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, 3rd Floor
Greenwich, CT 06830
(Address of principal executive offices) (Zip code)
Bradley D. Asness, Esq.
Principal and Chief Legal Officer
Two Greenwich Plaza
3rd 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, 2011 to June 30, 2011
Item 1. Reports to Shareholders.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1.)
Semi-Annual Report
June 30, 2011 (Unaudited)
| Schedule of Investments | ||||
| 1 | ||||
| 11 | ||||
| 18 | ||||
| 38 | ||||
| 45 | ||||
| 53 | ||||
| 58 | ||||
| 66 | ||||
| Financial Statements and Notes | 72 | |||
| Fund Expense Examples | 110 | |||
| Board Approval of Advisory Agreements | 112 | |||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 1 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 2 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 3 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 4 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 5 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 6 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 7 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
| SECTOR | VALUE | % OF NET ASSETS |
||||||
| Consumer Discretionary | $ | 47,935,188 | 10.4 | % | ||||
| Consumer Staples | 42,269,128 | 9.2 | ||||||
| Energy | 47,463,800 | 10.3 | ||||||
| Financials | 74,347,653 | 16.1 | ||||||
| Health Care | 45,065,473 | 9.8 | ||||||
| Industrials | 58,655,718 | 12.7 | ||||||
| Information Technology | 34,490,313 | 7.5 | ||||||
| Materials | 33,953,271 | 7.4 | ||||||
| Telecommunication Services | 19,865,567 | 4.3 | ||||||
| Utilities | 8,244,554 | 1.8 | ||||||
| Money Market Funds | 40,992,471 | 8.9 | ||||||
|
|
|
|
|
|||||
| Total Investments |
453,283,136 | 98.4 | ||||||
| Other Assets in Excess of Liabilities (f) | 7,282,115 | 1.6 | ||||||
|
|
|
|
|
|||||
| Net Assets |
$ | 460,565,251 | 100.0 | % | ||||
|
|
|
|
|
|||||
Total return swap contract outstanding as of June 30, 2011:
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE |
NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||
| The Royal Bank of Scotland |
Swiss Market Index | 9/16/2011 | $(40,485,301) | $151,980 | ||||||||
|
|
|
|||||||||||
Money Market Fund investment pledged as collateral for total return swap contract is included in the collateral for forward foreign currency exchange contracts.
Open futures contracts outstanding at June 30, 2011:
| NUMBER OF CONTRACTS |
TYPE | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 6 | Amsterdam Index Futures | July 15, 2011 | $586,705 | $591,227 | $4,522 | |||||||||||
| 408 | CAC40 10 Euro Futures | July 15, 2011 | 22,701,098 | 23,545,157 | 844,059 | |||||||||||
| 69 | DAX Index Futures | September 16, 2011 | 17,896,874 | 18,489,902 | 593,028 | |||||||||||
| 417 | FTSE 100 Index Futures | September 16, 2011 | 38,502,902 | 39,503,317 | 1,000,415 | |||||||||||
| 117 | FTSE/MIB Index Futures | September 16, 2011 | 17,074,939 | 17,147,451 | 72,512 | |||||||||||
| 72 | Hang Seng Index Futures | July 28, 2011 | 10,176,538 | 10,375,727 | 199,189 | |||||||||||
| 12 | IBEX 35 Index Futures | July 15, 2011 | 1,729,425 | 1,787,687 | 58,262 | |||||||||||
| 6 | MSCI Singapore Index Futures | July 28, 2011 | 343,673 | 352,096 | 8,423 | |||||||||||
| 486 | S&P 500 E-Mini Futures | September 16, 2011 | 30,942,838 | 31,966,650 | 1,023,812 | |||||||||||
|
|
|
|||||||||||||||
| 3,804,222 | ||||||||||||||||
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 8 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| NUMBER OF CONTRACTS |
TYPE | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts: | ||||||||||||||||
| 692 | OMXS30 Index Futures | July 15, 2011 | $(11,984,710) | $(12,198,508) | $(213,798) | |||||||||||
| 63 | S&P/Toronto Stock Exchange 60 Index | September 15, 2011 | (9,724,215) | (9,957,717) | (233,502) | |||||||||||
| 320 | SPI 200 Index Futures | September 15, 2011 | (38,936,407) | (39,478,420) | (542,013) | |||||||||||
| 46 | TOPIX Index Futures | September 8, 2011 | (4,627,916) | (4,853,984) | (226,068) | |||||||||||
|
|
|
|||||||||||||||
| (1,215,381) | ||||||||||||||||
|
|
|
|||||||||||||||
| $2,588,841 | ||||||||||||||||
|
|
|
|||||||||||||||
Cash held as collateral with broker for futures contracts was $11,620,674 at June 30, 2011.
Forward foreign currency exchange contracts outstanding as of June 30, 2011:
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | AUD | 25,806,000 | $27,250,589 | $27,401,069 | $150,480 | ||||||||||||||
| Canadian Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | CAD | 1,843,000 | 1,899,650 | 1,907,137 | 7,487 | ||||||||||||||
| Swiss Franc, Expiring 09/21/11 |
The Royal Bank of Scotland | CHF | 56,000 | 67,372 | 66,641 | (731) | ||||||||||||||
| Danish Krone, Expiring 09/21/11 |
The Royal Bank of Scotland | DKK | 910,000 | 176,908 | 176,582 | (326) | ||||||||||||||
| Euro, Expiring 09/21/11 |
The Royal Bank of Scotland | EUR | 12,435,000 | 17,980,937 | 17,992,575 | 11,638 | ||||||||||||||
| British Pound, Expiring 09/21/11 |
The Royal Bank of Scotland | GBP | 9,442,000 | 15,469,139 | 15,139,775 | (329,364) | ||||||||||||||
| Hong Kong Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | HKD | 5,408,000 | 695,360 | 695,312 | (48) | ||||||||||||||
| Israeli Shekel, Expiring 09/21/11 |
The Royal Bank of Scotland | ILS | 5,234,000 | 1,517,365 | 1,531,422 | 14,057 | ||||||||||||||
| Japanese Yen, Expiring 09/21/11 |
The Royal Bank of Scotland | JPY | 179,963,000 | 2,243,973 | 2,236,440 | (7,533) | ||||||||||||||
| Norwegian Krone, Expiring 09/21/11 |
The Royal Bank of Scotland | NOK | 130,634,000 | 24,088,368 | 24,088,414 | 46 | ||||||||||||||
| New Zealand Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | NZD | 17,258,000 | 13,991,117 | 14,221,973 | 230,856 | ||||||||||||||
| Swedish Krona, Expiring 09/21/11 |
The Royal Bank of Scotland | SEK | 360,927,000 | 58,065,434 | 56,796,183 | (1,269,251) | ||||||||||||||
| Singapore Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | SGD | 480,000 | 389,476 | 390,803 | 1,327 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 163,835,688 | 162,644,326 | (1,191,362) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 9 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | AUD | (12,208,000) | $(12,781,583) | $(12,962,577) | $(180,994) | ||||||||||||||
| Canadian Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | CAD | (4,357,000) | (4,461,444) | (4,508,626) | (47,182) | ||||||||||||||
| Swiss Franc, Expiring 09/21/11 |
The Royal Bank of Scotland | CHF | (29,506,000) | (34,926,218) | (35,112,397) | (186,179) | ||||||||||||||
| Danish Krone, Expiring 09/21/11 |
The Royal Bank of Scotland | DKK | (8,363,000) | (1,610,268) | (1,622,806) | (12,538) | ||||||||||||||
| Euro, Expiring 09/21/11 |
The Royal Bank of Scotland | EUR | (5,153,000) | (7,369,777) | (7,456,030) | (86,253) | ||||||||||||||
| British Pound, Expiring 09/21/11 |
The Royal Bank of Scotland | GBP | (326,000) | (534,238) | (522,725) | 11,513 | ||||||||||||||
| Hong Kong Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | HKD | (556,000) | (71,471) | (71,486) | (15) | ||||||||||||||
| Israeli Shekel, Expiring 09/21/11 |
The Royal Bank of Scotland | ILS | (305,000) | (89,383) | (89,240) | 143 | ||||||||||||||
| Japanese Yen, Expiring 09/21/11 |
The Royal Bank of Scotland | JPY | (3,868,105,000) | (48,160,450) | (48,069,803) | 90,647 | ||||||||||||||
| Norwegian Krone, Expiring 09/21/11 |
The Royal Bank of Scotland | NOK | (26,887,000) | (4,960,046) | (4,957,861) | 2,185 | ||||||||||||||
| New Zealand Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | NZD | (13,239,000) | (10,731,533) | (10,909,995) | (178,462) | ||||||||||||||
| Swedish Krona, Expiring 09/21/11 |
The Royal Bank of Scotland | SEK | (57,235,000) | (9,006,517) | (9,006,612) | (95) | ||||||||||||||
| Singapore Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | SGD | (91,000) | (73,890) | (74,090) | (200) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (134,776,818) | (135,364,248) | (587,430) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $29,058,870 | $27,280,078 | $(1,778,792) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
Money Market Fund is pledged as collateral to broker for forward foreign currency exchange contracts in the amount of $2,751,708.
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
ILS - Israeli Shekel
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
| The accompanying notes are an integral part of these financial statements. |
| 10 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 11 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 12 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 13 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 14 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 15 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
Total return swap contract outstanding as of June 30, 2011:
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE |
NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||
| The Royal Bank of Scotland |
Swiss Market Index | 9/16/2011 | $(39,114,158) | $252,855 | ||||||||
|
|
|
|||||||||||
Money Market Fund investment pledged as collateral for total return swap contract is included in the collateral for forward foreign currency exchange contracts.
Open futures contracts outstanding at June 30, 2011:
| NUMBER OF CONTRACTS |
TYPE | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 979 | CAC40 10 Euro Futures | July 15, 2011 | $54,472,689 | $56,496,835 | $2,024,146 | |||||||||||
| 105 | DAX Index Futures | September 16, 2011 | 27,215,404 | 28,136,807 | 921,403 | |||||||||||
| 650 | FTSE 100 Index Futures | September 16, 2011 | 59,979,965 | 61,575,913 | 1,595,948 | |||||||||||
| 154 | FTSE/MIB Index Futures | September 16, 2011 | 22,499,274 | 22,570,149 | 70,875 | |||||||||||
| 99 | Hang Seng Index Futures | July 28, 2011 | 13,992,834 | 14,266,626 | 273,792 | |||||||||||
| 34 | MSCI Singapore Index Futures | July 28, 2011 | 1,947,649 | 1,995,213 | 47,564 | |||||||||||
|
|
|
|||||||||||||||
| 4,933,728 | ||||||||||||||||
|
|
|
|||||||||||||||
| Short Contracts: | ||||||||||||||||
| 150 | Amsterdam Index Futures | July 15, 2011 | (14,639,110) | (14,780,654) | (141,544) | |||||||||||
| 30 | IBEX 35 Index Futures | July 15, 2011 | (4,360,305) | (4,469,217) | (108,912) | |||||||||||
| 751 | OMXS30 Index Futures | July 15, 2011 | (13,081,104) | (13,238,553) | (157,449) | |||||||||||
| 282 | SPI 200 Index Futures | September 15, 2011 | (34,320,380) | (34,790,358) | (469,978) | |||||||||||
| 74 | TOPIX Index Futures | September 8, 2011 | (7,567,643) | (7,808,583) | (240,940) | |||||||||||
|
|
|
|||||||||||||||
| (1,118,823) | ||||||||||||||||
|
|
|
|||||||||||||||
| $3,814,905 | ||||||||||||||||
|
|
|
|||||||||||||||
Cash held as collateral with broker for futures contracts was $14,838,805 at June 30, 2011.
Forward foreign currency exchange contracts outstanding as of June 30, 2011:
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | AUD | 35,621,100 | $37,608,046 | $37,822,840 | $214,794 | ||||||||||||||
| Swiss Franc, Expiring 09/21/11 |
The Royal Bank of Scotland | CHF | 5,857,000 | 7,007,419 | 6,969,881 | (37,538) | ||||||||||||||
| Danish Krone, Expiring 09/21/11 |
The Royal Bank of Scotland | DKK | 5,149,000 | 1,001,892 | 999,142 | (2,750) | ||||||||||||||
| Euro, Expiring 09/21/11 |
The Royal Bank of Scotland | EUR | 26,733,400 | 38,777,095 | 38,681,359 | (95,736) | ||||||||||||||
| British Pound, Expiring 09/21/11 |
The Royal Bank of Scotland | GBP | 24,646,000 | 40,135,370 | 39,518,629 | (616,741) | ||||||||||||||
| Hong Kong Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | HKD | 27,305,000 | 3,511,535 | 3,510,633 | (902) | ||||||||||||||
| Israeli Shekel, Expiring 09/21/11 |
The Royal Bank of Scotland | ILS | 13,473,000 | 3,912,252 | 3,942,081 | 29,829 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 16 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| (continued) | ||||||||||||||||||||
| Japanese Yen, Expiring 09/21/11 |
The Royal Bank of Scotland | JPY | 1,301,820,000 | $16,168,463 | $16,178,007 | $9,544 | ||||||||||||||
| Norwegian Krone, Expiring 09/21/11 |
The Royal Bank of Scotland | NOK | 169,428,000 | 31,213,908 | 31,241,881 | 27,973 | ||||||||||||||
| New Zealand Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | NZD | 87,000 | 70,193 | 71,695 | 1,502 | ||||||||||||||
| Swedish Krona, Expiring 09/21/11 |
The Royal Bank of Scotland | SEK | 611,425,000 | 98,396,959 | 96,215,042 | (2,181,917) | ||||||||||||||
| Singapore Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | SGD | 2,673,300 | 2,170,229 | 2,176,529 | 6,300 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 279,973,361 | 277,327,719 | (2,645,642) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | AUD | (11,729,000) | $(12,306,418) | $(12,453,970) | $(147,552) | ||||||||||||||
| Swiss Franc, Expiring 09/21/11 |
The Royal Bank of Scotland | CHF | (37,525,800) | (44,371,616) | (44,656,030) | (284,414) | ||||||||||||||
| Danish Krone, Expiring 09/21/11 |
The Royal Bank of Scotland | DKK | (23,596,000) | (4,529,216) | (4,578,707) | (49,491) | ||||||||||||||
| Euro, Expiring 09/21/11 |
The Royal Bank of Scotland | EUR | (14,936,000) | (21,163,786) | (21,611,346) | (447,560) | ||||||||||||||
| British Pound, Expiring 09/21/11 |
The Royal Bank of Scotland | GBP | (11,754,700) | (19,157,434) | (18,848,074) | 309,360 | ||||||||||||||
| Hong Kong Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | HKD | (2,866,000) | (368,315) | (368,485) | (170) | ||||||||||||||
| Israeli Shekel, Expiring 09/21/11 |
The Royal Bank of Scotland | ILS | (572,000) | (166,907) | (167,362) | (455) | ||||||||||||||
| Japanese Yen, Expiring 09/21/11 |
The Royal Bank of Scotland | JPY | (6,823,403,200) | (84,941,499) | (84,795,953) | 145,546 | ||||||||||||||
| Norwegian Krone, Expiring 09/21/11 |
The Royal Bank of Scotland | NOK | (32,857,000) | (6,063,560) | (6,058,706) | 4,854 | ||||||||||||||
| New Zealand Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | NZD | (87,000) | (70,717) | (71,695) | (978) | ||||||||||||||
| Swedish Krona, Expiring 09/21/11 |
The Royal Bank of Scotland | SEK | (89,230,000) | (13,773,042) | (14,041,408) | (268,366) | ||||||||||||||
| Singapore Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | SGD | (253,000) | (205,204) | (205,986) | (782) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (207,117,714) | (207,857,722) | (740,008) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $72,855,647 | $69,469,997 | $(3,385,650) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
Money Market Fund is pledged as collateral to broker for forward foreign currency exchange contracts in the amount of $6,312,112.
AUD - Australian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
ILS - Israeli Shekel
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2011 | 17 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 18 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 19 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 20 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| CONVERTIBLE PREFERRED STOCKS - 4.1% | MOODY’S RATING* |
SHARES | VALUE (Note 3) |
|||||||||||||||||
| Communications - 0.0% (c) | ||||||||||||||||||||
| Nielsen Holdings NV, $50.00 par, 6.250% (2) | B | ** | 6,800 | $ | 418,625 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Consumer Discretionary - 0.1% | ||||||||||||||||||||
| Beazer Homes USA, Inc., $25.00 par, 7.250% | NR | 52,875 | 866,092 | |||||||||||||||||
| Goodyear Tire & Rubber Co./The, $50.00 par, 5.875% (2)† | NR | 16,500 | 914,719 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| 1,780,811 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Consumer Staples - 0.5% | ||||||||||||||||||||
| Universal Corp., Perpetual, $1,000.00 par, 6.750% | BB | ** | 8,350 | 8,149,600 | ||||||||||||||||
|
|
|
|||||||||||||||||||
| Energy - 1.0% | ||||||||||||||||||||
| Chesapeake Energy Corp., Perpetual 144A, $1,000.00 par, 5.750% (2)(b) | B+ | ** | 10,000 | 12,600,000 | ||||||||||||||||
| Energy XXI Bermuda Ltd., Perpetual (Bermuda), $250.00 par, 5.625% (2) | NR | 9,535 | 3,480,275 | |||||||||||||||||
| Superior Well Services, Inc., Perpetual, Series A, $1,000.00 par, 4.000% (2) | NR | 1,169 | 1,083,522 | |||||||||||||||||
| Whiting Petroleum Corp., Perpetual, $100.00 par, 6.250% | B | ** | 1,144 | 306,352 | ||||||||||||||||
|
|
|
|||||||||||||||||||
| 17,470,149 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Financials - 2.1% | ||||||||||||||||||||
| Ally Financial, Inc., Perpetual, Series 144a 144A, $1,000.00 par, 7.000% (2)(b) | B3 | 2,175 | 2,044,092 | |||||||||||||||||
| Boston Private Capital Trust I, $50.00 par, 4.875% (2) | NR | 3,750 | 113,672 | |||||||||||||||||
| Dole Food Automatic Common Exchange 144A, $12.50 par, 7.000% (2)†(b) | NR | 62,250 | 785,906 | |||||||||||||||||
| Jack Cooper Holdings Corp. 144A, $99.08 par, 12.750% (2)(b) | NR | 6,950,000 | 7,367,000 | |||||||||||||||||
| Jack Cooper Holdings Corp., Perpetual 144A, $100.00 par, 0.000% (2)†(b)(d) | NR | 2,000 | 190,000 | |||||||||||||||||
| MF Global Holdings Ltd., Perpetual, $100.00 par, 9.750% (2) | NR | 19,550 | 2,277,575 | |||||||||||||||||
| SLM Corp., Perpetual, Series A, $50.00 par, 6.970% | Ba3 | 12,500 | 593,875 | |||||||||||||||||
| Sovereign Capital Trust IV, $50.00 par, 4.375% (2) | Baa3 | 411,418 | 20,365,191 | |||||||||||||||||
| UBS AG (Switzerland), $25.00 par, 9.375% (2) | NR | 26,000 | 627,380 | |||||||||||||||||
| Wells Fargo & Co., Perpetual, Series L, $1,000.00 par, 7.500% | Baa3 | 500 | 530,000 | |||||||||||||||||
| Wintrust Financial Corp., $50.00 par, 7.500%(2)(k) | NR | 24,300 | 1,276,387 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| 36,171,078 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Industrials - 0.0% (c) | ||||||||||||||||||||
| Timberjack Corp., $188,000.00 par, 8.000% (3)†(a) | NR | 188,000 | 758,618 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Information Technology - 0.3% | ||||||||||||||||||||
| Authentidate Holding Corp. Series C, $1.60 par, 15.000% (3)†(a) | NR | 218,000 | 784,800 | |||||||||||||||||
| Unisys Corp., Series A, $100.00 par, 6.250% (2) | NR | 41,800 | 3,281,718 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| 4,066,518 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Utilities - 0.1% | ||||||||||||||||||||
| PPL Corp., $50.00 par, 8.750% (2)† | NR | 44,700 | 2,469,228 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| TOTAL CONVERTIBLE PREFERRED STOCKS |
71,284,627 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’S) |
||||||||||||||||||
| CORPORATE BONDS - 17.7% | ||||||||||||||||||||
| Communications - 0.8% | ||||||||||||||||||||
| Digital Angel (3)(a) | NR | 0.160% | 07/01/12 | $ | 1,341 | 1,322,399 | ||||||||||||||
| Global Crossing UK Finance plc (United Kingdom) (2)(k) | B3 | 10.750% | 12/15/14 | 1,835 | 1,915,281 | |||||||||||||||
| Interactive Network, Inc./FriendFinder Networks, Inc. 144A (2)(b)(k) | B | ** | 14.000% | 09/30/13 | 887 | 933,797 | ||||||||||||||
| Interactive Network, Inc./FriendFinder Networks, Inc. 144A (2)(b)(e) | CCC+ | ** | 11.500% | 04/30/14 | 2,275 | 1,831,375 | ||||||||||||||
| Primus Telecommunications Holding, Inc. / Primus Telecommunications Canada Inc 144A (2)(b) | B3 | 13.000% | 12/15/16 | 1,150 | 1,322,500 | |||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 21 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| MOODY’S RATING* |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’S) |
VALUE (Note 3) |
||||||||||||||||
| Communications - 0.8% (continued) | ||||||||||||||||||||
| WCP Wireless Site Funding LLC/WCP Wireless Site RE Funding LLC 144A (2)(b) | NR | 9.247% | 11/15/15 | $ | 3,000 | $ | 3,007,387 | |||||||||||||
| WCP Wireless Site Funding LLC/WCP Wireless Site RE Funding LLC, Series 144a 144A (2)(b) | NR | 6.829% | 11/15/15 | 3,325 | 3,377,304 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 13,710,043 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Consumer Discretionary - 3.3% | ||||||||||||||||||||
| American Airlines Equipment Trust 1990, Series 90-Y (2)(k) | Caa1 | 11.000% | 05/07/14 | 1,966 | 1,929,544 | |||||||||||||||
| American Airlines Equipment Trust 1990, Series B (2)(k) | Caa1 | 10.500% | 09/15/11 | 2,575 | 2,594,740 | |||||||||||||||
| Baker & Taylor, Inc. 144A (2)(b)(k) | B3 | 11.500% | 07/01/13 | 3,250 | 2,746,250 | |||||||||||||||
| Broder Brothers Co. 144A (2)(b)(e)(k) | NR | 12.000% | 10/15/13 | 3,975 | 3,965,062 | |||||||||||||||
| Brookstone Co., Inc. 144A (2)(b)(k) | CCC+ | ** | 13.000% | 10/15/14 | 516 | 437,310 | ||||||||||||||
| Delta Air Lines 2001-1 Class B Pass Through Trust, Series 2001-1, Class B (2) | WR | 7.711% | 09/18/11 | 1,890 | 1,908,900 | |||||||||||||||
| Dollar General Corp. (2)(k) | B1 | 10.625% | 07/15/15 | 3,650 | 3,850,535 | |||||||||||||||
| Empire Today LLC / Empire Today Finance Corp. 144A (2)(b) | B3 | 11.375% | 02/01/17 | 3,050 | 3,141,500 | |||||||||||||||
| GameStop Corp./GameStop, Inc. (2)(k) | Ba1 | 8.000% | 10/01/12 | 1,083 | 1,099,245 | |||||||||||||||
| Goodyear Tire & Rubber Co./The (2)(k) | B1 | 10.500% | 05/15/16 | 2,976 | 3,348,000 | |||||||||||||||
| Hawaiian Holdings, Inc. (2)(k) | NR | 5.000% | 03/15/16 | 300 | 306,750 | |||||||||||||||
| Mandalay Resort Group (2)(k) | Caa1 | 6.375% | 12/15/11 | 3,575 | 3,606,281 | |||||||||||||||
| MGM Resorts International (2)(k) | Caa1 | 4.250% | 04/15/15 | 8,500 | 9,201,250 | |||||||||||||||
| Pegasus Solutions, Inc. 144A (2)(b)(e) | NR | 13.000% | 04/15/14 | 3,132 | 3,014,811 | |||||||||||||||
| Sally Holdings LLC/Sally Capital, Inc. (2)(k) | B2 | 9.250% | 11/15/14 | 5,500 | 5,720,000 | |||||||||||||||
| SouthPeak Interactive Corp. (3)(a) | NR | 10.000% | 07/19/13 | 2,500 | 1,334,883 | |||||||||||||||
| Unifi, Inc. (2)(k) | Caa1 | 11.500% | 05/15/14 | 2,941 | 3,040,259 | |||||||||||||||
| Wallace Theater Holdings, Inc., Series UNIT 144A (2)(b)(d) | CCC | ** | 12.500% | 06/15/13 | 4,675 | 4,569,812 | ||||||||||||||
| WMG Acquisition Corp. (2)(k) | B1 | 7.375% | 04/15/14 | 1,922 | 1,950,830 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 57,765,962 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Consumer Staples - 1.4% | ||||||||||||||||||||
| Great Atlantic & Pacific Tea Co. 144A (2)(b)(f)(k) | WR | 11.375% | 08/01/15 | 3,555 | 3,786,075 | |||||||||||||||
| North Atlantic Trading Co. 144A (2)(b)(k) | NR | 10.000% | 03/01/12 | 3,340 | 3,281,550 | |||||||||||||||
| Smithfield Foods, Inc. (2)(k) | B+ | ** | 4.000% | 06/30/13 | 13,300 | 15,644,125 | ||||||||||||||
| Vector Group Ltd. (2) | B1 | 11.000% | 08/15/15 | 1,700 | 1,780,750 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 24,492,500 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Energy - 1.7% | ||||||||||||||||||||
| Black Elk Energy Offshore Operations LLC and Black Elk Finance Corp., Series AI 144A (2)(b)(k) | Caa2 | 13.750% | 12/01/15 | 5,800 | 5,829,000 | |||||||||||||||
| CCS, Inc. 144A (Canada) (2)(b)(k) | Caa2 | 11.000% | 11/15/15 | 4,800 | 5,040,000 | |||||||||||||||
| Compton Petroleum Finance Corp. (Canada) (2) | NR | 10.000% | 09/15/11 | 3,650 | 2,591,500 | |||||||||||||||
| Global Rig Co. (Norway) (2) | NR | 13.000% | 06/09/15 | 3,800 | 3,819,000 | |||||||||||||||
| Golden Close Maritime Corp. MTN (Bermuda) (2) | NR | 11.000% | 12/09/15 | 2,500 | 2,675,000 | |||||||||||||||
| Harvest Operations Corp. (Canada) (2)(k) | NR | 7.500% | 05/31/15 | CAD | 275 | 298,681 | ||||||||||||||
| InterOil ASA (Norway) (2) | NR | 15.000% | 03/14/14 | NOK | 6,500 | 1,168,642 | ||||||||||||||
| LDK Solar Co. Ltd., Series EXCH (Cayman Islands) (2)(k) | NR | 4.750% | 04/15/13 | $ | 625 | 576,563 | ||||||||||||||
| Panoro Energy ASA 144A (Norway) (2)(b) | NR | 12.000% | 11/15/18 | 2,300 | 2,346,000 | |||||||||||||||
| Polarcus Alima AS (Norway) (2) | NR | 12.500% | 10/29/15 | 3,800 | 3,800,000 | |||||||||||||||
| RDS Ultra-Deepwater Ltd. 144A (Cayman Islands) (2)(b)(k) | B3 | 11.875% | 03/15/17 | 845 | 946,400 | |||||||||||||||
| Sevan Marine ASA (Norway) (2) | NR | 14.000% | 12/22/14 | NOK | 12,000 | 1,045,383 | ||||||||||||||
| Sevan Marine ASA 144A (Norway) (2)(b) | NR | 12.000% | 08/10/15 | $ | 1,000 | 820,000 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 30,956,169 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Financials - 4.1% | ||||||||||||||||||||
| Ally Financial, Inc. (2)(k) | B1 | 6.000% | 12/15/11 | 810 | 820,125 | |||||||||||||||
| Avatar Holdings, Inc. (2)(k) | NR | 7.500% | 02/15/16 | 5,900 | 5,900,000 | |||||||||||||||
| Bankrate, Inc. 144A (2)(b)(k) | B1 | 11.750% | 07/15/15 | 1,077 | 1,227,780 | |||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 22 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| MOODY’S RATING* |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’S) |
VALUE (Note 3) |
||||||||||||||||
| Financials - 4.1% (continued) | ||||||||||||||||||||
| CNG Holdings, Inc. 144A (2)(b)(k) | B3 | 12.250% | 02/15/15 | $ | 5,975 | $ | 6,467,938 | |||||||||||||
| CNO Financial Group, Inc. (2)(k) | B2 | 7.000% | 12/30/16 | 3,635 | 5,843,262 | |||||||||||||||
| CNO Financial Group, Inc., Series UNRE (2)(k) | NR | 7.000% | 12/30/16 | 2,367 | 3,804,952 | |||||||||||||||
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. (2)(k) | Ba3 | 8.000% | 01/15/18 | 2,055 | 2,085,825 | |||||||||||||||
| ING Capital Funding Trust III, Perpetual Bond, Series 9 (2)(d)(k) | B1 | 3.846% | 12/29/49 | 3,875 | 3,659,461 | |||||||||||||||
| Jasper Explorer Ltd./Cyprus (Cyprus) (2) | NR | 13.500% | 05/27/16 | 6,000 | 5,902,500 | |||||||||||||||
| Landry’s Holdings, Inc. 144A (2)(b)(k) | Caa1 | 11.500% | 06/01/14 | 1,545 | 1,541,138 | |||||||||||||||
| Liberty Mutual Group, Inc. 144A (2)(b)(d)(k) | Baa3 | 10.750% | 06/15/58 | 3,550 | 4,712,625 | |||||||||||||||
| Offshore Group Investments Ltd. (Cayman Islands) (2)(k) | B3 | 11.500% | 08/01/15 | 1,950 | 2,120,625 | |||||||||||||||
| Offshore Group Investments Ltd. 144A (Cayman Islands) (2)(b) | B3 | 11.500% | 08/01/15 | 450 | 489,375 | |||||||||||||||
| Rare Restaurant Group LLC/RRG Finance Corp. 144A (2)(b)(k) | WR | 9.250% | 05/15/14 | 1,300 | 1,079,000 | |||||||||||||||
| Rouse Co. LP (The) (2)(k) | BB+ | ** | 6.750% | 11/09/15 | 4,045 | 4,171,406 | ||||||||||||||
| Speedy Cash, Inc. 144A (2)(b)(k) | B3 | 10.750% | 05/15/18 | 9,175 | 9,381,437 | |||||||||||||||
| Springleaf Finance Corp. (2) | B3 | 5.625% | 08/17/11 | 2,450 | 2,448,775 | |||||||||||||||
| Synovus Financial Corp. (2)(k) | B3 | 5.125% | 06/15/17 | 1,375 | 1,251,166 | |||||||||||||||
| TMX Finance LLC / TitleMax Finance Corp. (2)(k) | B2 | 13.250% | 07/15/15 | 5,905 | 6,628,363 | |||||||||||||||
| Washington Mutual, Inc. (2)(f)(k) | WR | 4.000% | 01/15/09 | 3,050 | 3,332,125 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 72,867,878 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Healthcare - 2.5% | ||||||||||||||||||||
| Adcare Health Systems, Inc. (3)(a) | NR | 10.000% | 10/26/13 | 1,850 | 2,490,067 | |||||||||||||||
| Beckman Coulter, Inc. (2)(k) | Baa3 | 2.500% | 12/15/36 | 12,226 | 14,594,788 | |||||||||||||||
| Cephalon, Inc. (2)(k) | NR | 2.500% | 05/01/14 | 3,854 | 4,721,150 | |||||||||||||||
| Dendreon Corp. (2)(k) | NR | 2.875% | 01/15/16 | 2,100 | 2,307,375 | |||||||||||||||
| Incyte Corp. Ltd. (2)(k) | NR | 4.750% | 10/01/15 | 1,000 | 2,301,250 | |||||||||||||||
| KV Pharmaceutical Co. 144A (2)(b)(k) | NR | 12.000% | 03/15/15 | 8,175 | 7,449,469 | |||||||||||||||
| Merge Healthcare, Inc. (2)(k) | B2 | 11.750% | 05/01/15 | 1,930 | 2,065,100 | |||||||||||||||
| NuVasive, Inc. (2) | NR | 2.750% | 07/01/17 | 750 | 758,437 | |||||||||||||||
| Omnicare, Inc. (2)(k) | Ba3 | 6.125% | 06/01/13 | 978 | 978,000 | |||||||||||||||
| Omnicare, Inc. (2)(k) | Ba3 | 3.750% | 12/15/25 | 2,400 | 3,201,000 | |||||||||||||||
| PDL BioPharma, Inc. 144A (2)(b) | NR | 2.875% | 02/15/15 | 1,400 | 1,426,250 | |||||||||||||||
| Tenet Healthcare Corp. (2)(k) | Caa1 | 6.375% | 12/01/11 | 1,750 | 1,760,937 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 44,053,823 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Industrials - 1.3% | ||||||||||||||||||||
| Boa Deep C AS (Norway) (2)(d) | NR | 8.220% | 04/27/16 | NOK | 19,000 | 3,389,618 | ||||||||||||||
| Eastman Kodak Co. (2) | NR | 7.000% | 04/01/17 | $ | 3,500 | 3,053,750 | ||||||||||||||
| Floatel Superior Ltd. (Bahamas) (2) | NR | 13.000% | 09/02/15 | 1,100 | 1,188,000 | |||||||||||||||
| GenCorp, Inc. (2)(k) | CCC+ | ** | 4.063% | 12/31/39 | 325 | 330,688 | ||||||||||||||
| Greenhouse Holdings (3)(a) | NR | 12.000% | 05/01/12 | 640 | 522,351 | |||||||||||||||
| MasTec, Inc. (2) | NR | 4.250% | 12/15/14 | 2,400 | 3,537,000 | |||||||||||||||
| Ship Finance International Ltd. (Bermuda) (2)(k) | B1 | 8.500% | 12/15/13 | 3,250 | 3,254,063 | |||||||||||||||
| United Continental Holdings, Inc. (2) | NR | 6.860% | 04/22/14 | 5,515 | 5,521,791 | |||||||||||||||
| Western Express, Inc. 144A (2)(b) | Caa1 | 12.500% | 04/15/15 | 2,300 | 2,173,500 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 22,970,761 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Information Technology - 1.4% | ||||||||||||||||||||
| CDW LLC / CDW Finance Corp. (2)(e)(k) | Caa1 | 11.500% | 10/12/15 | 1,906 | 2,010,714 | |||||||||||||||
| CDW LLC / CDW Finance Corp. (2)(k) | Caa1 | 11.000% | 10/12/15 | 479 | 504,147 | |||||||||||||||
| Salesforce.com, Inc. (2)(k) | NR | 0.750% | 01/15/15 | 12,500 | 22,640,625 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 25,155,486 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Materials - 0.5% | ||||||||||||||||||||
| Appleton Papers, Inc. (2)(k) | B3 | 11.250% | 12/15/15 | 1,810 | 1,828,100 | |||||||||||||||
| Appleton Papers, Inc. 144A (2)(b)(k) | B1 | 10.500% | 06/15/15 | 600 | 625,500 | |||||||||||||||
| Cemex SAB de CV (Mexico) (2)(k) | NR | 4.875% | 03/15/15 | 3,200 | 3,172,000 | |||||||||||||||
| Sterling Chemicals, Inc. (2)(k) | B3 | 10.250% | 04/01/15 | 2,700 | 2,848,500 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 8,474,100 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 23 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| MOODY’S RATING* |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’S) |
VALUE (Note 3) |
||||||||||||||||
| Telecommunication Services - 0.7% | ||||||||||||||||||||
| CW Media Holdings, Inc. 144A (Canada) (2)(b)(e)(k) | Ba2 | 13.500% | 08/15/15 | $ | 5,611 | $ | 6,060,226 | |||||||||||||
| FiberTower Corp. (2)(k) | NR | 9.000% | 01/01/16 | 4,067 | 2,968,885 | |||||||||||||||
| MediMedia USA, Inc. 144A (2)(b)(k) | Caa2 | 11.375% | 11/15/14 | 2,350 | 2,021,000 | |||||||||||||||
| Morris Publishing Group LLC (2)(k) | NR | 10.000% | 09/01/14 | 867 | 838,785 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 11,888,896 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| TOTAL CORPORATE BONDS |
312,335,618 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| CONVERTIBLE BONDS - 38.0% | ||||||||||||||||||||
| Communications - 3.8% | ||||||||||||||||||||
| Ciena Corp. 144A (2)(b)(k) | NR | 4.000% | 03/15/15 | 16,075 | 19,149,344 | |||||||||||||||
| Clearwire Communications LLC/Clearwire Finance, Inc. 144A (2)(b)(k) | NR | ** | 8.250% | 12/01/40 | 700 | 621,250 | ||||||||||||||
| Digital River, Inc. 144A (2)(b) | NR | 2.000% | 11/01/30 | 2,600 | 2,600,000 | |||||||||||||||
| Equinix, Inc. (2)(k) | B- | ** | 4.750% | 06/15/16 | 7,725 | 10,911,562 | ||||||||||||||
| Finisar Corp. 144A (2)(b)(k) | NR | 5.000% | 10/15/29 | 400 | 737,000 | |||||||||||||||
| priceline.com, Inc. 144A (2)(b)(k) | BBB- | ** | 1.250% | 03/15/15 | 11,600 | 20,575,500 | ||||||||||||||
| Virgin Media, Inc. (2)(k) | B+ | ** | 6.500% | 11/15/16 | 7,000 | 12,521,250 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 67,115,906 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Consumer Discretionary - 10.1% | ||||||||||||||||||||
| Alliance Data Systems Corp. (2)(k) | NR | 1.750% | 08/01/13 | 3,000 | 3,806,250 | |||||||||||||||
| Alliance Data Systems Corp. (2)(k) | NR | 4.750% | 05/15/14 | 10,500 | 21,761,250 | |||||||||||||||
| ArvinMeritor, Inc. (2)(g)(k) | CCC+ | ** | 4.625% | 03/01/26 | 2,000 | 2,182,500 | ||||||||||||||
| Coinstar, Inc. (2)(k) | BB+ | ** | 4.000% | 09/01/14 | 2,150 | 3,294,875 | ||||||||||||||
| Convergys Corp. (2)(k) | BB- | ** | 5.750% | 09/15/29 | 4,825 | 6,948,000 | ||||||||||||||
| DR Horton, Inc., Series DHI (2)(k) | Ba3 | 2.000% | 05/15/14 | 9,156 | 10,140,270 | |||||||||||||||
| Exide Technologies (2)(d)(k) | CCC+ | ** | 0.000% | 09/18/13 | 650 | 604,500 | ||||||||||||||
| FTI Consulting, Inc. (2)(k) | B1 | 3.750% | 07/15/12 | 1,325 | 1,676,125 | |||||||||||||||
| Gaylord Entertainment Co. 144A (2)(b)(k) | NR | 3.750% | 10/01/14 | 9,875 | 12,541,250 | |||||||||||||||
| Hertz Global Holdings, Inc. (2)(k) | B- | ** | 5.250% | 06/01/14 | 14,500 | 29,543,750 | ||||||||||||||
| Jakks Pacific, Inc. 144A (2)(b)(k) | NR | 4.500% | 11/01/14 | 3,925 | 5,279,125 | |||||||||||||||
| Lennar Corp. 144A (2)(b)(k) | B3 | 2.750% | 12/15/20 | 11,525 | 12,317,344 | |||||||||||||||
| Lennar Corp. 144A (2)(b)(k) | B3 | 2.000% | 12/01/20 | 600 | 602,250 | |||||||||||||||
| Navistar International Corp. (2)(k) | B | ** | 3.000% | 10/15/14 | 1,875 | 2,453,906 | ||||||||||||||
| Palm Harbor Homes, Inc. (3)(a)(f)(k) | NR | 3.250% | 05/15/24 | 70 | 7,000 | |||||||||||||||
| Regis Corp. (2)(k) | NR | 5.000% | 07/15/14 | 7,000 | 8,487,500 | |||||||||||||||
| Saks, Inc. 144A (2)(b)(k) | NR | ** | 7.500% | 12/01/13 | 800 | 1,741,000 | ||||||||||||||
| Sonic Automotive, Inc. (2)(k) | B- | ** | 5.000% | 10/01/29 | 11,250 | 14,850,000 | ||||||||||||||
| Titan International, Inc. 144A (2)(b)(k) | B+ | ** | 5.625% | 01/15/17 | 5,475 | 14,016,000 | ||||||||||||||
| TRW Automotive, Inc. 144A (2)(b)(k) | Ba2 | 3.500% | 12/01/15 | 5,850 | 12,358,125 | |||||||||||||||
| United Rentals, Inc. (2)(k) | NR | 4.000% | 11/15/15 | 5,850 | 14,010,750 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 178,621,770 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Consumer Staples - 2.2% | ||||||||||||||||||||
| Alliance One International, Inc. (2)(k) | Caa1 | 5.500% | 07/15/14 | 4,500 | 4,303,125 | |||||||||||||||
| Central European Distribution Corp. (2) | CCC+ | ** | 3.000% | 03/15/13 | 2,475 | 2,029,500 | ||||||||||||||
| Chiquita Brands International, Inc. (2)(k) | B- | ** | 4.250% | 08/15/16 | 5,000 | 4,862,500 | ||||||||||||||
| Nash Finch Co. (2)(g)(k) | B3 | 1.631% | 03/15/35 | 4,800 | 2,220,000 | |||||||||||||||
| Rite Aid Corp. (2)(k) | Ca | 8.500% | 05/15/15 | 300 | 312,375 | |||||||||||||||
| Spartan Stores, Inc. (2)(k) | NR | 3.375% | 05/15/27 | 40 | 39,600 | |||||||||||||||
| Tyson Foods, Inc. (2)(k) | BB+ | ** | 3.250% | 10/15/13 | 12,425 | 16,028,250 | ||||||||||||||
| Vector Group Ltd. (2)(d)(k) | NR | 3.750% | 11/15/14 | 6,504 | 8,585,280 | |||||||||||||||
| Vector Group Ltd. (2)(d)(k) | NR | 3.875% | 06/15/26 | 383 | 445,716 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 38,826,346 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 24 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| MOODY’S RATING* |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’S) |
VALUE (Note 3) |
||||||||||||||||
| Energy - 1.9% | ||||||||||||||||||||
| Exterran Energy Corp. (2)(k) | B1 | 4.750% | 01/15/14 | $ | 134 | $ | 131,320 | |||||||||||||
| Exterran Holdings, Inc. (2)(k) | B+ | ** | 4.250% | 06/15/14 | 3,675 | 4,074,656 | ||||||||||||||
| GMX Resources, Inc. (2)(k) | NR | 4.500% | 05/01/15 | 1,875 | 1,539,844 | |||||||||||||||
| Goodrich Petroleum Corp. (2)(k) | NR | 3.250% | 12/01/26 | 2,700 | 2,713,500 | |||||||||||||||
| Goodrich Petroleum Corp. (2)(k) | CCC+ | ** | 5.000% | 10/01/29 | 1,000 | 976,250 | ||||||||||||||
| Green Plains Renewable Energy, Inc. 144A (2)(b)(k) | NR | 5.750% | 11/01/15 | 4,100 | 4,151,250 | |||||||||||||||
| Harvest Natural Resources, Inc. (2)(k) | NR | 8.250% | 03/01/13 | 475 | 965,437 | |||||||||||||||
| James River Coal Co. 144A (2)(b)(k) | B2 | 4.500% | 12/01/15 | 500 | 563,125 | |||||||||||||||
| PetroBakken Energy Ltd., Reg S (Canada) (2)(k) | NR | 3.125% | 02/08/16 | 5,900 | 5,575,500 | |||||||||||||||
| Petrominerales Ltd., Series PMG (Canada) (2) | NR | 2.625% | 08/25/16 | 1,900 | 2,165,052 | |||||||||||||||
| Pioneer Natural Resources Co. (2)(k) | BB+ | ** | 2.875% | 01/15/38 | 750 | 1,160,625 | ||||||||||||||
| Polarcus Ltd. (Cayman Islands) (2) | NR | 2.875% | 04/27/16 | 400 | 360,400 | |||||||||||||||
| Western Refining, Inc. (2)(k) | CCC+ | ** | 5.750% | 06/15/14 | 5,100 | 9,313,875 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 33,690,834 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Financials - 6.7% | ||||||||||||||||||||
| American Equity Investment Life Holding Co. 144A (2)(b)(k) | NR | 5.250% | 12/06/29 | 1,025 | 1,528,531 | |||||||||||||||
| American Equity Investment Life Holding Co. 144A (2)(b)(k) | NR | 3.500% | 09/15/15 | 4,425 | 5,210,438 | |||||||||||||||
| Ares Capital Corp. 144A (2)(b)(k) | BBB | ** | 5.125% | 06/01/16 | 1,200 | 1,213,500 | ||||||||||||||
| BioMed Realty LP 144A (2)(b)(k) | NR | 3.750% | 01/15/30 | 5,150 | 6,096,313 | |||||||||||||||
| CapitalSource, Inc. (2)(g)(k) | NR | 4.000% | 07/15/34 | 625 | 625,000 | |||||||||||||||
| CBIZ, Inc. 144A (2)(b)(k) | NR | 4.875% | 10/01/15 | 1,400 | 1,711,500 | |||||||||||||||
| CNO Financial Group, Inc., Series 1 (2)(k) | NR | 7.000% | 12/30/16 | 3,963 | 6,370,523 | |||||||||||||||
| Developers Diversified Realty Corp. (2) | NR | 1.750% | 11/15/40 | 2,850 | 2,974,687 | |||||||||||||||
| Digital Realty Trust LP 144A (2)(b)(k) | NR | 5.500% | 04/15/29 | 8,450 | 12,817,594 | |||||||||||||||
| Dollar Financial Corp. (2)(k) | NR | 2.875% | 06/30/27 | 150 | 158,812 | |||||||||||||||
| Hilltop Holdings, Inc. (2)(k) | NR | 7.500% | 08/15/25 | 998 | 1,046,653 | |||||||||||||||
| Host Hotels & Resorts LP 144A (2)(b)(k) | BB+ | ** | 2.500% | 10/15/29 | 9,375 | 12,714,844 | ||||||||||||||
| Janus Capital Group, Inc. (2)(k) | Baa3 | 3.250% | 07/15/14 | 250 | 270,625 | |||||||||||||||
| Kilroy Realty LP 144A (2)(b)(k) | NR | 4.250% | 11/15/14 | 7,390 | 8,812,575 | |||||||||||||||
| KKR Financial Holdings LLC (2) | NR | 7.000% | 07/15/12 | 125 | 130,625 | |||||||||||||||
| Kohlberg Capital Corp. 144A (2)(b)(k) | NR | 8.750% | 03/15/16 | 4,000 | 4,115,000 | |||||||||||||||
| Leucadia National Corp. (2)(k) | B2 | 3.750% | 04/15/14 | 250 | 401,562 | |||||||||||||||
| Lexington Realty Trust 144A (2)(b)(k) | NR | 6.000% | 01/15/30 | 5,050 | 6,950,063 | |||||||||||||||
| MF Global Holdings Ltd. (2)(k) | Baa2 | 9.000% | 06/20/38 | 5,500 | 6,338,750 | |||||||||||||||
| MGIC Investment Corp. (2) | CCC+ | ** | 5.000% | 05/01/17 | 10,850 | 9,670,062 | ||||||||||||||
| National Financial Partners Corp. (2) | NR | 4.000% | 06/15/17 | 4,025 | 4,523,094 | |||||||||||||||
| NorthStar Realty Finance LP 144A (2)(b)(k) | NR | 7.500% | 03/15/31 | 3,400 | 3,187,500 | |||||||||||||||
| Penson Worldwide, Inc. 144A (2)(b)(k) | NR | 8.000% | 06/01/14 | 4,275 | 3,494,812 | |||||||||||||||
| ProLogis LP (2) | BBB- | ** | 3.250% | 03/15/15 | 100 | 114,375 | ||||||||||||||
| Radian Group, Inc. (2) | CCC+ | ** | 3.000% | 11/15/17 | 5,175 | 3,706,594 | ||||||||||||||
| SL Green Operating Partnership LP 144A (2)(b)(k) | NR | 3.000% | 10/15/17 | 6,825 | 7,925,531 | |||||||||||||||
| Stewart Information Services Corp. 144A (2)(b) | NR | 6.000% | 10/15/14 | 6,125 | 6,239,844 | |||||||||||||||
| World Acceptance Corp. (2)(k) | NR | 3.000% | 10/01/11 | 150 | 163,312 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 118,512,719 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Healthcare - 0.8% | ||||||||||||||||||||
| American Oriental Bioengineering, Inc. 144A (2)(b)(k) | NR | 5.000% | 07/15/15 | 1,000 | 600,000 | |||||||||||||||
| China Medical Technologies, Inc. 144A (Cayman Islands) (2)(b)(k) | B+ | ** | 6.250% | 12/15/16 | 2,625 | 1,883,438 | ||||||||||||||
| China Medical Technologies, Inc., Series CMT (Cayman Islands) (2)(k) | NR | 4.000% | 08/15/13 | 250 | 181,250 | |||||||||||||||
| Enzon Pharmaceuticals, Inc. (2)(k) | NR | 4.000% | 06/01/13 | 1,850 | 2,189,937 | |||||||||||||||
| MannKind Corp. (2)(k) | NR | 3.750% | 12/15/13 | 500 | 284,375 | |||||||||||||||
| MannKind Corp. 144A (2)(b)(k) | NR | 5.750% | 08/15/15 | 1,540 | 1,235,850 | |||||||||||||||
| Molina Healthcare, Inc., Series MOH (2)(k) | NR | 3.750% | 10/01/14 | 3,375 | 3,889,687 | |||||||||||||||
| SonoSite, Inc. (2)(k) | NR | 3.750% | 07/15/14 | 1,000 | 1,147,500 | |||||||||||||||
| Stewart Enterprises, Inc. (2)(k) | B1 | 3.125% | 07/15/14 | 25 | 25,438 | |||||||||||||||
| West Pharmaceutical Services, Inc. (2)(k) | NR | 4.000% | 03/15/47 | 2,000 | 1,917,500 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 13,354,975 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 25 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| MOODY’S RATING* |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’S) |
VALUE (Note 3) |
||||||||||||||||
| Industrials - 4.7% | ||||||||||||||||||||
| Avis Budget Group, Inc. (2) | NR | 3.500% | 10/01/14 | $ | 1,275 | $ | 1,620,844 | |||||||||||||
| Bristow Group, Inc. (2)(k) | BB | ** | 3.000% | 06/15/38 | 1,000 | 1,040,000 | ||||||||||||||
| Cereplast, Inc. 144A (3)(a)(b) | NR | 7.000% | 06/01/16 | 4,450 | 4,209,896 | |||||||||||||||
| China Linen Textile Industry, Ltd. (Cayman Islands) (3)(a) | NR | 7.500% | 11/12/12 | 1,850 | 1,529,970 | |||||||||||||||
| EnPro Industries, Inc. (2)(k) | NR | 3.938% | 10/15/15 | 3,575 | 5,568,063 | |||||||||||||||
| Genco Shipping & Trading Ltd. (Marshall Islands) (2)(k) | NR | 5.000% | 08/15/15 | 500 | 417,500 | |||||||||||||||
| General Cable Corp. (2)(k) | Ba3 | 0.875% | 11/15/13 | 3,000 | 3,240,000 | |||||||||||||||
| Kaman Corp. 144A (2)(b)(k) | NR | 3.250% | 11/15/17 | 3,800 | 4,683,500 | |||||||||||||||
| Kemet Corp. (2)(k) | NR | 2.250% | 11/15/26 | 443 | 446,322 | |||||||||||||||
| Kendle International, Inc. (2)(k) | B- | ** | 3.375% | 07/15/12 | 17,864 | 17,864,000 | ||||||||||||||
| L-1 Identity Solutions, Inc. (2)(k) | B | ** | 3.750% | 05/15/27 | 4,599 | 4,587,502 | ||||||||||||||
| MasTec, Inc. (2)(k) | NR | 4.000% | 06/15/14 | 2,125 | 3,030,781 | |||||||||||||||
| RTI International Metals, Inc. (2) | NR | 3.000% | 12/01/15 | 5,250 | 6,746,250 | |||||||||||||||
| Terex Corp. (2)(k) | B3 | 4.000% | 06/01/15 | 4,500 | 8,448,750 | |||||||||||||||
| Textron, Inc., Series TXT (2)(k) | BBB- | ** | 4.500% | 05/01/13 | 3,500 | 6,540,625 | ||||||||||||||
| Trex Co., Inc. (2)(k) | NR | 6.000% | 07/01/12 | 6,970 | 8,799,625 | |||||||||||||||
| TTM Technologies, Inc. (2)(k) | BB- | ** | 3.250% | 05/15/15 | 2,450 | 3,090,063 | ||||||||||||||
| Ultrapetrol Bahamas Ltd. 144A (Bahamas) (2)(b)(k) | NR | 7.250% | 01/15/17 | 900 | 886,500 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 82,750,191 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Information Technology - 3.0% | ||||||||||||||||||||
| Arris Group, Inc. (2)(k) | NR | 2.000% | 11/15/26 | 650 | 679,250 | |||||||||||||||
| Cadence Design Systems, Inc. (2) | NR | 2.625% | 06/01/15 | 3,325 | 5,054,000 | |||||||||||||||
| Concur Technologies, Inc. 144A (2)(b)(k) | NR | 2.500% | 04/15/15 | 200 | 230,000 | |||||||||||||||
| DST Systems, Inc., Series C (2)(d)(k) | NR | 4.125% | 08/15/23 | 975 | 1,159,031 | |||||||||||||||
| GSI Commerce, Inc. (2)(k) | NR | 2.500% | 06/01/27 | 25 | 28,385 | |||||||||||||||
| Hutchinson Technology, Inc. (2)(k) | NR | 8.500% | 01/15/26 | 52 | 43,940 | |||||||||||||||
| Hutchinson Technology, Inc. (2)(k) | NR | ** | 3.250% | 01/15/26 | 146 | 118,260 | ||||||||||||||
| Lawson Software, Inc. (2)(k) | NR | 2.500% | 04/15/12 | 4,174 | 4,309,655 | |||||||||||||||
| Level 3 Communications, Inc. (2)(k) | CCC | ** | 15.000% | 01/15/13 | 2,250 | 3,656,250 | ||||||||||||||
| ON Semiconductor Corp. (2)(k) | Ba2 | 1.875% | 12/15/25 | 250 | 384,688 | |||||||||||||||
| Photronics, Inc. (2)(k) | NR | 5.500% | 10/01/14 | 2,200 | 4,111,250 | |||||||||||||||
| Rambus, Inc. (2)(k) | NR | 5.000% | 06/15/14 | 6,450 | 7,240,125 | |||||||||||||||
| Take-Two Interactive Software, Inc. (2)(k) | NR | 4.375% | 06/01/14 | 3,825 | 6,029,156 | |||||||||||||||
| Telvent GIT SA 144A (Spain) (2)(b)(k) | NR | 5.500% | 04/15/15 | 5,002 | 6,483,843 | |||||||||||||||
| THQ, Inc. (2)(k) | NR | 5.000% | 08/15/14 | 2,500 | 2,284,375 | |||||||||||||||
| Verigy Ltd. (Singapore) (2)(k) | NR | 5.250% | 07/15/14 | 1,325 | 1,677,781 | |||||||||||||||
| VeriSign, Inc. (2)(k) | NR | 3.250% | 08/15/37 | 8,995 | 10,377,981 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 53,867,970 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Materials - 2.8% | ||||||||||||||||||||
| Allegheny Technologies, Inc. (2)(k) | BBB- | ** | 4.250% | 06/01/14 | 13,000 | 21,515,000 | ||||||||||||||
| ArcelorMittal (Luxembourg) (2)(k) | Baa3 | 5.000% | 05/15/14 | 6,875 | 9,496,094 | |||||||||||||||
| Cemex SAB de CV 144A (Mexico) (2)(b)(k) | NR | 3.750% | 03/15/18 | 500 | 495,000 | |||||||||||||||
| Cemex SAB de CV 144A (Mexico) (2)(b)(k) | NR | 3.250% | 03/15/16 | 900 | 887,625 | |||||||||||||||
| Jaguar Mining, Inc. 144A (2)(b)(k) | NR | 5.500% | 03/31/16 | 500 | 471,875 | |||||||||||||||
| Kaiser Aluminum Corp. 144A (2)(b)(k) | NR | 4.500% | 04/01/15 | 300 | 388,890 | |||||||||||||||
| Northgate Minerals Corp. (Canada) (2)(k) | NR | 3.500% | 10/01/16 | 1,925 | 1,905,750 | |||||||||||||||
| ShengdaTech, Inc. 144A (2)(b)(k) | NR | 6.500% | 12/15/15 | 1,200 | 156,000 | |||||||||||||||
| ShengdaTech, Inc. 144A (2)(b)(k) | NR | 6.000% | 06/01/18 | 200 | 26,000 | |||||||||||||||
| Sino-Forest Corp. 144A (Canada) (2)(b)(k) | B+ | ** | 4.250% | 12/15/16 | CAD | 1,525 | 640,500 | |||||||||||||
| Sterlite Industries India Ltd. (India) (2)(k) | NR | 4.000% | 10/30/14 | $ | 5,350 | 5,249,687 | ||||||||||||||
| Stillwater Mining Co. (2)(k) | B+ | ** | 1.875% | 03/15/28 | 1,000 | 1,171,250 | ||||||||||||||
| United States Steel Corp. (2)(k) | Ba2 | 4.000% | 05/15/14 | 4,000 | 6,355,000 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 48,758,671 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 26 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| MOODY’S RATING* |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’S) |
VALUE (Note 3) |
||||||||||||||||
| Telecommunication Services - 2.0% | ||||||||||||||||||||
| Cleveland Unlimited, Inc. 144A (2)†(k) | Caa2 | 14.500% | 04/30/11 | $ | 1,830 | $ | 1,281,000 | |||||||||||||
| Level 3 Communications, Inc. (2)(k) | Caa3 | 3.500% | 06/15/12 | 500 | 498,750 | |||||||||||||||
| Level 3 Communications, Inc. (2)(k) | NR | 6.500% | 10/01/16 | 5,525 | 11,650,844 | |||||||||||||||
| Level 3 Communications, Inc., Series B (2)(k) | Caa3 | 7.000% | 03/15/15 | 1,280 | 2,035,200 | |||||||||||||||
| NII Holdings, Inc. (2)(k) | B- | ** | 3.125% | 06/15/12 | 1,980 | 1,982,475 | ||||||||||||||
| tw telecom inc (2)(k) | B3 | 2.375% | 04/01/26 | 1,075 | 1,318,219 | |||||||||||||||
| XM Satellite Radio, Inc. 144A (2)(b)(k) | BB- | ** | 7.000% | 12/01/14 | 11,350 | 16,684,500 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 35,450,988 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| TOTAL CONVERTIBLE BONDS |
670,950,370 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 27 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 28 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 29 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 30 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 31 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| CONVERTIBLE BONDS - (0.1)% | MOODY’S RATING* |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’S) |
VALUE (Note 3) |
|||||||||||||||
| Consumer Staples - (0.1)% | ||||||||||||||||||||
| Molson Coors Brewing Co. (2) | BBB- | ** | 2.500% | 07/30/13 | $ | (550) | $ | (603,625) | ||||||||||||
|
|
|
|||||||||||||||||||
| Information Technology - 0.0% (c) | ||||||||||||||||||||
| Intel Corp. (2) | A- | ** | 2.950% | 12/15/35 | (500) | (516,875) | ||||||||||||||
|
|
|
|||||||||||||||||||
| TOTAL CONVERTIBLE BONDS SOLD SHORT |
(1,120,500) | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 32 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
Open Written Options contracts outstanding at June 30, 2011:
Call Options Written
| SHARES | ISSUER | COUNTERPARTY | EXPIRATION DATE |
PROCEEDS | VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
| 1,153 | Barnes & Noble, Inc. (Exercise price $17) |
J.P. Morgan | July 16, 2011 | $(134,647) | $(35,743) | $98,904 | ||||||||||||
| 118 | California Pizza Kitchen, Inc. (Exercise price $18) |
J.P. Morgan | July 16, 2011 | (6,401) | (5,310) | 1,091 | ||||||||||||
| 374 | Comerica, Inc. (Exercise price $45) |
J.P. Morgan | January 21, 2012 | (261,422) | (4,862) | 256,560 | ||||||||||||
| 1,537 | EXCO Resources, Inc. (Exercise price $19) |
J.P. Morgan | July 16, 2011 | (38,808) | (46,110) | (7,302) | ||||||||||||
| 1,431 | EXCO Resources, Inc. (Exercise price $21) |
J.P. Morgan | July 16, 2011 | (43,090) | (7,155) | 35,935 | ||||||||||||
| 835 | GSIC (Exercise price $30) |
J.P. Morgan | July 16, 2011 | (20,040) | — | 20,040 | ||||||||||||
| 254 | Harbin Electric, Inc. (Exercise price $25) |
J.P. Morgan | September 17, 2011 | (2,286) | (1,270) | 1,016 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 33 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| SHARES | ISSUER | COUNTERPARTY | EXPIRATION DATE |
PROCEEDS | VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
| (continued) | ||||||||||||||||||
| 331 | Sanofi (Exercise price $75) |
J.P. Morgan | July 16, 2011 | $(44,751) | $(46,340) | $(1,589) | ||||||||||||
| 1,080 | Temple-Inland (Exercise price $28) |
J.P. Morgan | July 16, 2011 | (200,570) | (194,400) | 6,170 | ||||||||||||
| 503 | Uranium Energy (Exercise price $5) |
J.P. Morgan | August 20, 2011 | (10,814) | (2,515) | 8,299 | ||||||||||||
| 536 | VISA, Inc. (Exercise price $82.50) |
J.P. Morgan | July 1, 2011 | (5,816) | (101,840) | (96,024) | ||||||||||||
| 322 | Wells Fargo & Co. (Exercise price $35) |
J.P. Morgan | January 21, 2012 | (118,816) | (10,304) | 108,512 | ||||||||||||
|
|
|
|
|
|
|
|||||||||||||
| (887,461) | (455,849) | 431,612 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||
Put Options Written
| SHARES | ISSUER | COUNTERPARTY | EXPIRATION DATE |
PROCEEDS | VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
| 478 | Apple, Inc. (Exercise price $300) |
J.P. Morgan | July 1, 2011 | $(2,318) | $(956) | $1,362 | ||||||||||||
| 45 | Amazon.com, Inc. (Exercise price $180) |
J.P. Morgan | July 1, 2011 | (283) | (45) | 238 | ||||||||||||
| 339 | Amazon.com, Inc. (Exercise price $175) |
J.P. Morgan | July 1, 2011 | (1,742) | (339) | 1,403 | ||||||||||||
| 134 | Baidu, Inc. (Exercise price $130) |
J.P. Morgan | July 1, 2011 | (918) | (402) | 516 | ||||||||||||
| 482 | NetFlix, Inc. (Exercise price $240) |
J.P. Morgan | July 1, 2011 | (2,579) | (1,928) | 651 | ||||||||||||
| 1,283 | VISA, Inc. (Exercise price $65) |
J.P. Morgan | July 1, 2011 | (10,148) | (1,283) | 8,865 | ||||||||||||
|
|
|
|
|
|
|
|||||||||||||
| (17,988) | (4,953) | 13,035 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||
| $(905,449) | $(460,802) | $444,647 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||
Credit default swap contracts buy protection as of June 30, 2011:
| COUNTERPARTY | REFERENCE ENTITY |
FIXED ANNUAL RATE PAID BY FUND |
NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Bank of America | Host Hotels & Resorts LP | 1.00% | $3,450,000 | $175,566 | December 20, 2015 | $(45,228) | ||||||||||||||
| Deutsche Bank | Banco Santandar SA | 1.00% | 3,380,000 | 181,615 | June 20, 2015 | 114,997 | ||||||||||||||
| Deutsche Bank | Banco Santandar SA | 3.00% | 3,420,000 | 114,088 | December 20, 2015 | (43,796) | ||||||||||||||
| Deutsche Bank | Markit CDX North America High Yield Index Series 16 | 5.00% | 2,700,000 | (44,846) | June 20, 2016 | (3,021) | ||||||||||||||
| Deutsche Bank | Markit CDX North America High Yield Index Series 16 | 5.00% | 250,000 | (4,152) | June 20, 2016 | (280) | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 34 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| COUNTERPARTY | REFERENCE ENTITY | FIXED ANNUAL RATE PAID BY FUND |
NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| (continued) | ||||||||||||||||||||
| Deutsche Bank | Markit CDX North America High Yield Index Series 16 | 5.00% | $10,000,000 | $(32,621) | June 20, 2016 | $(144,667) | ||||||||||||||
| Deutsche Bank | Markit CDX North America High Yield Index Series 16 | 5.00% | 13,500,000 | (323,601) | June 20, 2016 | 84,262 | ||||||||||||||
| Deutsche Bank | Markit CDX North America High Yield Index Series 16 | 5.00% | 3,200,000 | (76,705) | June 20, 2016 | 19,973 | ||||||||||||||
| Deutsche Bank | Markit CDX North America High Yield Index Series 16 | 5.00% | 46,825,000 | (946,557) | June 20, 2016 | 116,406 | ||||||||||||||
| Deutsche Bank | Markit CDX North America High Yield Index Series 16 | 5.00% | 23,775,000 | (480,606) | June 20, 2016 | 59,104 | ||||||||||||||
| Deutsche Bank | Markit CDX North America High Yield Index Series 16 | 5.00% | 2,000,000 | (40,430) | June 20, 2016 | 4,973 | ||||||||||||||
| Royal Bank of Scotland |
Banco Santandar SA | 3.00% | 4,500,000 | 49,060 | June 20, 2016 | 78,401 | ||||||||||||||
| Royal Bank of Scotland |
Markit CDX North America High Yield Index Series 16 | 5.00% | 2,900,000 | (75,284) | June 20, 2016 | 23,871 | ||||||||||||||
| Royal Bank of Scotland |
Markit CDX North America High Yield Index Series 16 | 5.00% | 4,200,000 | (127,188) | June 20, 2016 | 52,727 | ||||||||||||||
| Royal Bank of Scotland |
Markit CDX North America High Yield Index Series 16 | 5.00% | 16,700,000 | (418,263) | June 20, 2016 | 122,193 | ||||||||||||||
|
|
|
|
|
|||||||||||||||||
| $(2,049,924) | $439,915 | |||||||||||||||||||
|
|
|
|
|
|||||||||||||||||
Money Market Fund is pledged as collateral to brokers for credit default swap contracts in the amount of $12,429,421.
Open futures contracts outstanding at June 30, 2011:
| NUMBER OF CONTRACTS |
TYPE | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED DEPRECIATION |
|||||||||||
| Short Contracts: | ||||||||||||||||
| 800 | 2-Year U.S. Treasury Note Futures | September 30, 2011 | $(175,179,162) | $(175,475,001) | $(295,839) | |||||||||||
| 607 | 5-Year U.S. Treasury Note Futures | September 30, 2011 | (71,895,023) | (72,351,554) | (456,531) | |||||||||||
| 1,438 | S&P 500 E-Mini Futures | September 16, 2011 | (91,610,304) | (94,584,450) | (2,974,146) | |||||||||||
|
|
|
|||||||||||||||
| $(3,726,516) | ||||||||||||||||
|
|
|
|||||||||||||||
Cash held as collateral with broker for futures contracts was $9,547,797 at June 30, 2011.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 35 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2011:
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 10/31/11 |
The Royal Bank of Scotland | AUD | 64,326 | $65,465 | $67,960 | $2,495 | ||||||||||||||
| Canadian Dollar, Expiring 07/08/11 |
The Royal Bank of Scotland | CAD | 17,251,244 | 17,599,539 | 17,885,834 | 286,295 | ||||||||||||||
| Canadian Dollar, Expiring 07/29/11 |
The Royal Bank of Scotland | CAD | 436,830 | 446,004 | 452,669 | 6,665 | ||||||||||||||
| Hong Kong Dollar, Expiring 07/05/11 |
The Royal Bank of Scotland | HKD | 233,276 | 29,973 | 29,978 | 5 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 18,140,981 | 18,436,441 | 295,460 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 10/31/11 |
The Royal Bank of Scotland | AUD | (2,914,276) | $(2,932,927) | $(3,078,890) | $(145,963) | ||||||||||||||
| Canadian Dollar, Expiring 07/08/11 |
The Royal Bank of Scotland | CAD | (17,251,244) | (17,708,635) | (17,885,834) | (177,199) | ||||||||||||||
| Canadian Dollar, Expiring 07/15/11 |
The Royal Bank of Scotland | CAD | (4,495,712) | (4,593,602) | (4,660,299) | (66,697) | ||||||||||||||
| Canadian Dollar, Expiring 07/29/11 |
The Royal Bank of Scotland | CAD | (436,830) | (455,152) | (452,669) | 2,483 | ||||||||||||||
| Canadian Dollar, Expiring 08/15/11 |
The Royal Bank of Scotland | CAD | (15,917,757) | (16,283,854) | (16,487,513) | (203,659) | ||||||||||||||
| Canadian Dollar, Expiring 08/31/11 |
The Royal Bank of Scotland | CAD | (1,949,751) | (1,971,636) | (2,018,648) | (47,012) | ||||||||||||||
| Canadian Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | CAD | (1,527,823) | (1,573,858) | (1,580,992) | (7,134) | ||||||||||||||
| Canadian Dollar, Expiring 12/30/11 |
The Royal Bank of Scotland | CAD | (4,179,622) | (4,254,824) | (4,313,786) | (58,962) | ||||||||||||||
| Euro, Expiring 08/15/11 |
The Royal Bank of Scotland | EUR | (5,938,762) | (8,488,720) | (8,602,138) | (113,418) | ||||||||||||||
| Euro, Expiring 08/31/11 |
The Royal Bank of Scotland | EUR | (2,273,726) | (3,262,202) | (3,291,855) | (29,653) | ||||||||||||||
| Euro, Expiring 04/30/12 |
The Royal Bank of Scotland | EUR | (725,040) | (984,517) | (1,041,411) | (56,894) | ||||||||||||||
| Euro, Expiring 10/22/12 |
The Royal Bank of Scotland | EUR | (6,210,000) | (8,471,372) | (8,874,323) | (402,951) | ||||||||||||||
| Euro, Expiring 01/28/13 |
The Royal Bank of Scotland | EUR | (5,855,786) | (7,902,383) | (8,346,618) | (444,235) | ||||||||||||||
| Hong Kong Dollar, Expiring 12/15/11 |
The Royal Bank of Scotland | HKD | (21,332,164) | (2,742,493) | (2,744,428) | (1,935) | ||||||||||||||
| Norwegian Krone, Expiring 09/14/11 |
The Royal Bank of Scotland | NOK | (243,750) | (38,829) | (44,967) | (6,138) | ||||||||||||||
| Norwegian Krone, Expiring 12/22/11 |
The Royal Bank of Scotland | NOK | (840,000) | (139,681) | (153,885) | (14,204) | ||||||||||||||
| Norwegian Krone, Expiring 06/22/12 |
The Royal Bank of Scotland | NOK | (840,000) | (138,326) | (151,766) | (13,440) | ||||||||||||||
| Norwegian Krone, Expiring 09/14/12 |
The Royal Bank of Scotland | NOK | (6,500,000) | (1,016,022) | (1,167,549) | (151,527) | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 36 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| (continued) | ||||||||||||||||||||
| Norwegian Krone, Expiring 12/21/12 |
The Royal Bank of Scotland | NOK | (12,840,000) | $(2,095,710) | $(2,290,631) | $(194,921) | ||||||||||||||
| Norwegian Krone, Expiring 04/27/16 |
The Royal Bank of Scotland | NOK | (19,387,600) | (3,266,931) | (3,298,141) | (31,210) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (88,321,674) | (90,486,343) | (2,164,669) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(70,180,693) | $(72,049,902) | $(1,869,209) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
Money Market Fund is pledged as collateral to broker for forward foreign currency exchange contracts in the amount of $3,661,279.
AUD - Australian Dollar
CAD - Canadian Dollar
EUR - Euro
HKD - Hong Kong Dollar
NOK - Norwegian Krone
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2011 | 37 | |||||||||
| Consolidated Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
Total return swap contracts outstanding as of June 30, 2011:
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE |
NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||
| Merrill Lynch | 2-Year U.S. Treasury Note | 9/30/2011 | $616,458,776 | $993,880 | ||||||||
| Merrill Lynch | 5-Year U.S. Treasury Note | 9/30/2011 | 14,687,019 | 93,200 | ||||||||
| Merrill Lynch | Euro-Bobl Futures | 9/8/2011 | 46,834,029 | (4,828) | ||||||||
| Merrill Lynch | Euro-SCHATZ Futures | 9/8/2011 | 132,689,960 | (426,652) | ||||||||
| Merrill Lynch | KOSPI Index 200 Futures | 9/8/2011 | 26,452,620 | (27,106) | ||||||||
| Barclays Capital | Wheat Futures | 9/14/2011 | (966,511) | 167,986 | ||||||||
|
|
|
|||||||||||
| $796,480 | ||||||||||||
|
|
|
|||||||||||
Money Market Fund is pledged as collateral to broker for total return swap contracts in the amount of $912,694.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 38 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Consolidated Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
Open futures contracts outstanding at June 30, 2011:
| NUMBER OF CONTRACTS |
TYPE | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 162 | 10-Year Japanese Government Bond Futures | September 8, 2011 | $283,255,283 | $283,814,422 | $559,139 | |||||||||||
| 926 | 10-Year U.S. Treasury Note Futures | September 21, 2011 | 113,361,266 | 113,275,843 | (85,423) | |||||||||||
| 19 | 3-Month Euro Euribor Futures | March 19, 2012 | 6,757,509 | 6,752,514 | (4,995) | |||||||||||
| 70 | 3-Month Euro Euribor Futures | June 18, 2012 | 24,876,816 | 24,857,383 | (19,433) | |||||||||||
| 81 | 3-Month Euro Euribor Futures | September 17, 2012 | 28,763,281 | 28,740,051 | (23,230) | |||||||||||
| 89 | 3-Month Euro Euribor Futures | December 17, 2012 | 31,571,006 | 31,543,083 | (27,923) | |||||||||||
| 88 | 3-Month Euro Euribor Futures | March 18, 2013 | 31,189,232 | 31,159,953 | (29,279) | |||||||||||
| 102 | 3-Month Euro Euribor Futures | June 17, 2013 | 36,110,230 | 36,074,693 | (35,537) | |||||||||||
| 1,294 | 5-Year U.S. Treasury Note Futures | September 30, 2011 | 153,774,276 | 154,238,735 | 464,459 | |||||||||||
| 652 | 90-Day EURODollar Futures | December 19, 2011 | 162,298,003 | 162,315,400 | 17,397 | |||||||||||
| 866 | 90-Day EURODollar Futures | March 19, 2012 | 215,230,006 | 215,449,975 | 219,969 | |||||||||||
| 1,010 | 90-Day EURODollar Futures | June 18, 2012 | 250,279,278 | 250,947,125 | 667,847 | |||||||||||
| 883 | 90-Day EURODollar Futures | September 17, 2012 | 218,170,677 | 218,939,850 | 769,173 | |||||||||||
| 769 | 90-Day EURODollar Futures | December 17, 2012 | 189,378,839 | 190,192,925 | 814,086 | |||||||||||
| 682 | 90-Day EURODollar Futures | March 18, 2013 | 167,464,800 | 168,249,400 | 784,600 | |||||||||||
| 632 | 90-Day EURODollar Futures | June 17, 2013 | 155,777,289 | 155,495,700 | (281,589) | |||||||||||
| 1,544 | 90-Day Sterling Futures | December 21, 2011 | 306,130,124 | 306,812,674 | 682,550 | |||||||||||
| 1,404 | 90-Day Sterling Futures | March 21, 2012 | 277,832,595 | 278,711,204 | 878,609 | |||||||||||
| 1,327 | 90-Day Sterling Futures | June 20, 2012 | 261,937,838 | 263,053,050 | 1,115,212 | |||||||||||
| 1,162 | 90-Day Sterling Futures | September 19, 2012 | 228,748,944 | 229,925,257 | 1,176,313 | |||||||||||
| 1,061 | 90-Day Sterling Futures | December 19, 2012 | 208,250,378 | 209,472,075 | 1,221,697 | |||||||||||
| 995 | 90-Day Sterling Futures | March 20, 2013 | 194,991,397 | 196,022,574 | 1,031,177 | |||||||||||
| 965 | 90-Day Sterling Futures | June 19, 2013 | 189,771,750 | 189,667,073 | (104,677) | |||||||||||
| 677 | Australia 10-Year Bond Future | September 15, 2011 | 76,959,446 | 77,009,772 | 50,326 | |||||||||||
| 1,971 | Australia 3-Year Bond Future | September 15, 2011 | 218,351,121 | 218,528,739 | 177,618 | |||||||||||
| 508 | Canadian Bank Acceptance Futures | December 19, 2011 | 129,419,984 | 129,706,050 | 286,066 | |||||||||||
| 461 | Canadian Bank Acceptance Futures | March 19, 2012 | 117,521,457 | 117,526,440 | 4,983 | |||||||||||
| 733 | CAC40 10 Euro Futures | July 15, 2011 | 41,157,896 | 42,300,491 | 1,142,595 | |||||||||||
| 820 | Canadian 10-Year Bond Futures | September 21, 2011 | 105,554,710 | 105,419,462 | (135,248) | |||||||||||
| 127 | DAX Index Futures | September 16, 2011 | 33,175,525 | 34,032,138 | 856,613 | |||||||||||
| 552 | DJIA Mini E-CBOT Futures | September 16, 2011 | 33,271,074 | 34,072,200 | 801,126 | |||||||||||
| 320 | E-Mini Russell 2000 Futures | September 16, 2011 | 25,384,435 | 26,412,800 | 1,028,365 | |||||||||||
| 418 | Euro - Bund Futures | September 8, 2011 | 76,051,196 | 76,061,295 | 10,099 | |||||||||||
| 578 | Euro CHF 3-Month LIFFE Futures | March 19, 2012 | 171,228,571 | 171,285,995 | 57,424 | |||||||||||
| 218 | Euro SFR 3-Month LIFFE Futures | September 19, 2011 | 64,665,557 | 64,693,429 | 27,872 | |||||||||||
| 658 | Euro SFR 3-Month LIFFE Futures | December 19, 2011 | 194,892,051 | 195,149,926 | 257,875 | |||||||||||
| 275 | Euro-Bobl Futures | September 8, 2011 | 46,866,121 | 46,491,084 | (375,037) | |||||||||||
| 136 | FTSE 100 Index Futures | September 16, 2011 | 12,609,771 | 12,883,576 | 273,805 | |||||||||||
| 310 | FTSE/JSE Top 40 Index Futures | September 15, 2011 | 12,792,709 | 13,082,552 | 289,843 | |||||||||||
| 4 | Globex Brent FCL Futures | July 13, 2011 | 449,160 | 449,920 | 760 | |||||||||||
| 28 | Globex RBOB Gas Futures | July 28, 2011 | 3,449,006 | 3,491,779 | 42,773 | |||||||||||
| 94 | Gold 100 OZ Futures | August 29, 2011 | 14,444,857 | 14,126,320 | (318,537) | |||||||||||
| 78 | IBEX 35 Index Futures | July 15, 2011 | 11,461,406 | 11,619,965 | 158,559 | |||||||||||
| 46 | LME Aluminum Futures | July 5, 2011 | 3,036,232 | 2,878,737 | (157,495) | |||||||||||
| 111 | LME Aluminum Futures | July 7, 2011 | 7,458,262 | 6,948,961 | (509,301) | |||||||||||
| 55 | LME Aluminum Futures | July 21, 2011 | 3,768,523 | 3,450,755 | (317,768) | |||||||||||
| 125 | LME Aluminum Futures | July 28, 2011 | 8,666,391 | 7,851,219 | (815,172) | |||||||||||
| 23 | LME Aluminum Futures | August 4, 2011 | 1,606,210 | 1,446,205 | (160,005) | |||||||||||
| 279 | LME Aluminum Futures | August 5, 2011 | 18,195,134 | 17,545,891 | (649,243) | |||||||||||
| 300 | LME Aluminum Futures | August 9, 2011 | 19,614,015 | 18,878,325 | (735,690) | |||||||||||
| 72 | LME Aluminum Futures | August 12, 2011 | 4,673,164 | 4,532,922 | (140,242) | |||||||||||
| 68 | LME Aluminum Futures | August 16, 2011 | 4,318,343 | 4,283,762 | (34,581) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 39 | |||||||||
| Consolidated Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| NUMBER OF CONTRACTS |
TYPE | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: (continued) | ||||||||||||||||
| 7 | LME Aluminum Futures | August 17, 2011 | $444,623 | $441,044 | $(3,579) | |||||||||||
| 108 | LME Aluminum Futures | August 19, 2011 | 6,820,245 | 6,806,214 | (14,031) | |||||||||||
| 14 | LME Aluminum Futures | August 24, 2011 | 878,571 | 882,788 | 4,217 | |||||||||||
| 92 | LME Aluminum Futures | August 31, 2011 | 6,103,855 | 5,805,775 | (298,080) | |||||||||||
| 46 | LME Aluminum Futures | September 2, 2011 | 3,045,469 | 2,903,624 | (141,845) | |||||||||||
| 156 | LME Aluminum Futures | September 9, 2011 | 10,394,188 | 9,855,846 | (538,342) | |||||||||||
| 100 | LME Aluminum Futures | September 16, 2011 | 6,352,905 | 6,323,475 | (29,430) | |||||||||||
| 13 | LME Aluminum Futures | September 20, 2011 | 820,691 | 822,471 | 1,780 | |||||||||||
| 89 | LME Aluminum Futures | September 23, 2011 | 5,569,624 | 5,631,964 | 62,340 | |||||||||||
| 73 | LME Aluminum Futures | September 27, 2011 | 4,562,869 | 4,620,298 | 57,429 | |||||||||||
| 33 | LME Copper Futures | July 7, 2011 | 7,939,892 | 7,767,433 | (172,459) | |||||||||||
| 10 | LME Copper Futures | July 14, 2011 | 2,359,001 | 2,354,700 | (4,301) | |||||||||||
| 43 | LME Copper Futures | July 28, 2011 | 10,105,217 | 10,132,101 | 26,884 | |||||||||||
| 34 | LME Copper Futures | August 5, 2011 | 7,497,172 | 8,012,831 | 515,659 | |||||||||||
| 18 | LME Copper Futures | August 31, 2011 | 4,148,353 | 4,243,275 | 94,922 | |||||||||||
| 6 | LME Copper Futures | September 2, 2011 | 1,358,160 | 1,414,461 | 56,301 | |||||||||||
| 16 | LME Copper Futures | September 6, 2011 | 3,653,439 | 3,772,084 | 118,645 | |||||||||||
| 9 | LME Copper Futures | September 9, 2011 | 2,036,877 | 2,121,879 | 85,002 | |||||||||||
| 22 | LME Copper Futures | September 16, 2011 | 5,000,458 | 5,187,270 | 186,812 | |||||||||||
| 86 | LME Copper Futures | September 19, 2011 | 19,612,091 | 20,278,800 | 666,709 | |||||||||||
| 9 | LME Copper Futures | September 23, 2011 | 2,034,995 | 2,121,750 | 86,755 | |||||||||||
| 15 | LME Copper Futures | September 30, 2011 | 3,511,438 | 3,536,249 | 24,811 | |||||||||||
| 473 | LME HG Aluminum Futures | September 19, 2011 | 31,103,092 | 29,929,075 | (1,174,017) | |||||||||||
| 34 | LME Nickel Futures | August 8, 2011 | 4,952,272 | 4,776,150 | (176,122) | |||||||||||
| 30 | LME Nickel Futures | August 9, 2011 | 4,459,651 | 4,214,339 | (245,312) | |||||||||||
| 1 | LME Nickel Futures | August 12, 2011 | 143,255 | 140,487 | (2,768) | |||||||||||
| 1 | LME Nickel Futures | August 22, 2011 | 141,905 | 140,504 | (1,401) | |||||||||||
| 10 | LME Nickel Futures | August 24, 2011 | 1,359,051 | 1,405,077 | 46,026 | |||||||||||
| 38 | LME Primary Aluminum Futures | September 30, 2011 | 2,416,042 | 2,405,400 | (10,642) | |||||||||||
| 130 | LME Zinc Futures | August 5, 2011 | 6,870,407 | 7,642,506 | 772,099 | |||||||||||
| 31 | LME Zinc Futures | August 31, 2011 | 1,759,327 | 1,828,264 | 68,937 | |||||||||||
| 17 | LME Zinc Futures | September 2, 2011 | 958,649 | 1,002,826 | 44,177 | |||||||||||
| 75 | LME Zinc Futures | September 6, 2011 | 4,293,526 | 4,426,274 | 132,748 | |||||||||||
| 115 | LME Zinc Futures | September 9, 2011 | 6,544,157 | 6,789,284 | 245,127 | |||||||||||
| 23 | LME Zinc Futures | September 16, 2011 | 1,285,203 | 1,358,949 | 73,746 | |||||||||||
| 307 | LME Zinc Futures | September 19, 2011 | 17,531,294 | 18,149,456 | 618,162 | |||||||||||
| 46 | LME Zinc Futures | September 30, 2011 | 2,674,657 | 2,719,750 | 45,093 | |||||||||||
| 656 | Long Gilt Futures | September 28, 2011 | 126,414,690 | 126,499,591 | 84,901 | |||||||||||
| 42 | MSCI Singapore Index Futures | July 28, 2011 | 2,402,612 | 2,464,675 | 62,063 | |||||||||||
| 145 | MSCI Taiwan Stock Index Futures | July 28, 2011 | 4,230,056 | 4,294,900 | 64,844 | |||||||||||
| 160 | NASDAQ 100 E-Mini Futures | September 16, 2011 | 7,321,278 | 7,427,200 | 105,922 | |||||||||||
| 399 | S&P 500 E-Mini Futures | September 16, 2011 | 25,687,665 | 26,244,225 | 556,560 | |||||||||||
| 359 | S&P MID 400 E-Mini Futures | September 16, 2011 | 33,974,187 | 35,056,350 | 1,082,163 | |||||||||||
| 106 | S&P/Toronto Stock Exchange 60 Index | September 15, 2011 | 16,357,502 | 16,754,253 | 396,751 | |||||||||||
| 362 | SGX S&P CNX Nifty Index Futures | July 28, 2011 | 4,021,238 | 4,092,410 | 71,172 | |||||||||||
| 59 | Sugar #11 (World Markets) Futures | September 30, 2011 | 1,799,192 | 1,740,547 | (58,645) | |||||||||||
| 107 | TOPIX Index Futures | September 8, 2011 | 11,171,728 | 11,290,790 | 119,062 | |||||||||||
| 569 | U.S. Treasury Bond Futures | September 21, 2011 | 70,608,949 | 70,004,781 | (604,168) | |||||||||||
|
|
|
|||||||||||||||
| 14,011,202 | ||||||||||||||||
|
|
|
|||||||||||||||
| Short Contracts: | ||||||||||||||||
| 54 | 3-Month Euro Euribor Futures | December 19, 2011 | $(19,212,617) | $(19,208,977) | $3,640 | |||||||||||
| 105 | Amsterdam Index Futures | July 15, 2011 | (10,040,453) | (10,346,457) | (306,004) | |||||||||||
| 804 | Cocoa Futures | September 15, 2011 | (23,833,950) | (25,334,040) | (1,500,090) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 40 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Consolidated Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| NUMBER OF CONTRACTS |
TYPE | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts: (continued) | ||||||||||||||||
| 39 | Coffee ‘C’ Futures | September 20, 2011 | $(3,904,146) | $(3,884,400) | $19,746 | |||||||||||
| 117 | Corn Futures | September 14, 2011 | (3,847,641) | (3,790,800) | 56,841 | |||||||||||
| 77 | Cotton No.2 Futures | December 7, 2011 | (5,093,152) | (4,565,715) | 527,437 | |||||||||||
| 194 | Crude Oil Financial Futures | July 19, 2011 | (18,426,540) | (18,511,480) | (84,940) | |||||||||||
| 40 | Euro-Buxl 30-Year Bond Futures | September 8, 2011 | (6,001,999) | (5,973,458) | 28,541 | |||||||||||
| 60 | FTSE/MIB Index Futures | September 16, 2011 | (8,375,855) | (8,793,565) | (417,710) | |||||||||||
| 48 | Globex Heat Oil Futures | July 28, 2011 | (5,656,589) | (5,939,740) | (283,151) | |||||||||||
| 2 | Hang Seng Index Futures | July 28, 2011 | (285,724) | (288,215) | (2,491) | |||||||||||
| 42 | H-SHARES Index Futures | July 28, 2011 | (3,380,653) | (3,401,095) | (20,442) | |||||||||||
| 73 | ICE Euro Gasoil Futures | July 11, 2011 | (6,428,425) | (6,763,450) | (335,025) | |||||||||||
| 817 | Lean Hogs Futures | August 12, 2011 | (30,248,820) | (29,959,390) | 289,430 | |||||||||||
| 46 | LME Aluminum Futures | July 5, 2011 | (3,025,652) | (2,878,737) | 146,915 | |||||||||||
| 111 | LME Aluminum Futures | July 7, 2011 | (7,467,658) | (6,948,960) | 518,698 | |||||||||||
| 55 | LME Aluminum Futures | July 21, 2011 | (3,771,347) | (3,450,755) | 320,592 | |||||||||||
| 125 | LME Aluminum Futures | July 28, 2011 | (8,650,931) | (7,851,218) | 799,713 | |||||||||||
| 23 | LME Aluminum Futures | August 4, 2011 | (1,598,384) | (1,446,206) | 152,178 | |||||||||||
| 279 | LME Aluminum Futures | August 5, 2011 | (18,074,250) | (17,545,891) | 528,359 | |||||||||||
| 300 | LME Aluminum Futures | August 9, 2011 | (19,629,065) | (18,878,325) | 750,740 | |||||||||||
| 72 | LME Aluminum Futures | August 12, 2011 | (4,660,745) | (4,532,922) | 127,823 | |||||||||||
| 68 | LME Aluminum Futures | August 16, 2011 | (4,371,330) | (4,283,762) | 87,568 | |||||||||||
| 7 | LME Aluminum Futures | August 17, 2011 | (446,943) | (441,044) | 5,899 | |||||||||||
| 108 | LME Aluminum Futures | August 19, 2011 | (6,785,139) | (6,806,214) | (21,075) | |||||||||||
| 14 | LME Aluminum Futures | August 24, 2011 | (879,191) | (882,788) | (3,597) | |||||||||||
| 92 | LME Aluminum Futures | August 31, 2011 | (6,089,935) | (5,805,775) | 284,160 | |||||||||||
| 46 | LME Aluminum Futures | September 2, 2011 | (3,038,068) | (2,903,624) | 134,444 | |||||||||||
| 156 | LME Aluminum Futures | September 9, 2011 | (10,334,212) | (9,855,846) | 478,366 | |||||||||||
| 100 | LME Aluminum Futures | September 16, 2011 | (6,370,995) | (6,323,475) | 47,520 | |||||||||||
| 13 | LME Aluminum Futures | September 20, 2011 | (820,143) | (822,471) | (2,328) | |||||||||||
| 89 | LME Aluminum Futures | September 23, 2011 | (5,594,597) | (5,631,965) | (37,368) | |||||||||||
| 73 | LME Aluminum Futures | September 27, 2011 | (4,550,382) | (4,620,298) | (69,916) | |||||||||||
| 33 | LME Copper Futures | July 7, 2011 | (8,028,940) | (7,767,433) | 261,507 | |||||||||||
| 10 | LME Copper Futures | July 14, 2011 | (2,359,949) | (2,354,699) | 5,250 | |||||||||||
| 43 | LME Copper Futures | July 28, 2011 | (10,164,607) | (10,132,101) | 32,506 | |||||||||||
| 34 | LME Copper Futures | August 5, 2011 | (7,668,100) | (8,012,831) | (344,731) | |||||||||||
| 18 | LME Copper Futures | August 31, 2011 | (4,155,659) | (4,243,275) | (87,616) | |||||||||||
| 6 | LME Copper Futures | September 2, 2011 | (1,356,720) | (1,414,461) | (57,741) | |||||||||||
| 16 | LME Copper Futures | September 6, 2011 | (3,637,919) | (3,772,084) | (134,165) | |||||||||||
| 9 | LME Copper Futures | September 9, 2011 | (2,011,455) | (2,121,879) | (110,424) | |||||||||||
| 22 | LME Copper Futures | September 16, 2011 | (4,946,314) | (5,187,270) | (240,956) | |||||||||||
| 52 | LME Copper Futures | September 19, 2011 | (11,866,229) | (12,261,600) | (395,371) | |||||||||||
| 9 | LME Copper Futures | September 23, 2011 | (2,031,840) | (2,121,750) | (89,910) | |||||||||||
| 15 | LME Copper Futures | September 30, 2011 | (3,494,924) | (3,536,250) | (41,326) | |||||||||||
| 339 | LME HG Aluminum Futures | September 19, 2011 | (21,374,329) | (21,450,225) | (75,896) | |||||||||||
| 34 | LME Nickel Futures | August 8, 2011 | (4,952,987) | (4,776,149) | 176,838 | |||||||||||
| 30 | LME Nickel Futures | August 9, 2011 | (4,462,419) | (4,214,340) | 248,079 | |||||||||||
| 1 | LME Nickel Futures | August 12, 2011 | (143,140) | (140,487) | 2,653 | |||||||||||
| 1 | LME Nickel Futures | August 22, 2011 | (141,325) | (140,504) | 821 | |||||||||||
| 10 | LME Nickel Futures | August 24, 2011 | (1,355,484) | (1,405,077) | (49,593) | |||||||||||
| 46 | LME Nickel Futures | September 19, 2011 | (6,377,748) | (6,465,852) | (88,104) | |||||||||||
| 38 | LME Primary Aluminum Futures | September 30, 2011 | (2,415,534) | (2,405,400) | 10,134 | |||||||||||
| 130 | LME Zinc Futures | August 5, 2011 | (6,754,789) | (7,642,505) | (887,716) | |||||||||||
| 31 | LME Zinc Futures | August 31, 2011 | (1,761,419) | (1,828,264) | (66,845) | |||||||||||
| 17 | LME Zinc Futures | September 2, 2011 | (954,039) | (1,002,826) | (48,787) | |||||||||||
| 75 | LME Zinc Futures | September 6, 2011 | (4,272,746) | (4,426,275) | (153,529) | |||||||||||
| 115 | LME Zinc Futures | September 9, 2011 | (6,540,044) | (6,789,284) | (249,240) | |||||||||||
| 23 | LME Zinc Futures | September 16, 2011 | (1,264,884) | (1,358,949) | (94,065) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 41 | |||||||||
| Consolidated Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| NUMBER OF CONTRACTS |
TYPE | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts: (continued) | ||||||||||||||||
| 106 | LME Zinc Futures | September 19, 2011 | $(6,015,362) | $(6,266,587) | $(251,225) | |||||||||||
| 46 | LME Zinc Futures | September 30, 2011 | (2,708,018) | (2,719,750) | (11,732) | |||||||||||
| 1,114 | Natural Gas Swap Futures | July 27, 2011 | (11,975,453) | (12,181,591) | (206,138) | |||||||||||
| 104 | Silver Futures | September 28, 2011 | (18,133,316) | (18,112,640) | 20,676 | |||||||||||
| 60 | Soybean Futures | November 14, 2011 | (3,930,962) | (3,882,001) | 48,961 | |||||||||||
| 133 | Soybean Meal Futures | December 14, 2011 | (4,498,200) | (4,400,970) | 97,230 | |||||||||||
| 105 | Soybean Oil Futures | December 14, 2011 | (3,527,568) | (3,537,450) | (9,882) | |||||||||||
| 66 | SPI 200 Index Futures | September 15, 2011 | (7,887,361) | (8,142,424) | (255,063) | |||||||||||
| 424 | Wheat Futures | September 14, 2011 | (14,667,117) | (13,022,100) | 1,645,017 | |||||||||||
|
|
|
|||||||||||||||
| 824,090 | ||||||||||||||||
|
|
|
|||||||||||||||
| $14,835,292 | ||||||||||||||||
|
|
|
|||||||||||||||
Cash held as collateral with broker for futures contracts was $61,180,305 at June 30, 2011.
Forward foreign currency exchange contracts outstanding as of June 30, 2011:
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | AUD | 141,945,000 | $149,896,366 | $150,718,620 | $822,254 | ||||||||||||||
| Brazilian Real, Expiring 09/21/11 |
The Royal Bank of Scotland | BRL | 30,940,000 | 19,127,116 | 19,475,841 | 348,725 | ||||||||||||||
| Canadian Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | CAD | 40,071,000 | 41,268,794 | 41,465,489 | 196,695 | ||||||||||||||
| Swiss Franc, Expiring 09/21/11 |
The Royal Bank of Scotland | CHF | 149,587,000 | 177,032,919 | 178,009,832 | 976,913 | ||||||||||||||
| Chilean Peso, Expiring 09/21/11 |
The Royal Bank of Scotland | CLP | 1,552,000,000 | 3,291,091 | 3,288,218 | (2,873) | ||||||||||||||
| Columbian Peso, Expiring 09/21/11 |
The Royal Bank of Scotland | COP | 370,000,000 | 206,228 | 208,497 | 2,269 | ||||||||||||||
| Czech Republic Koruna, Expiring 09/21/11 |
The Royal Bank of Scotland | CZK | 703,400,000 | 41,626,592 | 41,920,326 | 293,734 | ||||||||||||||
| Euro, Expiring 09/21/11 |
The Royal Bank of Scotland | EUR | 259,008,974 | 372,993,761 | 374,767,856 | 1,774,095 | ||||||||||||||
| British Pound, Expiring 09/21/11 |
The Royal Bank of Scotland | GBP | 62,919,999 | 103,244,427 | 100,889,073 | (2,355,354) | ||||||||||||||
| Hungarian Forint, Expiring 09/21/11 |
The Royal Bank of Scotland | HUF | 5,026,000,000 | 26,865,409 | 27,173,642 | 308,233 | ||||||||||||||
| Indonesian Rupiah, Expiring 09/21/11 |
The Royal Bank of Scotland | IDR | 128,900,000,000 | 14,932,808 | 14,840,386 | (92,422) | ||||||||||||||
| Israeli Shekel, Expiring 09/21/11 |
The Royal Bank of Scotland | ILS | 42,110,000 | 12,212,306 | 12,321,013 | 108,707 | ||||||||||||||
| Indian Rupee, Expiring 09/21/11 |
The Royal Bank of Scotland | INR | 2,832,400,000 | 62,255,067 | 62,439,652 | 184,585 | ||||||||||||||
| Japanese Yen, Expiring 09/21/11 |
The Royal Bank of Scotland | JPY | 27,711,545,000 | 344,224,683 | 344,377,549 | 152,866 | ||||||||||||||
| Korean Won, Expiring 09/21/11 |
The Royal Bank of Scotland | KRW | 53,533,720,000 | 49,194,588 | 49,898,191 | 703,603 | ||||||||||||||
| Mexican Peso, Expiring 09/21/11 |
The Royal Bank of Scotland | MXN | 615,000,000 | 52,069,486 | 52,151,968 | 82,482 | ||||||||||||||
| Malaysian Ringgit, Expiring 09/21/11 |
The Royal Bank of Scotland | MYR | 49,190,000 | 16,218,315 | 16,194,362 | (23,953) | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 42 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Consolidated Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| (continued) | ||||||||||||||||||||
| Norwegian Krone, Expiring 09/21/11 |
The Royal Bank of Scotland | NOK | 818,074,000 | $150,734,567 | $150,849,743 | $115,176 | ||||||||||||||
| New Zealand Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | NZD | 196,643,000 | 159,460,535 | 162,049,563 | 2,589,028 | ||||||||||||||
| Philippine Peso, Expiring 09/21/11 |
The Royal Bank of Scotland | PHP | 574,500,000 | 13,252,689 | 13,163,949 | (88,740) | ||||||||||||||
| Poland Zloty, Expiring 09/21/11 |
The Royal Bank of Scotland | PLN | 116,110,000 | 41,989,284 | 41,994,060 | 4,776 | ||||||||||||||
| Russian Ruble, Expiring 09/21/11 |
The Royal Bank of Scotland | RUB | 966,200,000 | 34,128,157 | 34,313,547 | 185,390 | ||||||||||||||
| Swedish Krona, Expiring 09/21/11 |
The Royal Bank of Scotland | SEK | 417,441,000 | 67,235,726 | 65,689,338 | (1,546,388) | ||||||||||||||
| Singapore Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | SGD | 37,890,000 | 30,694,363 | 30,849,020 | 154,657 | ||||||||||||||
| Turkish Lira, Expiring 09/21/11 |
The Royal Bank of Scotland | TRY | 15,400,000 | 9,582,180 | 9,348,028 | (234,152) | ||||||||||||||
| Taiwanese Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | TWD | 540,300,000 | 18,889,529 | 18,828,212 | (61,317) | ||||||||||||||
| South African Rand, Expiring 09/21/11 |
The Royal Bank of Scotland | ZAR | 62,400,000 | 9,051,432 | 9,121,247 | 69,815 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 2,021,678,418 | 2,026,347,222 | 4,668,804 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | AUD | (45,811,000) | $(48,100,139) | $(48,642,578) | $(542,439) | ||||||||||||||
| Canadian Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | CAD | (84,586,000) | (86,257,978) | (87,529,632) | (1,271,654) | ||||||||||||||
| Swiss Franc, Expiring 09/21/11 |
The Royal Bank of Scotland | CHF | (98,207,000) | (116,375,858) | (116,867,185) | (491,327) | ||||||||||||||
| Czech Republic Koruna, Expiring 09/21/11 |
The Royal Bank of Scotland | CZK | (58,000,000) | (3,382,457) | (3,456,609) | (74,152) | ||||||||||||||
| Euro, Expiring 09/21/11 |
The Royal Bank of Scotland | EUR | (199,325,000) | (282,681,817) | (288,409,323) | (5,727,506) | ||||||||||||||
| British Pound, Expiring 09/21/11 |
The Royal Bank of Scotland | GBP | (96,352,000) | (155,540,846) | (154,495,615) | 1,045,231 | ||||||||||||||
| Indian Rupee, Expiring 09/21/11 |
The Royal Bank of Scotland | INR | (1,230,000,000) | (26,953,935) | (27,115,087) | (161,152) | ||||||||||||||
| Japanese Yen, Expiring 09/21/11 |
The Royal Bank of Scotland | JPY | (42,228,909,000) | (524,670,681) | (524,788,069) | (117,388) | ||||||||||||||
| Korean Won, Expiring 09/21/11 |
The Royal Bank of Scotland | KRW | (3,000,000,000) | (2,762,431) | (2,796,267) | (33,836) | ||||||||||||||
| Mexican Peso, Expiring 09/21/11 |
The Royal Bank of Scotland | MXN | (251,000,000) | (20,965,227) | (21,284,787) | (319,560) | ||||||||||||||
| Malaysian Ringgit, Expiring 09/21/11 |
The Royal Bank of Scotland | MYR | (38,400,000) | (12,557,531) | (12,642,072) | (84,541) | ||||||||||||||
| Norwegian Krone, Expiring 09/21/11 |
The Royal Bank of Scotland | NOK | (155,996,000) | (28,097,046) | (28,765,071) | (668,025) | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 43 | |||||||||
| Consolidated Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| (continued) | ||||||||||||||||||||
| Philippine Peso, Expiring 09/21/11 |
The Royal Bank of Scotland | PHP | (310,000,000) | $(7,098,912) | $(7,103,262) | $(4,350) | ||||||||||||||
| Poland Zloty, Expiring 09/21/11 |
The Royal Bank of Scotland | PLN | (16,600,000) | (5,877,575) | (6,003,801) | (126,226) | ||||||||||||||
| Russian Ruble, Expiring 09/21/11 |
The Royal Bank of Scotland | RUB | (564,000,000) | (20,063,289) | (20,029,849) | 33,440 | ||||||||||||||
| Swedish Krona, Expiring 09/21/11 |
The Royal Bank of Scotland | SEK | (357,175,000) | (55,230,901) | (56,205,761) | (974,860) | ||||||||||||||
| Singapore Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | SGD | (22,400,000) | (18,084,802) | (18,237,478) | (152,676) | ||||||||||||||
| Turkish Lira, Expiring 09/21/11 |
The Royal Bank of Scotland | TRY | (43,290,000) | (26,249,528) | (26,277,671) | (28,143) | ||||||||||||||
| Taiwanese Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | TWD | (421,000,000) | (14,677,813) | (14,670,882) | 6,931 | ||||||||||||||
| South African Rand, Expiring 09/21/11 |
The Royal Bank of Scotland | ZAR | (25,000,000) | (3,597,138) | (3,654,346) | (57,208) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (1,459,225,904) | (1,468,975,345) | (9,749,441) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $562,452,514 | $557,371,877 | $(5,080,637) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
Money Market Fund is pledged as collateral to broker for forward foreign currency exchange contracts in the amount of $30,630,816.
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Columbian Peso
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
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
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwan Dollar
ZAR - South African Rand
| The accompanying notes are an integral part of these financial statements. |
| 44 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Consolidated Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR RISK PARITY FUND |
| GOVERNMENT RELATED OBLIGATIONS - 30.2% | MOODY’S RATING* |
INTEREST RATE |
MATURITY DATE |
CURRENCY | PRINCIPAL AMOUNT (000’S) |
VALUE (Note 3) |
||||||||||||||||||
| Sovereign Debt - 30.2% | ||||||||||||||||||||||||
| France Government Bond OAT (France) | NR | 1.600% | 07/25/15 | EUR | 13,223 | $ | 19,938,753 | |||||||||||||||||
| France Government Bond OAT (France) | NR | 2.250% | 07/25/20 | EUR | 6,336 | 10,040,633 | ||||||||||||||||||
| United Kingdom Treasury Gilt (United Kingdom) | NR | 1.875% | 11/22/22 | GBP | 7,294 | 13,427,045 | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| TOTAL GOVERNMENT RELATED OBLIGATIONS |
43,406,431 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| U.S. TREASURY OBLIGATIONS - 21.2% | ||||||||||||||||||||||||
| U.S. Treasury Inflation Protected Securities Bonds - 21.2% | ||||||||||||||||||||||||
| U.S. Treasury Bond | NR | 1.250% | 07/15/20 | USD | 8,900 | 9,709,013 | ||||||||||||||||||
| U.S. Treasury Bond | NR | 0.500% | 04/15/15 | USD | 19,200 | 20,782,150 | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS |
30,491,163 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| SHARES | ||||||||||||||||||||||||
| MONEY MARKET FUNDS - 41.9% | ||||||||||||||||||||||||
| BlackRock Liquidity Funds TempFund Portfolio, Series I, Class I, 0.086% (a) | 2,900,787 | 2,900,787 | ||||||||||||||||||||||
| Dreyfus Treasury Cash Management, Series I, Class I, 0.010% (a) | 11,603,149 | 11,603,149 | ||||||||||||||||||||||
| J.P. Morgan Prime Money Market Fund - Capital Shares, 0.090% (a)(b) | 3,671,555 | 3,671,555 | ||||||||||||||||||||||
| J.P. Morgan Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a) | 27,531,025 | 27,531,025 | ||||||||||||||||||||||
| UBS Money Series - UBS Select Treasury Preferred Fund, Series I, Class I, 0.010% (a) | 14,503,936 | 14,503,936 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| TOTAL MONEY MARKET FUNDS |
60,210,452 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| TOTAL INVESTMENTS - 93.3% |
134,108,046 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES - 6.7% (c) | 9,611,786 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| NET ASSETS - 100.0% |
$ | 143,719,832 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
All securities are United States companies, unless noted otherwise in parentheses.
| (a) | Represents annualized seven-day yield as of June 30, 2011. |
| (b) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
| (c) | Includes appreciation (depreciation) on forward foreign currency exchange, futures and swap contracts. |
| * | The rating reflected is as June 30, 2011. Rating of certain bonds may have changed subsequent to the date. |
All securities are Level 2 (See Note 5)
The following abbreviations are used in portfolio descriptions:
EUR - Euro
GBP - British Pound
USD - United States Dollar
NR - Not Rated by Moody’s
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 45 | |||||||||
| Consolidated Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR RISK PARITY FUND |
Credit default swap contracts sell protection as of June 30, 2011:
| COUNTERPARTY | REFERENCE ENTITY | FIXED ANNUAL RATE PAID BY FUND |
CURRENCY | NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
| Bank of America | Markit CMBX North America AJ 3 | 1.470% | USD | 225,000 | $(46,542) | 12/13/2049 | $(9,381) | |||||||||||||||||
| Bank of America | Markit CMBX North America AJ 4 | 0.960% | USD | 325,000 | (82,771) | 2/17/2051 | (16,830) | |||||||||||||||||
| Bank of America | Markit CMBX North America AJ 5 | 0.980% | USD | 150,000 | (27,974) | 2/15/2051 | (13,751) | |||||||||||||||||
| Bank of America | Markit CDX North America Investment Grade Index Series 16 | 1.000% | USD | 19,375,000 | 53,355 | 6/20/2016 | 24,881 | |||||||||||||||||
| Bank of America | Markit CDX North America High Yield Index Series 16 | 5.000% | USD | 12,600,000 | 282,108 | 6/20/2016 | (58,726) | |||||||||||||||||
| Bank of America | Markit CDX Emerging Market Index Series 15 | 5.000% | USD | 5,800,000 | 752,927 | 6/20/2016 | 15,656 | |||||||||||||||||
| Bank of America | iTraxx Europe Series 15.V1 | 1.000% | EUR | 3,675,000 | (1,937) | 6/20/2016 | (10,586) | |||||||||||||||||
| Bank of America | iTraxx Europe Crossover Series 15.V1 | 5.000% | EUR | 9,325,000 | 660,021 | 6/20/2016 | (62,762) | |||||||||||||||||
| Deutsche Bank AG | Markit CDX North America Investment Grade Index Series 16 | 1.000% | USD | 11,150,000 | 25,820 | 6/20/2016 | 19,203 | |||||||||||||||||
| Deutsche Bank AG | Markit CDX North America High Yield Index Series 16 | 5.000% | USD | 16,425,000 | 344,782 | 6/20/2016 | (53,587) | |||||||||||||||||
| Deutsche Bank AG | Markit CDX Emerging Market Index Series 15 | 5.000% | USD | 2,500,000 | 323,777 | 6/20/2016 | 7,508 | |||||||||||||||||
| Deutsche Bank AG | iTraxx Europe Series 15.V1 | 1.000% | EUR | 11,650,000 | (25,487) | 6/20/2016 | (14,210) | |||||||||||||||||
| Deutsche Bank AG | iTraxx Europe Crossover Series 15.V1 | 5.000% | EUR | 1,025,000 | 79,430 | 6/20/2016 | (13,780) | |||||||||||||||||
| Morgan Stanley Capital Services, Inc. | Markit CMBX North America AJ 5 | 0.980% | USD | 125,000 | (30,255) | 2/15/2051 | (4,515) | |||||||||||||||||
| Morgan Stanley Capital Services, Inc. | iTraxx Europe Series 15.V1 | 1.000% | EUR | 2,000,000 | (2,602) | 6/20/2016 | (4,212) | |||||||||||||||||
| Morgan Stanley Capital Services, Inc. | iTraxx Europe Crossover Series 15.V1 | 5.000% | EUR | 1,000,000 | 76,570 | 6/20/2016 | (12,521) | |||||||||||||||||
| The Royal Bank of Scotland | Markit CMBX North America AJ 3 | 1.470% | USD | 275,000 | (38,925) | 12/13/2049 | (29,425) | |||||||||||||||||
| The Royal Bank of Scotland | Markit CMBX North America AJ 4 | 0.960% | USD | 250,000 | (53,757) | 02/17/2051 | (22,859) | |||||||||||||||||
| The Royal Bank of Scotland | Markit CMBX North America AJ 5 | 0.980% | USD | 225,000 | (38,799) | 02/15/2051 | (23,788) | |||||||||||||||||
| The Royal Bank of Scotland | Markit CDX North America Investment Grade Index Series 16 | 1.000% | USD | 11,975,000 | 54,306 | 06/20/2016 | (5,952) | |||||||||||||||||
| The Royal Bank of Scotland | Markit CDX North America High Yield Index Series 16 | 5.000% | USD | 6,125,000 | 130,489 | 06/20/2016 | (21,900) | |||||||||||||||||
| The Royal Bank of Scotland | iTraxx Europe Series 15.V1 | 1.000% | EUR | 3,575,000 | 10,350 | 06/20/2016 | (22,531) | |||||||||||||||||
| The Royal Bank of Scotland | iTraxx Europe Crossover Series 15.V1 | 5.000% | EUR | 350,000 | 29,410 | 06/20/2016 | (6,993) | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| $2,474,296 | $(341,061) | |||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 46 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Consolidated Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR RISK PARITY FUND |
Money Market Fund is pledged as collateral to brokers for credit default swap contracts in the amount of $1,890,435. Additional collateral for positions held at the Royal Bank of Scotland is included in the collateral for forward foreign currency exchange contracts.
Interest rate swap contracts outstanding as of June 30, 2011:
| COUNTERPARTY | PAYMENTS MADE BY THE FUND | PAYMENTS RECEIVED BY THE FUND |
CURRENCY | NOTIONAL AMOUNT |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| The Royal Bank of Scotland | 3.050% | (1) | CZK | 37,000,000 | 3/16/2016 | $(53,680) | ||||||||||||||
| The Royal Bank of Scotland | 6 month Prague Interbank Offered Rate | 2.330% | CZK | 3,000,000 | 3/16/2016 | (1,421) | ||||||||||||||
| The Royal Bank of Scotland | 6 month Prague Interbank Offered Rate | 2.840% | CZK | 3,000,000 | 3/16/2016 | 2,667 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Prague Interbank Offered Rate | 2.653% | CZK | 3,200,000 | 3/16/2016 | 1,239 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Prague Interbank Offered Rate | 2.680% | CZK | 4,000,000 | 3/16/2016 | 1,843 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Prague Interbank Offered Rate | 2.210% | CZK | 5,438,792 | 3/16/2016 | (4,328) | ||||||||||||||
| The Royal Bank of Scotland | 6 month Prague Interbank Offered Rate | 2.900% | CZK | 18,000,000 | 3/16/2016 | 18,891 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Prague Interbank Offered Rate | 3.225% | CZK | 6,000,000 | 9/21/2016 | 10,112 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Prague Interbank Offered Rate | 3.110% | CZK | 9,000,000 | 9/21/2016 | 12,260 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Prague Interbank Offered Rate | 3.268% | CZK | 37,000,000 | 9/21/2016 | 66,776 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Prague Interbank Offered Rate | 2.690% | CZK | 51,000,000 | 9/21/2016 | 9,287 | ||||||||||||||
| The Royal Bank of Scotland | 2.495% | (2) | HKD | 15,800,000 | 3/16/2016 | (82,294) | ||||||||||||||
| The Royal Bank of Scotland | 3 month Hong Kong Interbank Offered Rate | 2.235% | HKD | 1,300,000 | 3/16/2016 | 4,767 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Hong Kong Interbank Offered Rate | 2.210% | HKD | 1,320,000 | 3/16/2016 | 4,645 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Hong Kong Interbank Offered Rate | 2.145% | HKD | 1,550,000 | 3/16/2016 | 4,857 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Hong Kong Interbank Offered Rate | 1.630% | HKD | 1,590,000 | 3/16/2016 | 128 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Hong Kong Interbank Offered Rate | 1.748% | HKD | 2,760,959 | 3/16/2016 | 2,159 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Hong Kong Interbank Offered Rate | 2.205% | HKD | 7,400,000 | 3/16/2016 | 25,820 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Hong Kong Interbank Offered Rate | 2.530% | HKD | 1,800,000 | 9/21/2016 | 7,599 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Hong Kong Interbank Offered Rate | 2.880% | HKD | 2,500,000 | 9/21/2016 | 16,023 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Hong Kong Interbank Offered Rate | 1.990% | HKD | 13,700,000 | 9/21/2016 | 11,608 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Hong Kong Interbank Offered Rate | 2.915% | HKD | 15,900,000 | 9/21/2016 | 105,383 | ||||||||||||||
| The Royal Bank of Scotland | 6.980% | (3) | HUF | 320,000,000 | 3/16/2016 | (36,787) | ||||||||||||||
| The Royal Bank of Scotland | 6 month Budapest Interbank Offered Rate | 5.970% | HUF | 38,000,000 | 3/16/2016 | (4,364) | ||||||||||||||
| The Royal Bank of Scotland | 6 month Budapest Interbank Offered Rate | 6.780% | HUF | 40,000,000 | 3/16/2016 | 2,779 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Budapest Interbank Offered Rate | 6.300% | HUF | 43,955,931 | 3/16/2016 | (1,740) | ||||||||||||||
| The Royal Bank of Scotland | 6 month Budapest Interbank Offered Rate | 7.150% | HUF | 49,000,000 | 3/16/2016 | 7,527 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Budapest Interbank Offered Rate | 6.760% | HUF | 150,000,000 | 3/16/2016 | 9,740 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Budapest Interbank Offered Rate | 6.930% | HUF | 50,000,000 | 9/21/2016 | 4,706 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Budapest Interbank Offered Rate | 6.730% | HUF | 70,000,000 | 9/21/2016 | 3,262 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Budapest Interbank Offered Rate | 6.580% | HUF | 100,000,000 | 9/21/2016 | 1,097 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Budapest Interbank Offered Rate | 7.110% | HUF | 320,000,000 | 9/21/2016 | 43,800 | ||||||||||||||
| The Royal Bank of Scotland | 4.270% | (4) | KRW | 5,100,000,000 | 3/16/2016 | (73,145) | ||||||||||||||
| The Royal Bank of Scotland | 4.270% | (4) | KRW | 5,100,000,000 | 3/16/2016 | (73,145) | ||||||||||||||
| The Royal Bank of Scotland | 3 month Korean Certificate of Deposit | 3.680% | KRW | 200,000,000 | 3/16/2016 | (1,874) | ||||||||||||||
| The Royal Bank of Scotland | 3 month Korean Certificate of Deposit | 3.734% | KRW | 200,000,000 | 3/16/2016 | (1,713) | ||||||||||||||
| The Royal Bank of Scotland | 3 month Korean Certificate of Deposit | 3.690% | KRW | 330,000,000 | 3/16/2016 | (2,959) | ||||||||||||||
| The Royal Bank of Scotland | 3 month Korean Certificate of Deposit | 3.690% | KRW | 380,000,000 | 3/16/2016 | (3,407) | ||||||||||||||
| The Royal Bank of Scotland | 3 month Korean Certificate of Deposit | 4.115% | KRW | 490,000,000 | 3/16/2016 | 3,975 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Korean Certificate of Deposit | 4.255% | KRW | 630,000,000 | 3/16/2016 | 8,656 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Korean Certificate of Deposit | 4.285% | KRW | 700,000,000 | 3/16/2016 | 10,461 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Korean Certificate of Deposit | 3.930% | KRW | 860,000,000 | 3/16/2016 | 583 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Korean Certificate of Deposit | 3.753% | KRW | 1,455,153,531 | 3/16/2016 | (9,542) | ||||||||||||||
| The Royal Bank of Scotland | 3 month Korean Certificate of Deposit | 4.240% | KRW | 5,100,000,000 | 3/16/2016 | 66,996 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Korean Certificate of Deposit | 4.400% | KRW | 1,400,000,000 | 9/21/2016 | 26,459 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Korean Certificate of Deposit | 4.265% | KRW | 1,800,000,000 | 9/21/2016 | 23,799 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Korean Certificate of Deposit | 4.035% | KRW | 3,500,000,000 | 9/21/2016 | 12,426 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Korean Certificate of Deposit | 4.405% | KRW | 5,000,000,000 | 9/21/2016 | 95,546 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Korean Certificate of Deposit | 4.395% | KRW | 5,100,000,000 | 9/21/2016 | 95,313 | ||||||||||||||
| The Royal Bank of Scotland | 3.950% | (4) | KRW | 220,000,000 | 3/16/2016 | (326) | ||||||||||||||
| The Royal Bank of Scotland | 5.600% | (5) | PLN | 14,400,000 | 3/16/2016 | (73,477) | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 47 | |||||||||
| Consolidated Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR RISK PARITY FUND |
| COUNTERPARTY | PAYMENTS MADE BY THE FUND | PAYMENTS RECEIVED BY THE FUND |
CURRENCY | NOTIONAL AMOUNT |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| (continued) | ||||||||||||||||||||
| The Royal Bank of Scotland | 6 month Warsaw Interbank Offered Rate | 5.600% | PLN | 500,000 | 3/16/2016 | $2,551 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Warsaw Interbank Offered Rate | 5.270% | PLN | 590,000 | 3/16/2016 | 29 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Warsaw Interbank Offered Rate | 4.980% | PLN | 990,000 | 3/16/2016 | (4,335) | ||||||||||||||
| The Royal Bank of Scotland | 6 month Warsaw Interbank Offered Rate | 5.640% | PLN | 1,280,000 | 3/16/2016 | 7,313 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Warsaw Interbank Offered Rate | 5.560% | PLN | 1,780,000 | 3/16/2016 | 7,996 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Warsaw Interbank Offered Rate | 4.940% | PLN | 2,060,979 | 3/16/2016 | (10,246) | ||||||||||||||
| The Royal Bank of Scotland | 6 month Warsaw Interbank Offered Rate | 5.690% | PLN | 7,200,000 | 3/16/2016 | 46,630 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Warsaw Interbank Offered Rate | 5.690% | PLN | 2,400,000 | 9/21/2016 | 14,010 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Warsaw Interbank Offered Rate | 5.500% | PLN | 3,500,000 | 9/21/2016 | 12,602 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Warsaw Interbank Offered Rate | 5.740% | PLN | 14,500,000 | 9/21/2016 | 96,204 | ||||||||||||||
| The Royal Bank of Scotland | 2.185% | (6) | SGD | 2,300,000 | 3/16/2016 | (55,414) | ||||||||||||||
| The Royal Bank of Scotland | 6 month Singapore Interbank Offered Rate | 1.750% | SGD | 220,000 | 3/16/2016 | 1,714 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Singapore Interbank Offered Rate | 1.815% | SGD | 365,898 | 3/16/2016 | 3,749 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Singapore Interbank Offered Rate | 2.190% | SGD | 220,000 | 3/16/2016 | 5,342 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Singapore Interbank Offered Rate | 2.145% | SGD | 260,000 | 3/16/2016 | 5,874 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Singapore Interbank Offered Rate | 2.055% | SGD | 1,200,000 | 3/16/2016 | 23,059 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Singapore Interbank Offered Rate | 2.250% | SGD | 200,000 | 9/21/2016 | 3,963 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Singapore Interbank Offered Rate | 2.550% | SGD | 300,000 | 9/21/2016 | 9,506 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Singapore Interbank Offered Rate | 1.945% | SGD | 2,200,000 | 9/21/2016 | 17,032 | ||||||||||||||
| The Royal Bank of Scotland | 6 month Singapore Interbank Offered Rate | 2.540% | SGD | 2,300,000 | 9/21/2016 | 71,970 | ||||||||||||||
| The Royal Bank of Scotland | 7.930% | (7) | ZAR | 25,700,000 | 3/16/2016 | (59,297) | ||||||||||||||
| The Royal Bank of Scotland | 3 month Johannesburg Interbank Agreed Rate | 7.040% | ZAR | 1,320,000 | 3/16/2016 | (3,869) | ||||||||||||||
| The Royal Bank of Scotland | 3 month Johannesburg Interbank Agreed Rate | 7.080% | ZAR | 1,320,000 | 3/16/2016 | (3,559) | ||||||||||||||
| The Royal Bank of Scotland | 3 month Johannesburg Interbank Agreed Rate | 7.785% | ZAR | 1,800,000 | 3/16/2016 | 2,617 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Johannesburg Interbank Agreed Rate | 7.390% | ZAR | 2,390,000 | 3/16/2016 | (2,083) | ||||||||||||||
| The Royal Bank of Scotland | 3 month Johannesburg Interbank Agreed Rate | 7.610% | ZAR | 2,810,000 | 3/16/2016 | 1,190 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Johannesburg Interbank Agreed Rate | 7.155% | ZAR | 3,282,843 | 3/16/2016 | (7,387) | ||||||||||||||
| The Royal Bank of Scotland | 3 month Johannesburg Interbank Agreed Rate | 7.990% | ZAR | 13,100,000 | 3/16/2016 | 34,852 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Johannesburg Interbank Agreed Rate | 8.310% | ZAR | 1,700,000 | 9/21/2016 | 5,676 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Johannesburg Interbank Agreed Rate | 8.275% | ZAR | 5,100,000 | 9/21/2016 | 15,948 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Johannesburg Interbank Agreed Rate | 7.750% | ZAR | 5,300,000 | 9/21/2016 | (322) | ||||||||||||||
| The Royal Bank of Scotland | 3 month Johannesburg Interbank Agreed Rate | 7.840% | ZAR | 8,000,000 | 9/21/2016 | 3,878 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Johannesburg Interbank Agreed Rate | 8.332% | ZAR | 25,900,000 | 9/21/2016 | 89,955 | ||||||||||||||
| The Royal Bank of Scotland | 3 month Johannesburg Interbank Offered Rate | 7.350% | ZAR | 1,370,000 | 3/16/2016 | (1,516) | ||||||||||||||
| The Royal Bank of Scotland | 6.955% | (7) | ZAR | 1,560,000 | 3/16/2016 | 5,354 | ||||||||||||||
|
|
|
|||||||||||||||||||
| $639,973 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| (1) | 6 month Prague Interbank Offered Rate |
| (2) | 3 month Hong Kong Interbank Offered Rate |
| (3) | 6 month Budapest Interbank Offered Rate |
| (4) | 3 month Korean Certificate of Deposit |
| (5) | 6 month Warsaw Interbank Offered Rate |
| (6) | 6 month Singapore Interbank Offered Rate |
| (7) | 3 month Johannesburg Interbank Agreed Rate |
Money Market Fund pledged as collateral to broker is included in the forward foreign currency exchange contracts.
Total return swap contracts outstanding as of June 30, 2011:
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE |
NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||
| Merrill Lynch | 10-Year Mini Japanese Treasury Bond | 9/8/2011 | $59,503,804 | $62,186 | ||||||||
| Merrill Lynch | 10-Year U.S. Treasury Note | 9/21/2011 | 51,887,642 | 101,811 | ||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 48 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Consolidated Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR RISK PARITY FUND |
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||
| (continued) | ||||||||||||
| Morgan Stanley and Co., International PLC | Bovespa Index | 8/17/2011 | $1,023,180 | $(11,470) | ||||||||
| Merrill Lynch | Euro - Bund Futures | 9/8/2011 | 26,729,687 | 19,142 | ||||||||
| Morgan Stanley and Co., International PLC | KOSPI 200 Futures | 9/8/2011 | 1,953,856 | (10,803) | ||||||||
| Merrill Lynch | Long Gilt | 9/28/2011 | 14,828,206 | 20,069 | ||||||||
| Barclays Capital | Soybean Futures | 1/13/2012 | 407,850 | (16,575) | ||||||||
| Morgan Stanley and Co., International PLC | Swiss Market Index | 9/16/2011 | 72,081 | 1,520 | ||||||||
| Morgan Stanley and Co., International PLC | Russian Equity Index | 6/15/2050 | 1,200,802 | (7,380) | ||||||||
|
|
|
|||||||||||
| $158,500 | ||||||||||||
|
|
|
|||||||||||
Money Market Fund is pledged as collateral to brokers for total return swap contracts in the amount of $730,131.
Open futures contracts outstanding at June 30, 2011:
| NUMBER OF CONTRACTS |
TYPE | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 4 | Amsterdam Index Futures | July 15, 2011 | $391,126 | $394,150 | $3,024 | |||||||||||
| 6 | Australia 10-Year Bond Future | September 15, 2011 | 681,417 | 682,509 | 1,092 | |||||||||||
| 51 | CAC40 10 Euro Futures | July 15, 2011 | 2,836,885 | 2,943,145 | 106,260 | |||||||||||
| 1 | Cattle Feeder Futures | August 25, 2011 | 67,866 | 69,038 | 1,172 | |||||||||||
| 1 | Cocoa Futures | September 15, 2011 | 30,500 | 31,510 | 1,010 | |||||||||||
| 9 | Coffee ‘C’ Futures | September 20, 2011 | 902,776 | 896,400 | (6,376) | |||||||||||
| 40 | Corn Futures | December 14, 2011 | 1,391,305 | 1,241,000 | (150,305) | |||||||||||
| 16 | Cotton No.2 Futures | December 7, 2011 | 1,038,719 | 948,720 | (89,999) | |||||||||||
| 54 | Crude Oil Financial Futures | August 19, 2011 | 5,439,280 | 5,181,840 | (257,440) | |||||||||||
| 11 | DAX Index Futures | September 16, 2011 | 2,857,327 | 2,947,665 | 90,338 | |||||||||||
| 18 | E-Mini Russell 2000 Futures | September 16, 2011 | 1,403,937 | 1,485,720 | 81,783 | |||||||||||
| 9 | European Gasoil (ICE) Futures | August 10, 2011 | 854,400 | 836,550 | (17,850) | |||||||||||
| 41 | FTSE 100 Index Futures | September 16, 2011 | 3,786,612 | 3,884,019 | 97,407 | |||||||||||
| 14 | FTSE/JSE Top 40 Index Futures | September 15, 2011 | 577,702 | 590,825 | 13,123 | |||||||||||
| 5 | FTSE/MIB Index Futures | September 16, 2011 | 729,250 | 732,797 | 3,547 | |||||||||||
| 17 | Globex Brent FCL Futures | August 15, 2011 | 1,921,810 | 1,910,970 | (10,840) | |||||||||||
| 5 | Globex Heat Oil Futures | August 30, 2011 | 642,886 | 621,936 | (20,950) | |||||||||||
| 5 | Globex RBOB Gas Futures | August 30, 2011 | 616,371 | 615,174 | (1,197) | |||||||||||
| 29 | Gold 100 OZ Futures | August 29, 2011 | 4,366,015 | 4,358,120 | (7,895) | |||||||||||
| 8 | Hang Seng Index Futures | July 28, 2011 | 1,131,211 | 1,152,859 | 21,648 | |||||||||||
| 20 | H-SHARES Index Futures | July 28, 2011 | 1,589,550 | 1,619,569 | 30,019 | |||||||||||
| 7 | IBEX 35 Index Futures | July 15, 2011 | 1,012,572 | 1,042,818 | 30,246 | |||||||||||
| 5 | Lean Hogs Futures | October 14, 2011 | 169,287 | 172,450 | 3,163 | |||||||||||
| 6 | Live Cattle Futures | October 31, 2011 | 264,902 | 281,280 | 16,378 | |||||||||||
| 4 | LME Aluminum Futures | July 7, 2011 | 268,766 | 250,413 | (18,353) | |||||||||||
| 2 | LME Aluminum Futures | July 21, 2011 | 137,037 | 125,482 | (11,555) | |||||||||||
| 4 | LME Aluminum Futures | July 28, 2011 | 277,325 | 251,240 | (26,085) | |||||||||||
| 1 | LME Aluminum Futures | August 4, 2011 | 69,505 | 62,878 | (6,627) | |||||||||||
| 8 | LME Aluminum Futures | August 5, 2011 | 521,640 | 503,108 | (18,532) | |||||||||||
| 3 | LME Aluminum Futures | August 9, 2011 | 196,140 | 188,783 | (7,357) | |||||||||||
| 1 | LME Aluminum Futures | August 12, 2011 | 64,955 | 62,957 | (1,998) | |||||||||||
| 1 | LME Aluminum Futures | August 19, 2011 | 63,780 | 63,020 | (760) | |||||||||||
| 2 | LME Aluminum Futures | August 31, 2011 | 132,693 | 126,213 | (6,480) | |||||||||||
| 8 | LME Aluminum Futures | September 1, 2011 | 535,758 | 504,914 | (30,844) | |||||||||||
| 6 | LME Aluminum Futures | September 9, 2011 | 399,777 | 379,072 | (20,705) | |||||||||||
| 2 | LME Aluminum Futures | September 16, 2011 | 126,760 | 126,469 | (291) | |||||||||||
| 2 | LME Aluminum Futures | September 20, 2011 | 126,010 | 126,534 | 524 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 49 | |||||||||
| Consolidated Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR RISK PARITY FUND |
| NUMBER OF CONTRACTS |
TYPE | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: (continued) | ||||||||||||||||
| 6 | LME Aluminum Futures | September 23, 2011 | $375,919 | $379,683 | $3,764 | |||||||||||
| 43 | LME Aluminum Futures | December 19, 2011 | 2,841,842 | 2,746,625 | (95,217) | |||||||||||
| 1 | LME Copper Futures | July 7, 2011 | 240,603 | 235,377 | (5,226) | |||||||||||
| 1 | LME Copper Futures | July 11, 2011 | 247,834 | 235,430 | (12,404) | |||||||||||
| 1 | LME Copper Futures | July 14, 2011 | 236,505 | 235,470 | (1,035) | |||||||||||
| 2 | LME Copper Futures | August 5, 2011 | 439,510 | 471,343 | 31,833 | |||||||||||
| 1 | LME Copper Futures | August 31, 2011 | 230,464 | 235,737 | 5,273 | |||||||||||
| 2 | LME Copper Futures | September 1, 2011 | 460,971 | 471,481 | 10,510 | |||||||||||
| 1 | LME Copper Futures | September 6, 2011 | 228,340 | 235,755 | 7,415 | |||||||||||
| 1 | LME Copper Futures | September 15, 2011 | 228,971 | 235,783 | 6,812 | |||||||||||
| 10 | LME Copper Futures | September 19, 2011 | 2,466,249 | 2,358,000 | (108,249) | |||||||||||
| 1 | LME Copper Futures | September 23, 2011 | 226,255 | 235,750 | 9,495 | |||||||||||
| 1 | LME Copper Futures | September 30, 2011 | 234,096 | 235,750 | 1,654 | |||||||||||
| 10 | LME Copper Futures | December 19, 2011 | 2,303,350 | 2,359,250 | 55,900 | |||||||||||
| 48 | LME HG Aluminum Futures | September 19, 2011 | 3,168,100 | 3,037,200 | (130,900) | |||||||||||
| 3 | LME Primary Aluminum Futures | September 30, 2011 | 190,740 | 189,900 | (840) | |||||||||||
| 1 | LME Zinc Futures | September 19, 2011 | 63,569 | 59,119 | (4,450) | |||||||||||
| 1 | LME Zinc Futures | December 19, 2011 | 56,867 | 59,618 | 2,751 | |||||||||||
| 46 | MSCI Taiwan Stock Index Futures | July 28, 2011 | 1,338,648 | 1,362,520 | 23,872 | |||||||||||
| 2 | Natural Gas Swap Futures | July 27, 2011 | 24,350 | 21,870 | (2,480) | |||||||||||
| 146 | Natural Gas Swap Futures | August 29, 2011 | 1,771,440 | 1,603,445 | (167,995) | |||||||||||
| 279 | S&P 500 E-Mini Futures | September 16, 2011 | 17,741,846 | 18,351,225 | 609,379 | |||||||||||
| 18 | S&P MID 400 E-Mini Futures | September 16, 2011 | 1,676,927 | 1,757,700 | 80,773 | |||||||||||
| 9 | S&P/Toronto Stock Exchange 60 Index | September 15, 2011 | 1,387,345 | 1,422,531 | 35,186 | |||||||||||
| 27 | SGX S&P CNX Nifty Index Futures | July 28, 2011 | 300,474 | 305,235 | 4,761 | |||||||||||
| 17 | Soybean Futures | January 13, 2012 | 1,183,011 | 1,108,612 | (74,399) | |||||||||||
| 35 | Sugar #11 (World Markets) Futures | September 30, 2011 | 936,763 | 1,032,528 | 95,765 | |||||||||||
| 26 | TOPIX Index Futures | September 8, 2011 | 2,632,549 | 2,743,556 | 111,007 | |||||||||||
| 24 | Wheat Futures | December 14, 2011 | 995,695 | 789,000 | (206,695) | |||||||||||
|
|
|
|||||||||||||||
| 74,555 | ||||||||||||||||
|
|
|
|||||||||||||||
| Short Contracts: | ||||||||||||||||
| 4 | LME Aluminum Futures | July 7, 2011 | $(268,980) | $(250,413) | $18,567 | |||||||||||
| 2 | LME Aluminum Futures | July 21, 2011 | (137,140) | (125,482) | 11,658 | |||||||||||
| 4 | LME Aluminum Futures | July 28, 2011 | (276,980) | (251,239) | 25,741 | |||||||||||
| 1 | LME Aluminum Futures | August 4, 2011 | (69,732) | (62,878) | 6,854 | |||||||||||
| 8 | LME Aluminum Futures | August 5, 2011 | (518,194) | (503,108) | 15,086 | |||||||||||
| 3 | LME Aluminum Futures | August 9, 2011 | (196,291) | (188,784) | 7,507 | |||||||||||
| 1 | LME Aluminum Futures | August 12, 2011 | (64,732) | (62,957) | 1,775 | |||||||||||
| 1 | LME Aluminum Futures | August 19, 2011 | (63,860) | (63,020) | 840 | |||||||||||
| 2 | LME Aluminum Futures | August 31, 2011 | (132,490) | (126,213) | 6,277 | |||||||||||
| 8 | LME Aluminum Futures | September 1, 2011 | (535,960) | (504,914) | 31,046 | |||||||||||
| 6 | LME Aluminum Futures | September 9, 2011 | (396,720) | (379,071) | 17,649 | |||||||||||
| 2 | LME Aluminum Futures | September 16, 2011 | (128,282) | (126,469) | 1,813 | |||||||||||
| 2 | LME Aluminum Futures | September 20, 2011 | (126,176) | (126,534) | (358) | |||||||||||
| 6 | LME Aluminum Futures | September 23, 2011 | (377,173) | (379,683) | (2,510) | |||||||||||
| 12 | LME Aluminum Futures | December 19, 2011 | (761,364) | (766,500) | (5,136) | |||||||||||
| 1 | LME Copper Futures | July 7, 2011 | (242,745) | (235,377) | 7,368 | |||||||||||
| 1 | LME Copper Futures | July 11, 2011 | (245,495) | (235,430) | 10,065 | |||||||||||
| 1 | LME Copper Futures | July 14, 2011 | (236,046) | (235,469) | 577 | |||||||||||
| 2 | LME Copper Futures | August 5, 2011 | (439,090) | (471,343) | (32,253) | |||||||||||
| 1 | LME Copper Futures | August 31, 2011 | (230,745) | (235,738) | (4,993) | |||||||||||
| 2 | LME Copper Futures | September 1, 2011 | (460,240) | (471,481) | (11,241) | |||||||||||
| 1 | LME Copper Futures | September 6, 2011 | (228,370) | (235,755) | (7,385) | |||||||||||
| 1 | LME Copper Futures | September 15, 2011 | (228,995) | (235,782) | (6,787) | |||||||||||
| 10 | LME Copper Futures | September 19, 2011 | (2,294,349) | (2,358,000) | (63,651) | |||||||||||
| 1 | LME Copper Futures | September 23, 2011 | (225,920) | (235,750) | (9,830) | |||||||||||
| 1 | LME Copper Futures | September 30, 2011 | (232,870) | (235,750) | (2,880) | |||||||||||
| 1 | LME Copper Futures | December 19, 2011 | (226,320) | (235,925) | (9,605) | |||||||||||
| 48 | LME HG Aluminum Futures | September 19, 2011 | (3,116,814) | (3,037,200) | 79,614 | |||||||||||
| 3 | LME Primary Aluminum Futures | September 30, 2011 | (190,700) | (189,900) | 800 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 50 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Consolidated Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR RISK PARITY FUND |
| NUMBER OF CONTRACTS |
TYPE | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts: (continued) | ||||||||||||||||
| 1 | LME Zinc Futures | September 19, 2011 | $(56,495) | $(59,119) | $(2,624) | |||||||||||
| 7 | Soybean Futures | November 14, 2011 | (467,933) | (452,900) | 15,033 | |||||||||||
| 1 | Wheat Futures | September 14, 2011 | (35,296) | (30,713) | 4,583 | |||||||||||
|
|
|
|||||||||||||||
| 103,600 | ||||||||||||||||
|
|
|
|||||||||||||||
| $178,155 | ||||||||||||||||
|
|
|
|||||||||||||||
Cash held as collateral with broker for futures contracts was $5,312,664 at June 30, 2011.
Forward foreign currency exchange contracts outstanding as of June 30, 2011:
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Brazilian Real, Expiring 09/21/11 |
The Royal Bank of Scotland | BRL | 10,412,000 | $6,431,680 | $6,554,055 | $122,375 | ||||||||||||||
| Euro, Expiring 09/21/11 |
The Royal Bank of Scotland | EUR | 2,105,000 | 3,011,105 | 3,045,788 | 34,683 | ||||||||||||||
| Israeli Shekel, Expiring 09/21/11 |
The Royal Bank of Scotland | ILS | 24,424,000 | 7,095,541 | 7,146,246 | 50,705 | ||||||||||||||
| Korean Won, Expiring 09/21/11 |
The Royal Bank of Scotland | KRW | 5,707,796,000 | 5,248,631 | 5,320,174 | 71,543 | ||||||||||||||
| Mexican Peso, Expiring 09/21/11 |
The Royal Bank of Scotland | MXN | 96,949,000 | 8,234,407 | 8,221,270 | (13,137) | ||||||||||||||
| Singapore Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | SGD | 6,190,000 | 5,023,609 | 5,039,732 | 16,123 | ||||||||||||||
| Turkish Lira, Expiring 09/21/11 |
The Royal Bank of Scotland | TRY | 6,456,000 | 3,980,528 | 3,918,888 | (61,640) | ||||||||||||||
| Taiwanese Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | TWD | 181,925,000 | 6,391,394 | 6,339,668 | (51,726) | ||||||||||||||
| South African Rand, Expiring 09/21/11 |
The Royal Bank of Scotland | ZAR | 24,681,000 | 3,579,405 | 3,607,716 | 28,311 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 48,996,300 | 49,193,537 | 197,237 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Brazilian Real, Expiring 09/21/11 |
The Royal Bank of Scotland | BRL | (392,000) | $(241,008) | $(246,753) | $(5,745) | ||||||||||||||
| Euro, Expiring 09/21/11 |
The Royal Bank of Scotland | EUR | (35,725,000) | (51,382,978) | (51,691,574) | (308,596) | ||||||||||||||
| British Pound, Expiring 09/21/11 |
The Royal Bank of Scotland | GBP | (8,560,000) | (14,098,013) | (13,725,532) | 372,481 | ||||||||||||||
| Hong Kong Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | HKD | (16,000) | (2,055) | (2,057) | (2) | ||||||||||||||
| Israeli Shekel, Expiring 09/21/11 |
The Royal Bank of Scotland | ILS | (2,843,000) | (827,648) | (831,837) | (4,189) | ||||||||||||||
| Japanese Yen, Expiring 09/21/11 |
The Royal Bank of Scotland | JPY | (17,000,000) | (211,982) | (211,263) | 719 | ||||||||||||||
| Korean Won, Expiring 09/21/11 |
The Royal Bank of Scotland | KRW | (110,034,000) | (101,320) | (102,561) | (1,241) | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 51 | |||||||||
| Consolidated Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR RISK PARITY FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| (continued) | ||||||||||||||||||||
| Mexican Peso, Expiring 09/21/11 |
The Royal Bank of Scotland | MXN | (12,391,000) | $(1,040,471) | $(1,050,756) | $(10,285) | ||||||||||||||
| Russian Ruble, Expiring 09/21/11 |
The Royal Bank of Scotland | RUB | (31,220,000) | (1,103,508) | (1,108,744) | (5,236) | ||||||||||||||
| Singapore Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | SGD | (565,000) | (455,721) | (460,008) | (4,287) | ||||||||||||||
| Turkish Lira, Expiring 09/21/11 |
The Royal Bank of Scotland | TRY | (2,253,000) | (1,367,003) | (1,367,604) | (601) | ||||||||||||||
| Taiwanese Dollar, Expiring 09/21/11 |
The Royal Bank of Scotland | TWD | (9,921,000) | (344,829) | (345,724) | (895) | ||||||||||||||
| South African Rand, Expiring 09/21/11 |
The Royal Bank of Scotland | ZAR | (5,964,000) | (860,527) | (871,781) | (11,254) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (72,037,063) | (72,016,194) | 20,869 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(23,040,763) | $(22,822,657) | $218,106 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
Money Market Fund is pledged as collateral to broker for forward currency exchange contracts in the amount of $1,050,989.
BRL - Brazilian Real
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
ILS - Israeli Shekel
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
RUB - Russian Ruble
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwan Dollar
ZAR - South African Rand
| The accompanying notes are an integral part of these financial statements. |
| 52 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 53 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 54 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 55 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 56 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR MOMENTUM FUND |
Open futures contracts outstanding at June 30, 2011:
| NUMBER OF CONTRACTS |
TYPE | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 37 | S&P 500 E-Mini Futures | September 16, 2011 | $2,371,030 | $2,433,674 | $62,644 | |||||||||||
|
|
|
|||||||||||||||
Cash held as collateral with broker for futures contracts was $45,192 at June 30, 2011.
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2011 | 57 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 58 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 59 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 60 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 61 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 62 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 63 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 64 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
Open futures contracts outstanding at June 30, 2011:
| NUMBER OF CONTRACTS |
TYPE | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED APPRECIATION |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 14 | E-Mini Russell 2000 Futures | September 16, 2011 | $1,134,174 | $1,155,560 | $21,386 | |||||||||||
|
|
|
|||||||||||||||
Cash held as collateral with broker for futures contracts was $7,519 at June 30, 2011.
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2011 | 65 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 66 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 67 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 68 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2011 | 69 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 70 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Schedule of Investments | June 30, 2011 (Unaudited) |
| AQR INTERNATIONAL MOMENTUM FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2011:
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2011 |
UNREALIZED DEPRECIATION |
||||||||||||||
| British Pound, Expiring 09/21/11 |
The Royal Bank of Scotland | GBP | $187,687 | $309,348 | $300,947 | $(8,401) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
GBP - British Pound
Equity basket swap contracts with Deutsche Bank as of June 30, 2011:
| REFERENCE ENTITY |
SHARES LONG |
VALUE AT CONTRACT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||
| Antofagasta PLC | 1,945 | $38,505 | $5,378 | |||||||
| Fresnillo PLC | 3,595 | 77,402 | 4,303 | |||||||
| Old Mutual PLC | 7,263 | 14,885 | 802 | |||||||
| Petrofac Ltd. | 25 | 608 | 6 | |||||||
| Rolls-Royce Group PLC | 919,392 | 1,486 | — | |||||||
| Vedanta Resources PLC | 838 | 26,134 | 2,280 | |||||||
|
|
|
|||||||||
| 12,769 | ||||||||||
|
|
|
|||||||||
| Segregated cash balance for swap agreements. | 1,363 | |||||||||
|
|
|
|||||||||
| $14,132 | ||||||||||
|
|
|
|||||||||
The Swap contracts listed above reset monthly. The final termination date is July 15, 2011.
Money Market Fund is pledged as collateral to broker for swap contract in the amount of $242,033.
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2011 | 71 | |||||||||
| Statements of Assets and Liabilities | June 30, 2011 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
AQR INTERNATIONAL EQUITY FUND |
AQR DIVERSIFIED ARBITRAGE FUND |
AQR MANAGED FUTURES STRATEGY FUND** |
|||||||||||||
| ASSETS: | ||||||||||||||||
| Investments in securities, at cost | $387,761,301 | $487,492,964 | $2,257,282,597 | $1,331,748,701 | ||||||||||||
| Investments in securities, at value* | $453,283,136 | $551,329,189 | $2,350,496,928 | $1,331,748,701 | ||||||||||||
| Cash (including foreign currency of $1,645,233, $2,150,148, $16,994,057 and $160,776, respectively) | 1,945,311 | 4,152,969 | 19,634,150 | 2,076,285 | ||||||||||||
| Due from brokers | 11,620,674 | 14,838,805 | 579,215,962 | 61,180,305 | ||||||||||||
| Swaps, at value | 151,980 | 252,855 | 130,338 | 796,480 | ||||||||||||
| Unrealized appreciation on futures contracts | 2,588,841 | 3,814,905 | — | 14,835,292 | ||||||||||||
| Receivables: | ||||||||||||||||
| Securities sold |
13,593,122 | 772,545 | 54,574,779 | 5,503,164 | ||||||||||||
| Foreign tax reclaim |
533,936 | 913,823 | — | — | ||||||||||||
| Dividends and interest |
765,454 | 960,966 | 9,491,327 | 61,172 | ||||||||||||
| Capital shares sold |
— | 265,167 | 4,937,919 | 2,550,923 | ||||||||||||
| Prepaid expenses |
56,873 | 19,312 | 206,246 | 131,121 | ||||||||||||
| Total Assets | 484,539,327 | 577,320,536 | 3,018,687,649 | 1,418,883,443 | ||||||||||||
| LIABILITIES: | ||||||||||||||||
| Securities sold short, at value (proceeds $–, $–, $1,081,705,433 and $–, respectively) | — | — | 1,144,193,551 | — | ||||||||||||
| Options written, at value (proceeds $–, $–, $905,449 and $–, respectively) | — | — | 460,802 | — | ||||||||||||
| Unrealized depreciation on forward foreign currency exchange contracts | 1,778,792 | 3,385,650 | 1,869,209 | 5,080,637 | ||||||||||||
| Swaps, at value | — | — | 1,740,347 | — | ||||||||||||
| Unrealized depreciation on futures contracts | — | — | 3,726,516 | — | ||||||||||||
| Payables: | ||||||||||||||||
| Securities purchased |
12,017,616 | 2,724,808 | 89,956,064 | 7,418,670 | ||||||||||||
| Collateral received on securities loaned |
9,850,523 | 20,641,396 | 7,225,604 | — | ||||||||||||
| Accrued Investment advisory fees |
140,051 | 191,883 | 1,388,173 | 1,165,755 | ||||||||||||
| Accrued Shareholder servicing fees |
1,559 | 38,600 | — | — | ||||||||||||
| Accrued Distribution fees—Class N |
352 | 308 | 93,279 | 96,229 | ||||||||||||
| Capital shares redeemed |
— | — | 1,525,562 | 1,058,051 | ||||||||||||
| Dividends payable on securities sold short |
— | — | 592,348 | — | ||||||||||||
| Other accrued expenses and liabilities |
185,183 | 267,204 | 79,834 | 146,055 | ||||||||||||
| Total Liabilities | 23,974,076 | 27,249,849 | 1,252,851,289 | 14,965,397 | ||||||||||||
| Net Assets | $460,565,251 | $550,070,687 | $1,765,836,360 | $1,403,918,046 | ||||||||||||
| NET ASSETS CONSIST OF: | ||||||||||||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $372,932,266 | $455,210,372 | $1,734,615,918 | $1,431,448,706 | ||||||||||||
| Undistributed (accumulated) net investment income (loss) | 7,019,015 | 14,772,865 | 9,351,202 | (4,745,999) | ||||||||||||
| Undistributed (accumulated) net realized gain (loss) | 13,016,726 | 15,433,532 | (4,657,799) | (33,473,890) | ||||||||||||
| Net unrealized appreciation (depreciation) | 67,597,244 | 64,653,918 | 26,527,039 | 10,689,229 | ||||||||||||
| Net Assets | $460,565,251 | $550,070,687 | $1,765,836,360 | $1,403,918,046 | ||||||||||||
| NET ASSETS: | ||||||||||||||||
| Class I | $4,611,284 | $170,636,468 | $1,313,687,807 | $938,078,765 | ||||||||||||
| Class N | 1,756,659 | 1,529,025 | 452,148,553 | 465,839,281 | ||||||||||||
| Class Y | 454,197,308 | 377,905,194 | n/a | n/a | ||||||||||||
| SHARES OUTSTANDING: | ||||||||||||||||
| Class I | 393,632 | 15,279,055 | 117,030,824 | 94,572,812 | ||||||||||||
| Class N | 150,197 | 135,125 | 40,450,114 | 47,111,258 | ||||||||||||
| Class Y | 38,596,429 | 32,428,078 | n/a | n/a | ||||||||||||
| NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||||||
| Class I | $11.71 | $11.17 | $11.23 | $9.92 | ||||||||||||
| Class N | $11.70 | $11.32 | $11.18 | $9.89 | ||||||||||||
| Class Y | $11.77 | $11.65 | n/a | n/a | ||||||||||||
| Foreign currency at cost of $1,622,683, $2,122,216, $16,689,530 and $159,480, respectively. |
| * | Investments in securities includes the market value of securities out on loan of $9,468,894, $19,803,898, $6,963,670 and $—, respectively. |
| ** | 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. | (continued on p. 77) |
| 72 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Statements of Assets and Liabilities | June 30, 2011 (Unaudited) |
| AQR RISK PARITY FUND** |
AQR MOMENTUM FUND |
AQR SMALL CAP MOMENTUM FUND |
AQR INTERNATIONAL MOMENTUM FUND |
|||||||||||||
| ASSETS: | ||||||||||||||||
| Investments in securities, at cost | $132,805,031 | $274,944,485 | $100,170,910 | $77,874,676 | ||||||||||||
| Investments in securities, at value* | $134,108,046 | $289,308,630 | $109,674,700 | $86,008,392 | ||||||||||||
| Cash (including foreign currency of $281,168, $—, $— and $280,368, respectively) | 636,642 | 674,691 | 793,081 | 4,270,624 | ||||||||||||
| Due from brokers | 5,312,664 | 45,192 | 7,519 | — | ||||||||||||
| Unrealized appreciation on forward foreign currency exchange contracts | 218,106 | — | — | — | ||||||||||||
| Swaps, at value | 2,953,951 | — | — | 14,132 | ||||||||||||
| Unrealized appreciation on futures contracts | 178,155 | 62,644 | 21,386 | — | ||||||||||||
| Receivables: | ||||||||||||||||
| Securities sold |
284,055 | 72,404,968 | 20,475,133 | 20,235,356 | ||||||||||||
| Foreign tax reclaim |
— | — | — | 18,447 | ||||||||||||
| Dividends and interest |
572,419 | 157,158 | 55,941 | 170,101 | ||||||||||||
| Capital shares sold |
1,100,247 | 425,599 | 95,251 | 24,290 | ||||||||||||
| Prepaid expenses |
34,129 | 24,015 | 14,326 | 14,477 | ||||||||||||
| Total Assets | 145,398,414 | 363,102,897 | 131,137,337 | 110,755,819 | ||||||||||||
| LIABILITIES: | ||||||||||||||||
| Due to brokers | 710,030 | — | — | — | ||||||||||||
| Unrealized depreciation on forward foreign currency exchange contracts | — | — | — | 8,401 | ||||||||||||
| Swaps, at value | 22,243 | — | — | — | ||||||||||||
| Payables: | ||||||||||||||||
| Securities purchased |
639,602 | 90,199,632 | 27,774,455 | 28,505,921 | ||||||||||||
| Collateral received on securities loaned |
— | 7,396,263 | 1,827,400 | 2,175,845 | ||||||||||||
| Accrued Investment advisory fees |
65,502 | 23,283 | 14,186 | 8,818 | ||||||||||||
| Accrued Shareholder servicing fees |
— | 30,813 | 11,664 | 9,393 | ||||||||||||
| Accrued Distribution fees—Class N |
8,230 | — | — | — | ||||||||||||
| Capital shares redeemed |
193,745 | 61,860 | 66,170 | 48,092 | ||||||||||||
| Other accrued expenses and liabilities |
39,230 | 54,434 | 33,009 | 26,973 | ||||||||||||
| Total Liabilities | 1,678,582 | 97,766,285 | 29,726,884 | 30,783,443 | ||||||||||||
| Net Assets | $143,719,832 | $265,336,612 | $101,410,453 | $79,972,376 | ||||||||||||
| NET ASSETS CONSIST OF: | ||||||||||||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $138,578,685 | $246,172,828 | $89,188,914 | $70,741,613 | ||||||||||||
| Undistributed (accumulated) net investment income (loss) | 939,639 | 1,081,642 | 77,469 | 1,156,119 | ||||||||||||
| Undistributed (accumulated) net realized gain (loss) | 2,134,893 | 3,655,353 | 2,618,894 | (63,215) | ||||||||||||
| Net unrealized appreciation (depreciation) | 2,066,615 | 14,426,789 | 9,525,176 | 8,137,859 | ||||||||||||
| Net Assets | $143,719,832 | $265,336,612 | $101,410,453 | $79,972,376 | ||||||||||||
| NET ASSETS: | ||||||||||||||||
| Class I | $100,660,634 | n/a | n/a | n/a | ||||||||||||
| Class L | n/a | $265,336,612 | $101,410,453 | $79,972,376 | ||||||||||||
| Class N | 43,059,198 | n/a | n/a | n/a | ||||||||||||
| SHARES OUTSTANDING: | ||||||||||||||||
| Class I | 9,229,617 | n/a | n/a | n/a | ||||||||||||
| Class L | n/a | 17,368,783 | 6,501,160 | 5,585,544 | ||||||||||||
| Class N | 3,957,018 | n/a | n/a | n/a | ||||||||||||
| NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||||||
| Class I | $10.91 | n/a | n/a | n/a | ||||||||||||
| Class L | n/a | $15.28 | $15.60 | $14.32 | ||||||||||||
| Class N | $10.88 | n/a | n/a | n/a | ||||||||||||
| Foreign currency at cost of $275,337, $—, $— and $278,710, respectively. |
| * | Investments in securities includes the market value of securities out on loan of $—, $7,253,629, $1,786,264 and $2,102,606, respectively. |
| ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2011 | 73 | |||||||||
| Statements of Operations | June 30, 2011 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
AQR INTERNATIONAL EQUITY FUND |
AQR DIVERSIFIED ARBITRAGE FUND |
AQR MANAGED FUTURES STRATEGY FUND** |
|||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2011 |
FOR THE SIX MONTHS ENDED JUNE 30, 2011 |
FOR THE SIX MONTHS ENDED JUNE 30, 2011 |
FOR THE SIX MONTHS ENDED JUNE 30, 2011 |
|||||||||||||
| INVESTMENT INCOME: | ||||||||||||||||
| Dividend income† | $6,876,455 | $10,132,609 | $2,995,867 | $439,999 | ||||||||||||
| Interest income | — | — | 19,652,466 | — | ||||||||||||
| Securities lending income, net | 182,752 | 430,026 | 690,209 | — | ||||||||||||
| Total Income | 7,059,207 | 10,562,635 | 23,338,542 | 439,999 | ||||||||||||
| EXPENSES: | ||||||||||||||||
| Investment advisory fees | 895,632 | 1,086,266 | 7,469,623 | 6,266,568 | ||||||||||||
| Shareholder servicing fees | 7,514 | 169,784 | — | — | ||||||||||||
| Custody, administration & accounting fees | 101,247 | 135,185 | 332,022 | 338,206 | ||||||||||||
| Legal fees | 31,605 | 32,312 | 113,223 | 76,699 | ||||||||||||
| Audit & tax fees | 32,027 | 24,913 | 37,423 | 30,424 | ||||||||||||
| Shareholder reporting fees | 8,107 | 11,299 | 237,990 | 110,004 | ||||||||||||
| Transfer agent fees | 15,193 | 25,073 | 640,718 | 432,001 | ||||||||||||
| Trustee fees | 15,931 | 22,264 | 45,578 | 32,065 | ||||||||||||
| Distribution fees—Class N | 2,116 | 1,890 | 534,302 | 484,790 | ||||||||||||
| Dividends on securities sold short | — | — | 6,818,784 | — | ||||||||||||
| Recoupment of waiver | — | — | 8,354 | 43,567 | ||||||||||||
| Other fees | 126,218 | 72,989 | 272,857 | 147,029 | ||||||||||||
| Total Expenses | 1,235,590 | 1,581,975 | 16,510,874 | 7,961,353 | ||||||||||||
| Less waivers and reimbursements: | ||||||||||||||||
| Investment advisory fees waived |
(15,868) | (4,478) | — | (33,170) | ||||||||||||
| Shareholder servicing fees waived |
(7,514) | (2,646) | — | — | ||||||||||||
| Net Expenses | 1,212,208 | 1,574,851 | 16,510,874 | 7,928,183 | ||||||||||||
| Net Investment Income (Loss) | 5,846,999 | 8,987,784 | 6,827,668 | (7,488,184) | ||||||||||||
| REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||||
| Net realized gain (loss) from: | ||||||||||||||||
| Investments in securities |
12,069,907 | 13,335,963 | 53,795,336 | (15,327) | ||||||||||||
| Foreign currency and foreign currency translations |
(292,801) | (430,003) | (373,399) | 27,877 | ||||||||||||
| Forward foreign currency exchange contracts |
4,049,410 | 7,327,535 | (1,885,937) | 9,815,535 | ||||||||||||
| Futures contracts |
2,064,320 | (496,939) | (6,512,702) | (38,182,238) | ||||||||||||
| Securities sold short |
— | — | (39,908,902) | — | ||||||||||||
| Swap and swaps on futures contracts |
534,183 | 589,623 | (5,175,741) | (654,517) | ||||||||||||
| Written options |
— | — | 3,650,688 | — | ||||||||||||
| Net realized gain (loss) | 18,425,019 | 20,326,179 | 3,589,343 | (29,008,670) | ||||||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
| Investments in securities |
7,113,313 | 6,293,962 | (13,196,634) | — | ||||||||||||
| Foreign currency and foreign currency translations |
(59,357) | 36,339 | 532,451 | 138,880 | ||||||||||||
| Forward foreign currency exchange contracts |
(4,069,537) | (7,954,765) | (1,582,744) | (11,328,046) | ||||||||||||
| Futures contracts |
3,156,709 | 5,073,581 | (3,180,569) | 4,048,135 | ||||||||||||
| Securities sold short |
— | — | 9,421,266 | — | ||||||||||||
| Swap and swaps on futures contracts |
(341,548) | (186,868) | 2,862,618 | (2,480,846) | ||||||||||||
| Written options |
— | — | 308,686 | — | ||||||||||||
| Net change in unrealized appreciation (depreciation) | 5,799,580 | 3,262,249 | (4,834,926) | (9,621,877) | ||||||||||||
| Net gain (loss) and change in unrealized appreciation (depreciation) | 24,224,599 | 23,588,428 | (1,245,583) | (38,630,547) | ||||||||||||
| Net increase (decrease) in net assets resulting from operations | $30,071,598 | $32,576,212 | $5,582,085 | $(46,118,731) | ||||||||||||
|
|
||||||||||||||||
| † Net of foreign taxes withheld of |
$479,924 | $999,785 | $5,349 | $— | ||||||||||||
| ** | 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. | (continued on p. 79) |
| 74 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Statements of Operations | June 30, 2011 (Unaudited) |
| AQR RISK PARITY FUND** |
AQR MOMENTUM FUND |
AQR SMALL CAP MOMENTUM FUND |
AQR INTERNATIONAL MOMENTUM FUND |
|||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2011 |
FOR THE SIX MONTHS ENDED JUNE 30, 2011 |
FOR THE SIX MONTHS ENDED JUNE 30, 2011 |
FOR THE SIX MONTHS ENDED JUNE 30, 2011 |
|||||||||||||
| INVESTMENT INCOME: | ||||||||||||||||
| Dividend income† | $13,583 | $1,240,010 | $329,509 | $1,264,048 | ||||||||||||
| Interest income | 1,333,937 | — | — | — | ||||||||||||
| Securities lending income, net | — | 5,921 | 10,489 | 47,630 | ||||||||||||
| Total Income | 1,347,520 | 1,245,931 | 339,998 | 1,311,678 | ||||||||||||
| EXPENSES: | ||||||||||||||||
| Investment advisory fees | 333,754 | 246,151 | 140,311 | 120,709 | ||||||||||||
| Shareholder servicing fees | — | 147,691 | 60,134 | 51,733 | ||||||||||||
| Custody, administration & accounting fees | 28,117 | 40,839 | 33,947 | 27,921 | ||||||||||||
| Legal fees | 15,485 | 9,437 | 3,046 | 3,661 | ||||||||||||
| Audit & tax fees | 28,524 | 16,094 | 16,094 | 18,470 | ||||||||||||
| Shareholder reporting fees | 23,133 | 20,170 | 13,403 | 8,722 | ||||||||||||
| Transfer agent fees | 15,761 | 52,979 | 24,278 | 22,549 | ||||||||||||
| Trustee fees | 1,855 | 4,896 | 2,038 | 2,097 | ||||||||||||
| Distribution fees—Class N | 32,311 | — | — | — | ||||||||||||
| Other fees | 37,674 | 24,128 | 14,790 | 25,684 | ||||||||||||
| Total Expenses | 516,614 | 562,385 | 308,041 | 281,546 | ||||||||||||
| Less waivers and reimbursements: | ||||||||||||||||
| Investment advisory fees waived |
(61,425) | — | — | (2,245) | ||||||||||||
| Shareholder servicing fees waived |
— | (75,518) | (45,512) | (51,733) | ||||||||||||
| Net Expenses | 455,189 | 486,867 | 262,529 | 227,568 | ||||||||||||
| Net Investment Income (Loss) | 892,331 | 759,064 | 77,469 | 1,084,110 | ||||||||||||
| REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||||||
| Net realized gain (loss) from: | ||||||||||||||||
| Investments in securities |
257,480 | 2,812,678 | 1,595,293 | 23,892 | ||||||||||||
| Foreign currency and foreign currency translations |
(134,568) | — | — | 75,102 | ||||||||||||
| Forward foreign currency exchange contracts |
(841,094) | — | — | 17,825 | ||||||||||||
| Futures contracts |
(236,907) | 525,879 | 393,330 | — | ||||||||||||
| Swap and swaps on futures contracts |
3,213,534 | — | — | (19,896) | ||||||||||||
| Net realized gain (loss) | 2,258,445 | 3,338,557 | 1,988,623 | 96,923 | ||||||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
| Investments in securities |
1,456,766 | 4,176,242 | 3,803,587 | 2,308,088 | ||||||||||||
| Foreign currency and foreign currency translations |
(58,030) | — | — | (37,834) | ||||||||||||
| Forward foreign currency exchange contracts |
172,484 | — | — | (18,843) | ||||||||||||
| Futures contracts |
(182,023) | 64,078 | 32,695 | — | ||||||||||||
| Swap and swaps on futures contracts |
464,753 | — | — | (58,267) | ||||||||||||
| Net change in unrealized appreciation (depreciation) | 1,853,950 | 4,240,320 | 3,836,282 | 2,193,144 | ||||||||||||
| Net gain (loss) and change in unrealized appreciation (depreciation) | 4,112,395 | 7,578,877 | 5,824,905 | 2,290,067 | ||||||||||||
| Net increase (decrease) in net assets resulting from operations | $5,004,726 | $8,337,941 | $5,902,374 | $3,374,177 | ||||||||||||
|
|
||||||||||||||||
| † Net of foreign taxes withheld of |
$— | $— | $22 | $129,095 | ||||||||||||
| ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2011 | 75 | |||||||||
| Statements of Changes in Net Assets | June 30, 2011 |
| AQR GLOBAL EQUITY FUND |
AQR INTERNATIONAL EQUITY FUND |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2010 |
FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2010 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net Investment income (loss) | $5,846,999 | $6,758,950 | $8,987,784 | $8,347,504 | ||||||||||||
| Net realized gain (loss) | 18,425,019 | 19,174,656 | 20,326,179 | 10,063,553 | ||||||||||||
| Net change in unrealized appreciation (depreciation) | 5,799,580 | 28,446,319 | 3,262,249 | 27,034,263 | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
30,071,598 | 54,379,925 | 32,576,212 | 45,445,320 | ||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (57,496) | — | (1,939,218) | ||||||||||||
| Class N |
— | (43,413) | — | (30,891) | ||||||||||||
| Class Y |
— | (14,066,551) | — | (8,858,115) | ||||||||||||
| Total |
— | (14,167,460) | — | (10,828,224) | ||||||||||||
| Net realized gain: | ||||||||||||||||
| Class I |
— | (12,252) | — | (751,420) | ||||||||||||
| Class N |
— | (10,061) | — | (12,796) | ||||||||||||
| Class Y |
— | (2,827,146) | — | (3,126,673) | ||||||||||||
| Total |
— | (2,849,459) | — | (3,890,889) | ||||||||||||
| Total distributions |
— | (17,016,919) | — | (14,719,113) | ||||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold | 2,662,143 | 1,656,523 | 84,958,720 | 44,905,053 | ||||||||||||
| Reinvestment of distributions | — | 69,748 | — | 2,584,353 | ||||||||||||
| Cost of shares redeemed | (10,979) | — | (7,030,119) | (12,356,169) | ||||||||||||
| Redemption fees | — | — | 2,037 | 92 | ||||||||||||
| Net increase (decrease) from capital transactions | 2,651,164 | 1,726,271 | 77,930,638 | 35,133,329 | ||||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold | 244,253 | 2,068,625 | 38,915 | 1,454,807 | ||||||||||||
| Reinvestment of distributions | — | 52,615 | — | 42,682 | ||||||||||||
| Cost of shares redeemed | (87,482) | (754,495) | (76,589) | (97,610) | ||||||||||||
| Redemption fees | — | 2 | — | — | ||||||||||||
| Net increase (decrease) from capital transactions | 156,771 | 1,366,747 | (37,674) | 1,399,879 | ||||||||||||
| CLASS Y | ||||||||||||||||
| Proceeds from shares sold | — | — | 2,297,817 | 3,598,979 | ||||||||||||
| In-kind subscription (See Note 11) | — | 370,340,997 | — | — | ||||||||||||
| Reinvestment of distributions | — | 16,893,697 | — | 11,984,789 | ||||||||||||
| Cost of shares redeemed | — | (5,000) | (21,960,767) | (28,131,786) | ||||||||||||
| Redemption fees | — | — | 24,261 | 15,873 | ||||||||||||
| Net increase (decrease) from capital transactions | — | 387,229,694 | (19,638,689) | (12,532,145) | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 2,807,935 | 390,322,712 | 58,254,275 | 24,001,063 | ||||||||||||
| Total increase (decrease) in net assets | 32,879,533 | 427,685,718 | 90,830,487 | 54,727,270 | ||||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period | 427,685,718 | — | 459,240,200 | 404,512,930 | ||||||||||||
| End of period | $460,565,251 | $427,685,718 | $550,070,687 | $459,240,200 | ||||||||||||
| Undistributed accumulated net investment income (loss) at end of period | $7,019,015 | $1,172,016 | $14,772,865 | $5,785,081 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (continued on p. 81) |
| 76 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Statements of Changes in Net Assets | June 30, 2011 |
| AQR GLOBAL EQUITY FUND |
AQR INTERNATIONAL EQUITY FUND |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2010 |
FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2010 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period | 167,896 | — | 8,227,394 | 4,502,376 | ||||||||||||
| Shares sold | 226,696 | 161,426 | 7,694,831 | 4,730,717 | ||||||||||||
| Shares issued in reinvestment of distributions | — | 6,470 | — | 253,120 | ||||||||||||
| Shares redeemed | (960) | — | (643,170) | (1,258,819) | ||||||||||||
| Shares outstanding, end of period | 393,632 | 167,896 | 15,279,055 | 8,227,394 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period | 136,540 | — | 138,711 | 584 | ||||||||||||
| Shares sold | 21,376 | 203,862 | 3,498 | 144,573 | ||||||||||||
| Shares issued in reinvestment of distributions | — | 4,880 | — | 4,116 | ||||||||||||
| Shares redeemed | (7,719) | (72,202) | (7,084) | (10,562) | ||||||||||||
| Shares outstanding, end of period | 150,197 | 136,540 | 135,125 | 138,711 | ||||||||||||
| CLASS Y | ||||||||||||||||
| Shares outstanding, beginning of period | 38,596,429 | — | 34,152,071 | 35,486,692 | ||||||||||||
| Shares sold | — | — | 201,907 | 343,970 | ||||||||||||
| Shares issued in connection with in-kind subscription (See Note 11) | — | 37,034,100 | — | — | ||||||||||||
| Shares issued in reinvestment of distributions | — | 1,562,784 | — | 1,126,390 | ||||||||||||
| Shares redeemed | — | (455) | (1,925,900) | (2,804,981) | ||||||||||||
| Shares outstanding, end of period | 38,596,429 | 38,596,429 | 32,428,078 | 34,152,071 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2011 | 77 | |||||||||
| Statements of Changes in Net Assets | June 30, 2011 |
| AQR DIVERSIFIED ARBITRAGE FUND |
AQR MANAGED FUTURES STRATEGY FUND** |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2010 |
FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) |
FOR THE PERIOD 1/06/10*-12/31/10 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net Investment income (loss) | $6,827,668 | $6,921,419 | $(7,488,184) | $(3,689,893) | ||||||||||||
| Net realized gain (loss) | 3,589,343 | 6,466,867 | (29,008,670) | 26,125,282 | ||||||||||||
| Net change in unrealized appreciation (depreciation) | (4,834,926) | 26,362,020 | (9,621,877) | 20,311,106 | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
5,582,085 | 39,750,306 | (46,118,731) | 42,746,495 | ||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (2,529,523) | — | (4,988,075) | ||||||||||||
| Class N |
— | (496,243) | — | (1,283,887) | ||||||||||||
| Total |
— | (3,025,766) | — | (6,271,962) | ||||||||||||
| Net realized gain: | ||||||||||||||||
| Class I |
— | (9,148,432) | — | (8,519,610) | ||||||||||||
| Class N |
— | (4,389,758) | — | (2,443,893) | ||||||||||||
| Total |
— | (13,538,190) | — | (10,963,503) | ||||||||||||
| Total distributions |
— | (16,563,956) | — | (17,235,465) | ||||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold | 596,362,836 | 744,622,281 | 411,187,704 | 658,743,237 | ||||||||||||
| Reinvestment of distributions | — | 10,961,113 | — | 13,031,535 | ||||||||||||
| Cost of shares redeemed | (110,713,916) | (105,043,527) | (98,338,067) | (33,812,899) | ||||||||||||
| Redemption fees | — | 29 | 20,243 | 12,633 | ||||||||||||
| Net increase (decrease) from capital transactions | 485,648,920 | 650,539,896 | 312,869,880 | 637,974,506 | ||||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold | 144,357,705 | 366,744,101 | 264,228,518 | 289,880,071 | ||||||||||||
| Reinvestment of distributions | — | 4,779,404 | — | 3,704,252 | ||||||||||||
| Cost of shares redeemed | (76,748,198) | (77,340,720) | (55,352,878) | (28,806,659) | ||||||||||||
| Redemption fees | 58 | 5,055 | 10,870 | 17,187 | ||||||||||||
| Net increase (decrease) from capital transactions | 67,609,565 | 294,187,840 | 208,886,510 | 264,794,851 | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 553,258,485 | 944,727,736 | 521,756,390 | 902,769,357 | ||||||||||||
| Total increase (decrease) in net assets | 558,840,570 | 967,914,086 | 475,637,659 | 928,280,387 | ||||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period | 1,206,995,790 | 239,081,704 | 928,280,387 | — | ||||||||||||
| End of period | $1,765,836,360 | $1,206,995,790 | $1,403,918,046 | $928,280,387 | ||||||||||||
| Undistributed accumulated net investment income (loss) at end of period | $9,351,202 | $2,523,534 | $(4,745,999) | $2,742,185 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (continued on p. 83) |
| 78 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Statements of Changes in Net Assets | June 30, 2011 |
| AQR DIVERSIFIED ARBITRAGE FUND |
AQR MANAGED FUTURES STRATEGY FUND** |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2010 |
FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) |
FOR THE PERIOD 1/06/10*-12/31/10 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period | 73,942,810 | 14,819,735 | 63,824,670 | — | ||||||||||||
| Shares sold | 52,914,465 | 67,644,901 | 40,455,280 | 65,937,073 | ||||||||||||
| Shares issued in reinvestment of distributions | — | 990,163 | — | 1,286,430 | ||||||||||||
| Shares redeemed | (9,826,451) | (9,511,989) | (9,707,138) | (3,398,833) | ||||||||||||
| Shares outstanding, end of period | 117,030,824 | 73,942,810 | 94,572,812 | 63,824,670 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period | 34,430,118 | 7,332,864 | 26,365,662 | — | ||||||||||||
| Shares sold | 12,858,599 | 33,746,669 | 26,225,105 | 28,893,378 | ||||||||||||
| Shares issued in reinvestment of distributions | — | 432,917 | — | 366,394 | ||||||||||||
| Shares redeemed | (6,838,603) | (7,082,332) | (5,479,509) | (2,894,110) | ||||||||||||
| Shares outstanding, end of period | 40,450,114 | 34,430,118 | 47,111,258 | 26,365,662 | ||||||||||||
| * | 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 | Semi-Annual Report | June 2011 | 79 | |||||||||
| Statements of Changes in Net Assets | June 30, 2011 |
| AQR RISK PARITY FUND** | AQR MOMENTUM FUND | |||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) |
FOR THE PERIOD 9/30/10*-12/31/10 |
FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2010 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net Investment income (loss) | $892,331 | $15,932 | $759,064 | $476,664 | ||||||||||||
| Net realized gain (loss) | 2,258,445 | 404,456 | 3,338,557 | 296,966 | ||||||||||||
| Net change in unrealized appreciation (depreciation) | 1,853,950 | 212,665 | 4,240,320 | 9,823,731 | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
5,004,726 | 633,053 | 8,337,941 | 10,597,361 | ||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (127,380) | — | — | ||||||||||||
| Class L |
— | — | — | (134,564) | ||||||||||||
| Class N |
— | (121,230) | — | — | ||||||||||||
| Total |
— | (248,610) | — | (134,564) | ||||||||||||
| Net realized gain: | ||||||||||||||||
| Class L |
— | — | — | (309,664) | ||||||||||||
| Total |
— | — | — | (309,664) | ||||||||||||
| Total distributions |
— | (248,610) | — | (444,228) | ||||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold | 93,017,956 | 12,413,848 | — | — | ||||||||||||
| Reinvestment of distributions | — | 127,380 | — | — | ||||||||||||
| Cost of shares redeemed | (8,578,522) | (12,269) | — | — | ||||||||||||
| Redemption fees | 2,899 | — | — | — | ||||||||||||
| Net increase (decrease) from capital transactions | 84,442,333 | 12,528,959 | — | — | ||||||||||||
| CLASS L | ||||||||||||||||
| Proceeds from shares sold | — | — | 147,235,439 | 113,707,968 | ||||||||||||
| Reinvestment of distributions | — | — | — | 443,920 | ||||||||||||
| Cost of shares redeemed | — | — | (14,730,553) | (6,747,740) | ||||||||||||
| Redemption fees | — | — | 2,432 | 1,497 | ||||||||||||
| Net increase (decrease) from capital transactions | — | — | 132,507,318 | 107,405,645 | ||||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold | 34,485,720 | 11,092,756 | — | — | ||||||||||||
| Reinvestment of distributions | — | 120,969 | — | — | ||||||||||||
| Cost of shares redeemed | (4,196,010) | (145,014) | — | — | ||||||||||||
| Redemption fees | 518 | 432 | — | — | ||||||||||||
| Net increase (decrease) from capital transactions | 30,290,228 | 11,069,143 | — | — | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 114,732,561 | 23,598,102 | 132,507,318 | 107,405,645 | ||||||||||||
| Total increase (decrease) in net assets | 119,737,287 | 23,982,545 | 140,845,259 | 117,558,778 | ||||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period | 23,982,545 | — | 124,491,353 | 6,932,575 | ||||||||||||
| End of period | $143,719,832 | $23,982,545 | $265,336,612 | $124,491,353 | ||||||||||||
| Undistributed accumulated net investment income (loss) at end of period | $939,639 | $47,308 | $1,081,642 | $322,578 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (continued on p. 85) |
| 80 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Statements of Changes in Net Assets | June 30, 2011 |
| AQR RISK PARITY FUND** | AQR MOMENTUM FUND | |||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) |
FOR THE PERIOD 9/30/10*-12/31/10 |
FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2010 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period | 1,240,567 | — | — | — | ||||||||||||
| Shares sold | 8,807,263 | 1,229,100 | — | — | ||||||||||||
| Shares issued in reinvestment of distributions | — | 12,687 | — | — | ||||||||||||
| Shares redeemed | (818,213) | (1,220) | — | — | ||||||||||||
| Shares outstanding, end of period | 9,229,617 | 1,240,567 | — | — | ||||||||||||
| CLASS L | ||||||||||||||||
| Shares outstanding, beginning of period | — | — | 8,646,886 | 568,597 | ||||||||||||
| Shares sold | — | — | 9,704,988 | 8,561,328 | ||||||||||||
| Shares issued in reinvestment of distributions | — | — | — | 31,043 | ||||||||||||
| Shares redeemed | — | — | (983,091) | (514,082) | ||||||||||||
| Shares outstanding, end of period | — | — | 17,368,783 | 8,646,886 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period | 1,094,489 | — | — | — | ||||||||||||
| Shares sold | 3,259,092 | 1,096,773 | — | — | ||||||||||||
| Shares issued in reinvestment of distributions | — | 12,061 | — | — | ||||||||||||
| Shares redeemed | (396,563) | (14,345) | — | — | ||||||||||||
| Shares outstanding, end of period | 3,957,018 | 1,094,489 | — | — | ||||||||||||
| * | 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 | Semi-Annual Report | June 2011 | 81 | |||||||||
| Statements of Changes in Net Assets | June 30, 2011 |
| AQR SMALL CAP MOMENTUM FUND |
AQR INTERNATIONAL MOMENTUM FUND |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2010 |
FOR THE SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2010 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net Investment income (loss) | $77,469 | $93,134 | $1,084,110 | $485,477 | ||||||||||||
| Net realized gain (loss) | 1,988,623 | 1,019,454 | 96,923 | (517,845) | ||||||||||||
| Net change in unrealized appreciation (depreciation) | 3,836,282 | 5,493,162 | 2,193,144 | 5,421,094 | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
5,902,374 | 6,605,750 | 3,374,177 | 5,388,726 | ||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class L |
— | (88,580) | — | (198,118) | ||||||||||||
| Total |
— | (88,580) | — | (198,118) | ||||||||||||
| Net realized gain: | ||||||||||||||||
| Class L |
— | (487,666) | — | (61,012) | ||||||||||||
| Total |
— | (487,666) | — | (61,012) | ||||||||||||
| Total distributions |
— | (576,246) | — | (259,130) | ||||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS L | ||||||||||||||||
| Proceeds from shares sold | 46,515,123 | 47,944,290 | 31,921,963 | 45,816,669 | ||||||||||||
| Reinvestment of distributions | — | 576,046 | — | 259,022 | ||||||||||||
| Cost of shares redeemed | (5,512,391) | (3,285,924) | (17,416,849) | (18,877,307) | ||||||||||||
| Redemption fees | 765 | 1,061 | 1,706 | 1,346 | ||||||||||||
| Net increase (decrease) from capital transactions | 41,003,497 | 45,235,473 | 14,506,820 | 27,199,730 | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 41,003,497 | 45,235,473 | 14,506,820 | 27,199,730 | ||||||||||||
| Total increase (decrease) in net assets | 46,905,871 | 51,264,977 | 17,880,997 | 32,329,326 | ||||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period | 54,504,582 | 3,239,605 | 62,091,379 | 29,762,053 | ||||||||||||
| End of period | $101,410,453 | $54,504,582 | $79,972,376 | $62,091,379 | ||||||||||||
| Undistributed accumulated net investment income (loss) at end of period | $77,469 | $— | $1,156,119 | $72,009 | ||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS L | ||||||||||||||||
| Shares outstanding, beginning of period | 3,788,903 | 284,134 | 4,559,775 | 2,485,331 | ||||||||||||
| Shares sold | 3,076,970 | 3,707,891 | 2,286,397 | 3,653,199 | ||||||||||||
| Shares issued in reinvestment of distributions | — | 40,199 | — | 19,417 | ||||||||||||
| Shares redeemed | (364,713) | (243,321) | (1,260,628) | (1,598,172) | ||||||||||||
| Shares outstanding, end of period | 6,501,160 | 3,788,903 | 5,585,544 | 4,559,775 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| 82 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Statement of Cash Flows | June 30, 2011 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2011 |
||||
| CASH FLOWS FROM OPERATING ACTIVITIES: | ||||
| Net increase in net assets from operations | $5,582,085 | |||
| Adjustments to reconcile net increase in net assets resulting from operations to net cash provided (used) by operating activities: | ||||
| Payments to purchase securities |
(2,477,017,598) | |||
| Payments to cover short securities |
(513,804,794) | |||
| Proceeds from securities sold short |
1,010,305,377 | |||
| Proceeds from sale of securities |
1,654,641,296 | |||
| Realized gain on investments in securities |
(53,795,336) | |||
| Realized loss on securities sold short and written options |
36,258,214 | |||
| Change in unrealized depreciation on investments in securities |
13,196,634 | |||
| Change in unrealized appreciation on securities sold short and written options |
(9,729,952) | |||
| Amortization of bond premium |
759,039 | |||
| (Increases)/ decreases in operating assets: | ||||
| Dividends and interest |
(2,078,688) | |||
| Restricted cash |
4,797,323 | |||
| Due from brokers |
(242,586,671) | |||
| Swaps, at value |
(130,338) | |||
| Prepaid expenses |
(96,120) | |||
| Receivable for securities sold |
(44,728,435) | |||
| Increases/(decreases) in operating liabilities: | ||||
| Due to custodian |
(2,480,977) | |||
| Unrealized depreciation on futures contracts |
3,180,569 | |||
| Unrealized depreciation on forward foreign currency exchange contracts |
1,582,744 | |||
| Swaps, at value |
287,925 | |||
| Dividends on securities sold short |
(26,868) | |||
| Accrued Investment advisory fees |
634,196 | |||
| Accrued Custody, administration and accounting fees |
(142,536) | |||
| Accrued Distribution fees—Class N |
14,656 | |||
| Accrued Transfer agency fees |
(77,117) | |||
| Other accrued expenses and liabilities |
|
79,834 |
| |
| Collateral received on securities loaned |
7,225,604 | |||
| Payable for securities purchased |
75,498,970 | |||
| Net cash used by operating activities |
(532,650,964) | |||
| CASH FLOWS FROM FINANCING ACTIVITIES: | ||||
| Proceeds from shares sold |
738,812,246 | |||
| Payment on shares redeemed |
(186,527,132) | |||
| Net cash provided by financing activities |
552,285,114 | |||
| Net change in cash | 19,634,150 | |||
| Cash, beginning of period |
— | |||
| Cash, end of period |
$19,634,150 | |||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2011 | 83 | |||||||||
| Financial Highlights | June 30, 2011 |
| PER SHARE OPERATING PERFORMANCE: | ||||||||||||||||||||||||
| Change in Net Assets Resulting from Operations |
Less Dividends and Distributions | |||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
Net Investment Income (Loss) |
Net Realized and Unrealized Gain (Loss) |
Net Increase in Net Asset Value from Operations |
Distributions from Net Investment Income |
Distributions from Net Realized Gains |
|||||||||||||||||||
| AQR GLOBAL EQUITY FUND CLASS I5 | ||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) | $10.97 | 0.14 | 0.60 | 0.74 | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2010 | $10.00 | 0.16 | 1.25 | 1.41 | (0.36) | (0.08) | ||||||||||||||||||
| AQR GLOBAL EQUITY FUND CLASS N5 | ||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) | $10.97 | 0.11 | 0.62 | 0.73 | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2010† | $10.00 | 0.13 | 1.25 | 1.38 | (0.33) | (0.08) | ||||||||||||||||||
| AQR GLOBAL EQUITY FUND CLASS Y5 | ||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) | $10.99 | 0.15 | 0.63 | 0.78 | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2010 | $10.00 | 0.18 | 1.27 | 1.45 | (0.38) | (0.08) | ||||||||||||||||||
| AQR INTERNATIONAL EQUITY FUND CLASS I†5 | ||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) | $10.45 | 0.19 | 0.53 | 0.72 | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2010 | $9.78 | 0.16 | 0.84 | 1.00 | (0.24) | (0.09) | ||||||||||||||||||
| FOR THE PERIOD ENDED 9/30/096-12/31/09 | $10.00 | (0.01) | 0.22 | 0.21 | (0.14) | (0.29) | ||||||||||||||||||
| AQR INTERNATIONAL EQUITY FUND CLASS N5 | ||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) | $10.61 | 0.16 | 0.55 | 0.71 | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2010 | $9.91 | 0.14 | 0.88 | 1.02 | (0.23) | (0.09) | ||||||||||||||||||
| FOR THE PERIOD ENDED 9/30/096-12/31/09† | $10.00 | — | 0.20 | 0.20 | — | (0.29) | ||||||||||||||||||
| AQR INTERNATIONAL EQUITY FUND CLASS Y†5 | ||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) | $10.89 | 0.21 | 0.55 | 0.76 | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2010 | $10.16 | 0.20 | 0.89 | 1.09 | (0.27) | (0.09) | ||||||||||||||||||
| FOR THE PERIOD ENDED 8/28/098-12/31/09 | $10.00 | 0.03 | 0.57 | 0.60 | (0.15) | (0.29) | ||||||||||||||||||
| AQR DIVERSIFIED ARBITRAGE FUND CLASS I | ||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)5 | $11.15 | 0.06 | 0.02 | 0.08 | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2010† | $10.80 | 0.06 | 0.46 | 0.52 | (0.04) | (0.13) | ||||||||||||||||||
| FOR THE PERIOD ENDED 1/15/098-12/31/095† | $10.00 | 0.13 | 0.79 | 0.92 | (0.03) | (0.09) | ||||||||||||||||||
| AQR DIVERSIFIED ARBITRAGE FUND CLASS N† | ||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)5 | $11.12 | 0.04 | 0.02 | 0.06 | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2010 | $10.78 | 0.05 | 0.43 | 0.48 | (0.01) | (0.13) | ||||||||||||||||||
| FOR THE PERIOD ENDED 1/15/098-12/31/095 | $10.00 | 0.10 | 0.79 | 0.89 | (0.02) | (0.09) | ||||||||||||||||||
| AQR MANAGED FUTURES STRATEGY FUND CLASS I†5 | ||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) | $10.30 | (0.06) | (0.32) | (0.38) | — | — | ||||||||||||||||||
| FOR THE PERIOD ENDED 1/06/108-12/31/10 | $10.00 | (0.12) | 0.66 | 0.54 | (0.09) | (0.15) | ||||||||||||||||||
| AQR MANAGED FUTURES STRATEGY FUND CLASS N†5 | ||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2011 (Unaudited) | $10.28 | (0.07) | (0.32) | (0.39) | — | — | ||||||||||||||||||
| FOR THE PERIOD ENDED 1/06/108-12/31/10 | $10.00 | (0.15) | 0.66 | 0.51 | (0.08) | (0.15) | ||||||||||||||||||
| AQR RISK PARITY FUND CLASS I | ||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)5† | $10.28 | 0.11 | 0.52 | 0.63 | — | — | ||||||||||||||||||
| FOR THE PERIOD ENDED 9/30/108-12/31/10 | $10.00 | 0.02 | 0.38 | 0.40 | (0.12) | — | ||||||||||||||||||
| AQR RISK PARITY FUND CLASS N† | ||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)5 | $10.27 | 0.10 | 0.51 | 0.61 | — | — | ||||||||||||||||||
| FOR THE PERIOD ENDED 9/30/108-12/31/10 | $10.00 | 0.01 | 0.38 | 0.39 | (0.12) | — | ||||||||||||||||||
| AQR MOMENTUM FUND CLASS L† | ||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)5 | $14.40 | 0.06 | 0.82 | 0.88 | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2010 | $12.19 | 0.06 | 2.21 | 2.27 | (0.02) | (0.04) | ||||||||||||||||||
| FOR THE PERIOD ENDED 7/09/098-12/31/095 | $10.00 | 0.07 | 2.48 | 2.55 | (0.05) | (0.31) | ||||||||||||||||||
| AQR SMALL CAP MOMENTUM FUND CLASS L† | ||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)5 | $14.39 | 0.01 | 1.20 | 1.21 | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2010 | $11.40 | 0.03 | 3.13 | 3.16 | (0.03) | (0.14) | ||||||||||||||||||
| FOR THE PERIOD ENDED 7/09/098-12/31/095 | $10.00 | 0.04 | 2.06 | 2.10 | (0.03) | (0.67) | ||||||||||||||||||
| AQR INTERNATIONAL MOMENTUM FUND CLASS L† | ||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2011 (Unaudited)5 | $13.62 | 0.22 | 0.48 | 0.70 | — | — | ||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2010 | $11.98 | 0.08 | 1.62 | 1.70 | (0.05) | (0.01) | ||||||||||||||||||
| FOR THE PERIOD ENDED 7/09/098-12/31/095 | $10.00 | 0.04 | 2.26 | 2.30 | (0.09) | (0.23) | ||||||||||||||||||
| * | Annualized for periods less than one year. |
| † | Redemption fees of less than $0.005 per share were incurred by the share class. |
| 1 | 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. |
| 2 | 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. |
| 3 | Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
| The accompanying notes are an integral part of these financial statements. |
| 84 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| June 30, 2011 |
| RATIOS/SUPPLEMENTAL DATA: | ||||||||||||||||||||||||
|
|
Ratios to Average Net Assets of:* |
|||||||||||||||||||||||
| Total Distributions |
Net Asset Value, End of Period |
Total Return1,2 |
Net Assets, End of Period |
Expenses, Net of Reimbursements and/or Waivers3 |
Expenses, Net of Reimbursements and/or waivers (Excluding Dividend Short Expense & Interest Expense)3 |
Expenses, Before Reimbursements and/or Waivers3 |
Net Investment Income (Loss) |
Portfolio Turnover Rate4 |
||||||||||||||||
| — | $11.71 | 6.75% | $4,611,284 | 0.99% | 0.98% | 1.72% | 2.47% | 29% | ||||||||||||||||
| (0.44) | $10.97 | 14.12% | $1,841,838 | 0.79% | 0.79% | 0.79% | 1.41% | 72% | ||||||||||||||||
| — | $11.70 | 6.65% | $1,756,659 | 1.31% | 1.30% | 2.76% | 1.86% | 29% | ||||||||||||||||
| (0.41) | $10.97 | 13.83% | $1,497,723 | 1.10% | 1.10% | 1.10% | 1.28% | 72% | ||||||||||||||||
| — | $11.77 | 7.10% | $454,197,308 | 0.54% | 0.53% | 0.54% | 2.61% | 29% | ||||||||||||||||
| (0.46) | $10.99 | 14.54% | $424,346,157 | 0.50% | 0.50% | 0.71% | 1.81% | 72% | ||||||||||||||||
| — | $11.17 | 6.89% | $170,636,468 | 0.90% | 0.89% | 0.90% | 3.56% | 29% | ||||||||||||||||
| (0.33) | $10.45 | 10.40% | $85,968,655 | 0.90% | 0.90% | 1.03% | 1.72% | 93% | ||||||||||||||||
| (0.43) | $9.78 | 2.20% | $44,016,038 | 0.90% | 0.90% | 1.01% | (0.47)% | 29% | ||||||||||||||||
| — | $11.32 | 6.69% | $1,529,025 | 1.39% | 1.38% | 2.34% | 2.97% | 29% | ||||||||||||||||
| (0.32) | $10.61 | 10.40% | $1,472,368 | 1.25% | 1.25% | 3.50% | 1.51% | 93% | ||||||||||||||||
| (0.29) | $9.91 | 2.04% | $5,785 | 1.25% | 1.25% | 472.86%7 | (0.07)% | 29% | ||||||||||||||||
| — | $11.65 | 6.98% | $377,905,194 | 0.57% | 0.56% | 0.57% | 3.77% | 29% | ||||||||||||||||
| (0.36) | $10.89 | 10.84% | $371,799,177 | 0.55% | 0.55% | 0.77% | 2.02% | 93% | ||||||||||||||||
| (0.44) | $10.16 | 6.08% | $360,491,107 | 0.55% | 0.55% | 0.98% | 0.99% | 29% | ||||||||||||||||
| — | $11.23 | 0.72% | $1,313,687,807 | 2.13% | 1.20% | 2.13% | 1.00% | 145% | ||||||||||||||||
| (0.17) | $11.15 | 4.81%9 | $824,237,659 | 2.59% | 1.20% | 2.62% | 1.13% | 361% | ||||||||||||||||
| (0.12) | $10.80 | 9.24% | $160,026,814 | 2.46% | 1.20% | 3.25% | 1.30% | 482% | ||||||||||||||||
| — | $11.18 | 0.54% | $452,148,553 | 2.42% | 1.50% | 2.42% | 0.71% | 145% | ||||||||||||||||
| (0.14) | $11.12 | 4.52%9 | $382,758,131 | 2.89% | 1.50% | 2.92% | 0.85% | 361% | ||||||||||||||||
| (0.11) | $10.78 | 8.88% | $79,054,890 | 2.69% | 1.50% | 3.42% | 0.98% | 482% | ||||||||||||||||
| — | $9.92 | (3.69)% | $938,078,765 | 1.25% | 1.25% | 1.25% | (1.17)% | 0% | ||||||||||||||||
| (0.24) | $10.30 | 5.41% | $657,237,349 | 1.25% | 1.25% | 1.28% | (1.27)% | 0% | ||||||||||||||||
| — | $9.89 | (3.79)% | $465,839,281 | 1.50% | 1.50% | 1.52% | (1.43)% | 0% | ||||||||||||||||
| (0.23) | $10.28 | 5.12% | $271,043,038 | 1.50% | 1.50% | 1.56% | (1.54)% | 0% | ||||||||||||||||
| — | $10.91 | 6.13% | $100,660,634 | 0.95% | 0.95% | 1.06% | 2.03% | 34% | ||||||||||||||||
| (0.12) | $10.28 | 3.98% | $12,747,565 | 0.95% | 0.95% | 3.80% | 0.44% | 19% | ||||||||||||||||
| — | $10.88 | 5.94% | $43,059,198 | 1.20% | 1.20% | 1.40% | 1.95% | 34% | ||||||||||||||||
| (0.12) | $10.27 | 3.88% | $11,234,980 | 1.20% | 1.20% | 3.96% | 0.22% | 19% | ||||||||||||||||
| — | $15.28 | 6.11% | $265,336,612 | 0.49% | 0.49% | 0.57% | 0.77% | 72% | ||||||||||||||||
| (0.06) | $14.40 | 18.60% | $124,491,353 | 0.49% | 0.49% | 0.98% | 1.37% | 180% | ||||||||||||||||
| (0.36) | $12.19 | 25.58% | $6,932,575 | 0.49% | 0.49% | 5.08% | 1.23% | 163% | ||||||||||||||||
| — | $15.60 | 8.41% | $101,410,453 | 0.65% | 0.65% | 0.77% | 0.19% | 57% | ||||||||||||||||
| (0.17) | $14.39 | 27.69% | $54,504,582 | 0.65% | 0.65% | 1.85% | 0.66% | 380% | ||||||||||||||||
| (0.70) | $11.40 | 21.24% | $3,239,605 | 0.65% | 0.65% | 7.53% | 0.65% | 136% | ||||||||||||||||
| — | $14.32 | 5.14% | $79,972,376 | 0.66% | 0.65% | 0.82% | 3.14% | 97% | ||||||||||||||||
| (0.06) | $13.62 | 14.20% | $62,091,379 | 0.65% | 0.65% | 1.46% | 1.44% | 269% | ||||||||||||||||
| (0.32) | $11.98 | 23.08% | $29,762,053 | 0.65% | 0.65% | 2.22% | 0.63% | 160% | ||||||||||||||||
| 4 | Portfolio turnover is not annualized. |
| 5 | Based on average shares outstanding. |
| 6 | Commencement of offering of shares |
| 7 | The ratio is annualized for a short period of time and is not representative of what the ratio would be if the Fund class has operated for a longer period of time. |
| 8 | Commencement of operations. |
| 9 | For the year ended December 31, 2010, the Adviser contributed $544,199 into the AQR Diversified Arbitrage Fund to compensate the Fund for a loss incurred due to trade processing errors. The impact of the Adviser’s contribution increased the total return by 0.08%. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2011 | 85 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
1. Organization
AQR Funds (the “Trust”), organized as a Delaware statutory trust on September 4, 2008, is an open-end management investment company, under the Investment Company Act of 1940, as amended (the “1940 Act”). As of June 30, 2011, the Trust consists of eight active series (collectively, the “Funds” and each individually a “Fund”): AQR Global Equity Fund, AQR International Equity Fund, AQR Diversified Arbitrage Fund, AQR Managed Futures Strategy Fund, AQR Risk Parity Fund, AQR Momentum Fund, AQR Small Cap Momentum Fund, and AQR International Momentum Fund. 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.
The investment objective of the AQR Global Equity Fund is long-term capital appreciation. The principal investment strategies of the AQR Global Equity Fund include seeking to outperform the MSCI World Total Return Index (the “Global Equity Benchmark”) while seeking to control its tracking error relative to this benchmark. The Global Equity Benchmark 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. The AQR Global Equity Fund commenced operations on December 31, 2009. The Fund offers Class I, Class N and Class Y shares.
The investment objective of the AQR International Equity Fund is long-term capital appreciation. The principal investment strategies of the AQR International Equity Fund include seeking to outperform the MSCI EAFE Total Return Index (the “International Equity Benchmark”) while seeking to control its tracking error relative to this benchmark. The International Equity Benchmark is a free float-adjusted market capitalization index that is designed to measure the performance of equities in developed markets, excluding the United States and Canada. The AQR International Equity Fund Class Y shares commenced operations on August 28, 2009. Class I and Class N shares commenced operations on September 30, 2009.
The investment objective of the AQR Diversified Arbitrage Fund is long-term absolute returns. The principal investment strategies of the AQR Diversified Arbitrage Fund include seeking to outperform the Merrill Lynch 3-Month Treasury Bill Index (the “Absolute Return Benchmark”) using arbitrage and alternative investment strategies such as merger arbitrage, convertible arbitrage, other forms of arbitrage (including, but not limited to, when-issued trading arbitrage, stub-trading arbitrage and dual-class arbitrage) and other types of non-arbitrage alternative investment strategies. The AQR Diversified Arbitrage Fund commenced operations on January 15, 2009. The Fund offers Class I and Class N shares.
The investment objective of the AQR Managed Futures Strategy Fund is to seek long-term absolute returns. The Fund invests primarily in a portfolio of futures contracts and futures-related instruments. The Fund’s universe of investments includes more than 100 global developed and emerging market exchange-traded futures, futures related instruments and forward contracts across four major asset classes (commodities, currencies, fixed income and equities); however this universe of investments is subject to change under varying market conditions as these instruments evolve over time. The AQR Managed Futures Strategy Fund commenced operations on January 6, 2010. The Fund offers Class I and Class N shares.
The investment objective of the AQR Risk Parity Fund is to seek total return. Total return consists of capital appreciation and income. The Fund pursues its investment objective by allocating assets among major liquid asset classes (including global developed and emerging market equities, global nominal and inflation-linked government bonds, emerging market bonds, mortgage-backed securities, corporate and sovereign debt, the credit spreads of mortgage-backed securities and corporate and sovereign debt, developed and emerging market currencies, and commodities). The AQR Risk Parity Fund commenced operations on September 30, 2010. The Fund offers Class I and Class N shares.
The investment objective of the AQR Momentum Fund is to seek long-term capital appreciation. The Fund invests primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds, equity index futures, and depository receipts) of large and mid-sized companies traded on a principal U.S. exchange or over-the-counter market that the Adviser determines to have positive momentum. The Adviser considers a security to have positive momentum primarily if it has a return over the prior twelve months, that ranks in the top third of its relevant universe at the time of purchase. The AQR Momentum Fund commenced operations on July 9, 2009. The Fund offers Class L shares.
| 86 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
The investment objective of the AQR Small Cap Momentum Fund is to seek long-term capital appreciation. The Fund invests primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds, equity index futures and depository receipts) of small cap companies traded on a principal U.S. exchange or over-the-counter market that the Adviser determines to have positive momentum. The Adviser considers a security to have positive momentum primarily if it has a return over the prior twelve months, that ranks in the top third of its relevant universe at the time of purchase. The AQR Small Cap Momentum Fund commenced operations on July 9, 2009. The Fund offers Class L shares.
The investment objective of the AQR International Momentum Fund is to seek long-term capital appreciation. The Fund invests primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds, equity index futures and depositary receipts) of non-U.S. companies that the Adviser determines to have positive momentum. The Adviser considers a security to have positive momentum primarily if it has a return over the prior twelve months, that ranks in the top third of its relevant universe at the time of purchase. The AQR International Momentum Fund commenced operations on July 9, 2009. The Fund offers Class L shares.
2. Consolidation of Subsidiary — AQR Managed Futures Strategy Offshore Fund Ltd. and AQR Risk Parity Offshore Fund Ltd.
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 Risk Parity Fund include the accounts of AQR Managed Futures Strategy Offshore Fund Ltd. and AQR Risk Parity Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the “Subsidiaries”). All inter-company accounts and transactions have been eliminated in consolidation for the Funds. Each of the Subsidiaries has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.
AQR Managed Futures Strategy Fund and AQR Risk Parity Fund may each invest up to 25% of their total assets in its respective Subsidiary, which acts as an investment vehicle in order to effect certain investments consistent with the Funds’ investment objectives and policies.
A summary of the Funds’ investments in the Subsidiaries are as follows:
| INCEPTION DATE OF SUBSIDIARY |
SUBSIDIARY NET ASSETS AT JUNE 30, 2011 |
% OF TOTAL NET ASSETS AT JUNE 30, 2011 |
||||||||
| AQR Managed Futures Strategy Offshore Fund Ltd. |
January 6, 2010 | $ | 323,874,437 | 23.1 | % | |||||
| AQR Risk Parity Offshore Fund Ltd. |
September 30, 2010 | 28,661,916 | 19.9 | |||||||
3. Significant Accounting Policies
The following summarizes the significant accounting policies of the Funds:
Use of Estimates: The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reported period. Actual results could differ from those estimates.
Securities Valuation: Each Fund’s portfolio securities are valued as of the close of business of the regular session of trading on the NYSE (normally 4:00 p.m. Eastern time). Equity securities, including securities sold short, are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value pricing to international securities on a daily basis utilizing the quotations of an independent pricing service, unless the Adviser determines that use of another valuation methodology is appropriate. 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, securities and exchange rates in other markets, in determining fair value as of the time the Funds calculate their net
| AQR Funds | Semi-Annual Report | June 2011 | 87 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
asset value. Securities traded in the over-the-counter market, and which are not quoted by NASDAQ, are valued at the last sale price, if available, otherwise at the last quoted bid price (in the case of short sales, at the ask price). Bonds are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. The Funds value debt securities maturing less than 61 days from the date of purchase at amortized cost, which approximates market value. The value of futures contracts purchased and sold by the Funds is accounted for using the unrealized gain or loss on the contracts that is determined by marking the contracts to their current settlement prices. Futures and options contracts are valued at the last quoted sales price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. Prices of futures contracts are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation. Investments in open-end investment companies are valued at such investment company’s current day closing net asset value per share. Exchange-Traded Funds (“ETFs”) and closed-end investment companies are valued at the last quoted sales price. Equity, total return and commodity swap contracts are valued at fair value, based on the price of the underlying referenced instrument. Credit default swaps are valued daily primarily using independent pricing services or market makers. Interest rate swap contracts are valued at fair value as determined by an independent pricing service based on various valuation models which consider the terms of underlying contracts and market data inputs received from third parties.
The Funds may use pricing services to obtain readily available market quotations. Where market quotations are not readily available, or if an available market quotation is determined not to be reliable, a security will be valued based on its fair value as determined in accordance with the valuation procedures approved by the Funds’ Board of Trustees. Using fair value to price securities may 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.
Convertible Securities: The 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. Traditionally, convertible securities have paid dividends or interest greater than on the related common stocks, but less than fixed income non-convertible securities. 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 it 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 certain of their investments in convertible debt securities by selling short the issuer’s common stock.
Short Sales: The AQR Diversified Arbitrage Fund sells securities it does not own as a hedge against some of its long positions and/or in anticipation of a decline in the market value of that security (short sale). When the Fund makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer 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. Liabilities for securities sold short are recorded 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. Dividends declared on short positions open are recorded on the ex-date as an expense. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received. The Fund is also subject to the risk that it may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price.
The Fund is required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash deposited with broker for collateral for securities sold short is recorded as an asset on the Statement of Assets and Liabilities and securities segregated as collateral are denoted in the Schedule of Investments. The Fund may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities; and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security. The net amount of fees of $5,144,744 are included in interest income in the Statements of Operations.
| 88 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
Futures Contracts: The Funds invest in futures contracts (“futures”) The Funds, excluding AQR Managed Futures Strategy Fund and AQR Risk Parity Fund, invest in futures in order to hedge their investments or equitize their cash flows against fluctuations in value caused by changes in prevailing interest rates or market conditions. The AQR Managed Futures Strategy Fund and AQR Risk Parity Fund invest in futures as part of their primary investment strategy. Investments in futures may increase exposure to a particular market. No monies are paid or received by a Fund upon the purchase or sale of a futures contract. Initially, a Fund will be required to deposit with the broker an amount of cash or cash equivalents, known as initial margin, based on the value of the contract. Subsequent payments, called variation margin, to and from the broker, will be made on a daily basis as the price of the underlying instruments fluctuates, making the long and short positions in the futures contract more or less valuable, a process known as ‘marking-to-the-market.’ Once a final determination of variation margin is made, additional cash is required to be paid by or released to a Fund, and a Fund will realize a loss or gain. The use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. 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 Currency Contracts: The Funds buy and sell forward currency 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 a Fund intends to buy are denominated, when a Fund holds cash reserves and short term investments), or for other investment purposes. The U.S. dollar value of forward currency contracts is determined using current forward currency exchange rates supplied by a quotation service. 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 an unrealized gain or loss. 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 Fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statements of Assets and Liabilities. Forward currency contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Equity (including total return and commodity) Swap Contracts: The Funds invest in equity swaps to obtain exposure to the underlying referenced instrument, obtain leverage or enjoy the returns from ownership without actually owning the underlying position. Equity 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, basket of securities, security index or index component during the period of the swap. Equity swap contracts are marked to market daily based on the value of the underlying security and the change, if any, is recorded as an unrealized gain or loss. Equity swaps normally do not involve the delivery of securities or other underlying assets. If the other party to an equity swap defaults, a Fund’s risk of loss consists of the net amount of payments that such Fund is contractually entitled to receive, if any. Equity swaps are derivatives and their value can be very volatile. To the extent that the Adviser or Sub-Adviser, as applicable, do not accurately analyze and predict future market trends, the values of assets or economic factors, a Fund may suffer a loss, which may exceed the related amounts shown in the Statements of Assets and Liabilities. Periodic payments received or paid by the Funds are recorded as realized gains or losses. Equity 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 upfront 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. An upfront payment received by a Fund, as the protection seller, is recorded as a liability on the Fund’s books. An upfront payment made by a Fund, as the protection buyer, is recorded as an asset on the Fund’s books. Periodic payments received or paid by a Fund are recorded as realized gains or losses. The credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon the
| AQR Funds | Semi-Annual Report | June 2011 | 89 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
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 upfront payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, a Fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the Fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, a Fund may enter into offsetting credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statements of Assets and Liabilities. The 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 Fund and the counterparty. 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 Funds’ 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.
The credit default swaps in which the AQR Risk Parity Fund is providing protection at June 30, 2011 are summarized as follows:
|
MAXIMUM PAYOUT/NOTIONAL |
||||||||||||||||
| CREDIT SPREAD ON UNDERLYING (BASIS POINTS) |
0-5 YEARS USD |
0-5 YEARS EUR |
35-40 YEARS USD |
WRITTEN CREDIT DERIVATIVES AT FAIR VALUE |
||||||||||||
| 0-250 | 50,800 | 20,900 | — | $ | 1,200,266 | |||||||||||
| 251-500 | 35,150 | 11,700 | 1,575 | 932,969 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total | 85,950 | 32,600 | 1,575 | $ | 2,133,235 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Implied credit spreads are an indication of the seller’s performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include upfront payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. 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.
Interest Rate Swaps: The AQR Risk Parity Fund enters into interest rate swaps as part of its investment strategy. Interest rate swaps generally involve agreements to exchange fixed and floating payment obligations, without the exchange of the underlying notional amounts. Periodic payments received or paid by the Fund are recorded as realized gains and losses. Interest rate swaps are marked to market daily based on quotations as provided by an independent pricing service and the change is recorded as unrealized gain or loss. The Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Interest rate contracts outstanding, including their respective notional amounts at period end, if any, are listed after the Fund’s Schedule of Investments.
High Yield Securities: Certain Funds may 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. These instruments involve a greater risk of default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims.
Master Agreements: The Funds are a party to ISDA (International Swap and Derivatives Association, Inc.) Master Agreements (“Master Agreements”) with certain counterparties that govern over-the-counter derivative and foreign
| 90 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
exchange contracts entered into from time to time. The Master Agreements may contain provisions regarding, among other things, the parties’ general obligations, representations, agreements, collateral requirements, events of default and early termination. With respect to certain counterparties, in accordance with the terms of the Master Agreements, collateral posted to a Fund is held in a segregated account by the Fund’s custodian and with respect to those amounts which can be sold or repledged, are presented in the Fund’s Schedule of Investments. Collateral pledged by the Fund is segregated by the Fund’s custodian and identified in the Fund’s Schedule of Investments. Collateral can be in the form of cash or debt securities issued by the U.S. Government or related agencies or other securities as agreed to by the Fund and the applicable counterparty. Collateral requirements are determined based on the Fund’s net position with each counterparty. Termination events applicable to the Fund may occur upon a decline in the Fund’s net assets below a specified threshold over a certain period of time. Termination events applicable to counterparties may occur upon 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 derivative and foreign exchange 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 one or more of the Fund’s counterparties to elect early termination could impact a Fund’s future derivative activity. The Funds’ derivative assets and liabilities on the Statements of Assets and Liabilities are presented net when a legally enforceable master netting agreement exists between the Funds and a derivative counterparty.
Options: The Funds are authorized to 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 (or a Fund enters into a closing transaction), the Fund realizes a gain or loss on the option to the extent of the premiums received or paid (or gain or loss to the extent the cost of the closing transaction exceeds the premium paid or received). Written uncovered call options subject the Funds to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Put options written subject the Funds to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Fund, as writer of an option, bears the market risk of an unfavorable change in the price of the security underlying the written option. Written and purchased options are non-income producing investments.
Transactions in call and put options written during the six months ended June 30, 2011 for the AQR Diversified Arbitrage Fund, were as follows:
| CALL OPTIONS | PUT OPTIONS | |||||||||||||||
| SHARES SUBJECT TO CALL |
PREMIUM | SHARES SUBJECT TO PUT |
PREMIUM | |||||||||||||
| Options outstanding, December 31, 2010 |
(6,130 | ) | $ | (1,113,694 | ) | — | $ | — | ||||||||
| Options written |
(36,000 | ) | |
(7,156,061 |
) |
(6,851 | ) | (87,739 | ) | |||||||
| Options expired |
|
20,400 |
|
3,784,505 | 3,694 | 50,347 | ||||||||||
| Options exercised | 13,256 | 3,597,789 | 396 | 19,404 | ||||||||||||
| Options outstanding, June 30, 2011 | (8,474 | ) | $ | (887,461 | ) | (2,761 | ) | $ | (17,988 | ) | ||||||
Securities Lending: The Trust (excluding the AQR Managed Futures Strategy Fund and AQR Risk Parity Fund) may lend securities to brokers approved by the Adviser in order to generate additional income. Securities loaned are collateralized by cash, which is invested in various JPMorgan Money Market Funds. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time. Securities lending income is comprised of income earned on cash collateral investments (“Collateral Investments”), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements of Operations. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
| AQR Funds | Semi-Annual Report | June 2011 | 91 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
The Funds bear the risk of loss associated with the Collateral Investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments decline below the amount owed to a borrower, a Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all.
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 (“the Code”), as amended. 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.
Management 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 not 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 returns of the Funds for the period from commencement of operations through December 31, 2010 are open for examination. As of June 30, 2011, the Funds had no examinations in progress.
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 also not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax expense will significantly change in twelve months.
Securities Transactions and Investment Income: Investment transactions are accounted for on trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using effective interest method adjusted for amortization of premiums and accretion of discounts using the effective yield method. Dividend income/expense is recorded on the ex-dividend date.
Allocation of Income and Expenses: In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Each Fund is charged for those expenses that are directly attributable to each series, such as advisory fees and registration costs.
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, 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.
Foreign Currency Translation: The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and the other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
Although the net assets of the Funds are presented at the foreign exchange rates and market values at the close of the period, the Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign
| 92 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
exchange rates from the fluctuations arising from changes in the market prices of securities held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized and unrealized gains (losses) on investment transactions.
Reported realized foreign currency gains or losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized foreign exchange gains and losses 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.
Cash and Cash Equivalents: Cash and cash equivalents includes US dollar and foreign currency at bank accounts at amounts 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 Broker: Due to/from Broker represents cash balances on deposit with 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.
Distributions to Shareholders: 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. Distributions to shareholders are recorded on the ex-dividend date.
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. Federal Income Tax Matters
At June 30, 2011, the cost of long security positions and aggregate gross unrealized appreciation (depreciation) of investments for federal income tax purposes were as follows:
| FUND | COST OF INVESTMENTS |
GROSS UNREALIZED APPRECIATION |
GROSS UNREALIZED DEPRECIATION |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
| AQR Global Equity Fund |
$ | 394,881,877 | $ | 64,799,434 | $ | (6,398,175 | ) | $ | 58,401,259 | |||||||
| AQR International Equity Fund |
490,534,846 | 71,336,291 | (10,541,948 | ) | 60,794,343 | |||||||||||
| AQR Diversified Arbitrage Fund |
2,258,670,822 | 163,055,902 | (71,229,796 | ) | 91,826,106 | |||||||||||
| AQR Managed Futures Strategy Fund |
1,331,748,701 | — | — | — | ||||||||||||
| AQR Risk Parity Fund |
132,805,031 | 1,303,015 | — | 1,303,015 | ||||||||||||
| AQR Momentum Fund |
275,216,541 | 18,006,112 | (3,914,023 | ) | 14,092,089 | |||||||||||
| AQR Small Cap Momentum Fund |
100,179,064 | 11,672,243 | (2,176,607 | ) | 9,495,636 | |||||||||||
| AQR International Momentum Fund |
77,900,777 | 8,915,251 | (807,636 | ) | 8,107,615 | |||||||||||
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals.
| AQR Funds | Semi-Annual Report | June 2011 | 93 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
The tax character of the distributions paid during the period ended December 31, 2010, were as follows:
| DECEMBER 31, 2010 |
||||||||
| FUND | ORDINARY INCOME | CAPITAL GAINS | ||||||
| AQR Global Equity Fund |
$ | 14,994,426 | $ | 2,022,493 | ||||
| AQR International Equity Fund |
14,719,113 | — | ||||||
| AQR Diversified Arbitrage Fund |
16,563,956 | — | ||||||
| AQR Managed Futures Strategy Fund* |
9,578,985 | 7,656,480 | ||||||
| AQR Risk Parity Fund* |
248,610 | — | ||||||
| AQR Momentum Fund |
431,429 | 12,799 | ||||||
| AQR Small Cap Momentum Fund |
546,289 | 29,957 | ||||||
| AQR International Momentum Fund |
259,130 | — | ||||||
| * | The AQR Managed Futures Strategy Fund and AQR Risk Parity Fund commenced operations on January 6, 2010 and September 30, 2010, respectively. |
As of December 31, 2010, for Federal Income Tax purposes, the AQR International Momentum Fund has capital loss carryforwards available to offset capital gains, if any, to the extent provided by the Treasury regulations.
| FUND | AMOUNT | YEAR OF EXPIRATION | ||||||
| AQR International Momentum Fund |
$ | 135,168 | 2018 | |||||
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted, which changed various technical rules governing the tax treatment of regulated investment companies. The changes are generally effective for taxable years beginning after the date of enactment. Under the Act, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after the date of enactment for an unlimited period. However, any losses incurred during those future taxable years will be required to be utilized prior to the losses incurred in pre-enactment taxable years, which carry an expiration date. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered all short-term as permitted under previous regulation.
5. Fair Value Measurements
The Funds utilize various inputs in determining the value of each Fund’s investments. GAAP establishes a hierarchy for inputs used in measuring fair value that maximizes the use of observable inputs and minimizes the use of unobservable inputs by requiring the most observable inputs be used when available. These inputs are summarized in the three broad levels as follows:
Level 1 — quoted prices in active markets for identical securities
Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, pre-payment speeds, credit risk, etc.)
Level 3 — significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments)
Valuation methodology and inputs
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 during the period ended June 30, 2011 maximized the use of observable inputs and minimized the use of unobservable inputs.
| 94 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. The following are certain inputs and techniques that the Funds use to evaluate how to classify each major category of assets and liabilities for Level 2 and Level 3, in accordance with GAAP.
Investments that trade in markets that are not considered to be active, but are valued based on quoted market prices, dealer quotations or alternative pricing sources supported by observable inputs are 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 based on quotations from counterparties and other market participants, as well as pricing models using quoted inputs as provided by an independent pricing service. As Level 2 investments include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information. Investments classified within Level 3 have significant unobservable inputs, as they trade infrequently or not at all. Level 3 instruments include less liquid corporate debt securities, illiquid warrants and illiquid securities. When observable prices are not available for these securities, the Funds use one or more valuation techniques (e.g., the market approach, the income approach, or the cost approach) for which sufficient and reliable data is available. Within Level 3, the use of the market approach generally consists of using comparable market transactions, while the use of the income approach generally consists of the net present value of estimated future cash flows, adjusted as appropriate for liquidity, 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, and changes in financial ratios or cash flows. Level 3 investments may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Funds in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the resulting fair value and therefore the Funds’ results of operations.
The Funds invest in derivative instruments. Derivative instruments can be exchange traded or privately negotiated over-the-counter (“OTC”). Exchange-traded derivatives, such as futures contracts and exchange traded option contracts, are typically classified within Level 1 or Level 2 of the fair value hierarchy depending on whether or not they are deemed to be actively traded. Futures and option contracts that are listed on national exchanges and are freely transferable are valued at fair value based on their last sales price on the date of determination on the exchange that constitutes the principal market. OTC derivatives, including forwards, credit default swaps, total return swaps, and interest rate swaps, are valued by the Fund using observable inputs, such as quotations received from the counterparty, dealers or brokers, whenever available and considered reliable. Generally, a valuation model is used consistently for similar derivative types and model inputs, including, but not limited to, market prices, yield curves, credit spreads, volatilities and implied correlations which are obtained from outside brokers and/or pricing services when available. In instances where models are used, the value of an OTC derivative depends upon the contractual terms of, and specific risks inherent in, the instrument as well as the availability and reliability of observable inputs. Such inputs include market prices for reference securities, yield curves, credit curves, measures of volatility, prepayment rates and correlations of such inputs. Certain OTC derivatives, such as generic forwards, swaps and options, have inputs which can generally be corroborated by market data and are therefore classified within Level 2. Equity total return swap transactions are valued at fair value, based on the price of the underlying security. Interest rate swap contracts are valued at estimated fair value as determined by the Fund based on various valuation models which consider the terms of underlying contracts and market data inputs received from third parties.
Credit default swaps are carried at their estimated fair value, as determined in good faith by pricing services approved by the Board of Trustees. In addition to credit quality, the Funds monitor a variety of factors including cash flow assumptions, market activity, market sentiment and valuation as part of their ongoing process of assessing payment and performance risk. As payment and performance risk increases, the value of a credit default swap increases, resulting in recognition of unrealized gains for long positions and unrealized losses for short positions. Conversely, as payment and performance risk decreases, unrealized gains are recognized for short positions and unrealized losses are recognized for long positions. The change in value is recorded within unrealized appreciation/(depreciation) until the occurrence of a credit event or the termination of the swap, at which time a realized gain/(loss) is recorded. Those OTC derivatives that
| AQR Funds | Semi-Annual Report | June 2011 | 95 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of these less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also include other unobservable inputs which are considered significant to the fair value determination. At each measurement date, the Funds update the Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3 due to the significance of the unobservable inputs.
Transfers
Transfers into, and out of, Level 3 are valued utilizing values as of the beginning of the period. 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.
The following summarizes inputs used as of June 30, 2011 in valuing the Funds’ assets carried at fair value:
| AQR GLOBAL EQUITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 225,037,930 | $ | 186,654,715 | $ | — | $ | 411,692,645 | ||||||||
| Preferred Stocks† |
— | 598,020 | — | 598,020 | ||||||||||||
| Money Market Funds |
— | 40,992,471 | — | 40,992,471 | ||||||||||||
| Futures Contracts* |
2,588,841 | — | — | 2,588,841 | ||||||||||||
| Total Return Swap Contracts* | — | 151,980 | — | 151,980 | ||||||||||||
| Total Assets |
$ | 227,626,771 | $ | 228,397,186 | $ | — | $ | 456,023,957 | ||||||||
| LIABILITIES |
||||||||||||||||
| Forward Foreign Currency Exchange Contracts* | $ | — | $ | (1,778,792 | ) | $ | — | $ | (1,778,792 | ) | ||||||
| Total Liabilities |
$ | — | $ | (1,778,792 | ) | $ | — | $ | (1,778,792 | ) | ||||||
| * | Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are valued at the net unrealized appreciation (depreciation) on the instrument. |
| † | Please refer to the Schedule of Investments to view securities segregated by country. |
There were no material transfers between Levels 1 and 2 during the period. All securities listed in the Schedule of Investments with a market value of zero are classified as Level 3.
| AQR INTERNATIONAL EQUITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | — | $ | 468,416,393 | $ | 9,610 | $ | 468,426,003 | ||||||||
| Preferred Stocks† |
— | 2,864,787 | — | 2,864,787 | ||||||||||||
| Futures Contracts* |
3,814,905 | — | — | 3,814,905 | ||||||||||||
| Money Market Funds |
— | 80,038,399 | — | 80,038,399 | ||||||||||||
| Total Return Swap Contracts* | — | 252,855 | — | 252,855 | ||||||||||||
| Total Assets |
$ | 3,814,905 | $ | 551,572,434 | $ | 9,610 | $ | 555,396,949 | ||||||||
| LIABILITIES |
||||||||||||||||
| Forward Foreign Currency Exchange Contracts* | $ | — | $ | (3,385,650 | ) | $ | — | $ | (3,385,650 | ) | ||||||
| Total Liabilities |
$ | — | $ | (3,385,650 | ) | $ | — | $ | (3,385,650 | ) | ||||||
| † Please refer to the Schedule of Investments to view securities segregated by country. |
| |||||||||||||||
| 96 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| COMMON STOCKS | ||||
| Balance as of December 31, 2010 | $ | 8,335 | ||
| Securities purchased (sold) |
1,352 | |||
| Realized gain (loss) |
8,258 | |||
| Change in unrealized appreciation (depreciation) | (8,335 | ) | ||
| Balance as of June 30, 2011 | $ | 9,610 | ||
The total change in unrealized appreciation (depreciation) included in the Statement of Operations attributable to Level 3 investments still held at June 30, 2011 is $0.
| * | Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are valued at the net unrealized appreciation (depreciation) on the instrument. |
There were no material transfers between Levels 1 and 2 during the period.
| AQR DIVERSIFIED ARBITRAGE FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 1,058,110,020 | $ | 53,600,553 | $ | 12,683,874 | $ | 1,124,394,447 | ||||||||
| Convertible Preferred Stocks† |
10,445,919 | 59,295,290 | 1,543,418 | 71,284,627 | ||||||||||||
| Corporate Bonds† |
— | 306,665,918 | 5,669,700 | 312,335,618 | ||||||||||||
| Convertible Bonds† |
— | 665,203,504 | 5,746,866 | 670,950,370 | ||||||||||||
| Closed End Funds† |
28,172,167 | — | — | 28,172,167 | ||||||||||||
| Exchange Traded Funds |
3,966,717 | — | — | 3,966,717 | ||||||||||||
| Rights |
79,771 | — | — | 79,771 | ||||||||||||
| Warrants† |
35,285,773 | 416,599 | 4,038,457 | 39,740,829 | ||||||||||||
| Money Market Funds |
— | 99,572,382 | — | 99,572,382 | ||||||||||||
| Credit Default Swap Contracts* | — | 130,338 | — | 130,338 | ||||||||||||
| Total Assets |
$ | 1,136,060,367 | $ | 1,184,884,584 | $ | 29,682,315 | $ | 2,350,627,266 | ||||||||
| LIABILITIES |
||||||||||||||||
| Common Stocks (Sold Short) |
$ | (1,085,370,015 | ) | $ | (20,258,915 | ) | $ | — | $ | (1,105,628,930 | ) | |||||
| Convertible Bonds (Sold Short) |
— | (1,120,500 | ) | — | (1,120,500 | ) | ||||||||||
| Exchange Traded Funds (Sold Short) |
(37,444,121 | ) | — | — | (37,444,121 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | (1,869,209 | ) | — | (1,869,209 | ) | ||||||||||
| Futures Contracts* |
(3,726,516 | ) | — | — | (3,726,516 | ) | ||||||||||
| Credit Default Swap Contracts* |
— | (1,740,347 | ) | — | (1,740,347 | ) | ||||||||||
| Written Option Contracts* | (460,802 | ) | — | — | (460,802 | ) | ||||||||||
| Total Liabilities |
$ | (1,127,001,454 | ) | $ | (24,988,971 | ) | $ | — | $ | (1,151,990,425 | ) | |||||
| † Please refer to the Schedule of Investments to view securities segregated by industry type. |
| |||||||||||||||
| AQR Funds | Semi-Annual Report | June 2011 | 97 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| COMMON STOCKS |
CONVERTIBLE PREFERRED STOCKS |
CORPORATE BONDS |
CONVERTIBLE BONDS |
WARRANTS | ||||||||||||||||
| Balance as of December 31, 2010 | $ | 3,002,126 | $ | 902,553 | $ | 3,240,078 | $ | 1,864,435 | $ | 3,543,581 | ||||||||||
| Transfers in (out) |
(481,957 | ) | — | — | 7,000 | 3,053 | ||||||||||||||
| Purchases (sales) |
10,471,886 | — | 2,750,158 | 4,450,000 | (773,398 | ) | ||||||||||||||
| Accrued discounts (premiums) |
— | — | (85,846 | ) | — | — | ||||||||||||||
| Change in unrealized appreciation (depreciation) |
(440,081 | ) | 640,865 | (234,690 | ) | (574,569 | ) | 1,265,172 | ||||||||||||
| Realized gain (loss) | 131,900 | — | — | — | 49 | |||||||||||||||
| Balance as of June 30, 2011 | $ | 12,683,874 | $ | 1,543,418 | $ | 5,669,700 | $ | 5,746,866 | $ | 4,038,457 | ||||||||||
The total change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3 investments still held at June 30, 2011 is $(157,754), $640,865, $584,871, $(334,465), and $(578,270) for common stocks, convertible preferred stocks, corporate bonds, convertible bonds and warrants, respectively.
| * | Derivative instruments, including futures and forward foreign currency exchange contracts, are valued at the unrealized appreciation (depreciation) on the instrument. Written options and credit default swap contracts are reported at market value. |
There were no material transfers between Levels 1 and 2 during the period.
| AQR MANAGED FUTURES STRATEGY | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Money Market Funds |
$ | — | $ | 1,331,748,701 | $ | — | $ | 1,331,748,701 | ||||||||
| Total Return Swap Contracts* |
— | 796,480 | — | 796,480 | ||||||||||||
| Futures Contracts* | 14,835,292 | — | — | 14,835,292 | ||||||||||||
| Total Assets |
$ | 14,835,292 | $ | 1,332,545,181 | $ | — | $ | 1,347,380,473 | ||||||||
| LIABILITIES |
||||||||||||||||
| Forward Foreign Currency Exchange Contracts* | $ | — | $ | (5,080,637 | ) | $ | — | $ | (5,080,637 | ) | ||||||
| Total Liabilities |
$ | — | $ | (5,080,637 | ) | $ | — | $ | (5,080,637 | ) | ||||||
There were no material transfers between Levels 1 and 2 during the period.
There were no Level 3 securities held during the period.
| * | Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are valued at the unrealized appreciation (depreciation) on the instrument. |
| 98 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
| AQR RISK PARITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Government Related Obligations |
$ | — | $ | 43,406,431 | $ | — | $ | 43,406,431 | ||||||||
| U.S. Treasury Obligations |
— | 30,491,163 | — | 30,491,163 | ||||||||||||
| Money Market Funds |
— | 60,210,452 | — | 60,210,452 | ||||||||||||
| Futures Contracts* |
178,155 | — | — | 178,155 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 218,106 | — | 218,106 | ||||||||||||
| Interest Rate Swap Contracts* |
— | 639,973 | — | 639,973 | ||||||||||||
| Credit Default Swap Contracts* |
— | 2,173,609 | — | 2,173,609 | ||||||||||||
| Total Return Swap Contracts* | — | 203,208 | — | 203,208 | ||||||||||||
| Total Assets |
$ | 178,155 | $ | 137,342,942 | $ | — | $ | 137,521,097 | ||||||||
| LIABILITIES |
||||||||||||||||
| Credit Default Swap Contracts* |
$ | — | $ | (40,374 | ) | $ | — | $ | (40,374 | ) | ||||||
| Total Return Swap Contracts* | — | (44,708 | ) | — | (44,708 | ) | ||||||||||
| Total Liabilities |
$ | — | $ | (85,082 | ) | $ | — | $ | (85,082 | ) | ||||||
| * | Derivative instruments, including futures, forward foreign currency exchange, interest rate swap and total return swap contracts, are valued at the unrealized appreciation (depreciation) on the instrument. Credit default swap contracts are reported at market value. |
There were no material transfers between Levels 1 and 2 during the period.
There were no Level 3 securities held during the period.
| AQR MOMENTUM FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT INPUTS |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 262,662,823 | $ | — | $ | — | $ | 262,662,823 | ||||||||
| Money Market Funds |
— | 26,645,807 | — | 26,645,807 | ||||||||||||
| Futures Contracts* | 62,644 | — | — | 62,644 | ||||||||||||
| Total Assets |
$ | 262,725,467 | $ | 26,645,807 | $ | — | $ | 289,371,274 | ||||||||
| * | Derivative instruments, including futures contracts, are valued at the unrealized appreciation (depreciation) on the instrument. |
| † | Please refer to the Schedule of Investments to view securities segregated by industry type. |
There were no material transfers between Levels 1 and 2 during the period.
| AQR SMALL CAP MOMENTUM FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 100,251,259 | $ | 29,201 | $ | — | $ | 100,280,460 | ||||||||
| Money Market Funds |
— | 9,394,240 | — | 9,394,240 | ||||||||||||
| Futures Contracts* | 21,386 | — | — | 21,386 | ||||||||||||
| Total Assets |
$ | 100,272,645 | $ | 9,423,441 | $ | — | $ | 109,696,086 | ||||||||
| * | Derivative instruments, including futures contracts, are valued at the unrealized appreciation (depreciation) on the instrument. |
| † | Please refer to the Schedule of Investments to view securities segregated by industry type. |
| AQR Funds | Semi-Annual Report | June 2011 | 99 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
There were no material transfers between Levels 1 and 2 during the period.
| AQR INTERNATIONAL MOMENTUM FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 12,539,726 | $ | 66,371,450 | $ | 1,543 | $ | 78,912,719 | ||||||||
| Preferred Stocks† |
— | 212,245 | — | 212,245 | ||||||||||||
| Exchange Traded Funds |
190,704 | — | — | 190,704 | ||||||||||||
| Rights |
— | 1,004 | — | 1,004 | ||||||||||||
| Money Market Funds |
— | 6,691,720 | — | 6,691,720 | ||||||||||||
| Equity Basket Swap Contract* | — | 14,132 | — | 14,132 | ||||||||||||
| Total Assets |
$ | 12,730,430 | $ | 73,290,551 | $ | 1,543 | $ | 86,022,524 | ||||||||
| LIABILITIES |
||||||||||||||||
| Forward Foreign Currency Exchange Contracts* | $ | — | $ | (8,401 | ) | $ | — | $ | (8,401 | ) | ||||||
| Total Liabilities |
$ | — | $ | (8,401 | ) | $ | — | $ | (8,401 | ) | ||||||
| † Please refer to the Schedule of Investments to view securities segregated by country. |
| |||||||||||||||
The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:
| COMMON STOCKS | ||||
| Balance as of December 31, 2010 | $ | — | ||
| Securities purchased (sold) | 1,543 | |||
| Balance as of June 30, 2011 | $ | 1,543 | ||
| The total change in unrealized appreciation (depreciation) included in the Statement of Operations attributable to Level 3 investments still held at June 30, 2011 is $0. |
| * | Derivative instruments, including forward foreign currency exchange and equity basket swap contracts, are valued at the unrealized appreciation (depreciation) on the instrument. |
There were no material transfers between Levels 1 and 2 during the period.
New Accounting Pronouncement
In May 2011, the Financial Accounting Standards Board issued Accounting Standard Update No. 2011-04, Fair Value Measurement (Topic 820) — Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and IFRSs. The update changes the wording used to describe the requirements in GAAP for measuring fair value and for disclosing information about fair value measurements. The update is effective during interim and annual periods beginning after December 15, 2011. Management is currently evaluating the impact of the update's adoption on the Funds’ financial statement disclosures.
6. Investment Transactions
During the period ended June 30, 2011, 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 Global Equity Fund |
$ | 126,980,162 | $ | (116,774,977) | $ | — | $ | — | ||||||||
| AQR International Equity Fund |
176,215,787 | (125,676,163) | — | — | ||||||||||||
| AQR Diversified Arbitrage Fund |
2,442,180,073 | (1,711,149,007) | 968,394,771 | (513,804,794) | ||||||||||||
| 100 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
| FUND | PURCHASES | SALES | SECURITIES SOLD SHORT |
COVERS ON SECURITIES SOLD SHORT |
||||||||||||
| AQR Managed Futures Strategy Fund |
$ | — | $ | — | $ | — | $ | — | ||||||||
| AQR Risk Parity Fund . |
75,789,877 | (14,055,264) | — | — | ||||||||||||
| AQR Momentum Fund |
272,258,718 | (137,752,407) | — | — | ||||||||||||
| AQR Small Cap Momentum Fund |
86,404,741 | (44,662,531) | — | — | ||||||||||||
| AQR International Momentum Fund |
81,135,876 | (64,963,652) | — | — | ||||||||||||
The AQR Risk Parity Fund had long-term purchases and sales of U.S. Government obligations of $30,081,409 and $4,225,241, respectively.
7. Derivative Instruments and Hedging Activities
Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The effect of such derivative instruments on the Funds’ financial position and financial performance as reflected in the Statements of Assets and Liabilities and Statements of Operations for the period ended June 30, 2011 are as follows:
| ASSETS | LIABILITIES | |||||||||||||||||||||||||||
| FUND | UNREALIZED APPRECIATION ON FUTURES CONTRACTS |
SWAPS AT VALUE |
UNREALIZED APPRECIATION ON FORWARD CURRENCY CONTRACTS |
WRITTEN OPTIONS AT MARKET VALUE |
UNREALIZED DEPRECIATION ON FUTURES CONTRACTS |
SWAPS AT VALUE |
UNREALIZED DEPRECIATION ON FORWARD CURRENCY CONTRACTS |
|||||||||||||||||||||
| Equity Risk Exposure: | ||||||||||||||||||||||||||||
| AQR Global Equity Fund | $3,804,222 | $151,980 | $— | $— | $1,215,381 | $— | $— | |||||||||||||||||||||
| AQR International Equity Fund | 4,933,728 | 252,855 | — | — | 1,118,823 | — | — | |||||||||||||||||||||
| AQR Diversified Arbitrage Fund | — | — | — | 460,802 | 2,974,146 | — | — | |||||||||||||||||||||
| AQR Managed Futures Strategy Fund | 7,009,443 | — | — | — | 1,001,710 | 27,106 | — | |||||||||||||||||||||
| AQR Risk Parity Fund | 1,342,373 | — | — | — | — | 28,133 | — | |||||||||||||||||||||
| AQR Momentum Fund | 62,644 | — | — | — | — | — | — | |||||||||||||||||||||
| AQR Small Cap Momentum Fund | 21,386 | — | — | — | — | — | — | |||||||||||||||||||||
| AQR International Momentum Fund | — | 14,132 | — | — | — | — | — | |||||||||||||||||||||
| Foreign Exchange Rate Risk Exposure | ||||||||||||||||||||||||||||
| AQR Global Equity Fund | — | — | 520,379 | — | — | — | 2,299,171 | |||||||||||||||||||||
| AQR International Equity Fund | — | — | 749,702 | — | — | — | 4,135,352 | |||||||||||||||||||||
| AQR Diversified Arbitrage Fund | — | — | 297,943 | — | — | — | 2,167,152 | |||||||||||||||||||||
| AQR Managed Futures Strategy Fund | — | — | 10,159,605 | — | — | — | 15,240,242 | |||||||||||||||||||||
| AQR Risk Parity Fund | — | — | 696,940 | — | — | — | 478,834 | |||||||||||||||||||||
| AQR International Momentum Fund | — | — | — | — | — | — | 8,401 | |||||||||||||||||||||
| Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund | — | — | — | — | 752,370 | — | — | |||||||||||||||||||||
| AQR Managed Futures Strategy Fund | 11,391,573 | 1,087,080 | — | — | 1,726,539 | 431,480 | ||||||||||||||||||||||
| AQR Risk Parity Fund | 1,092 | 1,415,411 | — | — | — | 572,230 | — | |||||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2011 | 101 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
| ASSETS | LIABILITIES | |||||||||||||||||||||||||||
| FUND | UNREALIZED APPRECIATION ON FUTURES CONTRACTS |
SWAPS AT VALUE |
UNREALIZED APPRECIATION ON FORWARD CURRENCY CONTRACTS |
WRITTEN OPTIONS AT MARKET VALUE |
UNREALIZED DEPRECIATION ON FUTURES CONTRACTS |
SWAPS AT VALUE |
UNREALIZED DEPRECIATION ON FORWARD CURRENCY CONTRACTS |
|||||||||||||||||||||
| Credit Risk Exposure: | ||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund | $— | $130,338 | $— | $— | $— | $1,740,347 | $— | |||||||||||||||||||||
| AQR Risk Parity Fund | — | 2,173,609 | — | — | — | 40,374 | — | |||||||||||||||||||||
| Commodity Exposure: | ||||||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund | 11,904,015 | 167,986 | — | — | 12,741,490 | — | — | |||||||||||||||||||||
| AQR Risk Parity Fund | 516,272 | — | — | — | 1,681,582 | 16,575 | — | |||||||||||||||||||||
| Netting | ||||||||||||||||||||||||||||
| AQR Global Equity Fund | (1,215,381) | — | (520,379) | — | (1,215,381) | — | (520,379) | |||||||||||||||||||||
| AQR International Equity Fund | (1,118,823) | — | (749,702) | — | (1,118,823) | — | (749,702) | |||||||||||||||||||||
| AQR Diversified Arbitrage Fund | — | (130,338) | (297,943) | — | — | (130,338) | (297,943) | |||||||||||||||||||||
| AQR Managed Futures Strategy Fund | (15,469,739) | (458,586) | (10,159,605) | — | (15,469,739) | (458,586) | (10,159,605) | |||||||||||||||||||||
| AQR Risk Parity Fund | (1,681,582) | (657,312) | (478,834) | — | (1,681,582) | (657,312) | (478,834) | |||||||||||||||||||||
| AQR Momentum Fund | — | — | — | — | — | — | — | |||||||||||||||||||||
| AQR Small Cap Momentum Fund | — | — | — | — | — | — | — | |||||||||||||||||||||
| AQR International Momentum Fund | — | — | — | — | — | — | — | |||||||||||||||||||||
| Net Fair Value of Derivative Contracts | ||||||||||||||||||||||||||||
| AQR Global Equity Fund | 2,588,841 | 151,980 | — | — | — | — | 1,778,792 | |||||||||||||||||||||
| AQR International Equity Fund | 3,814,905 | 252,855 | — | — | — | — | 3,385,650 | |||||||||||||||||||||
| AQR Diversified Arbitrage Fund | — | — | — | 460,802 | 3,726,516 | 1,610,009 | 1,869,209 | |||||||||||||||||||||
| AQR Managed Futures Strategy Fund | 14,835,292 | 796,480 | — | — | — | — | 5,080,637 | |||||||||||||||||||||
| AQR Risk Parity Fund | 178,155 | 2,931,708 | 218,106 | — | — | — | — | |||||||||||||||||||||
| AQR Momentum Fund | 62,644 | — | — | — | — | — | — | |||||||||||||||||||||
| AQR Small Cap Momentum Fund | 21,386 | — | — | — | — | — | — | |||||||||||||||||||||
| AQR International Momentum Fund | — | 14,132 | — | — | — | — | 8,401 | |||||||||||||||||||||
| 102 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
The following is the effect of Derivative Instruments on the Statements of Operations for the period ended June 30, 2011:
| 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 AND SWAPS ON FUTURES CONTRACTS* |
FORWARD FOREIGN CURRENCY CONTRACTS |
WRITTEN OPTIONS |
FUTURES CONTRACTS |
SWAPS AND SWAPS ON FUTURES CONTRACTS* |
FORWARD FOREIGN CURRENCY CONTRACTS |
WRITTEN OPTIONS |
||||||||||||||||||||||||
| Equity Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Global Equity Fund |
$2,064,320 | $534,183 | $— | $— | $3,156,709 | $(341,548) | $— | $— | ||||||||||||||||||||||||
| AQR International Equity Fund |
(496,939) | 589,623 | — | — | 5,073,581 | (186,868) | — | — | ||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
(5,019,284) | — | — | 3,650,688 | (868,174) | — | — | 308,686 | ||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
(30,707,957) | (69,763) | — | — | 3,086,590 | (1,325,115) | — | — | ||||||||||||||||||||||||
| AQR Risk Parity Fund |
(1,557,102) | (107,284) | — | — | 1,275,401 | (51,727) | — | — | ||||||||||||||||||||||||
| AQR Momentum Fund |
525,879 | — | — | — | 64,078 | — | — | — | ||||||||||||||||||||||||
| AQR Small Cap Momentum Fund |
393,330 | — | — | — | 32,695 | — | — | — | ||||||||||||||||||||||||
| AQR International Momentum Fund |
— | (19,896) | — | — | — | (58,267) | — | — | ||||||||||||||||||||||||
| Foreign Exchange Rate Risk Exposure | ||||||||||||||||||||||||||||||||
| AQR Global Equity Fund |
— | — | 4,049,410 | — | — | — | (4,069,537) | — | ||||||||||||||||||||||||
| AQR International Equity Fund |
— | — | 7,327,535 | — | — | — | (7,954,765) | — | ||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
— | — | (1,885,937) | — | — | — | (1,582,744) | — | ||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
— | — | 9,815,535 | — | — | — | (11,328,046) | — | ||||||||||||||||||||||||
| AQR Risk Parity Fund |
— | — | (841,094) | — | — | — | 172,484 | — | ||||||||||||||||||||||||
| AQR International Momentum Fund |
— | — | 17,825 | — | — | — | (18,843) | — | ||||||||||||||||||||||||
| Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
(1,493,418) | — | — | — | (2,312,395) | — | — | — | ||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
3,292,393 | (584,754) | — | — | 9,179,230 | 744,011 | — | |||||||||||||||||||||||||
| AQR Risk Parity Fund |
405,998 | 3,351,681 | — | — | (5,731) | 1,183,326 | — | — | ||||||||||||||||||||||||
| Credit Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
— | (5,175,741) | — | — | — | 2,862,618 | — | — | ||||||||||||||||||||||||
| AQR Risk Parity Fund |
— | — | — | — | — | (650,271) | — | — | ||||||||||||||||||||||||
| Commodity Exposure: | ||||||||||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
(10,766,674) | — | — | — | (8,217,685) | (1,899,742) | — | — | ||||||||||||||||||||||||
| AQR Risk Parity Fund |
914,197 | (30,863) | — | — | (1,451,693) | (16,575) | — | — | ||||||||||||||||||||||||
| * | Futures and swaps on futures are consolidated for financial reporting purposes. |
| AQR Funds | Semi-Annual Report | June 2011 | 103 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
For swaps, futures and forward foreign currency contracts, the Funds may be required to post collateral if a Fund is in a net liability position with the counterparty exceeding certain amounts. Additionally, counterparties may immediately terminate the position if a Fund fails to maintain sufficient asset coverage for its contracts or its net assets decline by stated percentages.
As of June 30, 2011, the following Funds had net liability positions:
| FUND | DERIVATIVES IN NET LIABILITY POSITION |
COLLATERAL POSTED |
||||||
| AQR Diversified Arbitrage Fund |
$ | (7,666,536 | ) | $ | 25,638,497 | |||
For the period ended June 30, 2011, the quarterly average values of the derivatives held by the Funds were as follows:
| FUND | SWAP CONTRACTS (NOTIONAL VALUE) |
FUTURES CONTRACTS* |
WRITTEN OPTIONS CONTRACTS* |
FOREIGN FORWARD CURRENCY CONTRACTS* |
||||||||||||
| AQR Global Equity Fund |
37,582,485 | 205,421,577 | — | 387,482,363 | ||||||||||||
| AQR International Equity Fund |
34,065,902 | 244,994,312 | — | 570,004,350 | ||||||||||||
| AQR Diversified Arbitrage Fund |
111,825,000 | 334,140,832 | 535,761 | 126,446,308 | ||||||||||||
| AQR Managed Futures Fund |
607,951,293 | 5,311,040,638 | — | 3,908,459,423 | ||||||||||||
| AQR Risk Parity |
312,889,638 | 88,675,781 | — | 94,590,258 | ||||||||||||
| AQR Momentum Fund |
— | 3,363,463 | — | — | ||||||||||||
| AQR Small Cap Momentum Fund |
— | 1,503,650 | — | — | ||||||||||||
| AQR International Momentum Fund |
221,993 | — | — | 1,262,441 | ||||||||||||
| * | Values as of each quarter end are used to calculate the average represented. |
The Funds’ derivative contracts held at June 30, 2011, are not accounted for as hedging instruments under GAAP.
8. Investment Advisory and Other Agreements
The Adviser serves as the investment adviser to each of the Funds pursuant to an Investment Advisory Agreement, dated December 4, 2008, as amended from time to time, or an Investment Management Agreement, dated June 10, 2010, as amended from time to time, entered into by the Trust, on behalf of the Funds (together, 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. The Adviser provides persons satisfactory to the Trustees to serve as officers of the Funds. Pursuant to the Advisory Agreement, the Funds pay the Adviser a management fee calculated on the average daily net assets for each Fund, in the annual ratios below:
| FUND | RATIO | |||
| AQR Global Equity Fund |
0.40 | % | ||
| AQR International Equity Fund |
0.45 | |||
| AQR Diversified Arbitrage Fund |
1.00 | |||
| AQR Managed Futures Strategy Fund |
1.05 | |||
| AQR Risk Parity Fund |
0.75 | * | ||
| AQR Momentum Fund |
0.25 | |||
| AQR Small Cap Momentum Fund |
0.35 | |||
| AQR International Momentum Fund |
0.35 | |||
| * | 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 dollars of net assets, the second tier charges 0.70% on net assets in excess of $1 billion dollars. |
| 104 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
The Trust and the Adviser have entered into a Fee Waiver and Expense Reimbursement Agreement whereby the Adviser has agreed to waive its fee and/or reimburse each Fund at least through May 1, 2012. 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 expense related to short sales, and extraordinary expenses exceed the following ratios:
| FUND CLASS | RATIO | |||
| AQR Global Equity Fund — Class I |
0.90 | % | ||
| AQR Global Equity Fund — Class N |
1.20 | |||
| AQR International Equity Fund — Class I |
0.95 | |||
| AQR International Equity Fund — Class N |
1.25 | |||
| AQR Diversified Arbitrage Fund — Class I |
1.20 | |||
| AQR Diversified Arbitrage Fund — Class N |
1.50 | |||
| AQR Managed Futures Strategy Fund — Class I |
1.25 | |||
| AQR Managed Futures Strategy Fund — Class N |
1.50 | |||
| AQR Risk Parity Fund — Class I |
0.95 | |||
| AQR Risk Parity Fund — Class N |
1.20 | |||
| AQR Momentum Fund — Class L |
0.49 | |||
| AQR Small Cap Momentum Fund — Class L |
0.65 | |||
| AQR International Momentum Fund — Class L |
0.65 | |||
The Trust and the Adviser had previously entered into a Fee Waiver and Expense Reimbursement Agreement whereby the Adviser had agreed to waive its fee and/or reimburse each Fund from January 1, 2011 through May 1, 2011 for AQR Global Equity Fund and AQR International Equity Fund. The Adviser had agreed to waive and/or reimburse the Funds to the extent that the total annual fund operating expense ratios exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend expense related to short sales, and extraordinary expenses exceed the following ratios:
| FUND CLASS | RATIO | |||
| AQR Global Equity Fund — Class I |
1.05 | % | ||
| AQR Global Equity Fund — Class N |
1.35 | |||
| AQR International Equity Fund — Class I |
1.15 | |||
| AQR International Equity Fund — Class N |
1.45 | |||
The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Adviser. Such repayment shall be made only out of the class of the Fund for which the applicable fee waiver and expense reimbursement was made. Repayments with respect to a Fund must be limited to amounts that do not cause the aggregate operating expenses of the Fund attributable to a share class during a year in which such repayment is made to exceed the applicable ratios reflected in the table above. A repayment shall be payable only to the extent it can be made during the thirty six months following the applicable period during which the Adviser waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement.
| AQR Funds | Semi-Annual Report | June 2011 | 105 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
For the period ended June 30, 2011, the amounts waived and reimbursed by the Adviser, as well as the amounts available for potential future recoupment by the Adviser and the expiration schedule at June 30, 2011 are as follows:
| FEES WAIVED/ REIMBURSED FOR THE SIX MONTHS ENDED JUNE 30, 2011 |
TOTAL |
POTENTIAL RECOUPMENT AMOUNTS EXPIRING |
||||||||||||||||||
| DECEMBER 31, 2012 |
DECEMBER 31, 2013 |
DECEMBER 31, 2014 |
||||||||||||||||||
| AQR GLOBAL EQUITY FUND | ||||||||||||||||||||
| Class I |
$ | 11,111 | $ | 11,111 | $ | — | $ | — | $ | 11,111 | ||||||||||
| Class N |
12,271 | 12,271 | — | — | 12,271 | |||||||||||||||
| Class Y | — | 287,811 | — | 287,811 | ** | — | ||||||||||||||
| Totals | $ | 23,382 | $ | 311,193 | $ | — | $ | 287,811 | $ | 23,382 | ||||||||||
| AQR INTERNATIONAL EQUITY FUND | ||||||||||||||||||||
| Class I |
$ | — | $ | 68,908 | $ | 8,330 | $ | 60,578 | $ | — | ||||||||||
| Class N |
7,124 | 28,244 | 1,375 | 19,745 | 7,124 | |||||||||||||||
| Class Y | — | 488,290 | 242,140 | * | 246,150 | ** | — | |||||||||||||
| Totals | $ | 7,124 | $ | 585,442 | $ | 251,845 | $ | 326,473 | $ | 7,124 | ||||||||||
| AQR DIVERSIFIED ARBITRAGE FUND | ||||||||||||||||||||
| Class I |
$ | — | $ | 431,049 | $ | 301,857 | * | $ | 129,192 | $ | — | |||||||||
| Class N | — | 301,621 | 195,427 | 106,194 | — | |||||||||||||||
| Totals | $ | — | $ | 732,670 | $ | 497,284 | $ | 235,386 | $ | — | ||||||||||
| AQR MANAGED FUTURES STRATEGY FUND | ||||||||||||||||||||
| Class I |
$ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||
| Class N | 33,170 | 86,153 | — | 52,983 | 33,170 | |||||||||||||||
| Totals | $ | 33,170 | $ | 86,153 | $ | — | $ | 52,983 | $ | 33,170 | ||||||||||
| AQR RISK PARITY FUND | ||||||||||||||||||||
| Class I |
$ | 35,003 | $ | 103,984 | $ | — | $ | 68,981 | $ | 35,003 | ||||||||||
| Class N | 26,422 | 91,024 | — | 64,602 | 26,422 | |||||||||||||||
| Totals | $ | 61,425 | $ | 195,008 | $ | — | $ | 133,583 | $ | 61,425 | ||||||||||
| AQR MOMENTUM FUND | ||||||||||||||||||||
| Class L |
$ | 75,518 | $ | 365,836 | $ | 125,259 | $ | 165,059 | $ | 75,518 | ||||||||||
| AQR SMALL CAP MOMENTUM FUND | ||||||||||||||||||||
| Class L |
$ | 45,512 | $ | 338,677 | $ | 124,592 | $ | 168,573 | $ | 45,512 | ||||||||||
| AQR INTERNATIONAL MOMENTUM FUND | ||||||||||||||||||||
| Class L |
$ | 53,978 | $ | 441,704 | $ | 121,539 | $ | 266,187 | $ | 53,978 | ||||||||||
| * | The Adviser has agreed to forgo future recoupments pertaining to Shareholder Servicing Fee Waivers expiring on December 31, 2012 of $281,012 and $20,131 for the AQR International Equity Fund and AQR Diversified Arbitrage Fund, respectively. |
| ** | The Adviser has agreed to forgo future recoupments incurred in the current period pertaining to Shareholder Servicing Fee Waivers expiring on December 31, 2013 of $447,840 and $429,010 for the AQR Global Equity Fund and AQR International Equity Fund, respectively. |
| 106 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
During the six months ended June 30, 2011, AQR Diversified Arbitrage Fund Class I and Class N recouped $854 and $7,500, respectively. During the six months ended June 30, 2011, AQR Managed Futures Strategy Fund Class I recouped $43,567.
Pursuant to the Sub-Advisory Agreement 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 0.70% of the Fund’s average daily net assets. Effective October 1, 2010, the shareholders of the AQR Diversified Arbitrage Fund approved the Amended and Restated Investment Sub-Advisory Agreement (the “A&R Sub-Advisory Agreement”), between the Sub-Adviser, the Adviser and the Trust. Under the A&R Sub-Advisory Agreement, the Adviser will pay the Sub-Adviser an annual fee, payable monthly, at an annual rate of 1.00% of the Fund’s average daily net assets.
J.P. Morgan Investor Services Co., serves as the Funds’ Administrator and Accounting Agent and JPMorgan Chase Bank, N.A., serves as Custodian.
ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor. Fees incurred by the Funds for sub-transfer agency services for the six months ended June 30, 2011, were as follows:
| FUND CLASS | AMOUNT | |||
| AQR Global Equity Fund — Class I |
$ | 142 | ||
| AQR Global Equity Fund — Class N |
104 | |||
| AQR International Equity Fund — Class I |
9,389 | |||
| AQR International Equity Fund — Class N |
85 | |||
| AQR Diversified Arbitrage Fund — Class I |
341,987 | |||
| AQR Diversified Arbitrage Fund — Class N |
219,400 | |||
| AQR Managed Futures Strategy Fund — Class I |
187,256 | |||
| AQR Managed Futures Strategy Fund — Class N |
131,946 | |||
| AQR Risk Parity Fund — Class I |
— | |||
| AQR Risk Parity Funds — Class N |
917 | |||
| AQR Momentum Fund — Class L |
38,962 | |||
| AQR Small Cap Momentum Fund — Class L |
11,128 | |||
| AQR International Momentum Fund — Class L |
9,402 | |||
9. Distribution and Service Plans
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, as applicable. 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, as applicable.
Pursuant to the Shareholder Services Agreement, between the Trust (excluding the AQR Diversified Arbitrage Fund, AQR Managed Futures Strategy Fund and AQR Risk Parity Fund) and the Adviser, the Adviser receives an annual fee (the “Shareholder Services Fee”), payable monthly, at the annual rate of 0.30%, 0.35%, and 0.15% of the average daily net assets of the Class I, Class N and Class L shares, respectively. The Adviser also provides a wide range of services to the Funds and their shareholders under a separate Shareholder Services Agreement. These services include, among others, access to performance information reporting, analysis and explanations of Fund reports as well as electronic access to Fund information. In addition, the Adviser may, from time to time, compensate third parties (including financial intermediaries) from the fees the Adviser receives under the Shareholder Services Agreement for non-distribution shareholder services such third parties provide to clients or customers that are shareholders of the Funds. Fees incurred by the Funds under the Plan and/or the shareholder services agreement for the period ended June 30, 2011, were as follows:
| FUND CLASS | AMOUNT | |||
| AQR Global Equity Fund — Class I |
$ | 4,552 | ||
| AQR Global Equity Fund — Class N |
2,962 | |||
| AQR International Equity Fund — Class I |
167,138 | |||
| AQR International Equity Fund — Class N |
2,646 | |||
| AQR Momentum Fund — Class L |
147,691 | |||
| AQR Small Cap Momentum Fund — Class L |
60,134 | |||
| AQR International Momentum Fund — Class L |
51,733 | |||
| AQR Funds | Semi-Annual Report | June 2011 | 107 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
10. Purchases and Redemption of Shares
Investors may purchase shares of a Fund at their net asset value (“NAV”), based on the next calculation of the NAV after the order is placed. Neither the Fund nor the distributor charges a sales charge or other transaction fee to purchase shares, although other institutions may impose transaction fees on shares purchased through them. The AQR Global Equity and AQR International Equity Funds’ Class Y shares charge subscription and redemption fees of 0.10% each, regardless of the period such shares may have been held. Prior to May 1, 2011, the Funds (excluding AQR Diversified Arbitrage Fund) reserved the right to charge a redemption fee on redemption proceeds for shares that were held for less than 60 days. Effective May 1, 2011, this fee was eliminated for Classes I, N and L.
11. In-Kind Transactions
On December 31, 2009, the AQR Global Equity Fund acquired substantially all of the assets and liabilities of three privately offered funds (“Private Funds”) managed by the Adviser in exchange for Class Y shares of the Fund. This transaction was structured to qualify as a tax-free reorganization under the Code. The investment portfolios of the Private Funds, with a fair value of $369,372,153 and identified cost of $335,420,940 as of the date of the reorganization, was the principal asset acquired by the Fund. For financial statement purposes, assets received and shares issued by the Fund were recorded at fair value, and the Fund recorded the cost of such investments at their historical cost as recorded by the Private Funds. The cost basis of the investments received from the Private Funds was carried forward to align ongoing reporting of the Fund’s realized and unrealized gains and losses with amounts distributable for tax purposes. The net assets of the Private Funds at the date of acquisition were $370,340,997, including unrealized appreciation of $33,351,345. The net assets of the AQR Global Equity Fund immediately after the reorganization was $370,340,997. The Fund had no net assets or liabilities prior to the reorganization.
12. Risks and Concentrations
By using derivative instruments, the Funds are exposed to the counterparty’s credit risk, 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 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.
The Funds may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year. Such concentrations may subject the Funds to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable US companies.
Swap agreements involve, to varying degrees, elements of market risk (generally equity price risk related to equity index swap agreements, interest rate risk related to bond swap agreements and commodity risk related to synthetic swap agreements utilizing futures) and exposure to loss in excess of the amount reflected on the Statements of Assets and Liabilities. The notional amounts, which are disclosed as of period end in the swap tables included in the Schedules of Investments, reflect the current investment exposure each Fund has under the swap agreement which may exceed the net asset value of the Fund.
As of June 30, 2011, a substantial portion of the AQR Global Equity, AQR International Equity and AQR International Momentum Funds’ net assets consisted of issuers that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of and investment income from such securities.
As of June 30, 2011, the AQR Diversified Arbitrage Fund pledged a substantial portion of its assets for securities sold short to JP Morgan Chase Bank N.A.
| 108 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2011 |
13. Line of Credit
The Trust (excluding the AQR Managed Futures Strategy and AQR Risk Parity Funds) has secured a committed, $150,000,000 line of credit with JPMorgan Chase Bank, N.A. Borrowings, if any, under this arrangement bear interest at the Federal Funds Rate plus the sum of (a) 1.5% per annum plus (b) if the LIBOR Reference Rate exceeds the Federal Funds Rate, the amount of such excess, which shall be paid quarterly. The maximum loan amount outstanding per Fund will be the lesser of an amount which does not exceed the borrowing limits set forth in the Fund’s Prospectus and/or Registration Statement and does not cause the Asset Coverage Ratio for all borrowings to drop below 500%. The agreement is subject to an annual commitment fee which is payable in arrears on a quarterly basis. This line of credit expires on September 16, 2011. As of and for the six months ended June 30, 2011, the Funds did not have any outstanding borrowings under this agreement.
14. Principal Ownership
As of June 30, 2011, the Funds had individual shareholder accounts, owning more than 5% of the total shares outstanding in the Fund. The AQR International Equity Fund has one shareholder that has an interest in the Fund of 11%. The AQR Diversified Arbitrage Fund has one shareholder that has an interest in the Fund of 7%. The AQR Managed Futures Strategy Fund has one shareholder that has an interest of the Fund in 13%. The AQR Risk Parity Fund has one shareholder that has an interest in the Fund of 18%.
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 that would require disclosure.
| AQR Funds | Semi-Annual Report | June 2011 | 109 | |||||||||
| 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 Ended 06/30/11” 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 6/30/2011 |
ANNUALIZED EXPENSE RATIO FOR THE PERIOD |
EXPENSES PAID FOR THE PERIOD ENDING 6/30/2011 |
|||||||||||||
| AQR Global Equity Fund |
||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,067.50 | 0.98% | $5.02 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,019.93 | 0.98% | $4.91 | ||||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,066.50 | 1.30% | $6.66 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.35 | 1.30% | $6.51 | ||||||||||||
| Class Y | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,071.00 | 0.53% | $2.72 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,022.17 | 0.53% | $2.66 | ||||||||||||
| AQR International Equity Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,068.90 | 0.89% | $4.57 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.38 | 0.89% | $4.46 | ||||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,066.90 | 1.38% | $7.07 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,017.95 | 1.38% | $6.90 | ||||||||||||
| Class Y | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,069.80 | 0.56% | $2.87 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,022.02 | 0.56% | $2.81 | ||||||||||||
| 110 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| BEGINNING ACCOUNT DATE VALUE |
ENDING ACCOUNT VALUE 6/30/2011 |
ANNUALIZED EXPENSE RATIO FOR THE PERIOD |
EXPENSES PAID FOR THE PERIOD ENDING 6/30/2011 |
|||||||||||||
| AQR Diversified Arbitrage Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,007.20 | 1.20% | $5.97 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.84 | 1.20% | $6.01 | ||||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,005.40 | 1.50% | $7.46 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,017.36 | 1.50% | $7.50 | ||||||||||||
| AQR Managed Futures Strategy Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $965.00 | 1.25% | $6.09 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.60 | 1.25% | $6.26 | ||||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $963.00 | 1.50% | $7.30 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,017.36 | 1.50% | $7.50 | ||||||||||||
| AQR Risk Parity Fund | ||||||||||||||||
| Class I | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,061.30 | 0.95% | $4.86 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.80 | 0.95% | $4.76 | ||||||||||||
| Class N | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,059.40 | 1.20% | $6.13 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.84 | 1.20% | $6.01 | ||||||||||||
| AQR Momentum Fund | ||||||||||||||||
| Class L | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,061.10 | 0.49% | $2.50 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,022.36 | 0.49% | $2.46 | ||||||||||||
| AQR Small Cap Momentum Fund | ||||||||||||||||
| Class L | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,084.10 | 0.65% | $3.36 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,021.57 | 0.65% | $3.26 | ||||||||||||
| AQR International Momentum Fund | ||||||||||||||||
| Class L | ||||||||||||||||
| Actual Return |
$1,000.00 | $1,051.40 | 0.65% | $3.31 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,021.57 | 0.65% | $3.26 | ||||||||||||
Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365 (to reflect the one-half year period unless stated otherwise).
| AQR Funds | Semi-Annual Report | June 2011 | 111 | |||||||||
| Board Approval of 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 on February 23, 2011 to consider the approval of the continuation of (i) the investment management agreement (the “Investment Management Agreement”) between the Trust, on behalf of the AQR Diversified Arbitrage Fund (“DAF” or, a “Fund”) and AQR Capital Management, LLC (“AQR”), (ii) the investment advisory agreement (the “Investment Advisory Agreement”) between the Trust, on behalf of the AQR Momentum Fund, AQR Small Cap Momentum Fund, AQR International Momentum Fund, AQR International Equity Fund, AQR Global Equity Fund and AQR Managed Futures Strategy Fund (each, a “Fund,” and together with DAF, the “Funds”), and AQR and (iii) the investment sub-advisory agreement (the “Sub-Advisory Agreement”) by and among the Trust, on behalf of DAF, AQR and CNH Partners, LLC (“CNH” or the “Sub-Adviser”). In accordance with Section 15(c) of the Investment Company Act of 1940, as amended (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 Investment Management Agreement, Investment Advisory Agreement and Sub-Advisory Agreement. These materials included (i) memoranda and materials prepared by AQR, describing personnel and services provided to the Funds; (ii) memoranda and materials prepared by CNH, describing personnel and services provided to DAF; (iii) performance information of the Funds relevant to consideration of the Investment Management Agreement, Investment Advisory Agreement and Sub-Advisory Agreement; (iv) information independently compiled and prepared by Lipper, Inc. (“Lipper”) relating to the Funds’ fees and expenses; (v) a discussion of the financial statements of AQR and CNH; and (vi) a discussion of the compliance programs of AQR and CNH and regulatory exam histories of each. AQR and the Sub-Advisor are referred to herein as the “Adviser,” as applicable. The Investment Management Agreement, Investment Advisory Agreement and the Sub-Advisory Agreement are referred to herein as the “Advisory Agreement,” as applicable.
At the meeting held on February 23, 2011, the Board, including the Board Members who are not “interested persons” as defined in the 1940 Act (the “Independent Board Members”), unanimously approved the continuation of the Investment Management Agreement, Investment Advisory Agreement and Sub-Advisory Agreement for an additional one-year period. The Board considered all factors it believed relevant with respect to the Funds, including, among other factors: (a) the nature, extent and quality of the services provided by the Adviser; (b) the investment performance of the Funds and the Adviser’s portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by the Adviser from the relationship with the Funds; (d) economies of scale; and (e) other factors.
The Board also considered other matters it deemed important to the approval process, such as services related to the valuation and pricing of the Funds’ portfolio holdings 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 weights to the various items considered.
The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Advisory Agreement:
The nature, extent and quality of the services provided by the Adviser. The Board Members reviewed the services provided by the Adviser to the Funds under the Advisory Agreement. The Board considered the size and experience of the Adviser’s staff, its use of technology, and each Fund’s investment objective, strategy and process. 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 detailed discussions they had with officers of the Adviser regarding the management of each Fund’s investments in accordance with each Fund’s stated investment objective and policies and the types of transactions entered into on behalf of each Fund that commenced operations.
In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR provides administrative services, has responsibility for overseeing CNH, with respect to DAF, Fund accounting, marketing services as well as provides assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board reviewed the compliance and administrative services provided to the Funds by AQR. The Board also reviewed a wide range of services provided to certain of the Funds’ shareholders under a shareholder services agreement between the Trust, on behalf of certain of the Funds, and AQR. These services include providing information and services to Fund shareholders, including professional and informative reporting, access to analysis and explanations of Fund reports, and electronic access to Fund information.
Finally, the Independent Board Members had an opportunity to meet outside the presence of management in executive session separately with counsel to discuss and consider the Advisory Agreement. Based on the presentations at the February 23, 2011 Board meeting, the Board concluded that the continuation of the Advisory Agreement was in the best interests of each Fund.
| 112 | AQR Funds | Semi-Annual Report | June 2011 | |||||||||
| Board Approval of Advisory Agreements (Unaudited) | ||
Investment Performance of the Funds and the Adviser’s Portfolio Management. The Board considered the investment performance of each Fund that had commenced operations. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated objectives and the Adviser’s success in reaching such goals as well as the performance of the Funds relative to their peers. The Board also considered the Adviser’s performance in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds.
The Advisory Fee and the Cost of the Services and Profits Realized by the Adviser from the Relationship with the Funds. The Board, including the Independent Board Members, received and reviewed information regarding the advisory fees paid by the Funds to the Adviser pursuant to the Advisory Agreement. The Board also examined the fees paid to other investment managers by comparable funds 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 Lipper. The report showed comparative fee information for each Fund’s expense group and expense universe, including expense comparisons of contractual management fees and actual total operating expenses. The Board noted that each Fund’s contractual advisory fee was lower than or equal to the median contractual advisory fees paid by the applicable funds in the Funds’ expense group and expense universe.
The Board also received and reviewed information regarding the profitability of the Adviser with respect to Fund-related activities. The Board 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, expense allocations and business mix, and therefore comparability of profitability is somewhat limited.
The Board reviewed the Adviser’s unaudited financial statements. 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.
The Board concluded that the advisory fee for each Fund is reasonable. The Board concluded that the sub-advisory fee for DAF is reasonable.
Economies of Scale. The Adviser provided to the Board Members information concerning the extent to which economies of scale were realized as the Funds grew and whether fee levels were reflective of such economies of scale. The Board noted that the Funds currently do not have breakpoints in their advisory fees that would allow investors to benefit directly in the form of lower fees as fund assets grew. However, the Adviser presented information to show that the fees were set at a level that is competitive relative to funds of a larger scale. 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 improve 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 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 Funds, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firms’ 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 advisory agreements. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the Independent Board Members, concluded that the advisory fee rates and total expense ratios are reasonable in relation to the services provided by the Adviser to the Funds, as well as the costs incurred and benefits gained by the Adviser in providing such services, including the investment advisory and administrative components. The Board also found the investment advisory fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar, actual or anticipated size. As a result, all of the Board Members, including the Independent Board Members, approved the continuation of the Investment Management Agreement and the Investment Advisory Agreement with respect to the Funds and the Sub-Advisory Agreement with respect to DAF. The Independent Board Members were represented by counsel who assisted them in their deliberations.
| AQR Funds | Semi-Annual Report | June 2011 | 113 | |||||||||
Investment Adviser
AQR Capital Management, LLC
Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
Sub-Adviser
CNH Partners, LLC
Two Greenwich Plaza, 1st 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
J.P. Morgan Investor Services Co.
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 www.aqrfunds.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 202-942-8090.
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 polices, experienced of its management, marketability of shares and other information.
P.O. Box 2248
Denver, CO 80201-2248
1-866-290-2688
www.aqrfunds.com
Item 2. Code of Ethics.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 3. Audit Committee Financial Expert.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 4. Principal Accountant Fees and Services.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 5. Audit Committee of Listed Registrants.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 6. Investments
| (a) | Schedule is included as part of the report to shareholders filed under Item 1 of this Form. |
| (b) | The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
| (a) | The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
| (b) | There have not been any changes in registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s control over financial reporting. Certain enhancements to controls and procedures have been made to ensure timely financial statement preparation and review. |
Item 12. Exhibits.
| (a)(1) | Not required for this filing. | |
| (a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. | |
| (a)(3) | Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable. | |
| (b) | Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto. | |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| AQR Funds | ||
| By: | /s/ Marco Hanig | |
| Marco Hanig, | ||
| Principal Executive Officer | ||
| August 31, 2011 | ||
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
| By: | /s/ Marco Hanig | |
| Marco Hanig, | ||
| Principal Executive Officer | ||
| Date: August 31, 2011 |
| By: | /s/ Nir Messafi | |
| Nir Messafi, | ||
| Principal Financial Officer | ||
| Date: August 31, 2011 |