659 | | | | (659 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 90,435 | | | | (1,098 | ) | | | 89,337 | | | | — | | | | — | | | | 89,337 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES
PRESENTED IN THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF LIABILITIES | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
PLEDGED (a) | | | NET
AMOUNT | |
| CITI | | Forward Foreign Currency Exchange Contracts | | $ | 42,884 | | | $ | (439 | ) | | $ | 42,445 | | | $ | — | | | $ | (42,445 | ) | | $ | — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 64,337 | | | | (659 | ) | | | 63,678 | | | | — | | | | (63,678 | ) | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 107,221 | | | | (1,098 | ) | | | 106,123 | | | | — | | | | (106,123 | ) | | | — | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 898,714. |
AQR RISK PARITY II MV OFFSHORE FUND LTD.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF ASSETS | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED | | | NET
AMOUNT | |
| CITI | | Total Return Swap Contracts | | $ | 32,855 | | | $ | (32,855 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| GSIN | | Total Return Swap Contracts | | | 10,790 | | | | (7,341 | ) | | | 3,449 | | | | — | | | | — | | | | 3,449 | |
| MACQ | | Total Return Swap Contracts | | | 4,450 | | | | (4,450 | ) | | | — | | | | — | | | | — | | | | — | |
| SOCG | | Total Return Swap Contracts | | | 5,219 | | | | (5,219 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 53,314 | | | | (49,865 | ) | | | 3,449 | | | | — | | | | — | | | | 3,449 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
298
| | |
| Notes to Financial Statements | | December 31, 2017 |
AQR RISK PARITY II MV OFFSHORE FUND LTD. (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF LIABILITIES | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
PLEDGED (a) | | | NET
AMOUNT | |
| CITI | | Total Return Swap Contracts | | $ | 34,480 | | | $ | (32,855 | ) | | $ | 1,625 | | | $ | — | | | $ | (1,625 | ) | | $ | — | |
| GSIN | | Total Return Swap Contracts | | | 7,341 | | | | (7,341 | ) | | | — | | | | — | | | | — | | | | — | |
| MACQ | | Total Return Swap Contracts | | | 87,979 | | | | (4,450 | ) | | | 83,529 | | | | — | | | | (83,529 | ) | | | — | |
| SOCG | | Total Return Swap Contracts | | | 40,589 | | | | (5,219 | ) | | | 35,370 | | | | — | | | | (35,370 | ) | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 170,389 | | | | (49,865 | ) | | | 120,524 | | | | — | | | | (120,524 | ) | | | — | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 450,718. |
AQR STYLE PREMIA ALTERNATIVE 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 (a) | | | NET
AMOUNT | |
| BANA | | Total Return Swap Contracts | | $ | 5,913,070 | | | $ | (5,913,070 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| CITI | | Forward Foreign Currency Exchange Contracts | | | 21,674,172 | | | | (21,674,172 | ) | | | — | | | | — | | | | — | | | | — | |
| GSIN | | Total Return Swap Contracts | | | 4,681,318 | | | | — | | | | 4,681,318 | | | | | | | | | | | | | |
| | | Total Return Basket Swap Contracts | | | 185,168,125 | | | | (924,978 | ) | | | 184,243,147 | | | | | | | | | | | | | |
| | | Total GSIN | | | 189,849,443 | | | | (924,978 | ) | | | 188,924,465 | | | | — | | | | (188,924,465 | ) | | | — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 32,509,965 | | | | (32,509,965 | ) | | | — | | | | | | | | | | | | | |
| | | Total Return Basket Swap Contracts | | | 8,265,665 | | | | — | | | | 8,265,665 | | | | | | | | | | | | | |
| | | Total JPMC | | | 40,775,630 | | | | (32,509,965 | ) | | | 8,265,665 | | | | — | | | | — | | | | 8,265,665 | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 258,212,315 | | | | (61,022,185 | ) | | | 197,190,130 | | | | — | | | | (188,924,465 | ) | | | 8,265,665 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
299
| | |
| Notes to Financial Statements | | December 31, 2017 |
AQR STYLE PREMIA ALTERNATIVE 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 (b) | | | NET
AMOUNT | |
| BANA | | Total Return Swap Contracts | | $ | 8,109,372 | | | $ | (5,913,070 | ) | | $ | 2,196,302 | | | $ | — | | | $ | (2,196,302 | ) | | $ | — | |
| CITI | | Forward Foreign Currency Exchange Contracts | | | 24,132,721 | | | | (21,674,172 | ) | | | 2,458,549 | | | | — | | | | (2,458,549 | ) | | | — | |
| GSIN | | Total Return Basket Swap Contracts | | | 924,978 | | | | (924,978 | ) | | | — | | | | — | | | | — | | | | — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 36,199,122 | | | | (32,509,965 | ) | | | 3,689,157 | | | | — | | | | (3,689,157 | ) | | | — | |
| MSIP | | Total Return Basket Swap Contracts | | | 4,105,449 | | | | — | | | | 4,105,449 | | | | — | | | | (4,105,449 | ) | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 73,471,642 | | | | (61,022,185 | ) | | | 12,449,457 | | | | — | | | | (12,449,457 | ) | | | — | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 10,545,535. |
| (b) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 929,027,153. |
AQR STYLE PREMIA ALTERNATIVE OFFSHORE FUND LTD.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES | | | | |
COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF ASSETS | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED | | | NET
AMOUNT | |
| CITI | | Total Return Swap Contracts | | $ | 1,891,658 | | | $ | — | | | $ | 1,891,658 | | | $ | — | | | $ | — | | | $ | 1,891,658 | |
| GSIN | | Total Return Swap Contracts | | | 2,063,736 | | | | — | | | | 2,063,736 | | | | — | | | | — | | | | 2,063,736 | |
| MACQ | | Total Return Swap Contracts | | | 438,405 | | | | — | | | | 438,405 | | | | — | | | | — | | | | 438,405 | |
| SOCG | | Total Return Swap Contracts | | | 940,359 | | | | (41,896 | ) | | | 898,463 | | | | — | | | | — | | | | 898,463 | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 5,334,158 | | | | (41,896 | ) | | | 5,292,262 | | | | — | | | | — | | | | 5,292,262 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 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 | |
| SOCG | | Total Return Swap Contracts | | $ | 41,896 | | | $ | (41,896 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 41,896 | | | | (41,896 | ) | | | — | | | | — | | | | — | | | | — | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $17,869,715. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
300
| | |
| Notes to Financial Statements | | December 31, 2017 |
AQR STYLE PREMIA ALTERNATIVE LV 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 (a) | | | NET
AMOUNT | |
| BANA | | Total Return Swap Contracts | | $ | 252,053 | | | $ | (252,053 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| CITI | | Forward Foreign Currency Exchange Contracts | | | 1,099,790 | | | | (1,099,790 | ) | | | — | | | | — | | | | — | | | | — | |
| GSIN | | Total Return Swap Contracts | | | 156,895 | | | | — | | | | 156,895 | | | | | | | | | | | | | |
| | | Total Return Basket Swap Contracts | | | 10,372,393 | | | | (188,458 | ) | | | 10,183,935 | | | | | | | | | | | | | |
| | | Total GSIN | | | 10,529,288 | | | | (188,458 | ) | | | 10,340,830 | | | | — | | | | (10,340,830 | ) | | | — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 1,649,211 | | | | (1,649,211 | ) | | | — | | | | — | | | | — | | | | — | |
| MSCS | | Total Return Swap Contracts | | | 212,035 | | | | (112,901 | ) | | | 99,134 | | | | — | | | | — | | | | 99,134 | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 13,742,377 | | | | (3,302,413 | ) | | | 10,439,964 | | | | — | | | | (10,340,830 | ) | | | 99,134 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF LIABILITIES | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
PLEDGED (b) | | | NET
AMOUNT | |
| BANA | | Total Return Swap Contracts | | $ | 295,108 | | | $ | (252,053 | ) | | $ | 43,055 | | | $ | — | | | $ | (43,055 | ) | | $ | — | |
| CITI | | Forward Foreign Currency Exchange Contracts | | | 1,239,064 | | | | (1,099,790 | ) | | | 139,274 | | | | — | | | | (139,274 | ) | | | — | |
| GSIN | | Total Return Basket Swap Contracts | | | 188,458 | | | | (188,458 | ) | | | — | | | | — | | | | — | | | | — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 1,858,584 | | | | (1,649,211 | ) | | | 209,373 | | | | — | | | | (209,373 | ) | | | — | |
| MSCS | | Total Return Swap Contracts | | | 112,901 | | | | (112,901 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 3,694,115 | | | | (3,302,413 | ) | | | 391,702 | | | | — | | | | (391,702 | ) | | | — | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 679,170. |
| (b) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 46,376,698. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
301
| | |
| Notes to Financial Statements | | December 31, 2017 |
AQR STYLE PREMIA ALTERNATIVE LV OFFSHORE FUND LTD.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
ASSETS
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF ASSETS | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED (a) | | | NET
AMOUNT | |
| CITI | | Total Return Swap Contracts | | $ | 73,046 | | | $ | — | | | $ | 73,046 | | | $ | — | | | $ | (73,046 | ) | | $ | — | |
| GSIN | | Total Return Swap Contracts | | | 102,248 | | | | — | | | | 102,248 | | | | — | | | | — | | | | 102,248 | |
| MACQ | | Total Return Swap Contracts | | | 44,666 | | | | — | | | | 44,666 | | | | — | | | | — | | | | 44,666 | |
| SOCG | | Total Return Swap Contracts | | | 48,783 | | | | (2,080 | ) | | | 46,703 | | | | — | | | | — | | | | 46,703 | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 268,743 | | | | (2,080 | ) | | | 266,663 | | | | — | | | | (73,046 | ) | | | 193,617 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS
AMOUNTS OF
RECOGNIZED
LIABILITIES
PRESENTED IN
THE STATEMENT
OF ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET AMOUNTS
OF LIABILITIES | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
PLEDGED (b) | | | NET
AMOUNT | |
| SOCG | | Total Return Swap Contracts | | $ | 2,080 | | | $ | (2,080 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 2,080 | | | | (2,080 | ) | | | — | | | | — | | | | — | | | | — | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 26,954. |
| (b) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 1,013,178. |
For the year ended December 31, 2017, the quarterly average notional values of the derivatives held by the Funds were as follows:
Derivatives Volume Disclosure*
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | AQR
ALTERNATIVE
RISK PREMIA
FUND | | | AQR
DIVERSIFIED
ARBITRAGE
FUND | | | AQR
EQUITY
MARKET
NEUTRAL
FUND | | | AQR
GLOBAL
MACRO
FUND | | | AQR LONG-
SHORT EQUITY
FUND | | | AQR MULTI-
STRATEGY
ALTERNATIVE
FUND | | | AQR RISK-
BALANCED
COMMODITIES
STRATEGY
FUND | |
| Futures Contracts: | |
| Average Notional Balance—Long | | $ | 32,758,004 | | | $ | — | | | $ | 84,331,501 | | | $ | 30,928,520 | | | $ | 1,841,219,903 | | | $ | 4,438,934,551 | | | $ | 409,787,979 | |
| Average Notional Balance—Short | | | 45,385,931 | | | | 99,782,394 | | | | 15,983,359 | | | | 60,134,267 | | | | 4,861,648 | | | | 6,029,650,143 | | | | 86,021,440 | |
| Ending Notional Balance—Long | | | 44,542,361 | | | | — | | | | 84,331,501 | | | | 24,055,269 | | | | 2,276,113,037 | | | | 4,935,717,264 | | | | 370,809,330 | |
| Ending Notional Balance—Short | | | 74,982,720 | | | | 122,528,805 | | | | 15,983,359 | | | | 61,374,051 | | | | 4,861,648 | | | | 6,509,602,320 | | | | 48,717,128 | |
| Forward Foreign Currency Exchange Contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Settlement Value—Purchased | | | 31,359,921 | | | | 4,113,112 | | | | 19,757,194 | | | | 37,935,135 | | | | 723,453,891 | | | | 2,439,069,767 | | | | — | |
| Average Settlement Value—Sold | | | 27,576,891 | | | | 13,301,858 | | | | 84,126,091 | | | | 34,486,442 | | | | 39,772,755 | | | | 2,427,458,649 | | | | — | |
| Ending Value—Purchased | | | 54,703,437 | | | | 259,757 | | | | 24,104,601 | | | | 29,772,598 | | | | 973,012,344 | | | | 2,166,459,347 | | | | — | |
| Ending Value—Sold | | | 49,065,938 | | | | 5,736,597 | | | | 120,587,445 | | | | 33,269,811 | | | | 48,672,601 | | | | 2,279,869,636 | | | | — | |
| Exchange-Traded Options: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Number of Contracts—Written | | | 199 | | | | — | | | | — | | | | — | | | | — | | | | 331 | | | | — | |
| Ending Number of Contracts—Written | | | 347 | | | | — | | | | — | | | | — | | | | — | | | | 183 | | | | — | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
302
| | |
| Notes to Financial Statements | | December 31, 2017 |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | AQR
ALTERNATIVE
RISK PREMIA
FUND | | | AQR
DIVERSIFIED
ARBITRAGE
FUND | | | AQR
EQUITY
MARKET
NEUTRAL FUND | | | AQR GLOBAL
MACRO FUND | | | AQR LONG-
SHORT EQUITY
FUND | | | AQR MULTI-
STRATEGY
ALTERNATIVE
FUND | | | AQR RISK-
BALANCED
COMMODITIES
STRATEGY
FUND | |
| Credit Default Swaps: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Notional Balance—Buy Protection | | $ | — | | | $ | 17,080,000 | | | $ | — | | | $ | — | | | $ | — | | | $ | 236,678,416 | | | $ | — | |
| Average Notional Balance—Sell Protection | | | — | | | | — | | | | — | | | | — | | | | — | | | | 411,091,193 | | | | — | |
| Ending Notional Balance—Buy Protection | | | — | | | | 13,875,000 | | | | — | | | | — | | | | — | | | | 225,226,112 | | | | — | |
| Ending Notional Balance—Sell Protection | | | — | | | | — | | | | — | | | | — | | | | — | | | | 268,430,068 | | | | — | |
| Total Return Swaps: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Notional Balance—Long | | | 10,416,803 | | | | — | | | | — | | | | 4,274,550 | | | | 80,245,683 | | | | 364,578,641 | | | | 111,367,473 | |
| Average Notional Balance—Short | | | 4,861,416 | | | | — | | | | — | | | | 3,407,026 | | | | 294,779 | | | | 477,345,789 | | | | 44,078,663 | |
| Ending Notional Balance—Long | | | 17,509,403 | | | | — | | | | — | | | | 4,670,813 | | | | 136,099,522 | | | | 285,999,995 | | | | 103,812,340 | |
| Ending Notional Balance—Short | | | 6,710,511 | | | | — | | | | — | | | | 1,391,670 | | | | 522,322 | | | | 385,327,377 | | | | 17,721,674 | |
| Interest Rate-Related Swaps (Interest Rate Swaps): | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Notional Balance—Pays Fixed rate | | | — | | | | — | | | | — | | | | 301,886,779 | | | | — | | | | — | | | | — | |
| Average Notional Balance—Receives Fixed rate | | | — | | | | — | | | | — | | | | 200,997,889 | | | | — | | | | — | | | | — | |
| Ending Notional Balance—Pays Fixed Rate | | | — | | | | — | | | | — | | | | 220,687,024 | | | | — | | | | — | | | | — | |
| Ending Notional Balance—Receives Fixed Rate | | | — | | | | — | | | | — | | | | 132,765,384 | | | | — | | | | — | | | | — | |
| Total Return Basket Swaps: | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Average Notional of Underlying Positions—Long | | | — | | | | 184,012,729 | | | | 1,944,973,548 | | | | — | | | | 5,057,866,720 | | | | 5,856,651,195 | | | | — | |
| Average Notional of Underlying Positions—Short | | | — | | | | 64,868,688 | | | | 1,795,714,242 | | | | — | | | | 4,664,246,230 | | | | 4,807,792,193 | | | | — | |
| Ending Notional Balance—Long | | | — | | | | 177,939,845 | | | | 2,755,075,141 | | | | — | | | | 7,023,446,968 | | | | 5,557,460,992 | | | | — | |
| Ending Notional Balance—Short | | | — | | | | 59,762,036 | | | | 2,583,179,936 | | | | — | | | | 6,556,426,034 | | | | 4,637,659,587 | | | | — | |
| | | | | | | | | | | | | | | | | | | | |
| | | AQR RISK
PARITY
FUND | | | AQR RISK
PARITY II HV
FUND | | | AQR RISK
PARITY II
MV FUND | | | AQR STYLE
PREMIA
ALTERNATIVE
FUND | | | AQR STYLE
PREMIA
ALTERNATIVE
LV FUND | |
| Futures Contracts: | | | | | | | | | | | | | | | | | | | | |
| Average Notional Balance—Long | | $ | 563,839,533 | | | $ | 143,643,486 | | | $ | 135,911,680 | | | $ | 12,967,429,155 | | | $ | 691,078,572 | |
| Average Notional Balance—Short | | | 13,880,757 | | | | 3,286,989 | | | | 2,476,282 | | | | 7,792,445,413 | | | | 414,253,646 | |
| Ending Notional Balance—Long | | | 673,035,846 | | | | 155,387,557 | | | | 147,636,639 | | | | 15,058,570,198 | | | | 788,345,260 | |
| Ending Notional Balance—Short | | | 18,179,719 | | | | 3,228,052 | | | | 2,645,511 | | | | 11,370,178,766 | | | | 578,806,154 | |
| Forward Foreign Currency Exchange Contracts: | | | | | | | | | | | | | | | | | | | | |
| Average Settlement Value—Purchased | | | 134,605,879 | | | | 495,660 | | | | 578,659 | | | | 2,804,353,008 | | | | 146,335,118 | |
| Average Settlement Value—Sold | | | 136,430,005 | | | | 13,619,194 | | | | 12,681,455 | | | | 2,866,617,174 | | | | 149,913,682 | |
| Ending Value—Purchased | | | 146,191,406 | | | | 166,361 | | | | 144,805 | | | | 3,340,610,973 | | | | 169,663,108 | |
| Ending Value—Sold | | | 132,402,716 | | | | 12,702,836 | | | | 11,494,333 | | | | 3,486,210,874 | | | | 177,990,082 | |
| Credit Default Swaps: | | | | | | | | | | | | | | | | | | | | |
| Average Notional Balance—Buy Protection | | | — | | | | — | | | | — | | | | — | | | | — | |
| Average Notional Balance—Sell Protection | | | 378,917,098 | | | | — | | | | — | | | �� | — | | | | — | |
| Ending Notional Balance—Buy Protection | | | — | | | | — | | | | — | | | | — | | | | — | |
| Ending Notional Balance—Sell Protection | | | 391,471,193 | | | | — | | | | — | | | | — | | | | — | |
| Total Return Swaps: | | | | | | | | | | | | | | | | | | | | |
| Average Notional Balance—Long | | | 63,979,670 | | | | 14,286,954 | | | | 14,225,037 | | | | 643,925,647 | | | | 37,827,945 | |
| Average Notional Balance—Short | | | 7,798,361 | | | | 1,870,875 | | | | 1,873,341 | | | | 652,104,618 | | | | 33,146,513 | |
| Ending Notional Balance—Long | | | 66,261,814 | | | | 13,360,656 | | | | 13,359,074 | | | | 740,616,333 | | | | 42,517,751 | |
| Ending Notional Balance—Short | | | 875,822 | | | | 130,162 | | | | 128,490 | | | | 711,323,555 | | | | 35,159,441 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
303
| | |
| Notes to Financial Statements | | December 31, 2017 |
| | | | | | | | | | | | | | | | | | | | |
| | | AQR RISK
PARITY
FUND | | | AQR RISK
PARITY II HV
FUND | | | AQR RISK
PARITY II
MV FUND | | | AQR STYLE
PREMIA
ALTERNATIVE
FUND | | | AQR STYLE
PREMIA
ALTERNATIVE
LV FUND | |
Interest Rate-Related Swaps
(Interest Rate Swaps): | | | | | | | | | | | | | | | | | | | | |
| Average Notional Balance—Pays Fixed rate | | $ | 54,367,727 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| Average Notional Balance—Receives Fixed rate | | | 186,155,965 | | | | — | | | | — | | | | — | | | | — | |
| Ending Notional Balance—Pays Fixed Rate | | | 4,557,885 | | | | — | | | | — | | | | — | | | | — | |
| Ending Notional Balance—Receives Fixed Rate | | | 169,448,785 | | | | — | | | | — | | | | — | | | | — | |
| Total Return Basket Swaps: | | | | | | | | | | | | | | | | | | | | |
| Average Notional of Underlying Positions—Long | | | — | | | | — | | | | — | | | | 4,474,468,415 | | | | 230,098,149 | |
| Average Notional of Underlying Positions—Short | | | — | | | | — | | | | — | | | | 3,611,933,892 | | | | 186,117,725 | |
| Ending Notional Balance—Long | | | — | | | | — | | | | — | | | | 5,096,747,801 | | | | 249,128,264 | |
| Ending Notional Balance—Short | | | — | | | | — | | | | — | | | | 4,436,540,104 | | | | 217,138,518 | |
| * | Notional values as of each quarter end are used to calculate the average represented. |
9. Investment Advisory and Other Agreements
The Adviser serves as the investment adviser to each of the Funds pursuant to the Third Amended and Restated Investment Management Agreement, dated January 29, 2017 as amended, entered into by the Trust, on behalf of certain Funds (the “Investment Management Agreement”) and the Investment Management Agreement II, dated November 13, 2015, as amended, entered into by the Trust, on behalf of certain Funds (the “Investment Management Agreement II,” together with the Investment Management Agreement, the “Advisory Agreement”). Under the Advisory Agreement, the Adviser furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment decisions for the Funds, and manages the Funds’ investments in accordance with the stated policies of each Fund. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution, and also provides certain other administrative services to each Fund. The Adviser provides persons satisfactory to the Funds’ Board to serve as officers of the Funds.
Pursuant to the Advisory Agreement, the Funds currently pay the Investment Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:
| | | | |
| FUND | | RATIO | |
AQR Alternative Risk Premia Fund | | | 1.20 | % |
AQR Diversified Arbitrage Fund | | | 1.00 | |
AQR Equity Market Neutral Fund | | | 1.10 | |
AQR Global Macro Fund | | | 1.25 | |
AQR Long-Short Equity Fund | | | 1.10 | |
AQR Multi-Strategy Alternative Fund | | | 1.80 | |
AQR Risk-Balanced Commodities Strategy Fund | | | 0.80 | |
AQR Risk Parity Fund | | | 0.75 | (a) |
AQR Risk Parity II HV Fund | | | 0.95 | (b) |
AQR Risk Parity II MV Fund | | | 0.75 | (c) |
AQR Style Premia Alternative Fund | | | 1.35 | |
AQR Style Premia Alternative LV Fund | | | 0.65 | |
| (a) | The AQR Risk Parity Fund Advisory Fee is based on the following two tier structure. The first tier charges 0.75% on the first $1 billion of net assets and the second tier charges 0.70% on net assets in excess of $1 billion. |
| (b) | The AQR Risk Parity II HV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.95% of the first $1 billion of net assets; the second tier charges 0.925% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.90% on net assets in excess of $3 billion. |
| (c) | The AQR Risk Parity II MV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.75% of the first $1 billion of net assets; the second tier charges 0.725% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.70% on net assets in excess of $3 billion. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
304
| | |
| Notes to Financial Statements | | December 31, 2017 |
The Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Adviser has agreed to waive its fee and/or reimburse each Fund at least through April 30, 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 (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:
| | | | | | | | | | | | |
| FUND | | CLASS I | | | CLASS N | | | CLASS R6 | |
AQR Alternative Risk Premia Fund | | | 1.40 | % | | | 1.65 | % | | | 1.30 | % |
AQR Diversified Arbitrage Fund | | | 1.20 | | | | 1.45 | | | | 1.10 | |
AQR Equity Market Neutral Fund | | | 1.30 | | | | 1.55 | | | | 1.20 | |
AQR Global Macro Fund | | | 1.45 | | | | 1.70 | | | | 1.35 | |
AQR Long-Short Equity Fund | | | 1.30 | | | | 1.55 | | | | 1.20 | |
AQR Multi-Strategy Alternative Fund | | | 1.98 | | | | 2.23 | | | | 1.88 | |
AQR Risk-Balanced Commodities Strategy Fund | | | 1.00 | | | | 1.25 | | | | 0.90 | |
AQR Risk Parity Fund | | | 0.95 | | | | 1.20 | | | | 0.85 | |
AQR Risk Parity II HV Fund | | | 1.15 | | | | 1.40 | | | | 1.05 | |
AQR Risk Parity II MV Fund | | | 0.95 | | | | 1.20 | | | | 0.85 | |
AQR Style Premia Alternative Fund | | | 1.50 | | | | 1.75 | | | | 1.40 | |
AQR Style Premia Alternative LV Fund | | | 0.85 | | | | 1.10 | | | | 0.75 | |
For the year ended December 31, 2017 the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:
| | | | | | | | | | | | |
| FUND | | INVESTMENT ADVISORY
FEES WAIVED | | | EXPENSE
REIMBURSEMENTS | | | TOTAL | |
AQR Alternative Risk Premia Fund | | $ | 74,167 | | | $ | 18,209 | | | $ | 92,376 | |
AQR Diversified Arbitrage Fund | | | 254,970 | | | | 16,642 | | | | 271,612 | |
AQR Global Macro Fund | | | 241,067 | | | | 5,512 | | | | 246,579 | |
AQR Risk-Balanced Commodities Strategy Fund | | | 124,095 | | | | — | | | | 124,095 | |
AQR Risk Parity Fund | | | 58,751 | | | | 3,077 | | | | 61,828 | |
AQR Risk Parity II HV Fund | | | 167,317 | | | | 17,665 | | | | 184,982 | |
AQR Risk Parity II MV Fund | | | 176,659 | | | | 2,062 | | | | 178,721 | |
AQR Style Premia Alternative Fund | | | 588,080 | | | | — | | | | 588,080 | |
AQR Style Premia Alternative LV Fund | | | 72,987 | | | | 277 | | | | 73,264 | |
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.
For the year ended December 31, 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 December 31, 2017 are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | FEES WAIVED/
REIMBURSED
FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
DECEMBER 31,
2017 | | | POTENTIAL RECOUPMENT
AMOUNTS EXPIRING | |
| | | | 2018 | | | 2019 | | | 2020 | |
| | | | | |
| AQR ALTERNATIVE RISK PREMIA FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 20,548 | | | $ | 20,548 | | | $ | — | | | $ | — | | | $ | 20,548 | |
Class N | | | 6,655 | | | | 6,655 | | | | — | | | | — | | | | 6,655 | |
Class R6 | | | 65,173 | | | | 65,173 | | | | — | | | | — | | | | 65,173 | |
| | | | | |
| Totals | | $ | 92,376 | | | $ | 92,376 | | | $ | — | | | $ | — | | | $ | 92,376 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
305
| | |
| Notes to Financial Statements | | December 31, 2017 |
| | | | | | | | | | | | | | | | | | | | |
| | | FEES WAIVED/
REIMBURSED
FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
DECEMBER 31,
2017 | | | POTENTIAL RECOUPMENT
AMOUNTS EXPIRING | |
| | | | 2018 | | | 2019 | | | 2020 | |
| | | | | |
| AQR DIVERSIFIED ARBITRAGE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 213,571 | | | $ | 885,017 | | | $ | 282,849 | | | $ | 388,597 | | | $ | 213,571 | |
Class N | | | 54,260 | | | | 244,338 | | | | 67,672 | | | | 122,406 | | | | 54,260 | |
Class R6 | | | 3,781 | | | | 6,435 | | | | — | | | | 2,654 | | | | 3,781 | |
| | | | | |
| Totals | | $ | 271,612 | | | $ | 1,135,790 | | | $ | 350,521 | | | $ | 513,657 | | | $ | 271,612 | |
| | | | | |
| AQR EQUITY MARKET NEUTRAL FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
Class N | | | — | | | | 8,883 | | | | 8,883 | | | | — | | | | — | |
Class R6 | | | — | | | | 15,107 | | | | 10,327 | | | | 4,780 | | | | — | |
| | | | | |
| Totals | | $ | — | | | $ | 23,990 | | | $ | 19,210 | | | $ | 4,780 | | | $ | — | |
| | | | | |
| AQR GLOBAL MACRO FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 144,297 | | | $ | 423,610 | | | $ | 126,341 | | | $ | 152,972 | | | $ | 144,297 | |
Class N | | | 26,003 | | | | 133,552 | | | | 71,767 | | | | 35,782 | | | | 26,003 | |
Class R6 | | | 76,279 | | | | 102,057 | | | | 383 | | | | 25,395 | | | | 76,279 | |
| | | | | |
| Totals | | $ | 246,579 | | | $ | 659,219 | | | $ | 198,491 | | | $ | 214,149 | | | $ | 246,579 | |
| | | | | |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | — | | | $ | 24,508 | | | $ | 24,508 | | | $ | — | | | $ | — | |
Class N | | | — | | | | — | | | | — | | | | — | | | | — | |
Class R6 | | | — | | | | — | | | | — | | | | — | | | | — | |
| | | | | |
| Totals | | $ | — | | | $ | 24,508 | | | $ | 24,508 | | | $ | — | | | $ | — | |
| | | | | |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 52,799 | | | $ | 247,401 | | | $ | 138,642 | | | $ | 55,960 | | | $ | 52,799 | |
Class N | | | 4,376 | | | | 14,806 | | | | 7,371 | | | | 3,059 | | | | 4,376 | |
Class R6 | | | 66,920 | | | | 168,244 | | | | 30,833 | | | | 70,491 | | | | 66,920 | |
| | | | | |
| Totals | | $ | 124,095 | | | $ | 430,451 | | | $ | 176,846 | | | $ | 129,510 | | | $ | 124,095 | |
| | | | | |
| AQR RISK PARITY FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 54,202 | | | $ | 161,485 | | | $ | 33,168 | | | $ | 74,115 | | | $ | 54,202 | |
Class N | | | 2,300 | | | | 8,802 | | | | 3,043 | | | | 3,459 | | | | 2,300 | |
Class R6 | | | 5,326 | | | | 5,326 | | | | — | | | | — | | | | 5,326 | |
| | | | | |
| Totals | | $ | 61,828 | | | $ | 175,613 | | | $ | 36,211 | | | $ | 77,574 | | | $ | 61,828 | |
| | | | | |
| AQR RISK PARITY II HV FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 150,621 | | | $ | 462,544 | | | $ | 139,839 | | | $ | 172,084 | | | $ | 150,621 | |
Class N | | | 25,119 | | | | 75,331 | | | | 28,164 | | | | 22,048 | | | | 25,119 | |
Class R6 | | | 9,242 | | | | 25,368 | | | | 7,335 | | | | 8,791 | | | | 9,242 | |
| | | | | |
| Totals | | $ | 184,982 | | | $ | 563,243 | | | $ | 175,338 | | | $ | 202,923 | | | $ | 184,982 | |
| | | | | |
| AQR RISK PARITY II MV FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 168,303 | | | $ | 507,787 | | | $ | 164,768 | | | $ | 174,716 | | | $ | 168,303 | |
Class N | | | 9,047 | | | | 35,022 | | | | 12,819 | | | | 13,156 | | | | 9,047 | |
Class R6 | | | 1,371 | | | | 2,702 | | | | 150 | | | | 1,181 | | | | 1,371 | |
| | | | | |
| Totals | | $ | 178,721 | | | $ | 545,511 | | | $ | 177,737 | | | $ | 189,053 | | | $ | 178,721 | |
| | | | | |
| AQR STYLE PREMIA ALTERNATIVE FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 356,732 | | | $ | 1,145,244 | | | $ | 288,940 | | | $ | 499,572 | | | $ | 356,732 | |
Class N | | | 26,199 | | | | 87,739 | | | | 16,848 | | | | 44,692 | | | | 26,199 | |
Class R6 | | | 205,149 | | | | 553,285 | | | | 78,013 | | | | 270,123 | | | | 205,149 | |
| | | | | |
| Totals | | $ | 588,080 | | | $ | 1,786,268 | | | $ | 383,801 | | | $ | 814,387 | | | $ | 588,080 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
306
| | |
| Notes to Financial Statements | | December 31, 2017 |
| | | | | | | | | | | | | | | | | | | | |
| | | FEES WAIVED/
REIMBURSED
FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
DECEMBER 31,
2017 | | | POTENTIAL RECOUPMENT
AMOUNTS EXPIRING | |
| | | | 2018 | | | 2019 | | | 2020 | |
| | | | | |
| AQR STYLE PREMIA ALTERNATIVE LV FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 49,831 | | | $ | 306,646 | | | $ | 177,184 | | | $ | 79,631 | | | $ | 49,831 | |
Class N | | | 6,665 | | | | 68,236 | | | | 50,106 | | | | 11,465 | | | | 6,665 | |
Class R6 | | | 16,768 | | | | 108,924 | | | | 73,183 | | | | 18,973 | | | | 16,768 | |
| | | | | |
| Totals | | $ | 73,264 | | | $ | 483,806 | | | $ | 300,473 | | | $ | 110,069 | | | $ | 73,264 | |
During the year ended December 31, 2017, the Funds recouped amounts as follows:
| | | | | | | | | | | | |
| FUND | | CLASS I | | | CLASS N | | | CLASS R6 | |
AQR Diversified Arbitrage Fund | | $ | 16,825 | | | $ | 3,414 | | | $ | 354 | |
AQR Equity Market Neutral Fund | | | 114,438 | | | | 49,608 | | | | 59,473 | |
AQR Long-Short Equity Fund | | | 194,592 | | | | 38,685 | | | | — | |
AQR Multi-Strategy Alternative Fund | | | 283,772 | | | | 43,564 | | | | — | |
AQR Risk-Balanced Commodities Strategy Fund | | | 9,108 | | | | 777 | | | | 11,620 | |
AQR Risk Parity Fund | | | 35,950 | | | | 1,650 | | | | 3,432 | |
AQR Risk Parity II MV Fund | | | 4,032 | | | | 143 | | | | 35 | |
AQR Style Premia Alternative LV Fund | | | 253 | | | | 27 | | | | 81 | |
Pursuant to the Sub-Advisory Agreements between the Sub-Adviser, the Adviser and the Trust, the Adviser will pay the Sub-Adviser an annual fee, payable monthly, at the annual rate of 0.50% and 0.35% of the average daily net assets for the AQR Diversified Arbitrage Fund and the AQR Multi-Strategy Alternative Fund, respectively.
JPMorgan Chase Bank, N.A., serves as the Funds’ Administrator, Accounting Agent and Custodian.
State Street Bank and Trust Company, together with JPMorgan Chase Bank, N.A., serve as Custodian of the AQR Diversified Arbitrage Fund, the AQR Equity Market Neutral Fund, the AQR Long-Short Equity Fund, the AQR Multi-Strategy Alternative Fund, the AQR Style Premia Alternative Fund and the AQR Style Premia Alternative LV Fund.
ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.
10. Distribution Plan
The Trust has adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the Class N shares of the Funds. The Plan allows for the payment of services related to the distribution and servicing of these shares at a rate of up to 0.25% per annum of the average daily net asset value of the Class N shares of the Funds.
11. Principal Risks and Concentrations
In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.
Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. Convertible securities and nonconvertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income-producing securities in the Funds’ portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of slower than expected principal payments (extension risk).
Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies and non-U.S. denominated financial instruments. In addition, the Funds’ use of forward foreign currency exchange contracts may expose them to the risk that the value of the foreign currency changes unfavorably relative to the U.S. Dollar. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
307
| | |
| Notes to Financial Statements | | December 31, 2017 |
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.
12. 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
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
308
| | |
| Notes to Financial Statements | | December 31, 2017 |
(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 available is in the amount of $300,000,000, prior to February 24, 2017 the line of credit available was $285,000,000 at substantially similar terms. On February 16, 2018 the Board of Trustees approved the amended and restated line of credit, effective February 23, 2018 up to $350,000,000 at substantially similar terms. The Funds did not have any borrowings for the year ended December 31, 2017.
13. Principal Ownership
As of December 31, 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
ACCOUNTS | | | TOTAL
PERCENTAGE
INTEREST
HELD | |
AQR Alternative Risk Premia Fund* | | | 3 | | | | 91.77 | % |
AQR Diversified Arbitrage Fund | | | 5 | | | | 86.78 | % |
AQR Equity Market Neutral Fund | | | 6 | | | | 75.44 | % |
AQR Global Macro Fund* | | | 7 | | | | 92.63 | % |
AQR Long-Short Equity Fund | | | 8 | | | | 75.93 | % |
AQR Multi-Strategy Alternative Fund | | | 3 | | | | 78.75 | % |
AQR Risk-Balanced Commodities Strategy Fund | | | 5 | | | | 85.29 | % |
AQR Risk Parity Fund | | | 4 | | | | 81.77 | % |
AQR Risk Parity II HV Fund | | | 7 | | | | 94.90 | % |
AQR Risk Parity II MV Fund | | | 5 | | | | 85.98 | % |
AQR Style Premia Alternative Fund | | | 6 | | | | 82.79 | % |
AQR Style Premia Alternative LV Fund | | | 6 | | | | 90.81 | % |
| | * | The percentage held by the Adviser and/or affiliates is 6.57% and 52.75% respectively. |
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
14. 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.
In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”) No. 2017-08, Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). ASU 2017-08 updates the accounting standards to shorten the amortization period for the premium on certain purchased callable debt securities to the earliest call date. The update applies to securities with explicit, noncontingent call features that are callable at fixed prices and on preset dates. The Funds are required to apply ASU 2017-08 for fiscal years beginning after December 15, 2018 and interim periods within those fiscal years. Management is currently evaluating the impact of ASU 2017-08.
15. 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 | | | | | | December 2017 | | |
| | | | | | | | | | |
309
|
| Report of Independent Registered Public Accounting Firm |
To the Board of Trustees of AQR Funds and Shareholders of AQR Alternative Risk Premia Fund, AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Global Macro Fund, AQR Long-Short Equity Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II HV Fund, AQR Risk Parity II MV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the twelve funds listed in the table below (twelve of the funds constituting the AQR Funds, hereafter collectively referred to as the “Funds”) as of December 31, 2017, the related statements of operations, statements of changes in net assets, and for the eight funds designated with an asterisk in the table below, the statements of cash flows for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2017, the results of each of their operations, the changes in each of their net assets, and for the eight funds designated with an asterisk in the table below, each of their cash flows for the periods indicated in the table below and each of the financial highlights for each of the of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
| | |
AQR Alternative Risk Premia Fund* (1) | | AQR Risk-Balanced Commodities Strategy Fund (3) |
AQR Diversified Arbitrage Fund* (2) | | AQR Risk Parity Fund (3) |
AQR Equity Market Neutral Fund* (2) | | AQR Risk Parity II HV Fund* (2) |
AQR Global Macro Fund (3) | | AQR Risk Parity II MV Fund (3) |
AQR Long-Short Equity Fund* (2) | | AQR Style Premia Alternative Fund* (2) |
AQR Multi-Strategy Alternative Fund* (2) | | AQR Style Premia Alternative LV Fund* (2) |
| (1) | Statement of operations, changes in net assets and cash flows for the period September 19, 2017 (commencement of operations) through December 31, 2017 |
| (2) | Statement of operations and cash flows for the year ended December 31, 2017 and statement of changes in net assets for each of the two years ended December 31, 2017 |
| (3) | Statement of operations for the year ended December 31, 2017 and statement of changes in net assets for each of the two years ended December 31, 2017 |
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2017 by correspondence with the custodians, transfer agents, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
New York, New York
February 23, 2018
We have served as the auditor of one or more investment companies in AQR Funds since 2008.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
310
|
| Other Federal Tax Information (Unaudited) |
For the fiscal year ended December 31, 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 Diversified Arbitrage Fund | | | 3.69 | % |
AQR Equity Market Neutral Fund | | | 15.40 | % |
AQR Long-Short Equity Fund | | | 8.96 | % |
AQR Multi-Strategy Alternative Fund | | | 18.09 | % |
AQR Style Premia Alternative Fund | | | 10.20 | % |
AQR Style Premia Alternative LV Fund | | | 13.05 | % |
For the fiscal year ended December 31, 2017, the following percentages of income dividends paid by the Fund qualify for the dividends received deduction available to corporations:
| | | | |
| FUND | | PERCENTAGE | |
AQR Diversified Arbitrage Fund | | | 3.55 | % |
AQR Multi-Strategy Alternative Fund | | | 13.63 | % |
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 December 31, 2017:
| | | | |
| FUND | | TOTAL | |
AQR Long-Short Equity Fund | | $ | 162,111,238 | |
AQR Risk Parity Fund | | | 11,101,385 | |
AQR Risk Parity II HV Fund | | | 2,431,736 | |
AQR Risk Parity II MV Fund | | | 2,485,045 | |
The Funds designate the following amounts, or the maximum allowable under Section 871(k) of the Internal Revenue Code, as short-term capital gain dividends paid during the fiscal year ended December 31, 2017 to non-resident alien shareholders:
| | | | |
| FUND | | TOTAL | |
AQR Long-Short Equity Fund | | $ | 97,626,507 | |
AQR Multi-Strategy Alternative Fund | | | 46,876,350 | |
AQR Risk Parity Fund | | | 26,529,161 | |
AQR Risk Parity II HV Fund | | | 3,809,314 | |
AQR Risk Parity II MV Fund | | | 4,056,970 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
311
|
| 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 12/31/17” 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.
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
12/31/17 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
12/31/17 | |
| | | | |
| AQR Alternative Risk Premia Fund (1) | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,001.00 | | | | 2.65 | % | | | $7.48 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,011.85 | | | | 2.65 | % | | | $13.44 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,001.00 | | | | 2.90 | % | | | $8.19 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,010.59 | | | | 2.90 | % | | | $14.70 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,002.00 | | | | 2.55 | % | | | $7.20 | (a) |
Hypothetical Return | | | $1,000.00 | | | | $1,012.35 | | | | 2.55 | % | | | $12.93 | |
| | | | |
| AQR Diversified Arbitrage Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,013.10 | | | | 1.97 | % | | | $10.00 | |
Hypothetical Return | | | $1,000.00 | | | | $1,015.27 | | | | 1.97 | % | | | $10.01 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,010.90 | | | | 2.22 | % | | | $11.25 | |
Hypothetical Return | | | $1,000.00 | | | | $1,014.01 | | | | 2.22 | % | | | $11.27 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,013.00 | | | | 1.89 | % | | | $9.59 | |
Hypothetical Return | | | $1,000.00 | | | | $1,015.68 | | | | 1.89 | % | | | $9.60 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
312
|
| Fund Expense Examples (Unaudited) |
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
12/31/17 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
12/31/17 | |
| | | | |
| AQR Equity Market Neutral Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,047.00 | | | | 1.74 | % | | | $8.98 | |
Hypothetical Return | | | $1,000.00 | | | | $1,016.43 | | | | 1.74 | % | | | $8.84 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,045.10 | | | | 2.03 | % | | | $10.46 | |
Hypothetical Return | | | $1,000.00 | | | | $1,014.97 | | | | 2.03 | % | | | $10.31 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,046.80 | | | | 1.71 | % | | | $8.82 | |
Hypothetical Return | | | $1,000.00 | | | | $1,016.59 | | | | 1.71 | % | | | $8.69 | |
| | | | |
| AQR Global Macro Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,010.80 | | | | 1.37 | % | | | $6.94 | |
Hypothetical Return | | | $1,000.00 | | | | $1,018.30 | | | | 1.37 | % | | | $6.97 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,009.30 | | | | 1.70 | % | | | $8.61 | |
Hypothetical Return | | | $1,000.00 | | | | $1,016.64 | | | | 1.70 | % | | | $8.64 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,010.50 | | | | 1.35 | % | | | $6.84 | |
Hypothetical Return | | | $1,000.00 | | | | $1,018.40 | | | | 1.35 | % | | | $6.87 | |
| | | | |
| AQR Long-Short Equity Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,097.60 | | | | 1.73 | % | | | $9.15 | |
Hypothetical Return | | | $1,000.00 | | | | $1,016.48 | | | | 1.73 | % | | | $8.79 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,096.50 | | | | 1.92 | % | | | $10.15 | |
Hypothetical Return | | | $1,000.00 | | | | $1,015.53 | | | | 1.92 | % | | | $9.75 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,098.20 | | | | 1.66 | % | | | $8.78 | |
Hypothetical Return | | | $1,000.00 | | | | $1,016.84 | | | | 1.66 | % | | | $8.44 | |
| | | | |
| AQR Multi-Strategy Alternative Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,033.10 | | | | 2.33 | % | | | $11.94 | |
Hypothetical Return | | | $1,000.00 | | | | $1,013.46 | | | | 2.33 | % | | | $11.82 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,031.70 | | | | 2.59 | % | | | $13.26 | |
Hypothetical Return | | | $1,000.00 | | | | $1,012.15 | | | | 2.59 | % | | | $13.14 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,034.10 | | | | 2.22 | % | | | $11.38 | |
Hypothetical Return | | | $1,000.00 | | | | $1,014.01 | | | | 2.22 | % | | | $11.27 | |
| | | | |
| AQR Risk-Balanced Commodities Strategy Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,150.10 | | | | 0.97 | % | | | $5.26 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.32 | | | | 0.97 | % | | | $4.94 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,150.40 | | | | 1.25 | % | | | $6.78 | |
Hypothetical Return | | | $1,000.00 | | | | $1,018.90 | | | | 1.25 | % | | | $6.36 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,151.50 | | | | 0.90 | % | | | $4.88 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.67 | | | | 0.90 | % | | | $4.58 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
313
|
| Fund Expense Examples (Unaudited) |
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
12/31/17 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
12/31/17 | |
| | | | |
| AQR Risk Parity Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,101.10 | | | | 0.92 | % | | | $4.87 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.57 | | | | 0.92 | % | | | $4.69 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,099.90 | | | | 1.20 | % | | | $6.35 | |
Hypothetical Return | | | $1,000.00 | | | | $1,019.16 | | | | 1.20 | % | | | $6.11 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,101.90 | | | | 0.85 | % | | | $4.50 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.92 | | | | 0.85 | % | | | $4.33 | |
| | | | |
| AQR Risk Parity II HV Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,154.60 | | | | 1.37 | % | | | $7.44 | |
Hypothetical Return | | | $1,000.00 | | | | $1,018.30 | | | | 1.37 | % | | | $6.97 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,151.00 | | | | 1.66 | % | | | $9.00 | |
Hypothetical Return | | | $1,000.00 | | | | $1,016.84 | | | | 1.66 | % | | | $8.44 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,154.60 | | | | 1.34 | % | | | $7.28 | |
Hypothetical Return | | | $1,000.00 | | | | $1,018.45 | | | | 1.34 | % | | | $6.82 | |
| | | | |
| AQR Risk Parity II MV Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,099.10 | | | | 0.92 | % | | | $4.87 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.57 | | | | 0.92 | % | | | $4.69 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,097.40 | | | | 1.20 | % | | | $6.34 | |
Hypothetical Return | | | $1,000.00 | | | | $1,019.16 | | | | 1.20 | % | | | $6.11 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,100.30 | | | | 0.85 | % | | | $4.50 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.92 | | | | 0.85 | % | | | $4.33 | |
| | | | |
| AQR Style Premia Alternative Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,104.90 | | | | 1.95 | % | | | $10.35 | |
Hypothetical Return | | | $1,000.00 | | | | $1,015.38 | | | | 1.95 | % | | | $9.91 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,103.30 | | | | 2.17 | % | | | $11.50 | |
Hypothetical Return | | | $1,000.00 | | | | $1,014.27 | | | | 2.17 | % | | | $11.02 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,105.50 | | | | 1.84 | % | | | $9.76 | |
Hypothetical Return | | | $1,000.00 | | | | $1,015.93 | | | | 1.84 | % | | | $9.35 | |
| | | | |
| AQR Style Premia Alternative LV Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,057.30 | | | | 1.06 | % | | | $5.50 | |
Hypothetical Return | | | $1,000.00 | | | | $1,019.86 | | | | 1.06 | % | | | $5.40 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,055.40 | | | | 1.30 | % | | | $6.73 | |
Hypothetical Return | | | $1,000.00 | | | | $1,018.65 | | | | 1.30 | % | | | $6.61 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,057.90 | | | | 0.98 | % | | | $5.08 | |
Hypothetical Return | | | $1,000.00 | | | | $1,020.27 | | | | 0.98 | % | | | $4.99 | |
Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 184/365(to reflect the one-half year period unless stated otherwise).
| (1) | Commencement of operations was September 19, 2017. |
| (a) | Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 103/365 (to reflect the period since commencement of operations). |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
314
| | |
| Trustees and Officers (Unaudited) | | December 31, 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) (2009-2010)
(financial services) |
| | | 49 | | |
| Janus Capital
Group (2008-
2016); ETF
Securities (2010-
2013) |
|
| | | | |
| L. Joe Moravy, M.B.A., CPA, 1950 | |
| Trustee,
since 2008 |
| |
| Independent Consultant (2014-2016);
Managing Director, Finance Scholars
Group (2010-2014) (consulting) |
| | | 49 | | |
| 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-
2012) (insurance) |
| | | 49 | | |
| 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) |
| | | 49 | | | | None | |
| | | | |
| Brian Posner, M.B.A., 1961 | |
| Trustee,
since 2011 |
| |
| President, Point Rider Group LLC (since
2008) (consulting) |
| | | 49 | | |
| Biogen Inc. (since
2008); Bioverativ
Inc. (since 2017);
Arch Capital Group
(since 2010); BG
Medicine (2012-
2015) |
|
| | | | |
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) |
| | | 49 | | |
| 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) |
| | | 49 | | | | None | |
| | | | |
| Marco Hanig, Ph.D., 1958 | |
| Trustee, since 2014;
Chief Executive
Officer, since
2009; President,
since 2008 |
| |
| Principal, AQR Capital Management, LLC
(since 2008) |
| | | 49 | | | | 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 | | | | | | December 2017 | | |
| | | | | | | | | | |
315
| | |
| Trustees and Officers (Unaudited) | | December 31, 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 | | | | | | December 2017 | | |
| | | | | | | | | | |
316
| | |
| Board Approval of Investment Advisory Agreements (Unaudited) |
The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on November 16-17, 2017 to consider the continuation of the: (i) Third Amended and Restated Investment Management Agreement between AQR and the AQR Funds on behalf of the AQR Diversified Arbitrage Fund, AQR Equity Market Neutral Fund, AQR Global Macro Fund, AQR Long-Short Equity Fund, AQR Multi-Strategy Alternative Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II MV Fund, AQR Risk Parity II HV Fund, AQR Style Premia Alternative Fund and AQR Style Premia Alternative LV Fund; and (ii) the Second Amended and Restated Investment Sub-Advisory Agreement between AQR and CNH Partners, LLC (the “Sub-Adviser”) on behalf of the AQR Diversified Arbitrage Fund and the Investment Sub-Advisory Agreement between AQR and the Sub-Adviser for the AQR Multi-Strategy Alternative Fund (collectively, the “Sub-Advisory Agreements”). Each of the aforementioned series of the Trust may be referred to herein as a “Fund” and collectively, the “Funds.” The Investment Management Agreement and the Sub-Advisory Agreements are referred to collectively herein as the “Management Agreement,” as applicable and as the context suggests.
In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), held a separate telephonic meeting on November 11, 2017 with independent legal counsel and representatives of AQR to review the materials provided and the relevant legal considerations (together with the in-person meeting held on November 16-17, 2017, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed and considered materials furnished by AQR and CNH relevant to the Board’s consideration of whether to approve the continuation of the Management Agreement. These materials included: (i) memoranda and materials provided by AQR describing the personnel and services provided to the Funds; (ii) memoranda and materials provided by AQR, describing the personnel and services provided by CNH to the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund; (iii) performance information for the Funds relevant to the consideration of the Management Agreement; (iv) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ fees and expenses and performance relative to peers; (v) a discussion of the financial information and profitability of AQR and CNH and (vi) a discussion of the compliance programs of AQR and CNH and the regulatory exam histories of each. AQR and CNH are referred to herein as the “Adviser,” as applicable.
At the in-person meeting held on November 16-17, 2017, the Board, including the Independent Board Members, unanimously approved the continuation of the Management Agreement for an additional one-year period for each Fund. In approving the continuation of the Management Agreement for a Fund, the Board considered all factors it believed to be relevant with respect to the Fund, including, among other factors: (a) the nature, extent and quality of the services provided by the Adviser; (b) the investment performance of the Fund and the Adviser’s portfolio management; (c) the management fee and the cost of the services and profits to be realized by the Adviser from the relationship with the Funds and the fund complex; (d) economies of scale; and (e) other factors.
The Board also considered other matters it deemed important to the approval process, such as services related to the valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weightings to the various items considered.
In considering the renewal of the Management Agreement for each Fund, the Board did not view the Management Agreement as creating third-party beneficiary rights in shareholders to enforce the terms of the Management Agreement against the Adviser.
The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Management Agreement:
The Nature, Extent and Quality of the Services Provided by the Adviser. The Board Members reviewed the services that the Adviser provides to the Funds under the Management Agreement, including certain administrative services. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Funds’ stated investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services provided to the Funds, the Board Members took into account discussions they had with representatives of the Adviser regarding the management of each Fund’s investments in accordance with the Funds’ stated investment objectives and policies and the types of transactions that are entered into on behalf of the Funds. During these discussions, the Board Members asked questions of, and received answers from, representatives of the Adviser regarding the formulation and implementation of the Funds’ investment strategies, their efficacy and potential risks.
In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR also provides shareholder and administrative services, has responsibility for overseeing CNH with respect to the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund, provides oversight of Fund accounting, provides marketing services, provides risk management, provides compliance oversight, and provides assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board Members reviewed the compliance, shareholder and administrative services provided to the Funds by AQR under the Management Agreement. The Board Members recognized the enterprise risk involved in providing services to the Funds over time.
Finally, the Independent Board Members had an opportunity to meet outside the presence of Fund management in executive session separately with independent legal counsel to discuss and consider the Management Agreement. Based on the presentations and materials at the Meetings, the Board concluded that the services provided to the Funds by AQR pursuant to the Management Agreement were of a high quality and benefit the Funds.
Investment Performance of the Funds and the Adviser’s Portfolio Management. The Board considered the investment performance of each Fund. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated objectives and the Adviser’s efforts to achieve such goals as well as the performance of the Funds relative to funds identified by Morningstar as their peers. The Board was cognizant of the fact that in some cases Fund performance was challenged over certain measurement periods in comparison to
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| Board Approval of Investment Advisory Agreements (Unaudited) |
Morningstar peers or benchmarks. The Board considered that Morningstar comparisons may be of limited use in some cases due to the differences between the way a Fund is managed from other funds in the Morningstar category and peer group. In other cases, underperformance in relation to Morningstar peers may be due to differences in a Fund’s investment parameters compared to its peer funds, including risk limits, volatility targets, model limits on exposure to a particular country, and the Fund’s investment universe. Finally, the use of drawdown control and internal risk protections may affect a Fund’s performance in relation to its peers or benchmark. The Board also considered the Adviser’s performance in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds. Based on these factors, the Board Members determined that the performance of each Fund is satisfactory in light of its stated objectives and strategies.
The Management Fee and the Cost of the Services and Profits Realized by the Adviser from the Relationship with the Funds. The Board, including the Independent Board Members, received and reviewed information regarding the management fees paid by the Funds to the Adviser pursuant to the Management Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services provided to the Funds.
To assist in this analysis, the Board received a report independently prepared by Morningstar (the “Morningstar Report”). The Morningstar Report showed comparative fee information for each Fund’s respective Morningstar category, including expense comparisons of contractual investment management fees and actual net expenses. The Board also reviewed information regarding the fees the Adviser charges for other funds and accounts managed by the Adviser, including sub-advised mutual funds, with similar investment strategies to the Funds. The Board noted the greater services provided by the Adviser to the Funds in contrast to the limited role of the Adviser when it sub-advises third party mutual funds.
The Board also received and reviewed information regarding the profitability of the Adviser with respect to Fund-related activities and the profitability of CNH with respect to its sub-advisory services for two of the Funds. The Adviser provided the Board Members a detailed description of the methodology and inputs used to determine profitability. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Adviser, the types of funds managed, taxes, expense allocations and business mix.
The Board reviewed the Adviser’s unaudited financial information. The purpose of the review was to help the Independent Board Members determine whether the firm has the necessary resources to continue to provide high quality services to the Funds and attract and retain high quality employees.
Based on their review of the materials presented at the Meeting and discussions of these materials, the Board concluded that the management fees under the Management Agreement are reasonable and the Adviser’s and CNH’s profitability were not excessive.
Economies of Scale. The Adviser provided the Board with information concerning the extent to which economies of scale were realized as the Funds grew and whether fee levels were reflective of such economies of scale. To show that economies are being shared, the Adviser presented information regarding each Fund’s management fees relative to comparable funds of similar and/or larger sizes, showing that management fees were set at a competitive level. The Board recognized that economies were also being shared through the expense limitation agreements for the Funds. The Board noted that, under the Management Agreement, none of the Funds, except for the AQR Risk Parity Fund, AQR Risk Parity II MV Fund and AQR Risk Parity II HV Fund, have breakpoints in their management fees that would allow investors to benefit directly in the form of lower fees as fund assets grew. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit each Fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations.
Other Factors. The Board also took into account other ancillary or “fall-out” benefits that the Adviser or its affiliates may derive from its relationship with the Funds, both tangible and intangible, including the sub-advisory fees paid to CNH. The Board also received information regarding the Adviser’s brokerage and soft dollar practices, noting that the Adviser does not presently intend to make use of soft dollars to acquire third-party research. The Board considered that the Adviser is responsible for decisions to buy and sell securities for the Funds, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firm’s various advisory clients.
Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of investment management agreements. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the Independent Board Members, concluded that the management fee rates under the Management Agreement are reasonable in relation to the services provided by the Adviser (including CNH, when applicable) to the Funds, as well as the costs incurred and benefits to be gained by the Adviser (including CNH, when applicable) in providing such services, including the investment advisory and administrative components. The Board also found the investment management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar size. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the continuation of the Management Agreement with respect to each Fund. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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| Board Approval of Investment Advisory Agreements (Unaudited) |
The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on August 16-17, 2017 to consider the approval of the Investment Management Agreement II between the Trust, on behalf of the AQR Alternative Risk Premia Fund (the “New Fund”), and AQR Capital Management, LLC (“AQR” or the “Adviser”) (the “Investment Management Agreement”). In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), held a separate telephonic meeting on August 8, 2017 with independent legal counsel to review the materials provided and the relevant legal considerations (together with the in-person meeting held on August 16-17, 2017, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed and considered materials furnished by AQR relevant to the Board’s consideration of whether to approve the Investment Management Agreement. These materials included: (1) memoranda and materials provided by AQR describing the personnel and services to be provided to the New Fund; (2) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the New Fund’s proposed fees and expenses; (3) a discussion of the financial information of AQR; and (4) a discussion of the compliance program and the regulatory exam history of AQR.
At the in-person meeting held on August 16-17, 2017, the Board, including the Independent Board Members, unanimously approved the Investment Management Agreement for an initial two-year period. The Board considered all factors it believed to be relevant with respect to the New Fund, including, among other factors: (a) the nature, extent and quality of the services to be provided by the Adviser; (b) the investment performance of the Adviser and the Adviser’s portfolio management; (c) the management fee and the cost of the services and profits to be realized by the Adviser from the relationship with the New Fund; (d) economies of scale; and (e) other factors.
The Board also considered other matters it deemed important to the approval process, such as services related to the valuation and pricing of the New Fund’s portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the New Fund and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weightings to the various items considered.
In considering the approval of the Investment Management Agreement, the Board did not view the Investment Management Agreement as creating third-party beneficiary rights in shareholders to enforce the terms of the Investment Management Agreement.
The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Investment Management Agreement:
The Nature, Extent and Quality of the Services to be Provided by the Adviser. The Board Members reviewed the services that the Adviser would provide to the New Fund under the Investment Management Agreement, including certain administrative services. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the New Fund’s stated investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services to be provided to the New Fund, the Board Members took into account discussions they had with officers of the Adviser regarding the management of the New Fund’s investments in accordance with the New Fund’s stated investment objective and policies and the types of transactions that would be entered into on behalf of the New Fund. During these discussions, the Board Members asked questions of, and received answers from, the officers of the Adviser regarding the formulation and proposed implementation of the New Fund’s investment strategies, their efficacy and potential risks.
In addition to the investment advisory services to be provided to the New Fund, the Board Members considered that AQR also will provide shareholder and administrative services, oversight of Fund accounting, marketing services, risk management, compliance oversight, and assistance in meeting legal and regulatory requirements and other services necessary for the operation of the New Fund. In particular, the Board Members reviewed the compliance, shareholder and administrative services to be provided to the New Fund by AQR under the Investment Management Agreement. The Board Members recognized the entrepreneurial risk that AQR would assume in connection with launching the New Fund and the enterprise risk involved in providing services to the New Fund over time.
Finally, the Independent Board Members had multiple opportunities to meet outside the presence of Fund management in executive session separately with independent legal counsel to discuss and consider the Investment Management Agreement. Based on the presentations and materials at the Meetings, the Board concluded that the services to be provided to the New Fund by AQR pursuant to the Investment Management Agreement were expected to be of a high quality and would benefit the New Fund.
Investment Performance and the Adviser’s Portfolio Management. Because the New Fund is newly formed, the Board did not consider the investment performance of the New Fund. The Board based its review of the Adviser’s performance primarily on the experience of the Adviser in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the New Fund. The Board also considered the experience, resources and strengths of the Adviser with respect to the investment strategies proposed for the New Fund. Based on these factors, the Board Members determined that AQR would be an appropriate investment adviser for the New Fund.
The Management Fee and the Cost of the Services and Profits to be Realized by the Adviser from the Relationship with the New Fund. The Board, including the Independent Board Members, received and reviewed information regarding the management fees to be paid by the Fund to the Adviser pursuant to the Investment Management Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services to be provided to the New Fund.
To assist in this analysis, the Board received a report independently prepared by Morningstar. The report showed comparative fee information for the New Fund’s prospective Morningstar category, including expense comparisons of contractual investment management fees and actual net expenses. The Board also reviewed information comparing the proposed fee to those of other series of the Trust, including those with strategies similar to key strategies of the Fund. A comparison to an AQR-advised private fund was also considered.
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| Board Approval of Investment Advisory Agreement (Unaudited) |
The Board also received and reviewed information regarding the expected profitability of the Adviser with respect to New Fund-related activities. The Board also reviewed the Adviser’s methodology of determining profitability. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Adviser, the types of funds managed, taxes, expense allocations and business mix, and therefore comparability of profitability is somewhat limited.
The Board reviewed the Adviser’s unaudited financial information. The purpose of the review was to help the Independent Board Members determine whether the firm has the necessary resources to continue to provide high quality services to the New Fund and attract and retain high quality employees.
Based on their review of the materials presented at the Meeting, the Board concluded that the proposed management fees under the Investment Management Agreement are reasonable.
Economies of Scale. Because the New Fund is newly formed and had not commenced operations as of August 16-17, 2017, and the eventual aggregate amount of the New Fund’s assets was uncertain, the Adviser was not able to provide the Board with specific information concerning the extent to which economies of scale would be realized as the New Fund grows and whether fee levels would reflect such economies of scale. The Adviser presented information to show that economies are being shared due to the management fees being set at a level that is competitive relative to comparable funds of an anticipated size. The Board recognized that economies would also be shared through the adoption of expense limitation agreements for the New Fund. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit the New Fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations.
Other Factors. The Board also took into account other ancillary or “fall-out” benefits that the Adviser or its affiliates may derive from its relationship with the New Fund, both tangible and intangible. The Board also received information regarding the Adviser’s brokerage and soft dollar practices. The Board considered that the Adviser is responsible for decisions to buy and sell securities for the New Fund, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firm’s various advisory clients. The Board noted that the Adviser does not presently intend to make use of soft dollars to acquire third-party research.
Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of an investment management agreement. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the Independent Board Members, concluded that the proposed management fee rates under the Investment Management Agreement and projected total expense ratios are reasonable in relation to the services to be provided by the Adviser to the New Fund, as well as the costs incurred and benefits to be gained by the Adviser in providing such services, including the investment advisory and administrative components. The Board also found the proposed investment management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of an anticipated size. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the Investment Management Agreement. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.
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Investment Adviser
AQR Capital Management, LLC
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
Sub-Adviser
CNH Partners, LLC
Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
Transfer Agent
ALPS Fund Services, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Custodian
JPMorgan Chase Bank, N.A.
4 Metro Tech Center
Brooklyn, NY 11245
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Administrator
JPMorgan Chase Bank, N.A.
70 Fargo Street
Boston, MA 02210
Independent Registered Public Accounting Firm
PricewaterhouseCoopers, LLP
300 Madison Avenue
New York, NY 10017
You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website https://funds.aqr.com, or by accessing the SEC’s website at www.SEC.gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-551-8090.
The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and policies, experienced of its management, marketability of shares and other information.
AQR Funds
P.O. Box 2248, Denver, CO 80201-2248 | p: +1.866.290.2688 | w: https://funds.aqr.com
Annual Report
December 31, 2017
AQR Managed Futures Strategy Fund
AQR Managed Futures Strategy HV Fund
Table of Contents
Shareholder Letter (Unaudited)
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| AQR MANAGED FUTURES STRATEGY FUND | | | | |
Cliff Asness
Managing & Founding Principal
John Liew
Founding Principal
Brian Hurst
Principal
Ari Levine
Principal
Yao Hua Ooi
Principal
Dear Shareholder:
The AQR Managed Futures Strategy Fund (the “Fund”) actively invests in futures, futures-related instruments, forward contracts and swaps, both long and short across the global equity, fixed income, commodity and currency markets. The Fund uses both short-term and long-term trend-following signals to attempt to profit from different trends that occur in all of these markets. Trend following can be simply described as going long markets that are rising in price and going short markets that are falling in price.
In addition to trend-following signals, we also incorporate signals that seek to identify over-extended trends and reduce risk when the chance of a reversal is perceived as higher than normal, since market reversals generally cause losses for trend-following strategies.
We expect that the correlation of this strategy to equity markets will average close to zero over a full economic cycle. That said, it is the nature of the strategy to exhibit a positive beta when markets have been rising and a negative beta when the markets have been falling.
A strong fourth quarter helped the Fund recover most losses from earlier in the year. The Fund’s Class I shares returned -0.97% versus a +0.86% return for its benchmark, the BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM. The strategy underperformed the SG Trend Index, which returned +1.95% in 2017. This index is an equal weighted composite of 10 of the largest trend-following managed futures hedge funds. By asset class, gross of fees, equities contributed +8.52%, fixed income detracted -4.42%, commodities detracted -2.05%, and currencies detracted -1.77%.
2017 was a year of two halves. The first half was difficult for the Fund and the broader trend-following industry, while the second half exhibited sustained trends and positive performance.
The year began on the heels of a dramatic reversal in risk sentiment after the U.S. presidential election, with markets taking on new directions in response. Market dynamics reflected expectations for improving growth and rising inflation, driven in large part by the expansionary fiscal agenda of the new administration. Around the same time, the Organization of the Petroleum Exporting Countries’ (“OPEC”) and non-member partners agreed to cap future oil production, which supported energy prices. The Fund entered the year following these newer trends, with views that were bullish global equities, energies and the U.S. dollar, and bearish fixed income, especially U.S. bonds.
Over the first half of the year, a number of factors caused reversals in most of these trends, with equities the main exception. First, the data did not support expectations for rising inflation. At the start of the year, for example, economists polled by Bloomberg expected the U.S. Consumer Price Index (“CPI”) to register an increase of 2.3% in 2017. Expectations rose as high as 2.5% in March, but proceeded to fall significantly as CPI data published by the Bureau of Labor Statistics in April, May, and June showed a sudden and surprising slowdown in the pace of price increases. Globally, inflation remained subdued as well, allowing the European Central Bank (“ECB”) and Bank of Japan to maintain their accommodative monetary policies. These dynamics supported overall positive returns in global sovereign bond markets, as well as the depreciation of the U.S. dollar. Additionally, a revival in U.S. shale production and elevated global oil inventories caused reversals and ultimately a slide in energy prices.
Against this backdrop, fixed income and currency markets also exhibited shorter-term reversals. For example, leading up to the French election, German government bonds rallied and the euro sold off on rising risk aversion. These trends reversed sharply following Emmanuel Macron’s victory as uncertainty related to the future of the Eurozone diminished. Global bonds later rallied again, particularly as the story of subdued inflation unfolded and concerns arose over whether President Trump obstructed justice. Central bankers then sparked a global bond reversal and selloff as the Federal Reserve (“Fed”) raised rates in June despite weak inflation data, and as Mario Draghi from the ECB and Mark Carney from the Bank of England signaled a willingness to reduce monetary accommodation.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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2
Shareholder Letter (Unaudited)
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| AQR MANAGED FUTURES STRATEGY FUND | | | | |
In the second half, the Fund exhibited strong performance making back nearly all of its losses for the year. One of the key drivers was the sustained bullish trend in global equities, which contrasted with the other asset classes not just in the second half, but throughout all of 2017. In fact, the total return of the MSCI World Index was positive every month in 2017 (and in the last two months of 2016), the longest streak of monthly gains since the start of the index in 1970. The positive and improving economic growth story over the course of the year fueled these gains. According to the International Monetary Fund’s most recent World Economic Outlook forecasts, global Gross Domestic Product (“GDP”) likely expanded by more than 3.6% in 2017, up from a post-financial crisis low of 3.2% in 2016. Should the International Monetary Fund’s most recent forecast prove correct, 2017 would be the strongest year for the world economy since 2011, with growth accelerating across a large number of the world’s countries.
In the second half, other assets sensitive to growth also performed well and contributed to performance. For example, crude oil prices recovered to their strongest levels since late 2014, and industrial metals such as aluminum, copper, and zinc rallied significantly. Finally, the growth data gave the Fed justification to hike rates for a third time in 2017 and begin balance sheet normalization, sustaining bearish and profitable trends in shorter-to-intermediate term U.S. fixed income.
Notably, while the positive growth story is responsible for many of the recent profitable trends in the Fund, over the long-run evidence suggests that managed futures can deliver positive returns across a range of macroeconomic and market environments, including those that might be detrimental for the performance of a traditional portfolio. Since inception, and in line with long-term expectations, the Fund has maintained an attractive diversification profile to the traditional asset allocation.
Long-term trend-following signals outperformed short-term signals mainly due to long-term bullish signals in equities outperforming as their positioning was more consistent during the year. Over-extended signals contributed positively to performance as they viewed emerging equity markets as cheap and the U.S. dollar as expensive.
The strategy’s average annualized volatility target is 10.0%, which we allow to vary based on the conditional attractiveness of trends in the markets we trade. The Fund entered the year targeting a slightly-below-average 8.9% volatility, due to signal disagreement in some fixed income and currency markets. The Fund ended the year with a volatility level of 7.9%.
Over the full year of 2017, the Fund underperformed the SG Trend Index, though the degree of deviation is well within the bounds of historical tracking error. Relative underperformance was likely due in large part to our risk-management process, which controlled risk and exposures to equities. This detracted from relative performance as trend following in equities enjoyed strong performance. While a more diversified approach may not always outperform in the short-run, we do expect it to provide a better long-run investor experience. Looking ahead, we expect the Fund to tactically respond to changing market conditions, and, over the long-term, realize a low correlation to traditional assets.
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AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2017 AQR MANAGED FUTURES STRATEGY FUND | | | | | | | | | | | | | |
| | | 1 Year | | | 3 Year | | | 5 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: AQMIX | | | -0.97% | | | | -2.57% | | | | 2.11% | | | | 1.52% | | | | 1/5/2010 | |
| Fund - Class N: AQMNX | | | -1.19% | | | | -2.82% | | | | 1.84% | | | | 1.25% | | | | 1/5/2010 | |
| Fund - Class R6: AQMRX | | | -0.86% | | | | -2.48% | | | | N/A | | | | 1.42% | | | | 9/2/2014 | |
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| BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM | | | 0.86% | | | | | | | | | | | | | | | | | |
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 1.22%, 1.50% and 1.15%, respectively. Call 1-866-290-2688 or visit www.aqrfunds.com for current month-end performance.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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3
Shareholder Letter (Unaudited)
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| AQR MANAGED FUTURES STRATEGY FUND | | | | |
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AQR MANAGED FUTURES STRATEGY FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEXSM
VALUE OF $10,000 INVESTED ON 01/05/2010 |
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 | | | | | | December 2017 | | |
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4
Shareholder Letter (Unaudited)
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| AQR MANAGED FUTURES STRATEGY HV FUND | | | | |
Cliff Asness
Managing & Founding Principal
John Liew
Founding Principal
Brian Hurst
Principal
Ari Levine
Principal
Yao Hua Ooi
Principal
Dear Shareholder:
The AQR Managed Futures Strategy HV Fund (the “Fund”) actively invests in futures, futures-related instruments, forward contracts and swaps, both long and short across the global equity, fixed income, commodity and currency markets. The Fund uses both short-term and long-term trend-following signals to attempt to profit from different trends that occur in all of these markets. Trend following can be simply described as going long markets that are rising in price and going short markets that are falling in price.
In addition to trend-following signals, we also incorporate signals that seek to identify over-extended trends and reduce risk when the chance of a reversal is perceived as higher than normal, since market reversals generally cause losses for trend-following strategies.
We expect that the correlation of this strategy to equity markets will average close to zero over a full economic cycle. That said it is the nature of the strategy to exhibit a positive beta when markets have been rising and a negative beta when the markets have been falling.
A strong fourth quarter helped the Fund recover most losses from earlier in the year. The Fund’s Class I shares returned –1.72% versus a +0.86% return for its benchmark, the BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM. The strategy underperformed the SG Trend Index, which returned +1.95% in 2017. This index is an equal weighted composite of 10 of the largest trend-following managed futures hedge funds. By asset class, gross of fees, equities contributed +12.42%, fixed income detracted -6.69%, commodities detracted -3.12%, and currencies detracted -2.73%.
2017 was a year of two halves. The first half was difficult for the Fund and the broader trend-following industry, while the second half exhibited sustained trends and positive performance.
The year began on the heels of a dramatic reversal in risk sentiment after the U.S. presidential election, with markets taking on new directions in response. Market dynamics reflected expectations for improving growth and rising inflation, driven in large part by the expansionary fiscal agenda of the new administration. Around the same time, the Organization of the Petroleum Exporting Countries (“OPEC”) and non-member partners agreed to cap future oil production, which supported energy prices. The Fund entered the year following these newer trends, with views that were bullish global equities, energies and the U.S. dollar, and bearish fixed income, especially U.S. bonds.
Over the first half of the year, a number of factors caused reversals in most of these trends, with equities the main exception. First, the data did not support expectations for rising inflation. At the start of the year, for example, economists polled by Bloomberg expected the U.S. Consumer Price Index (“CPI”) to register an increase of 2.3% in 2017. Expectations rose as high as 2.5% in March, but proceeded to fall significantly as CPI data published by the Bureau of Labor Statistics in April, May, and June showed a sudden and surprising slowdown in the pace of price increases. Globally, inflation remained subdued as well, allowing the European Central Bank (“ECB”) and Bank of Japan to maintain their accommodative monetary policies. These dynamics supported overall positive returns in global sovereign bond markets, as well as the depreciation of the U.S. dollar. Additionally, a revival in U.S. shale production and elevated global oil inventories caused reversals and ultimately a slide in energy prices.
Against this backdrop, fixed income and currency markets also exhibited shorter-term reversals. For example, leading up to the French election, German government bonds rallied and the euro sold off on rising risk aversion. These trends reversed sharply following Emmanuel Macron’s victory as uncertainty related to the future of the Eurozone diminished. Global bonds later rallied again, particularly as the story of subdued inflation unfolded and concerns arose over whether President Trump obstructed justice. Central bankers then sparked a global bond reversal and selloff as the Federal Reserve (“Fed”) raised rates in June despite weak inflation data, and as Mario Draghi from the ECB and Mark Carney from the Bank of England signaled a willingness to reduce monetary accommodation.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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5
Shareholder Letter (Unaudited)
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| AQR MANAGED FUTURES STRATEGY HV FUND | | | | |
In the second half, the Fund exhibited strong performance making back nearly all of its losses for the year. One of the key drivers was the sustained bullish trend in global equities, which contrasted with the other asset classes not just in the second half, but throughout all of 2017. In fact, the total return of the MSCI World Index was positive every month in 2017 (and in the last two months of 2016), the longest streak of monthly gains since the start of the index in 1970. The positive and improving economic growth story over the course of the year fueled these gains. According to the International Monetary Fund’s most recent World Economic Outlook forecasts, global GDP likely expanded by more than 3.6% in 2017, up from a post-financial crisis low of 3.2% in 2016. Should the International Monetary Fund’s most recent forecast prove correct, 2017 would be the strongest year for the world economy since 2011, with growth accelerating across a large number of the world’s countries.
In the second half, other assets sensitive to growth also performed well and contributed to performance. For example, crude oil prices recovered to their strongest levels since late 2014, and industrial metals such as aluminum, copper, and zinc rallied significantly. Finally, the growth data gave the Fed justification to hike rates for a third time in 2017 and begin balance sheet normalization, sustaining bearish and profitable trends in shorter-to-intermediate term U.S. fixed income.
Notably, while the positive growth story is responsible for many of the recent profitable trends in the Fund, over the long-run evidence suggests that managed futures can deliver positive returns across a range of macroeconomic and market environments, including those that might be detrimental for the performance of a traditional portfolio. Since inception, and in line with long-term expectations, the Fund has maintained an attractive diversification profile to the traditional asset allocation.
Long-term trend-following signals outperformed short-term signals mainly due to long-term bullish signals in equities outperforming as their positioning was more consistent during the year. Over-extended signals contributed positively to performance as they viewed emerging equity markets as cheap and the U.S. dollar as expensive.
The strategy’s average annualized volatility target is 15.0%, which we allow to vary based on the conditional attractiveness of trends in the markets we trade. The Fund entered the year targeting a slightly-below-average 13.6% volatility, due to signal disagreement in some fixed income and currency markets. The Fund ended the year with a volatility level of 10.8%.
Over the full year of 2017, the Fund underperformed the SG Trend Index, though the degree of deviation is well within the bounds of historical tracking error. Relative underperformance was likely due in large part to our risk-management process, which controlled risk and exposures to equities. This detracted from relative performance as trend following in equities enjoyed strong performance. While a more diversified approach may not always outperform in the short-run, we do expect it to provide a better long-run investor experience. Looking ahead, we expect the Fund to tactically respond to changing market conditions, and, over the long-term, realize a low correlation to traditional assets.
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AVERAGE ANNUAL TOTAL RETURNS AS OF 12/31/2017
AQR MANAGED FUTURES STRATEGY HV FUND | |
| | | 1 Year | | | 3 Year | | | Since
Inception | | | Date of
Inception | |
| Fund - Class I: QMHIX | | | -1.72%* | | | | -4.33% | | | | 1.86% | | | | 7/16/2013 | |
| Fund - Class N: QMHNX | | | -2.06%* | | | | -4.62% | | | | 1.57% | | | | 7/16/2013 | |
| Fund - Class R6: QMHRX | | | -1.61% | | | | -4.28% | | | | 1.53% | | | | 9/02/2014 | |
| | | | |
| BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM | | | 0.86% | | | | | | | | | | | | | |
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 1.69%, 1.94% and 1.60%, 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 12/31/2017 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 | | | | | | December 2017 | | |
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6
Shareholder Letter (Unaudited)
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| AQR MANAGED FUTURES STRATEGY HV FUND | | | | |
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AQR MANAGED FUTURES STRATEGY HV FUND VS. BOFA MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEXSM
VALUE OF $10,000 INVESTED ON 07/16/2013 |
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 | | | | | | December 2017 | | |
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7
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.
BofA Merrill Lynch 3-Month U.S. Treasury Bill IndexSM: is designed to measure the performance of high-quality short-term cash-equivalent investments. Indexes are unmanaged and one cannot invest directly in an index.
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.
MSCI 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.
SG Trend Index: is designed to track the 10 largest (by AUM) trend following Commodity Trading Advisors (“CTAs”) and be representative of the trend followers in the managed futures space.
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.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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8
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
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| AQR MANAGED FUTURES STRATEGY FUND | | | | |
| | | | | | | | |
| | |
| INVESTMENTS | | SHARES | | | VALUE | |
| SHORT-TERM INVESTMENTS - 97.3% | |
| INVESTMENT COMPANIES - 15.1% | |
| BlackRock Liquidity Funds T-Fund Portfolio, Institutional Shares, 1.17% (a) | | | 58,772,285 | | | $ | 58,772,285 | |
| Dreyfus Treasury & Agency Cash Management, Institutional Shares, 1.15% (a) | | | 235,089,139 | | | | 235,089,139 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares, 1.24% (a)(b) | | | 481,320,274 | | | | 481,320,274 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.18% (a)(b) | | | 159,562,060 | | | | 159,562,060 | |
| Limited Purpose Cash Investment Fund, 1.17% (a)(c) | | | 452,535,642 | | | | 452,490,389 | |
| UBS Select Treasury Preferred Fund, Class I, 1.16% (a) | | | 293,861,424 | | | | 293,861,424 | |
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TOTAL INVESTMENT COMPANIES
(Cost $1,681,095,571) | | | | 1,681,095,571 | |
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| | |
| | | PRINCIPAL AMOUNT | | | | |
| U.S. TREASURY OBLIGATIONS - 82.2% | |
| U.S. Treasury Bills | | | | | | | | |
| 1.14%, 1/4/2018 (d) | | $ | 233,872,000 | | | | 233,857,268 | |
| 1.13%, 1/11/2018 (d) | | | 43,496,000 | | | | 43,483,196 | |
| 1.10%, 1/18/2018 (d)(e) | | | 377,979,000 | | | | 377,770,900 | |
| 1.14%, 1/25/2018 (d)(e) | | | 943,712,000 | | | | 942,970,403 | |
| 1.14%, 2/1/2018 (d)(e) | | | 1,449,323,000 | | | | 1,447,794,660 | |
| 1.15%, 2/8/2018 (d) | | | 442,243,000 | | | | 441,674,271 | |
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| | |
| INVESTMENTS | | PRINCIPAL AMOUNT | | | VALUE | |
| U.S. TREASURY OBLIGATIONS - 82.2% (continued) | |
| 1.12%, 2/15/2018 (d)(e) | | $ | 164,099,000 | | | $ | 163,850,800 | |
| 1.12%, 2/22/2018 (d) | | | 120,558,000 | | | | 120,341,950 | |
| 1.12%, 3/1/2018 (d) | | | 536,799,000 | | | | 535,698,487 | |
| 1.12%, 3/8/2018 (d) | | | 70,757,000 | | | | 70,591,716 | |
| 1.15%, 3/15/2018 (d) | | | 1,021,035,000 | | | | 1,018,390,519 | |
| 1.19%, 3/22/2018 (d)(e) | | | 127,300,000 | | | | 126,921,477 | |
| 1.18%, 3/29/2018 (d)(e) | | | 833,936,000 | | | | 831,209,204 | |
| 1.20%, 4/5/2018 (d)(e) | | | 455,933,000 | | | | 454,297,295 | |
| 1.23%, 4/12/2018 (d)(e) | | | 120,488,000 | | | | 120,022,783 | |
| 1.25%, 4/19/2018 (d)(e) | | | 66,832,000 | | | | 66,554,898 | |
| 1.25%, 4/26/2018 (d) | | | 223,215,000 | | | | 222,248,385 | |
| 1.45%, 5/31/2018 (d)(e) | | | 333,913,000 | | | | 331,905,602 | |
| 1.46%, 6/7/2018 (d)(e) | | | 786,129,000 | | | | 781,129,872 | |
| 1.47%, 6/14/2018 (d)(e) | | | 534,628,000 | | | | 531,093,809 | |
| 1.49%, 6/21/2018 (d)(e) | | | 237,555,000 | | | | 235,872,320 | |
| 1.54%, 6/28/2018 (d) | | | 40,379,000 | | | | 40,079,716 | |
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TOTAL U.S. TREASURY OBLIGATIONS
(Cost $9,139,236,603) | | | | | | | 9,137,759,531 | |
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TOTAL SHORT-TERM INVESTMENTS
(Cost $10,820,332,174) | | | | | | | 10,818,855,102 | |
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TOTAL INVESTMENTS IN
SECURITIES AT VALUE - 97.3%
(Cost $10,820,332,174) | | | | 10,818,855,102 | |
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OTHER ASSETS IN EXCESS OF
LIABILITIES - 2.7% (f) | | | 304,488,586 | |
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NET ASSETS - 100.0% | | | | | | $ | 11,123,343,688 | |
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| (a) | Represents 7-day effective yield as of December 31, 2017. |
| (b) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (c) | As defined in Section 2a-3 of the Investment Company Act of 1940, an affiliated person is one in which the Fund owns 5% or more of the company’s outstanding voting securities, or a company which is under common ownership or control with the Fund. For the period ended December 31, 2017, transactions in and earnings from issuers considered to be an affiliated person were as follows: |
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| AFFILIATE | | SHARES HELD AT 12/31/16 | | SHARES
PURCHASED | | SHARES
SOLD | | | SHARES
HELD AT
12/31/17 | | | VALUE AT 12/31/17 | | | DIVIDEND
INCOME | | | NET
REALIZED
GAIN (LOSS) | | | NET CHANGE IN
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Other Controlled Affiliates: | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Limited Purpose Cash Investment Fund (Short-Term Investment) | | — | | 7,958,549,681 | | | (7,506,014,039 | ) | | | 452,535,642 | | | | $452,490,389 | | | | $2,989,411 | | | | $15,980 | | | | $— | |
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| (d) | The rate shown was the effective yield at the date of purchase. |
| (e) | All or a portion of the security pledged as collateral for futures contracts. |
| (f) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures contracts. |
All Securities are Level 2 with respect to ASC820 (See Note 5).
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| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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9
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| Consolidated Schedule of Investments | | December 31, 2017 |
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| AQR MANAGED FUTURES STRATEGY FUND | | | | |
Total return swap contracts outstanding as of December 31, 2017:
Over the Counter
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REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED
BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Cocoa March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/02/2018 | | | USD | (1,759,560 | ) | | | $12,004 | |
| Coffee ‘C’ March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/09/2018 | | | USD | (28,253,025 | ) | | | 267,769 | |
| Coffee ‘C’ March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MLIN | | | 02/09/2018 | | | USD | (5,584,350 | ) | | | 138,356 | |
| Corn March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | (117,957,225 | ) | | | 1,918,430 | |
| Corn March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | (28,954,413 | ) | | | 544,804 | |
| Corn March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | (9,224,725 | ) | | | 185,778 | |
Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/09/2018 | | | USD | 17,455,860 | | | | 465,919 | |
Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/09/2018 | | | USD | 14,114,085 | | | | 1,093,670 | |
| Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/09/2018 | | | USD | 14,743,125 | | | | 627,468 | |
| Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | HKD | 209,636,000 | | | | 414,261 | |
| Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/30/2018 | | | HKD | 1,513,871,400 | | | | 2,624,040 | |
| Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 01/30/2018 | | | HKD | 348,894,200 | | | | 667,478 | |
| H-Shares Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/30/2018 | | | HKD | 1,386,486,000 | | | | 1,269,095 | |
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| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
10
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
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| AQR MANAGED FUTURES STRATEGY FUND | | | | |
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REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED
BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| H-Shares Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 01/30/2018 | | | HKD | 363,630,000 | | | | $347,360 | |
| KOSPI 200 Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 03/08/2018 | | | KRW | 298,508,787,500 | | | | 3,469,813 | |
| Lean Hogs February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/14/2018 | | | USD | 1,952,280 | | | | 39,552 | |
| Lean Hogs February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MLIN | | | 02/14/2018 | | | USD | 3,875,850 | | | | 64,189 | |
| Lean Hogs February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/14/2018 | | | USD | 63,994,590 | | | | 1,218,145 | |
| MSCI Singapore Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 01/30/2018 | | | SGD | 15,912,100 | | | | 78,305 | |
| MSCI Taiwan Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | USD | 18,549,600 | | | | 240,649 | |
| MSCI Taiwan Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 01/30/2018 | | | USD | 24,090,900 | | | | 449,520 | |
| SGX S&P CNX Nifty Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/25/2018 | | | USD | 5,659,356 | | | | 4,935 | |
| SGX S&P CNX Nifty Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | MSCS | | | 01/25/2018 | | | USD | 59,338,770 | | | | 80,513 | |
| Soybean March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | (162,054,875 | ) | | | 2,311,908 | |
| Soybean March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MLIN | | | 02/23/2018 | | | USD | (79,248,200 | ) | | | 808,012 | |
| Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | (30,159,360 | ) | | | 291,537 | |
| Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | (9,345,600 | ) | | | 35,400 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
11
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY FUND | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED BY
FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | | MATURITY DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | MACQ | | | | 02/23/2018 | | | USD | (3,326,400 | ) | | | $865 | |
| Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | MLIN | | | | 02/23/2018 | | | USD | (34,151,040 | ) | | | 1,010,910 | |
| Soybean Oil March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | MACQ | | | | 02/23/2018 | | | USD | (27,559,236 | ) | | | 104,776 | |
| Swiss Market Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | Monthly | | | MSCS | | | | 03/16/2018 | | | CHF | 262,868,840 | | | | 533,484 | |
| TAIEX Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | | BANA | | | | 01/17/2018 | | | TWD | 2,126,600 | | | | 986 | |
| Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | CITI | | | | 02/23/2018 | | | USD | (56,662,900 | ) | | | 506,230 | |
| Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | GSIN | | | | 02/23/2018 | | | USD | (30,124,850 | ) | | | 1,226,221 | |
| Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | MACQ | | | | 02/23/2018 | | | USD | (55,915,650 | ) | | | 1,514,788 | |
| Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | MLIN | | | | 02/23/2018 | | | USD | (7,750,050 | ) | | | 284,531 | |
| Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | SOCG | | | | 02/23/2018 | | | USD | (46,756,500 | ) | | | 216,402 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | 25,068,103 | |
| | | | | | | | | | | | | | | | | | | | | | |
| Cocoa March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | GSIN | | | | 02/02/2018 | | | USD | (3,746,160 | ) | | | (990 | ) |
| Cocoa March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | MACQ | | | | 02/02/2018 | | | USD | (8,343,720 | ) | | | (36,849 | ) |
| Cocoa March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | MLIN | | | | 02/02/2018 | | | USD | (1,948,760 | ) | | | (46,865 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
12
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED BY
FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Cocoa March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/02/2018 | | | USD | (4,540,800 | ) | | | $(15,133 | ) |
| Coffee ‘C’ March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/09/2018 | | | USD | (29,388,825 | ) | | | (196,264 | ) |
| Coffee ‘C’ March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/09/2018 | | | USD | (20,207,775 | ) | | | (436,541 | ) |
| Coffee ‘C’ March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/09/2018 | | | USD | (33,222,150 | ) | | | (58,529 | ) |
| Corn March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | (61,749,538 | ) | | | (232,260 | ) |
| Cotton No. 2 March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/09/2018 | | | USD | (117,945 | ) | | | (14,600 | ) |
| iBovespa Index February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MSCS | | | 02/14/2018 | | | BRL | (13,063,310 | ) | | | (123,691 | ) |
| KC HRW Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | (2,157,613 | ) | | | (64,983 | ) |
| KC HRW Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | (3,076,200 | ) | | | (40,530 | ) |
| KC HRW Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | (2,178,975 | ) | | | (53,302 | ) |
| Lean Hogs February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MLIN | | | 02/14/2018 | | | USD | (3,875,850 | ) | | | (75,800 | ) |
| Lean Hogs February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/14/2018 | | | USD | (34,251,030 | ) | | | (2,028,755 | ) |
| Lean Hogs February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/14/2018 | | | USD | (1,952,280 | ) | | | (54,592 | ) |
| Live Cattle February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/02/2018 | | | USD | 176,733,700 | | | | (8,888,195 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
13
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY FUND | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED BY
FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | | MATURITY DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Live Cattle February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | SOCG | | | | 02/02/2018 | | | USD | (14,294,280 | ) | | | $(215,421 | ) |
| OMXS30 Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | | BANA | | | | 01/19/2018 | | | SEK | 48,486,900 | | | | (179,921 | ) |
| SGX FTSE China A50 Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | | MSCS | | | | 01/30/2018 | | | USD | 47,818,668 | | | | (505,098 | ) |
| Soybean March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | SOCG | | | | 02/23/2018 | | | USD | (70,880,975 | ) | | | (180,504 | ) |
| Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | | MLIN | | | | 02/23/2018 | | | USD | 34,151,040 | | | | (1,994,660 | ) |
| Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | SOCG | | | | 02/23/2018 | | | USD | (50,497,920 | ) | | | (11,369 | ) |
| Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | | SOCG | | | | 02/23/2018 | | | USD | 55,028,160 | | | | (3,231,855 | ) |
| Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | | GSIN | | | | 02/23/2018 | | | USD | 13,432,320 | | | | (711,630 | ) |
| Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | | MACQ | | | | 02/23/2018 | | | USD | 3,326,400 | | | | (179,640 | ) |
| Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | | CITI | | | | 02/23/2018 | | | USD | 30,159,360 | | | | (1,575,224 | ) |
| Soybean Oil March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | GSIN | | | | 02/23/2018 | | | USD | (11,793,996 | ) | | | (19,314 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | (21,172,515 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | $3,895,588 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
14
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY FUND | | | | |
Futures contracts outstanding as of December 31, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | |
| Amsterdam Exchange Index | | | 842 | | | 1/2018 | | | EUR | | | | $110,018,805 | | | | $(1,174,128 | ) |
| Brent Crude Oil | | | 9,318 | | | 1/2018 | | | USD | | | | 623,094,660 | | | | 37,894,612 | |
| CAC 40 10 Euro Index | | | 3,101 | | | 1/2018 | | | EUR | | | | 197,589,623 | | | | (2,844,402 | ) |
| Hang Seng Index | | | 56 | | | 1/2018 | | | HKD | | | | 10,732,882 | | | | 134,010 | |
| H-Shares Index | | | 308 | | | 1/2018 | | | HKD | | | | 23,121,140 | | | | 105,840 | |
| IBEX 35 Index | | | 906 | | | 1/2018 | | | EUR | | | | 108,932,518 | | | | (2,145,631 | ) |
| LME Aluminum Base Metal | | | 3 | | | 1/2018 | | | USD | | | | 169,369 | | | | 8,785 | |
| LME Aluminum Base Metal | | | 5 | | | 1/2018 | | | USD | | | | 282,312 | | | | 13,519 | |
| LME Aluminum Base Metal | | | 7 | | | 1/2018 | | | USD | | | | 395,279 | | | | 23,212 | |
| LME Aluminum Base Metal | | | 8 | | | 1/2018 | | | USD | | | | 451,750 | | | | 22,443 | |
| LME Aluminum Base Metal | | | 10 | | | 1/2018 | | | USD | | | | 564,000 | | | | 34,850 | |
| LME Aluminum Base Metal | | | 10 | | | 1/2018 | | | USD | | | | 564,145 | | | | 25,306 | |
| LME Aluminum Base Metal | | | 12 | | | 1/2018 | | | USD | | | | 677,700 | | | | 32,723 | |
| LME Aluminum Base Metal | | | 12 | | | 1/2018 | | | USD | | | | 677,151 | | | | 29,489 | |
| LME Aluminum Base Metal | | | 14 | | | 1/2018 | | | USD | | | | 790,471 | | | | 47,926 | |
| LME Aluminum Base Metal | | | 16 | | | 1/2018 | | | USD | | | | 903,884 | | | | 45,245 | |
| LME Aluminum Base Metal | | | 28 | | | 1/2018 | | | USD | | | | 1,581,650 | | | | 70,512 | |
| LME Aluminum Base Metal | | | 35 | | | 1/2018 | | | USD | | | | 1,976,844 | | | | 86,017 | |
| LME Copper Base Metal | | | 11 | | | 1/2018 | | | USD | | | | 1,985,283 | | | | 64,450 | |
| LME Copper Base Metal | | | 23 | | | 1/2018 | | | USD | | | | 4,149,919 | | | | 112,587 | |
| LME Copper Base Metal | | | 32 | | | 1/2018 | | | USD | | | | 5,773,600 | | | | 188,645 | |
| LME Nickel Base Metal | | | 2 | | | 1/2018 | | | USD | | | | 152,524 | | | | 20,872 | |
| LME Nickel Base Metal | | | 4 | | | 1/2018 | | | USD | | | | 305,019 | | | | 44,646 | |
| LME Nickel Base Metal | | | 5 | | | 1/2018 | | | USD | | | | 381,293 | | | | 53,190 | |
| LME Nickel Base Metal | | | 6 | | | 1/2018 | | | USD | | | | 457,420 | | | | 74,221 | |
| LME Nickel Base Metal | | | 6 | | | 1/2018 | | | USD | | | | 457,442 | | | | 75,827 | |
| LME Nickel Base Metal | | | 18 | | | 1/2018 | | | USD | | | | 1,372,784 | | | | 124,617 | |
| LME Nickel Base Metal | | | 20 | | | 1/2018 | | | USD | | | | 1,526,173 | | | | 106,683 | |
| LME Nickel Base Metal | | | 22 | | | 1/2018 | | | USD | | | | 1,677,126 | | | | 265,893 | |
| LME Nickel Base Metal | | | 25 | | | 1/2018 | | | USD | | | | 1,907,009 | | | | 132,598 | |
| LME Nickel Base Metal | | | 30 | | | 1/2018 | | | USD | | | | 2,288,520 | | | | 178,852 | |
| LME Nickel Base Metal | | | 30 | | | 1/2018 | | | USD | | | | 2,288,644 | | | | 168,494 | |
| LME Nickel Base Metal | | | 46 | | | 1/2018 | | | USD | | | | 3,509,442 | | | | 236,058 | |
| LME Zinc Base Metal | | | 5 | | | 1/2018 | | | USD | | | | 416,875 | | | | 28,302 | |
| LME Zinc Base Metal | | | 5 | | | 1/2018 | | | USD | | | | 417,084 | | | | 9,817 | |
| LME Zinc Base Metal | | | 5 | | | 1/2018 | | | USD | | | | 416,625 | | | | 25,360 | |
| LME Zinc Base Metal | | | 6 | | | 1/2018 | | | USD | | | | 500,175 | | | | 37,410 | |
| LME Zinc Base Metal | | | 8 | | | 1/2018 | | | USD | | | | 667,500 | | | | 13,477 | |
| LME Zinc Base Metal | | | 9 | | | 1/2018 | | | USD | | | | 751,500 | | | | 25,726 | |
| LME Zinc Base Metal | | | 11 | | | 1/2018 | | | USD | | | | 916,850 | | | | 57,573 | |
| LME Zinc Base Metal | | | 12 | | | 1/2018 | | | USD | | | | 1,001,514 | | | | 14,408 | |
| LME Zinc Base Metal | | | 12 | | | 1/2018 | | | USD | | | | 1,001,775 | | | | 13,540 | |
| LME Zinc Base Metal | | | 15 | | | 1/2018 | | | USD | | | | 1,251,874 | | | | 34,111 | |
| LME Zinc Base Metal | | | 18 | | | 1/2018 | | | USD | | | | 1,503,000 | | | | 42,929 | |
| LME Zinc Base Metal | | | 18 | | | 1/2018 | | | USD | | | | 1,503,000 | | | | 39,978 | |
| MSCI Singapore Index | | | 43 | | | 1/2018 | | | SGD | | | | 1,247,770 | | | | 7,388 | |
| MSCI Taiwan Index | | | 39 | | | 1/2018 | | | USD | | | | 1,532,700 | | | | 6,452 | |
| NY Harbor ULSD | | | 4,258 | | | 1/2018 | | | USD | | | | 369,850,732 | | | | 24,471,425 | |
| OMXS30 Index | | | 2,574 | | | 1/2018 | | | SEK | | | | 49,397,417 | | | | (1,455,079 | ) |
| RBOB Gasoline | | | 2,391 | | | 1/2018 | | | USD | | | | 180,337,828 | | | | 6,645,915 | |
| SGX FTSE China A50 Index | | | 185 | | | 1/2018 | | | USD | | | | 2,449,863 | | | | (21,624 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
15
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts (continued) | |
| SGX S&P CNX Nifty Index | | | 161 | | | 1/2018 | | | USD | | | | $ 3,399,837 | | | | $ 6,287 | |
| WTI Crude Oil | | | 8,233 | | | 1/2018 | | | USD | | | | 497,437,860 | | | | 26,536,714 | |
| 100 oz Gold | | | 1,746 | | | 2/2018 | | | USD | | | | 228,603,780 | | | | 1,733,105 | |
| Lean Hogs | | | 203 | | | 2/2018 | | | USD | | | | 5,828,130 | | | | 121,913 | |
| Live Cattle | | | 53 | | | 2/2018 | | | USD | | | | 2,576,860 | | | | 11,428 | |
| LME Aluminum Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 113,094 | | | | 4,061 | |
| LME Aluminum Base Metal | | | 8 | | | 2/2018 | | | USD | | | | 452,428 | | | | 16,246 | |
| LME Aluminum Base Metal | | | 23 | | | 2/2018 | | | USD | | | | 1,303,381 | | | | 86,050 | |
| LME Aluminum Base Metal | | | 27 | | | 2/2018 | | | USD | | | | 1,527,761 | | | | 79,145 | |
| LME Aluminum Base Metal | | | 37 | | | 2/2018 | | | USD | | | | 2,093,821 | | | | 123,462 | |
| LME Aluminum Base Metal | | | 49 | | | 2/2018 | | | USD | | | | 2,776,475 | | | | 210,568 | |
| LME Aluminum Base Metal | | | 58 | | | 2/2018 | | | USD | | | | 3,282,568 | | | | 250,476 | |
| LME Aluminum Base Metal | | | 59 | | | 2/2018 | | | USD | | | | 3,343,456 | | | | 281,728 | |
| LME Aluminum Base Metal | | | 59 | | | 2/2018 | | | USD | | | | 3,343,456 | | | | 243,150 | |
| LME Aluminum Base Metal | | | 68 | | | 2/2018 | | | USD | | | | 3,850,585 | | | | 263,418 | |
| LME Aluminum Base Metal | | | 68 | | | 2/2018 | | | USD | | | | 3,850,177 | | | | 277,426 | |
| LME Aluminum Base Metal | | | 75 | | | 2/2018 | | | USD | | | | 4,247,419 | | | | 347,197 | |
| LME Aluminum Base Metal | | | 124 | | | 2/2018 | | | USD | | | | 7,023,174 | | | | 446,133 | |
| LME Aluminum Base Metal | | | 142 | | | 2/2018 | | | USD | | | | 8,046,962 | | | | 702,615 | |
| LME Copper Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 180,800 | | | | 7,268 | |
| LME Copper Base Metal | | | 8 | | | 2/2018 | | | USD | | | | 1,445,566 | | | | 77,434 | |
| LME Copper Base Metal | | | 8 | | | 2/2018 | | | USD | | | | 1,445,668 | | | | 89,414 | |
| LME Copper Base Metal | | | 10 | | | 2/2018 | | | USD | | | | 1,807,597 | | | | 105,445 | |
| LME Copper Base Metal | | | 10 | | | 2/2018 | | | USD | | | | 1,809,080 | | | | 75,794 | |
| LME Copper Base Metal | | | 11 | | | 2/2018 | | | USD | | | | 1,989,488 | | | | 104,886 | |
| LME Copper Base Metal | | | 20 | | | 2/2018 | | | USD | | | | 3,616,995 | | | | 223,186 | |
| LME Copper Base Metal | | | 24 | | | 2/2018 | | | USD | | | | 4,338,852 | | | | 300,781 | |
| LME Copper Base Metal | | | 48 | | | 2/2018 | | | USD | | | | 8,672,784 | | | | 426,197 | |
| LME Copper Base Metal | | | 50 | | | 2/2018 | | | USD | | | | 9,039,913 | | | | 571,140 | |
| LME Copper Base Metal | | | 52 | | | 2/2018 | | | USD | | | | 9,408,334 | | | | 594,600 | |
| LME Copper Base Metal | | | 66 | | | 2/2018 | | | USD | | | | 11,919,930 | | | | 463,915 | |
| LME Copper Base Metal | | | 113 | | | 2/2018 | | | USD | | | | 20,409,919 | | | | 855,903 | |
| LME Nickel Base Metal | | | 3 | | | 2/2018 | | | USD | | | | 229,136 | | | | 6,919 | |
| LME Nickel Base Metal | | | 4 | | | 2/2018 | | | USD | | | | 305,399 | | | | 1,398 | |
| LME Nickel Base Metal | | | 5 | | | 2/2018 | | | USD | | | | 381,852 | | | | 840 | |
| LME Nickel Base Metal | | | 5 | | | 2/2018 | | | USD | | | | 381,873 | | | | 4,175 | |
| LME Nickel Base Metal | | | 5 | | | 2/2018 | | | USD | | | | 381,996 | | | | 13,581 | |
| LME Nickel Base Metal | | | 10 | | | 2/2018 | | | USD | | | | 763,951 | | | | 25,926 | |
| LME Nickel Base Metal | | | 18 | | | 2/2018 | | | USD | | | | 1,375,790 | | | | 107,016 | |
| LME Nickel Base Metal | | | 19 | | | 2/2018 | | | USD | | | | 1,452,676 | | | | 125,099 | |
| LME Nickel Base Metal | | | 22 | | | 2/2018 | | | USD | | | | 1,680,873 | | | | 156,946 | |
| LME Nickel Base Metal | | | 32 | | | 2/2018 | | | USD | | | | 2,445,696 | | | | 211,218 | |
| LME Nickel Base Metal | | | 36 | | | 2/2018 | | | USD | | | | 2,751,259 | | | | 248,379 | |
| LME Nickel Base Metal | | | 81 | | | 2/2018 | | | USD | | | | 6,189,001 | | | | 574,878 | |
| LME Nickel Base Metal | | | 133 | | | 2/2018 | | | USD | | | | 10,169,369 | | | | 1,132,831 | |
| LME Zinc Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 83,175 | | | | 3,872 | |
| LME Zinc Base Metal | | | 6 | | | 2/2018 | | | USD | | | | 499,811 | | | | 9,293 | |
| LME Zinc Base Metal | | | 7 | | | 2/2018 | | | USD | | | | 582,356 | | | | 16,741 | |
| LME Zinc Base Metal | | | 8 | | | 2/2018 | | | USD | | | | 665,700 | | | | 33,080 | |
| LME Zinc Base Metal | | | 13 | | | 2/2018 | | | USD | | | | 1,082,143 | | | | 42,111 | |
| LME Zinc Base Metal | | | 16 | | | 2/2018 | | | USD | | | | 1,331,984 | | | | 47,545 | |
| LME Zinc Base Metal | | | 16 | | | 2/2018 | | | USD | | | | 1,332,216 | | | | 68,977 | |
| LME Zinc Base Metal | | | 17 | | | 2/2018 | | | USD | | | | 1,415,730 | | | | 49,739 | |
| LME Zinc Base Metal | | | 19 | | | 2/2018 | | | USD | | | | 1,581,456 | | | | 104,149 | |
| LME Zinc Base Metal | | | 19 | | | 2/2018 | | | USD | | | | 1,582,144 | | | | 73,973 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
16
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts (continued) | |
| LME Zinc Base Metal | | | 19 | | | 2/2018 | | | USD | | | | $ 1,582,700 | | | | $ 50,574 | |
| LME Zinc Base Metal | | | 38 | | | 2/2018 | | | USD | | | | 3,162,626 | | | | 164,808 | |
| LME Zinc Base Metal | | | 67 | | | 2/2018 | | | USD | | | | 5,572,725 | | | | 301,711 | |
| Low Sulphur Gasoil | | | 8,896 | | | 2/2018 | | | USD | | | | 535,316,800 | | | | 31,672,062 | |
| ASX 90 Day Bank Accepted Bill | | | 45 | | | 3/2018 | | | AUD | | | | 34,957,818 | | | | (2,664 | ) |
| Australia 10 Year Bond | | | 6,261 | | | 3/2018 | | | AUD | | | | 630,955,228 | | | | (4,928,165 | ) |
| Copper | | | 3,214 | | | 3/2018 | | | USD | | | | 265,195,175 | | | | 11,690,665 | |
| Cotton No. 2 | | | 434 | | | 3/2018 | | | USD | | | | 17,062,710 | | | | 1,426,963 | |
| DAX Index | | | 574 | | | 3/2018 | | | EUR | | | | 222,282,409 | | | | (3,820,891 | ) |
| DJIA CBOT E-Mini Index | | | 3,459 | | | 3/2018 | | | USD | | | | 427,791,825 | | | | 6,654,270 | |
| EURO STOXX 50 Index | | | 3,153 | | | 3/2018 | | | EUR | | | | 132,144,627 | | | | (3,248,762 | ) |
| Euro-Bobl | | | 14,680 | | | 3/2018 | | | EUR | | | | 1,972,305,015 | | | | (2,247,402 | ) |
| Euro-BTP | | | 7,116 | | | 3/2018 | | | EUR | | | | 1,162,381,362 | | | | (25,432,122 | ) |
| Euro-Bund | | | 4,874 | | | 3/2018 | | | EUR | | | | 769,664,341 | | | | (4,091,642 | ) |
| Euro-OAT | | | 5,851 | | | 3/2018 | | | EUR | | | | 1,089,413,613 | | | | (12,117,078 | ) |
| Euro-Schatz | | | 6,711 | | | 3/2018 | | | EUR | | | | 1,301,878,610 | | | | (9,243,524 | ) |
| FTSE 100 Index | | | 3,449 | | | 3/2018 | | | GBP | | | | 355,676,240 | | | | 8,418,563 | |
| FTSE/JSE Top 40 Index | | | 2,702 | | | 3/2018 | | | ZAR | | | | 116,125,397 | | | | 2,154,956 | |
| Japan 10 Year Bond | | | 1,535 | | | 3/2018 | | | JPY | | | | 2,054,114,045 | | | | (1,038,940 | ) |
| KOSPI 200 Index | | | 1 | | | 3/2018 | | | KRW | | | | 76,164 | | | | 145 | |
| LME Aluminum Base Metal | | | 11 | | | 3/2018 | | | USD | | | | 624,272 | | | | 61,320 | |
| LME Aluminum Base Metal | | | 41 | | | 3/2018 | | | USD | | | | 2,327,806 | | | | 196,356 | |
| LME Aluminum Base Metal | | | 56 | | | 3/2018 | | | USD | | | | 3,177,104 | | | | 358,739 | |
| LME Aluminum Base Metal | | | 57 | | | 3/2018 | | | USD | | | | 3,234,522 | | | | 336,645 | |
| LME Aluminum Base Metal | | | 57 | | | 3/2018 | | | USD | | | | 3,234,180 | | | | 356,253 | |
| LME Aluminum Base Metal | | | 61 | | | 3/2018 | | | USD | | | | 3,463,671 | | | | 243,772 | |
| LME Aluminum Base Metal | | | 71 | | | 3/2018 | | | USD | | | | 4,025,593 | | | | 393,770 | |
| LME Aluminum Base Metal | | | 72 | | | 3/2018 | | | USD | | | | 4,083,138 | | | | 472,162 | |
| LME Aluminum Base Metal | | | 72 | | | 3/2018 | | | USD | | | | 4,081,860 | | | | 382,684 | |
| LME Aluminum Base Metal | | | 72 | | | 3/2018 | | | USD | | | | 4,082,724 | | | | 446,512 | |
| LME Aluminum Base Metal | | | 79 | | | 3/2018 | | | USD | | | | 4,476,831 | | | | 408,138 | |
| LME Aluminum Base Metal | | | 88 | | | 3/2018 | | | USD | | | | 4,989,600 | | | | (10,881 | ) |
| LME Aluminum Base Metal | | | 90 | | | 3/2018 | | | USD | | | | 5,104,125 | | | | 4,439 | |
| LME Aluminum Base Metal | | | 93 | | | 3/2018 | | | USD | | | | 5,278,912 | | | | 245,211 | |
| LME Aluminum Base Metal | | | 93 | | | 3/2018 | | | USD | | | | 5,275,425 | | | | 131,936 | |
| LME Aluminum Base Metal | | | 1,621 | | | 3/2018 | | | USD | | | | 92,052,538 | | | | 6,651,163 | |
| LME Copper Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 362,304 | | | | 26,690 | |
| LME Copper Base Metal | | | 15 | | | 3/2018 | | | USD | | | | 2,717,063 | | | | 219,518 | |
| LME Copper Base Metal | | | 19 | | | 3/2018 | | | USD | | | | 3,439,713 | | | | 269,872 | |
| LME Copper Base Metal | | | 21 | | | 3/2018 | | | USD | | | | 3,804,675 | | | | 6,386 | |
| LME Copper Base Metal | | | 22 | | | 3/2018 | | | USD | | | | 3,985,652 | | | | 260,713 | |
| LME Copper Base Metal | | | 27 | | | 3/2018 | | | USD | | | | 4,885,684 | | | | 310,805 | |
| LME Copper Base Metal | | | 31 | | | 3/2018 | | | USD | | | | 5,616,588 | | | | 326,867 | |
| LME Copper Base Metal | | | 37 | | | 3/2018 | | | USD | | | | 6,699,969 | | | | 618,004 | |
| LME Copper Base Metal | | | 38 | | | 3/2018 | | | USD | | | | 6,880,508 | | | | 613,265 | |
| LME Copper Base Metal | | | 41 | | | 3/2018 | | | USD | | | | 7,427,806 | | | | (36,667 | ) |
| LME Copper Base Metal | | | 41 | | | 3/2018 | | | USD | | | | 7,427,447 | | | | 38,862 | |
| LME Copper Base Metal | | | 50 | | | 3/2018 | | | USD | | | | 9,052,588 | | | | 837,465 | |
| LME Copper Base Metal | | | 51 | | | 3/2018 | | | USD | | | | 9,236,738 | | | | 194,219 | |
| LME Copper Base Metal | | | 52 | | | 3/2018 | | | USD | | | | 9,423,050 | | | | 306,905 | |
| LME Copper Base Metal | | | 102 | | | 3/2018 | | | USD | | | | 18,486,225 | | | | 893,932 | |
| LME Copper Base Metal | | | 1,209 | | | 3/2018 | | | USD | | | | 219,055,687 | | | | 12,124,300 | |
| LME Nickel Base Metal | | | 4 | | | 3/2018 | | | USD | | | | 306,132 | | | | 33,259 | |
| LME Nickel Base Metal | | | 14 | | | 3/2018 | | | USD | | | | 1,071,395 | | | | 134,754 | |
| LME Nickel Base Metal | | | 23 | | | 3/2018 | | | USD | | | | 1,759,929 | | | | 223,243 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
17
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts (continued) | |
| LME Nickel Base Metal | | | 23 | | | 3/2018 | | | USD | | | | $ 1,760,040 | | | | $ 213,682 | |
| LME Nickel Base Metal | | | 42 | | | 3/2018 | | | USD | | | | 3,212,982 | | | | 429,539 | |
| LME Nickel Base Metal | | | 44 | | | 3/2018 | | | USD | | | | 3,368,640 | | | | 88,158 | |
| LME Nickel Base Metal | | | 50 | | | 3/2018 | | | USD | | | | 3,824,265 | | | | 486,643 | |
| LME Nickel Base Metal | | | 58 | | | 3/2018 | | | USD | | | | 4,435,037 | | | | 613,826 | |
| LME Nickel Base Metal | | | 60 | | | 3/2018 | | | USD | | | | 4,589,402 | | | | 690,425 | |
| LME Nickel Base Metal | | | 60 | | | 3/2018 | | | USD | | | | 4,589,690 | | | | 681,743 | |
| LME Nickel Base Metal | | | 63 | | | 3/2018 | | | USD | | | | 4,822,997 | | | | 296,416 | |
| LME Nickel Base Metal | | | 64 | | | 3/2018 | | | USD | | | | 4,899,702 | | | | 204,745 | |
| LME Nickel Base Metal | | | 64 | | | 3/2018 | | | USD | | | | 4,899,567 | | | | 294,702 | |
| LME Nickel Base Metal | | | 66 | | | 3/2018 | | | USD | | | | 5,051,970 | | | | 252,522 | |
| LME Nickel Base Metal | | | 104 | | | 3/2018 | | | USD | | | | 7,961,304 | | | | 639,625 | |
| LME Nickel Base Metal | | | 846 | | | 3/2018 | | | USD | | | | 64,769,760 | | | | 5,594,368 | |
| LME Zinc Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 415,875 | | | | 25,860 | |
| LME Zinc Base Metal | | | 7 | | | 3/2018 | | | USD | | | | 582,225 | | | | 29,202 | |
| LME Zinc Base Metal | | | 9 | | | 3/2018 | | | USD | | | | 748,575 | | | | 42,053 | |
| LME Zinc Base Metal | | | 13 | | | 3/2018 | | | USD | | | | 1,078,675 | | | | 6,183 | |
| LME Zinc Base Metal | | | 13 | | | 3/2018 | | | USD | | | | 1,079,026 | | | | 10,711 | |
| LME Zinc Base Metal | | | 13 | | | 3/2018 | | | USD | | | | 1,079,380 | | | | 16,650 | |
| LME Zinc Base Metal | | | 15 | | | 3/2018 | | | USD | | | | 1,247,625 | | | | 56,812 | |
| LME Zinc Base Metal | | | 25 | | | 3/2018 | | | USD | | | | 2,079,375 | | | | 141,814 | |
| LME Zinc Base Metal | | | 25 | | | 3/2018 | | | USD | | | | 2,079,375 | | | | 141,801 | |
| LME Zinc Base Metal | | | 26 | | | 3/2018 | | | USD | | | | 2,162,550 | | | | 85,931 | |
| LME Zinc Base Metal | | | 27 | | | 3/2018 | | | USD | | | | 2,245,725 | | | | 166,645 | |
| LME Zinc Base Metal | | | 28 | | | 3/2018 | | | USD | | | | 2,328,690 | | | | 90,698 | |
| LME Zinc Base Metal | | | 30 | | | 3/2018 | | | USD | | | | 2,493,315 | | | | 55,733 | |
| LME Zinc Base Metal | | | 30 | | | 3/2018 | | | USD | | | | 2,494,350 | | | | 72,563 | |
| LME Zinc Base Metal | | | 64 | | | 3/2018 | | | USD | | | | 5,321,760 | | | | 212,473 | |
| LME Zinc Base Metal | | | 814 | | | 3/2018 | | | USD | | | | 67,673,925 | | | | 2,832,711 | |
| Long Gilt | | | 7,224 | | | 3/2018 | | | GBP | | | | 1,220,745,967 | | | | 2,855,390 | |
| MSCI Emerging Markets E-Mini Index | | | 238 | | | 3/2018 | | | USD | | | | 24,341,450 | | | | 296,649 | |
| MSCI Emerging Markets E-Mini Index | | | 2,115 | | | 3/2018 | | | USD | | | | 123,061,275 | | | | 4,386,159 | |
| NASDAQ 100 E-Mini Index | | | 3,981 | | | 3/2018 | | | USD | | | | 510,264,675 | | | | 2,735,045 | |
| Nikkei 225 Index | | | 1,806 | | | 3/2018 | | | JPY | | | | 364,646,106 | | | | 346,267 | |
| Palladium | | | 802 | | | 3/2018 | | | USD | | | | 85,092,200 | | | | 5,672,935 | |
| Russell 2000 E-Mini Index | | | 3,332 | | | 3/2018 | | | USD | | | | 255,980,900 | | | | 1,967,915 | |
| S&P 500 E-Mini Index | | | 3,317 | | | 3/2018 | | | USD | | | | 443,814,600 | | | | 3,584,177 | |
| S&P Midcap 400 E-Mini Index | | | 1,065 | | | 3/2018 | | | USD | | | | 202,605,600 | | | | 1,127,786 | |
| S&P/TSX 60 Index | | | 3,717 | | | 3/2018 | | | CAD | | | | 566,214,129 | | | | 2,596,179 | |
| Soybean | | | 1 | | | 3/2018 | | | USD | | | | 48,088 | | | | (1,270 | ) |
| Soybean Oil | | | 381 | | | 3/2018 | | | EUR | | | | 74,907,427 | | | | (1,510,896 | ) |
| SPI 200 Index | | | 3,646 | | | 3/2018 | | | AUD | | | | 428,141,107 | | | | (689,638 | ) |
| TOPIX Index | | | 2,203 | | | 3/2018 | | | JPY | | | | 355,256,357 | | | | 6,167,799 | |
| U.S. Treasury Long Bond | | | 2,657 | | | 3/2018 | | | USD | | | | 406,521,000 | | | | (666,792 | ) |
| U.S. Treasury Ultra Bond | | | 2,817 | | | 3/2018 | | | USD | | | | 472,287,656 | | | | 46,834 | |
| 3 Month Euroswiss | | | 18 | | | 6/2018 | | | CHF | | | | 4,651,239 | | | | (16 | ) |
| 3 Month Euroswiss | | | 75 | | | 9/2018 | | | CHF | | | | 19,368,618 | | | | (869 | ) |
| 3 Month Euro Euribor | | | 865 | | | 12/2018 | | | EUR | | | | 260,090,282 | | | | (105,295 | ) |
| 3 Month Euro Euribor | | | 1,318 | | | 3/2019 | | | EUR | | | | 396,002,900 | | | | (223,733 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 170,453,838 | |
| | | | | | | | | | | | | | | | | | |
| Short Contracts | |
| LME Aluminum Base Metal | | | (3 | ) | | 1/2018 | | | USD | | | | (169,369 | ) | | | (9,101 | ) |
| LME Aluminum Base Metal | | | (5 | ) | | 1/2018 | | | USD | | | | (282,312 | ) | | | (13,020 | ) |
| LME Aluminum Base Metal | | | (7 | ) | | 1/2018 | | | USD | | | | (395,279 | ) | | | (22,059 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
18
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts (continued) | |
| LME Aluminum Base Metal | | | (8 | ) | | 1/2018 | | | USD | | | | $ (451,750 | ) | | | $ (23,398 | ) |
| LME Aluminum Base Metal | | | (10 | ) | | 1/2018 | | | USD | | | | (564,145 | ) | | | (28,357 | ) |
| LME Aluminum Base Metal | | | (10 | ) | | 1/2018 | | | USD | | | | (564,000 | ) | | | (34,267 | ) |
| LME Aluminum Base Metal | | | (12 | ) | | 1/2018 | | | USD | | | | (677,151 | ) | | | (29,180 | ) |
| LME Aluminum Base Metal | | | (12 | ) | | 1/2018 | | | USD | | | | (677,700 | ) | | | (34,769 | ) |
| LME Aluminum Base Metal | | | (14 | ) | | 1/2018 | | | USD | | | | (790,471 | ) | | | (49,906 | ) |
| LME Aluminum Base Metal | | | (16 | ) | | 1/2018 | | | USD | | | | (903,884 | ) | | | (46,947 | ) |
| LME Aluminum Base Metal | | | (28 | ) | | 1/2018 | | | USD | | | | (1,581,650 | ) | | | (73,359 | ) |
| LME Aluminum Base Metal | | | (35 | ) | | 1/2018 | | | USD | | | | (1,976,844 | ) | | | (84,523 | ) |
| LME Copper Base Metal | | | (11 | ) | | 1/2018 | | | USD | | | | (1,985,283 | ) | | | (66,085 | ) |
| LME Copper Base Metal | | | (23 | ) | | 1/2018 | | | USD | | | | (4,149,919 | ) | | | (109,450 | ) |
| LME Copper Base Metal | | | (32 | ) | | 1/2018 | | | USD | | | | (5,773,600 | ) | | | (206,495 | ) |
| LME Nickel Base Metal | | | (2 | ) | | 1/2018 | | | USD | | | | (152,524 | ) | | | (21,018 | ) |
| LME Nickel Base Metal | | | (4 | ) | | 1/2018 | | | USD | | | | (305,019 | ) | | | (44,857 | ) |
| LME Nickel Base Metal | | | (5 | ) | | 1/2018 | | | USD | | | | (381,293 | ) | | | (53,107 | ) |
| LME Nickel Base Metal | | | (6 | ) | | 1/2018 | | | USD | | | | (457,442 | ) | | | (74,966 | ) |
| LME Nickel Base Metal | | | (6 | ) | | 1/2018 | | | USD | | | | (457,420 | ) | | | (71,488 | ) |
| LME Nickel Base Metal | | | (18 | ) | | 1/2018 | | | USD | | | | (1,372,784 | ) | | | (129,028 | ) |
| LME Nickel Base Metal | | | (20 | ) | | 1/2018 | | | USD | | | | (1,526,173 | ) | | | (108,422 | ) |
| LME Nickel Base Metal | | | (22 | ) | | 1/2018 | | | USD | | | | (1,677,126 | ) | | | (273,887 | ) |
| LME Nickel Base Metal | | | (25 | ) | | 1/2018 | | | USD | | | | (1,907,009 | ) | | | (138,570 | ) |
| LME Nickel Base Metal | | | (30 | ) | | 1/2018 | | | USD | | | | (2,288,644 | ) | | | (164,733 | ) |
| LME Nickel Base Metal | | | (30 | ) | | 1/2018 | | | USD | | | | (2,288,520 | ) | | | (178,094 | ) |
| LME Nickel Base Metal | | | (46 | ) | | 1/2018 | | | USD | | | | (3,509,442 | ) | | | (229,985 | ) |
| LME Zinc Base Metal | | | (5 | ) | | 1/2018 | | | USD | | | | (417,084 | ) | | | (8,346 | ) |
| LME Zinc Base Metal | | | (5 | ) | | 1/2018 | | | USD | | | | (416,875 | ) | | | (26,700 | ) |
| LME Zinc Base Metal | | | (5 | ) | | 1/2018 | | | USD | | | | (416,625 | ) | | | (26,018 | ) |
| LME Zinc Base Metal | | | (6 | ) | | 1/2018 | | | USD | | | | (500,175 | ) | | | (37,449 | ) |
| LME Zinc Base Metal | | | (8 | ) | | 1/2018 | | | USD | | | | (667,500 | ) | | | (19,920 | ) |
| LME Zinc Base Metal | | | (9 | ) | | 1/2018 | | | USD | | | | (751,500 | ) | | | (24,777 | ) |
| LME Zinc Base Metal | | | (11 | ) | | 1/2018 | | | USD | | | | (916,850 | ) | | | (59,411 | ) |
| LME Zinc Base Metal | | | (12 | ) | | 1/2018 | | | USD | | | | (1,001,775 | ) | | | (14,810 | ) |
| LME Zinc Base Metal | | | (12 | ) | | 1/2018 | | | USD | | | | (1,001,514 | ) | | | (18,563 | ) |
| LME Zinc Base Metal | | | (15 | ) | | 1/2018 | | | USD | | | | (1,251,874 | ) | | | (33,183 | ) |
| LME Zinc Base Metal | | | (18 | ) | | 1/2018 | | | USD | | | | (1,503,000 | ) | | | (53,144 | ) |
| LME Zinc Base Metal | | | (18 | ) | | 1/2018 | | | USD | | | | (1,503,000 | ) | | | (35,594 | ) |
| Natural Gas | | | (3,847 | ) | | 1/2018 | | | USD | | | | (113,601,910 | ) | | | (5,151,752 | ) |
| LME Aluminum Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (113,094 | ) | | | (4,408 | ) |
| LME Aluminum Base Metal | | | (8 | ) | | 2/2018 | | | USD | | | | (452,428 | ) | | | (17,269 | ) |
| LME Aluminum Base Metal | | | (23 | ) | | 2/2018 | | | USD | | | | (1,303,381 | ) | | | (82,487 | ) |
| LME Aluminum Base Metal | | | (27 | ) | | 2/2018 | | | USD | | | | (1,527,761 | ) | | | (76,164 | ) |
| LME Aluminum Base Metal | | | (37 | ) | | 2/2018 | | | USD | | | | (2,093,821 | ) | | | (134,372 | ) |
| LME Aluminum Base Metal | | | (49 | ) | | 2/2018 | | | USD | | | | (2,776,475 | ) | | | (226,730 | ) |
| LME Aluminum Base Metal | | | (58 | ) | | 2/2018 | | | USD | | | | (3,282,568 | ) | | | (246,896 | ) |
| LME Aluminum Base Metal | | | (59 | ) | | 2/2018 | | | USD | | | | (3,343,456 | ) | | | (239,201 | ) |
| LME Aluminum Base Metal | | | (59 | ) | | 2/2018 | | | USD | | | | (3,343,456 | ) | | | (279,116 | ) |
| LME Aluminum Base Metal | | | (68 | ) | | 2/2018 | | | USD | | | | (3,850,177 | ) | | | (263,557 | ) |
| LME Aluminum Base Metal | | | (68 | ) | | 2/2018 | | | USD | | | | (3,850,585 | ) | | | (279,057 | ) |
| LME Aluminum Base Metal | | | (75 | ) | | 2/2018 | | | USD | | | | (4,247,419 | ) | | | (316,866 | ) |
| LME Aluminum Base Metal | | | (124 | ) | | 2/2018 | | | USD | | | | (7,023,174 | ) | | | (473,309 | ) |
| LME Aluminum Base Metal | | | (142 | ) | | 2/2018 | | | USD | | | | (8,046,962 | ) | | | (711,025 | ) |
| LME Copper Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (180,800 | ) | | | (7,469 | ) |
| LME Copper Base Metal | | | (8 | ) | | 2/2018 | | | USD | | | | (1,445,566 | ) | | | (81,986 | ) |
| LME Copper Base Metal | | | (8 | ) | | 2/2018 | | | USD | | | | (1,445,668 | ) | | | (91,692 | ) |
| LME Copper Base Metal | | | (10 | ) | | 2/2018 | | | USD | | | | (1,809,080 | ) | | | (77,047 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
19
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts (continued) | |
| LME Copper Base Metal | | | (10 | ) | | 2/2018 | | | USD | | | | $ (1,807,598 | ) | | | $ (97,651 | ) |
| LME Copper Base Metal | | | (11 | ) | | 2/2018 | | | USD | | | | (1,989,488 | ) | | | (96,135 | ) |
| LME Copper Base Metal | | | (20 | ) | | 2/2018 | | | USD | | | | (3,616,995 | ) | | | (220,254 | ) |
| LME Copper Base Metal | | | (24 | ) | | 2/2018 | | | USD | | | | (4,338,852 | ) | | | (290,348 | ) |
| LME Copper Base Metal | | | (48 | ) | | 2/2018 | | | USD | | | | (8,672,784 | ) | | | (418,726 | ) |
| LME Copper Base Metal | | | (50 | ) | | 2/2018 | | | USD | | | | (9,039,913 | ) | | | (582,447 | ) |
| LME Copper Base Metal | | | (52 | ) | | 2/2018 | | | USD | | | | (9,408,334 | ) | | | (599,480 | ) |
| LME Copper Base Metal | | | (66 | ) | | 2/2018 | | | USD | | | | (11,919,930 | ) | | | (403,125 | ) |
| LME Copper Base Metal | | | (113 | ) | | 2/2018 | | | USD | | | | (20,409,919 | ) | | | (895,302 | ) |
| LME Nickel Base Metal | | | (3 | ) | | 2/2018 | | | USD | | | | (229,136 | ) | | | (6,811 | ) |
| LME Nickel Base Metal | | | (4 | ) | | 2/2018 | | | USD | | | | (305,399 | ) | | | (1,721 | ) |
| LME Nickel Base Metal | | | (5 | ) | | 2/2018 | | | USD | | | | (381,873 | ) | | | (4,056 | ) |
| LME Nickel Base Metal | | | (5 | ) | | 2/2018 | | | USD | | | | (381,996 | ) | | | (13,780 | ) |
| LME Nickel Base Metal | | | (5 | ) | | 2/2018 | | | USD | | | | (381,852 | ) | | | 1,004 | |
| LME Nickel Base Metal | | | (10 | ) | | 2/2018 | | | USD | | | | (763,951 | ) | | | (19,118 | ) |
| LME Nickel Base Metal | | | (18 | ) | | 2/2018 | | | USD | | | | (1,375,790 | ) | | | (99,391 | ) |
| LME Nickel Base Metal | | | (19 | ) | | 2/2018 | | | USD | | | | (1,452,676 | ) | | | (123,612 | ) |
| LME Nickel Base Metal | | | (22 | ) | | 2/2018 | | | USD | | | | (1,680,873 | ) | | | (148,337 | ) |
| LME Nickel Base Metal | | | (32 | ) | | 2/2018 | | | USD | | | | (2,445,696 | ) | | | (199,525 | ) |
| LME Nickel Base Metal | | | (36 | ) | | 2/2018 | | | USD | | | | (2,751,259 | ) | | | (246,786 | ) |
| LME Nickel Base Metal | | | (81 | ) | | 2/2018 | | | USD | | | | (6,189,001 | ) | | | (568,495 | ) |
| LME Nickel Base Metal | | | (133 | ) | | 2/2018 | | | USD | | | | (10,169,369 | ) | | | (1,122,220 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (83,175 | ) | | | (3,407 | ) |
| LME Zinc Base Metal | | | (6 | ) | | 2/2018 | | | USD | | | | (499,810 | ) | | | (8,441 | ) |
| LME Zinc Base Metal | | | (7 | ) | | 2/2018 | | | USD | | | | (582,356 | ) | | | (17,998 | ) |
| LME Zinc Base Metal | | | (8 | ) | | 2/2018 | | | USD | | | | (665,700 | ) | | | (28,420 | ) |
| LME Zinc Base Metal | | | (13 | ) | | 2/2018 | | | USD | | | | (1,082,143 | ) | | | (50,388 | ) |
| LME Zinc Base Metal | | | (16 | ) | | 2/2018 | | | USD | | | | (1,331,984 | ) | | | (43,209 | ) |
| LME Zinc Base Metal | | | (16 | ) | | 2/2018 | | | USD | | | | (1,332,216 | ) | | | (68,492 | ) |
| LME Zinc Base Metal | | | (17 | ) | | 2/2018 | | | USD | | | | (1,415,730 | ) | | | (57,869 | ) |
| LME Zinc Base Metal | | | (19 | ) | | 2/2018 | | | USD | | | | (1,582,144 | ) | | | (66,139 | ) |
| LME Zinc Base Metal | | | (19 | ) | | 2/2018 | | | USD | | | | (1,582,700 | ) | | | (49,850 | ) |
| LME Zinc Base Metal | | | (19 | ) | | 2/2018 | | | USD | | | | (1,581,455 | ) | | | (93,878 | ) |
| LME Zinc Base Metal | | | (38 | ) | | 2/2018 | | | USD | | | | (3,162,626 | ) | | | (162,777 | ) |
| LME Zinc Base Metal | | | (67 | ) | | 2/2018 | | | USD | | | | (5,572,725 | ) | | | (293,478 | ) |
| Sugar No. 11 | | | (6,976 | ) | | 2/2018 | | | USD | | | | (118,446,899 | ) | | | (9,678,626 | ) |
| 3 Month Canadian Bank Acceptance | | | (740 | ) | | 3/2018 | | | CAD | | | | (144,659,109 | ) | | | (41,254 | ) |
| 3 Month Euro Euribor | | | (1 | ) | | 3/2018 | | | EUR | | | | (300,922 | ) | | | (23 | ) |
| 3 Month Eurodollar | | | (1 | ) | | 3/2018 | | | USD | | | | (245,600 | ) | | | 86 | |
| 3 Month Euroswiss | | | (1 | ) | | 3/2018 | | | CHF | | | | (258,453 | ) | | | (46 | ) |
| 3 Month Sterling | | | (2 | ) | | 3/2018 | | | GBP | | | | (335,647 | ) | | | (178 | ) |
| Australia 3 Year Bond | | | (7,054 | ) | | 3/2018 | | | AUD | | | | (611,463,770 | ) | | | (536,643 | ) |
| Canada 10 Year Bond | | | (535 | ) | | 3/2018 | | | CAD | | | | (57,364,598 | ) | | | 34,313 | |
| Cocoa | | | (1,675 | ) | | 3/2018 | | | USD | | | | (31,691,000 | ) | | | 588,077 | |
| Cocoa | | | (3,922 | ) | | 3/2018 | | | GBP | | | | (72,969,070 | ) | | | 5,314,321 | |
| Coffee ‘C’ | | | (2,353 | ) | | 3/2018 | | | USD | | | | (111,355,725 | ) | | | 1,080,148 | |
| Corn | | | (4,431 | ) | | 3/2018 | | | USD | | | | (77,708,663 | ) | | | 670,384 | |
| KC HRW Wheat | | | (3,424 | ) | | 3/2018 | | | USD | | | | (73,145,200 | ) | | | 1,876,458 | |
| LME Aluminum Base Metal | | | (11 | ) | | 3/2018 | | | USD | | | | (624,272 | ) | | | (58,143 | ) |
| LME Aluminum Base Metal | | | (41 | ) | | 3/2018 | | | USD | | | | (2,327,806 | ) | | | (195,206 | ) |
| LME Aluminum Base Metal | | | (56 | ) | | 3/2018 | | | USD | | | | (3,177,104 | ) | | | (354,528 | ) |
| LME Aluminum Base Metal | | | (57 | ) | | 3/2018 | | | USD | | | | (3,234,522 | ) | | | (337,044 | ) |
| LME Aluminum Base Metal | | | (57 | ) | | 3/2018 | | | USD | | | | (3,234,180 | ) | | | (365,335 | ) |
| LME Aluminum Base Metal | | | (61 | ) | | 3/2018 | | | USD | | | | (3,463,672 | ) | | | (259,826 | ) |
| LME Aluminum Base Metal | | | (71 | ) | | 3/2018 | | | USD | | | | (4,025,594 | ) | | | (407,257 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
20
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts (continued) | |
| LME Aluminum Base Metal | | | (72 | ) | | 3/2018 | | | USD | | | | $ (4,081,860 | ) | | | $ (370,998 | ) |
| LME Aluminum Base Metal | | | (72 | ) | | 3/2018 | | | USD | | | | (4,082,724 | ) | | | (457,958 | ) |
| LME Aluminum Base Metal | | | (72 | ) | | 3/2018 | | | USD | | | | (4,083,138 | ) | | | (457,505 | ) |
| LME Aluminum Base Metal | | | (79 | ) | | 3/2018 | | | USD | | | | (4,476,831 | ) | | | (396,659 | ) |
| LME Aluminum Base Metal | | | (88 | ) | | 3/2018 | | | USD | | | | (4,989,600 | ) | | | (9,346 | ) |
| LME Aluminum Base Metal | | | (90 | ) | | 3/2018 | | | USD | | | | (5,104,125 | ) | | | (19,391 | ) |
| LME Aluminum Base Metal | | | (93 | ) | | 3/2018 | | | USD | | | | (5,278,913 | ) | | | (257,187 | ) |
| LME Aluminum Base Metal | | | (93 | ) | | 3/2018 | | | USD | | | | (5,275,425 | ) | | | (160,653 | ) |
| LME Aluminum Base Metal | | | (674 | ) | | 3/2018 | | | USD | | | | (38,274,775 | ) | | | (3,865,623 | ) |
| LME Copper Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (362,304 | ) | | | (25,959 | ) |
| LME Copper Base Metal | | | (15 | ) | | 3/2018 | | | USD | | | | (2,717,063 | ) | | | (221,555 | ) |
| LME Copper Base Metal | | | (19 | ) | | 3/2018 | | | USD | | | | (3,439,713 | ) | | | (293,853 | ) |
| LME Copper Base Metal | | | (21 | ) | | 3/2018 | | | USD | | | | (3,804,675 | ) | | | (10,394 | ) |
| LME Copper Base Metal | | | (22 | ) | | 3/2018 | | | USD | | | | (3,985,652 | ) | | | (263,856 | ) |
| LME Copper Base Metal | | | (27 | ) | | 3/2018 | | | USD | | | | (4,885,684 | ) | | | (302,752 | ) |
| LME Copper Base Metal | | | (31 | ) | | 3/2018 | | | USD | | | | (5,616,588 | ) | | | (445,864 | ) |
| LME Copper Base Metal | | | (37 | ) | | 3/2018 | | | USD | | | | (6,699,969 | ) | | | (616,877 | ) |
| LME Copper Base Metal | | | (38 | ) | | 3/2018 | | | USD | | | | (6,880,508 | ) | | | (634,461 | ) |
| LME Copper Base Metal | | | (41 | ) | | 3/2018 | | | USD | | | | (7,427,806 | ) | | | 25,873 | |
| LME Copper Base Metal | | | (41 | ) | | 3/2018 | | | USD | | | | (7,427,447 | ) | | | (59,766 | ) |
| LME Copper Base Metal | | | (50 | ) | | 3/2018 | | | USD | | | | (9,052,588 | ) | | | (831,982 | ) |
| LME Copper Base Metal | | | (51 | ) | | 3/2018 | | | USD | | | | (9,236,738 | ) | | | (213,687 | ) |
| LME Copper Base Metal | | | (52 | ) | | 3/2018 | | | USD | | | | (9,423,050 | ) | | | (354,403 | ) |
| LME Copper Base Metal | | | (102 | ) | | 3/2018 | | | USD | | | | (18,486,225 | ) | | | (902,925 | ) |
| LME Copper Base Metal | | | (238 | ) | | 3/2018 | | | USD | | | | (43,122,625 | ) | | | (3,468,370 | ) |
| LME Nickel Base Metal | | | (4 | ) | | 3/2018 | | | USD | | | | (306,132 | ) | | | (36,144 | ) |
| LME Nickel Base Metal | | | (14 | ) | | 3/2018 | | | USD | | | | (1,071,395 | ) | | | (132,252 | ) |
| LME Nickel Base Metal | | | (23 | ) | | 3/2018 | | | USD | | | | (1,759,929 | ) | | | (226,777 | ) |
| LME Nickel Base Metal | | | (23 | ) | | 3/2018 | | | USD | | | | (1,760,040 | ) | | | (220,556 | ) |
| LME Nickel Base Metal | | | (42 | ) | | 3/2018 | | | USD | | | | (3,212,982 | ) | | | (443,889 | ) |
| LME Nickel Base Metal | | | (44 | ) | | 3/2018 | | | USD | | | | (3,368,640 | ) | | | (111,195 | ) |
| LME Nickel Base Metal | | | (50 | ) | | 3/2018 | | | USD | | | | (3,824,265 | ) | | | (520,052 | ) |
| LME Nickel Base Metal | | | (58 | ) | | 3/2018 | | | USD | | | | (4,435,037 | ) | | | (549,004 | ) |
| LME Nickel Base Metal | | | (60 | ) | | 3/2018 | | | USD | | | | (4,589,690 | ) | | | (667,033 | ) |
| LME Nickel Base Metal | | | (60 | ) | | 3/2018 | | | USD | | | | (4,589,402 | ) | | | (680,440 | ) |
| LME Nickel Base Metal | | | (63 | ) | | 3/2018 | | | USD | | | | (4,822,997 | ) | | | (324,951 | ) |
| LME Nickel Base Metal | | | (64 | ) | | 3/2018 | | | USD | | | | (4,899,567 | ) | | | (304,620 | ) |
| LME Nickel Base Metal | | | (64 | ) | | 3/2018 | | | USD | | | | (4,899,702 | ) | | | (207,411 | ) |
| LME Nickel Base Metal | | | (66 | ) | | 3/2018 | | | USD | | | | (5,051,970 | ) | | | (290,661 | ) |
| LME Nickel Base Metal | | | (104 | ) | | 3/2018 | | | USD | | | | (7,961,304 | ) | | | (641,183 | ) |
| LME Nickel Base Metal | | | (428 | ) | | 3/2018 | | | USD | | | | (32,767,680 | ) | | | (4,317,217 | ) |
| LME Zinc Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (415,875 | ) | | | (22,333 | ) |
| LME Zinc Base Metal | | | (7 | ) | | 3/2018 | | | USD | | | | (582,225 | ) | | | (30,292 | ) |
| LME Zinc Base Metal | | | (9 | ) | | 3/2018 | | | USD | | | | (748,575 | ) | | | (44,855 | ) |
| LME Zinc Base Metal | | | (13 | ) | | 3/2018 | | | USD | | | | (1,078,675 | ) | | | (7,188 | ) |
| LME Zinc Base Metal | | | (13 | ) | | 3/2018 | | | USD | | | | (1,079,380 | ) | | | (15,125 | ) |
| LME Zinc Base Metal | | | (13 | ) | | 3/2018 | | | USD | | | | (1,079,026 | ) | | | (9,879 | ) |
| LME Zinc Base Metal | | | (15 | ) | | 3/2018 | | | USD | | | | (1,247,625 | ) | | | (56,474 | ) |
| LME Zinc Base Metal | | | (25 | ) | | 3/2018 | | | USD | | | | (2,079,375 | ) | | | (140,173 | ) |
| LME Zinc Base Metal | | | (25 | ) | | 3/2018 | | | USD | | | | (2,079,375 | ) | | | (144,198 | ) |
| LME Zinc Base Metal | | | (26 | ) | | 3/2018 | | | USD | | | | (2,162,550 | ) | | | (78,310 | ) |
| LME Zinc Base Metal | | | (27 | ) | | 3/2018 | | | USD | | | | (2,245,725 | ) | | | (161,195 | ) |
| LME Zinc Base Metal | | | (28 | ) | | 3/2018 | | | USD | | | | (2,328,690 | ) | | | (97,159 | ) |
| LME Zinc Base Metal | | | (30 | ) | | 3/2018 | | | USD | | | | (2,494,350 | ) | | | (79,438 | ) |
| LME Zinc Base Metal | | | (30 | ) | | 3/2018 | | | USD | | | | (2,493,315 | ) | | | (55,904 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
21
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts (continued) | |
| LME Zinc Base Metal | | | (64 | ) | | 3/2018 | | | USD | | | | $ (5,321,760 | ) | | | $ (203,157 | ) |
| LME Zinc Base Metal | | | (169 | ) | | 3/2018 | | | USD | | | | (14,050,237 | ) | | | (830,586 | ) |
| Silver | | | (1,381 | ) | | 3/2018 | | | USD | | | | (118,386,225 | ) | | | (8,878,330 | ) |
| Soybean Meal | | | (817 | ) | | 3/2018 | | | USD | | | | (25,882,560 | ) | | | 147,504 | |
| Soybean Oil | | | (1,836 | ) | | 3/2018 | | | USD | | | | (36,639,216 | ) | | | 371,103 | |
| U.S. Treasury 10 Year Note | | | (8,796 | ) | | 3/2018 | | | USD | | | | (1,091,116,313 | ) | | | 2,599,493 | |
| U.S. Treasury 2 Year Note | | | (49,148 | ) | | 3/2018 | | | USD | | | | (10,523,047,563 | ) | | | 15,532,862 | |
| U.S. Treasury 5 Year Note | | | (21,998 | ) | | 3/2018 | | | USD | | | | (2,555,377,047 | ) | | | 5,961,560 | |
| Wheat | | | (1,952 | ) | | 3/2018 | | | USD | | | | (41,675,200 | ) | | | 244,675 | |
| Platinum | | | (865 | ) | | 4/2018 | | | USD | | | | (40,581,475 | ) | | | (675,423 | ) |
| 3 Month Canadian Bank Acceptance | | | (2,333 | ) | | 6/2018 | | | CAD | | | | (455,023,160 | ) | | | 302,355 | |
| 3 Month Euro Euribor | | | (935 | ) | | 6/2018 | | | EUR | | | | (281,334,376 | ) | | | 8,100 | |
| 3 Month Eurodollar | | | (15,628 | ) | | 6/2018 | | | USD | | | | (3,831,790,250 | ) | | | 8,720,766 | |
| 3 Month Sterling | | | (224 | ) | | 6/2018 | | | GBP | | | | (37,558,471 | ) | | | (30,778 | ) |
| ASX 90 Day Bank Accepted Bill | | | (135 | ) | | 6/2018 | | | AUD | | | | (104,858,007 | ) | | | (3,366 | ) |
| 3 Month Canadian Bank Acceptance | | | (1,393 | ) | | 9/2018 | | | CAD | | | | (271,272,066 | ) | | | 241,649 | |
| 3 Month Euro Euribor | | | (1,059 | ) | | 9/2018 | | | EUR | | | | (318,549,734 | ) | | | 18,526 | |
| 3 Month Eurodollar | | | (14,700 | ) | | 9/2018 | | | USD | | | | (3,600,030,000 | ) | | | 9,008,498 | |
| 3 Month Sterling | | | (2,177 | ) | | 9/2018 | | | GBP | | | | (364,764,208 | ) | | | (408,743 | ) |
| ASX 90 Day Bank Accepted Bill | | | (240 | ) | | 9/2018 | | | AUD | | | | (186,373,063 | ) | | | (11,819 | ) |
| 3 Month Eurodollar | | | (14,298 | ) | | 12/2018 | | | USD | | | | (3,497,826,975 | ) | | | 8,510,692 | |
| 3 Month Euroswiss | | | (113 | ) | | 12/2018 | | | CHF | | | | (29,161,758 | ) | | | (1,379 | ) |
| 3 Month Sterling | | | (2,212 | ) | | 12/2018 | | | GBP | | | | (370,404,594 | ) | | | (372,736 | ) |
| 3 Month Eurodollar | | | (14,042 | ) | | 3/2019 | | | USD | | | | (3,433,093,475 | ) | | | 7,070,683 | |
| 3 Month Sterling | | | (2,377 | ) | | 3/2019 | | | GBP | | | | (397,793,534 | ) | | | (373,853 | ) |
| 3 Month Euro Euribor | | | (84 | ) | | 6/2019 | | | EUR | | | | (25,217,007 | ) | | | (53 | ) |
| 3 Month Eurodollar | | | (12,738 | ) | | 6/2019 | | | USD | | | | (3,112,530,300 | ) | | | 7,369,643 | |
| 3 Month Sterling | | | (2,182 | ) | | 6/2019 | | | GBP | | | | (364,975,945 | ) | | | (347,115 | ) |
| 3 Month Euro Euribor | | | (2,208 | ) | | 9/2019 | | | EUR | | | | (662,217,847 | ) | | | 59,447 | |
| 3 Month Eurodollar | | | (11,275 | ) | | 9/2019 | | | USD | | | | (2,754,059,687 | ) | | | 6,896,127 | |
| 3 Month Sterling | | | (2,368 | ) | | 9/2019 | | | GBP | | | | (395,887,729 | ) | | | (367,429 | ) |
| 3 Month Euro Euribor | | | (2,545 | ) | | 12/2019 | | | EUR | | | | (762,564,811 | ) | | | 223,765 | |
| 3 Month Eurodollar | | | (10,082 | ) | | 12/2019 | | | USD | | | | (2,461,772,350 | ) | | | 1,134,527 | |
| 3 Month Sterling | | | (1,783 | ) | | 12/2019 | | | GBP | | | | (297,935,616 | ) | | | (227,383 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 15,249,393 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | $185,703,231 | |
| | | | | | | | | | | | | | | | | | |
Forward foreign currency contracts outstanding as of December 31, 2017:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| AUD | | | 1,093,220,017 | | | USD | | | 833,617,581 | | | CITI | | | 3/21/2018 | | | | $19,239,573 | |
| AUD | | | 1,639,830,023 | | | USD | | | 1,250,427,932 | | | JPMC | | | 3/21/2018 | | | | 28,857,796 | |
| BRL | | | 7,299,200 | | | USD | | | 2,181,805 | | | CITI** | | | 3/21/2018 | | | | 105 | |
| BRL | | | 10,948,800 | | | USD | | | 3,272,711 | | | JPMC** | | | 3/21/2018 | | | | 153 | |
| CAD | | | 532,694,771 | | | USD | | | 418,810,543 | | | CITI | | | 3/21/2018 | | | | 5,402,391 | |
| CAD | | | 799,042,148 | | | USD | | | 628,216,594 | | | JPMC | | | 3/21/2018 | | | | 8,102,801 | |
| CHF | | | 3,488,000 | | | USD | | | 3,563,165 | | | CITI | | | 3/21/2018 | | | | 36,346 | |
| CHF | | | 5,232,000 | | | USD | | | 5,344,755 | | | JPMC | | | 3/21/2018 | | | | 54,512 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
22
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| CLP | | | 39,074,185,236 | | | USD | | | 60,916,544 | | | CITI** | | | 3/21/2018 | | | | $ 2,542,903 | |
| CLP | | | 56,965,795,796 | | | USD | | | 88,794,084 | | | JPMC** | | | 3/21/2018 | | | | 3,722,698 | |
| COP | | | 100,812,252,199 | | | USD | | | 33,245,106 | | | CITI** | | | 3/21/2018 | | | | 311,462 | |
| COP | | | 115,232,705,145 | | | USD | | | 37,968,749 | | | JPMC** | | | 3/21/2018 | | | | 387,840 | |
| EUR | | | 1,508,702,764 | | | USD | | | 1,798,982,811 | | | CITI | | | 3/21/2018 | | | | 19,683,645 | |
| EUR | | | 2,263,054,144 | | | USD | | | 2,698,486,897 | | | JPMC | | | 3/21/2018 | | | | 29,512,784 | |
| GBP | | | 433,812,870 | | | USD | | | 581,143,917 | | | CITI | | | 3/21/2018 | | | | 6,074,408 | |
| GBP | | | 650,719,295 | | | USD | | | 871,716,202 | | | JPMC | | | 3/21/2018 | | | | 9,111,274 | |
| HUF | | | 9,267,674,643 | | | USD | | | 35,488,125 | | | CITI | | | 3/21/2018 | | | | 435,801 | |
| HUF | | | 13,794,671,461 | | | USD | | | 52,825,209 | | | JPMC | | | 3/21/2018 | | | | 646,538 | |
| IDR | | | 828,375,345,281 | | | USD | | | 60,617,528 | | | CITI** | | | 3/21/2018 | | | | 290,427 | |
| IDR | | | 1,214,912,124,087 | | | USD | | | 88,902,468 | | | JPMC** | | | 3/21/2018 | | | | 426,376 | |
| ILS | | | 272,290,200 | | | USD | | | 78,012,758 | | | CITI | | | 3/21/2018 | | | | 488,221 | |
| ILS | | | 386,836,800 | | | USD | | | 110,833,325 | | | JPMC | | | 3/21/2018 | | | | 691,320 | |
| INR | | | 7,986,842,611 | | | USD | | | 122,400,382 | | | CITI** | | | 3/21/2018 | | | | 1,815,307 | |
| INR | | | 11,764,763,405 | | | USD | | | 180,300,569 | | | JPMC** | | | 3/21/2018 | | | | 2,671,384 | |
| KRW | | | 325,232,205,255 | | | USD | | | 298,869,325 | | | CITI** | | | 3/21/2018 | | | | 6,138,315 | |
| KRW | | | 487,848,307,881 | | | USD | | | 448,304,548 | | | JPMC** | | | 3/21/2018 | | | | 9,206,913 | |
| NOK | | | 59,667,200 | | | USD | | | 7,223,030 | | | CITI | | | 3/21/2018 | | | | 59,755 | |
| NOK | | | 89,500,800 | | | USD | | | 10,834,558 | | | JPMC | | | 3/21/2018 | | | | 89,618 | |
| NZD | | | 651,815,591 | | | USD | | | 452,342,633 | | | CITI | | | 3/21/2018 | | | | 9,151,881 | |
| NZD | | | 977,723,385 | | | USD | | | 678,510,189 | | | JPMC | | | 3/21/2018 | | | | 13,731,581 | |
| PHP | | | 4,011,800,398 | | | USD | | | 78,666,242 | | | CITI** | | | 3/21/2018 | | | | 1,481,122 | |
| PHP | | | 6,017,700,578 | | | USD | | | 117,999,510 | | | JPMC** | | | 3/21/2018 | | | | 2,221,535 | |
| PLN | | | 201,734,011 | | | USD | | | 56,754,198 | | | CITI | | | 3/21/2018 | | | | 1,215,486 | |
| PLN | | | 302,499,005 | | | USD | | | 85,102,908 | | | JPMC | | | 3/21/2018 | | | | 1,822,305 | |
| SEK | | | 473,186,206 | | | USD | | | 57,464,396 | | | CITI | | | 3/21/2018 | | | | 492,021 | |
| SEK | | | 681,793,810 | | | USD | | | 82,856,872 | | | JPMC | | | 3/21/2018 | | | | 650,056 | |
| SGD | | | 220,134,600 | | | USD | | | 163,280,462 | | | CITI | | | 3/21/2018 | | | | 1,508,513 | |
| SGD | | | 322,427,400 | | | USD | | | 239,149,574 | | | JPMC | | | 3/21/2018 | | | | 2,214,032 | |
| TRY | | | 897,155,988 | | | USD | | | 226,895,077 | | | CITI | | | 3/21/2018 | | | | 4,468,446 | |
| TRY | | | 1,345,733,980 | | | USD | | | 340,296,600 | | | JPMC | | | 3/21/2018 | | | | 6,748,683 | |
| TWD | | | 3,586,432,571 | | | USD | | | 120,595,263 | | | CITI** | | | 3/21/2018 | | | | 1,366,971 | |
| TWD | | | 5,309,846,356 | | | USD | | | 178,549,185 | | | JPMC** | | | 3/21/2018 | | | | 2,020,424 | |
| USD | | | 36,179,326 | | | BRL | | | 120,286,800 | | | CITI** | | | 3/21/2018 | | | | 222,658 | |
| USD | | | 52,157,363 | | | BRL | | | 173,419,200 | | | JPMC** | | | 3/21/2018 | | | | 318,120 | |
| USD | | | 24,061 | | | COP | | | 72,147,200 | | | CITI** | | | 3/21/2018 | | | | 46 | |
| USD | | | 36,092 | | | COP | | | 108,220,800 | | | JPMC** | | | 3/21/2018 | | | | 69 | |
| USD | | | 6,655,984 | | | HKD | | | 51,883,950 | | | CITI | | | 3/21/2018 | | | | 4,960 | |
| USD | | | 9,983,963 | | | HKD | | | 77,825,925 | | | JPMC | | | 3/21/2018 | | | | 7,426 | |
| USD | | | 25,808,794 | | | MXN | | | 504,731,604 | | | CITI | | | 3/21/2018 | | | | 492,963 | |
| USD | | | 31,560,795 | | | MXN | | | 618,764,404 | | | JPMC | | | 3/21/2018 | | | | 525,418 | |
| USD | | | 76,594,707 | | | NOK | | | 625,938,303 | | | CITI | | | 3/21/2018 | | | | 194,714 | |
| USD | | | 114,893,117 | | | NOK | | | 938,907,453 | | | JPMC | | | 3/21/2018 | | | | 293,126 | |
| JPY | | | 5,582,418,843 | | | USD | | | 49,646,649 | | | CITI | | | 3/22/2018 | | | | 97,175 | |
| JPY | | | 8,373,628,261 | | | USD | | | 74,470,066 | | | JPMC | | | 3/22/2018 | | | | 145,670 | |
| USD | | | 1,567,689,559 | | | JPY | | | 175,114,214,232 | | | CITI | | | 3/22/2018 | | | | 7,281,643 | |
| USD | | | 2,351,531,399 | | | JPY | | | 262,671,321,352 | | | JPMC | | | 3/22/2018 | | | | 10,919,526 | |
| ZAR | | | 3,149,374,006 | | | USD | | | 230,609,270 | | | CITI | | | 3/22/2018 | | | | 20,996,512 | |
| ZAR | | | 4,724,060,994 | | | USD | | | 346,018,522 | | | JPMC | | | 3/22/2018 | | | | 31,390,151 | |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized appreciation | | | | | | | | | | | | | 277,983,899 | |
| | | | | | | | | | | | | | | | | | | | |
| BRL | | | 251,390,000 | | | USD | | | 76,677,500 | | | CITI** | | | 3/21/2018 | | | | (1,530,878 | ) |
| BRL | | | 377,084,992 | | | USD | | | 115,016,392 | | | JPMC** | | | 3/21/2018 | | | | (2,296,460 | ) |
| CAD | | | 59,926,003 | | | USD | | | 47,755,119 | | | CITI | | | 3/21/2018 | | | | (32,883 | ) |
| CAD | | | 89,889,005 | | | USD | | | 71,632,769 | | | JPMC | | | 3/21/2018 | | | | (49,414 | ) |
| CLP | | | 2,046,868,787 | | | USD | | | 3,333,095 | | | CITI** | | | 3/21/2018 | | | | (8,824 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
23
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| CLP | | | 3,070,303,181 | | | USD | | | 4,999,648 | | | JPMC** | | | 3/21/2018 | | | | $ (13,243 | ) |
| COP | | | 15,614,613,339 | | | USD | | | 5,225,676 | | | CITI** | | | 3/21/2018 | | | | (28,164 | ) |
| COP | | | 22,124,602,981 | | | USD | | | 7,404,753 | | | JPMC** | | | 3/21/2018 | | | | (40,314 | ) |
| GBP | | | 55,941,519 | | | USD | | | 75,776,681 | | | CITI | | | 3/21/2018 | | | | (53,051 | ) |
| GBP | | | 83,912,276 | | | USD | | | 113,665,161 | | | JPMC | | | 3/21/2018 | | | | (79,719 | ) |
| HKD | | | 133,940,000 | | | USD | | | 17,175,149 | | | CITI | | | 3/21/2018 | | | | (5,327 | ) |
| HKD | | | 200,910,000 | | | USD | | | 25,762,755 | | | JPMC | | | 3/21/2018 | | | | (8,023 | ) |
| HUF | | | 1,333,261,210 | | | USD | | | 5,170,478 | | | CITI | | | 3/21/2018 | | | | (2,410 | ) |
| HUF | | | 1,999,891,814 | | | USD | | | 7,755,727 | | | JPMC | | | 3/21/2018 | | | | (3,624 | ) |
| ILS | | | 3,811,200 | | | USD | | | 1,100,929 | | | CITI | | | 3/21/2018 | | | | (2,163 | ) |
| ILS | | | 5,716,800 | | | USD | | | 1,651,273 | | | JPMC | | | 3/21/2018 | | | | (3,125 | ) |
| MXN | | | 1,784,557,618 | | | USD | | | 93,674,862 | | | CITI | | | 3/21/2018 | | | | (4,166,775 | ) |
| MXN | | | 2,652,566,422 | | | USD | | | 139,222,109 | | | JPMC | | | 3/21/2018 | | | | (6,177,289 | ) |
| NOK | | | 73,638,003 | | | USD | | | 8,988,303 | | | CITI | | | 3/21/2018 | | | | (288 | ) |
| NOK | | | 110,457,005 | | | USD | | | 13,482,471 | | | JPMC | | | 3/21/2018 | | | | (448 | ) |
| NZD | | | 19,277,200 | | | USD | | | 13,671,056 | | | CITI | | | 3/21/2018 | | | | (22,530 | ) |
| NZD | | | 28,915,800 | | | USD | | | 20,506,610 | | | JPMC | | | 3/21/2018 | | | | (33,821 | ) |
| PHP | | | 171,770,003 | | | USD | | | 3,435,232 | | | CITI** | | | 3/21/2018 | | | | (3,628 | ) |
| PHP | | | 257,655,005 | | | USD | | | 5,152,855 | | | JPMC** | | | 3/21/2018 | | | | (5,448 | ) |
| SGD | | | 1,539,200 | | | USD | | | 1,153,085 | | | CITI | | | 3/21/2018 | | | | (866 | ) |
| SGD | | | 2,308,800 | | | USD | | | 1,729,630 | | | JPMC | | | 3/21/2018 | | | | (1,302 | ) |
| TRY | | | 55,276,000 | | | USD | | | 14,312,845 | | | CITI | | | 3/21/2018 | | | | (57,966 | ) |
| TRY | | | 82,914,000 | | | USD | | | 21,469,294 | | | JPMC | | | 3/21/2018 | | | | (86,976 | ) |
| USD | | | 661,029,118 | | | AUD | | | 872,728,402 | | | CITI | | | 3/21/2018 | | | | (19,815,221 | ) |
| USD | | | 991,542,434 | | | AUD | | | 1,309,092,598 | | | JPMC | | | 3/21/2018 | | | | (29,724,072 | ) |
| USD | | | 20,434,201 | | | BRL | | | 68,582,000 | | | CITI** | | | 3/21/2018 | | | | (66,636 | ) |
| USD | | | 30,651,264 | | | BRL | | | 102,873,000 | | | JPMC** | | | 3/21/2018 | | | | (99,992 | ) |
| USD | | | 645,856,435 | | | CAD | | | 826,997,595 | | | CITI | | | 3/21/2018 | | | | (12,725,356 | ) |
| USD | | | 968,783,439 | | | CAD | | | 1,240,496,389 | | | JPMC | | | 3/21/2018 | | | | (19,089,245 | ) |
| USD | | | 1,356,013 | | | CHF | | | 1,322,800 | | | CITI | | | 3/21/2018 | | | | (9,077 | ) |
| USD | | | 2,034,016 | | | CHF | | | 1,984,200 | | | JPMC | | | 3/21/2018 | | | | (13,618 | ) |
| USD | | | 31,946,997 | | | CLP | | | 20,584,125,815 | | | CITI** | | | 3/21/2018 | | | | (1,483,187 | ) |
| USD | | | 27,903,122 | | | CLP | | | 18,102,353,737 | | | JPMC** | | | 3/21/2018 | | | | (1,496,476 | ) |
| USD | | | 10,209,730 | | | COP | | | 31,048,388,404 | | | CITI** | | | 3/21/2018 | | | | (125,098 | ) |
| USD | | | 6,765,146 | | | COP | | | 20,579,814,604 | | | JPMC** | | | 3/21/2018 | | | | (85,092 | ) |
| USD | | | 236,292,972 | | | EUR | | | 197,948,800 | | | CITI | | | 3/21/2018 | | | | (2,324,502 | ) |
| USD | | | 354,439,015 | | | EUR | | | 296,923,200 | | | JPMC | | | 3/21/2018 | | | | (3,487,196 | ) |
| USD | | | 408,396,832 | | | GBP | | | 303,609,200 | | | CITI | | | 3/21/2018 | | | | (2,575,038 | ) |
| USD | | | 612,583,350 | | | GBP | | | 455,413,800 | | | JPMC | | | 3/21/2018 | | | | (3,874,455 | ) |
| USD | | | 5,333,521 | | | HKD | | | 41,625,650 | | | CITI | | | 3/21/2018 | | | | (2,488 | ) |
| USD | | | 8,000,271 | | | HKD | | | 62,438,475 | | | JPMC | | | 3/21/2018 | | | | (3,741 | ) |
| USD | | | 70,560,999 | | | HUF | | | 18,580,361,925 | | | CITI | | | 3/21/2018 | | | | (1,461,333 | ) |
| USD | | | 101,685,206 | | | HUF | | | 26,770,279,345 | | | JPMC | | | 3/21/2018 | | | | (2,083,384 | ) |
| USD | | | 18,364,713 | | | IDR | | | 251,402,061,213 | | | CITI** | | | 3/21/2018 | | | | (120,127 | ) |
| USD | | | 23,648,457 | | | IDR | | | 323,805,509,219 | | | JPMC** | | | 3/21/2018 | | | | (159,991 | ) |
| USD | | | 21,171,997 | | | ILS | | | 74,299,000 | | | CITI | | | 3/21/2018 | | | | (248,327 | ) |
| USD | | | 30,085,761 | | | ILS | | | 105,636,000 | | | JPMC | | | 3/21/2018 | | | | (368,987 | ) |
| USD | | | 11,783,817 | | | INR | | | 775,761,985 | | | CITI** | | | 3/21/2018 | | | | (281,253 | ) |
| USD | | | 12,156,698 | | | INR | | | 801,746,975 | | | JPMC** | | | 3/21/2018 | | | | (312,504 | ) |
| USD | | | 36,793,889 | | | KRW | | | 39,964,114,726 | | | CITI** | | | 3/21/2018 | | | | (685,057 | ) |
| USD | | | 7,412,160 | | | KRW | | | 7,955,009,434 | | | JPMC** | | | 3/21/2018 | | | | (48,168 | ) |
| USD | | | 15,874,462 | | | MXN | | | 317,891,597 | | | CITI | | | 3/21/2018 | | | | (70,033 | ) |
| USD | | | 23,811,663 | | | MXN | | | 476,837,395 | | | JPMC | | | 3/21/2018 | | | | (105,078 | ) |
| USD | | | 227,536,923 | | | NOK | | | 1,880,163,718 | | | CITI | | | 3/21/2018 | | | | (1,949,747 | ) |
| USD | | | 341,289,126 | | | NOK | | | 2,820,245,570 | | | JPMC | | | 3/21/2018 | | | | (2,940,877 | ) |
| USD | | | 1,047,997,188 | | | NZD | | | 1,529,614,039 | | | CITI | | | 3/21/2018 | | | | (34,990,849 | ) |
| USD | | | 1,571,990,549 | | | NZD | | | 2,294,421,047 | | | JPMC | | | 3/21/2018 | | | | (52,491,498 | ) |
| USD | | | 5,550,434 | | | PHP | | | 283,295,210 | | | CITI** | | | 3/21/2018 | | | | (109,211 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
24
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| USD | | | 8,325,640 | | | PHP | | | 424,942,814 | | | JPMC** | | | 3/21/2018 | | | | $ (163,826 | ) |
| USD | | | 323,662 | | | PLN | | | 1,153,000 | | | CITI | | | 3/21/2018 | | | | (7,660 | ) |
| USD | | | 66,498 | | | PLN | | | 234,000 | | | JPMC | | | 3/21/2018 | | | | (744 | ) |
| USD | | | 267,833,639 | | | SEK | | | 2,236,753,895 | | | CITI | | | 3/21/2018 | | | | (6,126,676 | ) |
| USD | | | 401,745,890 | | | SEK | | | 3,355,130,832 | | | JPMC | | | 3/21/2018 | | | | (9,194,580 | ) |
| USD | | | 9,324,354 | | | SGD | | | 12,574,600 | | | CITI | | | 3/21/2018 | | | | (88,775 | ) |
| USD | | | 1,818,399 | | | SGD | | | 2,456,400 | | | JPMC | | | 3/21/2018 | | | | (20,420 | ) |
| USD | | | 336,977,187 | | | TRY | | | 1,368,481,614 | | | CITI | | | 3/21/2018 | | | | (15,934,381 | ) |
| USD | | | 505,425,789 | | | TRY | | | 2,052,722,418 | | | JPMC | | | 3/21/2018 | | | | (23,941,562 | ) |
| USD | | | 18,225,917 | | | TWD | | | 542,775,000 | | | CITI** | | | 3/21/2018 | | | | (231,994 | ) |
| USD | | | 6,390,629 | | | TWD | | | 190,452,000 | | | JPMC** | | | 3/21/2018 | | | | (85,988 | ) |
| JPY | | | 66,880,548,358 | | | USD | | | 600,411,251 | | | CITI | | | 3/22/2018 | | | | (4,451,994 | ) |
| JPY | | | 100,320,822,522 | | | USD | | | 900,617,706 | | | JPMC | | | 3/22/2018 | | | | (6,678,821 | ) |
| USD | | | 96,227,634 | | | JPY | | | 10,839,326,413 | | | CITI | | | 3/22/2018 | | | | (359,446 | ) |
| USD | | | 144,338,640 | | | JPY | | | 16,258,989,619 | | | JPMC | | | 3/22/2018 | | | | (541,981 | ) |
| USD | | | 111,399,841 | | | ZAR | | | 1,604,726,388 | | | CITI | | | 3/22/2018 | | | | (16,802,918 | ) |
| USD | | | 167,101,920 | | | ZAR | | | 2,407,089,580 | | | JPMC | | | 3/22/2018 | | | | (25,202,219 | ) |
| ZAR | | | 182,269,600 | | | USD | | | 14,620,668 | | | CITI | | | 3/22/2018 | | | | (59,017 | ) |
| ZAR | | | 273,404,400 | | | USD | | | 21,931,029 | | | JPMC | | | 3/22/2018 | | | | (88,553 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized depreciation | | | | | | | | | | (320,123,428 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Net unrealized depreciation | | | | | | | | | | $(42,139,529 | ) |
| | | | | | | | | | | | | | | | | | | | |
| ** | Non-deliverable forward. |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Colombian Peso
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Poland Zloty
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - New Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
25
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY FUND | | | | |
Collateral pledged to, or (received from), each counterparty at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/ CENTRALLY CLEARED | | | TOTAL | |
| BANA | | | | | | | | | |
| Cash | | | $(110,000 | ) | | | $— | | | | $(110,000 | ) |
| Investment Companies | | | 1,130,000 | | | | — | | | | 1,130,000 | |
| |
| BARC | | | | | | | | | |
| Cash | | | — | | | | 152,933,623 | | | | 152,933,623 | |
| |
| CITI | | | | | | | | | |
| Investment Companies | | | 80,765,385 | | | | — | | | | 80,765,385 | |
| |
| GSCO | | | | | | | | | |
| Cash | | | — | | | | 45,057,160 | | | | 45,057,160 | |
| U.S. Treasury Bills | | | — | | | | 116,725,701 | | | | 116,725,701 | |
| |
| GSIN | | | | | | | | | |
| Cash | | | (1,850,000 | ) | | | — | | | | (1,850,000 | ) |
| Investment Companies | | | 37,004,504 | | | | — | | | | 37,004,504 | |
| |
| JPMC | | | | | | | | | |
| Investment Companies | | | 299,273,305 | | | | — | | | | 299,273,305 | |
| |
| JPMS | | | | | | | | | |
| Cash | | | — | | | | (49,214,185 | ) | | | (49,214,185 | ) |
| U.S. Treasury Bills | | | — | | | | 100,596,575 | | | | 100,596,575 | |
| |
| MSCL | | | | | | | | | |
| Cash | | | — | | | | (28,507,561 | ) | | | (28,507,561 | ) |
| U.S. Treasury Bills | | | — | | | | 36,255,451 | | | | 36,255,451 | |
| |
| MSCS | | | | | | | | | |
| Investment Companies | | | 122,557,556 | | | | — | | | | 122,557,556 | |
| |
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/ CENTRALLY CLEARED | | | TOTAL | |
| CITI | | | | | | | | | |
| Cash | | | $(3,500,000 | ) | | | $— | | | | $(3,500,000 | ) |
| Investment Companies | | | 22,612,309 | | | | — | | | | 22,612,309 | |
| |
| GSCO | | | | | | | | | |
| Cash | | | — | | | | (64,413,883 | ) | | | (64,413,883 | ) |
| U.S. Treasury Bills | | | — | | | | 59,156,691 | | | | 59,156,691 | |
| |
| GSIN | | | | | | | | | |
| Cash | | | 18,940,000 | | | | — | | | | 18,940,000 | |
| |
| JPPC | | | | | | | | | |
| Cash | | | — | | | | 56,949 | | | | 56,949 | |
| U.S. Treasury Bills | | | — | | | | 15,510,096 | | | | 15,510,096 | |
| |
| MACQ | | | | | | | | | |
| Cash | | | 9,400,000 | | | | — | | | | 9,400,000 | |
| |
| MLIN | | | | | | | | | |
| Cash | | | 6,960,000 | | | | — | | | | 6,960,000 | |
| |
| MSCL | | | | | | | | | |
| Cash | | | — | | | | (55,795,372 | ) | | | (55,795,372 | ) |
| U.S. Treasury Bills | | | — | | | | 98,356,483 | | | | 98,356,483 | |
| |
| SOCG | | | | | | | | | |
| Cash | | | 37,700,000 | | | | — | | | | 37,700,000 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
26
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | | | |
| | | | | | | | |
| | |
| INVESTMENTS | | SHARES | | | VALUE | |
| SHORT-TERM INVESTMENTS - 94.5% | |
| INVESTMENT COMPANIES - 24.3% | |
J.P. Morgan U.S. Treasury Plus Money Market Fund - IM Shares,
1.24% (a)(b) | | | 81,599,488 | | | $ | 81,599,488 | |
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 1.18% (a)(b) | | | 6,363,140 | | | | 6,363,140 | |
| Limited Purpose Cash Investment Fund, 1.17% (a) | | | 111,597,029 | | | | 111,585,870 | |
| | | | | | | | |
TOTAL INVESTMENT COMPANIES
(Cost $199,548,551) | | | | | | | 199,548,498 | |
| | | | | | | | |
| | |
| | | PRINCIPAL
AMOUNT | | | | |
| U.S. TREASURY OBLIGATIONS - 70.2% | |
| U.S. Treasury Bills | | | | | | | | |
| 1.14%, 1/4/2018 (c)(d) | | $ | 37,930,000 | | | | 37,927,611 | |
| 1.13%, 1/11/2018 (c)(d) | | | 18,016,000 | | | | 18,010,696 | |
| 1.14%, 1/25/2018 (d) | | | 71,271,000 | | | | 71,214,993 | |
| 1.14%, 2/1/2018 (d) | | | 17,711,000 | | | | 17,692,323 | |
| 1.15%, 2/8/2018 (c)(d) | | | 141,436,000 | | | | 141,254,112 | |
| 1.12%, 2/15/2018 (c)(d) | | | 27,602,000 | | | | 27,560,252 | |
| 1.12%, 2/22/2018 (c)(d) | | | 33,022,000 | | | | 32,962,822 | |
| 1.12%, 3/1/2018 (c)(d) | | | 30,089,000 | | | | 30,027,313 | |
| 1.18%, 3/29/2018 (d) | | | 4,607,000 | | | | 4,591,936 | |
| 1.20%, 4/5/2018 (c)(d) | | | 2,998,000 | | | | 2,987,244 | |
| 1.23%, 4/12/2018 (c)(d) | | | 12,073,000 | | | | 12,026,385 | |
| 1.25%, 4/19/2018 (d) | | | 16,164,000 | | | | 16,096,980 | |
| 1.25%, 4/26/2018 (d) | | | 15,175,000 | | | | 15,109,286 | |
| 1.27%, 5/3/2018 (d) | | | 4,401,000 | | | | 4,380,328 | |
| 1.37%, 5/17/2018 (c)(d) | | | 2,431,000 | | | | 2,418,055 | |
| | | | | | | | |
| INVESTMENTS | | PRINCIPAL
AMOUNT | | | VALUE | |
| U.S. TREASURY OBLIGATIONS - 70.2% (continued) | |
| 1.43%, 5/24/2018 (d) | | $ | 1,129,000 | | | $ | 1,122,559 | |
| 1.45%, 5/31/2018 (c)(d) | | | 3,901,000 | | | | 3,877,548 | |
| 1.46%, 6/7/2018 (d) | | | 18,207,000 | | | | 18,091,219 | |
| 1.47%, 6/14/2018 (c)(d) | | | 50,461,000 | | | | 50,127,425 | |
| 1.49%, 6/21/2018 (d) | | | 22,360,000 | | | | 22,201,617 | |
| 1.54%, 6/28/2018 (d) | | | 48,182,000 | | | | 47,824,881 | |
| | | | | | | | |
TOTAL U.S. TREASURY OBLIGATIONS
(Cost $577,551,793) | | | | 577,505,585 | |
| | | | | | | | |
TOTAL SHORT-TERM INVESTMENTS
(Cost $777,100,344) | | | | | | | 777,054,083 | |
| | | | | | | | |
TOTAL INVESTMENTS IN SECURITIES AT VALUE - 94.5%
(Cost $777,100,344) | | | | | | | 777,054,083 | |
| | | | | | | | |
OTHER ASSETS IN EXCESS OF
LIABILITIES - 5.5% (e) | | | | | 45,145,787 | |
| | | | | | | | |
NET ASSETS - 100.0% | | | | | | $ | 822,199,870 | |
| | | | | | | | |
| (a) | Represents 7-day effective yield as of December 31, 2017. |
| (b) | All or a portion of the security pledged as collateral for forward foreign currency exchange and swap contracts. |
| (c) | All or a portion of the security pledged as collateral for futures contracts. |
| (d) | The rate shown was the effective yield at the date of purchase. |
| (e) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820 (See Note 5).
Total return swap contracts outstanding as of December 31, 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) | |
| Cocoa March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/02/2018 | | | USD | (756,800 | ) | | | $59 | |
| Cocoa March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/02/2018 | | | USD | (397,320 | ) | | | 40 | |
| Coffee ‘C’ March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/09/2018 | | | USD | (2,555,550 | ) | | | 11,025 | |
| Corn March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | (11,732,587 | ) | | | 190,344 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
27
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED
BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Corn March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | (1,858,975 | ) | | | $ 34,830 | |
| Corn March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | (859,338 | ) | | | 17,063 | |
| Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | CITI | | | 02/09/2018 | | | USD | 2,162,325 | | | | 48,092 | |
| Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/09/2018 | | | USD | 1,297,395 | | | | 97,640 | |
| Cotton No. 2 March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/09/2018 | | | USD | 1,808,490 | | | | 72,037 | |
| Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | HKD | 24,455,800 | | | | 50,820 | |
| Hang Seng Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/30/2018 | | | HKD | 154,232,200 | | | | 266,304 | |
| H-Shares Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | HKD | 11,730,000 | | | | 14,503 | |
| H-Shares Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/30/2018 | | | HKD | 163,633,500 | | | | 149,682 | |
| KOSPI 200 Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 03/08/2018 | | | KRW | 15,736,737,500 | | | | 172,110 | |
| KOSPI 200 Index March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 03/08/2018 | | | KRW | 14,921,362,500 | | | | 175,860 | |
| Lean Hogs February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 02/14/2018 | | | USD | 172,260 | | | | 3,480 | |
| Lean Hogs February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | SOCG | | | 02/14/2018 | | | USD | 6,287,490 | | | | 117,958 | |
| MSCI Singapore Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/30/2018 | | | SGD | 1,421,877 | | | | 8,031 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
28
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED
BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | MATURITY DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| MSCI Taiwan Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | BANA | | | 01/30/2018 | | | USD | 3,576,300 | | | | $ 49,007 | |
| MSCI Taiwan Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/30/2018 | | | USD | 1,454,100 | | | | 22,007 | |
| SGX S&P CNX Nifty Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | GSIN | | | 01/25/2018 | | | USD | 7,137,546 | | | | 5,383 | |
| Soybean March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | (24,861,238 | ) | | | 305,480 | |
| Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | (2,724,480 | ) | | | 50,279 | |
| Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | (1,235,520 | ) | | | 47,440 | |
| Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | (475,200 | ) | | | 4,195 | |
| Soybean Meal March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | SOCG | | | 02/23/2018 | | | USD | (7,983,360 | ) | | | 19,455 | |
| Soybean Oil March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | (2,913,576 | ) | | | 10,110 | |
| Swiss Market Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | Monthly | | BANA | | | 03/16/2018 | | | CHF | 27,870,255 | | | | 124,624 | |
| Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | CITI | | | 02/23/2018 | | | USD | (5,188,050 | ) | | | 38,313 | |
| Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | GSIN | | | 02/23/2018 | | | USD | (2,839,550 | ) | | | 115,495 | |
| Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | MACQ | | | 02/23/2018 | | | USD | (5,529,650 | ) | | | 149,196 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
29
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED
BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | | MATURITY DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | SOCG | | | | 02/23/2018 | | | USD | (4,995,900 | ) | | | $ 21,439 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | 2,392,301 | |
| | | | | | | | | | | | | | | | | | | | | | |
| Cocoa March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | MACQ | | | | 02/02/2018 | | | USD | (870,320 | ) | | | (4,664 | ) |
| Cocoa March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | SOCG | | | | 02/02/2018 | | | USD | (454,080 | ) | | | (4,233 | ) |
| Coffee ‘C’ March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | SOCG | | | | 02/09/2018 | | | USD | (3,218,100 | ) | | | (23,955 | ) |
| Coffee ‘C’ March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | CITI | | | | 02/09/2018 | | | USD | (2,271,600 | ) | | | (40,005 | ) |
| Coffee ‘C’ March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | MACQ | | | | 02/09/2018 | | | USD | (4,069,950 | ) | | | (3,380 | ) |
| Corn March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | SOCG | | | | 02/23/2018 | | | USD | (6,453,800 | ) | | | (25,759 | ) |
| Cotton No. 2 March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | GSIN | | | | 02/09/2018 | | | USD | (39,315 | ) | | | (4,810 | ) |
| iBovespa Index February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | | BANA | | | | 02/14/2018 | | | BRL | 347,486 | | | | (302 | ) |
| KC HRW Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | MACQ | | | | 02/23/2018 | | | USD | (320,438 | ) | | | (4,489 | ) |
| KC HRW Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | GSIN | | | | 02/23/2018 | | | USD | (320,438 | ) | | | (7,768 | ) |
| KC HRW Wheat March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | SOCG | | | | 02/23/2018 | | | USD | (256,350 | ) | | | (6,353 | ) |
| Lean Hogs February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | SOCG | | | | 02/14/2018 | | | USD | (3,272,940 | ) | | | (183,650 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
30
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
REFERENCE
ENTITY | | PAYMENTS
MADE BY
FUND | | PAYMENTS
RECEIVED
BY FUND | | PAYMENT
FREQUENCY | | COUNTERPARTY | | | MATURITY DATE | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Lean Hogs February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | GSIN | | | | 02/14/2018 | | | USD | (172,260 | ) | | | $ (3,240 | ) |
| Live Cattle February Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | | SOCG | | | | 02/02/2018 | | | USD | 17,551,820 | | | | (886,442 | ) |
| Live Cattle February Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | SOCG | | | | 02/02/2018 | | | USD | (875,160 | ) | | | (15,604 | ) |
| OMXS30 Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | | BANA | | | | 01/19/2018 | | | SEK | 518,155 | | | | (15,772 | ) |
| SGX FTSE China A50 Index January Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | | BANA | | | | 01/30/2018 | | | USD | 5,349,970 | | | | (77,378 | ) |
| Soybean March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | SOCG | | | | 02/23/2018 | | | USD | (7,357,388 | ) | | | (18,721 | ) |
| Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | | GSIN | | | | 02/23/2018 | | | USD | 1,235,520 | | | | (64,886 | ) |
| Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | | SOCG | | | | 02/23/2018 | | | USD | 8,648,640 | | | | (490,510 | ) |
| Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | | MACQ | | | | 02/23/2018 | | | USD | 475,200 | | | | (25,470 | ) |
| Soybean Meal March Futures | | Decreases in total return of reference entity | | Increases in total return of reference entity | | At termination | | | CITI | | | | 02/23/2018 | | | USD | 2,724,480 | | | | (142,124 | ) |
| Soybean Oil March Futures | | Increases in total return of reference entity | | Decreases in total return of reference entity | | At termination | | | GSIN | | | | 02/23/2018 | | | USD | (1,197,360 | ) | | | (2,334 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | (2,051,849 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | $340,452 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
31
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | | | |
Futures contracts outstanding as of December 31, 2017:
Exchange Traded
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts | |
| Amsterdam Exchange Index | | | 90 | | | 1/2018 | | | EUR | | | | $11,759,730 | | | | $(122,125 | ) |
| Brent Crude Oil | | | 897 | | | 1/2018 | | | USD | | | | 59,982,390 | | | | 3,654,445 | |
| CAC 40 10 Euro Index | | | 324 | | | 1/2018 | | | EUR | | | | 20,644,643 | | | | (296,571 | ) |
| H-Shares Index | | | 44 | | | 1/2018 | | | HKD | | | | 3,303,020 | | | | 14,957 | |
| IBEX 35 Index | | | 97 | | | 1/2018 | | | EUR | | | | 11,662,753 | | | | (226,884 | ) |
| LME Aluminum Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 56,429 | | | | 2,457 | |
| LME Aluminum Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 56,493 | | | | 2,828 | |
| LME Aluminum Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 56,475 | | | | 2,727 | |
| LME Aluminum Base Metal | | | 2 | | | 1/2018 | | | USD | | | | 112,975 | | | | 5,037 | |
| LME Aluminum Base Metal | | | 2 | | | 1/2018 | | | USD | | | | 112,924 | | | | 6,847 | |
| LME Aluminum Base Metal | | | 2 | | | 1/2018 | | | USD | | | | 112,912 | | | | 5,857 | |
| LME Aluminum Base Metal | | | 3 | | | 1/2018 | | | USD | | | | 169,444 | | | | 7,373 | |
| LME Copper Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 180,480 | | | | 5,859 | |
| LME Copper Base Metal | | | 7 | | | 1/2018 | | | USD | | | | 1,263,019 | | | | 34,266 | |
| LME Copper Base Metal | | | 8 | | | 1/2018 | | | USD | | | | 1,443,400 | | | | 49,965 | |
| LME Nickel Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 76,255 | | | | 11,161 | |
| LME Nickel Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 76,266 | | | | 6,589 | |
| LME Nickel Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 76,240 | | | | 12,638 | |
| LME Nickel Base Metal | | | 2 | | | 1/2018 | | | USD | | | | 152,617 | | | | 10,668 | |
| LME Nickel Base Metal | | | 2 | | | 1/2018 | | | USD | | | | 152,561 | | | | 10,608 | |
| LME Nickel Base Metal | | | 2 | | | 1/2018 | | | USD | | | | 152,466 | | | | 24,172 | |
| LME Nickel Base Metal | | | 3 | | | 1/2018 | | | USD | | | | 228,864 | | | | 16,849 | |
| LME Nickel Base Metal | | | 3 | | | 1/2018 | | | USD | | | | 228,852 | | | | 17,885 | |
| LME Nickel Base Metal | | | 4 | | | 1/2018 | | | USD | | | | 305,169 | | | | 20,527 | |
| LME Zinc Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 83,375 | | | | 5,660 | |
| LME Zinc Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 83,460 | | | | 1,201 | |
| LME Zinc Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 83,481 | | | | 1,128 | |
| LME Zinc Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 83,500 | | | | 2,221 | |
| LME Zinc Base Metal | | | 1 | | | 1/2018 | | | USD | | | | 83,500 | | | | 2,858 | |
| LME Zinc Base Metal | | | 2 | | | 1/2018 | | | USD | | | | 166,917 | | | | 4,415 | |
| LME Zinc Base Metal | | | 2 | | | 1/2018 | | | USD | | | | 167,000 | | | | 4,770 | |
| MSCI Singapore Index | | | 6 | | | 1/2018 | | | SGD | | | | 174,107 | | | | 1,075 | |
| MSCI Taiwan Index | | | 5 | | | 1/2018 | | | USD | | | | 196,500 | | | | 1,464 | |
| NY Harbor ULSD | | | 433 | | | 1/2018 | | | USD | | | | 37,610,467 | | | | 2,445,048 | |
| OMXS30 Index | | | 281 | | | 1/2018 | | | SEK | | | | 5,392,647 | | | | (158,791 | ) |
| RBOB Gasoline | | | 242 | | | 1/2018 | | | USD | | | | 18,252,511 | | | | 658,650 | |
| SGX FTSE China A50 Index | | | 33 | | | 1/2018 | | | USD | | | | 437,003 | | | | (2,789 | ) |
| SGX S&P CNX Nifty Index | | | 19 | | | 1/2018 | | | USD | | | | 401,223 | | | | 728 | |
| WTI Crude Oil | | | 837 | | | 1/2018 | | | USD | | | | 50,571,540 | | | | 2,630,190 | |
| 100 oz Gold | | | 194 | | | 2/2018 | | | USD | | | | 25,400,420 | | | | 199,084 | |
| Lean Hogs | | | 21 | | | 2/2018 | | | USD | | | | 602,910 | | | | 12,428 | |
| Live Cattle | | | 7 | | | 2/2018 | | | USD | | | | 340,340 | | | | (6,684 | ) |
| LME Aluminum Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 56,553 | | | | 2,370 | |
| LME Aluminum Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 113,337 | | | | 7,483 | |
| LME Aluminum Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 113,167 | | | | 5,863 | |
| LME Aluminum Base Metal | | | 3 | | | 2/2018 | | | USD | | | | 169,769 | | | | 10,010 | |
| LME Aluminum Base Metal | | | 4 | | | 2/2018 | | | USD | | | | 226,651 | | | | 17,189 | |
| LME Aluminum Base Metal | | | 5 | | | 2/2018 | | | USD | | | | 283,344 | | | | 23,875 | |
| LME Aluminum Base Metal | | | 5 | | | 2/2018 | | | USD | | | | 283,344 | | | | 20,647 | |
| LME Aluminum Base Metal | | | 5 | | | 2/2018 | | | USD | | | | 282,980 | | | | 21,593 | |
| LME Aluminum Base Metal | | | 6 | | | 2/2018 | | | USD | | | | 339,721 | | | | 24,479 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
32
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts (continued) | |
| LME Aluminum Base Metal | | | 6 | | | 2/2018 | | | USD | | | | $ 339,757 | | | | $ 23,243 | |
| LME Aluminum Base Metal | | | 7 | | | 2/2018 | | | USD | | | | 396,426 | | | | 32,405 | |
| LME Aluminum Base Metal | | | 11 | | | 2/2018 | | | USD | | | | 623,023 | | | | 39,347 | |
| LME Aluminum Base Metal | | | 13 | | | 2/2018 | | | USD | | | | 736,694 | | | | 63,487 | |
| LME Copper Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 180,760 | | | | 10,457 | |
| LME Copper Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 180,862 | | | | 9,535 | |
| LME Copper Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 361,699 | | | | 22,319 | |
| LME Copper Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 361,571 | | | | 25,065 | |
| LME Copper Base Metal | | | 4 | | | 2/2018 | | | USD | | | | 723,193 | | | | 45,633 | |
| LME Copper Base Metal | | | 5 | | | 2/2018 | | | USD | | | | 904,648 | | | | 57,035 | |
| LME Copper Base Metal | | | 6 | | | 2/2018 | | | USD | | | | 1,083,630 | | | | 42,174 | |
| LME Copper Base Metal | | | 6 | | | 2/2018 | | | USD | | | | 1,084,098 | | | | 53,275 | |
| LME Copper Base Metal | | | 12 | | | 2/2018 | | | USD | | | | 2,167,425 | | | | 91,376 | |
| LME Nickel Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 76,395 | | | | 2,593 | |
| LME Nickel Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 152,807 | | | | 14,268 | |
| LME Nickel Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 152,866 | | | | 11,891 | |
| LME Nickel Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 152,913 | | | | 13,168 | |
| LME Nickel Base Metal | | | 3 | | | 2/2018 | | | USD | | | | 229,272 | | | | 20,698 | |
| LME Nickel Base Metal | | | 3 | | | 2/2018 | | | USD | | | | 229,284 | | | | 19,802 | |
| LME Nickel Base Metal | | | 7 | | | 2/2018 | | | USD | | | | 534,852 | | | | 49,463 | |
| LME Nickel Base Metal | | | 12 | | | 2/2018 | | | USD | | | | 917,537 | | | | 102,238 | |
| LME Zinc Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 83,300 | | | | 2,273 | |
| LME Zinc Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 83,242 | | | | 3,239 | |
| LME Zinc Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 83,278 | | | | 2,926 | |
| LME Zinc Base Metal | | | 1 | | | 2/2018 | | | USD | | | | 83,264 | | | | 4,311 | |
| LME Zinc Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 166,469 | | | | 10,963 | |
| LME Zinc Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 166,498 | | | | 5,943 | |
| LME Zinc Base Metal | | | 2 | | | 2/2018 | | | USD | | | | 166,542 | | | | 7,787 | |
| LME Zinc Base Metal | | | 4 | | | 2/2018 | | | USD | | | | 332,908 | | | | 17,348 | |
| LME Zinc Base Metal | | | 5 | | | 2/2018 | | | USD | | | | 415,875 | | | | 22,513 | |
| Low Sulphur Gasoil | | | 854 | | | 2/2018 | | | USD | | | | 51,389,450 | | | | 3,042,956 | |
| Australia 10 Year Bond | | | 631 | | | 3/2018 | | | AUD | | | | 63,589,323 | | | | (492,401 | ) |
| Copper | | | 330 | | | 3/2018 | | | USD | | | | 27,229,125 | | | | 1,166,367 | |
| Cotton No. 2 | | | 34 | | | 3/2018 | | | USD | | | | 1,336,710 | | | | 111,567 | |
| DAX Index | | | 60 | | | 3/2018 | | | EUR | | | | 23,235,095 | | | | (393,225 | ) |
| DJIA CBOT E-Mini Index | | | 361 | | | 3/2018 | | | USD | | | | 44,646,675 | | | | 665,922 | |
| EURO STOXX 50 Index | | | 333 | | | 3/2018 | | | EUR | | | | 13,956,283 | | | | (343,169 | ) |
| Euro-Bobl | | | 1,420 | | | 3/2018 | | | EUR | | | | 190,781,548 | | | | (219,194 | ) |
| Euro-BTP | | | 721 | | | 3/2018 | | | EUR | | | | 117,773,603 | | | | (2,552,813 | ) |
| Euro-Bund | | | 466 | | | 3/2018 | | | EUR | | | | 73,587,112 | | | | (392,589 | ) |
| Euro-OAT | | | 592 | | | 3/2018 | | | EUR | | | | 110,226,091 | | | | (1,199,835 | ) |
| Euro-Schatz | | | 675 | | | 3/2018 | | | EUR | | | | 130,944,429 | | | | (920,331 | ) |
| FTSE 100 Index | | | 348 | | | 3/2018 | | | GBP | | | | 35,887,310 | | | | 846,436 | |
| FTSE/JSE Top 40 Index | | | 290 | | | 3/2018 | | | ZAR | | | | 12,463,496 | | | | 233,473 | |
| FTSE/MIB Index | | | 1 | | | 3/2018 | | | EUR | | | | 130,526 | | | | (5,264 | ) |
| Japan 10 Year Bond | | | 155 | | | 3/2018 | | | JPY | | | | 207,418,682 | | | | (103,963 | ) |
| KOSPI 200 Index | | | 4 | | | 3/2018 | | | KRW | | | | 304,656 | | | | 4,104 | |
| LME Aluminum Base Metal | | | 1 | | | 3/2018 | | | USD | | | | 56,752 | | | | 5,575 | |
| LME Aluminum Base Metal | | | 3 | | | 3/2018 | | | USD | | | | 170,327 | | | | 14,356 | |
| LME Aluminum Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 283,700 | | | | 31,250 | |
| LME Aluminum Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 283,670 | | | | 32,030 | |
| LME Aluminum Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 283,730 | | | | 29,530 | |
| LME Aluminum Base Metal | | | 6 | | | 3/2018 | | | USD | | | | 340,689 | | | | 23,978 | |
| LME Aluminum Base Metal | | | 7 | | | 3/2018 | | | USD | | | | 396,931 | | | | 43,411 | |
| LME Aluminum Base Metal | | | 7 | | | 3/2018 | | | USD | | | | 396,889 | | | | 38,822 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
33
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts (continued) | |
| LME Aluminum Base Metal | | | 7 | | | 3/2018 | | | USD | | | | $ 396,972 | | | | $ 45,905 | |
| LME Aluminum Base Metal | | | 7 | | | 3/2018 | | | USD | | | | 396,847 | | | | 37,205 | |
| LME Aluminum Base Metal | | | 7 | | | 3/2018 | | | USD | | | | 396,681 | | | | 36,164 | |
| LME Aluminum Base Metal | | | 9 | | | 3/2018 | | | USD | | | | 510,412 | | | | 444 | |
| LME Aluminum Base Metal | | | 9 | | | 3/2018 | | | USD | | | | 510,862 | | | | 23,730 | |
| LME Aluminum Base Metal | | | 9 | | | 3/2018 | | | USD | | | | 510,525 | | | | 12,768 | |
| LME Aluminum Base Metal | | | 10 | | | 3/2018 | | | USD | | | | 567,000 | | | | (1,237 | ) |
| LME Aluminum Base Metal | | | 158 | | | 3/2018 | | | USD | | | | 8,972,425 | | | | 641,533 | |
| LME Copper Base Metal | | | 1 | | | 3/2018 | | | USD | | | | 181,138 | | | | 14,635 | |
| LME Copper Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 362,332 | | | | 23,701 | |
| LME Copper Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 361,903 | | | | 23,023 | |
| LME Copper Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 362,075 | | | | 28,408 | |
| LME Copper Base Metal | | | 3 | | | 3/2018 | | | USD | | | | 543,241 | | | | 50,108 | |
| LME Copper Base Metal | | | 3 | | | 3/2018 | | | USD | | | | 543,541 | | | | 31,632 | |
| LME Copper Base Metal | | | 3 | | | 3/2018 | | | USD | | | | 543,198 | | | | 48,416 | |
| LME Copper Base Metal | | | 4 | | | 3/2018 | | | USD | | | | 724,700 | | | | 1,216 | |
| LME Copper Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 905,830 | | | | (4,472 | ) |
| LME Copper Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 905,259 | | | | 83,746 | |
| LME Copper Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 906,063 | | | | 29,510 | |
| LME Copper Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 905,563 | | | | 19,041 | |
| LME Copper Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 905,786 | | | | 4,739 | |
| LME Copper Base Metal | | | 9 | | | 3/2018 | | | USD | | | | 1,631,137 | | | | 78,631 | |
| LME Copper Base Metal | | | 120 | | | 3/2018 | | | USD | | | | 21,742,500 | | | | 1,165,593 | |
| LME Nickel Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 153,056 | | | | 19,250 | |
| LME Nickel Base Metal | | | 3 | | | 3/2018 | | | USD | | | | 229,570 | | | | 27,872 | |
| LME Nickel Base Metal | | | 3 | | | 3/2018 | | | USD | | | | 229,556 | | | | 29,119 | |
| LME Nickel Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 382,498 | | | | 51,136 | |
| LME Nickel Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 382,331 | | | | 52,916 | |
| LME Nickel Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 382,800 | | | | 10,018 | |
| LME Nickel Base Metal | | | 5 | | | 3/2018 | | | USD | | | | 382,427 | | | | 48,664 | |
| LME Nickel Base Metal | | | 6 | | | 3/2018 | | | USD | | | | 459,333 | | | | 28,230 | |
| LME Nickel Base Metal | | | 6 | | | 3/2018 | | | USD | | | | 459,347 | | | | 19,195 | |
| LME Nickel Base Metal | | | 6 | | | 3/2018 | | | USD | | | | 458,969 | | | | 68,174 | |
| LME Nickel Base Metal | | | 6 | | | 3/2018 | | | USD | | | | 458,940 | | | | 69,043 | |
| LME Nickel Base Metal | | | 7 | | | 3/2018 | | | USD | | | | 535,890 | | | | 32,233 | |
| LME Nickel Base Metal | | | 7 | | �� | 3/2018 | | | USD | | | | 535,815 | | | | 26,783 | |
| LME Nickel Base Metal | | | 10 | | | 3/2018 | | | USD | | | | 765,510 | | | | 61,542 | |
| LME Nickel Base Metal | | | 85 | | | 3/2018 | | | USD | | | | 6,507,600 | | | | 559,697 | |
| LME Zinc Base Metal | | | 1 | | | 3/2018 | | | USD | | | | 83,175 | | | | 4,673 | |
| LME Zinc Base Metal | | | 1 | | | 3/2018 | | | USD | | | | 83,175 | | | | 3,787 | |
| LME Zinc Base Metal | | | 1 | | | 3/2018 | | | USD | | | | 83,029 | | | | 1,281 | |
| LME Zinc Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 166,350 | | | | 11,344 | |
| LME Zinc Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 166,335 | | | | 6,478 | |
| LME Zinc Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 166,350 | | | | 12,344 | |
| LME Zinc Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 166,004 | | | | 1,648 | |
| LME Zinc Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 166,350 | | | | 11,345 | |
| LME Zinc Base Metal | | | 2 | | | 3/2018 | | | USD | | | | 165,950 | | | | 951 | |
| LME Zinc Base Metal | | | 3 | | | 3/2018 | | | USD | | | | 249,332 | | | | 5,573 | |
| LME Zinc Base Metal | | | 3 | | | 3/2018 | | | USD | | | | 249,525 | | | | 9,915 | |
| LME Zinc Base Metal | | | 3 | | | 3/2018 | | | USD | | | | 249,435 | | | | 7,256 | |
| LME Zinc Base Metal | | | 6 | | | 3/2018 | | | USD | | | | 498,915 | | | | 19,994 | |
| LME Zinc Base Metal | | | 79 | | | 3/2018 | | | USD | | | | 6,567,863 | | | | 271,494 | |
| Long Gilt | | | 741 | | | 3/2018 | | | GBP | | | | 125,217,713 | | | | 289,122 | |
| MSCI Emerging Markets E-Mini Index | | | 30 | | | 3/2018 | | | USD | | | | 3,068,250 | | | | 38,204 | |
| MSCI Emerging Markets E-Mini Index | | | 227 | | | 3/2018 | | | USD | | | | 13,207,995 | | | | 458,059 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
34
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Long Contracts (continued) | |
| NASDAQ 100 E-Mini Index | | | 413 | | | 3/2018 | | | USD | | | | $ 52,936,275 | | | | $ 260,742 | |
| Nikkei 225 Index | | | 184 | | | 3/2018 | | | JPY | | | | 37,151,098 | | | | 26,942 | |
| Palladium | | | 80 | | | 3/2018 | | | USD | | | | 8,488,000 | | | | 557,556 | |
| Russell 2000 E-Mini Index | | | 351 | | | 3/2018 | | | USD | | | | 26,965,575 | | | | 207,918 | |
| S&P 500 E-Mini Index | | | 343 | | | 3/2018 | | | USD | | | | 45,893,400 | | | | 350,863 | |
| S&P Midcap 400 E-Mini Index | | | 101 | | | 3/2018 | | | USD | | | | 19,214,240 | | | | 107,519 | |
| S&P/TSX 60 Index | | | 357 | | | 3/2018 | | | CAD | | | | 54,382,148 | | | | 249,247 | |
| Soybean Oil | | | 38 | | | 3/2018 | | | EUR | | | | 7,471,082 | | | | (148,940 | ) |
| SPI 200 Index | | | 371 | | | 3/2018 | | | AUD | | | | 43,565,648 | | | | (69,979 | ) |
| TOPIX Index | | | 214 | | | 3/2018 | | | JPY | | | | 34,509,696 | | | | 597,100 | |
| U.S. Treasury Long Bond | | | 277 | | | 3/2018 | | | USD | | | | 42,381,000 | | | | (63,469 | ) |
| U.S. Treasury Ultra Bond | | | 294 | | | 3/2018 | | | USD | | | | 49,290,937 | | | | 16,207 | |
| 3 Month Euroswiss | | | 7 | | | 9/2018 | | | CHF | | | | 1,807,738 | | | | (85 | ) |
| 3 Month Euro Euribor | | | 85 | | | 12/2018 | | | EUR | | | | 25,558,005 | | | | (10,340 | ) |
| 3 Month Euro Euribor | | | 130 | | | 3/2019 | | | EUR | | | | 39,059,467 | | | | (22,003 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 16,419,125 | |
| | | | | | | | | | | | | | | | | | |
| Short Contracts | |
| LME Aluminum Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (56,429 | ) | | | (2,432 | ) |
| LME Aluminum Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (56,493 | ) | | | (2,934 | ) |
| LME Aluminum Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (56,475 | ) | | | (2,897 | ) |
| LME Aluminum Base Metal | | | (2 | ) | | 1/2018 | | | USD | | | | (112,975 | ) | | | (5,240 | ) |
| LME Aluminum Base Metal | | | (2 | ) | | 1/2018 | | | USD | | | | (112,924 | ) | | | (7,129 | ) |
| LME Aluminum Base Metal | | | (2 | ) | | 1/2018 | | | USD | | | | (112,912 | ) | | | (6,067 | ) |
| LME Aluminum Base Metal | | | (3 | ) | | 1/2018 | | | USD | | | | (169,444 | ) | | | (7,245 | ) |
| LME Copper Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (180,480 | ) | | | (6,008 | ) |
| LME Copper Base Metal | | | (7 | ) | | 1/2018 | | | USD | | | | (1,263,019 | ) | | | (33,311 | ) |
| LME Copper Base Metal | | | (8 | ) | | 1/2018 | | | USD | | | | (1,443,400 | ) | | | (56,329 | ) |
| LME Nickel Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (76,240 | ) | | | (12,494 | ) |
| LME Nickel Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (76,266 | ) | | | (6,848 | ) |
| LME Nickel Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (76,255 | ) | | | (11,214 | ) |
| LME Nickel Base Metal | | | (2 | ) | | 1/2018 | | | USD | | | | (152,561 | ) | | | (11,086 | ) |
| LME Nickel Base Metal | | | (2 | ) | | 1/2018 | | | USD | | | | (152,617 | ) | | | (10,842 | ) |
| LME Nickel Base Metal | | | (2 | ) | | 1/2018 | | | USD | | | | (152,466 | ) | | | (24,899 | ) |
| LME Nickel Base Metal | | | (3 | ) | | 1/2018 | | | USD | | | | (228,852 | ) | | | (17,809 | ) |
| LME Nickel Base Metal | | | (3 | ) | | 1/2018 | | | USD | | | | (228,864 | ) | | | (16,473 | ) |
| LME Nickel Base Metal | | | (4 | ) | | 1/2018 | | | USD | | | | (305,169 | ) | | | (19,999 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (83,481 | ) | | | (1,234 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (83,500 | ) | | | (2,753 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (83,500 | ) | | | (1,977 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (83,375 | ) | | | (5,340 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 1/2018 | | | USD | | | | (83,460 | ) | | | (1,547 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 1/2018 | | | USD | | | | (167,000 | ) | | | (5,905 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 1/2018 | | | USD | | | | (166,917 | ) | | | (4,275 | ) |
| Natural Gas | | | (442 | ) | | 1/2018 | | | USD | | | | (13,052,260 | ) | | | (495,004 | ) |
| LME Aluminum Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (56,553 | ) | | | (2,368 | ) |
| LME Aluminum Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (113,337 | ) | | | (7,173 | ) |
| LME Aluminum Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (113,167 | ) | | | (5,642 | ) |
| LME Aluminum Base Metal | | | (3 | ) | | 2/2018 | | | USD | | | | (169,769 | ) | | | (10,895 | ) |
| LME Aluminum Base Metal | | | (4 | ) | | 2/2018 | | | USD | | | | (226,651 | ) | | | (18,509 | ) |
| LME Aluminum Base Metal | | | (5 | ) | | 2/2018 | | | USD | | | | (283,344 | ) | | | (23,654 | ) |
| LME Aluminum Base Metal | | | (5 | ) | | 2/2018 | | | USD | | | | (283,344 | ) | | | (20,271 | ) |
| LME Aluminum Base Metal | | | (5 | ) | | 2/2018 | | | USD | | | | (282,980 | ) | | | (21,284 | ) |
| LME Aluminum Base Metal | | | (6 | ) | | 2/2018 | | | USD | | | | (339,721 | ) | | | (23,255 | ) |
| LME Aluminum Base Metal | | | (6 | ) | | 2/2018 | | | USD | | | | (339,757 | ) | | | (24,623 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
35
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts (continued) | |
| LME Aluminum Base Metal | | | (7 | ) | | 2/2018 | | | USD | | | | $ (396,426 | ) | | | $ (29,574 | ) |
| LME Aluminum Base Metal | | | (11 | ) | | 2/2018 | | | USD | | | | (623,023 | ) | | | (41,849 | ) |
| LME Aluminum Base Metal | | | (13 | ) | | 2/2018 | | | USD | | | | (736,694 | ) | | | (64,387 | ) |
| LME Copper Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (180,863 | ) | | | (8,740 | ) |
| LME Copper Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (180,760 | ) | | | (9,765 | ) |
| LME Copper Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (361,571 | ) | | | (24,196 | ) |
| LME Copper Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (361,700 | ) | | | (22,025 | ) |
| LME Copper Base Metal | | | (4 | ) | | 2/2018 | | | USD | | | | (723,193 | ) | | | (46,576 | ) |
| LME Copper Base Metal | | | (5 | ) | | 2/2018 | | | USD | | | | (904,648 | ) | | | (57,609 | ) |
| LME Copper Base Metal | | | (6 | ) | | 2/2018 | | | USD | | | | (1,084,098 | ) | | | (52,341 | ) |
| LME Copper Base Metal | | | (6 | ) | | 2/2018 | | | USD | | | | (1,083,630 | ) | | | (36,648 | ) |
| LME Copper Base Metal | | | (12 | ) | | 2/2018 | | | USD | | | | (2,167,425 | ) | | | (93,260 | ) |
| LME Nickel Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (76,395 | ) | | | (1,912 | ) |
| LME Nickel Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (152,866 | ) | | | (11,043 | ) |
| LME Nickel Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (152,807 | ) | | | (13,485 | ) |
| LME Nickel Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (152,913 | ) | | | (13,012 | ) |
| LME Nickel Base Metal | | | (3 | ) | | 2/2018 | | | USD | | | | (229,284 | ) | | | (18,705 | ) |
| LME Nickel Base Metal | | | (3 | ) | | 2/2018 | | | USD | | | | (229,272 | ) | | | (20,566 | ) |
| LME Nickel Base Metal | | | (7 | ) | | 2/2018 | | | USD | | | | (534,852 | ) | | | (48,966 | ) |
| LME Nickel Base Metal | | | (12 | ) | | 2/2018 | | | USD | | | | (917,537 | ) | | | (101,497 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (83,300 | ) | | | (2,798 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (83,278 | ) | | | (3,404 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (83,242 | ) | | | (3,876 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 2/2018 | | | USD | | | | (83,263 | ) | | | (4,281 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (166,469 | ) | | | (9,882 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (166,498 | ) | | | (5,401 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 2/2018 | | | USD | | | | (166,541 | ) | | | (6,962 | ) |
| LME Zinc Base Metal | | | (4 | ) | | 2/2018 | | | USD | | | | (332,908 | ) | | | (17,134 | ) |
| LME Zinc Base Metal | | | (5 | ) | | 2/2018 | | | USD | | | | (415,875 | ) | | | (21,901 | ) |
| Sugar No. 11 | | | (702 | ) | | 2/2018 | | | USD | | | | (11,919,398 | ) | | | (967,567 | ) |
| 3 Month Canadian Bank Acceptance | | | (75 | ) | | 3/2018 | | | CAD | | | | (14,661,396 | ) | | | 5,656 | |
| 3 Month Euro Euribor | | | (1 | ) | | 3/2018 | | | EUR | | | | (300,922 | ) | | | (23 | ) |
| 3 Month Eurodollar | | | (1 | ) | | 3/2018 | | | USD | | | | (245,600 | ) | | | 54 | |
| 3 Month Euroswiss | | | (1 | ) | | 3/2018 | | | CHF | | | | (258,453 | ) | | | (46 | ) |
| 3 Month Sterling | | | (2 | ) | | 3/2018 | | | GBP | | | | (335,647 | ) | | | (178 | ) |
| ASX 90 Day Bank Accepted Bill | | | (1 | ) | | 3/2018 | | | AUD | | | | (776,840 | ) | | | (192 | ) |
| Australia 3 Year Bond | | | (734 | ) | | 3/2018 | | | AUD | | | | (63,625,518 | ) | | | (53,987 | ) |
| Canada 10 Year Bond | | | (58 | ) | | 3/2018 | | | CAD | | | | (6,218,966 | ) | | | 3,720 | |
| Cocoa | | | (160 | ) | | 3/2018 | | | USD | | | | (3,027,200 | ) | | | 52,852 | |
| Cocoa | | | (403 | ) | | 3/2018 | | | GBP | | | | (7,497,842 | ) | | | 509,920 | |
| Coffee ‘C’ | | | (235 | ) | | 3/2018 | | | USD | | | | (11,121,375 | ) | | | 131,403 | |
| Corn | | | (555 | ) | | 3/2018 | | | USD | | | | (9,733,313 | ) | | | 94,757 | |
| KC HRW Wheat | | | (341 | ) | | 3/2018 | | | USD | | | | (7,284,613 | ) | | | 198,792 | |
| LME Aluminum Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (56,752 | ) | | | (5,286 | ) |
| LME Aluminum Base Metal | | | (3 | ) | | 3/2018 | | | USD | | | | (170,327 | ) | | | (14,272 | ) |
| LME Aluminum Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (283,700 | ) | | | (32,047 | ) |
| LME Aluminum Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (283,730 | ) | | | (29,565 | ) |
| LME Aluminum Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (283,670 | ) | | | (31,654 | ) |
| LME Aluminum Base Metal | | | (6 | ) | | 3/2018 | | | USD | | | | (340,689 | ) | | | (25,557 | ) |
| LME Aluminum Base Metal | | | (7 | ) | | 3/2018 | | | USD | | | | (396,890 | ) | | | (40,152 | ) |
| LME Aluminum Base Metal | | | (7 | ) | | 3/2018 | | | USD | | | | (396,972 | ) | | | (44,480 | ) |
| LME Aluminum Base Metal | | | (7 | ) | | 3/2018 | | | USD | | | | (396,932 | ) | | | (44,532 | ) |
| LME Aluminum Base Metal | | | (7 | ) | | 3/2018 | | | USD | | | | (396,847 | ) | | | (36,069 | ) |
| LME Aluminum Base Metal | | | (7 | ) | | 3/2018 | | | USD | | | | (396,681 | ) | | | (35,147 | ) |
| LME Aluminum Base Metal | | | (9 | ) | | 3/2018 | | | USD | | | | (510,863 | ) | | | (24,889 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
36
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts (continued) | |
| LME Aluminum Base Metal | | | (9 | ) | | 3/2018 | | | USD | | | | $ (510,413 | ) | | | $ (1,939 | ) |
| LME Aluminum Base Metal | | | (9 | ) | | 3/2018 | | | USD | | | | (510,525 | ) | | | (15,547 | ) |
| LME Aluminum Base Metal | | | (10 | ) | | 3/2018 | | | USD | | | | (567,000 | ) | | | (1,062 | ) |
| LME Aluminum Base Metal | | | (62 | ) | | 3/2018 | | | USD | | | | (3,520,825 | ) | | | (356,228 | ) |
| LME Copper Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (181,138 | ) | | | (14,770 | ) |
| LME Copper Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (362,332 | ) | | | (23,987 | ) |
| LME Copper Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (361,903 | ) | | | (22,426 | ) |
| LME Copper Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (362,075 | ) | | | (30,932 | ) |
| LME Copper Base Metal | | | (3 | ) | | 3/2018 | | | USD | | | | (543,541 | ) | | | (43,148 | ) |
| LME Copper Base Metal | | | (3 | ) | | 3/2018 | | | USD | | | | (543,241 | ) | | | (50,017 | ) |
| LME Copper Base Metal | | | (3 | ) | | 3/2018 | | | USD | | | | (543,198 | ) | | | (50,068 | ) |
| LME Copper Base Metal | | | (4 | ) | | 3/2018 | | | USD | | | | (724,700 | ) | | | (1,980 | ) |
| LME Copper Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (906,063 | ) | | | (34,077 | ) |
| LME Copper Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (905,563 | ) | | | (20,950 | ) |
| LME Copper Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (905,830 | ) | | | 3,155 | |
| LME Copper Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (905,786 | ) | | | (7,289 | ) |
| LME Copper Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (905,259 | ) | | | (83,198 | ) |
| LME Copper Base Metal | | | (9 | ) | | 3/2018 | | | USD | | | | (1,631,138 | ) | | | (79,397 | ) |
| LME Copper Base Metal | | | (21 | ) | | 3/2018 | | | USD | | | | (3,804,937 | ) | | | (305,773 | ) |
| LME Nickel Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (153,056 | ) | | | (18,893 | ) |
| LME Nickel Base Metal | | | (3 | ) | | 3/2018 | | | USD | | | | (229,556 | ) | | | (29,580 | ) |
| LME Nickel Base Metal | | | (3 | ) | | 3/2018 | | | USD | | | | (229,570 | ) | | | (28,768 | ) |
| LME Nickel Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (382,331 | ) | | | (47,328 | ) |
| LME Nickel Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (382,800 | ) | | | (12,636 | ) |
| LME Nickel Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (382,498 | ) | | | (52,844 | ) |
| LME Nickel Base Metal | | | (5 | ) | | 3/2018 | | | USD | | | | (382,427 | ) | | | (52,005 | ) |
| LME Nickel Base Metal | | | (6 | ) | | 3/2018 | | | USD | | | | (458,940 | ) | | | (68,044 | ) |
| LME Nickel Base Metal | | | (6 | ) | | 3/2018 | | | USD | | | | (458,969 | ) | | | (66,479 | ) |
| LME Nickel Base Metal | | | (6 | ) | | 3/2018 | | | USD | | | | (459,347 | ) | | | (19,445 | ) |
| LME Nickel Base Metal | | | (6 | ) | | 3/2018 | | | USD | | | | (459,333 | ) | | | (30,948 | ) |
| LME Nickel Base Metal | | | (7 | ) | | 3/2018 | | | USD | | | | (535,890 | ) | | | (33,318 | ) |
| LME Nickel Base Metal | | | (7 | ) | | 3/2018 | | | USD | | | | (535,815 | ) | | | (30,828 | ) |
| LME Nickel Base Metal | | | (10 | ) | | 3/2018 | | | USD | | | | (765,510 | ) | | | (61,713 | ) |
| LME Nickel Base Metal | | | (44 | ) | | 3/2018 | | | USD | | | | (3,368,640 | ) | | | (443,669 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (83,175 | ) | | | (4,984 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (83,029 | ) | | | (1,163 | ) |
| LME Zinc Base Metal | | | (1 | ) | | 3/2018 | | | USD | | | | (83,175 | ) | | | (3,765 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (166,004 | ) | | | (1,520 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (165,950 | ) | | | (1,106 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (166,350 | ) | | | (11,500 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (166,350 | ) | | | (11,214 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (166,350 | ) | | | (11,940 | ) |
| LME Zinc Base Metal | | | (2 | ) | | 3/2018 | | | USD | | | | (166,335 | ) | | | (6,940 | ) |
| LME Zinc Base Metal | | | (3 | ) | | 3/2018 | | | USD | | | | (249,331 | ) | | | (5,590 | ) |
| LME Zinc Base Metal | | | (3 | ) | | 3/2018 | | | USD | | | | (249,525 | ) | | | (9,036 | ) |
| LME Zinc Base Metal | | | (3 | ) | | 3/2018 | | | USD | | | | (249,435 | ) | | | (7,944 | ) |
| LME Zinc Base Metal | | | (6 | ) | | 3/2018 | | | USD | | | | (498,915 | ) | | | (19,194 | ) |
| LME Zinc Base Metal | | | (14 | ) | | 3/2018 | | | USD | | | | (1,163,925 | ) | | | (67,017 | ) |
| Silver | | | (137 | ) | | 3/2018 | | | USD | | | | (11,744,325 | ) | | | (878,758 | ) |
| Soybean Meal | | | (71 | ) | | 3/2018 | | | USD | | | | (2,249,280 | ) | | | 14,892 | |
| Soybean Oil | | | (186 | ) | | 3/2018 | | | USD | | | | (3,711,816 | ) | | | 35,319 | |
| U.S. Treasury 10 Year Note | | | (891 | ) | | 3/2018 | �� | | USD | | | | (110,525,766 | ) | | | 235,170 | |
| U.S. Treasury 2 Year Note | | | (5,139 | ) | | 3/2018 | | | USD | | | | (1,100,308,078 | ) | | | 1,496,371 | |
| U.S. Treasury 5 Year Note | | | (2,262 | ) | | 3/2018 | | | USD | | | | (262,763,109 | ) | | | 574,723 | |
| Wheat | | | (283 | ) | | 3/2018 | | | USD | | | | (6,042,050 | ) | | | 91,024 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
37
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | | | |
| | | | | | | | | | | | | | | | | | |
| DESCRIPTION | | NUMBER OF
CONTRACTS | | | EXPIRATION
DATE | | TRADING
CURRENCY | | | NOTIONAL
AMOUNT | | | VALUE AND
UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| Short Contracts (continued) | |
| Platinum | | | (87 | ) | | 4/2018 | | | USD | | | | $ (4,081,605 | ) | | | $ (68,504 | ) |
| 3 Month Canadian Bank Acceptance | | | (215 | ) | | 6/2018 | | | CAD | | | | (41,933,125 | ) | | | 32,313 | |
| 3 Month Euro Euribor | | | (95 | ) | | 6/2018 | | | EUR | | | | (28,584,776 | ) | | | 803 | |
| 3 Month Eurodollar | | | (1,592 | ) | | 6/2018 | | | USD | | | | (390,338,500 | ) | | | 817,911 | |
| 3 Month Sterling | | | (15 | ) | | 6/2018 | | | GBP | | | | (2,515,076 | ) | | | (2,274 | ) |
| ASX 90 Day Bank Accepted Bill | | | (16 | ) | | 6/2018 | | | AUD | | | | (12,427,616 | ) | | | (434 | ) |
| 3 Month Canadian Bank Acceptance | | | (133 | ) | | 9/2018 | | | CAD | | | | (25,900,348 | ) | | | 22,077 | |
| 3 Month Euro Euribor | | | (110 | ) | | 9/2018 | | | EUR | | | | (33,088,263 | ) | | | 1,875 | |
| 3 Month Eurodollar | | | (1,499 | ) | | 9/2018 | | | USD | | | | (367,105,100 | ) | | | 852,367 | |
| 3 Month Sterling | | | (215 | ) | | 9/2018 | | | GBP | | | | (36,024,026 | ) | | | (39,962 | ) |
| ASX 90 Day Bank Accepted Bill | | | (23 | ) | | 9/2018 | | | AUD | | | | (17,860,752 | ) | | | (1,155 | ) |
| 3 Month Eurodollar | | | (1,458 | ) | | 12/2018 | | | USD | | | | (356,681,475 | ) | | | 809,935 | |
| 3 Month Euroswiss | | | (12 | ) | | 12/2018 | | | CHF | | | | (3,096,824 | ) | | | (211 | ) |
| 3 Month Sterling | | | (221 | ) | | 12/2018 | | | GBP | | | | (37,006,969 | ) | | | (37,066 | ) |
| 3 Month Eurodollar | | | (1,420 | ) | | 3/2019 | | | USD | | | | (347,172,250 | ) | | | 667,749 | |
| 3 Month Sterling | | | (240 | ) | | 3/2019 | | | GBP | | | | (40,164,261 | ) | | | (37,510 | ) |
| 3 Month Euro Euribor | | | (13 | ) | | 6/2019 | | | EUR | | | | (3,902,632 | ) | | | (8 | ) |
| 3 Month Eurodollar | | | (1,314 | ) | | 6/2019 | | | USD | | | | (321,075,900 | ) | | | 709,515 | |
| 3 Month Sterling | | | (220 | ) | | 6/2019 | | | GBP | | | | (36,798,675 | ) | | | (34,728 | ) |
| 3 Month Euro Euribor | | | (229 | ) | | 9/2019 | | | EUR | | | | (68,681,108 | ) | | | 6,127 | |
| 3 Month Eurodollar | | | (1,161 | ) | | 9/2019 | | | USD | | | | (283,588,762 | ) | | | 661,286 | |
| 3 Month Sterling | | | (237 | ) | | 9/2019 | | | GBP | | | | (39,622,209 | ) | | | (36,636 | ) |
| 3 Month Euro Euribor | | | (255 | ) | | 12/2019 | | | EUR | | | | (76,406,297 | ) | | | 21,534 | |
| 3 Month Eurodollar | | | (1,043 | ) | | 12/2019 | | | USD | | | | (254,674,525 | ) | | | 108,590 | |
| 3 Month Sterling | | | (178 | ) | | 12/2019 | | | GBP | | | | (29,743,432 | ) | | | (22,714 | ) |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | 1,583,328 | |
| | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | $18,002,453 | |
| | | | | | | | | | | | | | | | | | |
Forward foreign currency contracts outstanding as of December 31, 2017:
Over the Counter
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| AUD | | | 107,002,400 | | | USD | | | 81,633,690 | | | CITI | | | 3/21/2018 | | | | $1,842,427 | |
| AUD | | | 160,503,600 | | | USD | | | 122,450,688 | | | JPMC | | | 3/21/2018 | | | | 2,763,488 | |
| BRL | | | 706,400 | | | USD | | | 211,150 | | | CITI** | | | 3/21/2018 | | | | 10 | |
| BRL | | | 1,059,600 | | | USD | | | 316,726 | | | JPMC** | | | 3/21/2018 | | | | 15 | |
| CAD | | | 51,272,800 | | | USD | | | 40,318,471 | | | CITI | | | 3/21/2018 | | | | 512,763 | |
| CAD | | | 76,909,200 | | | USD | | | 60,477,783 | | | JPMC | | | 3/21/2018 | | | | 769,069 | |
| CLP | | | 3,804,320,249 | | | USD | | | 5,935,545 | | | CITI** | | | 3/21/2018 | | | | 242,960 | |
| CLP | | | 5,528,674,879 | | | USD | | | 8,624,451 | | | JPMC** | | | 3/21/2018 | | | | 354,537 | |
| COP | | | 9,783,287,188 | | | USD | | | 3,226,573 | | | CITI** | | | 3/21/2018 | | | | 29,912 | |
| COP | | | 10,928,809,804 | | | USD | | | 3,601,131 | | | JPMC** | | | 3/21/2018 | | | | 36,654 | |
| EUR | | | 148,055,600 | | | USD | | | 176,530,679 | | | CITI | | | 3/21/2018 | | | | 1,943,014 | |
| EUR | | | 222,083,397 | | | USD | | | 264,798,013 | | | JPMC | | | 3/21/2018 | | | | 2,912,522 | |
| GBP | | | 41,901,066 | | | USD | | | 56,130,231 | | | CITI | | | 3/21/2018 | | | | 587,943 | |
| GBP | | | 62,851,599 | | | USD | | | 84,195,401 | | | JPMC | | | 3/21/2018 | | | | 881,860 | |
| HUF | | | 903,531,195 | | | USD | | | 3,460,938 | | | CITI | | | 3/21/2018 | | | | 41,385 | |
| HUF | | | 1,347,010,789 | | | USD | | | 5,159,933 | | | JPMC | | | 3/21/2018 | | | | 61,433 | |
| IDR | | | 81,133,042,790 | | | USD | | | 5,937,313 | | | CITI** | | | 3/21/2018 | | | | 28,156 | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
38
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| IDR | | | 118,403,411,858 | | | USD | | | 8,664,715 | | | JPMC** | | | 3/21/2018 | | | | $ 41,132 | |
| ILS | | | 26,868,400 | | | USD | | | 7,698,310 | | | CITI | | | 3/21/2018 | | | | 47,822 | |
| ILS | | | 37,617,600 | | | USD | | | 10,778,636 | | | JPMC | | | 3/21/2018 | | | | 66,478 | |
| INR | | | 820,939,597 | | | USD | | | 12,590,172 | | | CITI** | | | 3/21/2018 | | | | 177,524 | |
| INR | | | 1,209,026,395 | | | USD | | | 18,542,481 | | | JPMC** | | | 3/21/2018 | | | | 260,950 | |
| KRW | | | 31,362,614,107 | | | USD | | | 28,828,154 | | | CITI** | | | 3/21/2018 | | | | 584,176 | |
| KRW | | | 46,450,428,150 | | | USD | | | 42,695,222 | | | JPMC** | | | 3/21/2018 | | | | 866,686 | |
| NOK | | | 3,430,400 | | | USD | | | 415,940 | | | CITI | | | 3/21/2018 | | | | 2,763 | |
| NOK | | | 5,145,600 | | | USD | | | 623,911 | | | JPMC | | | 3/21/2018 | | | | 4,144 | |
| NZD | | | 58,772,000 | | | USD | | | 40,771,957 | | | CITI | | | 3/21/2018 | | | | 839,438 | |
| NZD | | | 88,158,000 | | | USD | | | 61,157,636 | | | JPMC | | | 3/21/2018 | | | | 1,259,456 | |
| PHP | | | 395,819,200 | | | USD | | | 7,762,977 | | | CITI** | | | 3/21/2018 | | | | 144,662 | |
| PHP | | | 593,728,800 | | | USD | | | 11,644,480 | | | JPMC** | | | 3/21/2018 | | | | 216,977 | |
| PLN | | | 18,250,195 | | | USD | | | 5,134,362 | | | CITI | | | 3/21/2018 | | | | 109,959 | |
| PLN | | | 27,367,806 | | | USD | | | 7,699,461 | | | JPMC | | | 3/21/2018 | | | | 164,870 | |
| SEK | | | 41,119,600 | | | USD | | | 5,001,186 | | | CITI | | | 3/21/2018 | | | | 35,192 | |
| SEK | | | 60,713,400 | | | USD | | | 7,386,559 | | | JPMC | | | 3/21/2018 | | | | 49,691 | |
| SGD | | | 22,021,800 | | | USD | | | 16,337,121 | | | CITI | | | 3/21/2018 | | | | 148,020 | |
| SGD | | | 31,603,200 | | | USD | | | 23,443,702 | | | JPMC | | | 3/21/2018 | | | | 213,910 | |
| TRY | | | 84,143,200 | | | USD | | | 21,280,851 | | | CITI | | | 3/21/2018 | | | | 418,460 | |
| TRY | | | 126,214,800 | | | USD | | | 31,917,092 | | | JPMC | | | 3/21/2018 | | | | 631,875 | |
| TWD | | | 361,470,000 | | | USD | | | 12,157,124 | | | CITI** | | | 3/21/2018 | | | | 135,228 | |
| TWD | | | 527,571,000 | | | USD | | | 17,744,213 | | | JPMC** | | | 3/21/2018 | | | | 196,661 | |
| USD | | | 3,428,322 | | | BRL | | | 11,398,600 | | | CITI** | | | 3/21/2018 | | | | 21,001 | |
| USD | | | 4,977,582 | | | BRL | | | 16,550,400 | | | JPMC** | | | 3/21/2018 | | | | 30,262 | |
| USD | | | 278,303 | | | HKD | | | 2,169,400 | | | CITI | | | 3/21/2018 | | | | 207 | |
| USD | | | 417,454 | | | HKD | | | 3,254,100 | | | JPMC | | | 3/21/2018 | | | | 311 | |
| USD | | | 2,588,557 | | | MXN | | | 50,601,400 | | | CITI | | | 3/21/2018 | | | | 50,542 | |
| USD | | | 3,068,705 | | | MXN | | | 60,168,600 | | | JPMC | | | 3/21/2018 | | | | 50,828 | |
| USD | | | 7,429,058 | | | NOK | | | 60,709,900 | | | CITI | | | 3/21/2018 | | | | 19,005 | |
| USD | | | 11,143,743 | | | NOK | | | 91,064,850 | | | JPMC | | | 3/21/2018 | | | | 28,665 | |
| USD | | | 1,198 | | | SGD | | | 1,600 | | | CITI | | | 3/21/2018 | | | | — | |
| USD | | | 1,797 | | | SGD | | | 2,400 | | | JPMC | | | 3/21/2018 | | | | — | |
| JPY | | | 466,492,404 | | | USD | | | 4,148,210 | | | CITI | | | 3/22/2018 | | | | 8,611 | |
| JPY | | | 699,738,604 | | | USD | | | 6,222,323 | | | JPMC | | | 3/22/2018 | | | | 12,908 | |
| USD | | | 149,450,325 | | | JPY | | | 16,693,915,048 | | | CITI | | | 3/22/2018 | | | | 694,171 | |
| USD | | | 224,175,208 | | | JPY | | | 25,040,872,572 | | | JPMC | | | 3/22/2018 | | | | 1,040,976 | |
| ZAR | | | 309,171,200 | | | USD | | | 22,667,160 | | | CITI | | | 3/22/2018 | | | | 2,032,752 | |
| ZAR | | | 463,756,800 | | | USD | | | 34,010,832 | | | JPMC | | | 3/22/2018 | | | | 3,039,036 | |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized appreciation | | | | | | | | | | | | | 26,653,497 | |
| | | | | | | | | | | | | | | | | | | | |
| BRL | | | 24,842,800 | | | USD | | | 7,577,231 | | | CITI** | | | 3/21/2018 | | | | (151,110 | ) |
| BRL | | | 37,264,200 | | | USD | | | 11,365,861 | | | JPMC** | | | 3/21/2018 | | | | (226,680 | ) |
| CAD | | | 6,134,000 | | | USD | | | 4,888,194 | | | CITI | | | 3/21/2018 | | | | (3,366 | ) |
| CAD | | | 9,201,000 | | | USD | | | 7,332,299 | | | JPMC | | | 3/21/2018 | | | | (5,058 | ) |
| CLP | | | 248,952,012 | | | USD | | | 405,395 | | | CITI** | | | 3/21/2018 | | | | (1,078 | ) |
| CLP | | | 373,428,020 | | | USD | | | 608,093 | | | JPMC** | | | 3/21/2018 | | | | (1,617 | ) |
| COP | | | 1,866,415,991 | | | USD | | | 624,569 | | | CITI** | | | 3/21/2018 | | | | (3,310 | ) |
| COP | | | 2,602,436,985 | | | USD | | | 870,923 | | | JPMC** | | | 3/21/2018 | | | | (4,670 | ) |
| GBP | | | 5,377,333 | | | USD | | | 7,283,956 | | | CITI | | | 3/21/2018 | | | | (5,083 | ) |
| GBP | | | 8,066,000 | | | USD | | | 10,925,948 | | | JPMC | | | 3/21/2018 | | | | (7,639 | ) |
| HKD | | | 4,412,000 | | | USD | | | 566,037 | | | CITI | | | 3/21/2018 | | | | (461 | ) |
| HKD | | | 6,618,000 | | | USD | | | 849,056 | | | JPMC | | | 3/21/2018 | | | | (692 | ) |
| HUF | | | 139,569,997 | | | USD | | | 541,846 | | | CITI | | | 3/21/2018 | | | | (836 | ) |
| HUF | | | 209,354,995 | | | USD | | | 812,770 | | | JPMC | | | 3/21/2018 | | | | (1,256 | ) |
| ILS | | | 757,600 | | | USD | | | 218,948 | | | CITI | | | 3/21/2018 | | | | (533 | ) |
| ILS | | | 1,136,400 | | | USD | | | 328,422 | | | JPMC | | | 3/21/2018 | | | | (799 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
39
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| MXN | | | 176,384,996 | | | USD | | | 9,259,776 | | | CITI | | | 3/21/2018 | | | | $ (412,830 | ) |
| MXN | | | 263,855,996 | | | USD | | | 13,849,211 | | | JPMC | | | 3/21/2018 | | | | (614,981 | ) |
| NOK | | | 5,218,400 | | | USD | | | 637,263 | | | CITI | | | 3/21/2018 | | | | (322 | ) |
| NOK | | | 7,827,600 | | | USD | | | 955,896 | | | JPMC | | | 3/21/2018 | | | | (484 | ) |
| NZD | | | 1,070,000 | | | USD | | | 758,949 | | | CITI | | | 3/21/2018 | | | | (1,374 | ) |
| NZD | | | 1,605,000 | | | USD | | | 1,138,240 | | | JPMC | | | 3/21/2018 | | | | (1,877 | ) |
| PHP | | | 27,075,600 | | | USD | | | 541,475 | | | CITI** | | | 3/21/2018 | | | | (561 | ) |
| PHP | | | 40,613,400 | | | USD | | | 812,213 | | | JPMC** | | | 3/21/2018 | | | | (842 | ) |
| SGD | | | 391,600 | | | USD | | | 293,390 | | | CITI | | | 3/21/2018 | | | | (245 | ) |
| SGD | | | 587,400 | | | USD | | | 440,085 | | | JPMC | | | 3/21/2018 | | | | (367 | ) |
| TRY | | | 5,329,600 | | | USD | | | 1,380,016 | | | CITI | | | 3/21/2018 | | | | (5,589 | ) |
| TRY | | | 7,994,400 | | | USD | | | 2,070,026 | | | JPMC | | | 3/21/2018 | | | | (8,386 | ) |
| USD | | | 63,222,233 | | | AUD | | | 83,468,800 | | | CITI | | | 3/21/2018 | | | | (1,894,543 | ) |
| USD | | | 94,833,232 | | | AUD | | | 125,203,200 | | | JPMC | | | 3/21/2018 | | | | (2,841,933 | ) |
| USD | | | 1,967,570 | | | BRL | | | 6,603,600 | | | CITI** | | | 3/21/2018 | | | | (6,407 | ) |
| USD | | | 2,951,351 | | | BRL | | | 9,905,400 | | | JPMC** | | | 3/21/2018 | | | | (9,615 | ) |
| USD | | | 62,831,340 | | | CAD | | | 80,458,000 | | | CITI | | | 3/21/2018 | | | | (1,241,608 | ) |
| USD | | | 94,246,891 | | | CAD | | | 120,687,000 | | | JPMC | | | 3/21/2018 | | | | (1,862,530 | ) |
| USD | | | 204,300 | | | CHF | | | 200,000 | | | CITI | | | 3/21/2018 | | | | (2,094 | ) |
| USD | | | 306,449 | | | CHF | | | 300,000 | | | JPMC | | | 3/21/2018 | | | | (3,142 | ) |
| USD | | | 2,984,457 | | | CLP | | | 1,923,890,998 | | | CITI** | | | 3/21/2018 | | | | (140,088 | ) |
| USD | | | 2,650,375 | | | CLP | | | 1,719,711,002 | | | JPMC** | | | 3/21/2018 | | | | (142,567 | ) |
| USD | | | 927,379 | | | COP | | | 2,820,394,792 | | | CITI** | | | 3/21/2018 | | | | (11,423 | ) |
| USD | | | 634,089 | | | COP | | | 1,928,980,184 | | | JPMC** | | | 3/21/2018 | | | | (7,995 | ) |
| USD | | | 18,444,213 | | | EUR | | | 15,458,400 | | | CITI | | | 3/21/2018 | | | | (190,122 | ) |
| USD | | | 27,666,286 | | | EUR | | | 23,187,600 | | | JPMC | | | 3/21/2018 | | | | (285,218 | ) |
| USD | | | 38,837,574 | | | GBP | | | 28,872,400 | | | CITI | | | 3/21/2018 | | | | (244,721 | ) |
| USD | | | 58,255,423 | | | GBP | | | 43,308,600 | | | JPMC | | | 3/21/2018 | | | | (368,019 | ) |
| USD | | | 336,100 | | | HKD | | | 2,623,000 | | | CITI | | | 3/21/2018 | | | | (143 | ) |
| USD | | | 504,150 | | | HKD | | | 3,934,500 | | | JPMC | | | 3/21/2018 | | | | (217 | ) |
| USD | | | 6,959,175 | | | HUF | | | 1,832,853,810 | | | CITI | | | 3/21/2018 | | | | (145,445 | ) |
| USD | | | 9,886,566 | | | HUF | | | 2,603,068,214 | | | JPMC | | | 3/21/2018 | | | | (203,605 | ) |
| USD | | | 1,614,428 | | | IDR | | | 22,101,971,902 | | | CITI** | | | 3/21/2018 | | | | (10,664 | ) |
| USD | | | 2,176,943 | | | IDR | | | 29,807,902,306 | | | JPMC** | | | 3/21/2018 | | | | (14,743 | ) |
| USD | | | 1,899,111 | | | ILS | | | 6,666,800 | | | CITI | | | 3/21/2018 | | | | (22,920 | ) |
| USD | | | 2,801,033 | | | ILS | | | 9,835,200 | | | JPMC | | | 3/21/2018 | | | | (34,445 | ) |
| USD | | | 1,053,848 | | | INR | | | 69,390,600 | | | CITI** | | | 3/21/2018 | | | | (25,352 | ) |
| USD | | | 1,140,429 | | | INR | | | 75,212,400 | | | JPMC** | | | 3/21/2018 | | | | (29,315 | ) |
| USD | | | 1,115,603 | | | KRW | | | 1,214,509,008 | | | CITI** | | | 3/21/2018 | | | | (23,382 | ) |
| USD | | | 1,505,789 | | | MXN | | | 30,159,200 | | | CITI | | | 3/21/2018 | | | | (6,907 | ) |
| USD | | | 2,258,680 | | | MXN | | | 45,238,800 | | | JPMC | | | 3/21/2018 | | | | (10,364 | ) |
| USD | | | 22,814,832 | | | NOK | | | 188,578,100 | | | CITI | | | 3/21/2018 | | | | (202,397 | ) |
| USD | | | 34,221,380 | | | NOK | | | 282,867,150 | | | JPMC | | | 3/21/2018 | | | | (304,465 | ) |
| USD | | | 100,609,764 | | | NZD | | | 146,852,400 | | | CITI | | | 3/21/2018 | | | | (3,363,780 | ) |
| USD | | | 150,913,926 | | | NZD | | | 220,278,600 | | | JPMC | | | 3/21/2018 | | | | (5,046,390 | ) |
| USD | | | 505,986 | | | PHP | | | 25,825,600 | | | CITI** | | | 3/21/2018 | | | | (9,956 | ) |
| USD | | | 758,977 | | | PHP | | | 38,738,400 | | | JPMC** | | | 3/21/2018 | | | | (14,935 | ) |
| USD | | | 27,453 | | | PLN | | | 97,800 | | | CITI | | | 3/21/2018 | | | | (650 | ) |
| USD | | | 5,454 | | | PLN | | | 19,200 | | | JPMC | | | 3/21/2018 | | | | (63 | ) |
| USD | | | 26,264,983 | | | SEK | | | 219,355,600 | | | CITI | | | 3/21/2018 | | | | (601,956 | ) |
| USD | | | 39,397,015 | | | SEK | | | 329,033,400 | | | JPMC | | | 3/21/2018 | | | | (903,393 | ) |
| USD | | | 557,915 | | | SGD | | | 752,600 | | | CITI | | | 3/21/2018 | | | | (5,468 | ) |
| USD | | | 117,267 | | | SGD | | | 158,400 | | | JPMC | | | 3/21/2018 | | | | (1,308 | ) |
| USD | | | 32,344,403 | | | TRY | | | 131,355,600 | | | CITI | | | 3/21/2018 | | | | (1,530,301 | ) |
| USD | | | 48,512,376 | | | TRY | | | 197,033,400 | | | JPMC | | | 3/21/2018 | | | | (2,299,682 | ) |
| USD | | | 1,379,121 | | | TWD | | | 41,092,200 | | | CITI** | | | 3/21/2018 | | | | (18,283 | ) |
| USD | | | 582,073 | | | TWD | | | 17,347,800 | | | JPMC** | | | 3/21/2018 | | | | (7,866 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
40
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | | | |
| | | | | | | | | | | | | | | | | | | | |
| CURRENCY PURCHASED | | | CURRENCY SOLD | | | COUNTERPARTY | | SETTLEMENT
DATE | | | UNREALIZED
APPRECIATION
(DEPRECIATION) | |
| JPY | | | 6,184,432,443 | | | USD | | | 55,525,302 | | | CITI | | | 3/22/2018 | | | | $ (417,056 | ) |
| JPY | | | 9,276,648,645 | | | USD | | | 83,288,033 | | | JPMC | | | 3/22/2018 | | | | (625,663 | ) |
| USD | | | 13,710,279 | | | JPY | | | 1,543,879,212 | | | CITI | | | 3/22/2018 | | | | (46,922 | ) |
| USD | | | 20,565,010 | | | JPY | | | 2,315,818,820 | | | JPMC | | | 3/22/2018 | | | | (70,791 | ) |
| USD | | | 10,658,363 | | | ZAR | | | 153,536,400 | | | CITI | | | 3/22/2018 | | | | (1,607,771 | ) |
| USD | | | 15,987,754 | | | ZAR | | | 230,304,600 | | | JPMC | | | 3/22/2018 | | | | (2,411,448 | ) |
| ZAR | | | 23,174,000 | | | USD | | | 1,858,638 | | | CITI | | | 3/22/2018 | | | | (7,250 | ) |
| ZAR | | | 34,761,000 | | | USD | | | 2,787,677 | | | JPMC | | | 3/22/2018 | | | | (10,596 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Total unrealized depreciation | | | | | | | | | | (30,749,963 | ) |
| | | | | | | | | | | | | | | | | | | | |
| Net unrealized depreciation | | | | | | | | | | $(4,096,466 | ) |
| | | | | | | | | | | | | | | | | | | | |
| ** | Non-deliverable forward. |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Colombian Peso
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Poland Zloty
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - New Taiwan Dollar
USD - United States Dollar
ZAR - South African Rand
Collateral pledged to, or (received from), each counterparty at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/ CENTRALLY CLEARED | | | TOTAL | |
| BANA | | | | | | | | | |
| Cash | | | $(320,000 | ) | | | $— | | | | $(320,000 | ) |
| Investment Companies | | | 171,699 | | | | — | | | | 171,699 | |
| |
| BARC | | | | | | | | | |
| Cash | | | — | | | | 15,563,723 | | | | 15,563,723 | |
| |
| CITI | | | | | | | | | |
| Investment Companies | | | 8,059,369 | | | | — | | | | 8,059,369 | |
| |
| GSCO | | | | | | | | | |
| Cash | | | — | | | | 14,624,567 | | | | 14,624,567 | |
| |
| GSIN | | | | | | | | | |
| Cash | | | (320,000 | ) | | | — | | | | (320,000 | ) |
| Investment Companies | | | 6,363,140 | | | | — | | | | 6,363,140 | |
| |
| JPMC | | | | | | | | | |
| Investment Companies | | | 27,538,716 | | | | — | | | | 27,538,716 | |
| |
| JPMS | | | | | | | | | |
| Cash | | | — | | | | 2,392,091 | | | | 2,392,091 | |
| |
| MSCL | | | | | | | | | |
| Cash | | | — | | | | 877,220 | | | | 877,220 | |
| |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (Continued) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
41
| | |
| Consolidated Schedule of Investments | | December 31, 2017 |
| | | | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | | | |
Collateral pledged to, or (received from), each counterparty for the Subsidiary (See Note 2) at December 31, 2017 was as follows:
| | | | | | | | | | | | |
| COUNTERPARTY | | OVER THE COUNTER | | | EXCHANGE TRADED/ CENTRALLY CLEARED | | | TOTAL | |
| CITI | | | | | | | | | |
| Cash | | | $(510,000 | ) | | | $ — | | | | $(510,000 | ) |
| Investment Companies | | | 2,536,180 | | | | — | | | | 2,536,180 | |
| |
| GSCO | | | | | | | | | |
| Cash | | | — | | | | (481,985 | ) | | | (481,985 | ) |
| |
| GSIN | | | | | | | | | |
| Cash | | | 1,630,000 | | | | — | | | | 1,630,000 | |
| |
| JPPC | | | | | | | | | |
| Cash | | | — | | | | 613,464 | | | | 613,464 | |
| |
| MACQ | | | | | | | | | |
| Cash | | | 1,020,000 | | | | — | | | | 1,020,000 | |
| |
| MSCL | | | | | | | | | |
Cash U.S. Treasury Bills | |
| —
— |
| |
| (5,634,654
10,113,097 | )
| |
| (5,634,654
10,113,097 | )
|
| |
| SOCG | |
| Cash | | | 4,080,000 | | | | — | | | | 4,080,000 | |
| |
The following abbreviations are used for counterparty descriptions:
BANA - Bank of America, NA
BARC - Barclays Capital, Inc.
CITI - Citibank NA
GSCO - Goldman Sachs & Co.
GSIN - Goldman Sachs International
JPMC - J.P. Morgan Chase Bank, NA
JPMS - J.P. Morgan Securities LLC
JPPC - J.P. Morgan Securities plc
MACQ - Macquarie Bank Ltd.
MLIN - Merrill Lynch International
MSCL - Morgan Stanley & Co. LLC
MSCS - Morgan Stanley Capital Services LLC
SOCG - Societe Generale
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
42
| | |
| Consolidated Statements of Assets and Liabilities | | December 31, 2017 |
| | | | | | | | |
| | | AQR
MANAGED
FUTURES
STRATEGY
FUND** | | | AQR
MANAGED
FUTURES
STRATEGY
HV FUND** | |
| ASSETS: | |
| Investments in securities of unaffiliated issuers, at cost | | $ | 10,367,841,785 | | | $ | 777,100,344 | |
| Investments in securities of controlled affiliated issuers, at cost | | | 452,490,389 | | | | — | |
| | | | | | | | | |
| Investments in securities of unaffiliated issuers, at value | | $ | 10,366,364,713 | | | $ | 777,054,083 | |
| Investments in securities of controlled affiliated issuers, at value | | | 452,490,389 | | | | — | |
| Cash | | | 123,489,285 | | | | — | |
| Cash denominated in foreign currencies‡ | | | 12,469,308 | | | | 155,492 | |
| Unrealized appreciation on forward foreign currency exchange contracts | | | 277,983,899 | | | | 26,653,497 | |
| Unrealized appreciation on OTC swaps | | | 25,068,103 | | | | 2,392,301 | |
| Due from broker | | | 71,787,946 | | | | 6,624,091 | |
| Deposits with brokers for futures contracts | | | 202,440,070 | | | | 47,472,479 | |
| Variation margin on futures contracts | | | 12,370,735 | | | | 1,075,119 | |
| Receivables: | | | | | | | | |
Securities sold | | | 2,222,304,867 | | | | 191,564,682 | |
Dividends and interest | | | 1,890,533 | | | | 179,358 | |
Capital shares sold | | | 17,278,541 | | | | 934,867 | |
| Prepaid expenses | | | 273,697 | | | | 69,758 | |
| Total Assets | | | 13,786,212,086 | | | | 1,054,175,727 | |
| LIABILITIES: | |
| Due to custodian | | | — | | | | 992,779 | |
| Due to broker | | | 11,609,300 | | | | 1,207,497 | |
| Unrealized depreciation on forward foreign currency exchange contracts | | | 320,123,428 | | | | 30,749,963 | |
| Unrealized depreciation on OTC swaps | | | 21,172,515 | | | | 2,051,849 | |
| Deposits from brokers for futures contracts | | | 5,462,592 | | | | — | |
| Variation margin on futures contracts | | | 23,528,251 | | | | 2,590,719 | |
| Payables: | | | | | | | | |
Securities purchased | | | 2,222,623,447 | | | | 191,586,591 | |
Accrued investment advisory fees | | | 10,175,057 | | | | 970,280 | |
Accrued distribution fees—Class N | | | 704,175 | | | | 19,430 | |
Capital shares redeemed | | | 42,610,787 | | | | 1,460,189 | |
| Other accrued expenses and liabilities | | | 4,858,846 | | | | 346,560 | |
| Total Liabilities | | | 2,662,868,398 | | | | 231,975,857 | |
| Net Assets | | $ | 11,123,343,688 | | | $ | 822,199,870 | |
| | | | | | | | | |
| NET ASSETS CONSIST OF: | | | | | | | | |
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | | $ | 11,480,062,086 | | | $ | 846,050,375 | |
| Undistributed accumulated net investment income (loss) | | | (27,811,217 | ) | | | (2,877,595 | ) |
| Undistributed accumulated net realized gain (loss) | | | (474,918,789 | ) | | | (35,140,997 | ) |
| Net unrealized appreciation (depreciation) | | | 146,011,608 | | | | 14,168,087 | |
| Net Assets | | $ | 11,123,343,688 | | | $ | 822,199,870 | |
| | | | | | | | | |
| NET ASSETS: | | | | | | | | |
| Class I | | $ | 5,956,726,134 | | | $ | 463,124,253 | |
| Class N | | | 3,325,716,409 | | | | 97,439,984 | |
| Class R6 | | | 1,840,901,145 | | | | 261,635,633 | |
| SHARES OUTSTANDING: | | | | | | | | |
| Class I | | | 645,147,269 | | | | 50,683,732 | |
| Class N | | | 365,313,253 | | | | 10,760,367 | |
| Class R6 | | | 199,171,371 | | | | 28,585,910 | |
| NET ASSET VALUE: | | | | | | | | |
| Class I | | $ | 9.23 | | | $ | 9.14 | |
| Class N | | $ | 9.10 | | | $ | 9.06 | |
| Class R6 | | $ | 9.24 | | | $ | 9.15 | |
| | | | | | | | | |
‡ Cash denominated in foreign currencies at cost | | $ | 12,219,496 | | | $ | 153,079 | |
| | ** | See Note 2 in the Notes to Consolidated Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
43
| | |
| Consolidated Statements of Operations | | December 31, 2017 |
| | | | | | | | |
| | | AQR
MANAGED
FUTURES
STRATEGY
FUND** | | | AQR
MANAGED
FUTURES
STRATEGY
HV FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | |
| INVESTMENT INCOME: | | | | | | | | |
| Dividend income: | | | | | | | | |
Unaffiliated issuers† | | | $12,566,569 | | | | $1,195,065 | |
Controlled affiliated issuers | | | 2,989,411 | | | | — | |
Interest income | | | 84,984,712 | | | | 4,581,515 | |
| Total Income | | | 100,540,692 | | | | 5,776,580 | |
| | |
| EXPENSES: | | | | | | | | |
Investment advisory fees | | | 128,127,315 | | | | 10,582,274 | |
Custody fees | | | 929,883 | | | | 78,716 | |
Administration & accounting fees | | | 3,930,111 | | | | 231,841 | |
Legal fees | | | 338,353 | | | | 21,589 | |
Audit & tax fees | | | 134,415 | | | | 111,834 | |
Shareholder reporting fees | | | 796,512 | | | | 59,027 | |
Transfer agent fees | | | 9,486,610 | | | | 488,035 | |
Trustee fees | | | 338,255 | | | | 25,463 | |
Distribution fees—Class N | | | 8,614,043 | | | | 269,645 | |
Recoupment of waiver | | | — | | | | 36,775 | |
Registration fees | | | 487,338 | | | | 151,185 | |
Pricing fee | | | 204 | | | | 190 | |
Other expenses | | | 411,179 | | | | 26,873 | |
| Total Expenses | | | 153,594,218 | | | | 12,083,447 | |
| | |
| Less fee waivers and/or reimbursements | | | — | | | | (37,506 | ) |
| Net Expenses | | | 153,594,218 | | | | 12,045,941 | |
| Net Investment Income (Loss) | | | (53,053,526 | ) | | | (6,269,361 | ) |
| | |
REALIZED GAIN (LOSS) AND CHANGE IN
UNREALIZED APPRECIATION (DEPRECIATION): | | | | | | | | |
| Net realized gain (loss) from: | | | | | | | | |
Transactions in investment securities of unaffiliated issuers | | | 6,478 | | | | (787 | ) |
Transactions in investment securities of controlled affiliated issuers | | | 15,980 | | | | — | |
Settlement of foreign currency and foreign currency transactions | | | (10,591,862 | ) | | | (986,314 | ) |
Settlement of forward foreign currency contracts | | | (248,162,043 | ) | | | (19,540,660 | ) |
Expiration or closing of futures contracts | | | (99,106,028 | ) | | | (8,402,885 | ) |
Expiration or closing of swap contracts | | | 71,744,933 | | | | 7,438,288 | |
| Net realized gain (loss) | | | (286,092,542 | ) | | | (21,492,358 | ) |
| | |
| Net change in unrealized appreciation (depreciation) on: | | | | | | | | |
Investment securities of unaffiliated issuers | | | (1,700,588 | ) | | | (59,982 | ) |
Foreign currency and foreign currency transactions | | | 307,140 | | | | (8,621 | ) |
Forward foreign currency exchange contracts | | | (4,355,777 | ) | | | (1,634,002 | ) |
Futures contracts | | | 111,847,121 | | | | 12,634,506 | |
Swap contracts | | | 68,971,440 | | | | 5,195,806 | |
| Net change in unrealized appreciation (depreciation) | | | 175,069,336 | | | | 16,127,707 | |
| Net realized gain (loss) and net change in unrealized appreciation (depreciation) | | | (111,023,206 | ) | | | (5,364,651 | ) |
| Net increase (decrease) in net assets resulting from operations | | | $(164,076,732 | ) | | | $(11,634,012 | ) |
| | | | | | | | | |
† Net of foreign taxes withheld of | | | $262,303 | | | | $— | |
| | ** | See Note 2 in the Notes to Consolidated Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
44
| | |
| Consolidated Statements of Changes in Net Assets | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR MANAGED FUTURES
STRATEGY FUND** | | | AQR MANAGED FUTURES
STRATEGY HV FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | |
| OPERATIONS: | |
Net investment income (loss) | | $ | (53,053,526 | ) | | $ | (108,711,030 | ) | | $ | (6,269,361 | ) | | $ | (8,863,343 | ) |
Net realized gain (loss) | | | (286,092,542 | ) | | | (1,162,184,683 | ) | | | (21,492,358 | ) | | | (91,548,998 | ) |
Net change in unrealized appreciation (depreciation) | | | 175,069,336 | | | | 4,300,143 | | | | 16,127,707 | | | | 732,452 | |
Net increase (decrease) in net assets resulting from operations | | | (164,076,732 | ) | | | (1,266,595,570 | ) | | | (11,634,012 | ) | | | (99,679,889 | ) |
| | | | |
| DISTRIBUTIONS TO SHAREHOLDERS: | | | | | | | | | | | | | | | | |
| Net investment income: | | | | | | | | | | | | | | | | |
Class I | | | — | | | | (1,417,038 | ) | | | — | | | | (54,656 | ) |
Class N | | | — | | | | (601,538 | ) | | | — | | | | (16,635 | ) |
Class R6 | | | — | | | | (204,056 | ) | | | — | | | | (27,519 | ) |
Total | | | — | | | | (2,222,632 | ) | | | — | | | | (98,810 | ) |
Total distributions | | | — | | | | (2,222,632 | ) | | | — | | | | (98,810 | ) |
| | | | |
| CAPITAL TRANSACTIONS: | | | | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 2,926,054,708 | | | | 5,721,706,758 | | | | 412,207,460 | | | | 424,967,612 | |
Reinvestment of distributions | | | — | | | | 1,011,220 | | | | — | | | | 48,954 | |
Cost of shares redeemed | | | (4,509,138,890 | ) | | | (5,002,038,879 | ) | | | (355,005,253 | ) | | | (219,830,052 | ) |
Net increase (decrease) from capital transactions | | | (1,583,084,182 | ) | | | 720,679,099 | | | | 57,202,207 | | | | 205,186,514 | |
| CLASS N | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 1,361,742,244 | | | | 3,012,845,656 | | | | 51,469,716 | | | | 61,699,004 | |
Reinvestment of distributions | | | — | | | | 598,562 | | | | — | | | | 16,635 | |
Cost of shares redeemed | | | (1,329,701,417 | ) | | | (953,469,093 | ) | | | (65,942,623 | ) | | | (63,695,839 | ) |
Net increase (decrease) from capital transactions | | | 32,040,827 | | | | 2,059,975,125 | | | | (14,472,907 | ) | | | (1,980,200 | ) |
| CLASS R6 | | | | | | | | | | | | | | | | |
Proceeds from shares sold | | | 1,164,399,126 | | | | 1,441,812,352 | | | | 106,785,812 | | | | 140,321,578 | |
Reinvestment of distributions | | | — | | | | 156,661 | | | | — | | | | 19,372 | |
Cost of shares redeemed | | | (484,097,033 | ) | | | (401,911,427 | ) | | | (47,165,170 | ) | | | (41,812,623 | ) |
Net increase (decrease) from capital transactions | | | 680,302,093 | | | | 1,040,057,586 | | | | 59,620,642 | | | | 98,528,327 | |
| Net increase (decrease) in net assets resulting from capital transactions | | | (870,741,262 | ) | | | 3,820,711,810 | | | | 102,349,942 | | | | 301,734,641 | |
Total increase (decrease) in net assets | | | (1,034,817,994 | ) | | | 2,551,893,608 | | | | 90,715,930 | | | | 201,955,942 | |
| | | | |
| NET ASSETS: | | | | | | | | | | | | | | | | |
Beginning of period | | | 12,158,161,682 | | | | 9,606,268,074 | | | | 731,483,940 | | | | 529,527,998 | |
End of period | | $ | 11,123,343,688 | | | $ | 12,158,161,682 | | | $ | 822,199,870 | | | $ | 731,483,940 | |
| | | | | | | | | | | | | | | | | |
Undistributed accumulated net investment income (loss) | | $ | (27,811,217 | ) | | $ | (96,067,316 | ) | | $ | (2,877,595 | ) | | $ | (7,323,247 | ) |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | (continued on p. 46) |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
45
| | |
| Consolidated Statements of Changes in Net Assets | | December 31, 2017 |
| | | | | | | | | | | | | | | | |
| | | AQR MANAGED FUTURES
STRATEGY FUND** | | | AQR MANAGED FUTURES
STRATEGY HV FUND** | |
| | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2017 | | | FOR THE
YEAR ENDED
DECEMBER 31,
2016 | |
| CHANGES IN SHARES OUTSTANDING: | | | | | | | | | | | | | | | | |
| CLASS I | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 821,325,811 | | | | 763,949,205 | | | | 44,297,366 | | | | 24,165,693 | |
Shares sold | | | 320,666,048 | | | | 563,468,373 | | | | 46,169,310 | | | | 41,604,907 | |
Shares issued on reinvestment of distributions | | | — | | | | 107,750 | | | | — | | | | 5,214 | |
Shares redeemed | | | (496,844,590 | ) | | | (506,199,517 | ) | | | (39,782,944 | ) | | | (21,478,448 | ) |
Shares outstanding, end of period | | | 645,147,269 | | | | 821,325,811 | | | | 50,683,732 | | | | 44,297,366 | |
| CLASS N | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 361,866,517 | | | | 157,339,524 | | | | 12,612,500 | | | | 12,859,668 | |
Shares sold | | | 151,983,418 | | | | 301,424,490 | | | | 5,702,778 | | | | 5,920,614 | |
Shares issued on reinvestment of distributions | | | — | | | | 64,500 | | | | — | | | | 1,783 | |
Shares redeemed | | | (148,536,682 | ) | | | (96,961,997 | ) | | | (7,554,911 | ) | | | (6,169,565 | ) |
Shares outstanding, end of period | | | 365,313,253 | | | | 361,866,517 | | | | 10,760,367 | | | | 12,612,500 | |
| CLASS R6 | | | | | | | | | | | | | | | | |
Shares outstanding, beginning of period | | | 125,447,820 | | | | 23,597,686 | | | | 21,880,192 | | | | 12,494,290 | |
Shares sold | | | 126,885,629 | | | | 142,721,713 | | | | 12,000,063 | | | | 13,425,610 | |
Shares issued on reinvestment of distributions | | | — | | | | 16,684 | | | | — | | | | 2,061 | |
Shares redeemed | | | (53,162,078 | ) | | | (40,888,263 | ) | | | (5,294,345 | ) | | | (4,041,769 | ) |
Shares outstanding, end of period | | | 199,171,371 | | | | 125,447,820 | | | | 28,585,910 | | | | 21,880,192 | |
| | ** | See Note 2 in the Notes to Consolidated Financial Statements for additional information. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
46
[Intentionally Left Blank]
| | |
| Consolidated Financial Highlights | | December 31, 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 MANAGED FUTURES STRATEGY FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $9.32 | | | | (0.03 | ) | | | (0.06 | ) | | | (0.09 | ) | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $10.18 | | | | (0.08 | ) | | | (0.78 | ) | | | (0.86 | ) | | | (0.00 | )5 | | | — | | | | (0.00 | )5 |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $10.63 | | | | (0.12 | ) | | | 0.34 | | | | 0.22 | | | | (0.46 | ) | | | (0.21 | ) | | | (0.67 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.59 | | | | (0.12 | ) | | | 1.13 | | | | 1.01 | | | | (0.44 | ) | | | (0.53 | ) | | | (0.97 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $9.78 | | | | (0.12 | ) | | | 1.04 | | | | 0.92 | | | | — | | | | (0.11 | ) | | | (0.11 | ) |
| AQR MANAGED FUTURES STRATEGY FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $9.21 | | | | (0.06 | ) | | | (0.05 | ) | | | (0.11 | ) | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $10.09 | | | | (0.11 | ) | | | (0.77 | ) | | | (0.88 | ) | | | (0.00 | )5 | | | — | | | | (0.00 | )5 |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $10.54 | | | | (0.15 | ) | | | 0.34 | | | | 0.19 | | | | (0.43 | ) | | | (0.21 | ) | | | (0.64 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.51 | | | | (0.15 | ) | | | 1.11 | | | | 0.96 | | | | (0.40 | ) | | | (0.53 | ) | | | (0.93 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2013 | | | $9.73 | | | | (0.15 | ) | | | 1.04 | | | | 0.89 | | | | — | | | | (0.11 | ) | | | (0.11 | ) |
| AQR MANAGED FUTURES STRATEGY FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $9.32 | | | | (0.02 | ) | | | (0.06 | ) | | | (0.08 | ) | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $10.18 | | | | (0.07 | ) | | | (0.79 | ) | | | (0.86 | ) | | | (0.00 | )5 | | | — | | | | (0.00 | )5 |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $10.62 | | | | (0.11 | ) | | | 0.34 | | | | 0.23 | | | | (0.46 | ) | | | (0.21 | ) | | | (0.67 | ) |
| FOR THE PERIOD 9/02/146-12/31/14 | | | $10.28 | | | | (0.04 | ) | | | 1.36 | | | | 1.32 | | | | (0.45 | ) | | | (0.53 | ) | | | (0.98 | ) |
| AQR MANAGED FUTURES STRATEGY HV FUND CLASS I | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $9.29 | | | | (0.08 | ) | | | (0.07 | ) | | | (0.15 | ) | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $10.70 | | | | (0.13 | ) | | | (1.28 | ) | | | (1.41 | ) | | | (0.00 | )5 | | | — | | | | (0.00 | )5 |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $11.23 | | | | (0.18 | ) | | | 0.46 | | | | 0.28 | | | | (0.51 | ) | | | (0.30 | ) | | | (0.81 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.80 | | | | (0.17 | ) | | | 1.72 | | | | 1.55 | | | | (0.86 | ) | | | (0.26 | ) | | | (1.12 | ) |
| FOR THE PERIOD 7/16/138-12/31/13 | | | $10.00 | | | | (0.08 | ) | | | 0.89 | | | | 0.81 | | | | — | | | | (0.01 | ) | | | (0.01 | ) |
| AQR MANAGED FUTURES STRATEGY HV FUND CLASS N | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $9.23 | | | | (0.10 | ) | | | (0.07 | ) | | | (0.17 | ) | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $10.66 | | | | (0.16 | ) | | | (1.27 | ) | | | (1.43 | ) | | | (0.00 | )5 | | | — | | | | (0.00 | )5 |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $11.21 | | | | (0.21 | ) | | | 0.46 | | | | 0.25 | | | | (0.50 | ) | | | (0.30 | ) | | | (0.80 | ) |
| FOR THE YEAR ENDED DECEMBER 31, 2014 | | | $10.79 | | | | (0.19 | ) | | | 1.71 | | | | 1.52 | | | | (0.84 | ) | | | (0.26 | ) | | | (1.10 | ) |
| FOR THE PERIOD 7/16/138-12/31/13 | | | $10.00 | | | | (0.09 | ) | | | 0.89 | | | | 0.80 | | | | — | | | | (0.01 | ) | | | (0.01 | ) |
| AQR MANAGED FUTURES STRATEGY HV FUND CLASS R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| FOR THE YEAR ENDED DECEMBER 31, 2017 | | | $9.30 | | | | (0.07 | ) | | | (0.08 | ) | | | (0.15 | ) | | | — | | | | — | | | | — | |
| FOR THE YEAR ENDED DECEMBER 31, 2016 | | | $10.70 | | | | (0.13 | ) | | | (1.27 | ) | | | (1.40 | ) | | | (0.00 | )5 | | | — | | | | (0.00 | )5 |
| FOR THE YEAR ENDED DECEMBER 31, 2015 | | | $11.23 | | | | (0.17 | ) | | | 0.46 | | | | 0.29 | | | | (0.52 | ) | | | (0.30 | ) | | | (0.82 | ) |
| FOR THE PERIOD 9/02/146-12/31/14 | | | $10.33 | | | | (0.06 | ) | | | 2.09 | | | | 2.03 | | | | (0.87 | ) | | | (0.26 | ) | | | (1.13 | ) |
| * | 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 | Amount is less than $.005 per share. |
| 6 | Commencement of offering of shares. |
| 7 | Certain expenses incurred by the Fund were not annualized for the period. |
| 8 | Commencement of operations. |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
48
| | |
| Consolidated Financial Highlights | | December 31, 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
Rate | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.23 | | | | (0.97 | )% | | | $5,956,726 | | | | 1.19 | % | | | 1.19 | % | | | 1.19 | % | | | (0.38 | )% | | | 0 | % | | | | |
| | $9.32 | | | | (8.43 | )% | | | $7,654,491 | | | | 1.20 | % | | | 1.20 | % | | | 1.20 | % | | | (0.81 | )% | | | 0 | % | | | | |
| | $10.18 | | | | 2.00 | % | | | $7,778,072 | | | | 1.21 | % | | | 1.21 | % | | | 1.21 | % | | | (1.11 | )% | | | 0 | % | | | | |
| | $10.63 | | | | 9.69 | % | | | $5,633,607 | | | | 1.23 | % | | | 1.23 | % | | | 1.23 | % | | | (1.20 | )% | | | 0 | % | | | | |
| | $10.59 | | | | 9.40 | % | | | $4,506,181 | | | | 1.23 | % | | | 1.23 | % | | | 1.23 | % | | | (1.22 | )% | | | 0 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.10 | | | | (1.19 | )% | | | $3,325,717 | | | | 1.46 | % | | | 1.46 | % | | | 1.46 | % | | | (0.63 | )% | | | 0 | % | | | | |
| | $9.21 | | | | (8.71 | )% | | | $3,334,207 | | | | 1.48 | % | | | 1.48 | % | | | 1.47 | % | | | (1.08 | )% | | | 0 | % | | | | |
| | $10.09 | | | | 1.75 | % | | | $1,588,011 | | | | 1.47 | % | | | 1.47 | % | | | 1.47 | % | | | (1.38 | )% | | | 0 | % | | | | |
| | $10.54 | | | | 9.34 | % | | | $1,310,969 | | | | 1.50 | % | | | 1.50 | % | | | 1.50 | % | | | (1.47 | )% | | | 0 | % | | | | |
| | $10.51 | | | | 9.14 | % | | | $1,408,085 | | | | 1.50 | % | | | 1.50 | % | | | 1.50 | % | | | (1.48 | )% | | | 0 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.24 | | | | (0.86 | )% | | | $1,840,901 | | | | 1.11 | % | | | 1.11 | % | | | 1.11 | % | | | (0.27 | )% | | | 0 | % | | | | |
| | $9.32 | | | | (8.43 | )% | | | $1,169,464 | | | | 1.13 | % | | | 1.13 | % | | | 1.13 | % | | | (0.73 | )% | | | 0 | % | | | | |
| | $10.18 | | | | 2.16 | % | | | $240,185 | | | | 1.13 | % | | | 1.13 | % | | | 1.13 | % | | | (1.01 | )% | | | 0 | % | | | | |
| | $10.62 | | | | 12.99 | % | | | $113 | | | | 1.16 | % | | | 1.15 | % | | | 1.15 | % | | | (1.11 | )% | | | 0 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.14 | | | | (1.61 | )% | | | $463,124 | | | | 1.64 | % | | | 1.64 | % | | | 1.64 | % | | | (0.85 | )% | | | 0 | % | | | | |
| | $9.29 | | | | (13.17 | )% | | | $411,599 | | | | 1.66 | % | | | 1.64 | % | | | 1.64 | % | | | (1.29 | )% | | | 0 | % | | | | |
| | $10.70 | | | | 2.48 | % | | | $258,691 | | | | 1.65 | % | | | 1.61 | % | | | 1.61 | % | | | (1.52 | )% | | | 0 | % | | | | |
| | $11.23 | | | | 14.68 | % | | | $146,261 | | | | 1.76 | %7 | | | 1.65 | % | | | 1.65 | % | | | (1.62 | )% | | | 0 | % | | | | |
| | $10.80 | | | | 8.14 | % | | | $37,078 | | | | 2.51 | %7 | | | 1.68 | % | | | 1.65 | % | | | (1.66 | )% | | | 0 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.06 | | | | (1.84 | )% | | | $97,440 | | | | 1.90 | % | | | 1.90 | % | | | 1.90 | % | | | (1.13 | )% | | | 0 | % | | | | |
| | $9.23 | | | | (13.40 | )% | | | $116,422 | | | | 1.91 | % | | | 1.90 | % | | | 1.90 | % | | | (1.55 | )% | | | 0 | % | | | | |
| | $10.66 | | | | 2.19 | % | | | $137,115 | | | | 1.92 | % | | | 1.89 | % | | | 1.89 | % | | | (1.78 | )% | | | 0 | % | | | | |
| | $11.21 | | | | 14.37 | % | | | $9,367 | | | | 2.12 | %7 | | | 1.90 | % | | | 1.90 | % | | | (1.88 | )% | | | 0 | % | | | | |
| | $10.79 | | | | 8.04 | % | | | $1,644 | | | | 4.03 | %7 | | | 1.93 | % | | | 1.90 | % | | | (1.92 | )% | | | 0 | % | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $9.15 | | | | (1.61 | )% | | | $261,636 | | | | 1.55 | % | | | 1.55 | % | | | 1.55 | % | | | (0.75 | )% | | | 0 | % | | | | |
| | $9.30 | | | | (13.07 | )% | | | $203,463 | | | | 1.57 | % | | | 1.55 | % | | | 1.55 | % | | | (1.20 | )% | | | 0 | % | | | | |
| | $10.70 | | | | 2.54 | % | | | $133,722 | | | | 1.59 | % | | | 1.55 | % | | | 1.55 | % | | | (1.45 | )% | | | 0 | % | | | | |
| | $11.23 | | | | 19.94 | % | | | $45,436 | | | | 1.68 | %7 | | | 1.55 | % | | | 1.55 | % | | | (1.52 | )% | | | 0 | % | | | | |
| | | | |
| | The accompanying notes are an integral part of these financial statements. | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
49
| | |
| Notes to Consolidated Financial Statements | | December 31, 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 December 31, 2017, the Trust consists of thirty-eight active series, two of which are presented in this book (collectively, the “Funds” and each individually a “Fund”): AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund. The remaining active series are reported in separate books. AQR Capital Management, LLC (the “Adviser”) serves as the investment adviser of each Fund.
The investment objective of the AQR Managed Futures Strategy Fund and the AQR Managed Futures Strategy HV Fund is to seek positive absolute returns. Each fund offers Class I, Class N and Class R6 shares.
2. Consolidation of Subsidiaries
The consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets and the Financial Highlights of the AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund (“Consolidated Funds”) include the accounts of AQR Managed Futures Strategy Offshore Fund Ltd., and AQR Managed Futures Strategy HV Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the “Subsidiaries”). All intercompany accounts and transactions have been eliminated in consolidation. Subsequent references to the Funds within the Notes to the Consolidated Financial Statements collectively refer to the Consolidated Funds and their Subsidiaries.
Each consolidated Fund may invest up to 25% of its total assets in its respective Subsidiary, which acts as an investment vehicle in order to affect certain investment strategies consistent with the Funds’ investment objectives and policies. The Funds expect that they will achieve a significant portion of their exposure to commodities and commodities-related investments through investment in the Subsidiaries. Unlike the Funds, the Subsidiaries may invest without limitation in commodities and commodities-related investments.
| | | | | | | | |
| | | SUBSIDIARY NET
ASSETS AT
DECEMBER 31, 2017 | | | % OF TOTAL NET
ASSETS AT
DECEMBER 31, 2017 | |
AQR Managed Futures Strategy Offshore Fund Ltd | | $ | 2,593,817,976 | | | | 23.3 | % |
AQR Managed Futures Strategy HV Offshore Fund Ltd | | | 190,880,730 | | | | 23.2 | % |
3. Significant Accounting Policies
The Funds are investment companies and apply specialized accounting and reporting guidance in conformity with accounting principles generally accepted in the United States of America (“GAAP”).
Use of Estimates: The preparation of the financial statements in conformity with GAAP requires the Adviser to make estimates and assumptions that affect the fair value of investments, the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities, if any, at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates and such differences could be material.
Valuation of Investments: All securities and other investments are recorded at their estimated fair value, as described in Note 5.
Cash: Cash comprises U.S. Dollar and foreign currency deposits held at a bank(s) or custodian bank(s) which may exceed insured limits. The Funds are subject to risk to the extent that the institutions may be unable to fulfill their obligations.
Due to/from Brokers: Due to/from brokers represents cash balances on deposit with, or cash balances owed to, the Funds’ prime brokers and counterparties. The Funds are subject to credit risk should the prime brokers and counterparties be unable to meet their obligations to the Funds.
Foreign Currency Translation: The books and records of the Funds are maintained in U.S. Dollars. The Funds’ assets and liabilities in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate at the valuation date. Transactions denominated in foreign currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of the transaction. The Funds’ income earned and expense incurred in foreign denominated currencies are translated into U.S. Dollars at the prevailing exchange rate on the date of such activity.
The Funds do not isolate that portion of the results of operations arising from changes in the foreign exchange rates on investments and derivatives from the fluctuations that result from changes in the market prices of investments and derivatives held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized gain (loss) from transactions in investment securities and derivatives and net change in unrealized appreciation (depreciation) on investment securities and derivatives on the Statements of Operations.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
50
| | |
| Notes to Consolidated Financial Statements | | December 31, 2017 |
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 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). Realized gains and losses on investment transactions 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. Upon notification from issuers, some of the dividend income received from a real estate investment trust may be redesignated as a reduction of cost of the related investment and/or realized gain. Interest income, including amortization and accretion of premiums and discounts on debt securities, is recognized on the accrual basis. 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.
Federal Income Taxes: Each Fund is treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If so qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders. Accordingly no provision for Federal income tax is necessary.
The Adviser evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Funds are required to analyze all open tax years. Open tax years are those years that are open for examination by the relevant income taxing authority. The Funds have concluded that there is no tax liability/benefit resulting from uncertain income tax positions taken or expected to be taken. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will materially change in the next twelve months. The returns of the Funds for the prior three fiscal years as well as current year, or since inception if shorter, are open for examination. As of December 31, 2017, the Funds had no examinations in progress.
For Federal tax purposes, taxable income for each Consolidated Fund and its Subsidiary are calculated separately. The Subsidiaries are classified as controlled foreign corporations (“CFCs”) under the Code and each CFCs taxable income is included in the calculation of the relevant Consolidated Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Consolidated Funds either in the current period or future periods. Each of the CFCs has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.
Distributions to Shareholders: Distributions to shareholders are recorded on the ex-dividend date. The Funds intend to declare and distribute substantially all of their net investment income and net realized capital gains, if any, at least annually. Income and capital gain distributions will be determined in accordance with federal income tax regulations which may differ from GAAP. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. As a result, income dividends and capital gain distributions declared during a fiscal period may differ significantly from the net investment income (loss) and realized gain (loss) reported on the Funds’ financial statements presented under GAAP.
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
51
| | |
| Notes to Consolidated Financial Statements | | December 31, 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.
4. 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.
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.
Forward Foreign Currency Exchange Contracts: Certain Funds buy and sell forward foreign currency exchange contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. Dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities that a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. The market value of the contract will fluctuate with changes in currency exchange rates. The contract is marked to market daily and the change in market value is recorded as unrealized appreciation or depreciation. When the contract is closed, the Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Funds are unable to enter into a closing position. Risks may exceed amounts recognized on the Statements of Assets and Liabilities. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollars without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Swap Contracts: Certain Funds engage in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions may be privately negotiated in the over-the-counter (“OTC”) market where payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (“centrally cleared swaps”). These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”), in which case all payments are settled with the CCP through the DCM. For centrally cleared swaps, the Schedules of Investments includes the cumulative appreciation (depreciation), while only the current day’s variation margin is reported within the Statements of Assets and Liabilities. For credit default and interest rate contracts, an up-front payment received by a Fund is recorded as a liability and an upfront payment made by a Fund is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Upfront 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) from the expiration or closing of swap contracts in the Statements of Operations. The Funds’ use of swap contracts create additional risks beyond those that would exist if the Funds invested in the underlying positions directly.
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
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| Notes to Consolidated Financial Statements | | December 31, 2017 |
involve the delivery of securities or other underlying assets. If the counterparty to a total return swap contract defaults, a Fund’s risk of loss consists of the net amount of payments the Fund is contractually entitled to receive, if any. The use of long total return swap contracts subject the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities. The use of short total return swaps subject the Funds to 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.
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 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.
5. Investment Valuation and Fair Value Measurements
Investment Valuation Policies: The Net Asset Value (“NAV”) of the Funds’ shares are valued as of the close of regular trading on the New York Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time) on each day that the NYSE is open (each a “Business Day”). The NAV per share of
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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| Notes to Consolidated Financial Statements | | December 31, 2017 |
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. GAAP defines fair value as the price the Funds would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. 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 approaches 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 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. These inputs are summarized in the three broad levels as follows:
Level 1 — Inputs using unadjusted quoted prices in active markets or exchanges for identical assets and liabilities.
Level 2 — Other significant observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, credit risks and default rates) or other market corroborated inputs.
Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair value of investments.
An investment asset’s or liability’s level within the fair value hierarchy is based on the lowest level input, individually or in aggregate, that is significant to fair value measurement. The objective of fair value measurement remains the same even when there is a significant decrease in the volume and level of activity for an asset or liability and regardless of the valuation technique used. The valuation techniques used by the Funds to measure fair value maximize the use of observable inputs and minimize the use of unobservable inputs.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
Valuation Techniques: The following inputs and techniques may be used by the Funds to evaluate how to classify each major category of assets and liabilities into the appropriate fair value hierarchy in accordance with GAAP.
Equity securities, including securities sold short, rights, exchange options, warrants, Exchange-Traded Funds (“ETFs”) and closed-end investment companies, are valued at the last quoted sales prices or official closing prices taken from the primary market, or composite 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
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| Notes to Consolidated Financial Statements | | December 31, 2017 |
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 on such date. Centrally cleared swaps listed or traded on a multilateral trade facility platform, such as a registered exchange, are valued on daily basis using quotations provided by an independent pricing service.
OTC derivatives, including forward contracts and swap contracts, are valued by the Funds on a daily basis using observable inputs, such as quotations provided by an independent pricing service, the counterparty, dealers or brokers, whenever available and considered reliable.
The value of each total return swap contract and total return basket swap contract is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing price on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable.
The U.S. Dollar value of forward foreign currency exchange contracts is determined using current forward currency exchange rates supplied by an independent pricing service.
Credit default swap contracts and interest rate swap contracts are marked to market daily based on quotations as provided by an independent pricing service. The independent pricing services aggregate valuation information from various market participants to create a single reference value for each credit default swap contract and interest rate swap contract.
Generally, a valuation model is used consistently for similar derivative types. 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.
The Funds value the repurchase agreements and reverse repurchase agreements they have entered based on the respective contract amounts, which approximate fair value. As such, repurchase agreements are carried at the amount of cash paid plus accrued interest receivable (or interest payable in periods of increased demand for collateral), and reverse repurchase agreements are carried at the amount of cash received plus accrued interest payable (or interest receivable in periods of increased demand for collateral).
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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| Notes to Consolidated Financial Statements | | December 31, 2017 |
Quantitative Information
The following tables represent each Fund’s valuation inputs as presented on the Schedule of Investments.
| | | | | | | | | | | | | | | | |
| AQR MANAGED FUTURES STRATEGY FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | | | | | | | | | | | | | | | | |
Short-Term Investments | | $ | — | | | $ | 10,818,855,102 | | | $ | — | | | $ | 10,818,855,102 | |
Futures Contracts* | | | 331,524,588 | | | | — | | | | — | | | | 331,524,588 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 277,983,899 | | | | — | | | | 277,983,899 | |
Total Return Swaps Contracts* | | | — | | | | 25,068,103 | | | | — | | | | 25,068,103 | |
| | | | |
Total Assets | | $ | 331,524,588 | | | $ | 11,121,907,104 | | | $ | — | | | $ | 11,453,431,692 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures Contracts* | | $ | (145,821,357 | ) | | $ | — | | | $ | — | | | $ | (145,821,357 | ) |
Forward Foreign Currency Exchange Contracts* | | | — | | | | (320,123,428 | ) | | | — | | | | (320,123,428 | ) |
Total Return Swaps Contracts* | | | — | | | | (21,172,515 | ) | | | — | | | | (21,172,515 | ) |
| | | | |
Total Liabilities | | $ | (145,821,357 | ) | | $ | (341,295,943 | ) | | $ | — | | | $ | (487,117,300 | ) |
| | | | | | | | | | | | | | | | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | LEVEL 1 | | | LEVEL 2 | | | LEVEL 3 | | | TOTALS | |
ASSETS | | | | | | | | | | | | | | | | |
Short-Term Investments | | $ | — | | | $ | 777,054,083 | | | $ | — | | | $ | 777,054,083 | |
Futures Contracts* | | | 32,336,168 | | | | — | | | | — | | | | 32,336,168 | |
Forward Foreign Currency Exchange Contracts* | | | — | | | | 26,653,497 | | | | — | | | | 26,653,497 | |
Total Return Swaps Contracts* | | | — | | | | 2,392,301 | | | | — | | | | 2,392,301 | |
| | | | |
Total Assets | | $ | 32,336,168 | | | $ | 806,099,881 | | | $ | — | | | $ | 838,436,049 | |
| | | | |
LIABILITIES | | | | | | | | | | | | | | | | |
Futures Contracts* | | $ | (14,333,715 | ) | | $ | — | | | $ | — | | | $ | (14,333,715 | ) |
Forward Foreign Currency Exchange Contracts* | | | — | | | | (30,749,963 | ) | | | — | | | | (30,749,963 | ) |
Total Return Swaps Contracts* | | | — | | | | (2,051,849 | ) | | | — | | | | (2,051,849 | ) |
| | | | |
Total Liabilities | | $ | (14,333,715 | ) | | $ | (32,801,812 | ) | | $ | — | | | $ | (47,135,527 | ) |
| | * | Derivative instruments, including futures, total return swap, and forward foreign currency exchange contracts, are reported at the cumulative unrealized appreciation/(depreciation) of the instrument within the Funds’ Schedule of Investments. Only current day’s variation margin is reported within the Statements of Assets and Liabilities for exchange-traded and cleared derivatives. |
The Funds recognize all transfers at the beginning of the reporting period, related unrealized appreciation/(depreciation) is also transferred out at the beginning of the reporting period. Transfers between Level 1 and 2 generally relate to whether the principal market for the security becomes active or inactive. Transfers from Level 2 to Level 3 or from Level 3 to Level 2 are due to a decline or an increase in market activity (e.g., frequency of trades), which resulted in a lack of or increase in available market inputs to determine price. During the year ended December 31, 2017, there were no transfers of investments between levels for any of the Funds. There were no Level 3 securities held at period end.
6. Federal Income Tax Matters
At December 31, 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 Managed Futures Strategy Fund | | $ | 10,787,314,891 | | | $ | 653,266,719 | | | $ | (474,267,218 | ) | | $ | 178,999,501 | |
AQR Managed Futures Strategy HV Fund | | | 773,733,317 | | | | 63,296,572 | | | | (45,729,367 | ) | | | 17,567,205 | |
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to differences in the tax treatment of mark to market gain/loss on regulated futures contracts and forward foreign currency contracts.
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| Notes to Consolidated Financial Statements | | December 31, 2017 |
As of December 31, 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 Managed Futures Strategy Fund | | $ | — | | | $ | (487,469,266 | ) | | $ | 177,125,693 | | | $ | (21,050,792 | ) | | $ | (25,324,033 | ) | | $ | (356,718,398 | ) |
AQR Managed Futures Strategy HV Fund | | | — | | | | (36,576,897 | ) | | | 17,341,463 | | | | (1,952,361 | ) | | | (2,662,710 | ) | | | (23,850,505 | ) |
The differences between book basis and tax basis components of net assets are primarily attributable to mark to market on forward foreign currency exchange contracts, mark to market on regulated futures contracts, loss deferrals from tax straddles, certain late year loss deferrals and capital loss carryforwards.
As of December 31, 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 Managed Futures Strategy Fund | | $ | 121,309,625 | | | $ | 608,504,428 | | | $ | (729,814,053 | ) |
AQR Managed Futures Strategy HV Fund | | | 10,715,013 | | | | 51,027,429 | | | | (61,742,442 | ) |
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, net operating losses, and income from investments in the Cayman subsidiary. The result of operations and net assets were not affected by the reclassifications.
The tax character of distributions paid during the fiscal year-ends December 31, 2017 and December 31, 2016 were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | DECEMBER 31, 2017 | | | DECEMBER 31, 2016 | |
| FUND | | ORDINARY
INCOME | | | CAPITAL
GAINS | | | RETURN OF
CAPITAL | | | ORDINARY
INCOME | | | CAPITAL
GAINS | | | RETURN OF
CAPITAL | |
AQR Managed Futures Strategy Fund | | $ | — | | | $ | — | | | $ | — | | | $ | 2,222,632 | | | $ | — | | | $ | — | |
AQR Managed Futures Strategy HV Fund | | | — | | | | — | | | | — | | | | 98,810 | | | | — | | | | — | |
During the year ended December 31, 2017, the Funds utilized capital loss carryforwards in the amounts listed below:
| | | | | | | | |
| FUND | | SHORT-TERM | | | LONG-TERM | |
AQR Managed Futures Strategy Fund | | $ | 242,613,771 | | | $ | — | |
AQR Managed Futures Strategy HV Fund | | | 24,915,150 | | | | — | |
As of December 31, 2017, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset future capital gains, if any, to the extent provided by the U.S. Treasury regulations:
| | | | | | | | |
| FUND | | SHORT-TERM | | | LONG-TERM | |
AQR Managed Futures Strategy Fund | | $ | 120,619,343 | | | $ | 366,849,923 | |
AQR Managed Futures Strategy HV Fund | | | 6,382,439 | | | | 30,194,458 | |
7. Investment Transactions
During the year ended December 31, 2017, there was no cost of purchases or proceeds from sales of investments (excluding swap contracts, forward foreign currency exchange contracts, futures contracts and short-term investments).
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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| Notes to Consolidated Financial Statements | | December 31, 2017 |
8. Derivative Instruments and Activities
The 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 December 31, 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 Managed Futures Strategy Fund | | $ | 40,695,887 | | | $ | 10,180,439 | | | $ | — | | | $ | 15,400,155 | | | $ | 808,710 | | | $ | — | |
AQR Managed Futures Strategy HV Fund | | | 4,064,753 | | | | 1,038,331 | | | | — | | | | 1,618,797 | | | | 93,452 | | | | — | |
| | | | |
| Foreign Exchange Rate Risk Exposure: | | | | | | | | | | | | | | | | | |
AQR Managed Futures Strategy Fund | | | — | | | | — | | | | 277,983,899 | | | | — | | | | — | | | | 320,123,428 | |
AQR Managed Futures Strategy HV Fund | | | — | | | | — | | | | 26,653,497 | | | | — | | | | — | | | | 30,749,963 | |
| | | | |
| Interest Rate Risk Exposure: | | | | | | | | | | | | | | | | | |
AQR Managed Futures Strategy Fund | | | 76,595,316 | | | | — | | | | — | | | | 62,821,040 | | | | — | | | | — | |
AQR Managed Futures Strategy HV Fund | | | 7,333,105 | | | | — | | | | — | | | | 6,244,147 | | | | — | | | | — | |
| | | | |
| Commodity Risk Exposure: | | | | | | | | | | | | | | | | | |
AQR Managed Futures Strategy Fund | | | 214,233,385 | | | | 14,887,664 | | | | — | | | | 67,600,162 | | | | 20,363,805 | | | | — | |
AQR Managed Futures Strategy HV Fund | | | 20,938,310 | | | | 1,353,970 | | | | — | | | | 6,470,771 | | | | 1,958,397 | | | | — | |
| | | | |
| Netting: | | | | | | | | | | | | | | | | | |
AQR Managed Futures Strategy Fund | | | (145,821,357 | ) | | | (21,172,515 | ) | | | (277,983,899 | ) | | | (145,821,357 | ) | | | (21,172,515 | ) | | | (277,983,899 | ) |
AQR Managed Futures Strategy HV Fund | | | (14,333,715 | ) | | | (2,051,849 | ) | | | (26,653,497 | ) | | | (14,333,715 | ) | | | (2,051,849 | ) | | | (26,653,497 | ) |
| | | | |
| Net Value of Derivative Contracts: | | | | | | | | | | | | | | | | | |
AQR Managed Futures Strategy Fund | | | 185,703,231 | | | | 3,895,588 | | | | — | | | | — | | | | — | | | | 42,139,529 | |
AQR Managed Futures Strategy HV Fund | | | 18,002,453 | | | | 340,452 | | | | — | | | | — | | | | — | | | | 4,096,466 | |
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 December 31, 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 Managed Futures Strategy Fund | | $ | 765,639,917 | | | $ | 264,225,390 | | | $ | — | | | $ | 2,704,380 | | | $ | 1,696,713 | | | $ | — | |
AQR Managed Futures Strategy HV Fund | | | 66,811,677 | | | | 23,326,612 | | | | — | | | | 1,055,723 | | | | 271,794 | | | | — | |
| | | | |
| Foreign Exchange Rate Risk Exposure: | | | | | | | | | | | | | | | | | |
AQR Managed Futures Strategy Fund | | | — | | | | — | | | | (248,162,043 | ) | | | — | | | | — | | | | (4,355,777 | ) |
AQR Managed Futures Strategy HV Fund | | | — | | | | — | | | | (19,540,660 | ) | | | — | | | | — | | | | (1,634,002 | ) |
| | | | |
| Interest Rate Risk Exposure: | | | | | | | | | | | | | | | | | |
AQR Managed Futures Strategy Fund | | | (571,076,149 | ) | | | — | | | | — | | | | (12,135,002 | ) | | | — | | | | — | |
AQR Managed Futures Strategy HV Fund | | | (50,839,115 | ) | | | — | | | | — | | | | (464,426 | ) | | | — | | | | — | |
| | | | |
| Commodity Risk Exposure: | | | | | | | | | | | | | | | | | |
AQR Managed Futures Strategy Fund | | | (293,669,796 | ) | | | (192,480,457 | ) | | | — | | | | 121,277,743 | | | | 67,274,727 | | | | — | |
AQR Managed Futures Strategy HV Fund | | | (24,375,447 | ) | | | (15,888,324 | ) | | | — | | | | 12,043,209 | | | | 4,924,012 | | | | — | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
58
| | |
| Notes to Consolidated Financial Statements | | December 31, 2017 |
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 December 31, 2017:
AQR MANAGED FUTURES STRATEGY FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS AMOUNTS
OF RECOGNIZED
ASSETS
PRESENTED IN THE
STATEMENT OF
ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET
AMOUNTS OF ASSETS | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED | | | NET
AMOUNT | |
| BANA | | Total Return Swap Contracts | | $ | 655,896 | | | $ | (179,921 | ) | | $ | 475,975 | | | $ | — | | | $ | (110,000 | ) | | $ | 365,975 | |
| CITI | | Forward Foreign Currency Exchange Contracts | | | 111,493,770 | | | | (111,493,770 | ) | | | — | | | | — | | | | — | | | | — | |
| GSIN | | Total Return Swap Contracts | | | 3,898,070 | | | | — | | | | 3,898,070 | | | | — | | | | (1,850,000 | ) | | | 2,048,070 | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 166,490,129 | | | | (166,490,129 | ) | | | — | | | | — | | | | — | | | | — | |
| MSCS | | Total Return Swap Contracts | | | 5,626,473 | | | | (628,789 | ) | | | 4,997,684 | | | | — | | | | — | | | | 4,997,684 | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 288,164,338 | | | | (278,792,609 | ) | | | 9,371,729 | | | | — | | | | (1,960,000 | ) | | | 7,411,729 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS AMOUNTS
OF RECOGNIZED
LIABILITIES
PRESENTED IN THE
STATEMENT OF
ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET
AMOUNTS
OF LIABILITIES | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
PLEDGED (a) | | | NET
AMOUNT | |
| BANA | | Total Return Swap Contracts | | $ | 179,921 | | | $ | (179,921 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| CITI | | Forward Foreign Currency Exchange Contracts | | | 129,021,154 | | | | (111,493,770 | ) | | | 17,527,384 | | | | — | | | | (17,527,384 | ) | | | — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 191,102,274 | | | | (166,490,129 | ) | | | 24,612,145 | | | | — | | | | (24,612,145 | ) | | | — | |
| MSCS | | Total Return Swap Contracts | | | 628,789 | | | | (628,789 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 320,932,138 | | | | (278,792,609 | ) | | | 42,139,529 | | | | — | | | | (42,139,529 | ) | | | — | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 498,591,221. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
59
| | |
| Notes to Consolidated Financial Statements | | December 31, 2017 |
AQR MANAGED FUTURES STRATEGY OFFSHORE FUND LTD.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS AMOUNTS
OF RECOGNIZED
ASSETS
PRESENTED IN THE
STATEMENT OF
ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET
AMOUNTS
OF ASSETS | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED (a) | | | NET
AMOUNT | |
| CITI | | Total Return Swap Contracts | | $ | 5,494,024 | | | $ | (2,026,898 | ) | | $ | 3,467,126 | | | $ | — | | | $ | (3,467,126 | ) | | $ | — | |
| GSIN | | Total Return Swap Contracts | | | 3,207,416 | | | | (866,109 | ) | | | 2,341,307 | | | | — | | | | — | | | | 2,341,307 | |
| MACQ | | Total Return Swap Contracts | | | 1,806,207 | | | | (315,548 | ) | | | 1,490,659 | | | | — | | | | — | | | | 1,490,659 | |
| MLIN | | Total Return Swap Contracts | | | 2,305,998 | | | | (2,117,324 | ) | | | 188,674 | | | | — | | | | — | | | | 188,674 | |
| SOCG | | Total Return Swap Contracts | | | 2,074,019 | | | | (2,074,019 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 14,887,664 | | | | (7,399,898 | ) | | | 7,487,766 | | | | — | | | | (3,467,126 | ) | | | 4,020,640 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS AMOUNTS
OF RECOGNIZED
LIABILITIES
PRESENTED IN THE
STATEMENT OF
ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET
AMOUNTS
OF LIABILITIES | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
PLEDGED (b) | | | NET
AMOUNT | |
| CITI | | Total Return Swap Contracts | | $ | 2,026,898 | | | $ | (2,026,898 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| GSIN | | Total Return Swap Contracts | | | 866,109 | | | | (866,109 | ) | | | — | | | | — | | | | — | | | | — | |
| MACQ | | Total Return Swap Contracts | | | 315,548 | | | | (315,548 | ) | | | — | | | | — | | | | — | | | | — | |
| MLIN | | Total Return Swap Contracts | | | 2,117,324 | | | | (2,117,324 | ) | | | — | | | | — | | | | — | | | | — | |
| SOCG | | Total Return Swap Contracts | | | 15,037,926 | | | | (2,074,019 | ) | | | 12,963,907 | | | | — | | | | (12,963,907 | ) | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 20,363,805 | | | | (7,399,898 | ) | | | 12,963,907 | | | | — | | | | (12,963,907 | ) | | | — | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 32,874. |
| (b) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 82,648,402. |
AQR MANAGED FUTURES STRATEGY HV FUND
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS AMOUNTS
OF RECOGNIZED
ASSETS
PRESENTED IN THE
STATEMENT OF
ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET
AMOUNTS
OF ASSETS | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED (a) | | | NET
AMOUNT | |
| BANA | | Total Return Swap Contracts | | $ | 411,064 | | | $ | (93,452 | ) | | $ | 317,612 | | | $ | — | | | $ | (317,612 | ) | | $ | — | |
| CITI | | Forward Foreign Currency Exchange Contracts | | | 10,698,103 | | | | (10,698,103 | ) | | | — | | | | — | | | | — | | | | — | |
| GSIN | | Total Return Swap Contracts | | | 627,267 | | | | — | | | | 627,267 | | | | — | | | | (320,000 | ) | | | 307,267 | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 15,955,394 | | | | (15,955,394 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 27,691,828 | | | | (26,746,949 | ) | | | 944,879 | | | | — | | | | (637,612 | ) | | | 307,267 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
60
| | |
| Notes to Consolidated Financial Statements | | December 31, 2017 |
AQR MANAGED FUTURES STRATEGY HV 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 (b) | | | NET
AMOUNT | |
| BANA | | Total Return Swap Contracts | | $ | 93,452 | | | $ | (93,452 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| CITI | | Forward Foreign Currency Exchange Contracts | | | 12,364,307 | | | | (10,698,103 | ) | | | 1,666,204 | | | | — | | | | (1,666,204 | ) | | | — | |
| JPMC | | Forward Foreign Currency Exchange Contracts | | | 18,385,656 | | | | (15,955,394 | ) | | | 2,430,262 | | | | — | | | | (2,430,262 | ) | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 30,843,415 | | | | (26,746,949 | ) | | | 4,096,466 | | | | — | | | | (4,096,466 | ) | | | — | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 2,388. |
| (b) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 38,036,458. |
AQR MANAGED FUTURES STRATEGY HV OFFSHORE FUND LTD.
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS AMOUNTS
OF RECOGNIZED
ASSETS
PRESENTED IN THE
STATEMENT OF
ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET
AMOUNTS OF ASSETS | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
RECEIVED (a) | | | NET
AMOUNT | |
| CITI | | Total Return Swap Contracts | | $ | 632,568 | | | $ | (182,129 | ) | | $ | 450,439 | | | $ | — | | | $ | (450,439 | ) | | $ | — | |
| GSIN | | Total Return Swap Contracts | | | 309,950 | | | | (83,038 | ) | | | 226,912 | | | | — | | | | — | | | | 226,912 | |
| MACQ | | Total Return Swap Contracts | | | 180,564 | | | | (38,003 | ) | | | 142,561 | | | | — | | | | — | | | | 142,561 | |
| SOCG | | Total Return Swap Contracts | | | 230,888 | | | | (230,888 | ) | | | — | | | | — | | | | — | | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 1,353,970 | | | | (534,058 | ) | | | 819,912 | | | | — | | | | (450,439 | ) | | | 369,473 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | GROSS AMOUNTS NOT OFFSET IN THE
STATEMENT OF ASSETS & LIABILITIES | | | | |
| COUNTERPARTY | | INVESTMENT TYPE | | GROSS AMOUNTS
OF RECOGNIZED
LIABILITIES
PRESENTED IN THE
STATEMENT OF
ASSETS &
LIABILITIES | | | GROSS
AMOUNTS
OFFSET | | | NET
AMOUNTS
OF LIABILITIES | | | FINANCIAL
INSTRUMENTS | | | COLLATERAL
PLEDGED (b) | | | NET
AMOUNT | |
| CITI | | Total Return Swap Contracts | | $ | 182,129 | | | $ | (182,129 | ) | | $ | — | | | $ | — | | | $ | — | | | $ | — | |
| GSIN | | Total Return Swap Contracts | | | 83,038 | | | | (83,038 | ) | | | — | | | | — | | | | — | | | | — | |
| MACQ | | Total Return Swap Contracts | | | 38,003 | | | | (38,003 | ) | | | — | | | | — | | | | — | | | | — | |
| SOCG | | Total Return Swap Contracts | | | 1,655,227 | | | | (230,888 | ) | | | 1,424,339 | | | | — | | | | (1,424,339 | ) | | | — | |
| Total financial instruments subject to a master netting arrangement or similar arrangement | | | 1,958,397 | | | | (534,058 | ) | | | 1,424,339 | | | | — | | | | (1,424,339 | ) | | | — | |
| (a) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $ 59,561. |
| (b) | In accordance with GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $ 7,841,841. |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
61
| | |
| Notes to Consolidated Financial Statements | | December 31, 2017 |
For the year ended December 31, 2017, the quarterly average notional values of the derivatives held by the Funds were as follows:
Derivatives Volume Disclosure*
| | | | | | | | |
| | | AQR
MANAGED
FUTURES
STRATEGY
FUND | | | AQR
MANAGED
FUTURES
STRATEGY
HV FUND | |
| Futures Contracts: | | | | | | | | |
| Average Notional Balance—Long | | | 16,143,685,945 | | | | 1,475,973,337 | |
| Average Notional Balance—Short | | | 40,685,439,329 | | | | 3,741,934,223 | |
| Ending Notional Balance—Long | | | 20,619,920,461 | | | | 2,069,989,721 | |
| Ending Notional Balance—Short | | | 44,450,295,638 | | | | 4,562,135,352 | |
| Forward Foreign Currency Exchange Contracts: | |
| Average Settlement Value—Purchased | | | 16,899,112,905 | | | | 1,461,945,144 | |
| Average Settlement Value—Sold | | | 14,700,305,257 | | | | 1,257,622,696 | |
| Ending Value— Purchased | | | 16,844,990,940 | | | | 1,621,129,238 | |
| Ending Value—Sold | | | 14,939,912,718 | | | | 1,431,109,601 | |
| Total Return Swaps: | |
| Average Notional Balance—Long | | | 2,332,125,912 | | | | 204,234,119 | |
| Average Notional Balance—Short | | | 1,262,342,080 | | | | 107,426,154 | |
| Ending Notional Balance—Long | | | 1,640,162,091 | | | | 164,121,575 | |
| Ending Notional Balance—Short | | | 1,096,950,921 | | | | 108,056,591 | |
| * | Notional values as of each quarter end are used to calculate the average represented. |
9. Investment Advisory and Other Agreements
The Adviser serves as the investment adviser to each of the Funds pursuant to the Third Amended and Restated Investment Management Agreement, dated January 29, 2017 as amended, entered into by the Trust, on behalf of the Funds (the Advisory Agreement”). Under the Advisory Agreement, the Adviser furnishes a continuous investment program for each Fund’s portfolio, makes day-to-day investment decisions for the Funds, and manages the Funds’ investments in accordance with the stated policies of each Fund. The Adviser is also responsible for selecting brokers and dealers to execute purchase and sale orders for the portfolio transactions of each Fund, subject to its obligation to seek best execution, and also provides certain other administrative services to each Fund. The Adviser provides persons satisfactory to the Funds’ Board to serve as officers of the Funds.
Pursuant to the Advisory Agreement, the Funds currently pay the Investment Advisory fee calculated on the average daily net assets for each Fund, in the annual ratios below:
| | | | |
| FUND | | RATIO | |
AQR Managed Futures Strategy Fund | | | 1.05 | % |
AQR Managed Futures Strategy HV Fund | | | 1.45 | |
The Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement (“Fee Waiver Agreement”) whereby the Adviser has agreed to waive its fee and/or reimburse each Fund at least through April 30, 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 (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:
| | | | | | | | | | | | |
| FUND | | CLASS I | | | CLASS N | | | CLASS R6 | |
AQR Managed Futures Strategy Fund | | | 1.25 | % | | | 1.50 | % | | | 1.15 | % |
AQR Managed Futures Strategy HV Fund | | | 1.65 | | | | 1.90 | | | | 1.55 | |
For the year ended December 31, 2017 the Funds’ Adviser waived fees and/or reimbursed expenses for each of the Funds as follows:
| | | | | | | | | | | | |
| FUND | | INVESTMENT ADVISORY
FEES WAIVED | | | EXPENSE
REIMBURSEMENTS | | | TOTAL | |
AQR Managed Futures Strategy HV Fund | | $ | 37,506 | | | $ | — | | | $ | 37,506 | |
| | | | | | | | | | | | | | | | |
| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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62
| | |
| Notes to Consolidated Financial Statements | | December 31, 2017 |
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.
For the year ended December 31, 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 December 31, 2017 are as follows:
| | | | | | | | | | | | | | | | | | | | |
| | | FEES WAIVED/
REIMBURSED
FOR THE YEAR ENDED
DECEMBER 31,
2017 | | | TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
DECEMBER 31,
2017 | | | POTENTIAL RECOUPMENT
AMOUNTS EXPIRING | |
| | | | | 2018 | | | 2019 | | | 2020 | |
| | | | | |
| AQR MANAGED FUTURES STRATEGY HV FUND | | | | | | | | | | | | | | | | | | | | |
Class I | | $ | 20,301 | | | $ | 152,831 | | | $ | 73,144 | | | $ | 59,386 | | | $ | 20,301 | |
Class N | | | 6,289 | | | | 41,783 | | | | 16,099 | | | | 19,395 | | | | 6,289 | |
Class R6 | | | 10,916 | | | | 59,329 | | | | 19,842 | | | | 28,571 | | | | 10,916 | |
| | | | | |
| Totals | | $ | 37,506 | | | $ | 253,943 | | | $ | 109,085 | | | $ | 107,352 | | | $ | 37,506 | |
During the year ended December 31, 2017, the Funds recouped amounts as follows:
| | | | | | | | | | | | |
| FUND | | CLASS I | | | CLASS N | | | CLASS R6 | |
AQR Managed Futures Strategy HV Fund | | $ | 20,301 | | | $ | 5,558 | | | $ | 10,916 | |
JPMorgan Chase Bank, N.A., serves as the Funds’ Administrator, Accounting Agent and Custodian.
ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.
10. Distribution Plan
The Trust has adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the Class N shares of the Funds. The Plan allows for the payment of services related to the distribution and servicing of these shares at a rate of up to 0.25% per annum of the average daily net asset value of the Class N shares of the Funds.
11. Principal Risks and Concentrations
In the normal course of business the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). A Fund’s investments in financial derivatives and other financial instruments may expose the Fund to various elements of market risks which include interest rate, foreign currency, equity and commodity risks.
Interest rate risk is the risk that fixed income securities will decline in value because of changes in interest rates. Convertible securities and nonconvertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income-producing securities in the Funds’ portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of slower than expected principal payments (extension risk).
Currency risk arises from the possibility that fluctuations in foreign exchange rates will affect the value of cash balances held in foreign currencies and non-U.S. denominated financial instruments. In addition, the Funds’ use of forward foreign currency exchange contracts may expose them to the risk that the value of the foreign currency changes unfavorably relative to the U.S. Dollar. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons.
The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, may decline due to general market conditions which are not specifically related to a particular company. They may also decline due to factors which affect a particular industry or industries. The Funds may invest in illiquid investments and may experience difficulty in selling those investments in a timely manner at the price that it believes the investments are worth. Prices may fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. This volatility may cause
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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63
| | |
| Notes to Consolidated Financial Statements | | December 31, 2017 |
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.
12. 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 available is in the
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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64
| | |
| Notes to Consolidated Financial Statements | | December 31, 2017 |
amount of $300,000,000, prior to February 24, 2017 the line of credit available was $285,000,000 at substantially similar terms. On February 16, 2018 the Board of Trustees approved the amended and restated line of credit, effective February 23, 2018 up to $350,000,000 at substantially similar terms. The Funds did not have any borrowings for the year ended December 31, 2017.
13. Principal Ownership
As of December 31, 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
ACCOUNTS | | | TOTAL
PERCENTAGE
INTEREST
HELD | |
AQR Managed Futures Strategy Fund | | | 7 | | | | 78.04 | % |
AQR Managed Futures Strat HV Fund | | | 5 | | | | 84.07 | % |
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
14. 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.
In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”) No. 2017-08, Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). ASU 2017-08 updates the accounting standards to shorten the amortization period for the premium on certain purchased callable debt securities to the earliest call date. The update applies to securities with explicit, noncontingent call features that are callable at fixed prices and on preset dates. The Funds are required to apply ASU 2017-08 for fiscal years beginning after December 15, 2018 and interim periods within those fiscal years. Management is currently evaluating the impact of ASU 2017-08.
15. 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.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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65
|
| Report of Independent Registered Public Accounting Firm |
To the Board of Trustees of AQR Funds and Shareholders of AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund
Opinions on the Consolidated Financial Statements
We have audited the accompanying consolidated statements of assets and liabilities, including the consolidated schedules of investments, of AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund and their subsidiaries (two of the funds constituting the AQR Funds, hereafter collectively referred to as the “Funds”) as of December 31, 2017, the related consolidated statements of operations for the year ended December 31, 2017, the consolidated statements of changes in net assets for each of the two years in the period ended December 31, 2017, including the related notes, and the consolidated financial highlights for each of the periods indicated therein (collectively referred to as the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 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 ended December 31, 2017 and each of the consolidated financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These consolidated financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ consolidated financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these consolidated financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our procedures included confirmation of securities owned as of December 31, 2017 by correspondence with the custodians, transfer agents, and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
New York, New York
February 23, 2018
We have served as the auditor of one or more investment companies in AQR Funds since 2008.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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66
|
| 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 12/31/17” 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.
| | | | | | | | | | | | | | | | |
| | | BEGINNING
ACCOUNT
DATE
VALUE | | | ENDING
ACCOUNT
VALUE
12/31/17 | | | ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD | | | EXPENSES
PAID FOR THE
PERIOD
ENDING
12/31/17 | |
| | | | |
| AQR Managed Futures Strategy Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,048.90 | | | | 1.18 | % | | | $6.09 | |
Hypothetical Return | | | $1,000.00 | | | | $1,019.26 | | | | 1.18 | % | | | $6.01 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,047.20 | | | | 1.46 | % | | | $7.53 | |
Hypothetical Return | | | $1,000.00 | | | | $1,017.85 | | | | 1.46 | % | | | $7.43 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,048.80 | | | | 1.11 | % | | | $5.73 | |
Hypothetical Return | | | $1,000.00 | | | | $1,019.61 | | | | 1.11 | % | | | $5.65 | |
| | | | |
| AQR Managed Futures Strategy HV Fund | | | | | | | | | | | | | | | | |
| | | | |
| Class I | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,070.30 | | | | 1.63 | % | | | $8.51 | |
Hypothetical Return | | | $1,000.00 | | | | $1,016.99 | | | | 1.63 | % | | | $8.29 | |
| | | | |
| Class N | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,069.70 | | | | 1.90 | % | | | $9.91 | |
Hypothetical Return | | | $1,000.00 | | | | $1,015.63 | | | | 1.90 | % | | | $9.65 | |
| | | | |
| Class R6 | | | | | | | | | | | | | | | | |
Actual Return | | | $1,000.00 | | | | $1,070.20 | | | | 1.55 | % | | | $8.09 | |
Hypothetical Return | | | $1,000.00 | | | | $1,017.39 | | | | 1.55 | % | | | $7.88 | |
Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 184/365 (to reflect the one-half year period unless stated otherwise).
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
67
| | |
| Trustees and Officers (Unaudited) | | December 31, 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) (2009-2010) (financial services) | | | 49 | | | Janus Capital Group (2008-2016); ETF Securities (2010-2013) |
| | | | |
| L. Joe Moravy, M.B.A., CPA, 1950 | | Trustee, since 2008 | | Independent Consultant (2014-2016); Managing Director, Finance Scholars Group (2010-2014) (consulting) | | | 49 | | | 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 (2008-2012) (insurance) | | | 49 | | | 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) | | | 49 | | | None |
| | | | |
| Brian Posner, M.B.A., 1961 | | Trustee, since 2011 | | President, Point Rider Group LLC (since 2008) (consulting) | | | 49 | | | Biogen Inc. (since 2008); Bioverativ Inc. (since 2017); Arch Capital Group (since 2010); BG Medicine (2012- 2015) |
| | | | |
| 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) | | | 49 | | | 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) | | | 49 | | | None |
| | | | |
| Marco Hanig, Ph.D., 1958 | | Trustee, since 2014; Chief Executive Officer, since 2009; President, since 2008 | | Principal, AQR Capital Management, LLC (since 2008) | | | 49 | | | 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 | | | | | | December 2017 | | |
| | | | | | | | | | |
68
| | |
| Trustees and Officers (Unaudited) | | December 31, 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. |
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
| | | | | | | | | | |
69
| | |
| Board Approval of Investment Advisory Agreements (Unaudited) |
The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on November 16-17, 2017 to consider the continuation of the Third Amended and Restated Investment Management Agreement between AQR Capital Management, LLC (“AQR” or the “Adviser”) and the AQR Funds on behalf of the AQR Managed Futures Strategy Fund and AQR Managed Futures Strategy HV Fund (the “Management Agreement”). Each of the aforementioned series of the Trust may be referred to herein as a “Fund” and collectively, the “Funds.”
In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), held a separate telephonic meeting on November 11, 2017 with independent legal counsel and representatives of AQR to review the materials provided and the relevant legal considerations (together with the in-person meeting held on November 16-17, 2017, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed and considered materials furnished by AQR relevant to the Board’s consideration of whether to approve the continuation of the Management Agreement. These materials included: (i) memoranda and materials provided by AQR describing the personnel and services provided to the Funds; (ii) performance information for the Funds relevant to the consideration of the Management Agreement; (iii) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ fees and expenses and performance relative to peers; (iv) a discussion of the financial information and profitability of AQR; and (v) a discussion of the compliance program of AQR and the regulatory exam history of AQR.
At the in-person meeting held on November 16-17, 2017, the Board, including the Independent Board Members, unanimously approved the continuation of the Management Agreement for an additional one-year period for each Fund. In approving the continuation of the Management Agreement for a Fund, the Board considered all factors it believed to be relevant with respect to the Fund, including, among other factors: (a) the nature, extent and quality of the services provided by the Adviser; (b) the investment performance of the Fund and the Adviser’s portfolio management; (c) the management fee and the cost of the services and profits to be realized by the Adviser from the relationship with the Funds and the fund complex; (d) economies of scale; and (e) other factors.
The Board also considered other matters it deemed important to the approval process, such as services related to the valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weightings to the various items considered.
In considering the renewal of the Management Agreement for each Fund, the Board did not view the Management Agreement as creating third-party beneficiary rights in shareholders to enforce the terms of the Management Agreement against the Adviser.
The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Management Agreement:
The Nature, Extent and Quality of the Services Provided by the Adviser. The Board Members reviewed the services that the Adviser provides to the Funds under the Management Agreement, including certain administrative services. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Funds’ stated investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services provided to the Funds, the Board Members took into account discussions they had with representatives of the Adviser regarding the management of each Fund’s investments in accordance with the Funds’ stated investment objectives and policies and the types of transactions that are entered into on behalf of the Funds. During these discussions, the Board Members asked questions of, and received answers from, representatives of the Adviser regarding the formulation and implementation of the Funds’ investment strategies, their efficacy and potential risks.
In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR also provides shareholder and administrative services, provides oversight of Fund accounting, provides marketing services, provides risk management, provides compliance oversight, and provides assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board Members reviewed the compliance, shareholder and administrative services provided to the Funds by AQR under the Management Agreement. The Board Members recognized the enterprise risk involved in providing services to the Funds over time.
Finally, the Independent Board Members had an opportunity to meet outside the presence of Fund management in executive session separately with independent legal counsel to discuss and consider the Management Agreement. Based on the presentations and materials at the Meetings, the Board concluded that the services provided to the Funds by AQR pursuant to the Management Agreement were of a high quality and benefit the Funds.
Investment Performance of the Funds and the Adviser’s Portfolio Management. The Board considered the investment performance of each Fund. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated objectives and the Adviser’s efforts to achieve such goals as well as the performance of the Funds relative to funds identified by Morningstar as their peers. The Board was cognizant of the fact that Fund performance was challenged over the two-year period ended June 30, 2017 in comparison to Morningstar peers. The Board considered that Morningstar comparisons may be of limited use due to the differences between the way the Funds are managed from other funds in the Morningstar managed futures category and peer group, noting that underperformance in relation to Morningstar peers may be due to differences in a Fund’s investment parameters compared to its peer funds, including risk limits, volatility targets, and each Fund’s investment universe. Finally, the use of drawdown control and internal risk protections may affect a Fund’s performance in relation to its peers. The Board also considered the Adviser’s performance in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds. Based on these factors, the Board Members determined that the performance of each Fund is satisfactory in light of its stated objectives and strategies.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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| Board Approval of Investment Advisory Agreements (Unaudited) |
The Management Fee and the Cost of the Services and Profits Realized by the Adviser from the Relationship with the Funds. The Board, including the Independent Board Members, received and reviewed information regarding the management fees paid by the Funds to the Adviser pursuant to the Management Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services provided to the Funds.
To assist in this analysis, the Board received a report independently prepared by Morningstar (the “Morningstar Report”). The Morningstar Report showed comparative fee information for each Fund’s respective Morningstar category, including expense comparisons of contractual investment management fees and actual net expenses. The Board considered that (i) the AQR Managed Futures Strategy Fund’s management fee and net expense ratio were below the Morningstar category and peer group medians; and (ii) the management fee and net expense ratio for the AQR Managed Futures Strategy HV Fund, which is managed with a higher volatility target, were in line with the Morningstar category and peer group medians. The Board also reviewed information regarding the fees the Adviser charges for other funds and accounts managed by the Adviser, including sub-advised mutual funds, with similar investment strategies to the Funds. The Board noted the greater services provided by the Adviser to the Funds in contrast to the limited role of the Adviser when it sub-advises third party mutual funds.
The Board also received and reviewed information regarding the profitability of the Adviser with respect to Fund-related activities. The Adviser provided the Board Members a detailed description of the methodology and inputs used to determine profitability. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Adviser, the types of funds managed, taxes, expense allocations and business mix.
The Board reviewed the Adviser’s unaudited financial information. The purpose of the review was to help the Independent Board Members determine whether the firm has the necessary resources to continue to provide high quality services to the Funds and attract and retain high quality employees.
Based on their review of the materials presented at the Meeting and discussions of these materials, the Board concluded that the management fees under the Management Agreement are reasonable and the Adviser’s profitability was not excessive.
Economies of Scale. The Adviser provided the Board with information concerning the extent to which economies of scale were realized as the Funds grew and whether fee levels were reflective of such economies of scale. To show that economies are being shared, the Adviser presented information regarding each Fund’s management fees relative to comparable funds of similar and/or larger sizes, showing that management fees were set at a competitive level. It also presented Morningstar data comparing the Funds’ management fees at hypothetical higher asset levels in relation to peers, some of which have breakpoints. That comparison supported the competitiveness of the Funds’ management fees without breakpoints. The Board recognized that economies were also being shared through the expense limitation agreements for the Funds. The Board noted that, under the Management Agreement, neither of the Funds have breakpoints in their management fees that would allow investors to benefit directly in the form of lower fees as fund assets grew. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit each Fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations.
Other Factors. The Board also took into account other ancillary or “fall-out” benefits that the Adviser or its affiliates may derive from its relationship with the Funds, both tangible and intangible. The Board also received information regarding the Adviser’s brokerage and soft dollar practices, noting that the Adviser does not presently intend to make use of soft dollars to acquire third-party research. The Board considered that the Adviser is responsible for decisions to buy and sell securities for the Funds, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firm’s various advisory clients.
Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of investment management agreements. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the Independent Board Members, concluded that the management fee rates under the Management Agreement are reasonable in relation to the services provided by the Adviser to the Funds, as well as the costs incurred and benefits to be gained by the Adviser in providing such services, including the investment advisory and administrative components. The Board also found the investment management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds. As a result, all of the Board Members, including the Independent Board Members voting separately, approved the continuation of the Management Agreement with respect to each Fund. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.
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| | AQR Funds | | | | | | Annual Report | | | | | | December 2017 | | |
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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, December 31, 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 13 (a)(1). |
| c). | There has been no substantive amendments to the Registrant’s Code of Ethics during the fiscal year ended December 31, 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. Messrs. L. Joe Moravy and Brian 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 years ended December 31, 2016 and December 31, 2017 were:
| | | | |
| | | 2016 | | 2017 |
Audit Fees (a) | | $1,334,337 | | $1,336,375 |
Audit Related Fees (b) | | $5,500 | | $8,000 |
Tax Fees (c) | | $315,253 | | $336,501 |
All Other Fees (d) | | $90,000 | | $450 |
Total: | | $1,745,090 | | $1,681,326 |
| (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 December 31, 2016 and December 31, 2017 annual financial statements that are not reported under “Audit Fees” above. The audit related services provided by PricewaterhouseCoopers LLP for the year-ended December 31, 2016 and December 31, 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 December 31, 2016 and December 31, 2017: $91,800 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 A. Zurack, are members of the 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 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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
Not applicable.
Item 13. 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.
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AQR Funds | | |
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/s/ Marco Hanig ------------------------------------ | | |
| |
Marco Hanig, | | |
Principal Executive Officer | | |
March 2, 2018 | | |
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.
| | |
/s/ Marco Hanig ------------------------------------ | | |
| |
Marco Hanig, | | |
Principal Executive Officer | | |
March 2, 2018 | | |
| |
/s/ Heather Bonner ------------------------------------ | | |
| |
Heather Bonner, | | |
Principal Financial Officer | | |
March 2, 2018 | | |
