AQR Risk Parity II MV Fund

Fund Profile

Fund profile

Tickers

QRMIX, QRMNX, QRMRX

Fund manager

AQR Funds

Total assets

$52.16 mm

Liabilities

$203.65 k

Net assets

$51.95 mm

Number of holdings

233.00

Top 200 of 233 Holdings

As of Sep 2021

Security	$Holding	Balance	% of Fund	Category	Position	Country
Limited Purpose Cash Investment Fund	17.06 mm	17.06 mm shares	32.83	Short-term investment vehicle	Long	USA
U.S. Treasury Bills	3.08 mm	3.08 mm principal	5.92	Short-term investment vehicle	Long	USA
Federal Republic of Germany	2.72 mm	1.76 mm principal	5.24	Debt	Long	Germany
U.S. Treasury Inflation Linked Notes	2.07 mm	1.80 mm principal	3.99	Debt	Long	USA
U.S. Treasury Bills	2.00 mm	2.00 mm principal	3.85	Short-term investment vehicle	Long	USA
U.S. Treasury Inflation Linked Notes	2.00 mm	1.70 mm principal	3.84	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	1.66 mm	1.40 mm principal	3.20	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	1.63 mm	1.40 mm principal	3.14	Debt	Long	USA
U.S. Treasury Bills	1.62 mm	1.62 mm principal	3.11	Short-term investment vehicle	Long	USA
U.S. Treasury Inflation Linked Notes	1.50 mm	1.20 mm principal	2.89	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	1.37 mm	1.10 mm principal	2.64	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	1.24 mm	1.00 mm principal	2.39	Debt	Long	USA
U.S. Treasury Inflation Linked Notes	1.24 mm	1.00 mm principal	2.39	Debt	Long	USA
United Kingdom Gilt Inflation Linked	1.15 mm	400.00 k principal	2.22	Debt	Long	UK
French Republic	919.85 k	600.00 k principal	1.77	Debt	Long	France
U.S. Treasury Inflation Linked Notes	910.77 k	800.00 k principal	1.75	Debt	Long	USA
U.S. Treasury Bills	737.80 k	738.00 k principal	1.42	Short-term investment vehicle	Long	USA
United Kingdom Gilt Inflation Linked	697.76 k	320.00 k principal	1.34	Debt	Long	UK
French Republic	659.87 k	400.00 k principal	1.27	Debt	Long	France
Goldman Sachs Financial Square Funds - Treasury Instruments Fund	568.81 k	568.81 k shares	1.09	Short-term investment vehicle	Long	USA
United Kingdom Gilt Inflation Linked	550.59 k	300.00 k principal	1.06	Debt	Long	UK
French Republic	546.31 k	400.00 k principal	1.05	Debt	Long	France
U.S. Treasury Bills	444.95 k	445.00 k principal	0.86	Short-term investment vehicle	Long	USA
French Republic	412.52 k	300.00 k principal	0.79	Debt	Long	France
U.S. Treasury Bills	363.97 k	364.00 k principal	0.70	Short-term investment vehicle	Long	USA
U.S. Treasury Bills	279.94 k	280.00 k principal	0.54	Short-term investment vehicle	Long	USA
French Republic	261.16 k	200.00 k principal	0.50	Debt	Long	France
U.S. Treasury Bills	255.98 k	256.00 k principal	0.49	Short-term investment vehicle	Long	USA
U.S. Treasury Bills	238.95 k	239.00 k principal	0.46	Short-term investment vehicle	Long	USA
U.S. Treasury Inflation Linked Notes	224.32 k	200.00 k principal	0.43	Debt	Long	USA
U.S. Treasury Bills	194.00 k	194.00 k principal	0.37	Short-term investment vehicle	Long	USA
U.S. Treasury Bills	193.98 k	194.00 k principal	0.37	Short-term investment vehicle	Long	USA
United Kingdom Gilt Inflation Linked	186.30 k	100.00 k principal	0.36	Debt	Long	UK
LME Aluminum Base Metal	164.92 k	18.00 contracts	0.32	Commodity derivative	N/A	UK
French Republic	139.77 k	100.00 k principal	0.27	Debt	Long	France
U.S. Treasury Bills	115.99 k	116.00 k principal	0.22	Short-term investment vehicle	Long	USA
Total Return Swap	63.73 k	-493.05 k principal	0.12	Commodity derivative	N/A	USA
Brent Crude Oil	42.46 k	33.00 contracts	0.08	Commodity derivative	N/A	UK
Total Return Swap	36.06 k	-1.07 mm principal	0.07	Commodity derivative	N/A	UK
Sugar No. 11	32.35 k	43.00 contracts	0.06	Commodity derivative	N/A	USA
NY Harbor ULSD	32.15 k	4.00 contracts	0.06	Commodity derivative	N/A	USA
Total Return Swap	31.51 k	950.78 k principal	0.06	Commodity derivative	N/A	France
Natural Gas	30.83 k	6.00 contracts	0.06	Commodity derivative	N/A	USA
RBOB Gasoline	29.50 k	4.00 contracts	0.06	Commodity derivative	N/A	USA
Cotton No. 2	29.43 k	4.00 contracts	0.06	Commodity derivative	N/A	USA
Low Sulphur Gasoil	29.30 k	4.00 contracts	0.06	Commodity derivative	N/A	UK
Total Return Swap	29.02 k	-131.48 k principal	0.06	Commodity derivative	N/A	France
Coffee 'C'	24.57 k	6.00 contracts	0.05	Commodity derivative	N/A	USA
Total Return Swap	23.28 k	-530.53 k principal	0.04	Commodity derivative	N/A	Australia
Total Return Swap	23.23 k	105.80 k principal	0.04	Commodity derivative	N/A	France
LME Aluminum Base Metal	20.78 k	3.00 contracts	0.04	Commodity derivative	N/A	UK
Total Return Swap	16.19 k	145.10 k principal	0.03	Commodity derivative	N/A	UK
LME Aluminum Base Metal	12.37 k	2.00 contracts	0.02	Commodity derivative	N/A	UK
Total Return Swap	11.70 k	52.90 k principal	0.02	Commodity derivative	N/A	UK
KC HRW Wheat	10.74 k	2.00 contracts	0.02	Commodity derivative	N/A	USA
LME Copper Base Metal	10.70 k	-1.00 contracts	0.02	Commodity derivative	N/A	UK
Total Return Swap Goldman Sachs International	10.43 k	9.16 mm principal	0.02	Equity derivative	N/A	UK
LME Aluminum Base Metal	10.37 k	2.00 contracts	0.02	Commodity derivative	N/A	UK
LME Aluminum Base Metal	9.77 k	1.00 contracts	0.02	Commodity derivative	N/A	UK
LME Aluminum Base Metal	8.19 k	1.00 contracts	0.02	Commodity derivative	N/A	UK
LME Lead Base Metal	7.44 k	-1.00 contracts	0.01	Commodity derivative	N/A	UK
NY Harbor ULSD	7.01 k	4.00 contracts	0.01	Commodity derivative	N/A	USA
LME Copper Base Metal	6.85 k	-1.00 contracts	0.01	Commodity derivative	N/A	UK
LME Aluminum Base Metal	6.80 k	1.00 contracts	0.01	Commodity derivative	N/A	UK
Lean Hogs	6.64 k	5.00 contracts	0.01	Commodity derivative	N/A	USA
LME Aluminum Base Metal	6.24 k	1.00 contracts	0.01	Commodity derivative	N/A	UK
LME Copper Base Metal	5.62 k	-1.00 contracts	0.01	Commodity derivative	N/A	UK
Forward Foreign Currency Contract Citibank	5.41 k	1.00 contracts	0.01	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	5.41 k	1.00 contracts	0.01	DFE	N/A	N/A
Total Return Swap	5.34 k	-457.78 k principal	0.01	Commodity derivative	N/A	France
LME Zinc Base Metal	5.29 k	7.00 contracts	0.01	Commodity derivative	N/A	UK
Forward Foreign Currency Contract Citibank	4.72 k	1.00 contracts	0.01	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	4.72 k	1.00 contracts	0.01	DFE	N/A	N/A
Low Sulphur Gasoil	4.40 k	5.00 contracts	0.01	Commodity derivative	N/A	UK
UBS Select Treasury Preferred Fund, Class I	4.26 k	4.26 k shares	0.01	Short-term investment vehicle	Long	USA
Forward Foreign Currency Contract Citibank	4.05 k	1.00 contracts	0.01	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	4.05 k	1.00 contracts	0.01	DFE	N/A	N/A
LME Aluminum Base Metal	3.94 k	1.00 contracts	0.01	Commodity derivative	N/A	UK
Total Return Swap Merrill Lynch International	3.92 k	3.68 mm principal	0.01	Equity derivative	N/A	USA
LME Aluminum Base Metal	3.81 k	1.00 contracts	0.01	Commodity derivative	N/A	UK
Total Return Swap	3.19 k	-48.23 k principal	0.01	Commodity derivative	N/A	France
Forward Foreign Currency Contract Citibank	2.35 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	2.35 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	2.35 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	2.35 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	2.35 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	2.35 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	2.32 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	2.32 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	2.19 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	2.19 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	2.17 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	2.17 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	2.13 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	2.13 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	2.12 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	2.12 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	1.96 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.96 k	1.00 contracts	0.00	DFE	N/A	N/A
LME Lead Base Metal	1.91 k	-1.00 contracts	0.00	Commodity derivative	N/A	UK
LME Lead Base Metal	1.85 k	-1.00 contracts	0.00	Commodity derivative	N/A	UK
Forward Foreign Currency Contract Citibank	1.68 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.68 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	1.61 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	1.61 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.61 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.61 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	1.61 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.61 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	1.59 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.59 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	1.57 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.57 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	1.54 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.54 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	1.53 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.53 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	1.53 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.53 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	1.52 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.52 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	1.49 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.49 k	1.00 contracts	0.00	DFE	N/A	N/A
RBOB Gasoline	1.42 k	1.00 contracts	0.00	Commodity derivative	N/A	USA
Forward Foreign Currency Contract Citibank	1.42 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.42 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	1.40 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.40 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	1.30 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.30 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	1.27 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.27 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	1.25 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.25 k	1.00 contracts	0.00	DFE	N/A	N/A
Total Return Swap	1.14 k	-50.29 k principal	0.00	Commodity derivative	N/A	Australia
LME Aluminum Base Metal	1.10 k	-1.00 contracts	0.00	Commodity derivative	N/A	UK
Forward Foreign Currency Contract Citibank	1.07 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.07 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	1.04 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.04 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	1.04 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.04 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	1.02 k	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	1.02 k	1.00 contracts	0.00	DFE	N/A	N/A
Total Return Swap Merrill Lynch International	1.01 k	1.74 mm principal	0.00	Equity derivative	N/A	USA
LME Zinc Base Metal	1.00 k	1.00 contracts	0.00	Commodity derivative	N/A	UK
Forward Foreign Currency Contract Citibank	977.17	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	977.05	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	923.86	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	923.73	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	911.31	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	911.20	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	903.91	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	903.81	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	886.49	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	886.38	1.00 contracts	0.00	DFE	N/A	N/A
Total Return Swap	874.72	45.56 k principal	0.00	Commodity derivative	N/A	Australia
Forward Foreign Currency Contract Citibank	872.08	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	871.95	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	861.41	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	861.28	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	857.42	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	857.29	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	838.86	1.00 contracts	0.00	DFE	N/A	N/A
Forward Foreign Currency Contract JP Morgan Chase Bank	838.73	1.00 contracts	0.00	DFE	N/A	N/A
LME Zinc Base Metal	740.80	-1.00 contracts	0.00	Commodity derivative	N/A	UK
LME Aluminum Base Metal	647.43	-1.00 contracts	0.00	Commodity derivative	N/A	UK
FTSE 100 Index	383.06	1.00 contracts	0.00	Equity derivative	N/A	UK
Total Return Swap	229.60	22.78 k principal	0.00	Commodity derivative	N/A	USA
Cocoa	197.63	1.00 contracts	0.00	Commodity derivative	N/A	USA
Total Return Swap Goldman Sachs International	176.31	1.23 mm principal	0.00	Equity derivative	N/A	UK
FTSE/JSE Top 40 Index	9.26	4.00 contracts	0.00	Equity derivative	N/A	South Africa
HSCEI	-19.36	1.00 contracts	-0.00	Equity derivative	N/A	Hong Kong
LME Aluminum Base Metal	-496.70	1.00 contracts	-0.00	Commodity derivative	N/A	UK
Total Return Swap Merrill Lynch International	-576.38	105.61 k principal	-0.00	Equity derivative	N/A	USA
FTSE Taiwan Index Equity Index	-910.40	1.00 contracts	-0.00	Equity derivative	N/A	Singapore
LME Zinc Base Metal	-1.03 k	1.00 contracts	-0.00	Commodity derivative	N/A	UK
LME Aluminum Base Metal	-1.04 k	1.00 contracts	-0.00	Commodity derivative	N/A	UK
LME Zinc Base Metal	-1.32 k	-1.00 contracts	-0.00	Commodity derivative	N/A	UK
Total Return Swap	-1.66 k	-145.10 k principal	-0.00	Commodity derivative	N/A	UK
LME Lead Base Metal	-1.91 k	1.00 contracts	-0.00	Commodity derivative	N/A	UK
Total Return Swap	-2.43 k	48.23 k principal	-0.00	Commodity derivative	N/A	France
Forward Foreign Currency Contract Citibank	-3.23 k	1.00 contracts	-0.01	DFE	N/A	N/A
Forward Foreign Currency Contract Citibank	-3.51 k	1.00 contracts	-0.01	DFE	N/A	N/A
Soybean	-3.52 k	3.00 contracts	-0.01	Commodity derivative	N/A	USA
LME Aluminum Base Metal	-4.00 k	-1.00 contracts	-0.01	Commodity derivative	N/A	UK
LME Aluminum Base Metal	-4.49 k	-1.00 contracts	-0.01	Commodity derivative	N/A	UK
CAC 40 10 Euro Index	-5.17 k	4.00 contracts	-0.01	Equity derivative	N/A	UK
SGX NIFTY 50 Index	-5.24 k	14.00 contracts	-0.01	Equity derivative	N/A	Singapore
Japan 10 Year Bond Mini	-5.26 k	15.00 contracts	-0.01	Interest rate derivative	N/A	Singapore
LME Copper Base Metal	-5.56 k	1.00 contracts	-0.01	Commodity derivative	N/A	UK
FTSE/MIB Index	-5.81 k	4.00 contracts	-0.01	Equity derivative	N/A	Italy
LME Aluminum Base Metal	-6.16 k	-1.00 contracts	-0.01	Commodity derivative	N/A	UK
LME Copper Base Metal	-6.76 k	1.00 contracts	-0.01	Commodity derivative	N/A	UK
LME Aluminum Base Metal	-6.82 k	-1.00 contracts	-0.01	Commodity derivative	N/A	UK
LME Lead Base Metal	-7.40 k	1.00 contracts	-0.01	Commodity derivative	N/A	UK
Corn	-7.84 k	8.00 contracts	-0.02	Commodity derivative	N/A	USA
SPI 200 Index	-7.89 k	4.00 contracts	-0.02	Equity derivative	N/A	Australia
LME Aluminum Base Metal	-8.19 k	-1.00 contracts	-0.02	Commodity derivative	N/A	UK
Russell 2000 E-Mini Index	-9.43 k	7.00 contracts	-0.02	Equity derivative	N/A	USA