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, 2012 to June 30, 2012
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.)
| Schedule of Investments | ||||
| 1 | ||||
| 11 | ||||
| 18 | ||||
| AQR Managed Futures Strategy Fund (Consolidated) |
38 | |||
| AQR Risk Parity Fund (Consolidated) |
45 | |||
| AQR Multi-Strategy Alternative Fund (Consolidated) |
59 | |||
| 95 | ||||
| 100 | ||||
| 108 | ||||
| 114 | ||||
| 118 | ||||
| 125 | ||||
| Financial Statements and Notes | 129 | |||
| Fund Expense Examples | 186 | |||
| Board Approval of Investment Advisory Agreements | 189 | |||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 1 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 2 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 3 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 4 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 5 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 6 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 7 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
Total return swap contract outstanding as of June 30, 2012:
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
| The Royal Bank of Scotland | Swiss Market Index Futures | 9/21/2012 | CHF | 12,197,490 | $299,546 | |||||||||
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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, 2012:
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 592 | CAC40 10 Euro Futures | July 20, 2012 | $22,675,469 | $23,913,698 | $1,238,229 | |||||||||||
| 55 | DAX Index Futures | September 21, 2012 | 10,644,129 | 11,156,411 | 512,282 | |||||||||||
| 347 | FTSE 100 Index Futures | September 21, 2012 | 29,438,327 | 30,014,966 | 576,639 | |||||||||||
| 38 | FTSE/MIB Index Futures | September 21, 2012 | 3,078,274 | 3,437,401 | 359,127 | |||||||||||
| 103 | IBEX 35 Index Futures | July 20, 2012 | 8,380,808 | 9,105,876 | 725,068 | |||||||||||
| 10 | MSCI Singapore Index Futures | July 30, 2012 | 512,819 | 524,334 | 11,515 | |||||||||||
| 195 | OMXS30 Index Futures | July 20, 2012 | 2,766,909 | 2,900,002 | 133,093 | |||||||||||
| 47 | TOPIX Index Futures | September 13, 2012 | 4,182,139 | 4,521,549 | 339,410 | |||||||||||
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|||||||||||
| 81,678,874 | 85,574,237 | 3,895,363 | ||||||||||||||
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| Short Contracts: | ||||||||||||||||
| 16 | Amsterdam Index Futures | July 20, 2012 | (1,179,075) | (1,244,240) | (65,165) | |||||||||||
| 28 | Hang Seng Index Futures | July 30, 2012 | (3,429,137) | (3,509,767) | (80,630) | |||||||||||
| 46 | S&P 500 E-Mini Futures | September 21, 2012 | (3,023,251) | (3,119,720) | (96,469) | |||||||||||
| 166 | S&P/Toronto Stock Exchange 60 Index Futures | September 20, 2012 | (21,137,843) | (21,568,097) | (430,254) | |||||||||||
| 296 | SPI 200 Index Futures | September 20, 2012 | (30,999,714) | (30,727,312) | 272,402 | |||||||||||
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| (59,769,020) | (60,169,136) | (400,116) | ||||||||||||||
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| $21,909,854 | $25,405,101 | $3,495,247 | ||||||||||||||
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Cash held as collateral with broker for futures contracts was $7,953,563 at June 30, 2012.
Forward foreign currency exchange contracts outstanding as of June 30, 2012:
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | AUD | 12,531,000 | $12,504,918 | $12,731,195 | $226,277 | ||||||||||||||
| Canadian Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | CAD | 1,840,000 | 1,792,706 | 1,804,072 | 11,366 | ||||||||||||||
| Swiss Franc, Expiring 09/19/12 |
The Royal Bank of Scotland | CHF | 6,760,000 | 7,072,598 | 7,136,855 | 64,257 | ||||||||||||||
| Danish Krone, Expiring 09/19/12 |
The Royal Bank of Scotland | DKK | 959,000 | 162,910 | 163,595 | 685 | ||||||||||||||
| Euro, Expiring 09/19/12 |
The Royal Bank of Scotland | EUR | 9,140,000 | 11,394,357 | 11,575,581 | 181,224 | ||||||||||||||
| British Pound, Expiring 09/19/12 |
The Royal Bank of Scotland | GBP | 29,669,000 | 45,858,398 | 46,456,253 | 597,855 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 8 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Hong Kong Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | HKD | 4,873,000 | $627,649 | $628,300 | $651 | ||||||||||||||
| Israeli Shekel, Expiring 09/19/12 |
The Royal Bank of Scotland | ILS | 4,227,000 | 1,087,401 | 1,077,896 | (9,505) | ||||||||||||||
| Japanese Yen, Expiring 09/19/12 |
The Royal Bank of Scotland | JPY | 634,925,000 | 8,061,817 | 7,951,773 | (110,044) | ||||||||||||||
| Norwegian Krone, Expiring 09/19/12 |
The Royal Bank of Scotland | NOK | 332,295,000 | 54,672,298 | 55,696,552 | 1,024,254 | ||||||||||||||
| New Zealand Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | NZD | 20,878,000 | 16,373,004 | 16,622,373 | 249,369 | ||||||||||||||
| Swedish Krona, Expiring 09/19/12 |
The Royal Bank of Scotland | SEK | 380,967,000 | 53,112,925 | 54,915,124 | 1,802,199 | ||||||||||||||
| Singapore Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | SGD | 655,000 | 513,326 | 517,123 | 3,797 | ||||||||||||||
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| 213,234,307 | 217,276,692 | 4,042,385 | ||||||||||||||||||
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| SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | AUD | (34,075,000) | $(33,206,266) | $(34,619,382) | $(1,413,116) | ||||||||||||||
| Canadian Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | CAD | (21,456,000) | (20,740,075) | (21,037,049) | (296,974) | ||||||||||||||
| Swiss Franc, Expiring 09/19/12 |
The Royal Bank of Scotland | CHF | (42,294,000) | (44,087,697) | (44,651,801) | (564,104) | ||||||||||||||
| Danish Krone, Expiring 09/19/12 |
The Royal Bank of Scotland | DKK | (6,093,000) | (1,034,457) | (1,039,397) | (4,940) | ||||||||||||||
| Euro, Expiring 09/19/12 |
The Royal Bank of Scotland | EUR | (59,867,000) | (74,985,555) | (75,820,057) | (834,502) | ||||||||||||||
| British Pound, Expiring 09/19/12 |
The Royal Bank of Scotland | GBP | (3,614,000) | (5,609,104) | (5,658,866) | (49,762) | ||||||||||||||
| Hong Kong Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | HKD | (1,869,000) | (240,882) | (240,979) | (97) | ||||||||||||||
| Israeli Shekel, Expiring 09/19/12 |
The Royal Bank of Scotland | ILS | (234,000) | (60,246) | (59,671) | 575 | ||||||||||||||
| Japanese Yen, Expiring 09/19/12 |
The Royal Bank of Scotland | JPY | (3,915,875,000) | (49,544,377) | (49,042,250) | 502,127 | ||||||||||||||
| Norwegian Krone, Expiring 09/19/12 |
The Royal Bank of Scotland | NOK | (24,318,000) | (4,036,316) | (4,075,983) | (39,667) | ||||||||||||||
| New Zealand Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | NZD | (10,012,000) | (7,573,567) | (7,971,223) | (397,656) | ||||||||||||||
| Swedish Krona, Expiring 09/19/12 |
The Royal Bank of Scotland | SEK | (6,535,000) | (905,672) | (941,998) | (36,326) | ||||||||||||||
| Singapore Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | SGD | (32,000) | (24,880) | (25,264) | (384) | ||||||||||||||
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| (242,049,094) | (245,183,920) | (3,134,826) | ||||||||||||||||||
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| $(28,814,787) | $(27,907,228) | $907,559 | ||||||||||||||||||
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Money Market Fund is pledged as collateral for forward foreign currency exchange contracts in the amount of $590,500.
AUD - Australian Dollar
CAD - Canadian Dollar
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 9 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
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 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 11 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 12 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 13 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 14 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
Total return swap contract outstanding as of June 30, 2012:
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
| The Royal Bank of Scotland | Swiss Market Index Futures | 9/21/2012 | CHF | 5,626,361 | $73,119 | |||||||||
|
|
|
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Money Market Fund investment pledged as collateral for total return swap contract is included in the collateral for forward foreign currency exchange contracts.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 15 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
Open futures contracts outstanding at June 30, 2012:
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 1,044 | CAC40 10 Euro Futures | July 20, 2012 | $39,965,153 | $42,172,128 | $2,206,975 | |||||||||||
| 69 | DAX Index Futures | September 21, 2012 | 13,345,369 | 13,996,224 | 650,855 | |||||||||||
| 487 | FTSE 100 Index Futures | September 21, 2012 | 41,315,610 | 42,124,751 | 809,141 | |||||||||||
| 68 | FTSE/MIB Index Futures | September 21, 2012 | 5,504,725 | 6,151,140 | 646,415 | |||||||||||
| 211 | IBEX 35 Index Futures | July 20, 2012 | 17,176,553 | 18,653,785 | 1,477,232 | |||||||||||
| 38 | MSCI Singapore Index Futures | July 30, 2012 | 1,946,474 | 1,992,469 | 45,995 | |||||||||||
| 90 | TOPIX Index Futures | September 13, 2012 | 8,008,351 | 8,658,285 | 649,934 | |||||||||||
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| 127,262,235 | 133,748,782 | 6,486,547 | ||||||||||||||
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| Short Contracts: | ||||||||||||||||
| 105 | Amsterdam Index Futures | July 20, 2012 | (7,737,677) | (8,165,322) | (427,645) | |||||||||||
| 111 | Hang Seng Index Futures | July 30, 2012 | (13,593,079) | (13,913,721) | (320,642) | |||||||||||
| 413 | OMXS30 Index Futures | July 20, 2012 | (5,888,358) | (6,142,058) | (253,700) | |||||||||||
| 384 | SPI 200 Index Futures | September 20, 2012 | (40,220,849) | (39,862,458) | 358,391 | |||||||||||
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| (67,439,963) | (68,083,559) | (643,596) | ||||||||||||||
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| $59,822,272 | $65,665,223 | $5,842,951 | ||||||||||||||
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Cash held as collateral with broker for futures contracts was $11,232,832 at June 30, 2012.
Forward foreign currency exchange contracts outstanding as of June 30, 2012:
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | AUD | 2,690,000 | $2,644,559 | $2,732,975 | $88,416 | ||||||||||||||
| Swiss Franc, Expiring 09/19/12 |
The Royal Bank of Scotland | CHF | 1,259,000 | 1,312,638 | 1,329,187 | 16,549 | ||||||||||||||
| Danish Krone, Expiring 09/19/12 |
The Royal Bank of Scotland | DKK | 435,000 | 73,454 | 74,206 | 752 | ||||||||||||||
| Euro, Expiring 09/19/12 |
The Royal Bank of Scotland | EUR | 16,810,000 | 21,010,794 | 21,289,444 | 278,650 | ||||||||||||||
| British Pound, Expiring 09/19/12 |
The Royal Bank of Scotland | GBP | 58,999,300 | 91,259,597 | 92,382,164 | 1,122,567 | ||||||||||||||
| Hong Kong Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | HKD | 17,994,000 | 2,317,922 | 2,320,054 | 2,132 | ||||||||||||||
| Israeli Shekel, Expiring 09/19/12 |
The Royal Bank of Scotland | ILS | 13,624,000 | 3,504,439 | 3,474,155 | (30,284) | ||||||||||||||
| Japanese Yen, Expiring 09/19/12 |
The Royal Bank of Scotland | JPY | 936,638,000 | 11,889,877 | 11,730,414 | (159,463) | ||||||||||||||
| Norwegian Krone, Expiring 09/19/12 |
The Royal Bank of Scotland | NOK | 531,739,000 | 87,633,224 | 89,125,714 | 1,492,490 | ||||||||||||||
| New Zealand Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | NZD | 22,388,000 | 17,626,948 | 17,824,585 | 197,637 | ||||||||||||||
| Swedish Krona, Expiring 09/19/12 |
The Royal Bank of Scotland | SEK | 675,311,000 | 94,296,779 | 97,343,830 | 3,047,051 | ||||||||||||||
| Singapore Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | SGD | 2,653,300 | 2,078,961 | 2,094,784 | 15,823 | ||||||||||||||
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| $335,649,192 | $341,721,512 | $6,072,320 | ||||||||||||||||||
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| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 16 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
| SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | AUD | (41,339,900) | $(40,420,785) | $(42,000,344) | $(1,579,559) | ||||||||||||||
| Swiss Franc, Expiring 09/19/12 |
The Royal Bank of Scotland | CHF | (36,955,800) | (38,521,587) | (39,016,007) | (494,420) | ||||||||||||||
| Danish Krone, Expiring 09/19/12 |
The Royal Bank of Scotland | DKK | (15,489,000) | (2,629,797) | (2,642,248) | (12,451) | ||||||||||||||
| Euro, Expiring 09/19/12 |
The Royal Bank of Scotland | EUR | (104,175,600) | (130,468,969) | (131,935,790) | (1,466,821) | ||||||||||||||
| British Pound, Expiring 09/19/12 |
The Royal Bank of Scotland | GBP | (5,925,000) | (9,173,584) | (9,277,471) | (103,887) | ||||||||||||||
| Hong Kong Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | HKD | (4,879,000) | (629,134) | (629,073) | 61 | ||||||||||||||
| Israeli Shekel, Expiring 09/19/12 |
The Royal Bank of Scotland | ILS | (631,000) | (162,627) | (160,907) | 1,720 | ||||||||||||||
| Japanese Yen, Expiring 09/19/12 |
The Royal Bank of Scotland | JPY | (7,083,049,200) | (89,620,010) | (88,707,804) | 912,206 | ||||||||||||||
| Norwegian Krone, Expiring 09/19/12 |
The Royal Bank of Scotland | NOK | (63,582,000) | (10,553,377) | (10,657,092) | (103,715) | ||||||||||||||
| Swedish Krona, Expiring 09/19/12 |
The Royal Bank of Scotland | SEK | (54,884,000) | (7,606,253) | (7,911,346) | (305,093) | ||||||||||||||
| Singapore Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | SGD | (220,000) | (171,717) | (173,690) | (1,973) | ||||||||||||||
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| (329,957,840) | (333,111,772) | (3,153,932) | ||||||||||||||||||
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| $5,691,352 | $8,609,740 | $2,918,388 | ||||||||||||||||||
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Money Market Fund is pledged as collateral for forward foreign currency exchange contracts in the amount of $927. Additional cash held as collateral with broker for forward currency exchange contracts was $390,000 at June 30, 2012.
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 2012 | 17 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 18 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 19 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| CONVERTIBLE PREFERRED STOCKS - 4.6% | MOODY’S RATING (UNAUDITED)* |
SHARES | VALUE (Note 3) |
|||||||||||||
| Basic Materials - 0.2% | ||||||||||||||||
| Thompson Creek Metals Co., Inc. (Canada), $25.00 par, 6.500% † | NR | 226,250 | $ | 4,310,062 | ||||||||||||
|
|
|
|||||||||||||||
| Consumer Discretionary - 0.1% | ||||||||||||||||
| Interpublic Group of Cos., Inc./The, Perpetual, Series B, $1,000.00 par, 5.250% † | B | +** | 3,000 | 3,003,000 | ||||||||||||
|
|
|
|||||||||||||||
| Consumer Staples - 0.4% | ||||||||||||||||
| Universal Corp., Perpetual, $1,000.00 par, 6.750% | BB | ** | 8,350 | 8,988,775 | ||||||||||||
|
|
|
|||||||||||||||
| Energy - 0.5% | ||||||||||||||||
| Chesapeake Energy Corp., Perpetual 144A, $1,000.00 par, 5.750% (2)(d) | B | -** | 10,000 | 8,512,500 | ||||||||||||
| Energy XXI Bermuda Ltd., Perpetual (Bermuda), $250.00 par, 5.625% (2) | NR | 9,535 | 3,167,408 | |||||||||||||
| Superior Well Services, Inc., Perpetual, Series A, $1,000.00 par, 4.000% (3)(a) | NR | 1,169 | 1,052,100 | |||||||||||||
| Whiting Petroleum Corp., Perpetual, $100.00 par, 6.250% | B | +** | 1,144 | 216,994 | ||||||||||||
|
|
|
|||||||||||||||
| 12,949,002 | ||||||||||||||||
|
|
|
|||||||||||||||
| Financials - 2.2% | ||||||||||||||||
| Boston Private Capital Trust I, $50.00 par, 4.875% (2) | NR | 3,750 | 126,094 | |||||||||||||
| Citigroup, Inc., $100.00 par, 7.500% | NR | 40,000 | 3,422,400 | |||||||||||||
| Dole Food Automatic Common Exchange 144A, $12.50 par, 7.000% (2)†(d) | NR | 62,250 | 534,964 | |||||||||||||
| Jack Cooper Holdings Corp. 144A, $99.08 par, 13.750% (2)(b)(d) | NR | 6,950,000 | 6,906,562 | |||||||||||||
| Jack Cooper Holdings Corp., Perpetual 144A, $100.00 par, 0.000% (3)†(a)(d)(e) | NR | 2,000 | 196,000 | |||||||||||||
| MetLife, Inc., $82.88 par, 5.000% | BBB | -** | 172,375 | 10,664,841 | ||||||||||||
| MF Global Holdings Ltd., Perpetual, $100.00 par, 9.750% (3)(a) | NR | 19,550 | 178,394 | |||||||||||||
| SLM Corp., Perpetual, Series A, $50.00 par, 6.970% | Ba3 | 12,500 | 574,375 | |||||||||||||
| Sovereign Capital Trust IV, $50.00 par, 4.375% | Ba1 | 600,726 | 30,494,354 | |||||||||||||
| Wells Fargo & Co., Perpetual, Series L, $1,000.00 par, 7.500% | Baa3 | 500 | 562,500 | |||||||||||||
| Wintrust Financial Corp., $50.00 par, 7.500% | NR | 24,300 | 1,293,975 | |||||||||||||
|
|
|
|||||||||||||||
| 54,954,459 | ||||||||||||||||
|
|
|
|||||||||||||||
| Industrials - 0.3% | ||||||||||||||||
| Nielsen Holdings NV, $50.00 par, 6.250% (2) | B | +** | 6,800 | 348,075 | ||||||||||||
| Timberjack Corp., $188,000.00 par, 0.000% (3)†(a) | NR | 188,000 | 582,123 | |||||||||||||
| United Technologies Corp., $50.00 par, 7.500% † | BBB | +** | 92,150 | 4,855,384 | ||||||||||||
|
|
|
|||||||||||||||
| 5,785,582 | ||||||||||||||||
|
|
|
|||||||||||||||
| Information Technology - 0.0% (f) | ||||||||||||||||
| Authentidate Holding Corp., Series C ADR, $- par, 0.000% (3)†(a) | NR | 218,000 | 425,100 | |||||||||||||
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 20 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| MOODY’S RATING (UNAUDITED)* |
SHARES | VALUE (Note 3) |
||||||||||||||||||
| Materials - 0.3% | ||||||||||||||||||||
| North Atlantic Trading Co. 144A, $97.00 par, 19.000% (2)(b)(d)(g) | Caa2 | 2,000,000 | $ | 1,860,000 | ||||||||||||||||
| North Atlantic Trading Co. 144A, $98.00 par, 11.500% (2)(b)(d) | B2 | 5,625,000 | 5,568,750 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| 7,428,750 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Utilities - 0.6% | ||||||||||||||||||||
| NextEra Energy, Inc., $- par, 5.599% † | NR | 6,152,500 | 3,153,156 | |||||||||||||||||
| PPL Corp., $50.00 par, 9.500% | NR | 166,325 | 8,798,592 | |||||||||||||||||
| PPL Corp., $50.00 par, 8.750% | NR | 64,425 | 3,444,805 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| 15,396,553 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| TOTAL CONVERTIBLE PREFERRED STOCKS |
113,241,283 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| CORPORATE BONDS - 22.0% | INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’s) |
|||||||||||||||||
| Communications - 1.0% | ||||||||||||||||||||
| Clear Channel Communications, Inc. (2)(b) | Ca | 5.750% | 01/15/13 | $ | 2,700 | 2,676,375 | ||||||||||||||
| Intelsat Investments SA (Bermuda) (2)(b) | Caa3 | 6.500% | 11/01/13 | 7,200 | 7,470,000 | |||||||||||||||
| Interactive Network, Inc./FriendFinder Networks, Inc. (2) | CCC | +** | 14.000% | 09/30/13 | 797 | 637,789 | ||||||||||||||
| Interactive Network, Inc./FriendFinder Networks, Inc. 144A (2)(d)(g) | CCC | -** | 11.500% | 04/30/14 | 2,544 | 470,667 | ||||||||||||||
| Nextel Communications, Inc., Series E (2) | WR | 6.875% | 10/31/13 | 4,392 | 4,408,470 | |||||||||||||||
| Primus Telecommunications Holding, Inc./Primus Telecommunications Canada, Inc. 144A (3)(a)(d) | WR | 13.000% | 12/15/16 | 1,150 | 1,129,012 | |||||||||||||||
| WCP Wireless Site Funding / WCP Wireless Site RE Funding / WCP Wireless Site Non 144A (2)(d) |
NR | 9.247% | 11/15/15 | 3,000 | 3,073,098 | |||||||||||||||
| WCP Wireless Site Funding / WCP Wireless Site RE Funding / WCP Wireless Site Non 144A (2)(d) |
NR | 6.829% | 11/15/15 | 3,325 | 3,476,677 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 23,342,088 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Consumer Discretionary - 3.7% | ||||||||||||||||||||
| Baker & Taylor, Inc. 144A (2)(b)(d) | Caa1 | 11.500% | 07/01/13 | 3,250 | 1,876,875 | |||||||||||||||
| Broder Brothers Co. 144A (2)(b)(d)(g) | NR | 12.000% | 10/15/13 | 6,475 | 6,442,625 | |||||||||||||||
| Brookstone Co., Inc. 144A (2)(d) | NR | ** | 13.000% | 10/15/14 | 516 | 432,150 | ||||||||||||||
| Cenveo Corp. (2) | Caa2 | 7.875% | 12/01/13 | 8,025 | 8,004,938 | |||||||||||||||
| Cenveo Corp. 144A (2)(b)(d) | NR | 7.000% | 05/15/17 | 1,800 | 1,485,000 | |||||||||||||||
| Charming Shoppes, Inc. (2) | B | -** | 1.125% | 05/01/14 | 6,625 | 6,608,438 | ||||||||||||||
| Empire Today LLC/Empire Today Finance Corp. 144A (2)(b)(d) | B3 | 11.375% | 02/01/17 | 3,250 | 3,290,625 | |||||||||||||||
| Group 1 Automotive, Inc. (2) | NR | 3.000% | 03/15/20 | 2,350 | 3,237,125 | |||||||||||||||
| HOA Restaurant Group LLC/HOA Finance Corp. 144A (2)(d) | B3 | 11.250% | 04/01/17 | 8,975 | 8,313,094 | |||||||||||||||
| IDQ Holdings, Inc. 144A (2)(d) | B3 | 11.500% | 04/01/17 | 4,325 | 4,498,000 | |||||||||||||||
| Mandalay Resort Group (2)(b) | Caa1 | 7.625% | 07/15/13 | 8,450 | 8,661,250 | |||||||||||||||
| Mastro’s Restaurants LLC/RRG Finance Corp. 144A (2)(b)(d) | Caa1 | 12.000% | 06/01/17 | 6,625 | 6,740,937 | |||||||||||||||
| MGM Resorts International (2)(b) | B3 | 4.250% | 04/15/15 | 6,375 | 6,462,656 | |||||||||||||||
| MGM Resorts International (2)(b) | B3 | 6.750% | 04/01/13 | 5,900 | 6,040,125 | |||||||||||||||
| Pegasus Solutions, Inc. 144A (3)(a)(d)(g) | NR | 13.000% | 04/15/14 | 3,553 | 3,019,794 | |||||||||||||||
| priceline.com, Inc. 144A (2)(b)(d) | BBB | ** | 1.000% | 03/15/18 | 1,475 | 1,554,281 | ||||||||||||||
| Sotheby’s (2) | Ba3 | 3.125% | 06/15/13 | 5,025 | 5,822,719 | |||||||||||||||
| TRW Automotive, Inc. (2)(b) | BB | -** | 3.500% | 12/01/15 | 6,650 | 9,675,750 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 92,166,382 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Consumer Staples - 0.7% | ||||||||||||||||||||
| Archer-Daniels-Midland Co. (2) | A | ** | 0.875% | 02/15/14 | 1,500 | 1,507,500 | ||||||||||||||
| Smithfield Foods, Inc. (2)(b) | BB | ** | 4.000% | 06/30/13 | 13,075 | 14,545,937 | ||||||||||||||
| Vector Group Ltd. (2)(b) | B1 | 11.000% | 08/15/15 | 1,700 | 1,768,000 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 17,821,437 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 21 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| MOODY’S RATING (UNAUDITED)* |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’s) |
VALUE (Note 3) |
||||||||||||||||
| Energy - 2.5% | ||||||||||||||||||||
| Black Elk Energy Offshore Operations LLC / Black Elk Finance Corp. (3)(a)(b) | Caa2 | 13.750% | 12/01/15 | $ | 5,800 | $ | 5,829,000 | |||||||||||||
| CCS, Inc. 144A (Canada) (3)(a)(b)(d) | Caa2 | 11.000% | 11/15/15 | 4,800 | 4,944,000 | |||||||||||||||
| Cheniere Energy, Inc. (3)(a)(b) | NR | 2.250% | 08/01/12 | 4,825 | 4,800,875 | |||||||||||||||
| Chesapeake Energy Corp. (2)(b) | Ba3 | 7.625% | 07/15/13 | 7,250 | 7,476,563 | |||||||||||||||
| Global Rig Co. ASA (Norway) (3)(a) | NR | 13.000% | 06/15/15 | 3,452 | 3,555,216 | |||||||||||||||
| Golden Close Maritime Corp. Ltd. MTN (Bermuda) (3)(a) |
NR | 11.000% | 12/09/15 | 2,500 | 2,662,500 | |||||||||||||||
| Green Field Energy Services, Inc. 144A (2)(b)(d) | Caa2 | 13.000% | 11/15/16 | 2,025 | 1,741,500 | |||||||||||||||
| Green Plains Renewable Energy, Inc. (2) | NR | 5.750% | 11/01/15 | 4,100 | 3,567,000 | |||||||||||||||
| Harvest Operations Corp. (Canada) (2)(b) | NR | 7.500% | 05/31/15 | CAD | 275 | 280,915 | ||||||||||||||
| Heckmann Corp. 144A (2)(b)(d) | Caa1 | 9.875% | 04/15/18 | $ | 3,950 | 3,752,500 | ||||||||||||||
| InterOil Exploration and Production ASA (Norway) (3)(a) |
NR | 15.000% | 03/14/14 | NOK | 6,500 | 1,109,075 | ||||||||||||||
| James River Coal Co. (2) | CCC | -** | 4.500% | 12/01/15 | $ | 500 | 180,000 | |||||||||||||
| Offshore Group Investments Ltd. (Cayman Islands) (2) | B3 | 11.500% | 08/01/15 | 4,800 | 5,208,000 | |||||||||||||||
| Panoro Energy ASA 144A (Norway) (3)(a)(d) | NR | 12.000% | 11/15/18 | 2,300 | 2,363,250 | |||||||||||||||
| Patriot Coal Corp. (2) | NR | 3.250% | 05/31/13 | 12,450 | 3,361,500 | |||||||||||||||
| Petrominerales Ltd. (Canada) (2) | NR | 3.250% | 06/12/17 | 3,200 | 2,936,000 | |||||||||||||||
| Polarcus Alima AS (Norway) (3)(a) | NR | 12.500% | 10/29/15 | 3,800 | 3,838,000 | |||||||||||||||
| RDS Ultra-Deepwater Ltd. 144A (Cayman Islands) (2)(b)(d) |
B3 | 11.875% | 03/15/17 | 845 | 935,838 | |||||||||||||||
| Regency Energy Partners LP/Regency Energy Finance Corp. (2) | B1 | 9.375% | 06/01/16 | 3,760 | 4,136,000 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 62,677,732 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Financials - 3.6% | ||||||||||||||||||||
| Annaly Capital Management, Inc. (2) | NR | 5.000% | 05/15/15 | 3,150 | 3,106,687 | |||||||||||||||
| AV Homes, Inc. (2)(b) | NR | 7.500% | 02/15/16 | 5,900 | 5,892,625 | |||||||||||||||
| BPA Laboratories, Inc. 144A (3)(a)(b)(d) | NR | 12.250% | 04/01/17 | 5,875 | 5,640,000 | |||||||||||||||
| CIT Group, Inc. 144A (3)(a)(b)(d) | B1 | 7.000% | 05/02/16 | 13,125 | 13,157,812 | |||||||||||||||
| CIT Group, Inc. 144A (2)(d) | B1 | 7.000% | 05/02/17 | 1,008 | 1,009,657 | |||||||||||||||
| CNO Financial Group, Inc. (2)(b) | B2 | 7.000% | 12/30/16 | 3,635 | 5,675,144 | |||||||||||||||
| CNO Financial Group, Inc., Series UNRE (2)(b) | NR | 7.000% | 12/30/16 | 2,367 | 3,695,479 | |||||||||||||||
| DFC Global Corp. 144A (2)(b)(d) | B | +** | 3.250% | 04/15/17 | 800 | 861,000 | ||||||||||||||
| Health Care REIT, Inc. (2)(b) | Baa2 | 3.000% | 12/01/29 | 1,275 | 1,509,281 | |||||||||||||||
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. (2) | Ba3 | 8.000% | 01/15/18 | 4,530 | 4,813,125 | |||||||||||||||
| ING Capital Funding Trust III, Perpetual Bond, Series 9 (2)(b)(e) | B1 | 4.061% | 12/29/49 | 3,875 | 3,221,183 | |||||||||||||||
| Jasper Explorer Ltd. (Cyprus) (3)(a) | NR | 13.500% | 05/27/16 | 6,000 | 4,950,000 | |||||||||||||||
| Kohlberg Capital Corp. (2)(b) | NR | 8.750% | 03/15/16 | 4,000 | 4,040,000 | |||||||||||||||
| MF Global Holdings Ltd. (2)(h) | WR | 3.375% | 08/01/18 | 2,750 | 1,120,625 | |||||||||||||||
| PHH Corp. (2)(b) | Ba2 | 6.000% | 06/15/17 | 1,550 | 2,485,813 | |||||||||||||||
| Rouse Co./The (2)(b) | BB | +** | 6.750% | 11/09/15 | 4,045 | 4,227,025 | ||||||||||||||
| Rouse Co./The (2)(b) | WR | 7.200% | 09/15/12 | 2,700 | 2,706,750 | |||||||||||||||
| Speedy Cash Intermediate Holdings Corp. 144A (2)(b)(d) |
B3 | 10.750% | 05/15/18 | 10,950 | 11,305,875 | |||||||||||||||
| Synovus Financial Corp. (2)(b) | B3 | 5.125% | 06/15/17 | 1,375 | 1,265,000 | |||||||||||||||
| TMX Finance LLC / TitleMax Finance Corp. (2)(b) | B2 | 13.250% | 07/15/15 | 3,875 | 4,281,875 | |||||||||||||||
| TMX Finance LLC/ TitleMax Finance Corp. (2)(b) | B2 | 13.250% | 07/15/15 | 3,280 | 3,624,400 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 88,589,356 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Health Care - 2.4% | ||||||||||||||||||||
| Adcare Health Systems, Inc. (3)(a) | NR | 10.000% | 10/26/13 | 1,850 | 1,834,170 | |||||||||||||||
| Affymetrix, Inc. (2)(b) | NR | 4.000% | 07/01/19 | 2,525 | 2,525,000 | |||||||||||||||
| Amylin Pharmaceuticals, Inc. (2) | NR | 3.000% | 06/15/14 | 3,100 | 3,158,125 | |||||||||||||||
| China Medical Technologies, Inc., Series CMT (China) (2)(b) | NR | 4.000% | 08/15/13 | 250 | 65,000 | |||||||||||||||
| KV Pharmaceutical Co. (2)(b) | NR | 12.000% | 03/15/15 | 8,175 | 2,534,250 | |||||||||||||||
| MannKind Corp. (2)(b) | NR | 5.750% | 08/15/15 | 1,540 | 752,675 | |||||||||||||||
| Medicines Co./The 144A (2)(d) | NR | 1.375% | 06/01/17 | 825 | 842,531 | |||||||||||||||
| Merge Healthcare, Inc. (2)(b) | B2 | 11.750% | 05/01/15 | 1,930 | 1,992,725 | |||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 22 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| MOODY’S RATING (UNAUDITED)* |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’s) |
VALUE (Note 3) |
||||||||||||||||
| Health Care - 2.4% (continued) | ||||||||||||||||||||
| Omnicare, Inc. (2) | Ba3 | 3.750% | 12/15/25 | $ | 2,400 | $ | 3,153,000 | |||||||||||||
| PDL BioPharma, Inc. (2)(b) | NR | 2.875% | 02/15/15 | 1,400 | 1,615,250 | |||||||||||||||
| Regeneron Pharmaceuticals, Inc. 144A (2)(d) | NR | 1.875% | 10/01/16 | 11,925 | 18,036,562 | |||||||||||||||
| Select Medical Corp. (2)(b) | B3 | 7.625% | 02/01/15 | 8,075 | 8,085,094 | |||||||||||||||
| US Oncology, Inc. (3)(a) | NR | 9.125% | 08/15/17 | 5,786 | — | |||||||||||||||
| ViroPharma, Inc. (2)(b) | NR | 2.000% | 03/15/17 | 10,375 | 14,706,563 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 59,300,945 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Industrials - 2.7% | ||||||||||||||||||||
| AAR Corp. (2)(b) | B | +** | 1.750% | 02/01/26 | 2,200 | 2,172,500 | ||||||||||||||
| Boa Deep C AS (Norway) (3)(a)(e) | NR | 7.800% | 04/27/16 | NOK | 17,813 | 3,031,807 | ||||||||||||||
| Chart Industries, Inc. (2) | B | +** | 2.000% | 08/01/18 | $ | 8,825 | 10,865,781 | |||||||||||||
| Chloe Marine Corp. Ltd. (Bermuda) (3)(a) | NR | 12.000% | 12/28/16 | 1,400 | 1,456,000 | |||||||||||||||
| EOAL Cyprus Holdings Ltd. (Cyprus) (2) | NR | 20.000% | 06/22/13 | 350 | 262,500 | |||||||||||||||
| EOAL Cyprus Holdings Ltd. (Cyprus) (3)(a) | NR | 15.000% | 07/15/14 | 4,100 | 410,000 | |||||||||||||||
| Floatel Superior Ltd. (Bahamas) (3)(a) | NR | 13.000% | 09/02/15 | 1,100 | 1,188,000 | |||||||||||||||
| GenCorp, Inc. (2)(b) | CCC | +** | 4.063% | 12/31/39 | 3,575 | 3,624,156 | ||||||||||||||
| General Cable Corp. (2)(b)(i) | B2 | 4.500% | 11/15/29 | 9,620 | 9,367,475 | |||||||||||||||
| Hawaiian Holdings, Inc. (2)(b) | NR | 5.000% | 03/15/16 | 300 | 328,125 | |||||||||||||||
| L-3 Communications Holdings, Inc. (2)(b) | Ba1 | 3.000% | 08/01/35 | 5,800 | 5,655,000 | |||||||||||||||
| MasTec, Inc. (2)(b) | NR | 4.250% | 12/15/14 | 2,400 | 2,961,000 | |||||||||||||||
| Ship Finance International Ltd. (Bermuda) (2) | B3 | 8.500% | 12/15/13 | 3,250 | 3,217,500 | |||||||||||||||
| Songa Offshore SE (Cyprus) (2)(e) | NR | 12.690% | 11/17/16 | NOK | 15,000 | 2,622,444 | ||||||||||||||
| Songa Offshore SE (Cyprus) (3)(a) | NR | 10.420% | 06/11/15 | 25,500 | 4,243,820 | |||||||||||||||
| Tempel Steel Co. 144A (2)(d) | B3 | 12.000% | 08/15/16 | $ | 5,625 | 5,350,781 | ||||||||||||||
| Titan Machinery, Inc. 144A (2)(d) | NR | 3.750% | 05/01/19 | 6,650 | 6,616,750 | |||||||||||||||
| United Continental Holdings, Inc. (3)(a) | NR | 6.860% | 04/22/14 | 2,653 | 2,673,052 | |||||||||||||||
| Western Express, Inc. 144A (2)(b)(d) | Caa2 | 12.500% | 04/15/15 | 2,300 | 1,391,500 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 67,438,191 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Information Technology - 3.9% | ||||||||||||||||||||
| Bankrate, Inc. (2)(b) | B1 | 11.750% | 07/15/15 | 1,077 | 1,203,547 | |||||||||||||||
| Computer Sciences Corp. (2) | Baa2 | 5.000% | 02/15/13 | 4,225 | 4,330,625 | |||||||||||||||
| LDK Solar Co. Ltd., Series EXCH (Cayman Islands) (2)(b) | NR | 4.750% | 04/15/13 | 625 | 420,313 | |||||||||||||||
| Microchip Technology, Inc. (2) | NR | 2.125% | 12/15/37 | 10,650 | 13,285,875 | |||||||||||||||
| Micron Technology, Inc., Series C 144A (2)(b)(d) | BB | -** | 2.375% | 05/01/32 | 3,050 | 2,809,813 | ||||||||||||||
| Salesforce.com, Inc. (2)(b) | NR | 0.750% | 01/15/15 | 23,625 | 40,398,750 | |||||||||||||||
| SanDisk Corp. (3)(a)(b) | BB | ** | 1.000% | 05/15/13 | 10,300 | 10,145,500 | ||||||||||||||
| SouthPeak Interactive Corp. (3)(a)(h) | NR | 29.000% | 12/31/12 | 1,091 | 330,725 | |||||||||||||||
| SouthPeak Interactive Corp. (3)(a)(h) | NR | 10.000% | 07/19/13 | 2,500 | 706,600 | |||||||||||||||
| Vishay Intertechnology, Inc. 144A (2)(d) | BB | +** | 2.250% | 11/15/40 | 6,500 | 5,378,750 | ||||||||||||||
| Xilinx, Inc. (2)(b) | BBB | -** | 3.125% | 03/15/37 | 13,400 | 15,979,500 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 94,989,998 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Materials - 0.6% | ||||||||||||||||||||
| Appleton Papers, Inc. 144A (2)(b)(d) | B1 | 10.500% | 06/15/15 | 600 | 642,000 | |||||||||||||||
| Cemex SAB de CV (Mexico) (2)(b) | NR | 3.250% | 03/15/16 | 900 | 763,875 | |||||||||||||||
| Cemex SAB de CV (Mexico) (2)(b) | NR | 4.875% | 03/15/15 | 3,200 | 2,824,000 | |||||||||||||||
| Cemex SAB de CV (Mexico) (2)(b) | NR | 3.750% | 03/15/18 | 500 | 418,125 | |||||||||||||||
| Cereplast, Inc. (3)(a)(h) | NR | 7.000% | 06/01/16 | 4,450 | 1,813,371 | |||||||||||||||
| Jaguar Mining, Inc. (2)(b) | NR | 5.500% | 03/31/16 | 500 | 245,000 | |||||||||||||||
| Kaiser Aluminum Corp. (2)(b) | NR | 4.500% | 04/01/15 | 300 | 371,250 | |||||||||||||||
| Royal Gold, Inc. (2) | NR | 2.875% | 06/15/19 | 700 | 733,250 | |||||||||||||||
| Standard Steel LLC / Standard Steel Finance Corp. 144A (3)(a)(d) | B3 | 12.000% | 05/01/15 | 5,631 | 6,222,255 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 14,033,126 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 23 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| MOODY’S RATING (UNAUDITED)* |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’s) |
VALUE (Note 3) |
||||||||||||||||
| Telecommunication Services - 0.8% | ||||||||||||||||||||
| Crown Castle International Corp. (2) | B1 | 9.000% | 01/15/15 | $ | 13,225 | $ | 14,431,781 | |||||||||||||
| FiberTower Corp. (2)(b) | NR | 9.000% | 01/01/16 | 4,315 | 2,621,145 | |||||||||||||||
| MediMedia USA, Inc. 144A (3)(a)(b)(d) | Caa2 | 11.375% | 11/15/14 | 2,350 | 2,115,000 | |||||||||||||||
| Morris Publishing Group LLC (2) | NR | 10.000% | 09/01/14 | 667 | 663,822 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 19,831,748 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Utilities - 0.1% | ||||||||||||||||||||
| Atlantic Offshore (Norway) (3)(a) | NR | 12.310% | 06/27/15 | NOK 12,000 | 2,017,264 | |||||||||||||||
|
|
|
|||||||||||||||||||
| TOTAL CORPORATE BONDS |
542,208,267 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| CONVERTIBLE BONDS - 39.5% | ||||||||||||||||||||
| Communications - 0.0% (f) | ||||||||||||||||||||
| Clearwire Communications LLC / Clearwire Finance, Inc. 144A (2)(d) | NR | ** | 8.250% | 12/01/40 | $ | 700 | 435,750 | |||||||||||||
|
|
|
|||||||||||||||||||
| Consumer Discretionary - 8.0% | ||||||||||||||||||||
| Coinstar, Inc. (2) | BB | -** | 4.000% | 09/01/14 | 2,150 | 3,848,500 | ||||||||||||||
| DR Horton, Inc., Series DHI (2)(b) | Ba2 | 2.000% | 05/15/14 | 26,406 | 39,278,925 | |||||||||||||||
| Exide Technologies (3)(a)(b)(e) | CCC | +** | 0.000% | 09/18/13 | 650 | 597,740 | ||||||||||||||
| Fifth & Pacific Cos., Inc. 144A (2)(b)(d) | CCC | +** | 6.000% | 06/15/14 | 6,250 | 19,015,625 | ||||||||||||||
| Gaylord Entertainment Co. 144A (2)(b)(d) | NR | 3.750% | 10/01/14 | 14,350 | 21,399,437 | |||||||||||||||
| JAKKS Pacific, Inc. 144A (2)(b)(d) | NR | 4.500% | 11/01/14 | 3,925 | 4,714,906 | |||||||||||||||
| Lennar Corp. 144A (2)(d) | B2 | 3.250% | 11/15/21 | 8,000 | 12,050,000 | |||||||||||||||
| Lennar Corp. 144A (2)(b)(d) | B2 | 2.000% | 12/01/20 | 350 | 439,250 | |||||||||||||||
| Lennar Corp. 144A (2)(b)(d) | B2 | 2.750% | 12/15/20 | 15,175 | 23,388,469 | |||||||||||||||
| Palm Harbor Homes, Inc. (3)(a)(h) | NR | 3.250% | 05/15/24 | 70 | 1,400 | |||||||||||||||
| priceline.com, Inc. 144A (2)(b)(d) | BBB | ** | 1.250% | 03/15/15 | 12,400 | 27,574,500 | ||||||||||||||
| Regis Corp. (2)(b) | NR | 5.000% | 07/15/14 | 10,000 | 12,912,500 | |||||||||||||||
| Saks, Inc. 144A (2)(b)(d) | NR | ** | 7.500% | 12/01/13 | 800 | 1,603,000 | ||||||||||||||
| Sonic Automotive, Inc. (2)(b) | B | +** | 5.000% | 10/01/29 | 14,250 | 18,560,625 | ||||||||||||||
| Stewart Enterprises, Inc. (2)(b) | B1 | 3.125% | 07/15/14 | 25 | 24,813 | |||||||||||||||
| Virgin Media, Inc. (2) | B | +** | 6.500% | 11/15/16 | 8,225 | 12,296,375 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 197,706,065 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Consumer Staples - 1.2% | ||||||||||||||||||||
| Alliance One International, Inc. (2)(b) | Caa2 | 5.500% | 07/15/14 | 4,500 | 4,303,125 | |||||||||||||||
| American Oriental Bioengineering, Inc. 144A (China) (2)(b)(d) | NR | 5.000% | 07/15/15 | 1,000 | 190,000 | |||||||||||||||
| Central European Distribution Corp. (2) | CCC | -** | 3.000% | 03/15/13 | 3,875 | 3,351,875 | ||||||||||||||
| Chiquita Brands International, Inc. (2) | B | -** | 4.250% | 08/15/16 | 5,000 | 3,618,750 | ||||||||||||||
| Nash Finch Co. (2)(b)(i) | B2 | 1.631% | 03/15/35 | 4,275 | 1,993,219 | |||||||||||||||
| Rite Aid Corp. (2)(b) | Caa3 | 8.500% | 05/15/15 | 300 | 321,375 | |||||||||||||||
| Tyson Foods, Inc. (2) | BB | +** | 3.250% | 10/15/13 | 6,600 | 8,002,500 | ||||||||||||||
| Vector Group Ltd. (2)(b)(e) | NR | 3.750% | 11/15/14 | 6,504 | 8,203,170 | |||||||||||||||
| Vector Group Ltd. (2)(e) | NR | 3.875% | 06/15/26 | 58 | 61,987 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 30,046,001 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Energy - 2.4% | ||||||||||||||||||||
| Bristow Group, Inc. (2)(b) | BB | ** | 3.000% | 06/15/38 | 1,000 | 1,007,500 | ||||||||||||||
| Exterran Holdings, Inc. (2)(b) | B | +** | 4.250% | 06/15/14 | 3,675 | 3,550,969 | ||||||||||||||
| GMX Resources, Inc. (2)(b) | NR | 4.500% | 05/01/15 | 1,875 | 853,125 | |||||||||||||||
| Goodrich Petroleum Corp. (2)(b) | CCC | +** | 5.000% | 10/01/29 | 1,000 | 931,250 | ||||||||||||||
| PetroBakken Energy Ltd., Reg S (Canada) (2)(b) | NR | 3.125% | 02/08/16 | 2,900 | 2,856,500 | |||||||||||||||
| Petrominerales Ltd., Series PMG (Canada) (2) | NR | 2.625% | 08/25/16 | 1,900 | 1,811,650 | |||||||||||||||
| Pioneer Natural Resources Co. (2)(b) | BBB | -** | 2.875% | 01/15/38 | 200 | 295,500 | ||||||||||||||
| Polarcus Ltd. MTN (Norway) (2) | NR | 2.875% | 04/27/16 | 400 | 335,600 | |||||||||||||||
| Western Refining, Inc. (2)(b) | CCC | +** | 5.750% | 06/15/14 | 21,247 | 46,052,872 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 57,694,966 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 24 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| MOODY’S RATING (UNAUDITED)* |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’s) |
VALUE (Note 3) |
||||||||||||||||
| Financials - 8.5% | ||||||||||||||||||||
| American Equity Investment Life Holding Co. 144A (2)(b)(d) | NR | 5.250% | 12/06/29 | $ | 10,275 | $ | 13,216,219 | |||||||||||||
| American Equity Investment Life Holding Co. 144A (2)(b)(d) | NR | 3.500% | 09/15/15 | 8,925 | 9,728,250 | |||||||||||||||
| Ares Capital Corp. 144A (2)(d) | BBB | ** | 5.750% | 02/01/16 | 4,425 | 4,502,438 | ||||||||||||||
| Ares Capital Corp. 144A (2)(b)(d) | BBB | ** | 5.125% | 06/01/16 | 3,025 | 2,998,531 | ||||||||||||||
| BGC Partners, Inc. 144A (2)(d) | BBB | -** | 4.500% | 07/15/16 | 1,400 | 1,302,000 | ||||||||||||||
| BioMed Realty LP 144A (2)(b)(d) | NR | 3.750% | 01/15/30 | 8,975 | 10,444,656 | |||||||||||||||
| Boston Properties LP (2)(b) | A | -** | 3.750% | 05/15/36 | 5,750 | 6,569,375 | ||||||||||||||
| Boston Properties LP 144A (2)(b)(d) | A | -** | 3.625% | 02/15/14 | 3,750 | 4,068,750 | ||||||||||||||
| CNO Financial Group, Inc., Series 1 (2)(b) | NR | 7.000% | 12/30/16 | 3,963 | 6,187,234 | |||||||||||||||
| DDR Corp. (2)(b) | NR | 1.750% | 11/15/40 | 17,800 | 19,068,250 | |||||||||||||||
| DFC Global Corp. (2)(b) | NR | 2.875% | 06/30/27 | 150 | 156,375 | |||||||||||||||
| Digital Realty Trust LP 144A (2)(b)(d) | NR | 5.500% | 04/15/29 | 8,450 | 15,537,437 | |||||||||||||||
| Hilltop Holdings, Inc. (2)(b) | NR | 7.500% | 08/15/25 | 998 | 1,104,038 | |||||||||||||||
| Host Hotels & Resorts LP 144A (2)(b)(d) | BB | +** | 2.500% | 10/15/29 | 27,225 | 35,290,406 | ||||||||||||||
| Janus Capital Group, Inc. (2) | Baa3 | 3.250% | 07/15/14 | 250 | 254,687 | |||||||||||||||
| Kilroy Realty LP 144A (2)(b)(d) | NR | 4.250% | 11/15/14 | 7,390 | 10,262,863 | |||||||||||||||
| KKR Financial Holdings LLC (2) | NR | 7.000% | 07/15/12 | 125 | 125,469 | |||||||||||||||
| Leucadia National Corp. (2)(b) | B2 | 3.750% | 04/15/14 | 250 | 273,125 | |||||||||||||||
| Lexington Realty Trust 144A (2)(b)(d) | NR | 6.000% | 01/15/30 | 7,550 | 9,871,625 | |||||||||||||||
| MGIC Investment Corp. (2)(b) | CCC | ** | 5.000% | 05/01/17 | 10,850 | 7,364,438 | ||||||||||||||
| National Financial Partners Corp. (2)(b) | NR | 4.000% | 06/15/17 | 4,025 | 4,935,656 | |||||||||||||||
| NorthStar Realty Finance LP 144A (2)(b)(d) | NR | 7.500% | 03/15/31 | 3,400 | 3,370,250 | |||||||||||||||
| Penson Worldwide, Inc. 144A (3)(a)(d) | NR | 8.000% | 06/01/14 | 8,515 | 766,350 | |||||||||||||||
| ProLogis LP (2) | BBB | -** | 3.250% | 03/15/15 | 11,905 | 13,080,619 | ||||||||||||||
| Radian Group, Inc. (2)(b) | CCC | ** | 3.000% | 11/15/17 | 5,175 | 3,040,312 | ||||||||||||||
| SL Green Operating Partnership LP 144A (2)(b)(d) | NR | 3.000% | 10/15/17 | 15,150 | 17,346,750 | |||||||||||||||
| Stewart Information Services Corp. (2) | NR | 6.000% | 10/15/14 | 6,125 | 8,192,187 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 209,058,290 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Health Care - 0.3% | ||||||||||||||||||||
| Accuray, Inc. 144A (2)(b)(d) | NR | 3.750% | 08/01/16 | 700 | 694,750 | |||||||||||||||
| China Medical Technologies, Inc. 144A (China) (2)(d)(h) | NR | ** | 6.250% | 12/15/16 | 2,625 | 682,500 | ||||||||||||||
| Enzon Pharmaceuticals, Inc. (2)(b) | NR | 4.000% | 06/01/13 | 1,850 | 1,873,125 | |||||||||||||||
| MannKind Corp. (2)(b) | NR | 3.750% | 12/15/13 | 500 | 267,500 | |||||||||||||||
| Molina Healthcare, Inc., Series MOH (2)(b) | NR | 3.750% | 10/01/14 | 3,375 | 3,720,938 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 7,238,813 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Industrials - 6.2% | ||||||||||||||||||||
| Avis Budget Group, Inc. (2)(b)(d) | NR | 3.500% | 10/01/14 | 7,400 | 9,231,500 | |||||||||||||||
| CBIZ, Inc. 144A (2)(b)(d) | NR | 4.875% | 10/01/15 | 1,400 | 1,436,750 | |||||||||||||||
| China Linen Textile Industry Ltd. (Cayman Islands) (3)(a) | NR | 7.500% | 11/12/12 | 1,850 | 1,453,441 | |||||||||||||||
| EnPro Industries, Inc. (2)(b) | NR | 3.938% | 10/15/15 | 3,575 | 4,535,781 | |||||||||||||||
| FTI Consulting, Inc. (2)(b) | B1 | 3.750% | 07/15/12 | 1,325 | 1,325,000 | |||||||||||||||
| Genco Shipping & Trading Ltd. (Marshall Islands) (2) | NR | 5.000% | 08/15/15 | 500 | 216,875 | |||||||||||||||
| General Cable Corp. (2)(b) | Ba3 | 0.875% | 11/15/13 | 6,075 | 5,778,844 | |||||||||||||||
| Hertz Global Holdings, Inc. (2)(b) | B | -** | 5.250% | 06/01/14 | 20,275 | 33,681,844 | ||||||||||||||
| Kaman Corp. 144A (2)(b)(d) | NR | 3.250% | 11/15/17 | 3,800 | 4,308,250 | |||||||||||||||
| Lufthansa Malta Blues LP, Series JBLU 144A (Malta) (2)(d) | Ba1 | 0.750% | 04/05/17 | EUR | 2,800 | 3,760,256 | ||||||||||||||
| MasTec, Inc. (2)(b) | NR | 4.000% | 06/15/14 | $ | 2,125 | 2,555,312 | ||||||||||||||
| Meritor, Inc. (2)(b)(i) | B | -** | 4.625% | 03/01/26 | 2,000 | 1,737,500 | ||||||||||||||
| Navistar International Corp. (2)(b) | B | -** | 3.000% | 10/15/14 | 5,125 | 4,779,063 | ||||||||||||||
| Terex Corp. (2)(b) | Caa1 | 4.000% | 06/01/15 | 10,100 | 13,407,750 | |||||||||||||||
| Textron, Inc., Series TXT (2)(b) | Baa3 | 4.500% | 05/01/13 | 4,400 | 8,459,000 | |||||||||||||||
| Titan International, Inc. 144A (2)(b)(d) | B | +** | 5.625% | 01/15/17 | 7,575 | 20,007,469 | ||||||||||||||
| Trex Co., Inc. (2) | NR | 6.000% | 07/01/12 | 6,970 | 9,628,358 | |||||||||||||||
| Ultrapetrol Bahamas Ltd. 144A (Bahamas) (2)(b)(d) | NR | 7.250% | 01/15/17 | 900 | 540,000 | |||||||||||||||
| United Rentals, Inc. (2)(b) | NR | 4.000% | 11/15/15 | 8,500 | 26,488,125 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 153,331,118 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 25 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| MOODY’S RATING (UNAUDITED)* |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’s) |
VALUE (Note 3) |
||||||||||||||||
| Information Technology - 8.1% | ||||||||||||||||||||
| 3D Systems Corp. 144A (2)(d) | NR | 5.500% | 12/15/16 | $ | 11,725 | $ | 18,891,906 | |||||||||||||
| Alliance Data Systems Corp. (2)(b) | NR | 4.750% | 05/15/14 | 10,500 | 30,135,000 | |||||||||||||||
| Amkor Technology, Inc. (2)(b) | NR | 6.000% | 04/15/14 | 5,950 | 10,256,313 | |||||||||||||||
| Arris Group, Inc. (2)(b) | NR | 2.000% | 11/15/26 | 650 | 694,688 | |||||||||||||||
| Cadence Design Systems, Inc. (2)(b) | NR | 2.625% | 06/01/15 | 6,925 | 10,742,406 | |||||||||||||||
| Ciena Corp. 144A (2)(b)(d) | NR | 4.000% | 03/15/15 | 16,075 | 17,963,812 | |||||||||||||||
| Concur Technologies, Inc. 144A (2)(b)(d) | NR | 2.500% | 04/15/15 | 200 | 283,500 | |||||||||||||||
| Convergys Corp. (2)(b) | BB | -** | 5.750% | 09/15/29 | 7,825 | 11,796,187 | ||||||||||||||
| DST Systems, Inc., Series C (2)(b)(e)(i) | NR | 4.125% | 08/15/23 | 975 | 1,200,469 | |||||||||||||||
| Equinix, Inc. (2)(b) | B | ** | 4.750% | 06/15/16 | 13,075 | 28,683,281 | ||||||||||||||
| Finisar Corp. 144A (2)(b)(d) | NR | 5.000% | 10/15/29 | 400 | 686,000 | |||||||||||||||
| Hutchinson Technology, Inc. (2) | NR | 8.500% | 01/15/26 | 95 | 64,244 | |||||||||||||||
| Intel Corp. (2) | A | -** | 2.950% | 12/15/35 | 6,475 | 7,324,844 | ||||||||||||||
| Micron Technology, Inc., Series A 144A (2)(d) | NR | 1.500% | 08/01/31 | 400 | 354,000 | |||||||||||||||
| Nuance Communications, Inc. 144A (2)(d) | BB | -** | 2.750% | 11/01/31 | 600 | 662,250 | ||||||||||||||
| ON Semiconductor Corp. (2)(b) | Ba2 | 1.875% | 12/15/25 | 250 | 281,250 | |||||||||||||||
| Photronics, Inc. (2)(b) | NR | 5.500% | 10/01/14 | 2,200 | 3,165,250 | |||||||||||||||
| Powerwave Technologies, Inc. 144A (2)(b)(d) | NR | 2.750% | 07/15/41 | 3,900 | 1,140,750 | |||||||||||||||
| Rambus, Inc. (2)(b) | NR | 5.000% | 06/15/14 | 6,450 | 6,377,437 | |||||||||||||||
| SanDisk Corp. (2) | BB | ** | 1.500% | 08/15/17 | 3,425 | 3,523,469 | ||||||||||||||
| SYNNEX Corp. (2)(b) | NR | 4.000% | 05/15/18 | 2,750 | 3,413,437 | |||||||||||||||
| Take-Two Interactive Software, Inc. (2)(b) | NR | 4.375% | 06/01/14 | 3,825 | 4,417,875 | |||||||||||||||
| Take-Two Interactive Software, Inc. 144A (2)(b)(d) | NR | 1.750% | 12/01/16 | 2,200 | 1,925,000 | |||||||||||||||
| TTM Technologies, Inc. (2)(b) | BB | -** | 3.250% | 05/15/15 | 5,775 | 5,746,125 | ||||||||||||||
| VeriSign, Inc. (2)(b) | NR | 3.250% | 08/15/37 | 20,935 | 29,151,988 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 198,881,481 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Materials - 2.4% | ||||||||||||||||||||
| A.M. Castle & Co. 144A (2)(b)(d) | NR | 7.000% | 12/15/17 | 925 | 1,165,500 | |||||||||||||||
| Alcoa, Inc. (2)(b) | Baa3 | 5.250% | 03/15/14 | 8,825 | 13,204,406 | |||||||||||||||
| Allegheny Technologies, Inc. (2)(b) | BBB | -** | 4.250% | 06/01/14 | 6,900 | 7,978,125 | ||||||||||||||
| ArcelorMittal (Luxembourg) (2) | Baa3 | 5.000% | 05/15/14 | 6,875 | 7,046,875 | |||||||||||||||
| Northgate Minerals Corp. (Canada) (2)(b) | NR | 3.500% | 10/01/16 | 2,825 | 3,061,594 | |||||||||||||||
| RTI International Metals, Inc. (2)(b) | NR | 3.000% | 12/01/15 | 5,250 | 5,328,750 | |||||||||||||||
| ShengdaTech, Inc. 144A (2)(b)(d)(h) | NR | 6.500% | 12/15/15 | 1,200 | 60,000 | |||||||||||||||
| ShengdaTech, Inc. 144A (2)(b)(d)(h) | NR | 6.000% | 06/01/18 | 300 | 15,000 | |||||||||||||||
| Sterlite Industries India Ltd. (India) (2)(b) | NR | 4.000% | 10/30/14 | 5,350 | 4,815,000 | |||||||||||||||
| Stillwater Mining Co. (2)(b) | B | +** | 1.875% | 03/15/28 | 1,000 | 1,001,250 | ||||||||||||||
| United States Steel Corp. (2)(b) | B1 | 4.000% | 05/15/14 | 16,184 | 16,386,300 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 60,062,800 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Telecommunication Services - 2.4% | ||||||||||||||||||||
| Level 3 Communications, Inc. (2)(b) | NR | 6.500% | 10/01/16 | 13,525 | 18,884,281 | |||||||||||||||
| Level 3 Communications, Inc. (2)(b) | CCC | ** | 15.000% | 01/15/13 | 10,975 | 12,168,531 | ||||||||||||||
| Level 3 Communications, Inc., Series B (2)(b) | NR | 7.000% | 03/15/15 | 1,280 | 1,529,600 | |||||||||||||||
| tw telecom inc (2)(b) | B2 | 2.375% | 04/01/26 | 1,075 | 1,507,688 | |||||||||||||||
| XM Satellite Radio, Inc. 144A (2)(b)(d) | BB | ** | 7.000% | 12/01/14 | 19,594 | 25,521,185 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 59,611,285 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| TOTAL CONVERTIBLE BONDS |
974,066,569 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| BANK LOANS - 0.1% | ||||||||||||||||||||
| Energy - 0.1% | ||||||||||||||||||||
| Chesapeake Energy Corp. (2) |
NR | 8.500% | 12/02/17 | 3,575,000 | 3,543,326 | |||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 26 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 27 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 28 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 29 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 30 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| CONVERTIBLE PREFERRED STOCKS - (0.1)% | MOODY’S RATING (UNAUDITED)* |
SHARES | VALUE (Note 3) |
|||||||||||||
| Consumer Discretionary - (0.1)% | ||||||||||||||||
| General Motors Co., Series B, $50.00 par, 4.750% | NR | (101,625) | $ | (3,373,950) | ||||||||||||
|
|
|
|||||||||||||||
| Financials - 0.0% (f) | ||||||||||||||||
| Hartford Financial Services Group, Inc., Series F, $25.00 par, 7.250% † | Ba2 | (21,350) | (399,245) | |||||||||||||
|
|
|
|||||||||||||||
| TOTAL CONVERTIBLE PREFERRED STOCKS SOLD SHORT |
(3,773,195) | |||||||||||||||
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 31 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
Open Written Options contracts outstanding at June 30, 2012:
Call Options Written
| SHARES | ISSUER | COUNTERPARTY | EXPIRATION DATE | PROCEEDS | VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| 1,691 | Human Genome Sciences, Inc. (exercise price $10) |
J.P. Morgan | July 21, 2012 | $(566,789) | $(566,485) | $304 | ||||||||||||||
| 380 | Molycorp, Inc. (exercise price $40) | J.P. Morgan | September 22, 2012 | (22,104) | (1,900) | 20,204 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(588,893) | $(568,385) | $20,508 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 32 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
Credit default swap contracts buy protection as of June 30, 2012:
| COUNTERPARTY | REFERENCE ENTITY | FIXED ANNUAL RATE RECEIVED BY FUND |
CURRENCY | NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECIEVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||
| Bank of America | Host Hotels & Resorts LP | 1.000% | USD | 3,450,000 | $136,217 | 12/20/2015 | $(50,168) | |||||||||||||||
| The Royal Bank of Scotland | Markit CDX North America High Yield Index Series 18 | 5.000% | USD | 178,350,000 | 5,500,771 | 06/20/2017 | 511,195 | |||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $5,636,988 | $461,027 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
Credit default swap contracts sell protection as of June 30, 2012:
| COUNTERPARTY | REFERENCE ENTITY | FIXED ANNUAL RATE RECEIVED BY FUND |
CURRENCY | NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECIEVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||
| The Royal Bank of Scotland | Markit CDX North America High Yield Index Series 18 | 5.000% | USD | 750,000 | $(42,480) | 06/20/2017 | $17,197 | |||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $(42,480) | $17,197 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
Money Market Fund is pledged as collateral to brokers for credit default swap contracts in the amount of $622. Additional collateral for positions held at the Royal Bank of Scotland is included in the collateral for forward foreign currency exchange contracts. Additional cash held as collateral with broker for credit default swap contracts was $100,000 at June 30, 2012.
Open futures contracts outstanding at June 30, 2012:
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts: | ||||||||||||||||
| 1,519 | S&P 500 E-Mini Futures | September 21, 2012 | $(99,986,097) | $(103,018,580) | $(3,032,483) | |||||||||||
| 1,428 | U.S. Treasury 2-Year Note Futures | September 28, 2012 | (314,634,556) | (314,427,750) | 206,806 | |||||||||||
| 551 | U.S. Treasury 5-Year Note Futures | September 28, 2012 | (68,218,083) | (68,306,781) | (88,698) | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| $(482,838,736) | $(485,753,111) | $(2,914,375) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
Cash held as collateral with broker for futures contracts was $6,546,595 at June 30, 2012.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 33 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2012:
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Canadian Dollar, Expiring 07/10/12 |
The Royal Bank of Scotland | CAD | 9,067,902 | $8,835,958 | $8,905,379 | $69,421 | ||||||||||||||
| Euro, Expiring 08/30/12 |
The Royal Bank of Scotland | EUR | 758,766 | 954,712 | 960,754 | 6,042 | ||||||||||||||
| Euro, Expiring 09/19/12 |
The Royal Bank of Scotland | EUR | 257,288 | 321,790 | 325,849 | 4,059 | ||||||||||||||
| Euro, Expiring 01/28/13 |
The Royal Bank of Scotland | EUR | 5,590,151 | 7,131,356 | 7,092,380 | (38,976) | ||||||||||||||
| Norwegian Krone, Expiring 12/21/12 |
The Royal Bank of Scotland | NOK | 12,840,000 | 2,242,756 | 2,144,765 | (97,991) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $19,486,572 | $19,429,127 | $(57,445) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 08/31/12 |
The Royal Bank of Scotland | AUD | (972,950) | $(974,195) | $(990,074) | $(15,879) | ||||||||||||||
| Canadian Dollar, Expiring 07/10/12 |
The Royal Bank of Scotland | CAD | (11,484,261) | (11,507,527) | (11,278,571) | 228,956 | ||||||||||||||
| Canadian Dollar, Expiring 07/13/12 |
The Royal Bank of Scotland | CAD | (1,882,032) | (1,905,425) | (1,848,173) | 57,252 | ||||||||||||||
| Canadian Dollar, Expiring 07/16/12 |
The Royal Bank of Scotland | CAD | (18,351,406) | (18,405,409) | (18,020,003) | 385,406 | ||||||||||||||
| Canadian Dollar, Expiring 07/31/12 |
The Royal Bank of Scotland | CAD | (5,979,661) | (5,777,169) | (5,869,646) | (92,477) | ||||||||||||||
| Canadian Dollar, Expiring 08/01/12 |
The Royal Bank of Scotland | CAD | (6,601,338) | (6,400,156) | (6,479,736) | (79,580) | ||||||||||||||
| Canadian Dollar, Expiring 08/24/12 |
The Royal Bank of Scotland | CAD | (2,608,344) | (2,554,778) | (2,558,884) | (4,106) | ||||||||||||||
| Canadian Dollar, Expiring 08/31/12 |
The Royal Bank of Scotland | CAD | (13,426,787) | (13,002,893) | (13,169,966) | (167,073) | ||||||||||||||
| Canadian Dollar, Expiring 09/07/12 |
The Royal Bank of Scotland | CAD | (3,576,383) | (3,450,533) | (3,507,444) | (56,911) | ||||||||||||||
| Canadian Dollar, Expiring 10/05/12 |
The Royal Bank of Scotland | CAD | (5,356,509) | (5,193,899) | (5,250,133) | (56,234) | ||||||||||||||
| Canadian Dollar, Expiring 11/30/12 |
The Royal Bank of Scotland | CAD | (7,355,195) | (7,343,191) | (7,200,569) | 142,622 | ||||||||||||||
| Euro, Expiring 08/30/12 |
The Royal Bank of Scotland | EUR | (12,907,252) | (17,073,443) | (16,343,253) | 730,190 | ||||||||||||||
| Euro, Expiring 08/31/12 |
The Royal Bank of Scotland | EUR | (181,260) | (226,033) | (229,515) | (3,482) | ||||||||||||||
| Euro, Expiring 09/19/12 |
The Royal Bank of Scotland | EUR | (1,540,190) | (2,022,862) | (1,950,612) | 72,250 | ||||||||||||||
| Euro, Expiring 10/22/12 |
The Royal Bank of Scotland | EUR | (6,210,000) | (8,471,372) | (7,868,042) | 603,330 | ||||||||||||||
| Euro, Expiring 01/28/13 |
The Royal Bank of Scotland | EUR | (5,855,786) | (7,902,383) | (7,429,398) | 472,985 | ||||||||||||||
| Euro, Expiring 04/05/13 |
The Royal Bank of Scotland | EUR | (21,000) | (27,672) | (26,670) | 1,002 | ||||||||||||||
| Euro, Expiring 04/07/14 |
The Royal Bank of Scotland | EUR | (21,000) | (27,733) | (26,809) | 924 | ||||||||||||||
| Euro, Expiring 04/07/15 |
The Royal Bank of Scotland | EUR | (21,000) | (27,804) | (26,838) | 966 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 34 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Euro, Expiring 04/05/16 |
The Royal Bank of Scotland | EUR | (21,000) | $(27,886) | $(26,838) | $1,048 | ||||||||||||||
| Euro, Expiring 04/05/17 |
The Royal Bank of Scotland | EUR | (21,000) | (28,010) | (26,838) | 1,172 | ||||||||||||||
| Norwegian Krone, Expiring 09/14/12 |
The Royal Bank of Scotland | NOK | (6,745,753) | (1,056,697) | (1,130,879) | (74,182) | ||||||||||||||
| Norwegian Krone, Expiring 09/27/12 |
The Royal Bank of Scotland | NOK | (368,000) | $(60,442) | $(61,663) | $(1,221) | ||||||||||||||
| Norwegian Krone, Expiring 11/19/12 |
The Royal Bank of Scotland | NOK | (978,750) | (169,318) | (163,681) | 5,637 | ||||||||||||||
| Norwegian Krone, Expiring 12/11/12 |
The Royal Bank of Scotland | NOK | (1,349,396) | (220,753) | (225,483) | (4,730) | ||||||||||||||
| Norwegian Krone, Expiring 12/21/12 |
The Royal Bank of Scotland | NOK | (12,840,000) | (2,095,711) | (2,144,766) | (49,055) | ||||||||||||||
| Norwegian Krone, Expiring 12/27/12 |
The Royal Bank of Scotland | NOK | (364,000) | (59,592) | (60,788) | (1,196) | ||||||||||||||
| Norwegian Krone, Expiring 03/27/13 |
The Royal Bank of Scotland | NOK | (360,000) | (58,752) | (59,930) | (1,178) | ||||||||||||||
| Norwegian Krone, Expiring 05/21/13 |
The Royal Bank of Scotland | NOK | (978,750) | (168,040) | (162,636) | 5,404 | ||||||||||||||
| Norwegian Krone, Expiring 06/11/13 |
The Royal Bank of Scotland | NOK | (1,365,872) | (222,061) | (226,805) | (4,744) | ||||||||||||||
| Norwegian Krone, Expiring 06/27/13 |
The Royal Bank of Scotland | NOK | (368,000) | (59,876) | (61,074) | (1,198) | ||||||||||||||
| Norwegian Krone, Expiring 09/27/13 |
The Royal Bank of Scotland | NOK | (368,000) | (59,686) | (60,870) | (1,184) | ||||||||||||||
| Norwegian Krone, Expiring 11/18/13 |
The Royal Bank of Scotland | NOK | (978,750) | (166,612) | (161,585) | 5,027 | ||||||||||||||
| Norwegian Krone, Expiring 12/11/13 |
The Royal Bank of Scotland | NOK | (1,397,358) | (225,770) | (230,501) | (4,731) | ||||||||||||||
| Norwegian Krone, Expiring 12/27/13 |
The Royal Bank of Scotland | NOK | (364,000) | (58,852) | (60,008) | (1,156) | ||||||||||||||
| Norwegian Krone, Expiring 03/27/14 |
The Royal Bank of Scotland | NOK | (360,000) | (58,013) | (59,153) | (1,140) | ||||||||||||||
| Norwegian Krone, Expiring 05/19/14 |
The Royal Bank of Scotland | NOK | (978,750) | (164,808) | (160,509) | 4,299 | ||||||||||||||
| Norwegian Krone, Expiring 06/11/14 |
The Royal Bank of Scotland | NOK | (1,389,722) | (222,926) | (227,713) | (4,787) | ||||||||||||||
| Norwegian Krone, Expiring 06/27/14 |
The Royal Bank of Scotland | NOK | (368,000) | (59,102) | (60,262) | (1,160) | ||||||||||||||
| Norwegian Krone, Expiring 09/29/14 |
The Royal Bank of Scotland | NOK | (368,000) | (58,875) | (60,035) | (1,160) | ||||||||||||||
| Norwegian Krone, Expiring 11/18/14 |
The Royal Bank of Scotland | NOK | (17,178,750) | (2,863,290) | (2,796,903) | 66,387 | ||||||||||||||
| Norwegian Krone, Expiring 12/11/14 |
The Royal Bank of Scotland | NOK | (1,397,358) | (222,594) | (227,296) | (4,702) | ||||||||||||||
| Norwegian Krone, Expiring 12/29/14 |
The Royal Bank of Scotland | NOK | (364,000) | (58,017) | (59,166) | (1,149) | ||||||||||||||
| Norwegian Krone, Expiring 03/27/15 |
The Royal Bank of Scotland | NOK | (360,000) | (57,174) | (58,308) | (1,134) | ||||||||||||||
| Norwegian Krone, Expiring 06/11/15 |
The Royal Bank of Scotland | NOK | (26,889,722) | (4,251,474) | (4,341,801) | (90,327) | ||||||||||||||
| Norwegian Krone, Expiring 06/29/15 |
The Royal Bank of Scotland | NOK | (12,368,000) | (1,956,652) | (1,995,562) | (38,910) | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 35 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Norwegian Krone, Expiring 04/27/16 | The Royal Bank of Scotland | NOK | (19,387,600) | $(3,266,930) | $(3,089,629) | $177,301 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (130,272,390) | (128,075,018) | 2,197,372 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(110,785,818) | $(108,645,891) | $2,139,927 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
Money Market Fund is pledged as collateral for forward foreign currency exchange contracts in the amount of $1,556. Additional cash held as collateral with broker for forward foreign currency exchange contracts was $910,000 at June 30, 2012.
AUD - Australian Dollar
CAD - Canadian Dollar
EUR - Euro
NOK - Norwegian Krone
Total Return Basket Swaps* Outstanding at June 30, 2012
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
VALUE ($) | |||||
| Deutsche Bank |
The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the portfolio. | 06/13/2013 | $8,880 | |||||
|
|
|
|||||||
| Total | ||||||||
| *See | the accompanying “Additional Information — Total Return Basket Swap” for further details. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2012.
| REFERENCE ENTITY | SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||
| Long Positions | ||||||||||
| United Kingdom | ||||||||||
| Xstrata PLC | 25,994 | GBP 388,738 | $(61,905) | |||||||
|
|
|
|||||||||
| Total Long Positions | (61,905) | |||||||||
|
|
|
|||||||||
| Short Positions | ||||||||||
| United Kingdom | ||||||||||
| Glencore International PLC | (74,093) | GBP (414,345) | 70,762 | |||||||
|
|
|
|||||||||
| Total Short Positions | 70,762 | |||||||||
|
|
|
|||||||||
| Total of Long and Short Positions of Portfolio Swap | 8,857 | |||||||||
|
|
|
|||||||||
| Net Cash and Other Receivables (b) | 23 | |||||||||
|
|
|
|||||||||
| Swaps, at Value | $8,880 | |||||||||
|
|
|
|||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 36 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty. |
Money Market Fund held as collateral was $400,007 at June 30, 2012.
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
VALUE ($) | |||||
| J.P. Morgan | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the portfolio. | 06/13/2013 | $(85) | |||||
|
|
|
|||||||
| Total | ||||||||
| * | See the accompanying “Additional Information — Total Return Basket Swap” for further details. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2012.
| REFERENCE ENTITY |
SHARES | NOTIONAL (a) | NET UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||
| Short Positions | ||||||||||
| United States | ||||||||||
| VeriSign, Inc. | (300) | $(12,986) | $(85) | |||||||
|
|
|
|||||||||
| Total Short Positions |
(85) | |||||||||
|
|
|
|||||||||
| Total of Long and Short Positions of Portfolio Swap |
(85) | |||||||||
|
|
|
|||||||||
| Net Cash and Other Receivables (b) |
||||||||||
|
|
|
|||||||||
| Swaps, at Value | $(85) | |||||||||
|
|
|
|||||||||
| (a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
| (b) | Cash and other receivables includes the gains (or losses) realized within the swap when the swap resets. Gains (or losses) will be realized on the swap, and reflected on the Statement of Operations, when cash is settled with the counterparty. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2012 | 37 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| SHARES | VALUE (Note 3) |
|||||||
| MONEY MARKET FUNDS - 88.9% | ||||||||
| BlackRock Liquidity Funds TempFund Portfolio, Class I, 0.150% (a) | 118,647,631 | $ | 118,647,631 | |||||
| Dreyfus Treasury Cash Management, Class I, 0.010% (a) | 474,590,524 | 474,590,524 | ||||||
| J.P. Morgan Prime Money Market Fund - Capital Shares, 0.170% (a)(b) | 19,163,761 | 19,163,761 | ||||||
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a) | 347,317,360 | 347,317,360 | ||||||
| UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a) | 591,345,654 | 591,345,654 | ||||||
|
|
|
|||||||
| TOTAL INVESTMENTS - 88.9% |
1,551,064,930 | |||||||
|
|
|
|||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES - 11.1% (c) | 192,718,588 | |||||||
|
|
|
|||||||
| NET ASSETS - 100.0% |
$ | 1,743,783,518 | ||||||
|
|
|
|||||||
| (a) | Represents annualized seven-day yield as of June 30, 2012. |
| (b) | A portion of the security is pledged as collateral to the brokers for forward foreign exchange, futures and swap contracts. |
| (c) | Includes appreciation (depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2, with respect to ASC 820 (See Note 5).
Total return swap contracts outstanding as of June 30, 2012:
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
| Barclays Capital | Cocoa Futures | 9/13/2012 | USD | (12,650,550) | $(1,210,000) | |||||||||
| Barclays Capital | Coffee ‘C’ Futures | 9/18/2012 | USD | (889,594) | (70,594) | |||||||||
| Barclays Capital | Corn Futures | 9/14/2012 | USD | (902,962) | (134,062) | |||||||||
| Bank of America | Euro - Bobl Futures | 9/6/2012 | EUR | 20,012,821 | (313,845) | |||||||||
| Bank of America | Euro - SCHATZ Futures | 9/6/2012 | EUR | 293,562,495 | (951,515) | |||||||||
| Barclays Capital | Gold 100 OZ Futures | 8/29/2012 | USD | (318,000) | (2,840) | |||||||||
| Barclays Capital | LME Aluminum Futures | 9/17/2012 | USD | (7,751,875) | 209,350 | |||||||||
| Barclays Capital | LME Copper Futures | 9/17/2012 | USD | (12,605,075) | (467,075) | |||||||||
| Barclays Capital | LME Nickel Futures | 9/17/2012 | USD | (1,338,402) | 33,540 | |||||||||
| Barclays Capital | Silver Futures | 9/26/2012 | USD | (19,974,940) | (596,000) | |||||||||
| Barclays Capital | Soybean Oil Futures | 12/14/2012 | USD | (20,290,018) | (1,589,557) | |||||||||
| The Royal Bank of Scotland |
Swiss Market Index Futures | 9/21/2012 | CHF | 1,817,022 | 714 | |||||||||
| Bank of America | U.S. Treasury 2-Year Note Futures | 9/28/2012 | USD | 313,447,341 | (120,528) | |||||||||
| Bank of America | U.S. Treasury 5-Year Note Futures | 9/28/2012 | USD | 37,387,660 | 50,902 | |||||||||
| Barclays Capital | Wheat Futures | 9/14/2012 | USD | (1,627,500) | (265,625) | |||||||||
|
|
|
|||||||||||||
| $(5,427,135) | ||||||||||||||
|
|
|
|||||||||||||
Money Market Fund is pledged as collateral to brokers for total return swap contracts in the amount of $7,439,914. Additional collateral for positions held at Royal Bank of Scotland is included in the collateral for forward foreign currency exchange contracts.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 38 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
Open futures contracts outstanding at June 30, 2012:
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 113 | LME Aluminum Futures | July 3, 2012 | $6,006,376 | $5,298,994 | $(707,382) | |||||||||||
| 148 | LME Aluminum Futures | July 5, 2012 | 7,797,713 | 6,943,716 | (853,997) | |||||||||||
| 178 | LME Aluminum Futures | July 10, 2012 | 9,374,151 | 8,361,639 | (1,012,512) | |||||||||||
| 89 | LME Aluminum Futures | July 11, 2012 | 4,650,363 | 4,181,843 | (468,520) | |||||||||||
| 27 | LME Aluminum Futures | July 12, 2012 | 1,418,209 | 1,268,966 | (149,243) | |||||||||||
| 103 | LME Aluminum Futures | July 16, 2012 | 5,345,831 | 4,845,687 | (500,144) | |||||||||||
| 26 | LME Aluminum Futures | July 17, 2012 | 1,356,843 | 1,223,482 | (133,361) | |||||||||||
| 6 | LME Aluminum Futures | August 16, 2012 | 301,674 | 284,311 | (17,363) | |||||||||||
| 167 | LME Aluminum Futures | August 17, 2012 | 8,550,957 | 7,915,090 | (635,867) | |||||||||||
| 48 | LME Aluminum Futures | August 21, 2012 | 2,483,757 | 2,276,988 | (206,769) | |||||||||||
| 31 | LME Aluminum Futures | August 22, 2012 | 1,584,139 | 1,470,872 | (113,267) | |||||||||||
| 16 | LME Aluminum Futures | September 7, 2012 | 791,456 | 761,812 | (29,644) | |||||||||||
| 16 | LME Aluminum Futures | September 17, 2012 | 793,220 | 763,800 | (29,420) | |||||||||||
| 44 | LME Aluminum Futures | September 28, 2012 | 2,052,656 | 2,102,100 | 49,444 | |||||||||||
| 10 | LME Copper Futures | July 11, 2012 | 2,019,388 | 1,923,668 | (95,720) | |||||||||||
| 24 | LME Copper Futures | July 12, 2012 | 4,873,831 | 4,617,024 | (256,807) | |||||||||||
| 6 | LME Copper Futures | July 20, 2012 | 1,210,508 | 1,154,385 | (56,123) | |||||||||||
| 4 | LME Copper Futures | July 24, 2012 | 810,005 | 769,530 | (40,475) | |||||||||||
| 7 | LME Copper Futures | September 7, 2012 | 1,277,509 | 1,345,810 | 68,301 | |||||||||||
| 2 | LME Copper Futures | September 11, 2012 | 370,453 | 384,507 | 14,054 | |||||||||||
| 2 | LME Copper Futures | September 13, 2012 | 372,503 | 384,496 | 11,993 | |||||||||||
| 6 | LME Copper Futures | September 14, 2012 | 1,117,108 | 1,153,473 | 36,365 | |||||||||||
| 22 | LME Copper Futures | September 21, 2012 | 4,040,278 | 4,227,669 | 187,391 | |||||||||||
| 12 | LME Copper Futures | September 25, 2012 | 2,194,515 | 2,305,800 | 111,285 | |||||||||||
| 4 | LME Copper Futures | September 26, 2012 | 733,505 | 768,567 | 35,062 | |||||||||||
| 3 | LME Copper Futures | September 28, 2012 | 564,679 | 576,375 | 11,696 | |||||||||||
| 7 | LME Nickel Futures | July 19, 2012 | 745,929 | 701,540 | (44,389) | |||||||||||
| 5 | LME Nickel Futures | July 20, 2012 | 531,606 | 501,109 | (30,497) | |||||||||||
| 1 | LME Nickel Futures | August 3, 2012 | 104,971 | 100,249 | (4,722) | |||||||||||
| 16 | LME Nickel Futures | August 10, 2012 | 1,644,212 | 1,604,197 | (40,015) | |||||||||||
| 56 | LME Zinc Futures | July 11, 2012 | 2,799,371 | 2,633,442 | (165,929) | |||||||||||
| 50 | LME Zinc Futures | July 12, 2012 | 2,517,564 | 2,351,375 | (166,189) | |||||||||||
| 16 | LME Zinc Futures | July 16, 2012 | 798,820 | 752,548 | (46,272) | |||||||||||
| 62 | LME Zinc Futures | July 17, 2012 | 3,102,404 | 2,916,217 | (186,187) | |||||||||||
| 42 | LME Zinc Futures | July 18, 2012 | 2,095,853 | 1,975,575 | (120,278) | |||||||||||
| 71 | LME Zinc Futures | July 19, 2012 | 3,553,640 | 3,339,662 | (213,978) | |||||||||||
| 7 | LME Zinc Futures | July 25, 2012 | 350,884 | 329,282 | (21,602) | |||||||||||
| 24 | LME Zinc Futures | July 26, 2012 | 1,210,830 | 1,128,977 | (81,853) | |||||||||||
| 12 | LME Zinc Futures | August 8, 2012 | 594,540 | 564,561 | (29,979) | |||||||||||
| 22 | LME Zinc Futures | August 9, 2012 | 1,076,378 | 1,035,040 | (41,338) | |||||||||||
| 57 | LME Zinc Futures | August 10, 2012 | 2,758,160 | 2,681,722 | (76,438) | |||||||||||
| 11 | LME Zinc Futures | August 14, 2012 | 526,501 | 517,544 | (8,957) | |||||||||||
| 23 | LME Zinc Futures | September 21, 2012 | 1,037,904 | 1,079,994 | 42,090 | |||||||||||
| 51 | LME Zinc Futures | September 25, 2012 | 2,290,921 | 2,394,131 | 103,210 | |||||||||||
| 12 | LME Zinc Futures | September 26, 2012 | 537,765 | 563,250 | 25,485 | |||||||||||
| 6 | LME Zinc Futures | September 27, 2012 | 264,758 | 281,588 | 16,830 | |||||||||||
| 2 | LME Zinc Futures | September 28, 2012 | 89,803 | 93,850 | 4,047 | |||||||||||
| 272 | Soybean Futures | November 14, 2012 | 18,765,903 | 19,417,400 | 651,497 | |||||||||||
| 579 | Soybean Meal Futures | December 14, 2012 | 23,221,028 | 23,918,490 | 697,462 | |||||||||||
| 25 | DJIA Mini E-CBOT Futures | September 21, 2012 | 1,569,767 | 1,601,000 | 31,233 | |||||||||||
| 501 | FTSE/JSE Top 40 Index Futures | September 20, 2012 | 18,719,665 | 18,107,201 | (612,464) | |||||||||||
| 29 | NASDAQ 100 E-Mini Futures | September 21, 2012 | 1,491,548 | 1,513,655 | 22,107 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 39 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: (continued) | ||||||||||||||||
| 151 | 10-Year Japanese Government Bond Futures | September 10, 2012 | $ | 270,964,301 | $ | 271,435,416 | $ | 471,115 | ||||||||
| 1,039 | 3-Month Euro Euribor Futures | December 17, 2012 | 326,890,283 | 327,102,921 | 212,638 | |||||||||||
| 902 | 3-Month Euro Euribor Futures | March 18, 2013 | 283,724,447 | 283,957,661 | 233,214 | |||||||||||
| 842 | 3-Month Euro Euribor Futures | June 17, 2013 | 264,761,532 | 265,002,528 | 240,996 | |||||||||||
| 830 | 3-Month Euro Euribor Futures | September 16, 2013 | 260,854,117 | 261,120,733 | 266,616 | |||||||||||
| 792 | 3-Month Euro Euribor Futures | December 16, 2013 | 248,721,157 | 248,990,409 | 269,252 | |||||||||||
| 767 | 3-Month Euro Euribor Futures | March 17, 2014 | 240,609,561 | 240,985,268 | 375,707 | |||||||||||
| 745 | 3-Month Euro Euribor Futures | June 16, 2014 | 234,003,915 | 233,896,269 | (107,646) | |||||||||||
| 422 | 90-Day EURODollar Futures | December 17, 2012 | 104,969,531 | 104,967,225 | (2,306) | |||||||||||
| 230 | 90-Day EURODollar Futures | March 18, 2013 | 57,198,106 | 57,198,125 | 19 | |||||||||||
| 284 | 90-Day EURODollar Futures | June 17, 2013 | 70,608,518 | 70,609,500 | 982 | |||||||||||
| 464 | 90-Day EURODollar Futures | September 16, 2013 | 115,324,435 | 115,338,800 | 14,365 | |||||||||||
| 778 | 90-Day EURODollar Futures | December 16, 2013 | 193,277,954 | 193,333,000 | 55,046 | |||||||||||
| 1,080 | 90-Day EURODollar Futures | March 17, 2014 | 268,156,093 | 268,299,000 | 142,907 | |||||||||||
| 1,139 | 90-Day EURODollar Futures | June 16, 2014 | 282,723,944 | 282,827,938 | 103,994 | |||||||||||
| 1,215 | 90-Day GBP LIBOR Futures | December 18, 2013 | 235,547,995 | 236,075,083 | 527,088 | |||||||||||
| 547 | 90-Day Sterling Futures | December 19, 2012 | 106,353,737 | 106,293,071 | (60,666) | |||||||||||
| 692 | 90-Day Sterling Futures | March 20, 2013 | 134,439,147 | 134,510,120 | 70,973 | |||||||||||
| 956 | 90-Day Sterling Futures | June 19, 2013 | 185,610,615 | 185,844,836 | 234,221 | |||||||||||
| 1,194 | 90-Day Sterling Futures | September 18, 2013 | 231,655,299 | 232,088,272 | 432,973 | |||||||||||
| 1,174 | 90-Day Sterling Futures | March 19, 2014 | 227,497,119 | 228,016,830 | 519,711 | |||||||||||
| 1,117 | 90-Day Sterling Futures | June 18, 2014 | 216,614,834 | 216,836,829 | 221,995 | |||||||||||
| 143 | Australia 10-Year Bond Futures | September 17, 2012 | 18,443,638 | 18,362,060 | (81,578) | |||||||||||
| 481 | Australia 3-Year Bond Futures | September 17, 2012 | 54,564,642 | 54,345,919 | (218,723) | |||||||||||
| 436 | Canadian 10-Year Bond Futures | September 19, 2012 | 58,769,611 | 59,291,032 | 521,421 | |||||||||||
| 191 | Canadian 3-Month Bank Acceptance Futures | December 17, 2012 | 46,372,897 | 46,347,657 | (25,240) | |||||||||||
| 334 | Canadian 3-Month Bank Acceptance Futures | March 18, 2013 | 81,081,685 | 81,031,332 | (50,353) | |||||||||||
| 218 | Euro - Bobl Futures | September 6, 2012 | 35,106,245 | 34,730,406 | (375,839) | |||||||||||
| 184 | Euro - Bund Futures | September 6, 2012 | 33,691,894 | 32,808,846 | (883,048) | |||||||||||
| 233 | Euro CHF 3-Month LIFFE Futures | December 17, 2012 | 61,480,968 | 61,382,974 | (97,994) | |||||||||||
| 460 | Euro CHF 3-Month LIFFE Futures | March 18, 2013 | 121,367,019 | 121,221,619 | (145,400) | |||||||||||
| 78 | Euro-Buxl 30-Year Bond Futures | September 6, 2012 | 13,680,856 | 12,924,956 | (755,900) | |||||||||||
| 248 | Long Gilt Futures | September 26, 2012 | 46,084,744 | 46,262,942 | 178,198 | |||||||||||
| 192 | U.S. Long Bond Futures | September 19, 2012 | 28,297,938 | 28,410,000 | 112,062 | |||||||||||
| 629 | U.S. Treasury 10-Year Note Futures | September 19, 2012 | 83,634,874 | 83,892,875 | 258,001 | |||||||||||
| 1,395 | U.S. Treasury 5-Year Note Futures | September 28, 2012 | 172,865,052 | 172,936,406 | 71,354 | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| $ | 5,580,441,055 | $ | 5,578,093,061 | $ | (2,347,994) | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| Short Contracts: | ||||||||||||||||
| 228 | Cocoa Futures | September 13, 2012 | (4,997,016) | (5,223,480) | (226,464) | |||||||||||
| 288 | Coffee ‘C’ Futures | September 18, 2012 | (16,689,718) | (18,435,600) | (1,745,882) | |||||||||||
| 242 | Corn Futures | September 14, 2012 | (6,743,202) | (7,604,850) | (861,648) | |||||||||||
| 626 | Cotton No. 2 Futures | December 6, 2012 | (21,659,750) | (22,326,290) | (666,540) | |||||||||||
| 365 | Crude Oil Financial Futures | July 19, 2012 | (30,295,380) | (31,010,400) | (715,020) | |||||||||||
| 290 | Globex Brent FCL Futures | July 13, 2012 | (28,518,880) | (28,362,000) | 156,880 | |||||||||||
| 315 | Globex Heat Oil Futures | July 30, 2012 | (34,715,436) | (35,851,977) | (1,136,541) | |||||||||||
| 171 | Globex RBOB Gas Futures | July 30, 2012 | (18,404,182) | (18,901,588) | (497,406) | |||||||||||
| 115 | Gold 100 OZ Futures | August 29, 2012 | (18,101,313) | (18,448,300) | (346,987) | |||||||||||
| 287 | ICE Euro Gasoil Futures | July 11, 2012 | (24,456,227) | (24,351,950) | 104,277 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 40 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts: (continued) | ||||||||||||||||
| 248 | Lean Hogs Futures | July 16, 2012 | $(9,460,652) | $(9,585,200) | $(124,548) | |||||||||||
| 254 | Lean Hogs Futures | August 14, 2012 | (8,742,390) | (9,629,140) | (886,750) | |||||||||||
| 113 | LME Aluminum Futures | July 3, 2012 | (6,010,425) | (5,298,994) | 711,431 | |||||||||||
| 148 | LME Aluminum Futures | July 5, 2012 | (7,792,051) | (6,943,716) | 848,335 | |||||||||||
| 178 | LME Aluminum Futures | July 10, 2012 | (9,289,731) | (8,361,639) | 928,092 | |||||||||||
| 89 | LME Aluminum Futures | July 11, 2012 | (4,627,222) | (4,181,843) | 445,379 | |||||||||||
| 27 | LME Aluminum Futures | July 12, 2012 | (1,418,625) | (1,268,966) | 149,659 | |||||||||||
| 103 | LME Aluminum Futures | July 16, 2012 | (5,336,159) | (4,845,687) | 490,472 | |||||||||||
| 26 | LME Aluminum Futures | July 17, 2012 | (1,346,073) | (1,223,482) | 122,591 | |||||||||||
| 6 | LME Aluminum Futures | August 16, 2012 | (302,992) | (284,311) | 18,681 | |||||||||||
| 167 | LME Aluminum Futures | August 17, 2012 | (8,566,663) | (7,915,090) | 651,573 | |||||||||||
| 48 | LME Aluminum Futures | August 21, 2012 | (2,471,939) | (2,276,988) | 194,951 | |||||||||||
| 31 | LME Aluminum Futures | August 22, 2012 | (1,577,086) | (1,470,873) | 106,213 | |||||||||||
| 16 | LME Aluminum Futures | September 7, 2012 | (791,180) | (761,812) | 29,368 | |||||||||||
| 736 | LME Aluminum Futures | September 17, 2012 | (36,180,569) | (35,134,800) | 1,045,769 | |||||||||||
| 44 | LME Aluminum Futures | September 28, 2012 | (2,056,955) | (2,102,100) | (45,145) | |||||||||||
| 10 | LME Copper Futures | July 11, 2012 | (2,017,642) | (1,923,667) | 93,975 | |||||||||||
| 24 | LME Copper Futures | July 12, 2012 | (4,873,152) | (4,617,024) | 256,128 | |||||||||||
| 6 | LME Copper Futures | July 20, 2012 | (1,209,149) | (1,154,385) | 54,764 | |||||||||||
| 4 | LME Copper Futures | July 24, 2012 | (809,221) | (769,530) | 39,691 | |||||||||||
| 7 | LME Copper Futures | September 7, 2012 | (1,284,093) | (1,345,809) | (61,716) | |||||||||||
| 2 | LME Copper Futures | September 11, 2012 | (372,591) | (384,506) | (11,915) | |||||||||||
| 2 | LME Copper Futures | September 13, 2012 | (370,972) | (384,496) | (13,524) | |||||||||||
| 6 | LME Copper Futures | September 14, 2012 | (1,121,192) | (1,153,473) | (32,281) | |||||||||||
| 97 | LME Copper Futures | September 17, 2012 | (17,889,827) | (18,647,038) | (757,211) | |||||||||||
| 22 | LME Copper Futures | September 21, 2012 | (4,011,698) | (4,227,668) | (215,970) | |||||||||||
| 12 | LME Copper Futures | September 25, 2012 | (2,203,943) | (2,305,800) | (101,857) | |||||||||||
| 4 | LME Copper Futures | September 26, 2012 | (733,560) | (768,567) | (35,007) | |||||||||||
| 3 | LME Copper Futures | September 28, 2012 | (564,437) | (576,375) | (11,938) | |||||||||||
| 7 | LME Nickel Futures | July 19, 2012 | (745,554) | (701,539) | 44,015 | |||||||||||
| 5 | LME Nickel Futures | July 20, 2012 | (531,035) | (501,109) | 29,926 | |||||||||||
| 1 | LME Nickel Futures | August 3, 2012 | (105,286) | (100,249) | 5,037 | |||||||||||
| 16 | LME Nickel Futures | August 10, 2012 | (1,661,713) | (1,604,197) | 57,516 | |||||||||||
| 253 | LME Nickel Futures | September 17, 2012 | (25,997,727) | (25,394,622) | 603,105 | |||||||||||
| 56 | LME Zinc Futures | July 11, 2012 | (2,779,543) | (2,633,442) | 146,101 | |||||||||||
| 50 | LME Zinc Futures | July 12, 2012 | (2,509,596) | (2,351,375) | 158,221 | |||||||||||
| 16 | LME Zinc Futures | July 16, 2012 | (791,717) | (752,548) | 39,169 | |||||||||||
| 62 | LME Zinc Futures | July 17, 2012 | (3,091,006) | (2,916,217) | 174,789 | |||||||||||
| 42 | LME Zinc Futures | July 18, 2012 | (2,101,437) | (1,975,575) | 125,862 | |||||||||||
| 71 | LME Zinc Futures | July 19, 2012 | (3,547,744) | (3,339,662) | 208,082 | |||||||||||
| 7 | LME Zinc Futures | July 25, 2012 | (350,409) | (329,282) | 21,127 | |||||||||||
| 24 | LME Zinc Futures | July 26, 2012 | (1,207,538) | (1,128,978) | 78,560 | |||||||||||
| 12 | LME Zinc Futures | August 8, 2012 | (597,661) | (564,561) | 33,100 | |||||||||||
| 22 | LME Zinc Futures | August 9, 2012 | (1,082,128) | (1,035,039) | 47,089 | |||||||||||
| 57 | LME Zinc Futures | August 10, 2012 | (2,784,683) | (2,681,722) | 102,961 | |||||||||||
| 11 | LME Zinc Futures | August 14, 2012 | (528,160) | (517,545) | 10,615 | |||||||||||
| 612 | LME Zinc Futures | September 17, 2012 | (28,589,790) | (28,756,350) | (166,560) | |||||||||||
| 23 | LME Zinc Futures | September 21, 2012 | (1,034,884) | (1,079,993) | (45,109) | |||||||||||
| 51 | LME Zinc Futures | September 25, 2012 | (2,309,737) | (2,394,131) | (84,394) | |||||||||||
| 12 | LME Zinc Futures | September 26, 2012 | (536,495) | (563,250) | (26,755) | |||||||||||
| 6 | LME Zinc Futures | September 27, 2012 | (266,031) | (281,587) | (15,556) | |||||||||||
| 2 | LME Zinc Futures | September 28, 2012 | (89,410) | (93,850) | (4,440) | |||||||||||
| 652 | Natural Gas Swap Futures | July 27, 2012 | (3,744,110) | (4,603,120) | (859,010) | |||||||||||
| 57 | Silver Futures | September 26, 2012 | (7,738,073) | (7,869,420) | (131,347) | |||||||||||
| 427 | Soybean Oil Futures | December 14, 2012 | (12,820,385) | (13,599,096) | (778,711) | |||||||||||
| 1,067 | Sugar #11 (World Markets) Futures | September 28, 2012 | (24,143,819) | (25,107,791) | (963,972) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 41 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts: (continued) | ||||||||||||||||
| 49 | Wheat Futures | September 14, 2012 | $(1,658,656) | $(1,855,262) | $(196,606) | |||||||||||
| 293 | Amsterdam Index Futures | July 20, 2012 | (21,593,552) | (22,785,137) | (1,191,585) | |||||||||||
| 693 | CAC40 10 Euro Futures | July 20, 2012 | (26,720,543) | (27,993,568) | (1,273,025) | |||||||||||
| 178 | DAX Index Futures | September 21, 2012 | (34,974,536) | (36,106,202) | (1,131,666) | |||||||||||
| 171 | E-Mini Russell 2000 Futures | September 21, 2012 | (12,958,629) | (13,601,340) | (642,711) | |||||||||||
| 197 | FTSE 100 Index Futures | September 21, 2012 | (16,690,931) | (17,040,197) | (349,266) | |||||||||||
| 186 | FTSE/MIB Index Futures | September 21, 2012 | (15,321,557) | (16,825,177) | (1,503,620) | |||||||||||
| 180 | Hang Seng Index Futures | July 30, 2012 | (22,037,203) | (22,562,791) | (525,588) | |||||||||||
| 368 | H-SHARES Index Futures | July 30, 2012 | (22,363,825) | (22,619,481) | (255,656) | |||||||||||
| 197 | IBEX 35 Index Futures | July 20, 2012 | (16,212,690) | (17,416,093) | (1,203,403) | |||||||||||
| 233 | KOSPI Index 200 Futures | September 13, 2012 | (25,123,919) | (24,991,531) | 132,388 | |||||||||||
| 267 | MSCI Singapore Index Futures | July 30, 2012 | (13,679,458) | (13,999,716) | (320,258) | |||||||||||
| 1,126 | MSCI Taiwan Stock Index Futures | July 30, 2012 | (27,593,401) | (28,532,840) | (939,439) | |||||||||||
| 61 | S&P 500 E-Mini Futures | September 21, 2012 | (4,007,103) | (4,137,020) | (129,917) | |||||||||||
| 222 | S&P MID 400 E-Mini Futures | September 21, 2012 | (20,246,680) | (20,856,900) | (610,220) | |||||||||||
| 274 | S&P/Toronto Stock Exchange 60 Index Futures | September 20, 2012 | (34,896,245) | (35,600,354) | (704,109) | |||||||||||
| 1,848 | SGX S&P CNX Nifty Index Futures | July 26, 2012 | (18,992,138) | (19,568,472) | (576,334) | |||||||||||
| 314 | SPI 200 Index Futures | September 20, 2012 | (32,741,198) | (32,595,864) | 145,334 | |||||||||||
| 243 | TOPIX Index Futures | September 13, 2012 | (21,449,995) | (23,377,369) | (1,927,374) | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| (868,961,223) | (885,400,978) | (16,439,755) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
| $4,711,479,832 | $4,692,692,083 | $(18,787,749) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
Cash held as collateral with broker for futures contracts was $91,298,685 at June 30, 2012.
Forward foreign currency exchange contracts outstanding as of June 30, 2012:
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | AUD | 122,480,000 | $122,399,071 | $124,436,735 | $2,037,664 | ||||||||||||||
| Canadian Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | CAD | 18,154,000 | 17,658,189 | 17,799,525 | 141,336 | ||||||||||||||
| Chilean Peso, Expiring 09/20/12 |
The Royal Bank of Scotland | CLP | 352,000,000 | 679,865 | 695,194 | 15,329 | ||||||||||||||
| Columbian Peso, Expiring 09/19/12 |
The Royal Bank of Scotland | COP | 9,970,000,000 | 5,527,666 | 5,520,269 | (7,397) | ||||||||||||||
| Czech Republic Koruna, Expiring 09/19/12 |
The Royal Bank of Scotland | CZK | 6,000,000 | 289,868 | 297,484 | 7,616 | ||||||||||||||
| Euro, Expiring 09/19/12 |
The Royal Bank of Scotland | EUR | 95,591,000 | 119,590,940 | 121,063,609 | 1,472,669 | ||||||||||||||
| British Pound, Expiring 09/19/12 |
The Royal Bank of Scotland | GBP | 89,093,999 | 138,532,337 | 139,504,984 | 972,647 | ||||||||||||||
| Indian Rupee, Expiring 09/20/12 |
The Royal Bank of Scotland | INR | 140,000,000 | 2,484,698 | 2,467,291 | (17,407) | ||||||||||||||
| Japanese Yen, Expiring 09/19/12 |
The Royal Bank of Scotland | JPY | 35,786,113,000 | 453,027,086 | 448,183,740 | (4,843,346) | ||||||||||||||
| Korean Won, Expiring 09/19/12 |
The Royal Bank of Scotland | KRW | 1,100,000,000 | 942,787 | 955,402 | 12,615 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 42 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| (continued) | ||||||||||||||||||||
| Mexican Peso, Expiring 09/19/12 |
The Royal Bank of Scotland | MXN | 89,000,000 | $6,210,481 | $6,620,755 | $410,274 | ||||||||||||||
| Norwegian Krone, Expiring 09/19/12 |
The Royal Bank of Scotland | NOK | 581,362,000 | 97,145,134 | 97,443,113 | 297,979 | ||||||||||||||
| New Zealand Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | NZD | 143,214,000 | 111,503,322 | 114,022,247 | 2,518,925 | ||||||||||||||
| Philippine Peso, Expiring 09/19/12 |
The Royal Bank of Scotland | PHP | 760,000,000 | 17,870,769 | 17,933,084 | 62,315 | ||||||||||||||
| Poland Zloty, Expiring 09/19/12 |
The Royal Bank of Scotland | PLN | 11,000,000 | 3,256,627 | 3,270,336 | 13,709 | ||||||||||||||
| Swedish Krona, Expiring 09/19/12 |
The Royal Bank of Scotland | SEK | 1,197,538,000 | 168,411,104 | 172,621,112 | 4,210,008 | ||||||||||||||
| Singapore Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | SGD | 7,700,000 | 6,055,452 | 6,079,162 | 23,710 | ||||||||||||||
| Turkish Lira, Expiring 09/19/12 |
The Royal Bank of Scotland | TRY | 50,910,000 | 27,521,300 | 27,684,241 | 162,941 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $1,299,106,696 | $1,306,598,283 | $7,491,587 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | AUD | (74,371,000) | $(72,540,293) | $(75,559,148) | $(3,018,855) | ||||||||||||||
| Brazilian Real, Expiring 09/19/12 |
The Royal Bank of Scotland | BRL | (39,660,000) | (19,138,521) | (19,462,443) | (323,922) | ||||||||||||||
| Canadian Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | CAD | (68,397,000) | (66,581,481) | (67,061,477) | (479,996) | ||||||||||||||
| Chilean Peso, Expiring 09/20/12 |
The Royal Bank of Scotland | CLP | (700,000,000) | (1,349,819) | (1,382,489) | (32,670) | ||||||||||||||
| Czech Republic Koruna, Expiring 09/19/12 |
The Royal Bank of Scotland | CZK | (462,832,000) | (22,816,734) | (22,947,521) | (130,787) | ||||||||||||||
| Euro, Expiring 09/19/12 |
The Royal Bank of Scotland | EUR | (666,953,026) | (838,337,725) | (844,679,313) | (6,341,588) | ||||||||||||||
| British Pound, Expiring 09/19/12 |
The Royal Bank of Scotland | GBP | (46,464,000) | (71,658,662) | (72,754,166) | (1,095,504) | ||||||||||||||
| Hungarian Forint, Expiring 09/19/12 |
The Royal Bank of Scotland | HUF | (204,000,000) | (831,025) | (893,401) | (62,376) | ||||||||||||||
| Indonesian Rupiah, Expiring 09/19/12 |
The Royal Bank of Scotland | IDR | (36,100,000,000) | (3,766,178) | (3,802,738) | (36,560) | ||||||||||||||
| Israeli Shekel, Expiring 09/19/12 |
The Royal Bank of Scotland | ILS | (85,390,000) | (21,977,209) | (21,774,667) | 202,542 | ||||||||||||||
| Indian Rupee, Expiring 09/20/12 |
The Royal Bank of Scotland | INR | (2,577,600,000) | (45,335,219) | (45,426,349) | (91,130) | ||||||||||||||
| Japanese Yen, Expiring 09/19/12 |
The Royal Bank of Scotland | JPY | (9,674,652,000) | (121,088,874) | (121,164,926) | (76,052) | ||||||||||||||
| Korean Won, Expiring 09/19/12 |
The Royal Bank of Scotland | KRW | (35,866,280,000) | (30,359,308) | (31,151,550) | (792,242) | ||||||||||||||
| Mexican Peso, Expiring 09/19/12 |
The Royal Bank of Scotland | MXN | (366,000,000) | (25,911,213) | (27,226,924) | (1,315,711) | ||||||||||||||
| Malaysian Ringgit, Expiring 09/19/12 |
The Royal Bank of Scotland | MYR | (71,310,000) | (22,286,692) | (22,348,217) | (61,525) | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 43 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| (continued) | ||||||||||||||||||||
| Norwegian Krone, Expiring 09/19/12 |
The Royal Bank of Scotland | NOK | (428,618,000) | $ (70,573,316) | $ (71,841,421) | $ (1,268,105) | ||||||||||||||
| New Zealand Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | NZD | (112,936,000) | (85,430,324) | (89,915,905) | (4,485,581) | ||||||||||||||
| Philippine Peso, Expiring 09/19/12 |
The Royal Bank of Scotland | PHP | (35,500,000) | (816,174) | (837,664) | (21,490) | ||||||||||||||
| Poland Zloty, Expiring 09/19/12 |
The Royal Bank of Scotland | PLN | (73,490,000) | (21,119,453) | (21,848,817) | (729,364) | ||||||||||||||
| Russian Ruble, Expiring 09/19/12 |
The Royal Bank of Scotland | RUB | (371,800,000) | (11,195,538) | (11,317,815) | (122,277) | ||||||||||||||
| Swedish Krona, Expiring 09/19/12 |
The Royal Bank of Scotland | SEK | (1,100,340,000) | (153,187,507) | (158,610,345) | (5,422,838) | ||||||||||||||
| Singapore Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | SGD | (80,210,000) | (62,829,081) | (63,325,918) | (496,837) | ||||||||||||||
| Taiwanese Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | TWD | (2,293,700,000) | (76,808,925) | (76,812,052) | (3,127) | ||||||||||||||
| South African Rand, Expiring 09/19/12 |
The Royal Bank of Scotland | ZAR | (230,600,000) | (27,160,742) | (27,879,072) | (718,330) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (1,873,100,013) | (1,900,024,338) | (26,924,325) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(573,993,317) | $(593,426,055) | $(19,432,738) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
Money Market Fund is pledged as collateral for total return swap and forward foreign currency exchange contracts in the amount of $11,722,543.
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
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 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR RISK PARITY FUND |
| MOODY’S RATING* |
INTEREST RATE |
MATURITY DATE |
CURRENCY | PRINCIPAL AMOUNT (000’s) |
VALUE (Note 3) |
|||||||||||||||||
| GOVERNMENT RELATED OBLIGATIONS - 21.8% |
||||||||||||||||||||||
| Sovereign Debt - 21.8% | ||||||||||||||||||||||
| Deutsche Bundesrepublik Inflation Linked Bond (Germany) | Aaa | 1.500% | 04/15/16 | EUR | 19,699 | $ | 26,697,006 | |||||||||||||||
| Deutsche Bundesrepublik Inflation Linked Bond (Germany) | Aaa | 1.750% | 04/15/20 | EUR | 18,461 | 26,801,776 | ||||||||||||||||
| France Government Bond OAT (France) | Aaa | 1.600% | 07/25/15 | EUR | 24,627 | 32,848,532 | ||||||||||||||||
| France Government Bond OAT (France) | Aaa | 1.100% | 07/25/22 | EUR | 16,248 | 20,644,721 | ||||||||||||||||
| United Kingdom Treasury Gilt (United Kingdom) | Aaa | 1.875% | 11/22/22 | GBP | 20,871 | 41,397,441 | ||||||||||||||||
|
|
|
|||||||||||||||||||||
| TOTAL GOVERNMENT RELATED OBLIGATIONS |
148,389,476 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| U.S. TREASURY OBLIGATIONS - 22.7% | ||||||||||||||||||||||
| U.S. Treasury Inflation Protected Securities Bonds - 22.7% | ||||||||||||||||||||||
| U.S. Treasury Bond | Aaa | 0.125% | 01/15/22 | USD | 58,600 | 63,028,920 | ||||||||||||||||
| U.S. Treasury Bond | Aaa | 2.375% | 01/15/17 | USD | 69,200 | 91,115,914 | ||||||||||||||||
|
|
|
|||||||||||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS |
154,144,834 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| SHARES | ||||||||||||||||||||||
| MONEY MARKET FUNDS - 45.7% | ||||||||||||||||||||||
| BlackRock Liquidity Funds TempFund Portfolio, Series I, Class I, 0.150% (a) | 4,000,843 | 4,000,843 | ||||||||||||||||||||
| Dreyfus Treasury Cash Management, Series I, Class I, 0.010% (a) | 16,003,371 | 16,003,371 | ||||||||||||||||||||
| J.P. Morgan Prime Money Market Fund - Capital Shares, 0.170% (a)(b) |
31,895,214 | 31,895,214 | ||||||||||||||||||||
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a) | 239,717,601 | 239,717,601 | ||||||||||||||||||||
| UBS Money Series - UBS Select Treasury Preferred Fund, Series I, Class I, 0.010% (a) | 20,004,214 | 20,004,214 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| TOTAL MONEY MARKET FUNDS |
311,621,243 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| TOTAL INVESTMENTS - 90.2% |
614,155,553 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| OTHER ASSETS IN EXCESS OF |
67,080,016 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| NET ASSETS - 100.0% |
$ | 681,235,569 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
All securities are United States companies, unless noted otherwise in parentheses.
| (a) | Represents annualized seven-day yield as of June 30, 2012. |
| (b) | A portion of the security is pledged as collateral to the brokers for forward foreign exchange and swap contracts. |
| (c) | Includes appreciation (depreciation) on forward foreign currency exchange, futures and swap contracts. |
| * | The rating reflected is as June 30, 2012. Rating of certain bonds may have changed subsequent to the date. |
All securities are Level 2 with respect to ASC 820 (See Note 5).
The following abbreviations are used in portfolio descriptions:
EUR - Euro
GBP - British Pound
USD - United States Dollar
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 45 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR RISK PARITY FUND |
Credit default swap contracts sell protection as of June 30, 2012:
| COUNTERPARTY | REFERENCE ENTITY | FIXED ANNUAL RATE RECEIVED BY FUND |
CURRENCY | NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECIEVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||
| Bank of America | Markit CMBX North America AJ 3 | 1.47% | USD | 425,000 | $(137,089) | 12/13/2049 | $(25,403) | |||||||||||||||
| Deutsche Bank | Markit CMBX North America AJ 3 | 1.47% | USD | 500,000 | (202,323) | 12/13/2049 | 11,155 | |||||||||||||||
| Deutsche Bank | Markit CMBX North America AJ 4 | 0.96% | USD | 400,000 | (140,584) | 02/17/2051 | (19,056) | |||||||||||||||
| Deutsche Bank | Markit CMBX North America AJ 5 | 0.98% | USD | 350,000 | (112,145) | 02/15/2051 | (22,786) | |||||||||||||||
| Morgan Stanley Capital Services, Inc. | Markit CMBX North America AJ 3 | 1.47% | USD | 350,000 | (126,931) | 12/13/2049 | (6,886) | |||||||||||||||
| Morgan Stanley Capital Services, Inc. | Markit CMBX North America AJ 4 | 0.96% | USD | 500,000 | (224,226) | 02/17/2051 | 24,676 | |||||||||||||||
| Morgan Stanley Capital Services, Inc. | Markit CMBX North America AJ 5 | 0.98% | USD | 775,000 | (272,291) | 02/15/2051 | (26,484) | |||||||||||||||
| The Royal Bank of Scotland | iTraxx Europe Crossover Series 17.V1 | 5.00% | EUR | 31,725,000 | (1,965,355) | 06/20/2017 | (420,385) | |||||||||||||||
| The Royal Bank of Scotland | iTraxx Europe Crossover Series 17.V1 | 1.00% | EUR | 42,000,000 | (532,814) | 06/20/2017 | (1,054,358) | |||||||||||||||
| The Royal Bank of Scotland | Markit CDX Emerging Market Index Series 17 | 5.00% | USD | 27,950,000 | 3,215,793 | 06/20/2017 | (464,167) | |||||||||||||||
| The Royal Bank of Scotland | Markit CDX North America High Yield Index Series 18 | 5.00% | USD | 105,700,000 | (2,849,220) | 06/20/2017 | (713,801) | |||||||||||||||
| The Royal Bank of Scotland | Markit CDX North America Investment Grade Index Series 18 | 1.00% | USD | 123,875,000 | 633,165 | 06/20/2017 | (1,342,312) | |||||||||||||||
| The Royal Bank of Scotland | Markit CMBX North America AJ 3 | 1.47% | USD | 750,000 | (221,781) | 12/13/2049 | (64,971) | |||||||||||||||
| The Royal Bank of Scotland | Markit CMBX North America AJ 4 | 0.96% | USD | 1,150,000 | (421,014) | 02/17/2051 | (37,955) | |||||||||||||||
| The Royal Bank of Scotland | Markit CMBX North America AJ 5 | 0.98% | USD | 900,000 | (331,707) | 02/15/2051 | (15,258) | |||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $(3,688,522) | $(4,177,991) | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
Money Market Fund is pledged as collateral to brokers for credit default swap contracts in the amount of $2,977,644. Additional collateral for positions held at the Royal Bank of Scotland is included in the collateral for forward foreign currency exchange contracts. Additional collateral for positions held at Bank of America included in the collateral for total return swap contracts.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 46 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR RISK PARITY FUND |
Interest rate swap contracts outstanding as of June 30, 2012:
| COUNTERPARTY | PAYMENTS MADE BY THE FUND | PAYMENTS RECEIVED BY THE FUND |
CURRENCY | NOTIONAL AMOUNT |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
| The Royal Bank of Scotland | 1.683% | (1) | CZK | 250,000,000 | 03/15/2017 | $(106,630) | ||||||||||||
| The Royal Bank of Scotland | 1.923% | (1) | CZK | 68,000,000 | 09/21/2016 | (101,966) | ||||||||||||
| The Royal Bank of Scotland | 2.010% | (1) | CZK | 38,000,000 | 09/21/2016 | (65,174) | ||||||||||||
| The Royal Bank of Scotland | 6 Month Prague Interbank Offered Rate | 1.680% | CZK | 20,000,000 | 03/15/2017 | 8,384 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Prague Interbank Offered Rate | 1.705% | CZK | 50,000,000 | 03/15/2017 | 24,010 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Prague Interbank Offered Rate | 1.724% | CZK | 18,000,000 | 03/15/2017 | 9,478 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Prague Interbank Offered Rate | 1.750% | CZK | 4,000,000 | 03/15/2017 | 2,360 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Prague Interbank Offered Rate | 1.760% | CZK | 250,000,000 | 09/20/2017 | 121,527 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Prague Interbank Offered Rate | 1.810% | CZK | 11,000,000 | 03/15/2017 | 8,100 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Prague Interbank Offered Rate | 1.890% | CZK | 12,000,000 | 03/15/2017 | 11,179 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Prague Interbank Offered Rate | 1.920% | CZK | 13,000,000 | 03/15/2017 | 13,062 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Prague Interbank Offered Rate | 1.960% | CZK | 40,000,000 | 03/15/2017 | 44,094 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Prague Interbank Offered Rate | 2.043% | CZK | 69,000,000 | 03/15/2017 | 89,951 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Prague Interbank Offered Rate | 2.050% | CZK | 7,000,000 | 03/15/2017 | 9,253 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Prague Interbank Offered Rate | 2.690% | CZK | 51,000,000 | 09/21/2016 | 172,927 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Prague Interbank Offered Rate | 3.110% | CZK | 9,000,000 | 09/21/2016 | 39,831 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Prague Interbank Offered Rate | 3.225% | CZK | 6,000,000 | 09/21/2016 | 28,254 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Prague Interbank Offered Rate | 3.268% | CZK | 37,000,000 | 09/21/2016 | 178,110 | ||||||||||||
| The Royal Bank of Scotland | 1.020% | (2) | HKD | 99,000,000 | 03/15/2017 | (128,206) | ||||||||||||
| The Royal Bank of Scotland | 1.180% | (2) | HKD | 35,100,000 | 09/21/2016 | (87,226) | ||||||||||||
| The Royal Bank of Scotland | 2.495% | (2) | HKD | 15,800,000 | 03/16/2016 | (140,281) | ||||||||||||
| The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 1.208% | HKD | 99,000,000 | 09/20/2017 | 182,309 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 1.300% | HKD | 13,000,000 | 03/15/2017 | 38,838 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 1.315% | HKD | 43,000,000 | 09/20/2017 | 108,620 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 1.370% | HKD | 10,500,000 | 03/15/2017 | 35,812 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 1.390% | HKD | 35,400,000 | 03/15/2017 | 125,016 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 1.410% | HKD | 12,000,000 | 03/15/2017 | 43,829 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 47 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR RISK PARITY FUND |
| 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 Month Hong Kong Interbank Offered Rate | 1.415% | HKD | 3,700,000 | 03/15/2017 | $13,626 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 1.470% | HKD | 5,000,000 | 03/15/2017 | 20,075 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 1.490% | HKD | 2,800,000 | 03/15/2017 | 11,581 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 1.500% | HKD | 7,500,000 | 03/15/2017 | 31,473 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 1.505% | HKD | 7,900,000 | 03/15/2017 | 33,391 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 1.630% | HKD | 1,590,000 | 03/16/2016 | 7,525 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 1.748% | HKD | 2,760,959 | 03/16/2016 | 14,621 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 1.990% | HKD | 13,700,000 | 09/21/2016 | 94,466 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 2.145% | HKD | 1,550,000 | 03/16/2016 | 11,161 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 2.205% | HKD | 7,400,000 | 03/16/2016 | 55,415 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 2.210% | HKD | 1,320,000 | 03/16/2016 | 9,916 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 2.235% | HKD | 1,300,000 | 03/16/2016 | 9,922 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 2.530% | HKD | 1,800,000 | 09/21/2016 | 17,704 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 2.880% | HKD | 2,500,000 | 09/21/2016 | 29,353 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Hong Kong Interbank Offered Rate | 2.915% | HKD | 15,900,000 | 09/21/2016 | 189,714 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Budapest Interbank Offered Rate | 6.110% | HUF | 640,000,000 | 03/16/2017 | (58,917) | ||||||||||||
| The Royal Bank of Scotland | 6 Month Budapest Interbank Offered Rate | 6.150% | HUF | 70,000,000 | 09/21/2016 | 4,008 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Budapest Interbank Offered Rate | 6.160% | HUF | 130,000,000 | 03/16/2017 | (10,659) | ||||||||||||
| The Royal Bank of Scotland | 6 Month Budapest Interbank Offered Rate | 6.220% | HUF | 80,000,000 | 03/16/2017 | (5,593) | ||||||||||||
| The Royal Bank of Scotland | 6 Month Budapest Interbank Offered Rate | 6.580% | HUF | 100,000,000 | 09/21/2016 | 14,546 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Budapest Interbank Offered Rate | 6.730% | HUF | 70,000,000 | 09/21/2016 | 12,336 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Budapest Interbank Offered Rate | 6.785% | HUF | 2,400,000,000 | 09/20/2017 | 162,549 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Budapest Interbank Offered Rate | 6.880% | HUF | 90,000,000 | 03/16/2017 | 5,664 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Budapest Interbank Offered Rate | 6.880% | HUF | 120,000,000 | 03/16/2017 | 7,552 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Budapest Interbank Offered Rate | 6.930% | HUF | 50,000,000 | 09/21/2016 | 10,863 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Budapest Interbank Offered Rate | 7.030% | HUF | 210,000,000 | 03/16/2017 | 19,556 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Budapest Interbank Offered Rate | 7.110% | HUF | 320,000,000 | 09/21/2016 | 81,336 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Budapest Interbank Offered Rate | 7.130% | HUF | 70,000,000 | 03/16/2017 | 7,928 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 48 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR RISK PARITY FUND |
| COUNTERPARTY | PAYMENTS MADE BY THE FUND | PAYMENTS RECEIVED BY THE FUND |
CURRENCY | NOTIONAL AMOUNT |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
| The Royal Bank of Scotland | 6 Month Budapest Interbank Offered Rate | 7.270% | HUF | 200,000,000 | 03/15/2017 | $28,286 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Budapest Interbank Offered Rate | 7.565% | HUF | 400,000,000 | 03/16/2017 | 80,325 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Budapest Interbank Offered Rate | 7.830% | HUF | 500,000,000 | 03/16/2017 | 127,076 | ||||||||||||
| The Royal Bank of Scotland | 6.050% | (3) | HUF | 630,000,000 | 09/21/2016 | (23,153) | ||||||||||||
| The Royal Bank of Scotland | 6.860% | (3) | HUF | 2,400,000,000 | 03/16/2017 | (141,375) | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.340% | KRW | 7,000,000,000 | 03/15/2017 | 11,151 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.370% | KRW | 5,000,000,000 | 03/15/2017 | 13,688 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.370% | KRW | 3,700,000,000 | 03/15/2017 | 10,129 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.380% | KRW | 7,000,000,000 | 03/15/2017 | 21,834 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.388% | KRW | 22,500,000,000 | 03/15/2017 | 76,621 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.400% | KRW | 7,000,000,000 | 03/15/2017 | 27,176 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.440% | KRW | 3,500,000,000 | 03/15/2017 | 18,930 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.440% | KRW | 3,000,000,000 | 03/15/2017 | 16,226 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.450% | KRW | 5,400,000,000 | 03/15/2017 | 31,266 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.490% | KRW | 5,200,000,000 | 09/21/2016 | 36,118 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.515% | KRW | 4,600,000,000 | 03/15/2017 | 38,043 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.550% | KRW | 36,000,000,000 | 09/20/2017 | 363,097 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.550% | KRW | 4,000,000,000 | 03/15/2017 | 38,423 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.575% | KRW | 36,000,000,000 | 09/20/2017 | 398,939 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.655% | KRW | 14,000,000,000 | 09/20/2017 | 199,746 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.670% | KRW | 16,000,000,000 | 09/20/2017 | 237,839 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.680% | KRW | 200,000,000 | 03/16/2016 | 2,452 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.690% | KRW | 330,000,000 | 03/16/2016 | 4,146 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.690% | KRW | 380,000,000 | 03/16/2016 | 4,774 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.700% | KRW | 200,000,000 | 03/16/2016 | 2,574 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.750% | KRW | 1,455,153,531 | 03/16/2016 | 20,956 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 3.930% | KRW | 860,000,000 | 03/16/2016 | 17,125 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 4.035% | KRW | 3,500,000,000 | 09/21/2016 | 90,234 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 49 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR RISK PARITY FUND |
| 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 Month Korean Certificate of Deposit | 4.115% | KRW | 490,000,000 | 03/16/2016 | $12,533 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 4.240% | KRW | 5,100,000,000 | 03/16/2016 | 149,960 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 4.255% | KRW | 630,000,000 | 03/16/2016 | 18,814 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 4.265% | KRW | 1,800,000,000 | 09/21/2016 | 60,714 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 4.285% | KRW | 700,000,000 | 03/16/2016 | 21,547 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 4.395% | KRW | 5,100,000,000 | 09/21/2016 | 194,936 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 4.400% | KRW | 1,400,000,000 | 09/21/2016 | 53,754 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Korean Certificate of Deposit | 4.405% | KRW | 5,000,000,000 | 09/21/2016 | 192,842 | ||||||||||||
| The Royal Bank of Scotland | 3.405% | (4) | KRW | 22,400,000,000 | 09/21/2016 | (89,781) | ||||||||||||
| The Royal Bank of Scotland | 3.555% | (4) | KRW | 36,000,000,000 | 03/15/2017 | (352,671) | ||||||||||||
| The Royal Bank of Scotland | 3.565% | (4) | KRW | 36,000,000,000 | 03/15/2017 | (366,407) | ||||||||||||
| The Royal Bank of Scotland | 3.950% | (4) | KRW | 220,000,000 | 03/16/2016 | (4,516) | ||||||||||||
| The Royal Bank of Scotland | 4.270% | (4) | KRW | 5,100,000,000 | 03/16/2016 | (154,645) | ||||||||||||
| The Royal Bank of Scotland | 4.270% | (4) | KRW | 5,100,000,000 | 03/16/2016 | (154,645) | ||||||||||||
| The Royal Bank of Scotland | 4.560% | (5) | PLN | 16,500,000 | 09/21/2016 | (98,969) | ||||||||||||
| The Royal Bank of Scotland | 4.600% | (5) | PLN | 16,500,000 | 09/21/2016 | (108,173) | ||||||||||||
| The Royal Bank of Scotland | 4.775% | (5) | PLN | 113,000,000 | 03/15/2017 | (221,740) | ||||||||||||
| The Royal Bank of Scotland | 5.600% | (5) | PLN | 14,400,000 | 03/16/2016 | (155,831) | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 4.554% | PLN | 16,600,000 | 03/15/2017 | (17,579) | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 4.600% | PLN | 7,300,000 | 03/15/2017 | (3,140) | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 4.615% | PLN | 16,600,000 | 03/15/2017 | (3,736) | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 4.670% | PLN | 4,600,000 | 03/15/2017 | 2,423 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 4.700% | PLN | 11,600,000 | 09/21/2016 | 92,225 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 4.740% | PLN | 3,600,000 | 03/15/2017 | 5,342 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 4.750% | PLN | 113,000,000 | 09/20/2017 | 232,240 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 4.780% | PLN | 7,000,000 | 03/15/2017 | 14,215 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 4.840% | PLN | 8,800,000 | 03/15/2017 | 25,088 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 4.848% | PLN | 21,000,000 | 09/20/2017 | 70,964 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 50 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR RISK PARITY FUND |
| COUNTERPARTY | PAYMENTS MADE BY THE FUND | PAYMENTS RECEIVED BY THE FUND |
CURRENCY | NOTIONAL AMOUNT |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 4.850% | PLN | 5,000,000 | 03/15/2017 | $14,938 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 4.865% | PLN | 20,000,000 | 03/15/2017 | 63,854 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 4.875% | PLN | 4,000,000 | 09/20/2017 | 14,976 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 4.880% | PLN | 1,900,000 | 03/15/2017 | 6,456 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 4.900% | PLN | 15,000,000 | 03/15/2017 | 55,068 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 4.940% | PLN | 2,060,979 | 03/16/2016 | 7,194 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 4.980% | PLN | 990,000 | 03/16/2016 | 3,895 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 5.023% | PLN | 7,000,000 | 03/15/2017 | 37,469 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 5.270% | PLN | 590,000 | 03/16/2016 | 4,222 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 5.550% | PLN | 3,500,000 | 09/21/2016 | 69,312 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 5.560% | PLN | 1,780,000 | 03/16/2016 | 18,472 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 5.600% | PLN | 500,000 | 03/16/2016 | 5,411 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 5.640% | PLN | 1,280,000 | 03/16/2016 | 14,420 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 5.690% | PLN | 2,400,000 | 09/21/2016 | 52,214 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 5.690% | PLN | 7,200,000 | 03/16/2016 | 85,113 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Warsaw Interbank Offered Rate | 5.740% | PLN | 14,500,000 | 09/21/2016 | 325,568 | ||||||||||||
| The Royal Bank of Scotland | 0.940% | (6) | SGD | 400,000 | 09/21/2016 | (1,550) | ||||||||||||
| The Royal Bank of Scotland | 1.040% | (6) | SGD | 4,800,000 | 09/21/2016 | (35,631) | ||||||||||||
| The Royal Bank of Scotland | 1.135% | (6) | SGD | 16,000,000 | 03/15/2017 | (129,126) | ||||||||||||
| The Royal Bank of Scotland | 2.185% | (6) | SGD | 2,300,000 | 03/16/2016 | (103,967) | ||||||||||||
| The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 1.290% | SGD | 600,000 | 03/15/2017 | 8,489 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 1.295% | SGD | 1,500,000 | 03/15/2017 | 21,515 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 1.298% | SGD | 1,400,000 | 03/15/2017 | 20,218 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 1.300% | SGD | 4,900,000 | 03/15/2017 | 71,244 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 1.315% | SGD | 16,000,000 | 09/20/2017 | 142,621 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 1.320% | SGD | 900,000 | 03/15/2017 | 13,791 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 1.340% | SGD | 900,000 | 03/15/2017 | 14,497 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 1.400% | SGD | 2,000,000 | 03/15/2017 | 36,921 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 51 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR RISK PARITY FUND |
| COUNTERPARTY | PAYMENTS MADE BY THE FUND | PAYMENTS RECEIVED BY THE FUND |
CURRENCY | NOTIONAL AMOUNT |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
| The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 1.410% | SGD | 900,000 | 03/15/2017 | $16,967 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 1.460% | SGD | 3,000,000 | 03/15/2017 | 62,439 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 1.460% | SGD | 4,000,000 | 09/20/2017 | 58,448 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 1.750% | SGD | 220,000 | 03/16/2016 | 6,937 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 1.815% | SGD | 365,898 | 03/16/2016 | 12,284 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 1.945% | SGD | 2,200,000 | 09/21/2016 | 86,962 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 2.055% | SGD | 1,200,000 | 03/16/2016 | 49,340 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 2.145% | SGD | 260,000 | 03/16/2016 | 11,426 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 2.190% | SGD | 220,000 | 03/16/2016 | 9,979 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 2.250% | SGD | 200,000 | 09/21/2016 | 10,070 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 2.540% | SGD | 2,300,000 | 09/21/2016 | 139,462 | ||||||||||||
| The Royal Bank of Scotland | 6 Month Singapore Interbank Offered Rate | 2.550% | SGD | 300,000 | 09/21/2016 | 18,297 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 6.620% | ZAR | 11,700,000 | 03/15/2017 | 25,733 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 6.720% | ZAR | 29,700,000 | 03/15/2017 | 80,580 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 6.750% | ZAR | 29,700,000 | 03/15/2017 | 85,157 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 6.790% | ZAR | 10,800,000 | 09/21/2016 | 36,445 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 6.830% | ZAR | 16,300,000 | 03/15/2017 | 53,434 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 6.960% | ZAR | 6,700,000 | 03/15/2017 | 26,438 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 6.990% | ZAR | 14,500,000 | 03/15/2017 | 59,451 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 6.990% | ZAR | 18,000,000 | 03/15/2017 | 73,801 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 7.000% | ZAR | 9,600,000 | 03/15/2017 | 39,854 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 7.010% | ZAR | 23,000,000 | 03/15/2017 | 96,665 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 7.040% | ZAR | 1,320,000 | 03/16/2016 | 6,074 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 7.080% | ZAR | 1,320,000 | 03/16/2016 | 6,293 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 7.155% | ZAR | 3,282,843 | 03/16/2016 | 16,674 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 7.156% | ZAR | 215,000,000 | 09/20/2017 | 903,118 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 7.160% | ZAR | 47,000,000 | 09/20/2017 | 198,427 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 7.160% | ZAR | 49,000,000 | 09/20/2017 | 206,871 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 52 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR RISK PARITY FUND |
| 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 Month Johannesburg Interbank Agreed Rate | 7.190% | ZAR | 19,000,000 | 03/15/2017 | $97,421 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 7.190% | ZAR | 21,000,000 | 03/15/2017 | 107,676 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 7.300% | ZAR | 17,500,000 | 03/15/2017 | 99,619 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 7.350% | ZAR | 1,370,000 | 03/16/2016 | 8,068 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 7.390% | ZAR | 2,390,000 | 03/16/2016 | 14,473 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 7.610% | ZAR | 2,810,000 | 03/16/2016 | 19,585 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 7.750% | ZAR | 5,300,000 | 09/21/2016 | 41,651 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 7.785% | ZAR | 1,800,000 | 03/16/2016 | 13,854 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 7.840% | ZAR | 8,000,000 | 09/21/2016 | 66,232 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 7.990% | ZAR | 13,100,000 | 03/16/2016 | 111,987 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 8.275% | ZAR | 5,100,000 | 09/21/2016 | 52,585 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 8.310% | ZAR | 1,700,000 | 09/21/2016 | 17,806 | ||||||||||||
| The Royal Bank of Scotland | 3 Month Johannesburg Interbank Agreed Rate | 8.332% | ZAR | 25,900,000 | 09/21/2016 | 273,947 | ||||||||||||
| The Royal Bank of Scotland | 6.470% | (7) | ZAR | 29,400,000 | 09/21/2016 | (55,268) | ||||||||||||
| The Royal Bank of Scotland | 6.495% | (7) | ZAR | 29,400,000 | 09/21/2016 | (58,701) | ||||||||||||
| The Royal Bank of Scotland | 6.905% | (7) | ZAR | 215,000,000 | 03/15/2017 | (787,640) | ||||||||||||
| The Royal Bank of Scotland | 6.955% | (7) | ZAR | 1,560,000 | 03/16/2016 | (6,627) | ||||||||||||
| The Royal Bank of Scotland | 7.930% | (7) | ZAR | 25,700,000 | 03/16/2016 | (213,293) | ||||||||||||
|
|
|
|||||||||||||||||
| $5,673,588 | ||||||||||||||||||
|
|
|
|||||||||||||||||
| (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.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 53 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR RISK PARITY FUND |
Total return swap contracts outstanding as of June 30, 2012:
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
| Bank of America | Australia 10-Year Bond Futures | 9/17/2012 | AUD | 2,272,086 | $(14,290) | |||||||||
| Morgan Stanley and Co., International PLC | Bovespa Index | 8/15/2012 | BRL | 6,689,278 | (52,848) | |||||||||
| Barclays Capital | Cocoa Futures | 9/13/2012 | USD | 20,910 | 2,000 | |||||||||
| Barclays Capital | Corn Futures | 9/14/2012 | USD | 465,162 | 69,063 | |||||||||
| Bank of America | Euro - Bund Futures | 9/6/2012 | EUR | 42,437,827 | (1,460,410) | |||||||||
| Barclays Capital | Live Cattle Futures | 8/31/2012 | USD | 379,680 | 5,760 | |||||||||
| Bank of America | Mini Japanese 10-Year Treasury Bond | 9/10/2012 | JPY | 11,034,769,900 | 372,726 | |||||||||
| Morgan Stanley and Co., International PLC | Russian Depository Index | 6/15/2050 | USD | 518,174 | 3,816 | |||||||||
| Morgan Stanley and Co., International PLC | Russian Trading System Index Futures | 9/17/2012 | USD | 1,301,774 | 46,548 | |||||||||
| Barclays Capital | Soybean Futures | 11/14/2012 | USD | 1,131,350 | 82,238 | |||||||||
| Morgan Stanley and Co., International PLC | Swiss Market Index Futures | 9/21/2012 | CHF | 3,661,874 | 99,716 | |||||||||
| Bank of America | U.S. Treasury 10-Year Note Futures | 9/19/2012 | USD | 127,832,773 | 473,977 | |||||||||
| Barclays Capital | Wheat Futures | 9/14/2012 | USD | 293,963 | 46,800 | |||||||||
|
|
|
|||||||||||||
| $(324,904) | ||||||||||||||
|
|
|
|||||||||||||
Money Market Fund is pledged as collateral to brokers for total return swap contracts in the amount of $1,602,885.
Open futures contracts outstanding at June 30, 2012:
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 2 | Cattle Feeder Futures | August 30, 2012 | $153,920 | $151,450 | $(2,470) | |||||||||||
| 7 | Cocoa Futures | September 13, 2012 | 150,099 | 160,369 | 10,270 | |||||||||||
| 44 | Coffee ‘C’ Futures | September 18, 2012 | 2,769,589 | 2,816,550 | 46,961 | |||||||||||
| 137 | Corn Futures | December 14, 2012 | 3,897,974 | 4,348,038 | 450,064 | |||||||||||
| 24 | Cotton No. 2 Futures | December 6, 2012 | 836,518 | 855,960 | 19,442 | |||||||||||
| 145 | Crude Oil Financial Futures | July 19, 2012 | 13,991,470 | 12,319,200 | (1,672,270) | |||||||||||
| 14 | Crude Oil Financial Futures | August 20, 2012 | 1,129,630 | 1,195,180 | 65,550 | |||||||||||
| 105 | Globex Brent FCL Futures | July 13, 2012 | 11,728,500 | 10,269,000 | (1,459,500) | |||||||||||
| 14 | Globex Heat Oil Futures | July 30, 2012 | 1,763,236 | 1,593,422 | (169,814) | |||||||||||
| 15 | Globex RBOB Gas Futures | July 30, 2012 | 1,814,904 | 1,658,034 | (156,870) | |||||||||||
| 1 | Globex RBOB Gas Futures | August 30, 2012 | 102,690 | 107,415 | 4,725 | |||||||||||
| 76 | Gold 100 OZ Futures | August 29, 2012 | 12,084,974 | 12,191,920 | 106,946 | |||||||||||
| 45 | ICE Euro Gasoil Futures | July 11, 2012 | 4,253,225 | 3,818,250 | (434,975) | |||||||||||
| 53 | Lean Hogs Futures | July 16, 2012 | 2,006,298 | 2,048,450 | 42,152 | |||||||||||
| 21 | Live Cattle Futures | August 31, 2012 | 1,002,113 | 1,011,780 | 9,667 | |||||||||||
| 23 | LME Aluminum Futures | July 5, 2012 | 1,207,529 | 1,079,091 | (128,438) | |||||||||||
| 23 | LME Aluminum Futures | July 10, 2012 | 1,210,404 | 1,080,436 | (129,968) | |||||||||||
| 14 | LME Aluminum Futures | July 11, 2012 | 730,818 | 657,818 | (73,000) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 54 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR RISK PARITY FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: (Continued) | ||||||||||||||||
| 1 | LME Aluminum Futures | July 12, 2012 | $52,626 | $46,999 | $(5,627) | |||||||||||
| 1 | LME Aluminum Futures | July 24, 2012 | 51,876 | 47,134 | (4,742) | |||||||||||
| 118 | LME Aluminum Futures | September 17, 2012 | 6,669,916 | 5,633,025 | (1,036,891) | |||||||||||
| 11 | LME Aluminum Futures | December 17, 2012 | 559,089 | 533,844 | (25,245) | |||||||||||
| 5 | LME Copper Futures | July 3, 2012 | 1,085,038 | 961,469 | (123,569) | |||||||||||
| 4 | LME Copper Futures | July 5, 2012 | 834,505 | 769,248 | (65,257) | |||||||||||
| 22 | LME Copper Futures | July 10, 2012 | 4,550,485 | 4,231,871 | (318,614) | |||||||||||
| 7 | LME Copper Futures | July 11, 2012 | 1,414,884 | 1,346,567 | (68,317) | |||||||||||
| 1 | LME Copper Futures | July 12, 2012 | 203,001 | 192,376 | (10,625) | |||||||||||
| 1 | LME Copper Futures | July 19, 2012 | 201,412 | 192,405 | (9,007) | |||||||||||
| 6 | LME Copper Futures | July 24, 2012 | 1,216,508 | 1,154,295 | (62,213) | |||||||||||
| 4 | LME Copper Futures | July 26, 2012 | 823,000 | 769,525 | (53,475) | |||||||||||
| 1 | LME Copper Futures | July 30, 2012 | 212,272 | 192,407 | (19,865) | |||||||||||
| 5 | LME Copper Futures | August 3, 2012 | 1,036,350 | 962,097 | (74,253) | |||||||||||
| 1 | LME Copper Futures | August 10, 2012 | 202,809 | 192,392 | (10,417) | |||||||||||
| 2 | LME Copper Futures | August 31, 2012 | 370,403 | 384,538 | 14,135 | |||||||||||
| 7 | LME Copper Futures | September 7, 2012 | 1,295,709 | 1,345,810 | 50,101 | |||||||||||
| 2 | LME Copper Futures | September 14, 2012 | 369,503 | 384,491 | 14,988 | |||||||||||
| 76 | LME Copper Futures | September 17, 2012 | 15,903,881 | 14,610,050 | (1,293,831) | |||||||||||
| 1 | LME Copper Futures | September 21, 2012 | 185,370 | 192,167 | 6,797 | |||||||||||
| 4 | LME Copper Futures | September 26, 2012 | 733,705 | 768,567 | 34,862 | |||||||||||
| 1 | LME Copper Futures | September 28, 2012 | 186,001 | 192,125 | 6,124 | |||||||||||
| 50 | LME Copper Futures | December 17, 2012 | 9,342,799 | 9,604,375 | 261,576 | |||||||||||
| 6 | LME Lead Futures | July 10, 2012 | 306,271 | 277,355 | (28,916) | |||||||||||
| 4 | LME Lead Futures | July 11, 2012 | 200,469 | 184,922 | (15,547) | |||||||||||
| 5 | LME Lead Futures | July 19, 2012 | 257,506 | 231,336 | (26,170) | |||||||||||
| 2 | LME Lead Futures | August 10, 2012 | 103,253 | 92,719 | (10,534) | |||||||||||
| 2 | LME Lead Futures | August 17, 2012 | 98,153 | 92,688 | (5,465) | |||||||||||
| 1 | LME Lead Futures | August 24, 2012 | 48,651 | 46,374 | (2,277) | |||||||||||
| 1 | LME Lead Futures | September 7, 2012 | 47,765 | 46,435 | (1,330) | |||||||||||
| 11 | LME Lead Futures | September 17, 2012 | 564,202 | 511,362 | (52,840) | |||||||||||
| 1 | LME Lead Futures | September 21, 2012 | 46,589 | 46,488 | (101) | |||||||||||
| 2 | LME Lead Futures | December 17, 2012 | 97,303 | 93,799 | (3,504) | |||||||||||
| 3 | LME Nickel Futures | July 10, 2012 | 325,027 | 300,568 | (24,459) | |||||||||||
| 3 | LME Nickel Futures | July 11, 2012 | 322,153 | 300,579 | (21,574) | |||||||||||
| 2 | LME Nickel Futures | July 12, 2012 | 217,377 | 200,393 | (16,984) | |||||||||||
| 3 | LME Nickel Futures | July 19, 2012 | 319,369 | 300,660 | (18,709) | |||||||||||
| 1 | LME Nickel Futures | August 3, 2012 | 104,701 | 100,249 | (4,452) | |||||||||||
| 2 | LME Nickel Futures | August 10, 2012 | 205,683 | 200,525 | (5,158) | |||||||||||
| 4 | LME Nickel Futures | September 7, 2012 | 385,082 | 401,347 | 16,265 | |||||||||||
| 5 | LME Nickel Futures | September 14, 2012 | 512,598 | 501,793 | (10,805) | |||||||||||
| 12 | LME Nickel Futures | September 17, 2012 | 1,308,831 | 1,204,490 | (104,341) | |||||||||||
| 1 | LME Nickel Futures | September 26, 2012 | 97,921 | 100,378 | 2,457 | |||||||||||
| 18 | LME Nickel Futures | December 17, 2012 | 1,807,704 | 1,812,456 | 4,752 | |||||||||||
| 1 | LME Zinc Futures | July 26, 2012 | 50,329 | 47,041 | (3,288) | |||||||||||
| 1 | LME Zinc Futures | August 10, 2012 | 48,501 | 47,047 | (1,454) | |||||||||||
| 2 | LME Zinc Futures | September 17, 2012 | 102,109 | 93,975 | (8,134) | |||||||||||
| 1 | LME Zinc Futures | December 17, 2012 | 47,533 | 47,075 | (458) | |||||||||||
| 471 | Natural Gas Swap Futures | July 27, 2012 | 3,091,500 | 3,325,260 | 233,760 | |||||||||||
| 250 | Natural Gas Swap Futures | August 29, 2012 | 1,655,365 | 1,770,625 | 115,260 | |||||||||||
| 12 | Silver Futures | September 26, 2012 | 1,632,347 | 1,656,720 | 24,373 | |||||||||||
| 49 | Soybean Futures | January 14, 2013 | 3,413,358 | 3,494,925 | 81,567 | |||||||||||
| 90 | Soybean Meal Futures | December 14, 2012 | 3,632,022 | 3,717,900 | 85,878 | |||||||||||
| 105 | Sugar #11 (World Markets) Futures | September 28, 2012 | 2,347,434 | 2,470,776 | 123,342 | |||||||||||
| 131 | Wheat Futures | December 14, 2012 | 4,655,366 | 5,087,712 | 432,346 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 55 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR RISK PARITY FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: (Continued) | ||||||||||||||||
| 61 | E-Mini Russell 2000 Futures | September 21, 2012 | $4,625,620 | $4,851,940 | $226,320 | |||||||||||
| 198 | Euro Stoxx 50 Index | September 21, 2012 | 5,334,576 | 5,650,330 | 315,754 | |||||||||||
| 100 | FTSE 100 Index Futures | September 21, 2012 | 8,485,949 | 8,649,846 | 163,897 | |||||||||||
| 97 | FTSE/JSE Top 40 Index Futures | September 20, 2012 | 3,621,974 | 3,505,785 | (116,189) | |||||||||||
| 64 | H-SHARES Index Futures | July 30, 2012 | 3,887,232 | 3,933,822 | 46,590 | |||||||||||
| 43 | KOSPI Index 200 Futures | September 13, 2012 | 4,663,823 | 4,612,171 | (51,652) | |||||||||||
| 74 | MSCI Taiwan Stock Index Futures | July 30, 2012 | 1,814,077 | 1,875,160 | 61,083 | |||||||||||
| 790 | S&P 500 E-Mini Futures | September 21, 2012 | 51,949,741 | 53,577,799 | 1,628,058 | |||||||||||
| 57 | S&P MID 400 E-Mini Futures | September 21, 2012 | 5,223,824 | 5,355,150 | 131,326 | |||||||||||
| 83 | SGX S&P CNX Nifty Index Futures | July 26, 2012 | 850,976 | 878,887 | 27,911 | |||||||||||
| 58 | TOPIX Index Futures | September 13, 2012 | 5,158,687 | 5,579,783 | 421,096 | |||||||||||
| 88 | 10-Year Japanese Government Bond Futures | September 10, 2012 | 157,860,511 | 158,187,528 | 327,017 | |||||||||||
| 12 | Australia 10-Year Bond Futures | September 17, 2012 | 1,546,717 | 1,540,873 | (5,844) | |||||||||||
| 389 | Euro - Bund Futures | September 6, 2012 | 71,002,466 | 69,362,180 | (1,640,286) | |||||||||||
| 203 | Long Gilt Futures | September 26, 2012 | 37,769,975 | 37,868,456 | 98,481 | |||||||||||
| 750 | U.S. Treasury 10-Year Note Futures | September 19, 2012 | 99,682,910 | 100,031,250 | 348,340 | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| 599,866,563 | 596,337,072 | (3,529,491) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
| Short Contracts: | ||||||||||||||||
| 11 | Globex Brent FCL Futures | August 15, 2012 | (1,017,020) | (1,076,680) | (59,660) | |||||||||||
| 7 | ICE Euro Gasoil Futures | August 9, 2012 | (575,775) | (590,275) | (14,500) | |||||||||||
| 23 | LME Aluminum Futures | July 5, 2012 | (1,206,722) | (1,079,091) | 127,631 | |||||||||||
| 23 | LME Aluminum Futures | July 10, 2012 | (1,200,358) | (1,080,436) | 119,922 | |||||||||||
| 14 | LME Aluminum Futures | July 11, 2012 | (727,878) | (657,818) | 70,060 | |||||||||||
| 1 | LME Aluminum Futures | July 12, 2012 | (52,541) | (46,998) | 5,543 | |||||||||||
| 1 | LME Aluminum Futures | July 24, 2012 | (51,699) | (47,134) | 4,565 | |||||||||||
| 118 | LME Aluminum Futures | September 17, 2012 | (6,342,575) | (5,633,025) | 709,550 | |||||||||||
| 5 | LME Copper Futures | July 3, 2012 | (1,076,494) | (961,469) | 115,025 | |||||||||||
| 4 | LME Copper Futures | July 5, 2012 | (838,859) | (769,248) | 69,611 | |||||||||||
| 22 | LME Copper Futures | July 10, 2012 | (4,541,322) | (4,231,870) | 309,452 | |||||||||||
| 7 | LME Copper Futures | July 11, 2012 | (1,412,350) | (1,346,568) | 65,782 | |||||||||||
| 1 | LME Copper Futures | July 12, 2012 | (203,048) | (192,376) | 10,672 | |||||||||||
| 1 | LME Copper Futures | July 19, 2012 | (201,674) | (192,405) | 9,269 | |||||||||||
| 6 | LME Copper Futures | July 24, 2012 | (1,213,832) | (1,154,295) | 59,537 | |||||||||||
| 4 | LME Copper Futures | July 26, 2012 | (824,495) | (769,525) | 54,970 | |||||||||||
| 1 | LME Copper Futures | July 30, 2012 | (209,924) | (192,406) | 17,518 | |||||||||||
| 5 | LME Copper Futures | August 3, 2012 | (1,032,369) | (962,098) | 70,271 | |||||||||||
| 1 | LME Copper Futures | August 10, 2012 | (201,249) | (192,392) | 8,857 | |||||||||||
| 2 | LME Copper Futures | August 31, 2012 | (374,068) | (384,538) | (10,470) | |||||||||||
| 7 | LME Copper Futures | September 7, 2012 | (1,293,601) | (1,345,809) | (52,208) | |||||||||||
| 2 | LME Copper Futures | September 14, 2012 | (370,830) | (384,491) | (13,661) | |||||||||||
| 76 | LME Copper Futures | September 17, 2012 | (14,677,187) | (14,610,050) | 67,137 | |||||||||||
| 1 | LME Copper Futures | September 21, 2012 | (185,999) | (192,167) | (6,168) | |||||||||||
| 4 | LME Copper Futures | September 26, 2012 | (733,560) | (768,567) | (35,007) | |||||||||||
| 1 | LME Copper Futures | September 28, 2012 | (185,199) | (192,125) | (6,926) | |||||||||||
| 13 | LME Copper Futures | December 17, 2012 | (2,398,959) | (2,497,138) | (98,179) | |||||||||||
| 6 | LME Lead Futures | July 10, 2012 | (305,532) | (277,355) | 28,177 | |||||||||||
| 4 | LME Lead Futures | July 11, 2012 | (202,463) | (184,922) | 17,541 | |||||||||||
| 5 | LME Lead Futures | July 19, 2012 | (256,110) | (231,337) | 24,773 | |||||||||||
| 2 | LME Lead Futures | August 10, 2012 | (103,977) | (92,719) | 11,258 | |||||||||||
| 2 | LME Lead Futures | August 17, 2012 | (98,518) | (92,687) | 5,831 | |||||||||||
| 1 | LME Lead Futures | August 24, 2012 | (48,554) | (46,374) | 2,180 | |||||||||||
| 1 | LME Lead Futures | September 7, 2012 | (47,936) | (46,435) | 1,501 | |||||||||||
| 11 | LME Lead Futures | September 17, 2012 | (557,181) | (511,363) | 45,818 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 56 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR RISK PARITY FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts: (Continued) | ||||||||||||||||
| 1 | LME Lead Futures | September 21, 2012 | $(46,447) | $(46,487) | $(40) | |||||||||||
| 1 | LME Lead Futures | December 17, 2012 | (47,036) | (46,900) | 136 | |||||||||||
| 3 | LME Nickel Futures | July 10, 2012 | (324,986) | (300,567) | 24,419 | |||||||||||
| 3 | LME Nickel Futures | July 11, 2012 | (326,120) | (300,578) | 25,542 | |||||||||||
| 2 | LME Nickel Futures | July 12, 2012 | (218,397) | (200,393) | 18,004 | |||||||||||
| 3 | LME Nickel Futures | July 19, 2012 | (320,036) | (300,660) | 19,376 | |||||||||||
| 1 | LME Nickel Futures | August 3, 2012 | (104,592) | (100,249) | 4,343 | |||||||||||
| 2 | LME Nickel Futures | August 10, 2012 | (207,714) | (200,524) | 7,190 | |||||||||||
| 4 | LME Nickel Futures | September 7, 2012 | (390,595) | (401,348) | (10,753) | |||||||||||
| 5 | LME Nickel Futures | September 14, 2012 | (503,694) | (501,793) | 1,901 | |||||||||||
| 12 | LME Nickel Futures | September 17, 2012 | (1,216,545) | (1,204,488) | 12,057 | |||||||||||
| 1 | LME Nickel Futures | September 26, 2012 | (98,435) | (100,379) | (1,944) | |||||||||||
| 1 | LME Nickel Futures | December 17, 2012 | (98,243) | (100,692) | (2,449) | |||||||||||
| 1 | LME Zinc Futures | July 26, 2012 | (50,399) | (47,041) | 3,358 | |||||||||||
| 1 | LME Zinc Futures | August 10, 2012 | (48,854) | (47,048) | 1,806 | |||||||||||
| 2 | LME Zinc Futures | September 17, 2012 | (95,829) | (93,975) | 1,854 | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| (48,867,780) | (47,027,308) | 1,840,472 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
| $550,998,783 | $549,309,764 | $(1,689,019) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
Cash held as collateral with broker for futures contracts was $25,341,448 at June 30, 2012.
Forward foreign currency exchange contracts outstanding as of June 30, 2012:
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Brazilian Real, Expiring 09/19/12 |
The Royal Bank of Scotland | BRL | 17,093,000 | $8,260,414 | $8,388,087 | $127,673 | ||||||||||||||
| Euro, Expiring 09/19/12 |
The Royal Bank of Scotland | EUR | 10,891,000 | 13,637,060 | 13,793,180 | 156,120 | ||||||||||||||
| British Pound, Expiring 09/19/12 |
The Royal Bank of Scotland | GBP | 2,113,000 | 3,263,759 | 3,308,573 | 44,814 | ||||||||||||||
| Israeli Shekel, Expiring 09/19/12 |
The Royal Bank of Scotland | ILS | 31,431,000 | 8,086,370 | 8,014,985 | (71,385) | ||||||||||||||
| Korean Won, Expiring 09/19/12 |
The Royal Bank of Scotland | KRW | 16,838,313,000 | 14,308,467 | 14,624,866 | 316,399 | ||||||||||||||
| Mexican Peso, Expiring 09/19/12 |
The Royal Bank of Scotland | MXN | 336,855,000 | 23,798,119 | 25,058,812 | 1,260,693 | ||||||||||||||
| Singapore Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | SGD | 16,431,000 | 12,883,893 | 12,972,299 | 88,406 | ||||||||||||||
| Turkish Lira, Expiring 09/19/12 |
The Royal Bank of Scotland | TRY | 43,585,000 | 23,386,238 | 23,700,996 | 314,758 | ||||||||||||||
| Taiwanese Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | TWD | 350,248,000 | 11,722,120 | 11,729,201 | 7,081 | ||||||||||||||
| South African Rand, Expiring 09/19/12 |
The Royal Bank of Scotland | ZAR | 27,943,000 | 3,301,149 | 3,378,252 | 77,103 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $122,647,589 | $124,969,251 | $2,321,662 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 57 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR RISK PARITY FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Brazilian Real, Expiring 09/19/12 |
The Royal Bank of Scotland | BRL | (2,595,000) | $(1,240,931) | $(1,273,451) | $(32,520) | ||||||||||||||
| Swiss Franc, Expiring 09/19/12 |
The Royal Bank of Scotland | CHF | (117,000) | (122,180) | (123,522) | (1,342) | ||||||||||||||
| Euro, Expiring 09/19/12 |
The Royal Bank of Scotland | EUR | (139,863,000) | (175,056,786) | (177,132,988) | (2,076,202) | ||||||||||||||
| British Pound, Expiring 09/19/12 |
The Royal Bank of Scotland | GBP | (29,302,000) | (45,310,773) | (45,881,598) | (570,825) | ||||||||||||||
| Hong Kong Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | HKD | (33,000) | (4,249) | (4,255) | (6) | ||||||||||||||
| Hungarian Forint, Expiring 09/19/12 |
The Royal Bank of Scotland | HUF | (4,008,000) | (16,327) | (17,553) | (1,226) | ||||||||||||||
| Israeli Shekel, Expiring 09/19/12 |
The Royal Bank of Scotland | ILS | (2,584,000) | (666,942) | (658,925) | 8,017 | ||||||||||||||
| Japanese Yen, Expiring 09/19/12 |
The Royal Bank of Scotland | JPY | (60,000,000) | (759,198) | (751,437) | 7,761 | ||||||||||||||
| Korean Won, Expiring 09/19/12 |
The Royal Bank of Scotland | KRW | (54,300,000) | (45,725) | (47,162) | (1,437) | ||||||||||||||
| Mexican Peso, Expiring 09/19/12 |
The Royal Bank of Scotland | MXN | (15,330,000) | (1,067,778) | (1,140,406) | (72,628) | ||||||||||||||
| Russian Ruble, Expiring 09/19/12 |
The Royal Bank of Scotland | RUB | (46,385,000) | (1,415,817) | (1,411,987) | 3,830 | ||||||||||||||
| Singapore Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | SGD | (1,091,000) | (850,520) | (861,346) | (10,826) | ||||||||||||||
| Turkish Lira, Expiring 09/19/12 |
The Royal Bank of Scotland | TRY | (3,614,000) | (1,908,494) | (1,965,250) | (56,756) | ||||||||||||||
| Taiwanese Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | TWD | (60,585,000) | (2,029,708) | (2,028,888) | 820 | ||||||||||||||
| South African Rand, Expiring 09/19/12 |
The Royal Bank of Scotland | ZAR | (10,711,000) | (1,291,496) | (1,294,939) | (3,443) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (231,786,924) | (234,593,707) | (2,806,783) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(109,139,335) | $(109,624,456) | $(485,121) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
Money Market Fund is pledged as collateral for forward foreign currency exchange contracts in the amount of $27,314,607.
BRL - Brazilian Real
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
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. |
| 58 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 59 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 60 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 61 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 62 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 63 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 64 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| CONVERTIBLE PREFERRED STOCKS - 1.0% | MOODY’S RATING* |
SHARES | VALUE (Note 3) |
|||||||||||||||||
| Financials - 0.5% | ||||||||||||||||||||
| Citigroup, Inc., $100.00 par, 7.500% (1)(b) | NR | 10,000 | $ | 855,600 | ||||||||||||||||
| MetLife, Inc., $82.88 par, 5.000% (1)(b) | BBB | -** | 28,160 | 1,742,259 | ||||||||||||||||
|
|
|
|||||||||||||||||||
| 2,597,859 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Industrials - 0.1% | ||||||||||||||||||||
| United Technologies Corp., $50.00 par, 7.500% (1)† | BBB | +** | 13,050 | 687,604 | ||||||||||||||||
|
|
|
|||||||||||||||||||
| Utilities - 0.4% | ||||||||||||||||||||
| NextEra Energy, Inc., $- par, 5.599% (1)† | NR | 842,500 | 431,781 | |||||||||||||||||
| PPL Corp., $50.00 par, 9.500% (1)(b) | NR | 22,975 | 1,215,378 | |||||||||||||||||
| PPL Corp., $50.00 par, 8.750% (1) | NR | 4,600 | 245,962 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| 1,893,121 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| TOTAL CONVERTIBLE PREFERRED STOCKS |
5,178,584 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| CORPORATE BONDS - 11.6% | INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’s) |
|||||||||||||||||
| Consumer Discretionary - 0.2% | ||||||||||||||||||||
| Charming Shoppes, Inc. | B | -** | 1.125% | 05/01/14 | $ | 1,025 | 1,022,437 | |||||||||||||
| priceline.com, Inc. 144A (b)(d) | BBB | ** | 1.000% | 03/15/18 | 200 | 210,750 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 1,233,187 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Consumer Staples - 0.9% | ||||||||||||||||||||
| Archer-Daniels-Midland Co. | A | ** | 0.875% | 02/15/14 | 600 | 603,000 | ||||||||||||||
| Smithfield Foods, Inc. (b) | BB | ** | 4.000% | 06/30/13 | 3,675 | 4,088,437 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 4,691,437 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Energy - 0.1% | ||||||||||||||||||||
| Petrominerales Ltd. (Canada) | NR | 3.250% | 06/12/17 | 400 | 367,000 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Financials - 0.8% | ||||||||||||||||||||
| Annaly Capital Management, Inc. | NR | 5.000% | 05/15/15 | 425 | 419,156 | |||||||||||||||
| Health Care REIT, Inc. (b) | Baa2 | 3.000% | 12/01/29 | 3,325 | 3,935,969 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 4,355,125 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Health Care - 2.4% | ||||||||||||||||||||
| Gilead Sciences, Inc. | A | -** | 1.625% | 05/01/16 | 3,000 | 3,881,250 | ||||||||||||||
| Medtronic, Inc., Series B (b) | A1 | 1.625% | 04/15/13 | 1,250 | 1,253,125 | |||||||||||||||
| Omnicare, Inc. | Ba3 | 3.750% | 12/15/25 | 725 | 952,469 | |||||||||||||||
| Regeneron Pharmaceuticals, Inc. 144A (d) | NR | 1.875% | 10/01/16 | 4,000 | 6,050,000 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 12,136,844 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Industrials - 1.7% | ||||||||||||||||||||
| Chart Industries, Inc. (b) | B | +** | 2.000% | 08/01/18 | 2,900 | 3,570,625 | ||||||||||||||
| General Cable Corp. (b)(e) | B2 | 4.500% | 11/15/29 | 2,825 | 2,750,844 | |||||||||||||||
| L-3 Communications Holdings, Inc. (b) | Ba1 | 3.000% | 08/01/35 | 2,375 | 2,315,625 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 8,637,094 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Information Technology - 5.4% | ||||||||||||||||||||
| Microchip Technology, Inc. (b) | NR | 2.125% | 12/15/37 | 3,250 | 4,054,375 | |||||||||||||||
| Micron Technology, Inc., Series C 144A (b)(d) | BB | -** | 2.375% | 05/01/32 | 425 | 391,531 | ||||||||||||||
| NetApp, Inc. | NR | 1.750% | 06/01/13 | 2,500 | 2,856,250 | |||||||||||||||
| Salesforce.com, Inc. (b) | NR | 0.750% | 01/15/15 | 5,600 | 9,576,000 | |||||||||||||||
| SanDisk Corp. (3)(b)(f) | BB | ** | 1.000% | 05/15/13 | 1,150 | 1,132,750 | ||||||||||||||
| Vishay Intertechnology, Inc. 144A (d) | BB | +** | 2.250% | 11/15/40 | 2,125 | 1,758,438 | ||||||||||||||
| Xilinx, Inc. (b) | BBB | -** | 3.125% | 03/15/37 | 6,900 | 8,228,250 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 27,997,594 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 65 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
|
CORPORATE BONDS - 11.6% |
MOODY’S RATING* |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’s) |
VALUE (Note 3) |
|||||||||||||||
| Materials- 0.1% | ||||||||||||||||||||
| Cemex SAB de CV (Mexico) (b) | NR | 3.250% | 03/15/16 | $ | 500 | $ | 424,375 | |||||||||||||
| Royal Gold, Inc. | NR | 2.875% | 06/15/19 | 100 | 104,750 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 529,125 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| TOTAL CORPORATE BONDS |
59,947,406 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| CONVERTIBLE BONDS - 25.2% | ||||||||||||||||||||
| Consumer Discretionary - 4.3% | ||||||||||||||||||||
| DR Horton, Inc., Series DHI (b) | Ba2 | 2.000% | 05/15/14 | 5,875 | 8,739,063 | |||||||||||||||
| Gaylord Entertainment Co. 144A (b)(d) | NR | 3.750% | 10/01/14 | 3,350 | 4,995,687 | |||||||||||||||
| Lennar Corp. 144A (b)(d) | B2 | 3.250% | 11/15/21 | 2,325 | 3,502,031 | |||||||||||||||
| Lennar Corp. 144A (b)(d) | B2 | 2.750% | 12/15/20 | 1,375 | 2,119,219 | |||||||||||||||
| Lennar Corp. 144A (b)(d) | B2 | 2.000% | 12/01/20 | 600 | 753,000 | |||||||||||||||
| priceline.com, Inc. 144A (b)(d) | BBB | ** | 1.250% | 03/15/15 | 275 | 611,531 | ||||||||||||||
| Virgin Media, Inc. (b) | B | +** | 6.500% | 11/15/16 | 975 | 1,457,625 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 22,178,156 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Consumer Staples - 0.7% | ||||||||||||||||||||
| Tyson Foods, Inc. (b) | BB | +** | 3.250% | 10/15/13 | 2,975 | 3,607,188 | ||||||||||||||
|
|
|
|||||||||||||||||||
| Financials - 5.3% | ||||||||||||||||||||
| Ares Capital Corp. 144A (b)(d) | BBB | ** | 5.750% | 02/01/16 | 1,625 | 1,653,438 | ||||||||||||||
| Boston Properties LP (b) | A | -** | 3.750% | 05/15/36 | 750 | 856,875 | ||||||||||||||
| Boston Properties LP 144A (d) | A | -** | 3.625% | 02/15/14 | 1,500 | 1,627,500 | ||||||||||||||
| DDR Corp. (b) | NR | 1.750% | 11/15/40 | 3,070 | 3,288,737 | |||||||||||||||
| Digital Realty Trust LP 144A (b)(d) | NR | 5.500% | 04/15/29 | 1,650 | 3,033,937 | |||||||||||||||
| Host Hotels & Resorts LP 144A (b)(d) | BB | +** | 2.500% | 10/15/29 | 6,050 | 7,842,313 | ||||||||||||||
| PHH Corp. (b) | Ba2 | 4.000% | 09/01/14 | 600 | 596,250 | |||||||||||||||
| ProLogis LP | BBB | ** | 3.250% | 03/15/15 | 3,175 | 3,488,531 | ||||||||||||||
| SL Green Operating Partnership LP 144A (b)(d) | NR | 3.000% | 10/15/17 | 4,425 | 5,066,625 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 27,454,206 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Industrials - 3.6% | ||||||||||||||||||||
| Avis Budget Group, Inc. (b)(d) | NR | 3.500% | 10/01/14 | 2,150 | 2,682,125 | |||||||||||||||
| General Cable Corp. (b) | Ba3 | 0.875% | 11/15/13 | 1,925 | 1,831,156 | |||||||||||||||
| Hertz Global Holdings, Inc. (b) | B | -** | 5.250% | 06/01/14 | 6,625 | 11,005,781 | ||||||||||||||
| Lufthansa Malta Blues LP, Series JBLU 144A (Malta) (d) | Ba1 | 0.750% | 04/05/17 | EUR | 475 | 637,901 | ||||||||||||||
| Navistar International Corp. (b) | B | -** | 3.000% | 10/15/14 | $ | 750 | 699,375 | |||||||||||||
| Textron, Inc., Series TXT (b) | Baa3 | 4.500% | 05/01/13 | 875 | 1,682,188 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 18,538,526 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Information Technology - 7.6% | ||||||||||||||||||||
| Amkor Technology, Inc. (b) | NR | 6.000% | 04/15/14 | 3,475 | 5,990,031 | |||||||||||||||
| Cadence Design Systems, Inc. (b) | NR | 2.625% | 06/01/15 | 2,900 | 4,498,625 | |||||||||||||||
| Ciena Corp. 144A (b)(d) | NR | 4.000% | 03/15/15 | 2,800 | 3,129,000 | |||||||||||||||
| Equinix, Inc. (b) | B | ** | 4.750% | 06/15/16 | 4,450 | 9,762,188 | ||||||||||||||
| Intel Corp. (a) | A | -** | 2.950% | 12/15/35 | 1,400 | 1,583,750 | ||||||||||||||
| SanDisk Corp. (b) | BB | ** | 1.500% | 08/15/17 | 1,600 | 1,646,000 | ||||||||||||||
| Take-Two Interactive Software, Inc. 144A (b)(d) | NR | 1.750% | 12/01/16 | 200 | 175,000 | |||||||||||||||
| VeriSign, Inc. (b) | NR | 3.250% | 08/15/37 | 9,144 | 12,733,020 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 39,517,614 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 66 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| MOODY’S RATING* |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’s) |
VALUE (Note 3) |
||||||||||||||||
| Materials - 2.5% | ||||||||||||||||||||
| Alcoa, Inc. (b) | Baa3 | 5.250% | 03/15/14 | $ | 4,125 | $ | 6,172,031 | |||||||||||||
| Allegheny Technologies, Inc. (b) | BBB | -** | 4.250% | 06/01/14 | 1,175 | 1,358,594 | ||||||||||||||
| Sterlite Industries India Ltd. (India) (b) | NR | 4.000% | 10/30/14 | 225 | 202,500 | |||||||||||||||
| United States Steel Corp. (b) | B1 | 4.000% | 05/15/14 | 5,150 | 5,214,375 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 12,947,500 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Telecommunication Services - 1.2% | ||||||||||||||||||||
| Level 3 Communications, Inc. (b) | CCC | ** | 15.000% | 01/15/13 | 1,550 | 1,718,562 | ||||||||||||||
| XM Satellite Radio, Inc. 144A (b)(d) | BB | ** | 7.000% | 12/01/14 | 3,250 | 4,233,125 | ||||||||||||||
|
|
|
|||||||||||||||||||
| 5,951,687 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| TOTAL CONVERTIBLE BONDS |
130,194,877 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 67 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 68 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 69 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 70 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 71 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
Credit default swap contracts sell protection as of June 30, 2012:
| COUNTERPARTY | REFERENCE ENTITY | FIXED ANNUAL |
CURRENCY | NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||
| The Royal Bank of Scotland |
Markit CDX North America High Yield Index Series 18 | 5.000% | USD | 21,650,000 | $(847,467) | 06/20/2017 | $117,671 | |||||||||||||||
|
|
|
|
|
|||||||||||||||||||
| $(847,467) | $117,671 | |||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||
Collateral for positions held at the Royal Bank of Scotland is included in the collateral for forward foreign currency exchange contracts.
Open Written Options contracts outstanding at June 30, 2012:
Call Options Written
| SHARES | ISSUER | COUNTERPARTY | EXPIRATION DATE | PROCEEDS | VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| 223 | Human Genome Sciences, Inc. (Exercise price $10) | J.P. Morgan | July 21, 2012 | $(74,745) | $(74,705) | $40 | ||||||||||||||||
| 78 | Molycorp, Inc. (Exercise price $40) | J.P. Morgan | September 22, 2012 | (645) | (390) | 255 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||
| $(75,390) | $(75,095) | $295 | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||
Total return swap contracts outstanding as of June 30, 2012:
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
| Morgan Stanley and Co., International PLC | Bovespa Index | 8/15/2012 | BRL | (3,333,433) | $20,960 | |||||||||
| Bank of America | Canadian 10-Year Bond Futures | 9/19/2012 | CAD | 12,624,958 | 107,149 | |||||||||
| Barclays Capital | Cocoa Futures | 9/13/2012 | USD | (460,020) | (44,000) | |||||||||
| Bank of America | Euro - Bobl Futures | 9/6/2012 | EUR | 3,569,166 | (55,972) | |||||||||
| Bank of America | Euro - Bund Futures | 9/6/2012 | EUR | (1,157,341) | 38,147 | |||||||||
| Bank of America | Euro - Buxl 30-Year Bond Futures | 9/6/2012 | EUR | 860,710 | (94,459) | |||||||||
| Bank of America | Euro - SCHATZ Futures | 9/6/2012 | EUR | 15,063,732 | (46,150) | |||||||||
| Bank of America | Long Gilt Futures | 9/26/2012 | GBP | (15,314,186) | (73,703) | |||||||||
| Morgan Stanley and Co., International PLC | Russian Trading System Index Futures | 9/17/2012 | USD | 6,882,105 | 286,562 | |||||||||
| Barclays Capital | Soybean Oil Futures | 12/14/2012 | USD | (1,949,169) | (152,799) | |||||||||
| Morgan Stanley and Co., International PLC | Swiss Market Index Futures | 9/21/2012 | CHF | (9,063,989) | (281,435) | |||||||||
| Bank of America | U.S. Long Bond Futures | 9/19/2012 | USD | 1,915,961 | 7,633 | |||||||||
| Bank of America | U.S. Treasury 10-Year Note Futures | 9/19/2012 | USD | (1,598,413) | (2,087) | |||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 72 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
| Bank of America | U.S. Treasury 2-Year Note Futures | 9/28/2012 | USD | (9,038,680) | $10,992 | |||||||||
| Bank of America | U.S. Treasury 5-Year Note Futures | 9/28/2012 | USD | 5,819,424 | 7,107 | |||||||||
|
|
|
|||||||||||||
| $(272,055) | ||||||||||||||
|
|
|
|||||||||||||
Money Market Fund is pledged as collateral to brokers for total return swap contracts in the amount of $120,189.
Open futures contracts outstanding at June 30, 2012:
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 21 | Gold 100 OZ Futures | August 29, 2012 | $3,364,598 | $3,368,820 | $4,222 | |||||||||||
| 10 | LME Aluminum Futures | July 3, 2012 | 531,538 | 468,938 | (62,600) | |||||||||||
| 14 | LME Aluminum Futures | July 5, 2012 | 737,343 | 656,838 | (80,505) | |||||||||||
| 21 | LME Aluminum Futures | July 10, 2012 | 1,105,939 | 986,485 | (119,454) | |||||||||||
| 8 | LME Aluminum Futures | July 11, 2012 | 418,010 | 375,896 | (42,114) | |||||||||||
| 4 | LME Aluminum Futures | July 12, 2012 | 210,105 | 187,995 | (22,110) | |||||||||||
| 7 | LME Aluminum Futures | July 13, 2012 | 366,109 | 329,074 | (37,035) | |||||||||||
| 9 | LME Aluminum Futures | July 16, 2012 | 467,111 | 423,409 | (43,702) | |||||||||||
| 3 | LME Aluminum Futures | July 17, 2012 | 156,559 | 141,171 | (15,388) | |||||||||||
| 1 | LME Aluminum Futures | July 18, 2012 | 52,064 | 47,069 | (4,995) | |||||||||||
| 2 | LME Aluminum Futures | July 19, 2012 | 103,253 | 94,160 | (9,093) | |||||||||||
| 1 | LME Aluminum Futures | July 20, 2012 | 51,983 | 47,091 | (4,892) | |||||||||||
| 2 | LME Aluminum Futures | July 23, 2012 | 103,503 | 94,248 | (9,255) | |||||||||||
| 1 | LME Aluminum Futures | July 24, 2012 | 51,876 | 47,134 | (4,742) | |||||||||||
| 1 | LME Aluminum Futures | July 26, 2012 | 52,151 | 47,156 | (4,995) | |||||||||||
| 1 | LME Aluminum Futures | August 16, 2012 | 50,279 | 47,385 | (2,894) | |||||||||||
| 16 | LME Aluminum Futures | August 17, 2012 | 819,589 | 758,332 | (61,257) | |||||||||||
| 5 | LME Aluminum Futures | August 21, 2012 | 258,725 | 237,187 | (21,538) | |||||||||||
| 3 | LME Aluminum Futures | September 7, 2012 | 148,490 | 142,839 | (5,651) | |||||||||||
| 3 | LME Aluminum Futures | September 17, 2012 | 148,541 | 143,212 | (5,329) | |||||||||||
| 3 | LME Copper Futures | July 12, 2012 | 609,229 | 577,128 | (32,101) | |||||||||||
| 1 | LME Copper Futures | July 13, 2012 | 202,376 | 192,385 | (9,991) | |||||||||||
| 2 | LME Copper Futures | July 16, 2012 | 398,003 | 384,825 | (13,178) | |||||||||||
| 1 | LME Copper Futures | July 17, 2012 | 200,001 | 192,412 | (7,589) | |||||||||||
| 1 | LME Copper Futures | July 18, 2012 | 201,376 | 192,412 | (8,964) | |||||||||||
| 1 | LME Copper Futures | July 19, 2012 | 201,451 | 192,405 | (9,046) | |||||||||||
| 2 | LME Copper Futures | July 20, 2012 | 403,503 | 384,796 | (18,707) | |||||||||||
| 7 | LME Copper Futures | September 17, 2012 | 1,311,865 | 1,345,662 | 33,797 | |||||||||||
| 4 | LME Copper Futures | September 20, 2012 | 757,184 | 768,700 | 11,516 | |||||||||||
| 1 | LME Copper Futures | September 21, 2012 | 183,001 | 192,167 | 9,166 | |||||||||||
| 4 | LME Copper Futures | September 28, 2012 | 743,573 | 768,500 | 24,927 | |||||||||||
| 1 | LME Nickel Futures | July 17, 2012 | 106,801 | 100,214 | (6,587) | |||||||||||
| 2 | LME Nickel Futures | July 18, 2012 | 213,435 | 200,436 | (12,999) | |||||||||||
| 1 | LME Nickel Futures | July 19, 2012 | 106,561 | 100,220 | (6,341) | |||||||||||
| 4 | LME Nickel Futures | August 3, 2012 | 419,765 | 400,995 | (18,770) | |||||||||||
| 1 | LME Nickel Futures | September 12, 2012 | 102,051 | 100,352 | (1,699) | |||||||||||
| 2 | LME Nickel Futures | September 17, 2012 | 205,011 | 200,748 | (4,263) | |||||||||||
| 1 | LME Nickel Futures | September 20, 2012 | 102,360 | 100,374 | (1,986) | |||||||||||
| 1 | LME Zinc Futures | July 10, 2012 | 49,876 | 47,024 | (2,852) | |||||||||||
| 6 | LME Zinc Futures | July 11, 2012 | 299,933 | 282,155 | (17,778) | |||||||||||
| 5 | LME Zinc Futures | July 12, 2012 | 251,756 | 235,137 | (16,619) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 73 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: (continued) | ||||||||||||||||
| 3 | LME Zinc Futures | July 16, 2012 | $149,779 | $141,103 | $(8,676) | |||||||||||
| 6 | LME Zinc Futures | July 17, 2012 | 300,233 | 282,215 | (18,018) | |||||||||||
| 5 | LME Zinc Futures | July 18, 2012 | 249,506 | 235,187 | (14,319) | |||||||||||
| 6 | LME Zinc Futures | July 19, 2012 | 300,308 | 282,225 | (18,083) | |||||||||||
| 3 | LME Zinc Futures | July 25, 2012 | 150,379 | 141,121 | (9,258) | |||||||||||
| 2 | LME Zinc Futures | July 26, 2012 | 100,903 | 94,082 | (6,821) | |||||||||||
| 4 | LME Zinc Futures | August 3, 2012 | 199,155 | 188,178 | (10,977) | |||||||||||
| 4 | LME Zinc Futures | August 8, 2012 | 198,180 | 188,187 | (9,993) | |||||||||||
| 1 | LME Zinc Futures | August 9, 2012 | 48,926 | 47,047 | (1,879) | |||||||||||
| 45 | Soybean Futures | November 14, 2012 | 3,127,628 | 3,212,438 | 84,810 | |||||||||||
| 50 | Soybean Meal Futures | December 14, 2012 | 1,991,766 | 2,065,500 | 73,734 | |||||||||||
| 25 | CAC40 10 Euro Futures | July 20, 2012 | 958,684 | 1,009,869 | 51,185 | |||||||||||
| 1 | DJIA Mini E-CBOT Futures | September 21, 2012 | 62,321 | 64,040 | 1,719 | |||||||||||
| 219 | E-Mini Russell 2000 Futures | September 21, 2012 | 16,613,566 | 17,419,260 | 805,694 | |||||||||||
| 661 | Euro Stoxx 50 Index | September 21, 2012 | 17,827,672 | 18,862,973 | 1,035,301 | |||||||||||
| 390 | FTSE 100 Index Futures | September 21, 2012 | 33,090,357 | 33,734,400 | 644,043 | |||||||||||
| 338 | FTSE/JSE Top 40 Index Futures | September 20, 2012 | 12,564,775 | 12,216,036 | (348,739) | |||||||||||
| 2 | IBEX 35 Index Futures | July 20, 2012 | 163,444 | 176,813 | 13,369 | |||||||||||
| 40 | KOSPI Index 200 Futures | September 13, 2012 | 4,336,481 | 4,290,391 | (46,090) | |||||||||||
| 2 | NASDAQ 100 E-Mini Futures | September 21, 2012 | 103,124 | 104,390 | 1,266 | |||||||||||
| 910 | 3-Month Euro Euribor Futures | December 17, 2012 | 286,197,662 | 286,490,527 | 292,865 | |||||||||||
| 546 | 3-Month Euro Euribor Futures | March 18, 2013 | 171,813,394 | 171,885,679 | 72,285 | |||||||||||
| 64 | 3-Month Euro Euribor Futures | June 17, 2013 | 20,125,930 | 20,142,710 | 16,780 | |||||||||||
| 63 | 3-Month Euro Euribor Futures | September 16, 2013 | 19,800,360 | 19,820,008 | 19,648 | |||||||||||
| 60 | 3-Month Euro Euribor Futures | December 16, 2013 | 18,842,504 | 18,862,909 | 20,405 | |||||||||||
| 58 | 3-Month Euro Euribor Futures | March 17, 2014 | 18,200,370 | 18,223,136 | 22,766 | |||||||||||
| 57 | 3-Month Euro Euribor Futures | June 16, 2014 | 17,896,042 | 17,895,420 | (622) | |||||||||||
| 22 | 90-Day EURODollar Futures | June 17, 2013 | 5,469,945 | 5,469,750 | (195) | |||||||||||
| 36 | 90-Day EURODollar Futures | September 16, 2013 | 8,948,854 | 8,948,700 | (154) | |||||||||||
| 60 | 90-Day EURODollar Futures | December 16, 2013 | 14,908,770 | 14,910,000 | 1,230 | |||||||||||
| 83 | 90-Day EURODollar Futures | March 17, 2014 | 20,613,763 | 20,619,275 | 5,512 | |||||||||||
| 87 | 90-Day EURODollar Futures | June 16, 2014 | 21,598,717 | 21,603,188 | 4,471 | |||||||||||
| 94 | 90-Day GBP LIBOR Futures | December 18, 2013 | 18,240,629 | 18,264,245 | 23,616 | |||||||||||
| 72 | 90-Day Sterling Futures | June 19, 2013 | 13,984,017 | 13,996,682 | 12,665 | |||||||||||
| 92 | 90-Day Sterling Futures | September 18, 2013 | 17,862,174 | 17,882,849 | 20,675 | |||||||||||
| 90 | 90-Day Sterling Futures | March 19, 2014 | 17,456,425 | 17,479,996 | 23,571 | |||||||||||
| 86 | 90-Day Sterling Futures | June 18, 2014 | 16,684,772 | 16,694,689 | 9,917 | |||||||||||
| 357 | Australia 10-Year Bond Futures | September 17, 2012 | 46,044,606 | 45,840,947 | (203,659) | |||||||||||
| 27 | Australia 3-Year Bond Futures | September 17, 2012 | 3,062,381 | 3,050,603 | (11,778) | |||||||||||
| 18 | Euro CHF 3-Month LIFFE Futures | December 17, 2012 | 4,747,504 | 4,742,032 | (5,472) | |||||||||||
| 36 | Euro CHF 3-Month LIFFE Futures | March 18, 2013 | 9,496,917 | 9,486,909 | (10,008) | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| 880,799,800 | 882,669,195 | 1,869,395 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
| Short Contracts: | ||||||||||||||||
| 61 | Cocoa Futures | September 13, 2012 | (1,367,738) | (1,397,510) | (29,772) | |||||||||||
| 27 | Coffee ‘C’ Futures | September 18, 2012 | (1,562,996) | (1,728,337) | (165,341) | |||||||||||
| 10 | Corn Futures | September 14, 2012 | (278,855) | (314,250) | (35,395) | |||||||||||
| 60 | Cotton No. 2 Futures | December 6, 2012 | (2,076,476) | (2,139,900) | (63,424) | |||||||||||
| 38 | Crude Oil Financial Futures | July 19, 2012 | (3,128,690) | (3,228,480) | (99,790) | |||||||||||
| 41 | Globex Brent FCL Futures | July 13, 2012 | (3,949,830) | (4,009,800) | (59,970) | |||||||||||
| 26 | Globex Heat Oil Futures | July 30, 2012 | (2,863,438) | (2,959,211) | (95,773) | |||||||||||
| 14 | Globex RBOB Gas Futures | July 30, 2012 | (1,506,502) | (1,547,498) | (40,996) | |||||||||||
| 24 | ICE Euro Gasoil Futures | July 11, 2012 | (2,047,650) | (2,036,400) | 11,250 | |||||||||||
| 29 | Lean Hogs Futures | July 16, 2012 | (1,119,311) | (1,120,850) | (1,539) | |||||||||||
| 21 | Lean Hogs Futures | August 14, 2012 | (722,796) | (796,110) | (73,314) | |||||||||||
| 10 | LME Aluminum Futures | July 3, 2012 | (531,896) | (468,937) | 62,959 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 74 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts: (continued) | ||||||||||||||||
| 14 | LME Aluminum Futures | July 5, 2012 | $(736,891) | $(656,838) | $80,053 | |||||||||||
| 21 | LME Aluminum Futures | July 10, 2012 | (1,095,980) | (986,486) | 109,494 | |||||||||||
| 8 | LME Aluminum Futures | July 11, 2012 | (415,930) | (375,896) | 40,034 | |||||||||||
| 4 | LME Aluminum Futures | July 12, 2012 | (210,167) | (187,995) | 22,172 | |||||||||||
| 7 | LME Aluminum Futures | July 13, 2012 | (367,351) | (329,073) | 38,278 | |||||||||||
| 9 | LME Aluminum Futures | July 16, 2012 | (466,266) | (423,409) | 42,857 | |||||||||||
| 3 | LME Aluminum Futures | July 17, 2012 | (155,316) | (141,171) | 14,145 | |||||||||||
| 1 | LME Aluminum Futures | July 18, 2012 | (52,078) | (47,069) | 5,009 | |||||||||||
| 2 | LME Aluminum Futures | July 19, 2012 | (103,387) | (94,160) | 9,227 | |||||||||||
| 1 | LME Aluminum Futures | July 20, 2012 | (51,775) | (47,090) | 4,685 | |||||||||||
| 2 | LME Aluminum Futures | July 23, 2012 | (103,238) | (94,247) | 8,991 | |||||||||||
| 1 | LME Aluminum Futures | July 24, 2012 | (51,699) | (47,134) | 4,565 | |||||||||||
| 1 | LME Aluminum Futures | July 26, 2012 | (52,009) | (47,156) | 4,853 | |||||||||||
| 1 | LME Aluminum Futures | August 16, 2012 | (50,499) | (47,385) | 3,114 | |||||||||||
| 16 | LME Aluminum Futures | August 17, 2012 | (821,230) | (758,332) | 62,898 | |||||||||||
| 5 | LME Aluminum Futures | August 21, 2012 | (257,494) | (237,187) | 20,307 | |||||||||||
| 3 | LME Aluminum Futures | September 7, 2012 | (148,196) | (142,840) | 5,356 | |||||||||||
| 88 | LME Aluminum Futures | September 17, 2012 | (4,340,219) | (4,200,900) | 139,319 | |||||||||||
| 3 | LME Copper Futures | July 12, 2012 | (609,144) | (577,128) | 32,016 | |||||||||||
| 1 | LME Copper Futures | July 13, 2012 | (203,310) | (192,385) | 10,925 | |||||||||||
| 2 | LME Copper Futures | July 16, 2012 | (394,684) | (384,825) | 9,859 | |||||||||||
| 1 | LME Copper Futures | July 17, 2012 | (198,041) | (192,413) | 5,628 | |||||||||||
| 1 | LME Copper Futures | July 18, 2012 | (202,591) | (192,413) | 10,178 | |||||||||||
| 1 | LME Copper Futures | July 19, 2012 | (201,310) | (192,405) | 8,905 | |||||||||||
| 2 | LME Copper Futures | July 20, 2012 | (403,050) | (384,795) | 18,255 | |||||||||||
| 13 | LME Copper Futures | September 17, 2012 | (2,406,409) | (2,499,088) | (92,679) | |||||||||||
| 4 | LME Copper Futures | September 20, 2012 | (756,295) | (768,700) | (12,405) | |||||||||||
| 1 | LME Copper Futures | September 21, 2012 | (181,219) | (192,166) | (10,947) | |||||||||||
| 4 | LME Copper Futures | September 28, 2012 | (743,142) | (768,500) | (25,358) | |||||||||||
| 1 | LME Nickel Futures | July 17, 2012 | (106,092) | (100,214) | 5,878 | |||||||||||
| 2 | LME Nickel Futures | July 18, 2012 | (213,982) | (200,436) | 13,546 | |||||||||||
| 1 | LME Nickel Futures | July 19, 2012 | (106,508) | (100,220) | 6,288 | |||||||||||
| 4 | LME Nickel Futures | August 3, 2012 | (420,451) | (400,996) | 19,455 | |||||||||||
| 1 | LME Nickel Futures | September 12, 2012 | (102,665) | (100,353) | 2,312 | |||||||||||
| 29 | LME Nickel Futures | September 17, 2012 | (2,979,652) | (2,910,846) | 68,806 | |||||||||||
| 1 | LME Nickel Futures | September 20, 2012 | (102,305) | (100,374) | 1,931 | |||||||||||
| 1 | LME Zinc Futures | July 10, 2012 | (50,190) | (47,025) | 3,165 | |||||||||||
| 6 | LME Zinc Futures | July 11, 2012 | (297,808) | (282,154) | 15,654 | |||||||||||
| 5 | LME Zinc Futures | July 12, 2012 | (250,960) | (235,138) | 15,822 | |||||||||||
| 3 | LME Zinc Futures | July 16, 2012 | (148,447) | (141,103) | 7,344 | |||||||||||
| 6 | LME Zinc Futures | July 17, 2012 | (299,130) | (282,215) | 16,915 | |||||||||||
| 5 | LME Zinc Futures | July 18, 2012 | (250,171) | (235,187) | 14,984 | |||||||||||
| 6 | LME Zinc Futures | July 19, 2012 | (299,809) | (282,225) | 17,584 | |||||||||||
| 3 | LME Zinc Futures | July 25, 2012 | (150,175) | (141,120) | 9,055 | |||||||||||
| 2 | LME Zinc Futures | July 26, 2012 | (100,628) | (94,081) | 6,547 | |||||||||||
| 4 | LME Zinc Futures | August 3, 2012 | (199,918) | (188,178) | 11,740 | |||||||||||
| 4 | LME Zinc Futures | August 8, 2012 | (199,220) | (188,187) | 11,033 | |||||||||||
| 1 | LME Zinc Futures | August 9, 2012 | (49,188) | (47,048) | 2,140 | |||||||||||
| 53 | LME Zinc Futures | September 17, 2012 | (2,493,383) | (2,490,338) | 3,045 | |||||||||||
| 482 | Natural Gas Swap Futures | July 27, 2012 | (3,183,610) | (3,402,920) | (219,310) | |||||||||||
| 9 | Silver Futures | September 26, 2012 | (1,217,763) | (1,242,540) | (24,777) | |||||||||||
| 25 | Soybean Oil Futures | December 14, 2012 | (748,545) | (796,200) | (47,655) | |||||||||||
| 90 | Sugar #11 (World Markets) Futures | September 28, 2012 | (2,047,473) | (2,117,808) | (70,335) | |||||||||||
| 9 | Wheat Futures | September 14, 2012 | (304,651) | (340,762) | (36,111) | |||||||||||
| 32 | Amsterdam Index Futures | July 20, 2012 | (2,358,149) | (2,488,479) | (130,330) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 75 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts: (continued) | ||||||||||||||||
| 13 | DAX Index Futures | September 21, 2012 | $(2,555,482) | $(2,636,970) | $(81,488) | |||||||||||
| 14 | FTSE/MIB Index Futures | September 21, 2012 | (1,151,229) | (1,266,411) | (115,182) | |||||||||||
| 10 | Hang Seng Index Futures | July 30, 2012 | (1,224,692) | (1,253,488) | (28,796) | |||||||||||
| 76 | H-SHARES Index Futures | July 30, 2012 | (4,622,494) | (4,671,415) | (48,921) | |||||||||||
| 18 | MSCI Singapore Index Futures | July 30, 2012 | (922,235) | (943,801) | (21,566) | |||||||||||
| 518 | MSCI Taiwan Stock Index Futures | July 30, 2012 | (12,700,118) | (13,126,120) | (426,002) | |||||||||||
| 164 | S&P 500 E-Mini Futures | September 21, 2012 | (10,718,805) | (11,122,480) | (403,675) | |||||||||||
| 13 | S&P MID 400 E-Mini Futures | September 21, 2012 | (1,183,298) | (1,221,350) | (38,052) | |||||||||||
| 16 | S&P/Toronto Stock Exchange 60 Index Futures | September 20, 2012 | (2,039,772) | (2,078,853) | (39,081) | |||||||||||
| 1,022 | SGX S&P CNX Nifty Index Futures | July 26, 2012 | (10,499,881) | (10,821,958) | (322,077) | |||||||||||
| 216 | SPI 200 Index Futures | September 20, 2012 | (22,616,499) | (22,422,632) | 193,867 | |||||||||||
| 160 | TOPIX Index Futures | September 13, 2012 | (14,630,172) | (15,392,506) | (762,334) | |||||||||||
| 105 | 10-Year Japanese Government Bond Futures | September 7, 2012 | (18,845,718) | (18,875,961) | (30,243) | |||||||||||
| 76 | 90-Day EURODollar Futures | December 17, 2012 | (18,893,564) | (18,904,051) | (10,487) | |||||||||||
| 202 | 90-Day EURODollar Futures | March 18, 2013 | (50,187,294) | (50,234,876) | (47,582) | |||||||||||
| 250 | 90-Day Sterling Futures | December 19, 2012 | (48,509,569) | (48,580,014) | (70,445) | |||||||||||
| 150 | 90-Day Sterling Futures | March 20, 2013 | (29,113,775) | (29,156,818) | (43,043) | |||||||||||
| 533 | Canadian 3-Month Bank Acceptance Futures | December 17, 2012 | (129,294,222) | (129,336,657) | (42,435) | |||||||||||
| 190 | Canadian 3-Month Bank Acceptance Futures | March 18, 2013 | (46,107,972) | (46,095,668) | 12,304 | |||||||||||
| 16 | U.S. Treasury 2-Year Note Futures | September 28, 2012 | (3,524,721) | (3,523,000) | 1,721 | |||||||||||
| 7 | U.S. Treasury 5-Year Note Futures | September 28, 2012 | (866,408) | (867,782) | (1,374) | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| (485,823,891) | (488,445,427) | (2,621,536) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
| $394,975,909 | $394,223,768 | $(752,141) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
Cash held as collateral with broker for futures contracts was $19,117,389 at June 30, 2012.
Forward foreign currency exchange contracts outstanding as of June 30, 2012:
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | AUD | 26,503,000 | $26,315,280 | $26,926,411 | $611,131 | ||||||||||||||
| Brazilian Real, Expiring 09/19/12 |
The Royal Bank of Scotland | BRL | 200,000 | 97,078 | 98,146 | 1,068 | ||||||||||||||
| Canadian Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | CAD | 22,520,000 | 21,905,719 | 22,080,274 | 174,555 | ||||||||||||||
| Swiss Franc, Expiring 09/19/12 |
The Royal Bank of Scotland | CHF | 13,182,000 | 13,751,382 | 13,916,868 | 165,486 | ||||||||||||||
| Columbian Peso, Expiring 09/19/12 |
The Royal Bank of Scotland | COP | 486,000,000 | 269,453 | 269,092 | (361) | ||||||||||||||
| Czech Republic Koruna, Expiring 09/19/12 |
The Royal Bank of Scotland | CZK | 4,000,000 | 195,861 | 198,323 | 2,462 | ||||||||||||||
| Danish Krone, Expiring 09/19/12 |
The Royal Bank of Scotland | DKK | 2,228,000 | 378,226 | 380,072 | 1,846 | ||||||||||||||
| Euro, Expiring 09/19/12 |
The Royal Bank of Scotland | EUR | 9,059,647 | 11,312,447 | 11,473,816 | 161,369 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 76 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| British Pound, Expiring 09/19/12 |
The Royal Bank of Scotland | GBP | 11,936,000 | $18,503,229 | $18,689,603 | $186,374 | ||||||||||||||
| Hungarian Forint, Expiring 09/19/12 |
The Royal Bank of Scotland | HUF | 3,052,400,000 | 12,492,631 | 13,367,729 | 875,098 | ||||||||||||||
| Israeli Shekel, Expiring 09/19/12 |
The Royal Bank of Scotland | ILS | 1,000,000 | 257,061 | 255,003 | (2,058) | ||||||||||||||
| Indian Rupee, Expiring 09/20/12 |
The Royal Bank of Scotland | INR | 29,000,000 | 513,444 | 511,082 | (2,362) | ||||||||||||||
| Japanese Yen, Expiring 09/19/12 |
The Royal Bank of Scotland | JPY | 1,759,781,000 | 22,318,100 | 22,039,422 | (278,678) | ||||||||||||||
| Korean Won, Expiring 09/19/12 |
The Royal Bank of Scotland | KRW | 25,179,377,000 | 21,339,692 | 21,869,472 | 529,780 | ||||||||||||||
| Mexican Peso, Expiring 09/19/12 |
The Royal Bank of Scotland | MXN | 21,489,000 | 1,508,694 | 1,598,578 | 89,884 | ||||||||||||||
| Malaysian Ringgit, Expiring 09/19/12 |
The Royal Bank of Scotland | MYR | 6,000,000 | 1,885,402 | 1,880,372 | (5,030) | ||||||||||||||
| Norwegian Krone, Expiring 09/19/12 |
The Royal Bank of Scotland | NOK | 374,882,000 | 61,762,246 | 62,834,635 | 1,072,389 | ||||||||||||||
| New Zealand Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | NZD | 24,949,000 | 19,480,625 | 19,863,568 | 382,943 | ||||||||||||||
| Philippine Peso, Expiring 09/19/12 |
The Royal Bank of Scotland | PHP | 52,000,000 | 1,223,258 | 1,227,000 | 3,742 | ||||||||||||||
| Poland Zloty, Expiring 09/19/12 |
The Royal Bank of Scotland | PLN | 36,703,000 | 10,547,657 | 10,911,922 | 364,265 | ||||||||||||||
| Swedish Krona, Expiring 09/19/12 |
The Royal Bank of Scotland | SEK | 217,337,000 | 30,355,305 | 31,328,404 | 973,099 | ||||||||||||||
| Singapore Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | SGD | 4,100,000 | 3,215,195 | 3,236,956 | 21,761 | ||||||||||||||
| Thailand Baht, Expiring 09/19/12 |
The Royal Bank of Scotland | THB | 1,016,000 | 31,710 | 31,832 | 122 | ||||||||||||||
| Turkish Lira, Expiring 09/19/12 |
The Royal Bank of Scotland | TRY | 52,724,000 | 28,253,616 | 28,670,673 | 417,057 | ||||||||||||||
| Taiwanese Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | TWD | 163,068,000 | 5,457,742 | 5,460,866 | 3,124 | ||||||||||||||
| South African Rand, Expiring 09/19/12 |
The Royal Bank of Scotland | ZAR | 100,000 | 11,649 | 12,090 | 441 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $313,382,702 | $319,132,209 | $5,749,507 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | AUD | (30,000,000) | $(29,272,888) | $(30,479,279) | $(1,206,391) | ||||||||||||||
| Brazilian Real, Expiring 09/19/12 |
The Royal Bank of Scotland | BRL | (45,417,000) | (21,935,065) | (22,287,589) | (352,524) | ||||||||||||||
| Canadian Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | CAD | (19,919,000) | (19,141,635) | (19,530,061) | (388,426) | ||||||||||||||
| Swiss Franc, Expiring 09/19/12 |
The Royal Bank of Scotland | CHF | (46,350,000) | (48,346,791) | (48,933,914) | (587,123) | ||||||||||||||
| Chilean Peso, Expiring 09/20/12 |
The Royal Bank of Scotland | CLP | (237,190,000) | (455,425) | (468,447) | (13,022) | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 77 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Czech Republic Koruna, Expiring 09/19/12 |
The Royal Bank of Scotland | CZK | (93,946,000) | $(4,631,358) | $(4,657,906) | $(26,548) | ||||||||||||||
| Danish Krone, Expiring 09/19/12 |
The Royal Bank of Scotland | DKK | (5,331,000) | (898,458) | (909,408) | (10,950) | ||||||||||||||
| Euro, Expiring 09/19/12 |
The Royal Bank of Scotland | EUR | (94,903,282) | (118,984,852) | (120,192,631) | (1,207,779) | ||||||||||||||
| Euro, Expiring 04/05/13 |
The Royal Bank of Scotland | EUR | (3,562) | (4,694) | (4,524) | 170 | ||||||||||||||
| Euro, Expiring 04/07/14 |
The Royal Bank of Scotland | EUR | (3,562) | (4,704) | (4,547) | 157 | ||||||||||||||
| Euro, Expiring 04/07/15 |
The Royal Bank of Scotland | EUR | (3,562) | (4,716) | (4,552) | 164 | ||||||||||||||
| Euro, Expiring 04/05/16 |
The Royal Bank of Scotland | EUR | (3,562) | (4,730) | (4,552) | 178 | ||||||||||||||
| Euro, Expiring 04/05/17 |
The Royal Bank of Scotland | EUR | (3,562) | (4,751) | (4,552) | 199 | ||||||||||||||
| British Pound, Expiring 09/19/12 |
The Royal Bank of Scotland | GBP | (9,415,000) | (14,638,925) | (14,742,176) | (103,251) | ||||||||||||||
| Hong Kong Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | HKD | (28,482,000) | (3,668,343) | (3,672,323) | (3,980) | ||||||||||||||
| Indonesian Rupiah, Expiring 09/19/12 |
The Royal Bank of Scotland | IDR | (10,709,207,000) | (1,113,035) | (1,128,097) | (15,062) | ||||||||||||||
| Israeli Shekel, Expiring 09/19/12 |
The Royal Bank of Scotland | ILS | (82,825,000) | (21,293,818) | (21,120,586) | 173,232 | ||||||||||||||
| Indian Rupee, Expiring 09/20/12 |
The Royal Bank of Scotland | INR | (945,729,000) | (16,693,773) | (16,667,061) | 26,712 | ||||||||||||||
| Japanese Yen, Expiring 09/19/12 |
The Royal Bank of Scotland | JPY | (1,890,256,000) | (23,813,614) | (23,673,485) | 140,129 | ||||||||||||||
| Korean Won, Expiring 09/19/12 |
The Royal Bank of Scotland | KRW | (1,316,111,000) | (1,104,584) | (1,143,104) | (38,520) | ||||||||||||||
| Mexican Peso, Expiring 09/19/12 |
The Royal Bank of Scotland | MXN | (11,060,000) | (783,056) | (822,759) | (39,703) | ||||||||||||||
| Malaysian Ringgit, Expiring 09/19/12 |
The Royal Bank of Scotland | MYR | (16,245,000) | (5,077,313) | (5,091,106) | (13,793) | ||||||||||||||
| Norwegian Krone, Expiring 09/19/12 |
The Royal Bank of Scotland | NOK | (55,997,000) | (9,295,171) | (9,385,756) | (90,585) | ||||||||||||||
| New Zealand Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | NZD | (9,346,000) | (7,069,772) | (7,440,976) | (371,204) | ||||||||||||||
| Peru Nuevo Sol, Expiring 09/19/12 |
The Royal Bank of Scotland | PEN | (256,000) | (94,945) | (95,483) | (538) | ||||||||||||||
| Philippine Peso, Expiring 09/19/12 |
The Royal Bank of Scotland | PHP | (578,500,000) | (13,377,090) | (13,650,380) | (273,290) | ||||||||||||||
| Poland Zloty, Expiring 09/19/12 |
The Royal Bank of Scotland | PLN | (679,000) | (188,994) | (201,869) | (12,875) | ||||||||||||||
| Russian Ruble, Expiring 09/19/12 |
The Royal Bank of Scotland | RUB | (161,863,000) | (4,824,331) | (4,927,207) | (102,876) | ||||||||||||||
| Swedish Krona, Expiring 09/19/12 |
The Royal Bank of Scotland | SEK | (73,747,000) | (10,415,884) | (10,630,384) | (214,500) | ||||||||||||||
| Singapore Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | SGD | (23,268,000) | (18,237,977) | (18,370,122) | (132,145) | ||||||||||||||
| Thailand Baht, Expiring 09/19/12 |
The Royal Bank of Scotland | THB | (8,443,000) | (266,047) | (264,528) | 1,519 | ||||||||||||||
| Turkish Lira, Expiring 09/19/12 |
The Royal Bank of Scotland | TRY | (3,860,000) | (2,077,635) | (2,099,021) | (21,386) | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 78 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Taiwanese Dollar, Expiring 09/19/12 |
The Royal Bank of Scotland | TWD | (97,679,000) | $(3,274,159) | $(3,271,101) | $3,058 | ||||||||||||||
| South African Rand, Expiring 09/19/12 |
The Royal Bank of Scotland | ZAR | (128,584,000) | (15,151,913) | (15,545,545) | (393,632) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (416,150,446) | (421,425,031) | (5,274,585) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(102,767,744) | $(102,292,822) | $474,922 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
Money Market Fund is pledged as collateral to the broker for forward foreign currency exchange contracts in the amount of $4,783,588.
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Columbian Peso
CZK - Czech Republic Koruna
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PEN - Peruvian Nuevo Sol
PHP - Philippine Peso
PLN - Poland Zloty
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
THB - Thailand Baht
TRY - Turkish Lira
TWD - Taiwan Dollar
ZAR - South African Rand
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 79 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
Total Return Basket Swaps* Outstanding at June 30, 2012
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
VALUE ($) | |||||
| Deutsche Bank | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the portfolio. | 07/23/2012 | $(8,294) | |||||
|
|
|
|||||||
| * | See the accompanying “Additional Information — Total Return Basket Swap” for further details. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2012.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 80 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 81 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
VALUE ($) | |||||
| Morgan Stanley | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the portfolio. | 07/24/2013 | $(5,334,975) | |||||
|
|
|
|||||||
| * | See the accompanying “Additional Information —Total Return Basket Swap” for further details. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2012.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 82 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 83 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 84 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 85 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 86 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 87 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 88 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 89 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 90 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 91 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 92 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 93 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE | VALUE ($) | |||||
| Morgan Stanley | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives a specified LIBOR or Federal Funds floating rate, which is denominated in various foreign currencies based on the local currencies of the positions within the portfolio. | 07/24/2013 -08/08/2013 | $39,345 | |||||
|
|
|
|||||||
| * | See the accompanying “Additional Information — Total Return Basket Swap” for further details. |
Additional Information — Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2012.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 94 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 95 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 96 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 97 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 98 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR MOMENTUM FUND |
Open futures contracts outstanding at June 30, 2012:
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 31 | S&P 500 E-Mini Futures | September 21, 2012 | $2,062,919 | $2,102,420 | $39,501 | |||||||||||
|
|
|
|
|
|
|
|||||||||||
Cash held as collateral with broker for futures contracts was $121,809 at June 30, 2012.
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2012 | 99 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 100 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 101 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 102 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 103 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 104 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 105 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 106 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
Open futures contracts outstanding at June 30, 2012:
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2012 |
UNREALIZED APPRECIATION |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 7 | E-Mini Russell 2000 Futures | September 21, 2012 | $538,144 | $556,780 | $18,636 | |||||||||||
|
|
|
|||||||||||||||
Cash held as collateral with broker for futures contracts was $39,870 at June 30, 2012.
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2012 | 107 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 108 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 109 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 110 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 111 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 112 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR INTERNATIONAL MOMENTUM FUND |
| SECTOR | VALUE | % OF NET ASSETS |
||||||
| Consumer Discretionary | $ | 15,969,780 | 15.2 | % | ||||
| Consumer Staples | 20,895,913 | 19.8 | ||||||
| Energy | 7,670,031 | 7.3 | ||||||
| Financials | 11,333,847 | 10.8 | ||||||
| Health Care | 14,010,689 | 13.3 | ||||||
| Industrials | 12,797,001 | 12.1 | ||||||
| Information Technology | 4,911,817 | 4.7 | ||||||
| Materials | 5,204,364 | 4.9 | ||||||
| Mutual Fund | 493,155 | 0.5 | ||||||
| Telecommunication Services | 7,727,308 | 7.3 | ||||||
| Utilities | 3,810,880 | 3.6 | ||||||
| Money Market Funds | 2,668,467 | 2.5 | ||||||
|
|
|
|
|
|||||
| Total Investments |
107,493,252 | 102.0 | ||||||
| Liabilities in Excess of Other Assets | (2,084,467) | (2.0) | ||||||
|
|
|
|
|
|||||
| Net Assets |
$ | 105,408,785 | 100.0 | % | ||||
|
|
|
|
|
|||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2012 | 113 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR TAX-MANAGED MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 114 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR TAX-MANAGED MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 115 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR TAX-MANAGED MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 116 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR TAX-MANAGED MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2012 | 117 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 118 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 119 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 120 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 121 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 122 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 123 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
| SHARES | VALUE (Note 3) |
|||||||
| INVESTMENTS OF CASH COLLATERAL FOR SECURITIES ON LOAN - 25.0% | ||||||||
| J.P. Morgan Prime Money Market Fund - | ||||||||
| Capital Shares, 0.170% (2)(b)(c) |
598,777 | $ | 598,777 | |||||
|
|
|
|||||||
| TOTAL INVESTMENTS - 126.8% |
3,035,832 | |||||||
|
|
|
|||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS - (26.8%) | (641,730) | |||||||
|
|
|
|||||||
| NET ASSETS - 100.0% |
$ | 2,394,102 | ||||||
|
|
|
|||||||
All securities are United States companies, unless noted otherwise in parentheses.
| † | Non income-producing security. |
| (a) | All or a portion of the security on loan. The aggregate market value of such securities is $582,328; cash collateral of $598,777 was received with which the Fund purchased a money market fund. |
| (b) | Represents annualized seven-day yield as of June 30, 2012. |
| (c) | Represents security, or portion thereof, purchased with the cash collateral received for securities on loan. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 5). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
| The accompanying notes are an integral part of these financial statements. |
| 124 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 125 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 126 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2012 | 127 | |||||||||||||
| Schedule of Investments | June 30, 2012 (Unaudited) |
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. |
| 128 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Statements of Assets and Liabilities | June 30, 2012 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
AQR INTERNATIONAL EQUITY FUND |
AQR DIVERSIFIED ARBITRAGE FUND |
||||||||||
| ASSETS: | ||||||||||||
| Investments in securities, at cost | $372,456,726 | $550,836,248 | $2,637,986,601 | |||||||||
| Investments in securities, at value* | $409,762,263 | $553,373,806 | $2,701,530,840 | |||||||||
| Cash (including foreign currency of $1,996,029, $2,586,335 and $5,718,507, respectively) | 1,971,960 | 2,196,335 | 11,615,395 | |||||||||
| Due from brokers | 7,953,563 | 11,622,832 | 797,957,158 | |||||||||
| Unrealized appreciation on forward foreign currency exchange contracts | 907,559 | 2,918,388 | 2,139,927 | |||||||||
| Swaps, at value | 299,546 | 73,119 | 6,081,612 | |||||||||
| Unrealized appreciation on futures contracts | 3,495,247 | 5,842,951 | — | |||||||||
| Receivables: | ||||||||||||
| Securities sold |
522,511 | 359,531 | 32,240,342 | |||||||||
| Foreign tax reclaim |
567,507 | 1,030,192 | 26,271 | |||||||||
| Dividends and interest |
706,962 | 1,008,481 | 14,936,186 | |||||||||
| Capital shares sold |
— | 17,277 | 7,292,113 | |||||||||
| Prepaid expenses |
23,189 | 29,572 | 332,020 | |||||||||
| Total Assets | 426,210,307 | 578,472,484 | 3,574,151,864 | |||||||||
| LIABILITIES: | ||||||||||||
| Securities sold short, at value (proceeds $—, $— and $1,024,615,510, respectively) | — | — | 1,054,304,957 | |||||||||
| Options written, at value (proceeds $—, $— and $588,893, respectively) | — | — | 568,385 | |||||||||
| Due to brokers | — | — | 100,000 | |||||||||
| Swaps, at value | — | — | 85 | |||||||||
| Unrealized depreciation on futures contracts | — | — | 2,914,375 | |||||||||
| Payables: | ||||||||||||
| Securities purchased |
523,982 | 356,877 | 36,645,656 | |||||||||
| Collateral received on securities loaned |
2,790,518 | 15,916,159 | 208,312 | |||||||||
| Accrued Investment advisory fees |
130,745 | 195,538 | 1,946,280 | |||||||||
| Accrued Shareholder servicing fees |
916 | 41,578 | — | |||||||||
| Accrued Distribution fees—Class N |
306 | 2,656 | 146,005 | |||||||||
| Capital shares redeemed |
656,124 | 16,615 | 8,832,661 | |||||||||
| Dividends and interest payable on securities sold short |
— | — | 824,848 | |||||||||
| Other accrued expenses and liabilities |
143,419 | 223,674 | 772,537 | |||||||||
| Total Liabilities | 4,246,010 | 16,753,097 | 1,107,264,101 | |||||||||
| Net Assets | $421,964,297 | $561,719,387 | $2,466,887,763 | |||||||||
| NET ASSETS CONSIST OF: | ||||||||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $382,782,547 | $579,201,511 | $2,476,211,316 | |||||||||
| Undistributed (accumulated) net investment income (loss) | 9,263,429 | 15,183,412 | 12,982,461 | |||||||||
| Undistributed (accumulated) net realized gain (loss) | (12,427,857) | (44,050,579) | (55,885,134) | |||||||||
| Net unrealized appreciation (depreciation) | 42,346,178 | 11,385,043 | 33,579,120 | |||||||||
| Net Assets | $421,964,297 | $561,719,387 | $2,466,887,763 | |||||||||
| NET ASSETS: | ||||||||||||
| Class I | $2,070,547 | $162,356,277 | $1,753,270,286 | |||||||||
| Class N | 1,555,715 | 13,667,915 | 713,617,477 | |||||||||
| Class Y | 418,338,035 | 385,695,195 | — | |||||||||
| SHARES OUTSTANDING: | ||||||||||||
| Class I | 197,154 | 18,291,007 | 159,263,057 | |||||||||
| Class N | 148,594 | 1,515,271 | 65,154,525 | |||||||||
| Class Y | 39,718,351 | 41,558,187 | — | |||||||||
| NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
| Class I | $10.50 | $8.88 | $11.01 | |||||||||
| Class N | $10.47 | $9.02 | $10.95 | |||||||||
| Class Y | $10.53 | $9.28 | — | |||||||||
| Foreign currency at cost of $1,982,542, $2,573,280 and $5,672,419, respectively. |
| * | Investments in securities includes the market value of securities out on loan of $2,637,745, $15,081,505 and $198,049, respectively. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2012 | 129 | |||||||||||||
| Statements of Assets and Liabilities | June 30, 2012 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND** |
AQR RISK PARITY FUND** |
AQR MULTI-STRATEGY ALTERNATIVE FUND** |
||||||||||
| ASSETS: | ||||||||||||
| Investments in securities, at cost | $1,551,064,930 | $614,782,068 | $563,373,784 | |||||||||
| Investments in securities, at value* | $1,551,064,930 | $614,155,553 | $571,112,104 | |||||||||
| Cash (including foreign currency of $5,796,725, $2,677,965 and $1,280,508, respectively) | 144,443,720 | 17,284,700 | 2,392,700 | |||||||||
| Due from brokers | 91,298,685 | 25,341,448 | 252,068,443 | |||||||||
| Unrealized appreciation on forward foreign currency exchange contracts | — | — | 474,922 | |||||||||
| Swaps, at value | 714 | 205,861 | — | |||||||||
| Receivables: | ||||||||||||
| Securities sold |
65,848 | 1,134,750 | 6,622,237 | |||||||||
| Foreign tax reclaim |
— | — | 148,803 | |||||||||
| Dividends and interest |
26,908 | 1,814,886 | 1,123,243 | |||||||||
| Capital shares sold |
3,948,524 | 29,261,747 | 3,957,274 | |||||||||
| Prepaid expenses |
110,366 | 30,413 | 38,591 | |||||||||
| Total Assets | 1,790,959,695 | 689,229,358 | 837,938,317 | |||||||||
| LIABILITIES: | ||||||||||||
| Securities sold short, at value (proceeds $—, $— and $302,163,459, respectively) | — | — | 301,802,029 | |||||||||
| Options written, at value (proceeds $—, $— and $75,390, respectively) | — | — | 75,095 | |||||||||
| Unrealized depreciation on forward foreign currency exchange contracts | 19,432,738 | 485,121 | — | |||||||||
| Swaps, at value | 5,427,849 | 2,723,690 | 6,305,775 | |||||||||
| Unrealized depreciation on futures contracts | 18,787,749 | 1,689,019 | 752,141 | |||||||||
| Payables: | ||||||||||||
| Securities purchased |
130,675 | 1,156,034 | 6,445,464 | |||||||||
| Collateral received on securities loaned |
— | — | 3,598,831 | |||||||||
| Accrued Investment advisory fees |
1,482,802 | 389,650 | 717,233 | |||||||||
| Accrued Distribution fees—Class N |
88,361 | 20,022 | 5,087 | |||||||||
| Capital shares redeemed |
1,424,104 | 1,268,841 | 83,724 | |||||||||
| Dividends and interest payable on securities sold short |
— | — | 180,839 | |||||||||
| Other accrued expenses and liabilities |
401,899 | 261,412 | 281,604 | |||||||||
| Total Liabilities | 47,176,177 | 7,993,789 | 320,247,822 | |||||||||
| Net Assets | $1,743,783,518 | $681,235,569 | $517,690,495 | |||||||||
| NET ASSETS CONSIST OF: | ||||||||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $1,794,304,531 | $660,131,713 | $522,045,250 | |||||||||
| Undistributed (accumulated) net investment income (loss) | 6,772,588 | (1,790,713) | (4,107,300) | |||||||||
| Undistributed (accumulated) net realized gain (loss) | (13,764,749) | 24,554,630 | (2,338,345) | |||||||||
| Net unrealized appreciation (depreciation) | (43,528,852) | (1,660,061) | 2,090,890 | |||||||||
| Net Assets | $1,743,783,518 | $681,235,569 | $517,690,495 | |||||||||
| NET ASSETS: | ||||||||||||
| Class I | $1,316,382,194 | $578,103,517 | $492,646,127 | |||||||||
| Class N | 427,401,324 | 103,132,052 | 25,044,368 | |||||||||
| SHARES OUTSTANDING: | ||||||||||||
| Class I | 137,765,484 | 52,091,313 | 50,678,829 | |||||||||
| Class N | 44,885,846 | 9,325,384 | 2,579,832 | |||||||||
| NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
| Class I | $9.56 | $11.10 | $9.72 | |||||||||
| Class N | $9.52 | $11.06 | $9.71 | |||||||||
| Foreign currency at cost of $5,777,352, $2,660,564 and $1,263,337, respectively. |
| * | Investments in securities includes the market value of securities out on loan of $—, $— and $3,624,625, 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. |
| 130 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Statements of Assets and Liabilities | June 30, 2012 (Unaudited) |
| AQR MOMENTUM FUND |
AQR SMALL CAP MOMENTUM FUND |
AQR INTERNATIONAL MOMENTUM FUND |
||||||||||
| ASSETS: | ||||||||||||
| Investments in securities, at cost | $403,583,909 | $112,949,279 | $101,589,213 | |||||||||
| Investments in securities, at value* | $450,254,035 | $127,716,092 | $107,493,252 | |||||||||
| Cash (including foreign currency of $—, $— and $197,031, respectively) | — | — | 198,202 | |||||||||
| Due from brokers | 121,809 | 39,870 | — | |||||||||
| Unrealized appreciation on futures contracts | 39,501 | 18,636 | — | |||||||||
| Receivables: | ||||||||||||
| Securities sold |
759 | — | 53,611 | |||||||||
| Foreign tax reclaim |
— | — | 81,302 | |||||||||
| Dividends and interest |
541,710 | 89,059 | 204,884 | |||||||||
| Capital shares sold |
350,918 | 76,438 | 84,504 | |||||||||
| Prepaid expenses |
29,698 | 19,673 | 16,423 | |||||||||
| Total Assets | 451,338,430 | 127,959,768 | 108,132,178 | |||||||||
| LIABILITIES: | ||||||||||||
| Due to custodian | — | 96,316 | — | |||||||||
| Payables: | ||||||||||||
| Securities purchased |
— | — | 53,216 | |||||||||
| Collateral received on securities loaned |
7,396,301 | 1,933,279 | 2,519,536 | |||||||||
| Accrued Investment advisory fees |
52,990 | 26,254 | 14,793 | |||||||||
| Accrued Shareholder servicing fees |
53,006 | 14,713 | 12,359 | |||||||||
| Capital shares redeemed |
147,294 | 39,721 | 22,642 | |||||||||
| Other accrued expenses and liabilities |
188,863 | 104,256 | 100,847 | |||||||||
| Total Liabilities | 7,838,454 | 2,214,539 | 2,723,393 | |||||||||
| Net Assets | $443,499,976 | $125,745,229 | $105,408,785 | |||||||||
| NET ASSETS CONSIST OF: | ||||||||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $410,001,751 | $113,482,053 | $111,671,303 | |||||||||
| Undistributed (accumulated) net investment income (loss) | 3,577,846 | 363,653 | 1,746,294 | |||||||||
| Undistributed (accumulated) net realized gain (loss) | (16,789,248) | (2,885,926) | (13,911,096) | |||||||||
| Net unrealized appreciation (depreciation) | 46,709,627 | 14,785,449 | 5,902,284 | |||||||||
| Net Assets | $443,499,976 | $125,745,229 | $105,408,785 | |||||||||
| NET ASSETS: | ||||||||||||
| Class L | $443,499,976 | $125,745,229 | $105,408,785 | |||||||||
| SHARES OUTSTANDING: | ||||||||||||
| Class L | 28,573,986 | 8,163,902 | 8,870,074 | |||||||||
| NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
| Class L | $15.52 | $15.40 | $11.88 | |||||||||
| Foreign currency at cost of $—, $— and $197,000, respectively. |
| * | Investments in securities includes the market value of securities out on loan of $7,216,245, $1,868,105 and $2,392,008, respectively. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2012 | 131 | |||||||||||||
| Statements of Assets and Liabilities | June 30, 2012 (Unaudited) |
| AQR TAX-MANAGED MOMENTUM FUND |
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
||||||||||
| ASSETS: | ||||||||||||
| Investments in securities, at cost | $2,863,808 | $2,951,906 | $2,993,094 | |||||||||
| Investments in securities, at value* | $3,022,154 | $3,035,832 | $3,027,626 | |||||||||
| Cash (including foreign currency of $—, $— and $16,900, respectively) | — | — | 16,911 | |||||||||
| Receivables: | ||||||||||||
| Securities sold |
— | — | 4,549 | |||||||||
| Foreign tax reclaim |
— | — | 1,684 | |||||||||
| Dividends and interest |
3,658 | 2,216 | 5,919 | |||||||||
| Prepaid expenses |
12,566 | 12,566 | 12,567 | |||||||||
| Total Assets | 3,038,378 | 3,050,614 | 3,069,256 | |||||||||
| LIABILITIES: | ||||||||||||
| Due to custodian | 502 | 1,909 | — | |||||||||
| Payables: | ||||||||||||
| Securities purchased |
— | — | 4,564 | |||||||||
| Collateral received on securities loaned |
211,382 | 598,777 | 44,494 | |||||||||
| Due to Investment Advisor |
7,428 | 5,999 | 1,991 | |||||||||
| Accrued Shareholder servicing fees |
296 | 281 | 340 | |||||||||
| Other accrued expenses and liabilities |
51,752 | 49,546 | 69,076 | |||||||||
| Total Liabilities | 271,360 | 656,512 | 120,465 | |||||||||
| Net Assets | $2,767,018 | $2,394,102 | $2,948,791 | |||||||||
| NET ASSETS CONSIST OF: | ||||||||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $2,587,300 | $2,304,375 | $2,904,550 | |||||||||
| Undistributed (accumulated) net investment income (loss) | 15,042 | 7,833 | 40,853 | |||||||||
| Undistributed (accumulated) net realized gain (loss) | 6,330 | (2,032) | (31,201) | |||||||||
| Net unrealized appreciation (depreciation) | 158,346 | 83,926 | 34,589 | |||||||||
| Net Assets | $2,767,018 | $2,394,102 | $2,948,791 | |||||||||
| NET ASSETS: | ||||||||||||
| Class L | $2,767,018 | $2,394,102 | $2,948,791 | |||||||||
| SHARES OUTSTANDING: | ||||||||||||
| Class L | 255,830 | 230,179 | 289,576 | |||||||||
| NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
| Class L | $10.82 | $10.40 | $10.18 | |||||||||
| * | Investments in securities includes the market value of securities out on loan of $206,532, $582,328 and $42,311, respectively. |
| Foreign currency at cost of $—, $— and $16,831, respectively. |
| The accompanying notes are an integral part of these financial statements. |
| 132 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Statements of Operations | June 30, 2012 (Unaudited) |
| AQR GLOBAL FUND |
AQR FUND |
AQR DIVERSIFIED FUND |
||||||||||
| FOR THE SIX JUNE 30, 2012 |
FOR THE SIX JUNE 30, 2012 |
FOR THE SIX JUNE 30, 2012 |
||||||||||
| INVESTMENT INCOME: | ||||||||||||
| Dividend income† | $6,410,037 | $11,038,061 | $10,306,042 | |||||||||
| Interest income | — | — | 30,704,376 | |||||||||
| Securities lending income, net | 141,785 | 387,725 | 141,834 | |||||||||
| Total Income | 6,551,822 | 11,425,786 | 41,152,252 | |||||||||
| EXPENSES: | ||||||||||||
| Investment advisory fees | 845,626 | 1,232,192 | 11,427,750 | |||||||||
| Shareholder servicing fees | 5,869 | 254,532 | — | |||||||||
| Custody, administration & accounting fees | 91,808 | 110,859 | 405,365 | |||||||||
| Legal fees | 28,467 | 34,635 | 179,686 | |||||||||
| Audit & tax fees | 39,848 | 39,187 | 111,153 | |||||||||
| Shareholder reporting fees | 5,088 | 7,679 | 195,866 | |||||||||
| Transfer agent fees | 6,897 | 42,361 | 1,205,939 | |||||||||
| Trustee fees | 13,740 | 17,796 | 74,258 | |||||||||
| Distribution fees—Class N | 1,958 | 14,949 | 853,761 | |||||||||
| Dividends and interest on securities sold short | — | — | 11,725,821 | |||||||||
| Recoupment of waiver | — | — | 155,808 | |||||||||
| Other fees | 72,327 | 81,405 | 543,047 | |||||||||
| Total Expenses | 1,111,628 | 1,835,595 | 26,878,454 | |||||||||
| Less waivers: | ||||||||||||
| Investment advisory fees waived |
(4,742) | — | (95,238) | |||||||||
| Shareholder servicing fees waived |
(5,869) | (197) | — | |||||||||
| Net Expenses | 1,101,017 | 1,835,398 | 26,783,216 | |||||||||
| Net Investment Income (Loss) | 5,450,805 | 9,590,388 | 14,369,036 | |||||||||
| REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
| Net realized gain (loss) from: | ||||||||||||
| Investments in securities |
6,756,315 | (7,023,542) | 47,049,002 | |||||||||
| Foreign currency and foreign currency translations |
(150,114) | (164,027) | 611,216 | |||||||||
| Forward foreign currency exchange contracts |
950,304 | 1,044,829 | (701,605) | |||||||||
| Futures contracts |
(3,926,851) | (7,435,445) | (6,738,763) | |||||||||
| Securities sold short |
— | — | (43,351,292) | |||||||||
| Swap and swaps on futures contracts |
116,714 | (713,951) | (13,596,759) | |||||||||
| Written options |
— | — | 218,996 | |||||||||
| Net realized gain (loss) | 3,746,368 | (14,292,136) | (16,509,205) | |||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||
| Investments in securities |
9,673,102 | 12,354,868 | 81,903,500 | |||||||||
| Foreign currency and foreign currency translations |
(29,523) | (41,233) | (137,735) | |||||||||
| Forward foreign currency exchange contracts |
1,083,356 | 3,421,036 | 1,199,960 | |||||||||
| Futures contracts |
1,187,750 | 1,796,809 | (1,726,915) | |||||||||
| Securities sold short |
— | — | (61,660,264) | |||||||||
| Swap and swaps on futures contracts |
404,518 | 892,413 | 4,450,463 | |||||||||
| Written options |
— | — | (387,514) | |||||||||
| Net change in unrealized appreciation (depreciation) | 12,319,203 | 18,423,893 | 23,641,495 | |||||||||
| Net gain (loss) and change in unrealized appreciation (depreciation) | 16,065,571 | 4,131,757 | 7,132,290 | |||||||||
| Net increase (decrease) in net assets resulting from operations | $21,516,376 | $13,722,145 | $21,501,326 | |||||||||
|
|
||||||||||||
| † Net of foreign taxes withheld of |
$378,455 | $984,108 | $88,365 | |||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2012 | 133 | |||||||||||||
| Statements of Operations | June 30, 2012 (Unaudited) |
| AQR MANAGED |
AQR RISK PARITY FUND** |
AQR MULTI-STRATEGY |
||||||||||
| FOR THE SIX 2012 |
FOR THE SIX 2012 |
FOR THE SIX 2012 |
||||||||||
| INVESTMENT INCOME: | ||||||||||||
| Dividend income† | $7,697 | $25,853 | $3,063,194 | |||||||||
| Interest income | 39,146 | 4,196,427 | 1,745,829 | |||||||||
| Total Income | 46,843 | 4,222,280 | 4,809,023 | |||||||||
| EXPENSES: | ||||||||||||
| Investment advisory fees | 8,448,006 | 1,973,527 | 3,772,419 | |||||||||
| Custody, administration & accounting fees | 399,378 | 119,750 | 105,057 | |||||||||
| Legal fees | 103,623 | 29,613 | 32,583 | |||||||||
| Audit & tax fees | 56,381 | 67,619 | 74,503 | |||||||||
| Shareholder reporting fees | 150,581 | 21,140 | 19,397 | |||||||||
| Transfer agent fees | 889,421 | 170,406 | 214,353 | |||||||||
| Trustee fees | 55,414 | 15,862 | 13,115 | |||||||||
| Distribution fees—Class N | 559,305 | 98,407 | 40,883 | |||||||||
| Dividends and interest on securities sold short | — | — | 3,725,404 | |||||||||
| Recoupment of waiver | — | 49,864 | — | |||||||||
| Other fees | 121,475 | 72,015 | 81,081 | |||||||||
| Total Expenses | 10,783,584 | 2,618,203 | 8,078,795 | |||||||||
| Less waivers: | ||||||||||||
| Investment advisory fees waived |
(165,809) | (20,374) | (254,595) | |||||||||
| Net Expenses | 10,617,775 | 2,597,829 | 7,824,200 | |||||||||
| Net Investment Income (Loss) | (10,570,932) | 1,624,451 | (3,015,177) | |||||||||
| REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
| Net realized gain (loss) from: | ||||||||||||
| Investments in securities |
326,876 | (1,814,441) | 81,532 | |||||||||
| Foreign currency and foreign currency translations |
(157,136) | (1,678) | 97,632 | |||||||||
| Forward foreign currency exchange contracts |
10,333,798 | 6,005,916 | (1,208,738) | |||||||||
| Futures contracts |
60,625,050 | (1,106,278) | (1,865,102) | |||||||||
| Securities sold short |
— | — | (5,868,790) | |||||||||
| Swap and swaps on futures contracts |
4,520,808 | 21,805,714 | 10,575,483 | |||||||||
| Written options |
— | — | (47,470) | |||||||||
| Net realized gain (loss) | 75,649,396 | 24,889,233 | 1,764,547 | |||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||
| Investments in securities |
— | 694,969 | 8,504,597 | |||||||||
| Foreign currency and foreign currency translations |
176,078 | 10,121 | (256,819) | |||||||||
| Forward foreign currency exchange contracts |
(27,969,476) | (1,678,875) | 1,097,460 | |||||||||
| Futures contracts |
(38,534,232) | (711,401) | (1,662,105) | |||||||||
| Securities sold short |
— | — | (226,156) | |||||||||
| Swap and swaps on futures contracts |
(4,599,980) | (6,836,901) | (6,157,176) | |||||||||
| Written options |
— | — | 295 | |||||||||
| Net change in unrealized appreciation (depreciation) | (70,927,610) | (8,522,087) | 1,300,096 | |||||||||
| Net gain (loss) and change in unrealized appreciation (depreciation) | 4,721,786 | 16,367,146 | 3,064,643 | |||||||||
| Net increase (decrease) in net assets resulting from operations | ($5,849,146) | $17,991,597 | $49,466 | |||||||||
|
|
||||||||||||
| † Net of foreign taxes withheld of |
$247 | $141 | $408,475 | |||||||||
| ** | 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. |
| 134 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Statements of Operations | June 30, 2012 (Unaudited) |
| AQR MOMENTUM FUND |
AQR SMALL CAP |
AQR INTERNATIONAL MOMENTUM FUND |
||||||||||
| FOR THE SIX 2012 |
FOR THE SIX 2012 |
FOR THE SIX 2012 |
||||||||||
| INVESTMENT INCOME: | ||||||||||||
| Dividend income† | $3,810,570 | $697,280 | $1,909,467 | |||||||||
| Interest income | 152 | 98 | — | |||||||||
| Securities lending income, net | 21,334 | 14,106 | 55,386 | |||||||||
| Total Income | 3,832,056 | 711,484 | 1,964,853 | |||||||||
| EXPENSES: | ||||||||||||
| Investment advisory fees | 484,801 | 200,200 | 164,862 | |||||||||
| Shareholder servicing fees | 290,883 | 85,801 | 70,656 | |||||||||
| Custody, administration & accounting fees | 62,634 | 32,043 | 30,433 | |||||||||
| Legal fees | 20,853 | 7,285 | 6,503 | |||||||||
| Audit & tax fees | 24,670 | 24,391 | 30,772 | |||||||||
| Shareholder reporting fees | 17,908 | 7,741 | 7,372 | |||||||||
| Transfer agent fees | 202,634 | 63,295 | 53,585 | |||||||||
| Trustee fees | 12,143 | 3,800 | 3,017 | |||||||||
| Other fees | 53,774 | 20,026 | 36,909 | |||||||||
| Total Expenses | 1,170,300 | 444,582 | 404,109 | |||||||||
| Less waivers: | ||||||||||||
| Investment advisory fees waived |
— | — | (22,220) | |||||||||
| Shareholder servicing fees waived |
(199,813) | (66,368) | (70,656) | |||||||||
| Net Expenses | 970,487 | 378,214 | 311,233 | |||||||||
| Net Investment Income (Loss) | 2,861,569 | 333,270 | 1,653,620 | |||||||||
| REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
| Net realized gain (loss) from: | ||||||||||||
| Investments in securities |
4,733,966 | 2,891,890 | (1,244,095) | |||||||||
| Foreign currency and foreign currency translations |
— | — | (62,207) | |||||||||
| Forward foreign currency exchange contracts |
— | — | 20,568 | |||||||||
| Futures contracts |
464,308 | (55,745) | — | |||||||||
| Net realized gain (loss) | 5,198,274 | 2,836,145 | (1,285,734) | |||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||
| Investments in securities |
29,500,440 | 7,860,554 | 3,119,033 | |||||||||
| Foreign currency and foreign currency translations |
— | — | 657 | |||||||||
| Futures contracts |
753 | 2,448 | — | |||||||||
| Net change in unrealized appreciation (depreciation) | 29,501,193 | 7,863,002 | 3,119,690 | |||||||||
| Net gain (loss) and change in unrealized appreciation (depreciation) | 34,699,467 | 10,699,147 | 1,833,956 | |||||||||
| Net increase (decrease) in net assets resulting from operations | $37,561,036 | $11,032,417 | $3,487,576 | |||||||||
|
|
||||||||||||
| † Net of foreign taxes withheld of |
$— | $479 | $198,309 | |||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2012 | 135 | |||||||||||||
| Statements of Operations | June 30, 2012 (Unaudited) |
| AQR TAX- MANAGED FUND |
AQR TAX- MANAGED FUND |
AQR TAX- MANAGED FUND |
||||||||||
| FOR THE
PERIOD 01/27/12*-06/30/12 |
FOR THE
PERIOD 01/27/12*-06/30/12 |
FOR THE
PERIOD 01/27/12*-06/30/12 |
||||||||||
| INVESTMENT INCOME: | ||||||||||||
| Dividend income† | $20,088 | $13,158 | $47,703 | |||||||||
| Securities lending income, net | 338 | 1,546 | 444 | |||||||||
| Total Income | 20,426 | 14,704 | 48,147 | |||||||||
| EXPENSES: | ||||||||||||
| Investment advisory fees | 2,815 | 3,833 | 4,047 | |||||||||
| Shareholder servicing fees | 1,407 | 1,437 | 1,518 | |||||||||
| Custody, administration & accounting fees | 12,453 | 21,475 | 22,195 | |||||||||
| Legal fees | 2,558 | 2,055 | 2,525 | |||||||||
| Audit & tax fees | 24,019 | 24,101 | 30,099 | |||||||||
| Shareholder reporting fees | 8,455 | 6,966 | 7,399 | |||||||||
| Transfer agent fees | 6,750 | 6,671 | 6,739 | |||||||||
| Trustee fees | 719 | 198 | 388 | |||||||||
| Registration fees | 8,431 | 8,431 | 8,431 | |||||||||
| Organization and offering costs | 9,081 | 6,810 | 6,810 | |||||||||
| Other fees | 6,597 | 2,079 | 16,523 | |||||||||
| Total Expenses | 83,285 | 84,056 | 106,674 | |||||||||
| Less waivers: | ||||||||||||
| Investment advisory fees waived |
(2,815) | (3,833) | (4,047) | |||||||||
| Shareholder servicing fees waived |
(1,407) | (1,437) | (1,518) | |||||||||
| Expense reimbursements |
(73,679) | (71,915) | (93,815) | |||||||||
| Net Expenses | 5,384 | 6,871 | 7,294 | |||||||||
| Net Investment Income (Loss) | 15,042 | 7,833 | 40,853 | |||||||||
| REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
| Net realized gain (loss) from: | ||||||||||||
| Investments in securities |
3,585 | 1,921 | (30,387) | |||||||||
| Foreign currency and foreign currency translations |
— | — | (6,996) | |||||||||
| Forward foreign currency exchange contracts |
— | — | 6,182 | |||||||||
| Futures contracts |
2,745 | (3,953) | — | |||||||||
| Net realized gain (loss) | 6,330 | (2,032) | (31,201) | |||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||
| Investments in securities |
158,346 | 83,926 | 34,532 | |||||||||
| Foreign currency and foreign currency translations |
— | — | 57 | |||||||||
| Net change in unrealized appreciation (depreciation) | 158,346 | 83,926 | 34,589 | |||||||||
| Net gain (loss) and change in unrealized appreciation (depreciation) | 164,676 | 81,894 | 3,388 | |||||||||
| Net increase (decrease) in net assets resulting from operations | $179,718 | $89,727 | $44,241 | |||||||||
|
|
||||||||||||
| † Net of foreign taxes withheld of |
$— | $21 | $4,920 | |||||||||
| * | Commencement of operations |
| The accompanying notes are an integral part of these financial statements. |
| 136 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Statements of Changes in Net Assets | June 30, 2012 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
AQR INTERNATIONAL EQUITY FUND |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2012 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2011 |
FOR THE SIX MONTHS ENDED JUNE 30, 2012 (Unaudited) |
FOR THE YEAR ENDED 2011 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) | $5,450,805 | $9,396,671 | $9,590,388 | $12,140,951 | ||||||||||||
| Net realized gain (loss) | 3,746,368 | (5,012,673) | (14,292,136) | (21,266,844) | ||||||||||||
| Net change in unrealized appreciation (depreciation) | 12,319,203 | (31,770,689) | 18,423,893 | (68,430,519) | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
21,516,376 | (27,386,691) | 13,722,145 | (77,556,412) | ||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (22,319) | — | (3,204,118) | ||||||||||||
| Class N |
— | (14,377) | — | (20,121) | ||||||||||||
| Class Y |
— | (6,318,978) | — | (8,730,438) | ||||||||||||
| Total |
— | (6,355,674) | — | (11,954,677) | ||||||||||||
| Net realized gain: | ||||||||||||||||
| Class I |
— | (27,548) | — | (1,042,406) | ||||||||||||
| Class N |
— | (21,102) | — | (8,687) | ||||||||||||
| Class Y |
— | (5,068,282) | — | (2,482,902) | ||||||||||||
| Total |
— | (5,116,932) | — | (3,533,995) | ||||||||||||
| Total distributions |
— | (11,472,606) | — | (15,488,672) | ||||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold | 6,000 | 2,662,793 | 32,660,947 | 100,254,223 | ||||||||||||
| Reinvestment of distributions | — | 49,867 | — | 4,080,915 | ||||||||||||
| Cost of shares redeemed | (142,801) | (1,826,180) | (12,322,379) | (19,241,187) | ||||||||||||
| Redemption fees | — | — | — | 2,037 | ||||||||||||
| Net increase (decrease) from capital transactions | (136,801) | 886,480 | 20,338,568 | 85,095,988 | ||||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold | 48,059 | 1,035,527 | 14,094,120 | 92,400 | ||||||||||||
| Reinvestment of distributions | — | 35,479 | — | 28,595 | ||||||||||||
| Cost of shares redeemed | (591,614) | (392,823) | (1,270,568) | (178,203) | ||||||||||||
| Net increase (decrease) from capital transactions | (543,555) | 678,183 | 12,823,552 | (57,208) | ||||||||||||
| CLASS Y | ||||||||||||||||
| Proceeds from shares sold | — | 6,057 | 30,804,747 | 49,085,024 | ||||||||||||
| Reinvestment of distributions | — | 11,387,260 | — | 11,213,340 | ||||||||||||
| Cost of shares redeemed | (656,124) | — | (4,047,000) | (23,486,766) | ||||||||||||
| Redemption fees | — | — | — | 31,881 | ||||||||||||
| Net increase (decrease) from capital transactions | (656,124) | 11,393,317 | 26,757,747 | 36,843,479 | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | (1,336,480) | 12,957,980 | 59,919,867 | 121,882,259 | ||||||||||||
| Total increase (decrease) in net assets | 20,179,896 | (25,901,317) | 73,642,012 | 28,837,175 | ||||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period | 401,784,401 | 427,685,718 | 488,077,375 | 459,240,200 | ||||||||||||
| End of period | $421,964,297 | $401,784,401 | $561,719,387 | $488,077,375 | ||||||||||||
| Undistributed accumulated net investment income (loss) at end of period | $9,263,429 | $3,812,624 | $15,183,412 | $5,593,024 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2012 | 137 | |||||||||||||
| Statements of Changes in Net Assets | June 30, 2012 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
AQR INTERNATIONAL EQUITY FUND |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2012 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2011 |
FOR THE SIX MONTHS ENDED JUNE 30, 2012 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2011 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period | 210,532 | 167,896 | 16,066,790 | 8,227,394 | ||||||||||||
| Shares sold | 540 | 226,766 | 3,637,696 | 9,343,360 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 5,184 | — | 492,270 | ||||||||||||
| Shares redeemed | (13,918) | (189,314) | (1,413,479) | (1,996,234) | ||||||||||||
| Shares outstanding, end of period | 197,154 | 210,532 | 18,291,007 | 16,066,790 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period | 202,461 | 136,540 | 133,174 | 138,711 | ||||||||||||
| Shares sold | 4,555 | 100,038 | 1,518,865 | 9,129 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 3,692 | — | 3,388 | ||||||||||||
| Shares redeemed | (58,422) | (37,809) | (136,768) | (18,054) | ||||||||||||
| Shares outstanding, end of period | 148,594 | 202,461 | 1,515,271 | 133,174 | ||||||||||||
| CLASS Y | ||||||||||||||||
| Shares outstanding, beginning of period | 39,780,661 | 38,596,429 | 38,834,729 | 34,152,071 | ||||||||||||
| Shares sold | — | 525 | 3,144,546 | 5,482,006 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 1,183,707 | — | 1,296,340 | ||||||||||||
| Shares redeemed | (62,310) | — | (421,088) | (2,095,688) | ||||||||||||
| Shares outstanding, end of period | 39,718,351 | 39,780,661 | 41,558,187 | 38,834,729 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| 138 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Statements of Changes in Net Assets | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
AQR MANAGED FUTURES STRATEGY FUND ** |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2012 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2011 |
FOR THE SIX MONTHS ENDED JUNE 30, 2012 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2011 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) | $14,369,036 | $18,776,535 | $(10,570,932) | $(17,478,823) | ||||||||||||
| Net realized gain (loss) | (16,509,205) | 13,987,344 | 75,649,396 | (76,560,349) | ||||||||||||
| Net change in unrealized appreciation (depreciation) | 23,641,495 | (21,424,340) | (70,927,610) | 7,087,652 | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
21,501,326 | 11,339,539 | (5,849,146) | (86,951,520) | ||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (11,719,651) | — | (4,266,973) | ||||||||||||
| Class N |
— | (3,932,191) | — | (878,801) | ||||||||||||
| Total |
— | (15,651,842) | — | (5,145,774) | ||||||||||||
| Net realized gain: | ||||||||||||||||
| Class I |
— | (35,178,186) | — | (4,032,084) | ||||||||||||
| Class N |
— | (16,128,531) | — | (1,840,539) | ||||||||||||
| Total |
— | (51,306,717) | — | (5,872,623) | ||||||||||||
| Total distributions |
— | (66,958,559) | — | (11,018,397) | ||||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold | 659,412,187 | 1,014,567,810 | 444,173,541 | 729,947,536 | ||||||||||||
| Reinvestment of distributions | — | 41,800,931 | — | 7,389,845 | ||||||||||||
| Cost of shares redeemed | (378,517,966) | (385,285,948) | (202,383,851) | (246,691,399) | ||||||||||||
| Redemption fees | — | — | — | 20,254 | ||||||||||||
| Net increase (decrease) from capital transactions | 280,894,221 | 671,082,793 | 241,789,690 | 490,666,236 | ||||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold | 165,700,395 | 452,133,887 | 145,766,830 | 423,947,640 | ||||||||||||
| Reinvestment of distributions | — | 19,853,899 | — | 2,697,407 | ||||||||||||
| Cost of shares redeemed | (109,746,820) | (185,908,766) | (193,440,230) | (192,116,250) | ||||||||||||
| Redemption fees | — | 58 | — | 10,871 | ||||||||||||
| Net increase (decrease) from capital transactions | 55,953,575 | 286,079,078 | (47,673,400) | 234,539,668 | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 336,847,796 | 957,161,871 | 194,116,290 | 725,205,904 | ||||||||||||
| Total increase (decrease) in net assets | 358,349,122 | 901,542,851 | 188,267,144 | 627,235,987 | ||||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period | 2,108,538,641 | 1,206,995,790 | 1,555,516,374 | 928,280,387 | ||||||||||||
| End of period | $2,466,887,763 | $2,108,538,641 | $1,743,783,518 | $1,555,516,374 | ||||||||||||
| Undistributed accumulated net investment income (loss) at end of period | $12,982,461 | $(1,386,575) | $6,772,588 | $17,343,520 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2012 | 139 | |||||||||||||
| Statements of Changes in Net Assets | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
AQR MANAGED FUTURES STRATEGY FUND ** |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2012 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2011 |
FOR THE SIX MONTHS ENDED JUNE 30, 2012 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2011 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period | 133,778,788 | 73,942,810 | 112,731,031 | 63,824,670 | ||||||||||||
| Shares sold | 59,729,167 | 90,365,152 | 46,215,620 | 73,078,580 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 3,838,469 | — | 763,414 | ||||||||||||
| Shares redeemed | (34,244,898) | (34,367,643) | (21,181,167) | (24,935,633) | ||||||||||||
| Shares outstanding, end of period | 159,263,057 | 133,778,788 | 137,765,484 | 112,731,031 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period | 60,071,714 | 34,430,118 | 49,946,509 | 26,365,662 | ||||||||||||
| Shares sold | 15,078,918 | 40,438,007 | 15,313,740 | 42,737,324 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 1,829,852 | — | 279,235 | ||||||||||||
| Shares redeemed | (9,996,107) | (16,626,263) | (20,374,403) | (19,435,712) | ||||||||||||
| Shares outstanding, end of period | 65,154,525 | 60,071,714 | 44,885,846 | 49,946,509 | ||||||||||||
| ** | 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. |
| 140 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Statements of Changes in Net Assets | June 30, 2012 (Unaudited) |
| AQR RISK PARITY FUND** | AQR MULTI-STRATEGY ALTERNATIVE FUND** |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2012 (Unaudited) |
FOR THE YEAR ENDED 2011 |
FOR THE SIX MONTHS ENDED JUNE 30, 2012 (Unaudited) |
FOR THE PERIOD 7/18/11*-12/31/11 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) | $1,624,451 | $654,398 | $(3,015,177) | $(795,745) | ||||||||||||
| Net realized gain (loss) | 24,889,233 | (838,017) | 1,764,547 | (2,880,941) | ||||||||||||
| Net change in unrealized appreciation (depreciation) | (8,522,087) | 6,649,361 | 1,300,096 | 790,794 | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
17,991,597 | 6,465,742 | 49,466 | (2,885,892) | ||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (5,049,564) | — | (937,657) | ||||||||||||
| Class N |
— | (1,569,186) | — | (105,452) | ||||||||||||
| Total |
— | (6,618,750) | — | (1,043,109) | ||||||||||||
| Net realized gain: | ||||||||||||||||
| Class I |
— | (66,070) | — | — | ||||||||||||
| Class N |
— | (21,926) | — | — | ||||||||||||
| Total |
— | (87,996) | — | — | ||||||||||||
| Total distributions |
— | (6,706,746) | — | (1,043,109) | ||||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold | 331,317,769 | 353,204,416 | 273,400,063 | 294,713,422 | ||||||||||||
| Contributions from service provider or Adviser | — | 305,701 | — | — | ||||||||||||
| Reinvestment of distributions | — | 4,940,908 | — | 908,123 | ||||||||||||
| Cost of shares redeemed | (106,286,652) | (34,286,993) | (37,808,205) | (35,134,145) | ||||||||||||
| Redemption fees | — | 2,899 | — | — | ||||||||||||
| Net increase (decrease) from capital transactions | 225,031,117 | 324,166,931 | 235,591,858 | 260,487,400 | ||||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold | 62,372,198 | 96,623,560 | 18,039,838 | 56,013,187 | ||||||||||||
| Contributions from service provider or Adviser | — | 48,325 | — | — | ||||||||||||
| Reinvestment of distributions | — | 729,224 | — | 105,452 | ||||||||||||
| Cost of shares redeemed | (13,246,065) | (56,223,377) | (37,835,431) | (10,832,274) | ||||||||||||
| Redemption fees | — | 518 | — | — | ||||||||||||
| Net increase (decrease) from capital transactions | 49,126,133 | 41,178,250 | (19,795,593) | 45,286,365 | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 274,157,250 | 365,345,181 | 215,796,265 | 305,773,765 | ||||||||||||
| Total increase (decrease) in net assets | 292,148,847 | 365,104,177 | 215,845,731 | 301,844,764 | ||||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period | 389,086,722 | 23,982,545 | 301,844,764 | — | ||||||||||||
| End of period | $681,235,569 | $389,086,722 | $517,690,495 | $301,844,764 | ||||||||||||
| Undistributed accumulated net investment income (loss) at end of period | $(1,790,713) | $(3,415,164) | $(4,107,300) | $(1,092,123) | ||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2012 | 141 | |||||||||||||
| Statements of Changes in Net Assets | June 30, 2012 (Unaudited) |
| AQR RISK PARITY FUND** | AQR MULTI-STRATEGY ALTERNATIVE FUND** |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2012 (Unaudited) |
FOR THE YEAR ENDED 2011 |
FOR THE SIX MONTHS ENDED JUNE 30, 2012 (Unaudited) |
FOR THE PERIOD 7/18/11*-12/31/11 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period | 31,791,062 | 1,240,567 | 26,521,933 | — | ||||||||||||
| Shares sold | 29,978,548 | 33,312,865 | 28,022,332 | 30,030,309 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 473,267 | — | 93,141 | ||||||||||||
| Shares redeemed | (9,678,297) | (3,235,637) | (3,865,436) | (3,601,517) | ||||||||||||
| Shares outstanding, end of period | 52,091,313 | 31,791,062 | 50,678,829 | 26,521,933 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period | 4,868,266 | 1,094,489 | 4,608,787 | — | ||||||||||||
| Shares sold | 5,666,999 | 9,042,347 | 1,845,021 | 5,701,028 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 70,051 | — | 10,815 | ||||||||||||
| Shares redeemed | (1,209,881) | (5,338,621) | (3,873,976) | (1,103,056) | ||||||||||||
| Shares outstanding, end of period | 9,325,384 | 4,868,266 | 2,579,832 | 4,608,787 | ||||||||||||
| * | 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.
| 142 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Statements of Changes in Net Assets | June 30, 2012 (Unaudited) |
| AQR MOMENTUM FUND | AQR SMALL CAP MOMENTUM FUND |
|||||||||||||||
| FOR THE SIX MONTHS ENDED |
FOR THE YEAR ENDED 2011 |
FOR THE SIX MONTHS ENDED JUNE 30, 2012 (Unaudited) |
FOR THE YEAR ENDED 2011 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) | $2,861,569 | $2,522,585 | $333,270 | $227,233 | ||||||||||||
| Net realized gain (loss) | 5,198,274 | (21,841,538) | 2,836,145 | (5,687,386) | ||||||||||||
| Net change in unrealized appreciation (depreciation) | 29,501,193 | 7,021,965 | 7,863,002 | 1,233,553 | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
37,561,036 | (12,296,988) | 11,032,417 | (4,226,600) | ||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class L |
— | (2,025,248) | — | (150,004) | ||||||||||||
| Total |
— | (2,025,248) | — | (150,004) | ||||||||||||
| Net realized gain: | ||||||||||||||||
| Class L |
— | (566,418) | — | (713,111) | ||||||||||||
| Total |
— | (566,418) | — | (713,111) | ||||||||||||
| Total distributions |
— | (2,591,666) | — | (863,115) | ||||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS L | ||||||||||||||||
| Proceeds from shares sold | 138,485,609 | 234,799,847 | 24,744,478 | 69,908,520 | ||||||||||||
| Reinvestment of distributions | — | 2,589,299 | — | 860,975 | ||||||||||||
| Cost of shares redeemed | (35,301,953) | (44,238,993) | (10,566,020) | (19,650,773) | ||||||||||||
| Redemption fees | — | 2,432 | — | 765 | ||||||||||||
| Net increase (decrease) from capital transactions | 103,183,656 | 193,152,585 | 14,178,458 | 51,119,487 | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 103,183,656 | 193,152,585 | 14,178,458 | 51,119,487 | ||||||||||||
| Total increase (decrease) in net assets | 140,744,692 | 178,263,931 | 25,210,875 | 46,029,772 | ||||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period | 302,755,284 | 124,491,353 | 100,534,354 | 54,504,582 | ||||||||||||
| End of period | $443,499,976 | $302,755,284 | $125,745,229 | $100,534,354 | ||||||||||||
| Undistributed accumulated net investment income (loss) at end of period | $3,577,846 | $716,277 | $363,653 | $30,383 | ||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS L | ||||||||||||||||
| Shares outstanding, beginning of period | 21,793,766 | 8,646,886 | 7,238,497 | 3,788,903 | ||||||||||||
| Shares sold | 9,109,836 | 16,107,289 | 1,630,546 | 4,790,883 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 192,513 | — | 63,354 | ||||||||||||
| Shares redeemed | (2,329,616) | (3,152,922) | (705,141) | (1,404,643) | ||||||||||||
| Shares outstanding, end of period | 28,573,986 | 21,793,766 | 8,163,902 | 7,238,497 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2012 | 143 | |||||||||||||
| Statements of Changes in Net Assets | June 30, 2012 (Unaudited) |
| AQR INTERNATIONAL MOMENTUM FUND |
AQR TAX-MANAGED |
|||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2012 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2011 |
FOR THE PERIOD 1/27/12*- 6/30/12 (Unaudited) |
||||||||||
| OPERATIONS: | ||||||||||||
| Net investment income (loss) | $1,653,620 | $1,671,768 | $15,042 | |||||||||
| Net realized gain (loss) | (1,285,734) | (12,171,592) | 6,330 | |||||||||
| Net change in unrealized appreciation (depreciation) | 3,119,690 | (3,162,121) | 158,346 | |||||||||
| Net increase (decrease) in net assets resulting from operations |
3,487,576 | (13,661,945) | 179,718 | |||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||
| Net investment income: | ||||||||||||
| Class L |
— | (1,944,737) | — | |||||||||
| Total |
— | (1,944,737) | — | |||||||||
| Total distributions |
— | (1,944,737) | — | |||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||
| CLASS L | ||||||||||||
| Proceeds from shares sold | 31,661,135 | 57,657,994 | 2,587,300 | |||||||||
| Reinvestment of distributions | — | 1,943,164 | — | |||||||||
| Cost of shares redeemed | (6,964,837) | (28,862,650) | — | |||||||||
| Redemption fees | — | 1,706 | — | |||||||||
| Net increase (decrease) from capital transactions | 24,696,298 | 30,740,214 | 2,587,300 | |||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 24,696,298 | 30,740,214 | 2,587,300 | |||||||||
| Total increase (decrease) in net assets | 28,183,874 | 15,133,532 | 2,767,018 | |||||||||
| NET ASSETS: | ||||||||||||
| Beginning of period | 77,224,911 | 62,091,379 | — | |||||||||
| End of period | $105,408,785 | $77,224,911 | $2,767,018 | |||||||||
| Undistributed accumulated net investment income (loss) at end of period | $1,746,294 | $92,674 | $15,042 | |||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||
| CLASS L | ||||||||||||
| Shares outstanding, beginning of period | 6,789,578 | 4,559,775 | — | |||||||||
| Shares sold | 2,668,281 | 4,299,973 | 255,830 | |||||||||
| Shares issued on reinvestment of distributions | — | 176,171 | — | |||||||||
| Shares redeemed | (587,785) | (2,246,341) | — | |||||||||
| Shares outstanding, end of period | 8,870,074 | 6,789,578 | 255,830 | |||||||||
| * | Commencement of operations. |
| The accompanying notes are an integral part of these financial statements. |
| 144 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Statements of Changes in Net Assets | June 30, 2012 (Unaudited) |
| AQR TAX-MANAGED |
AQR TAX-MANAGED |
|||||||
| FOR THE PERIOD 1/27/12*-6/30/12 (Unaudited) |
FOR THE PERIOD 1/27/12*-6/30/12 (Unaudited) |
|||||||
| OPERATIONS: | ||||||||
| Net investment income (loss) | $7,833 | $40,853 | ||||||
| Net realized gain (loss) | (2,032) | (31,201) | ||||||
| Net change in unrealized appreciation (depreciation) | 83,926 | 34,589 | ||||||
| Net increase (decrease) in net assets resulting from operations |
89,727 | 44,241 | ||||||
| CAPITAL TRANSACTIONS: | ||||||||
| CLASS L | ||||||||
| Proceeds from shares sold | 2,304,375 | 2,904,550 | ||||||
| Net increase (decrease) from capital transactions | 2,304,375 | 2,904,550 | ||||||
| Net increase (decrease) in net assets resulting from capital transactions | 2,304,375 | 2,904,550 | ||||||
| Total increase (decrease) in net assets | 2,394,102 | 2,948,791 | ||||||
| NET ASSETS: | ||||||||
| Beginning of period | — | — | ||||||
| End of period | $2,394,102 | $2,948,791 | ||||||
| Undistributed accumulated net investment income (loss) at end of period | $7,833 | $40,853 | ||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||
| CLASS L | ||||||||
| Shares outstanding, beginning of period | — | — | ||||||
| Shares sold | 230,179 | 289,576 | ||||||
| Shares outstanding, end of period | 230,179 | 289,576 | ||||||
| * | Commencement of operations. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2012 | 145 | |||||||||||||
| Statement of Cash Flows | June 30, 2012 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
||||
| CASH FLOWS FROM OPERATING ACTIVITIES: | ||||
| Net increase in net assets resulting from operations | $21,501,326 | |||
| Adjustments to reconcile net increase in net assets resulting from operations to net cash provided (used) in operating activities: | ||||
| Payments to purchase securities |
(2,119,575,075) | |||
| Payments to cover short securities |
(882,737,519) | |||
| Proceeds from securities sold short |
856,699,388 | |||
| Proceeds from sale of securities |
2,107,724,633 | |||
| Realized gain on investments in securities |
(47,049,002) | |||
| Realized loss on securities sold short and written options |
43,132,296 | |||
| Change in unrealized appreciation on investments in securities |
(81,903,500) | |||
| Change in unrealized depreciation on securities sold short and written options |
62,047,778 | |||
| Amortization of bond premium |
(883,883) | |||
| Increases/Decreases in operating assets: | ||||
| Due from brokers |
(321,929,993) | |||
| Unrealized appreciation on forward foreign currency exchange contracts |
(1,199,960) | |||
| Swaps, at value |
4,266,461 | |||
| Receivable for securities sold |
61,658,040 | |||
| Foreign tax reclaim |
(26,271) | |||
| Dividends and interest |
(1,152,793) | |||
| Prepaid expenses |
(133,702) | |||
| Increases/Decreases in operating liabilities | ||||
| Due to custodian/broker |
(1,540,000) | |||
| Swaps, at value |
85 | |||
| Unrealized depreciation on futures contracts |
1,726,915 | |||
| Payable for securities purchased |
(30,507,349) | |||
| Collateral received on securities loaned |
(477,787) | |||
| Accrued Investment advisory fees |
618,091 | |||
| Accrued Distribution fees—Class N |
8,368 | |||
| Dividends on securities sold short |
(13,705) | |||
| Other accrued expenses |
(302,825) | |||
| Net cash used in operating activities |
$(330,049,983) | |||
| CASH FLOWS FROM FINANCING ACTIVITIES | ||||
| Proceeds from shares sold |
822,069,539 | |||
| Payments on shares redeemed |
(481,521,927) | |||
| Net cash provided by financing activities |
$340,547,612 | |||
| Net change in cash | 10,497,629 | |||
| Cash, beginning of period |
1,117,766 | |||
| Cash, end of period |
$11,615,395 | |||
| The accompanying notes are an integral part of these financial statements. |
| 146 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
[Intentionally Left Blank]
| Financial Highlights | June 30, 2012 |
| 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 Unrealized |
Net |
Distributions from Net Investment Income |
Distributions from Net Realized Gains |
Total Distributions |
||||||||||||||||||||||
| AQR GLOBAL EQUITY FUND CLASS I | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2012 (Unaudited)5 | $9.99 | 0.11 | 0.40 | 0.51 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20115 | $10.97 | 0.21 | (0.95) | (0.74) | (0.11) | (0.13) | (0.24) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20105 | $10.00 | 0.16 | 1.25 | 1.41 | (0.36) | (0.08) | (0.44) | |||||||||||||||||||||
| AQR GLOBAL EQUITY FUND CLASS N | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2012 (Unaudited)5 | $9.97 | 0.10 | 0.40 | 0.50 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20115 | $10.97 | 0.16 | (0.94) | (0.78) | (0.09) | (0.13) | (0.22) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2010†,5 | $10.00 | 0.13 | 1.25 | 1.38 | (0.33) | (0.08) | (0.41) | |||||||||||||||||||||
| AQR GLOBAL EQUITY FUND CLASS Y | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2012 (Unaudited)5 | $10.00 | 0.14 | 0.39 | 0.53 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20115 | $10.99 | 0.24 | (0.94) | (0.70) | (0.16) | (0.13) | (0.29) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20105 | $10.00 | 0.18 | 1.27 | 1.45 | (0.38) | (0.08) | (0.46) | |||||||||||||||||||||
| AQR INTERNATIONAL EQUITY FUND CLASS I | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2012 (Unaudited)5 | $8.60 | 0.15 | 0.13 | 0.28 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $10.45 | 0.21 | (1.78) | (1.57) | (0.21) | (0.07) | (0.28) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2010†,5 | $9.78 | 0.16 | 0.84 | 1.00 | (0.24) | (0.09) | (0.33) | |||||||||||||||||||||
| FOR THE PERIOD ENDED 9/30/096—12/31/09†,5 | $10.00 | (0.01) | 0.22 | 0.21 | (0.14) | (0.29) | (0.43) | |||||||||||||||||||||
| AQR INTERNATIONAL EQUITY FUND CLASS N | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2012 (Unaudited)5 | $8.76 | 0.16 | 0.10 | 0.26 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20115 | $10.61 | 0.20 | (1.83) | (1.63) | (0.15) | (0.07) | (0.22) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20105 | $9.91 | 0.14 | 0.88 | 1.02 | (0.23) | (0.09) | (0.32) | |||||||||||||||||||||
| FOR THE PERIOD ENDED 9/30/096—12/31/09†,5 | $10.00 | — | 0.20 | 0.20 | — | (0.29) | (0.29) | |||||||||||||||||||||
| AQR INTERNATIONAL EQUITY FUND CLASS Y | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2012 (Unaudited)5 | $8.98 | 0.17 | 0.13 | 0.30 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $10.89 | 0.28 | (1.88) | (1.60) | (0.24) | (0.07) | (0.31) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2010†,5 | $10.16 | 0.20 | 0.89 | 1.09 | (0.27) | (0.09) | (0.36) | |||||||||||||||||||||
| FOR THE PERIOD ENDED 8/28/098—12/31/09†,5 | $10.00 | 0.03 | 0.57 | 0.60 | (0.15) | (0.29) | (0.44) | |||||||||||||||||||||
| AQR DIVERSIFIED ARBITRAGE FUND CLASS I | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2012 (Unaudited)5 | $10.89 | 0.07 | 0.05 | 0.12 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20115 | $11.15 | 0.13 | (0.02) | 0.11 | (0.09) | (0.28) | (0.37) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2010† | $10.80 | 0.06 | 0.46 | 0.52 | (0.04) | (0.13) | (0.17) | |||||||||||||||||||||
| FOR THE PERIOD ENDED 1/15/098—12/31/09†,5 | $10.00 | 0.13 | 0.79 | 0.92 | (0.03) | (0.09) | (0.12) | |||||||||||||||||||||
| AQR DIVERSIFIED ARBITRAGE FUND CLASS N | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2012 (Unaudited)5 | $10.85 | 0.06 | 0.04 | 0.10 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $11.12 | 0.10 | (0.02) | 0.08 | (0.07) | (0.28) | (0.35) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2010† | $10.78 | 0.05 | 0.43 | 0.48 | (0.01) | (0.13) | (0.14) | |||||||||||||||||||||
| FOR THE PERIOD ENDED 1/15/098—12/31/09†,5 | $10.00 | 0.10 | 0.79 | 0.89 | (0.02) | (0.09) | (0.11) | |||||||||||||||||||||
| * | 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. |
| 4 | Portfolio turnover is not annualized. |
| 5 | Per share net investment income (loss) and net realized and unrealized gain (loss) are 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 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%. |
| 10 | Amount is less than $.005 per share. |
| 11 | For the year ended December 31, 2011, a service provider contributed $354,026 into the Fund to compensate the Fund for a loss incurred due to a valuation error. The impact of this contribution increased the Fund’s total return by 0.21%. |
| 12 | For the year ended December 31, 2011, the Adviser contributed $208,438 into the Fund to compensate the Fund for a loss incurred due to a trade processing error. The impact of the Adviser’s contribution increased the Fund’s total return by 0.14%. |
| The accompanying notes are an integral part of these financial statements. |
| 148 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Financial Highlights | June 30, 2012 |
| RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||
| Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||
| 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 |
|||||||||||||||||||||||||
| $10.50 | 5.11 | % | $2,070,547 | 0.93 | % | 0.92 | % | 1.44 | % | 2.16 | % | 51 | % | |||||||||||||||||||
| $9.99 | (6.68 | )% | $2,102,815 | 0.96 | % | 0.95 | % | 2.03 | % | 1.90 | % | 59 | % | |||||||||||||||||||
| $10.97 | 14.12 | % | $1,841,838 | 0.79 | % | 0.79 | % | 0.79 | % | 1.41 | % | 72 | % | |||||||||||||||||||
| $10.47 | 5.02 | % | $1,555,715 | 1.23 | % | 1.22 | % | 1.90 | % | 1.85 | % | 51 | % | |||||||||||||||||||
| $9.97 | (7.03 | )% | $2,019,253 | 1.27 | % | 1.26 | % | 3.22 | % | 1.46 | % | 59 | % | |||||||||||||||||||
| $10.97 | 13.83 | % | $1,497,723 | 1.10 | % | 1.10 | % | 1.10 | % | 1.28 | % | 72 | % | |||||||||||||||||||
| $10.53 | 5.30 | % | $418,338,035 | 0.52 | % | 0.51 | % | 0.52 | % | 2.58 | % | 51 | % | |||||||||||||||||||
| $10.00 | (6.22 | )% | $397,662,333 | 0.52 | % | 0.51 | % | 0.52 | % | 2.21 | % | 59 | % | |||||||||||||||||||
| $10.99 | 14.54 | % | $424,346,157 | 0.50 | % | 0.50 | % | 0.71 | % | 1.81 | % | 72 | % | |||||||||||||||||||
| $8.88 | 3.26 | % | $162,356,277 | 0.91 | % | 0.90 | % | 0.91 | % | 3.27 | % | 48 | % | |||||||||||||||||||
| $8.60 | (15.00 | )% | $138,229,387 | 0.94 | % | 0.93 | % | 0.94 | % | 2.13 | % | 60 | % | |||||||||||||||||||
| $10.45 | 10.40 | % | $85,968,655 | 0.90 | % | 0.90 | % | 1.03 | % | 1.72 | % | 93 | % | |||||||||||||||||||
| $9.78 | 2.20 | % | $44,016,038 | 0.90 | % | 0.90 | % | 1.01 | % | (0.47 | )% | 29 | % | |||||||||||||||||||
| $9.02 | 2.97 | % | $13,667,915 | 1.28 | % | 1.27 | % | 1.28 | % | 3.41 | % | 48 | % | |||||||||||||||||||
| $8.76 | (15.27 | )% | $1,166,515 | 1.35 | % | 1.34 | % | 2.18 | % | 1.96 | % | 60 | % | |||||||||||||||||||
| $10.61 | 10.40 | % | $1,472,368 | 1.25 | % | 1.25 | % | 3.50 | % | 1.51 | % | 93 | % | |||||||||||||||||||
| $9.91 | 2.04 | % | $5,785 | 1.25 | % | 1.25 | % | 472.86 | %7 | (0.07 | )% | 29 | % | |||||||||||||||||||
| $9.28 | 3.34 | % | $385,695,195 | 0.55 | % | 0.54 | % | 0.55 | % | 3.60 | % | 48 | % | |||||||||||||||||||
| $8.98 | (14.66 | )% | $348,681,473 | 0.58 | % | 0.57 | % | 0.58 | % | 2.63 | % | 60 | % | |||||||||||||||||||
| $10.89 | 10.84 | % | $371,799,177 | 0.55 | % | 0.55 | % | 0.77 | % | 2.02 | % | 93 | % | |||||||||||||||||||
| $10.16 | 6.08 | % | $360,491,107 | 0.55 | % | 0.55 | % | 0.98 | % | 0.99 | % | 29 | % | |||||||||||||||||||
| $11.01 | 1.10 | % | $1,753,270,286 | 2.25 | % | 1.21 | % | 2.27 | % | 1.35 | % | 117 | % | |||||||||||||||||||
| $10.89 | 0.99 | % | $1,456,748,122 | 2.75 | % | 1.20 | % | 2.84 | % | 1.18 | % | 298 | % | |||||||||||||||||||
| $11.15 | 4.81 | %9 | $824,237,659 | 2.59 | % | 1.20 | % | 2.62 | % | 1.13 | % | 361 | % | |||||||||||||||||||
| $10.80 | 9.24 | % | $160,026,814 | 2.46 | % | 1.20 | % | 3.25 | % | 1.30 | % | 482 | % | |||||||||||||||||||
| $10.95 | 0.92 | % | $713,617,477 | 2.55 | % | 1.51 | % | 2.55 | % | 1.05 | % | 117 | % | |||||||||||||||||||
| $10.85 | 0.68 | % | $651,790,519 | 3.05 | % | 1.50 | % | 3.08 | % | 0.89 | % | 298 | % | |||||||||||||||||||
| $11.12 | 4.52 | %9 | $382,758,131 | 2.89 | % | 1.50 | % | 2.92 | % | 0.85 | % | 361 | % | |||||||||||||||||||
| $10.78 | 8.88 | % | $79,054,890 | 2.69 | % | 1.50 | % | 3.42 | % | 0.98 | % | 482 | % | |||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2012 | 149 | |||||||||||||
| Financial Highlights | June 30, 2012 |
| 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 Unrealized |
Net |
Distributions from Net Investment Income |
Distributions from Net Realized Gains |
Total Distributions |
||||||||||||||||||||||
| AQR MANAGED FUTURES STRATEGY FUND CLASS I | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2012 (Unaudited)5 | $9.57 | (0.06) | 0.05 | (0.01) | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $10.30 | (0.12) | (0.53) | (0.65) | (0.04) | (0.04) | (0.08) | |||||||||||||||||||||
| FOR THE PERIOD ENDED 1/06/108—12/31/10†,5 | $10.00 | (0.12) | 0.66 | 0.54 | (0.09) | (0.15) | (0.24) | |||||||||||||||||||||
| AQR MANAGED FUTURES STRATEGY FUND CLASS N | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2012 (Unaudited)5 | $9.55 | (0.07) | 0.04 | (0.03) | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $10.28 | (0.15) | (0.52) | (0.67) | (0.02) | (0.04) | (0.06) | |||||||||||||||||||||
| FOR THE PERIOD ENDED 1/06/108—12/31/10†,5 | $10.00 | (0.15) | 0.66 | 0.51 | (0.08) | (0.15) | (0.23) | |||||||||||||||||||||
| AQR RISK PARITY FUND CLASS I | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2012 (Unaudited)5 | $10.62 | 0.04 | 0.44 | 0.48 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $10.28 | 0.04 | 0.51 | 0.55 | (0.21) | (0.00) | 10 | (0.21) | ||||||||||||||||||||
| FOR THE PERIOD ENDED 9/30/108—12/31/10 | $10.00 | 0.02 | 0.38 | 0.40 | (0.12) | — | (0.12) | |||||||||||||||||||||
| AQR RISK PARITY FUND CLASS N | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2012 (Unaudited)5 | $10.59 | 0.02 | 0.45 | 0.47 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $10.27 | 0.03 | 0.49 | 0.52 | (0.20) | (0.00) | 10 | (0.20) | ||||||||||||||||||||
| FOR THE PERIOD ENDED 9/30/108—12/31/10† | $10.00 | 0.01 | 0.38 | 0.39 | (0.12) | — | (0.12) | |||||||||||||||||||||
| AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS I | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2012 (Unaudited)5 | $9.70 | (0.07) | 0.09 | 0.02 | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 7/18/118—12/31/115 | $10.00 | (0.05) | (0.21) | (0.26) | (0.04) | — | (0.04) | |||||||||||||||||||||
| AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS N | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2012 (Unaudited)5 | $9.69 | (0.11) | 0.13 | 0.02 | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 7/18/118—12/31/115 | $10.00 | (0.06) | (0.21) | (0.27) | (0.04) | — | (0.04) | |||||||||||||||||||||
| AQR MOMENTUM FUND CLASS L | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2012 (Unaudited)5 | $13.89 | 0.11 | 1.52 | 1.63 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $14.40 | 0.15 | (0.54) | (0.39) | (0.09) | (0.03) | (0.12) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2010† | $12.19 | 0.06 | 2.21 | 2.27 | (0.02) | (0.04) | (0.06) | |||||||||||||||||||||
| FOR THE PERIOD ENDED 7/09/098—12/31/09†,5 | $10.00 | 0.07 | 2.48 | 2.55 | (0.05) | (0.31) | (0.36) | |||||||||||||||||||||
| * | 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. |
| 4 | Portfolio turnover is not annualized. |
| 5 | Per share net investment income (loss) and net realized and unrealized gain (loss) are 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 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%. |
| 10 | Amount is less than $.005 per share. |
| 11 | For the year ended December 31, 2011, a service provider contributed $354,026 into the Fund to compensate the Fund for a loss incurred due to a valuation error. The impact of this contribution increased the Fund’s total return by 0.21%. |
| 12 | For the year ended December 31, 2011, the Adviser contributed $208,438 into the Fund to compensate the Fund for a loss incurred due to a trade processing error. The impact of the Adviser’s contribution increased the Fund’s total return by 0.14%. |
| The accompanying notes are an integral part of these financial statements. |
| 150 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Financial Highlights | June 30, 2012 |
| RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||
| Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||
| 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 |
|||||||||||||||||||||||||
| $9.56 | (0.10 | )% | $1,316,382,194 | 1.25 | % | 1.25 | % | 1.27 | % | (1.24 | )% | 0 | % | |||||||||||||||||||
| $9.57 | (6.37 | )% | $1,078,662,373 | 1.25 | % | 1.25 | % | 1.30 | % | (1.22 | )% | 0 | % | |||||||||||||||||||
| $10.30 | 5.41 | % | $657,237,349 | 1.25 | % | 1.25 | % | 1.28 | % | (1.27 | )% | 0 | % | |||||||||||||||||||
| $9.52 | (0.31 | )% | $427,401,324 | 1.50 | % | 1.50 | % | 1.52 | % | (1.50 | )% | 0 | % | |||||||||||||||||||
| $9.55 | (6.59 | )% | $476,854,001 | 1.50 | % | 1.50 | % | 1.57 | % | (1.47 | )% | 0 | % | |||||||||||||||||||
| $10.28 | 5.12 | % | $271,043,038 | 1.50 | % | 1.50 | % | 1.56 | % | (1.54 | )% | 0 | % | |||||||||||||||||||
| $11.10 | 4.52 | % | $578,103,517 | 0.95 | % | 0.95 | % | 0.95 | % | 0.65 | % | 78 | % | |||||||||||||||||||
| $10.62 | 5.45 | %11 | $337,526,380 | 0.95 | % | 0.95 | % | 1.06 | % | 0.41 | % | 66 | % | |||||||||||||||||||
| $10.28 | 3.98 | % | $12,747,565 | 0.95 | % | 0.95 | % | 3.80 | % | 0.44 | % | 19 | % | |||||||||||||||||||
| $11.06 | 4.44 | % | $103,132,052 | 1.20 | % | 1.20 | % | 1.25 | % | 0.42 | % | 78 | % | |||||||||||||||||||
| $10.59 | 5.12 | %11 | $51,560,342 | 1.20 | % | 1.20 | % | 1.42 | % | 0.30 | % | 66 | % | |||||||||||||||||||
| $10.27 | 3.88 | % | $11,234,980 | 1.20 | % | 1.20 | % | 3.96 | % | 0.22 | % | 19 | % | |||||||||||||||||||
| $9.72 | 0.21 | % | $492,646,127 | 3.82 | % | 1.98 | % | 3.94 | % | (1.42 | )% | 136 | % | |||||||||||||||||||
| $9.70 | (2.57 | )%12 | $257,168,435 | 2.23 | % | 1.98 | % | 2.59 | % | (1.09 | )% | 133 | % | |||||||||||||||||||
| $9.71 | 0.21 | % | $25,044,368 | 4.07 | % | 2.23 | % | 4.25 | % | (2.18 | )% | 136 | % | |||||||||||||||||||
| $9.69 | (2.73 | )%12 | $44,676,329 | 2.48 | % | 2.23 | % | 2.85 | % | (1.37 | )% | 133 | % | |||||||||||||||||||
| $15.52 | 11.74 | % | $443,499,976 | 0.50 | % | 0.49 | % | 0.60 | % | 1.47 | % | 25 | % | |||||||||||||||||||
| $13.89 | (2.68 | )% | $302,755,284 | 0.50 | % | 0.49 | % | 0.67 | % | 1.07 | % | 162 | % | |||||||||||||||||||
| $14.40 | 18.60 | % | $124,491,353 | 0.49 | % | 0.49 | % | 0.98 | % | 1.37 | % | 180 | % | |||||||||||||||||||
| $12.19 | 25.58 | % | $6,932,575 | 0.49 | % | 0.49 | % | 5.08 | % | 1.23 | % | 163 | % | |||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2012 | 151 | |||||||||||||
| Financial Highlights | June 30, 2012 |
| 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 Unrealized |
Net |
Distributions from Net Investment Income |
Distributions from Net Realized Gains |
Total Distributions |
||||||||||||||||||||||
| AQR SMALL CAP MOMENTUM FUND CLASS L | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2012 (Unaudited)5 | $13.89 | 0.04 | 1.47 | 1.51 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $14.39 | 0.04 | (0.42) | (0.38) | (0.02) | (0.10) | (0.12) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2010† | $11.40 | 0.03 | 3.13 | 3.16 | (0.03) | (0.14) | (0.17) | |||||||||||||||||||||
| FOR THE PERIOD ENDED 7/09/098—12/31/09†,5 | $10.00 | 0.04 | 2.06 | 2.10 | (0.03) | (0.67) | (0.70) | |||||||||||||||||||||
| AQR INTERNATIONAL MOMENTUM FUND CLASS L | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2012 (Unaudited)5 | $11.37 | 0.21 | 0.30 | 0.51 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $13.62 | 0.29 | (2.26) | (1.97) | (0.28) | — | (0.28) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2010† | $11.98 | 0.08 | 1.62 | 1.70 | (0.05) | (0.01) | (0.06) | |||||||||||||||||||||
| FOR THE PERIOD ENDED 7/09/098—12/31/09†,5 | $10.00 | 0.04 | 2.26 | 2.30 | (0.09) | (0.23) | (0.32) | |||||||||||||||||||||
| AQR TAX-MANAGED MOMENTUM FUND CLASS L | ||||||||||||||||||||||||||||
| FOR THE PERIOD ENDED 1/27/128—6/30/12 (Unaudited)5 | $10.00 | 0.07 | 0.75 | 0.82 | — | — | — | |||||||||||||||||||||
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND CLASS L | ||||||||||||||||||||||||||||
| FOR THE PERIOD ENDED 1/27/128—6/30/12 (Unaudited)5 | $10.00 | 0.04 | 0.36 | 0.40 | — | — | — | |||||||||||||||||||||
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND CLASS L | ||||||||||||||||||||||||||||
| FOR THE PERIOD ENDED 1/27/128—6/30/12 (Unaudited)5 | $10.00 | 0.17 | 0.01 | 0.18 | — | — | — | |||||||||||||||||||||
| * | 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. |
| 4 | Portfolio turnover is not annualized. |
| 5 | Per share net investment income (loss) and net realized and unrealized gain (loss) are 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 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%. |
| 10 | Amount is less than $.005 per share. |
| 11 | For the year ended December 31, 2011, a service provider contributed $354,026 into the Fund to compensate the Fund for a loss incurred due to a valuation error. The impact of this contribution increased the Fund’s total return by 0.21%. |
| 12 | For the year ended December 31, 2011, the Adviser contributed $208,438 into the Fund to compensate the Fund for a loss incurred due to a trade processing error. The impact of the Adviser’s contribution increased the Fund’s total return by 0.14%. |
| The accompanying notes are an integral part of these financial statements. |
| 152 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Financial Highlights | June 30, 2012 |
| RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||
| Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||
| 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 |
|||||||||||||||||||||||||
| $15.40 | 10.87 | % | $125,745,229 | 0.66 | % | 0.65 | % | 0.78 | % | 0.58 | % | 32 | % | |||||||||||||||||||
| $13.89 | (2.62 | )% | $100,534,354 | 0.66 | % | 0.65 | % | 0.85 | % | 0.26 | % | 121 | % | |||||||||||||||||||
| $14.39 | 27.69 | % | $54,504,582 | 0.65 | % | 0.65 | % | 1.85 | % | 0.66 | % | 380 | % | |||||||||||||||||||
| $11.40 | 21.24 | % | $3,239,605 | 0.65 | % | 0.65 | % | 7.53 | % | 0.65 | % | 136 | % | |||||||||||||||||||
| $11.88 | 4.49 | % | $105,408,785 | 0.66 | % | 0.65 | % | 0.86 | % | 3.51 | % | 56 | % | |||||||||||||||||||
| $11.37 | (14.42 | )% | $77,224,911 | 0.66 | % | 0.65 | % | 0.97 | % | 2.23 | % | 203 | % | |||||||||||||||||||
| $13.62 | 14.20 | % | $62,091,379 | 0.65 | % | 0.65 | % | 1.46 | % | 1.44 | % | 269 | % | |||||||||||||||||||
| $11.98 | 23.08 | % | $29,762,053 | 0.65 | % | 0.65 | % | 2.22 | % | 0.63 | % | 160 | % | |||||||||||||||||||
| $10.82 | 8.20 | % | $2,767,018 | 0.57 | % | 0.54 | % | 8.55 | % | 1.60 | % | 31 | % | |||||||||||||||||||
| $10.40 | 4.00 | % | $2,394,102 | 0.72 | % | 0.70 | % | 8.47 | % | 0.82 | % | 41 | % | |||||||||||||||||||
| $10.18 | 1.80 | % | $2,948,791 | 0.72 | % | 0.70 | % | 10.22 | % | 4.04 | % | 50 | % | |||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2012 | 153 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
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, 2012, the Trust consists of twelve 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 Multi-Strategy Alternative Fund, AQR Momentum Fund, AQR Small Cap Momentum Fund, AQR International Momentum Fund, AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap Momentum Fund and AQR Tax-Managed 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 and AQR Multi-Strategy Alternative 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, after expenses, the MSCI World 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 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, after expenses, the MSCI EAFE 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 Fund offers Class I, Class N and Class Y shares.
The investment objective of the AQR Diversified Arbitrage Fund is long-term absolute (positive) returns. The principal investment strategies of the AQR Diversified Arbitrage Fund include seeking to outperform, after expenses, the BofA 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 Fund offers Class I and Class N shares.
The investment objective of the AQR Managed Futures Strategy Fund is to seek positive absolute returns. However, while seeking to generate positive performance over a multi-year period of time, the Fund may have positive or negative returns over shorter time periods. The Fund invests primarily in a portfolio of futures contracts, futures-related instruments and equity swaps. The Fund’s universe of investments currently includes more than 100 global developed and emerging market exchange-traded futures, futures-related instruments, forward contracts, and equity swaps 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 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 fixed income, sovereign debt, the credit spreads of mortgage-backed securities and corporate and sovereign debt, developed and emerging market currencies, and commodities). The Fund offers Class I and Class N shares.
The investment objective of the AQR Multi-Strategy Alternative Fund is to seek positive absolute returns. However, while seeking to generate positive performance over a multi-year period of time, the Fund may have positive or negative returns over shorter time periods. The Fund invests globally (including in emerging markets) in a broad range of instruments, including, but not limited to, equities, bonds, currencies, commodities, credit derivatives, convertible securities, futures, forwards, options and swaps. 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,
| 154 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
and depositary 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 Fund offers Class L shares.
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 depositary 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 purchases. 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 Fund offers Class L shares.
The investment objective of the AQR Tax-Managed Momentum Fund is to seek long-term after-tax 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 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 Fund is designed to have lower distributions of realized capital gains, in particular, emphasizing smaller short-term capital gains as opposed to funds that do not focus on tax efficiency. Some of the strategies the Fund may utilize to do this include: deferring the realizations of capital gains thereby moving potential short-term capital gains into long-term capital gains, harvesting losses to offset realized gains, attempting to generate short-term losses, and limiting portfolio turnover that may result in taxable gains. The Fund offers Class L shares.
The investment objective of the AQR Tax-Managed Small Cap Momentum Fund is to seek long-term after-tax 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 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 Fund is designed to have lower distributions of realized capital gains, in particular, emphasizing smaller short-term capital gains as opposed to funds that do not focus on tax efficiency. Some of the strategies the Fund may utilize to do this include: deferring the realizations of capital gains thereby moving potential short-term capital gains into long-term capital gains, harvesting losses to offset realized gains, attempting to generate short-term losses, and limiting portfolio turnover that may result in taxable gains. The Fund offers Class L shares.
The investment objective of the AQR Tax-Managed International Momentum Fund is to seek long-term after-tax 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 Fund is designed to have lower distributions of realized capital gains, in particular, emphasizing smaller short-term capital gains as opposed to funds that do not focus on tax efficiency. Some of the strategies the Fund may utilize to do this include: deferring the realizations of capital gains thereby moving potential short-term capital gains into long-term capital gains, harvesting losses to offset realized gains, attempting to generate short-term losses, and limiting portfolio turnover that may result in taxable gains. The Fund offers Class L shares.
2. Consolidation of Subsidiaries — AQR Managed Futures Strategy Offshore Fund Ltd., AQR Risk Parity Offshore Fund Ltd. and AQR Multi-Strategy Alternative 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, AQR Risk Parity Fund and AQR Multi-Strategy
| AQR Funds | Semi-Annual Report | June 2012 | 155 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
Alternative Fund include the accounts of AQR Managed Futures Strategy Offshore Fund Ltd., AQR Risk Parity Offshore Fund Ltd., and AQR Multi-Strategy Alternative 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.
The Subsidiaries are classified as controlled foreign corporations under the Internal Revenue Code of 1986 (“the Code”). Each Subsidiary’s taxable income is included in the calculation of the relevant Fund’s taxable income. Net losses of the Subsidiaries are not deductible by the Funds either in the current period or carried forward to future periods.
AQR Managed Futures Strategy Fund, AQR Risk Parity Fund and AQR Multi-Strategy Alternative Fund may each invest up to 25% of their total assets in its respective Subsidiary, each of which acts as an investment vehicle in order to effect certain investments consistent with the Funds’ investment objectives and policies.
| INCEPTION DATE OF SUBSIDIARY |
SUBSIDIARY NET ASSETS AT June 30, 2012 |
% OF TOTAL NET ASSETS AT June 30, 2012 |
||||||||
| AQR Managed Futures Strategy Offshore Fund, Ltd. |
January 6, 2010 | $ | 400,752,921 | 23.0 | % | |||||
| AQR Risk Parity Offshore Fund, Ltd. |
September 30, 2010 | 136,247,348 | 20.0 | % | ||||||
| AQR Multi-Strategy Alternative Offshore Fund, Ltd. |
July 18, 2011 | 51,738,513 | 10.0 | % | ||||||
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, if any, 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 and such differences could be material.
Valuation of Investments: 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 and warrants, are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades. The value of securities listed on the NASDAQ shall generally be the NASDAQ Official Closing Price. 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 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.
| 156 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
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 reflect fair value, 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, which may include the use of proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining value and/or market characteristics such as benchmark yield curves, credit spreads, estimated default rates, underlying collateral, and other unique security features. 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 some of their investments in convertible debt securities by selling short the issuer’s common stock.
Short Sales: The AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund sell securities they do not own as a hedge against some of their long positions and/or in anticipation of a decline in the market value of that security (short sale). When the Funds make a short sale, they must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. The Funds may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions 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 Funds are also subject to the risk that they 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 Funds are also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as unrealized gain or loss on the Statements of Operations.
The Funds are required to pledge cash or 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 Statements of Assets and Liabilities and securities segregated as collateral are denoted in the Schedules of Investments. The Funds may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities; and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security. The net amount of fees of $2,960,229 and $349,742 are included in dividend and interest on securities sold short in the Statements of Operations for AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund, respectively.
Futures Contracts: The Funds invest in futures contracts. The Funds, excluding AQR Managed Futures Strategy Fund, AQR Risk Parity Fund and AQR Multi-Strategy Alternative 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, AQR Risk Parity Fund and AQR Multi-Strategy Alternative Fund invest in futures as part of their primary investment strategy. Investments in futures may increase or decrease exposure to a particular market. In the event of a bankruptcy or insolvency of a futures commission merchant that holds margin on behalf of the Funds, the Funds may not be entitled to the return of all of the margin owed to the Funds, potentially resulting in a loss. No monies are paid to 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 to and from the broker, will be made on a periodic basis as the price of the underlying instruments fluctuates. Changes in market value of open futures contracts are recorded as unrealized appreciation or depreciation in the Statements of Operations. Realized gains or losses, represent the difference between
| AQR Funds | Semi-Annual Report | June 2012 | 157 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
the value of the contract at the time it was opened and the value at the time it was closed, and are reported in the Statements of Operations at the closing or expiration of futures contracts. Securities deposited as initial margin are designated in the Schedules of Investments and cash deposited is recorded on the Statements of Assets and Liabilities. 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 contract 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: Certain Funds invest in equity swaps to obtain exposure to the underlying referenced instrument, obtain leverage or attain 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 reference entity 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 up-front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. An up-front payment received by a Fund, as the protection seller, is recorded as a liability on the Fund’s Statement of Assets and Liabilities. An up-front payment made by a Fund, as the protection buyer, is recorded as an asset on the Fund’s Statement of Assets and Liabilities. Up-front payments are amortized over the term of the contract. Periodic payments received 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 occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the up-front payment, is recorded as a realized gain or loss.
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.
| 158 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
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 Diversified Arbitrage Fund is providing protection at June 30, 2012 are summarized as follows:
| MAXIMUM PAYOUT/NOTIONAL AMOUNT BY PERIOD OF EXPIRATION ($ IN THOUSANDS) |
||||||||||
| CREDIT SPREAD ON UNDERLYING (BASIS POINTS) |
0-5 YEARS USD |
WRITTEN CREDIT DERIVATIVES AT FAIR VALUE |
||||||||
| 500 or more |
750 | $ | (25,283 | ) | ||||||
|
|
|
|||||||||
| Total |
750 | $ | (25,283 | ) | ||||||
|
|
|
|||||||||
The credit default swaps in which the AQR Risk Parity Fund is providing protection at June 30, 2012 are summarized as follows:
| MAXIMUM PAYOUT/NOTIONAL ($ IN THOUSANDS) |
||||||||||||||||
| 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 |
123,875 | 42,000 | — | $ | (2,296,319 | ) | ||||||||||
| 251 or more |
133,650 | 31,725 | 6,100 | (5,570,194 | ) | |||||||||||
|
|
|
|||||||||||||||
| Total |
257,525 | 73,725 | 6,100 | $ | (7,866,513 | ) | ||||||||||
|
|
|
|||||||||||||||
The credit default swaps in which the AQR Multi-Strategy Alternative Fund is providing protection at June 30, 2012 are summarized as follows:
| MAXIMUM PAYOUT/NOTIONAL AMOUNT BY PERIOD OF EXPIRATION ($ IN THOUSANDS) |
||||||||||
| CREDIT SPREAD ON UNDERLYING (BASIS POINTS) |
0-5 YEARS USD |
WRITTEN CREDIT DERIVATIVES AT FAIR VALUE |
||||||||
| 0-250 |
21,650 | $ | (729,796) | |||||||
|
|
|
|||||||||
| Total |
21,650 | $ | (729,796) | |||||||
|
|
|
|||||||||
| AQR Funds | Semi-Annual Report | June 2012 | 159 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
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 up-front 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 causing greater price volatility. These instruments involve a greater risk of loss due to default by the issuer because such securities are generally unsecured and are often subordinated to other creditors’ claims.
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 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 for the benefit of 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 and Money Market Funds as agreed to by the Fund and the applicable counterparty. Collateral requirements are generally 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, the Fund realizes a gain or loss on the option to the extent of the premiums received or paid. When a Fund enters into a closing transaction, the Fund realizes a gain or loss to the extent the cost of the closing transaction exceeds the premiums paid or received. Written uncovered call options subject 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.
| 160 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
Transactions in call and put options written during the period ended June 30, 2012 for the AQR Diversified Arbitrage Fund were as follows:
| CALL OPTIONS | ||||||||
| SHARES SUBJECT TO CALL |
PREMIUM | |||||||
| Options outstanding, December 31, 2011 |
(2,541 | ) | $ | (419,013 | ) | |||
| Options written |
(12,968 | ) | (2,616,383 | ) | ||||
| Options expired |
12,974 | 2,205,703 | ||||||
| Options exercised |
464 | 240,800 | ||||||
|
|
|
|
|
|||||
| Options outstanding, June 30, 2012 |
(2,071 | ) | $ | (588,893 | ) | |||
|
|
|
|
|
|||||
Transactions in call and put options written during the period ended June 30, 2012 for the AQR Multi-Strategy Alternative Fund were as follows:
| CALL OPTIONS | ||||||||
| SHARES SUBJECT TO CALL |
PREMIUM | |||||||
| Options outstanding, December 31, 2011 |
— | $ | — | |||||
| Options written |
(1,047 | ) | (231,334 | ) | ||||
| Options expired |
697 | 130,513 | ||||||
| Options exercised |
49 | 25,431 | ||||||
|
|
|
|
|
|||||
| Options outstanding, June 30, 2012 |
(301 | ) | $ | (75,390 | ) | |||
|
|
|
|
|
|||||
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, 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.
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 declines 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 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
| AQR Funds | Semi-Annual Report | June 2012 | 161 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
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 prior three fiscal years, or since inception if shorter are open for examination. As of June 30, 2012, 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 the 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 Fund, such as advisory fees and registration costs. Trust level expenses are allocated among the Funds based on the ratio of average net assets or some other reasonable methodology.
The Funds record distributions received in excess of income from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates (if actual amounts are not available) and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of components of distributions (and consequently net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
The Funds may be subject to foreign taxes on income, 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.
Organization and Offering Costs: Costs incurred by the AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap Momentum Fund and AQR Tax-Managed International Momentum Fund in connection with the organization of the Funds, includes professional fees, printing fees and the offering of the initial registration. These costs will be fully expensed by the end of the fiscal year.
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 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.
| 162 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
Cash and Cash Equivalents: Cash and cash equivalents include U.S. 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. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
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, 2012, 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 |
$ | 377,477,902 | $ | 47,641,178 | $ | (15,356,817 | ) | $ | 32,284,361 | |||||||
| AQR International Equity Fund |
553,930,239 | 35,539,813 | (36,096,246 | ) | (556,433 | ) | ||||||||||
| AQR Diversified Arbitrage Fund |
2,642,015,801 | 191,815,144 | (132,300,105 | ) | 59,515,039 | |||||||||||
| AQR Managed Futures Strategy Fund |
1,551,064,930 | — | — | — | ||||||||||||
| AQR Risk Parity Fund |
617,264,884 | 2,072,451 | (5,181,782 | ) | (3,109,331 | ) | ||||||||||
| AQR Multi-Strategy Alternative Fund |
563,645,690 | 22,118,497 | (14,652,083 | ) | 7,466,414 | |||||||||||
| AQR Momentum Fund |
404,311,442 | 55,017,113 | (9,074,520 | ) | 45,942,593 | |||||||||||
| AQR Small Cap Momentum Fund |
113,005,860 | 18,797,972 | (4,087,740 | ) | 14,710,232 | |||||||||||
| AQR International Momentum Fund |
101,861,728 | 8,376,954 | (2,745,430 | ) | 5,631,524 | |||||||||||
| AQR Tax-Managed Momentum Fund |
2,864,007 | 219,015 | (60,868 | ) | 158,147 | |||||||||||
| AQR Tax-Managed Small Cap Momentum Fund |
2,952,493 | 219,477 | (136,138 | ) | 83,339 | |||||||||||
| AQR Tax-Managed International Momentum Fund |
2,995,108 | 123,483 | (90,965 | ) | 32,518 | |||||||||||
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals.
The tax character of the distributions paid during the periods ended December 31, 2011, were as follows:
| FUND | DECEMBER 31, 2011 ORDINARY INCOME |
CAPITAL GAINS |
||||||
| AQR Global Equity Fund |
$ | 9,967,013 | $ | 1,505,593 | ||||
| AQR International Equity Fund |
13,160,157 | 2,328,515 | ||||||
| AQR Diversified Arbitrage Fund |
66,958,559 | — | ||||||
| AQR Managed Futures Strategy Fund |
10,675,579 | 342,818 | ||||||
| AQR Risk Parity Fund |
6,618,750 | 87,996 | ||||||
| AQR Multi-Strategy Alternative Fund |
1,043,109 | — | ||||||
| AQR Momentum Fund |
2,360,576 | 231,090 | ||||||
| AQR Funds | Semi-Annual Report | June 2012 | 163 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
| FUND | DECEMBER 31, 2011 ORDINARY INCOME |
CAPITAL GAINS |
||||||
| AQR Small Cap Momentum Fund |
$ | 596,501 | $ | 266,614 | ||||
| AQR International Momentum Fund |
1,944,737 | — | ||||||
| AQR Tax-Managed Momentum Fund |
N/A | N/A | ||||||
| AQR Tax-Managed Small Cap Momentum Fund |
N/A | N/A | ||||||
| AQR Tax-Managed International Momentum Fund |
N/A | N/A | ||||||
The AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap Momentum Fund and AQR Tax-Managed International Momentum Fund commenced operations on January 27, 2012.
As of December 31, 2011, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset capital gains, if any, to the extent provided by the Treasury regulations.
| FUND | SHORT-TERM | LONG TERM | YEAR OF EXPIRATION | |||||||||
| AQR Global Equity Fund |
$ | 2,953,779 | $ | 2,266,875 | N/A | |||||||
| AQR International Equity Fund |
14,000,520 | 4,795,687 | N/A | |||||||||
| AQR Managed Futures Strategy Fund |
49,365,405 | 20,411,421 | N/A | |||||||||
| AQR Multi-Strategy Alternative Fund |
566,262 | 1,234,913 | N/A | |||||||||
| AQR Momentum Fund |
15,780,193 | — | N/A | |||||||||
| AQR Small Cap Momentum Fund |
2,555,158 | — | N/A | |||||||||
| AQR International Momentum Fund |
107,993 | — | 2018 | |||||||||
| AQR International Momentum Fund |
7,610,865 | 1,665,479 | N/A | |||||||||
Under the Regulated Investment Company Modernization Act of 2010, the Funds will be permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Post-enactment capital loss carryforwards will retain their character as either short-term or long-term capital losses rather than being considered short-term as under previous law. Any post-enactment capital losses generated will be required to be utilized prior to the losses incurred in pre-enactment tax years.
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 maximize the use of observable inputs and minimize the use of unobservable inputs.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. 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.
| 164 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
Equities traded outside North America are fair valued daily and therefore are considered Level 2 (Note 3). 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 also classified within Level 2. These include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds, money market funds and less liquid listed equities. Corporate and sovereign bonds and other fixed-income instruments are valued at estimated fair value 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 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 Funds 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 Funds 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 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.
| AQR Funds | Semi-Annual Report | June 2012 | 165 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
Securities for which market quotations or independent pricing service quotations are not readily available or which are not readily marketable and all other assets of the Funds are valued at fair value using valuation procedures for the Funds, which have been approved by the Board of Trustees. The procedures require the Funds’ Valuation Committee (the “VC”) to meet annually and on an as-needed basis to value any securities or other assets for which prices or valuations are not readily determinable by the Funds’ pricing services. The VC considers time-sensitive valuation issues, including those relating to market closures, changes in illiquid security values and other events that may have a potentially material impact on security values. On a monthly basis, model prices are reviewed against available third party model prices. The Trust’s Fund Accountant also compares daily trade execution to prior prices.
Quantitative Information
These tables include a description of unobservable and quantitative inputs and the interrelationship of such inputs, as used in determining the value of Level 3 financial instruments, except for Level 3 instruments for which prior transaction or third party pricing information was used without adjustment.
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, 2012 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† |
$ | 225,306,285 | $ | 152,384,043 | $ | 160,154 | $ | 377,850,482 | ||||||||
| Preferred Stocks† |
— | 1,162,239 | — | 1,162,239 | ||||||||||||
| Rights† |
4,414 | — | — | 4,414 | ||||||||||||
| Money Market Funds |
— | 30,745,128 | — | 30,745,128 | ||||||||||||
| Total Return Swap Contracts* |
— | 299,546 | — | 299,546 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
907,559 | 907,559 | ||||||||||||||
| Futures Contracts* | 3,495,247 | — | — | 3,495,247 | ||||||||||||
| Total Assets |
$ | 228,805,946 | $ | 185,498,515 | $ | 160,154 | $ | 414,464,615 | ||||||||
| LIABILITIES |
||||||||||||||||
| — | — | — | — | |||||||||||||
| Total Liabilities |
$ | — | $ | — | $ | — | $ | — | ||||||||
| * | Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are valued at the unrealized appreciation (depreciation) of the instrument. |
| † | Please refer to the Schedule of Investments to view securities segregated by country. |
| 166 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
| AQR GLOBAL EQUITY FUND | COMMON STOCKS | |||
| Balance as of December 31, 2011 | $ | — | ||
| Accrued discounts/(premiums) |
— | |||
| Realized gain/(loss) |
— | |||
| Change in unrealized appreciation/(depreciation) |
(5,286 | ) | ||
| Purchases |
165,440 | |||
| Sales |
— | |||
| Transfers in to Level 3 |
— | |||
| Transfers out of Level 3 | — | |||
| Balance as of June 30, 2012 | $ | 160,154 | ||
There were no transfers between Levels 1 and 2 during the period. The total change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3 investments still held at June 30, 2012 is $(5,286).
| AQR INTERNATIONAL EQUITY FUND | QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT (LEVEL3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 300,507 | $ | 478,139,179 | $ | 505,737 | $ | 478,945,423 | ||||||||
| Preferred Stocks† |
— | 1,805,223 | — | 1,805,223 | ||||||||||||
| Money Market Funds |
— | 72,623,160 | — | 72,623,160 | ||||||||||||
| Total Return Swap Contracts* |
— | 73,119 | — | 73,119 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 2,918,388 | — | 2,918,388 | ||||||||||||
| Futures Contracts* | 5,842,951 | — | — | 5,842,951 | ||||||||||||
| Total Assets |
$ | 6,143,458 | $ | 555,559,069 | $ | 505,737 | $ | 562,208,264 | ||||||||
| LIABILITIES |
||||||||||||||||
| — | — | — | — | |||||||||||||
| Total Liabilities |
$ | — | $ | — | $ | — | $ | — | ||||||||
| * | Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are valued at the unrealized appreciation (depreciation) of the instrument. |
| † | Please refer to the Schedule of Investments to view securities segregated by country. |
| AQR INTERNATIONAL EQUITY FUND | COMMON STOCKS | |||
| Balance as of December 31, 2011 | $ | — | ||
| Accrued discounts/(premiums) |
— | |||
| Realized gain/(loss) |
— | |||
| Change in unrealized appreciation/(depreciation) |
5,710 | |||
| Purchases |
500,027 | |||
| Sales |
— | |||
| Transfers in to Level 3 |
— | |||
| Transfers out of Level 3 | — | |||
| Balance as of June 30, 2012 | $ | 505,737 | ||
There were no transfers between Levels 1 and 2 during the period. The total change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3 investments still held at June 30, 2012 is $5,710.
| AQR Funds | Semi-Annual Report | June 2012 | 167 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
| AQR DIVERSIFIED ARBITRAGE FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT (LEVEL3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 656,343,133 | $ | 33,116,353 | $ | 61,249,698 | $ | 750,709,184 | ||||||||
| Convertible Preferred Stocks† |
83,783,213 | 27,024,353 | 2,433,717 | 113,241,283 | ||||||||||||
| Corporate Bonds† |
— | 447,022,169 | 95,186,098 | 542,208,267 | ||||||||||||
| Convertible Bonds† |
— | 971,247,638 | 2,818,931 | 974,066,569 | ||||||||||||
| Bank Loans† |
— | 3,543,326 | — | 3,543,326 | ||||||||||||
| Closed End Funds† |
71,220,256 | — | — | 71,220,256 | ||||||||||||
| Preferred Stocks† |
— | 1,937,721 | — | 1,937,721 | ||||||||||||
| Rights† |
— | — | — | — | ||||||||||||
| Warrants† |
14,954,830 | 674,582 | 3,183,633 | 18,813,045 | ||||||||||||
| Money Market Funds |
— | 225,063,489 | — | 225,063,489 | ||||||||||||
| Purchased Options |
727,700 | — | — | 727,700 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 2,139,927 | — | 2,139,927 | ||||||||||||
| Total Return Basket Swaps Contracts* |
— | 8,880 | — | 8,880 | ||||||||||||
| Credit Default Swap Contracts* | — | 6,072,732 | — | 6,072,732 | ||||||||||||
| Total Assets |
$ | 827,029,132 | $ | 1,717,851,170 | $ | 164,872,077 | $ | 2,709,752,379 | ||||||||
| LIABILITIES |
||||||||||||||||
| Common Stocks (Sold Short)† |
$ | (1,006,657,132 | ) | $ | (1,403,998 | ) | $ | (32,207 | ) | $ | (1,008,093,337 | ) | ||||
| Convertible Bonds (Sold Short)† |
— | (3,773,195 | ) | — | (3,773,195 | ) | ||||||||||
| Exchange Traded Funds (Sold Short) |
(42,438,425 | ) | — | — | (42,438,425 | ) | ||||||||||
| Futures Contracts* |
(2,914,375 | ) | — | — | (2,914,375 | ) | ||||||||||
| Total Return Basket Swaps Contracts* |
— | (85 | ) | — | (85 | ) | ||||||||||
| Written Option Contracts* | (568,385 | ) | — | — | (568,385 | ) | ||||||||||
| Total Liabilities |
$ | (1,052,578,317 | ) | $ | (5,177,278 | ) | $ | (32,207 | ) | $ | (1,057,787,802 | ) | ||||
| * | Derivative instruments, including futures, total return basket swaps and forward foreign currency exchange contracts, are valued at the unrealized appreciation (depreciation) of the instrument. Written options and credit default swap contracts are reported at market value. |
| † | Please refer to the Schedule of Investments to view securities segregated by industry type. |
Quantitative Information about Level 3 Fair Value Measurements
| AQR DIVERSIFIED ARBITRAGE FUND | FAIR VALUE AT 6/30/2012 |
VALUATION TECHNIQUE(S) |
UNOBSERVABLE INPUT(S) |
RANGE | ||||||
| Common Stocks |
$ | 61,249,698 | Market implied price utilizing merger terms | Last price & merger consideration | $0.95 | |||||
| Theoretical Price Estimate | Liquidity Discount | 20.00% | ||||||||
| Convertible Preferred Stocks |
2,433,717 | Model | Credit Spread | 2,000 - 3,000 bps | ||||||
| Liquidity Discount | 97.0% - 98.8% | |||||||||
| Volatility | 75.0% - 150.0% | |||||||||
| Corporate Bonds |
95,186,098 | Model | Credit Spread | 1,200 - 4,000 bps | ||||||
| Liquidity Discount | 0.0% - 10.0% | |||||||||
| Volatility | 57.0% - 150.0% | |||||||||
| Convertible Bonds |
2,818,931 | Market Comparable Companies Model | EBITDA Multiple | 7 x | ||||||
| Credit Spread | 1,300 - 1,860 bps | |||||||||
| Liquidity Discount | 12.5% - 20.0% | |||||||||
| Volatility | 42.0% - 132.0% | |||||||||
| Warrants |
3,183,633 | Model | Liquidity Discount | 20.0% - 90.0% | ||||||
| Volatility | 50.0% - 75.0% | |||||||||
| 168 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
Level 3 values are based on significant unobservable inputs that reflect the Advisor’s determination of assumptions that market participants might reasonably use in valuing the securities. Changes in significant unobservable inputs could cause significant changes in valuation to individual securities and in aggregate. Fair value determinations and valuation of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.
The significant unobservable inputs used in the fair value measurement of the Fund’s investments in corporate bonds, convertible bonds, preferred stocks and warrants potentially include credit spread, liquidity discount and volatility. Significant increases in the credit spread or liquidity discount inputs in isolation would potentially result in a significantly lower fair value measurement, whereas an increase in volatility generally results in a higher fair value measurement. Generally, a change in the assumption used for the credit spread would be accompanied by a directionally-similar change in the assumptions used for the volatility and liquidity discount. Investments in common stocks potentially include liquidity discount, theoretical value, book to value analysis and/or broker quotes. Significant changes in any of these inputs would significantly change the fair value measurement of the position.
The following is a reconciliation of assets and liabilities in which significant unobservable inputs (Level 3) were used in determining fair value:
| AQR DIVERSIFIED ARBITRAGE FUND |
COMMON STOCKS |
CONVERTIBLE PREFERRED STOCK |
CORPORATE BONDS |
CONVERTIBLE BONDS |
WARRANTS | RIGHTS | SHORT COMMON STOCK |
|||||||||||||||||||||
| Balance as of December 31, 2011 | $ | 13,402,480 | $ | 1,181,492 | $ | 4,152,274 | $ | 4,372,176 | $ | 2,984,201 | $ | — | $ | (64,415 | ) | |||||||||||||
| Accrued discounts/(premiums) |
— | — | 72,264 | 339,004 | — | — | — | |||||||||||||||||||||
| Realized gain/(loss) |
568,656 | — | (4,252 | ) | — | (16,617 | ) | — | — | |||||||||||||||||||
| Change in unrealized appreciation/(depreciation) |
(1,761,847 | ) | (164,241 | ) | (5,957,620 | ) | (5,102,515 | ) | (315,530 | ) | — | 32,208 | ||||||||||||||||
| Purchases |
10,021,700 | — | 44,770,588 | — | 426 | — | — | |||||||||||||||||||||
| Sales |
(8,684,406 | ) | — | (1,904,610 | ) | — | — | — | — | |||||||||||||||||||
| Transfers in to Level 3 |
47,703,115 | 1,416,466 | 54,057,454 | 3,210,266 | 531,153 | — | — | |||||||||||||||||||||
| Transfers out of Level 3 | — | — | — | — | — | — | — | |||||||||||||||||||||
| Balance as of June 30, 2012 | $ | 61,249,698 | $ | 2,433,717 | $ | 95,186,098 | $ | 2,818,931 | $ | 3,183,633 | $ | — | $ | (32,207 | ) | |||||||||||||
The total change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3 investments still held at June 30, 2012 is $(1,193,191), $(164,241), $(5,957,620), $(2,160,366), $(315,491) and $32,208 for common stocks, convertible preferred stock, corporate bonds, convertible bonds, warrants and short common stock, respectively.
There were no transfers between Levels 1 and 2 during the period.
| AQR Funds | Semi-Annual Report | June 2012 | 169 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
| 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 |
$ | — | $ | 1,551,064,930 | $ | — | $ | 1,551,064,930 | ||||||||
| Total Return Swap Contracts* | 714 | — | 714 | |||||||||||||
| Total Assets |
$ | — | $ | 1,551,065,644 | $ | — | $ | 1,551,065,644 | ||||||||
| LIABILITIES |
||||||||||||||||
| Total Return Swap Contracts* |
$ | — | $ | (5,427,849 | ) | $ | — | $ | (5,427,849 | ) | ||||||
| Futures Contracts* |
(18,787,749 | ) | — | — | (18,787,749 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | (19,432,738 | ) | — | (19,432,738 | ) | ||||||||||
| Total Liabilities |
$ | (18,787,749 | ) | $ | (24,860,587 | ) | $ | — | $ | (43,648,336 | ) | |||||
| * | Derivative instruments, including futures, forward foreign currency exchange and total return swap contracts, are valued at the unrealized appreciation (depreciation) of the instrument. |
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.
| 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 |
$ | — | $ | 148,389,476 | $ | — | $ | 148,389,476 | ||||||||
| U.S. Treasury Obligations |
— | 154,144,834 | — | 154,144,834 | ||||||||||||
| Money Market Funds |
— | 311,621,243 | — | 311,621,243 | ||||||||||||
| Interest Rate Swap Contracts* |
— | 5,673,588 | — | 5,673,588 | ||||||||||||
| Total Return Swap Contracts* | — | 303,093 | — | 303,093 | ||||||||||||
| Total Assets |
$ | — | $ | 620,132,234 | $ | — | $ | 620,132,234 | ||||||||
| LIABILITIES |
||||||||||||||||
| Credit Default Swap Contracts* |
$ | — | $ | (7,866,513 | ) | $ | — | $ | (7,866,513 | ) | ||||||
| Total Return Swap Contracts* |
— | (627,997 | ) | — | (627,997 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | (485,121 | ) | — | (485,121 | ) | ||||||||||
| Futures Contracts* | (1,689,019 | ) | — | — | (1,689,019 | ) | ||||||||||
| Total Liabilities |
$ | (1,689,019 | ) | $ | (8,979,631 | ) | $ | — | $ | (10,668,650 | ) | |||||
| * | Derivative instruments, including futures, forward foreign currency exchange, interest rate swap and total return swap contracts, are valued at the unrealized appreciation (depreciation) of the instrument. Credit default swap contracts are reported at market value. |
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.
| 170 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
| AQR MULTI-STRATEGY ALTERNATIVE FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 14,053,378 | $ | 176,080,064 | $ | — | $ | 190,133,442 | ||||||||
| Preferred Stock† |
421,414 | 255,416 | — | 676,830 | ||||||||||||
| Convertible Preferred Stock† |
5,178,584 | — | — | 5,178,584 | ||||||||||||
| Corporate Bonds† |
— | 58,814,656 | 1,132,750 | 59,947,406 | ||||||||||||
| Convertible Bonds† |
— | 130,194,877 | — | 130,194,877 | ||||||||||||
| Money Market Funds |
— | 184,831,595 | — | 184,831,595 | ||||||||||||
| Purchased Options |
149,370 | — | — | 149,370 | ||||||||||||
| Total Return Swap Contracts* |
— | 26,087 | — | 26,087 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* | — | 474,922 | — | 474,922 | ||||||||||||
| Total Assets |
$ | 19,802,746 | $ | 550,677,617 | $ | 1,132,750 | $ | 571,613,113 | ||||||||
| LIABILITIES |
||||||||||||||||
| Common Stocks (Sold Short)† |
$ | (127,128,525 | ) | $ | (155,187,268 | ) | $ | (1,062 | ) | $ | (282,316,855 | ) | ||||
| Exchange Traded Funds (Sold Short) |
(19,485,174 | ) | — | — | (19,485,174 | ) | ||||||||||
| Written Options Contracts* |
(75,095 | ) | — | — | (75,095 | ) | ||||||||||
| Futures Contracts* |
(752,141 | ) | — | — | (752,141 | ) | ||||||||||
| Credit Default Swaps Contracts* |
— | (729,796 | ) | — | (729,796 | ) | ||||||||||
| Total Return Swap Contracts* |
— | (298,142 | ) | — | (298,142 | ) | ||||||||||
| Total Return Basket Swap Contracts* | — | (5,303,924 | ) | — | (5,303,924 | ) | ||||||||||
| Total Liabilities |
$ | (147,440,935 | ) | $ | (161,519,130 | ) | $ | (1,062 | ) | $ | (308,961,127 | ) | ||||
| * | Derivative instruments, including futures, total return swap, total return basket swap and forward foreign currency exchange contracts, are valued at the unrealized appreciation (depreciation) of the instrument. Written options and credit default swap contracts are reported at market value. |
| † | Please refer to the Schedule of Investments to view securities segregated by industry type. |
The following is a reconciliation of assets and liabilities in which significant unobservable inputs (Level 3) were used in determining fair value:
| AQR MULTI-STRATEGY ALTERNATIVE FUND | CORPORATE BONDS |
SHORT COMMON STOCK |
||||||
| Balance as of December 31, 2011 | $ | — | $ | — | ||||
| Accrued discounts/(premiums) |
3,162 | — | ||||||
| Realized gain/(loss) |
— | — | ||||||
| Change in unrealized appreciation/(depreciation) |
(11,330 | ) | (1,062 | ) | ||||
| Purchases |
1,140,918 | — | ||||||
| Sales |
— | — | ||||||
| Transfers in to Level 3 |
— | — | ||||||
| Transfers out of Level 3 | — | — | ||||||
| Balance as of June 30, 2012 | $ | 1,132,750 | $ | (1,062 | ) | |||
The total change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3 investments still held at June 30, 2012 is $(11,330) and $(1,062) for corporate bonds and short common stock, respectively.
There were no transfers between Levels 1 and 2 during the period.
| AQR Funds | Semi-Annual Report | June 2012 | 171 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
| AQR MOMENTUM FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 439,971,063 | $ | 505,147 | $ | — | $ | 440,476,210 | ||||||||
| Money Market Funds |
— | 9,777,825 | — | 9,777,825 | ||||||||||||
| Futures Contracts* | 39,501 | — | — | 39,501 | ||||||||||||
| Total Assets |
$ | 440,010,564 | $ | 10,282,972 | $ | — | $ | 450,293,536 | ||||||||
| LIABILITIES |
||||||||||||||||
| $ | — | $ | — | $ | — | $ | — | |||||||||
| Total Liabilities |
$ | — | $ | — | $ | — | $ | — | ||||||||
| * | Derivative instruments, including futures contracts, are valued at the unrealized appreciation (depreciation) of the instrument. |
| † | Please refer to the Schedule of Investments to view securities segregated by industry type. |
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.
| AQR SMALL CAP MOMENTUM FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 125,157,793 | $ | — | $ | — | $ | 125,157,793 | ||||||||
| Warrants† |
— | — | — | — | ||||||||||||
| Rights† |
— | — | — | — | ||||||||||||
| Money Market Funds |
— | 2,558,299 | — | 2,558,299 | ||||||||||||
| Futures Contracts* | 18,636 | — | — | 18,636 | ||||||||||||
| Total Assets |
$ | 125,176,429 | $ | 2,558,299 | $ | — | $ | 127,734,728 | ||||||||
| LIABILITIES |
||||||||||||||||
| $ | — | $ | — | $ | — | $ | — | |||||||||
| Total Liabilities |
$ | — | $ | — | $ | — | $ | — | ||||||||
| * | Derivative instruments, including futures contracts, are valued at the unrealized appreciation (depreciation) of the instrument. |
| † | Please refer to the Schedule of Investments to view securities segregated by industry type. |
There were no 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 and considered quantitatively insignificant to the portfolio.
| 172 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
| AQR INTERNATIONAL MOMENTUM FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 9,121,141 | $ | 95,205,846 | $ | — | $ | 104,326,987 | ||||||||
| Preferred Stocks† |
— | — | 4,431 | 4,431 | ||||||||||||
| Exchange Traded Funds |
493,155 | — | — | 493,155 | ||||||||||||
| Rights† |
— | — | 212 | 212 | ||||||||||||
| Money Market Funds | — | 2,668,467 | — | 2,668,467 | ||||||||||||
| Total Assets |
$ | 9,614,296 | $ | 97,874,313 | $ | 4,643 | $ | 107,493,252 | ||||||||
| LIABILITIES |
||||||||||||||||
| $ | — | $ | — | $ | — | $ | — | |||||||||
| Total Liabilities |
$ | — | $ | — | $ | — | $ | — | ||||||||
| † | 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:
| AQR INTERNATIONAL MOMENTUM FUND | COMMON STOCKS |
PREFERRED STOCKS |
RIGHTS | |||||||||
| Balance as of December 31, 2011 | $ | 1,073 | $ | — | $ | — | ||||||
| Accrued discounts/(premiums) |
— | — | — | |||||||||
| Realized gain/(loss) |
1,071 | — | — | |||||||||
| Change in unrealized appreciation/(depreciation) |
(1,073 | ) | 4,431 | 212 | ||||||||
| Purchases |
— | — | — | |||||||||
| Sales |
(1,071 | ) | — | — | ||||||||
| Transfers in to Level 3 |
— | — | — | |||||||||
| Transfers out of Level 3 | — | — | — | |||||||||
| Balance as of June 30, 2012 | $ | — | $ | 4,431 | $ | 212 | ||||||
The total change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3 investments still held at June 30, 2012 is $4,431 and $212 for preferred stocks and rights, respectively.
There were no transfers between Levels 1 and 2 during the period.
| AQR Funds | Semi-Annual Report | June 2012 | 173 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
| AQR TAX-MANAGED MOMENTUM FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 2,743,204 | $ | 1,928 | $ | — | $ | 2,745,132 | ||||||||
| Exchange Traded Funds |
14,172 | — | — | 14,172 | ||||||||||||
| Money Market Funds | — | 262,850 | — | 262,850 | ||||||||||||
| Total Assets |
$ | 2,757,376 | $ | 264,778 | $ | — | $ | 3,022,154 | ||||||||
| LIABILITIES |
||||||||||||||||
| $ | — | $ | — | $ | — | $ | — | |||||||||
| Total Liabilities |
$ | — | $ | — | $ | — | $ | — | ||||||||
| † | Please refer to the Schedule of Investments to view securities segregated by industry type. |
There were no transfers between Levels 1 and 2 during the period.
There were no Level 3 securities held during the period.
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 2,377,481 | $ | — | $ | — | $ | 2,377,481 | ||||||||
| Exchange Traded Funds |
11,709 | — | — | 11,709 | ||||||||||||
| Money Market Funds | — | 646,642 | — | 646,642 | ||||||||||||
| Total Assets |
$ | 2,389,190 | $ | 646,642 | $ | — | $ | 3,035,832 | ||||||||
| LIABILITIES |
||||||||||||||||
| $ | — | $ | — | $ | — | $ | — | |||||||||
| Total Liabilities |
$ | — | $ | — | $ | — | $ | — | ||||||||
| † | Please refer to the Schedule of Investments to view securities segregated by industry type. |
There were no transfers between Levels 1 and 2 during the period.
There were no Level 3 securities held during the period.
| 174 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
| AQR TAX-MANAGED 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† |
$ | 293,589 | $ | 2,632,541 | $ | — | $ | 2,926,130 | ||||||||
| Preferred Stocks† |
— | — | 111 | 111 | ||||||||||||
| Exchange Traded Funds |
$ | 9,942 | — | 9,942 | ||||||||||||
| Rights† |
— | — | 2 | 2 | ||||||||||||
| Money Market Funds | — | 91,441 | — | 91,441 | ||||||||||||
| Total Assets |
$ | 303,531 | $ | 2,723,982 | $ | 113 | $ | 3,027,626 | ||||||||
| LIABILITIES |
||||||||||||||||
| $ | — | $ | — | $ | — | $ | — | |||||||||
| Total Liabilities |
$ | — | $ | — | $ | — | $ | — | ||||||||
| † | Please refer to the Schedule of Investments to view securities segregated by country. |
There were no transfers between Levels 1 and 2 during the period.
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND | PREFERRED STOCKS |
RIGHTS | ||||||
| Balance as of December 31, 2011 | $ | — | $ | — | ||||
| Accrued discounts/(premiums) |
— | — | ||||||
| Realized gain/(loss) |
— | — | ||||||
| Change in unrealized appreciation/(depreciation) |
111 | 2 | ||||||
| Purchases |
— | — | ||||||
| Sales |
— | — | ||||||
| Transfers in to Level 3 |
— | — | ||||||
| Transfers out of Level 3 | — | — | ||||||
| Balance as of June 30, 2012 | $ | 111 | $ | 2 | ||||
The total change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3 investments still held at June 30, 2012 is $111 and $2 for preferred stocks and rights, respectively.
| AQR Funds | Semi-Annual Report | June 2012 | 175 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
6. Investment Transactions
During the period ended June 30, 2012, 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 |
$ | 198,784,944 | $ | 196,556,431 | $ | — | $ | — | ||||||||
| AQR International Equity Fund |
275,503,774 | 225,286,075 | — | — | ||||||||||||
| AQR Diversified Arbitrage Fund |
1,988,032,762 | 2,107,724,633 | 854,252,884 | 883,044,913 | ||||||||||||
| AQR Managed Futures Strategy Fund |
— | — | — | — | ||||||||||||
| AQR Risk Parity Fund |
332,282,788 | 175,946,508 | — | — | ||||||||||||
| AQR Multi-Strategy Alternative Fund |
345,601,431 | 81,544,929 | 322,376,753 | 90,278,267 | ||||||||||||
| AQR Momentum Fund |
201,844,762 | 96,792,479 | — | — | ||||||||||||
| AQR Small Cap Momentum Fund |
50,927,836 | 36,891,686 | — | — | ||||||||||||
| AQR International Momentum Fund |
79,183,837 | 52,942,546 | — | — | ||||||||||||
| AQR Tax-Managed Momentum Fund |
3,191,400 | 594,025 | — | — | ||||||||||||
| AQR Tax-Managed Small Cap Momentum Fund |
2,960,486 | 657,142 | — | — | ||||||||||||
| AQR Tax-Managed International Momentum Fund |
3,974,296 | 1,042,256 | — | — | ||||||||||||
The AQR Risk Parity Fund had purchases and sales of long-term U.S. Government obligations of $180,015,428 and $88,778,911, 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, 2012 are as follows:
| ASSETS | LIABILITIES | |||||||||||||||||||||||||||
| FUND | |
UNREALIZED APPRECIATION ON FUTURES CONTRACTS |
|
|
SWAPS AT |
|
|
UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS |
|
|
WRITTEN OPTIONS AT MARKET VALUE |
|
|
UNREALIZED DEPRECIATION ON FUTURES CONTRACTS |
|
|
SWAPS AT VALUE |
|
|
UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS |
| |||||||
| Equity Risk Exposure: | ||||||||||||||||||||||||||||
| AQR Global Equity Fund |
$4,167,765 | $299,546 | $— | $— | $672,518 | $— | $— | |||||||||||||||||||||
| AQR International Equity Fund |
6,844,938 | 73,119 | — | — | 1,001,987 | — | — | |||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
— | 8,880 | — | 568,385 | 3,032,483 | 85 | — | |||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
331,062 | 714 | — | — | 13,896,635 | — | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
3,022,035 | 150,080 | — | — | 167,841 | 52,848 | — | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
2,746,444 | 346,867 | — | 75,095 | 2,812,333 | 5,624,704 | — | |||||||||||||||||||||
| AQR Momentum Fund |
39,501 | — | — | — | — | — | — | |||||||||||||||||||||
| AQR Small Cap Momentum Fund |
18,636 | — | — | — | — | — | — | |||||||||||||||||||||
| AQR International Momentum Fund |
— | — | — | — | — | — | — | |||||||||||||||||||||
| Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||||||
| AQR Global Equity Fund |
— | — | 4,664,636 | — | — | — | 3,757,077 | |||||||||||||||||||||
| AQR International Equity Fund |
— | — | 7,176,054 | — | — | — | 4,257,666 | |||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
— | — | 3,041,680 | — | — | — | 901,753 | |||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
— | — | 12,562,279 | — | — | — | 31,995,017 | |||||||||||||||||||||
| AQR Risk Parity Fund |
— | — | 2,413,475 | — | — | — | 2,898,596 | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
— | — | 6,383,514 | — | — | — | 5,908,592 | |||||||||||||||||||||
| AQR International Momentum Fund |
— | — | — | — | — | — | — | |||||||||||||||||||||
| 176 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
| ASSETS | LIABILITIES | |||||||||||||||||||||||||||
| FUND | |
UNREALIZED APPRECIATION ON FUTURES CONTRACTS |
|
|
SWAPS AT VALUE |
|
|
UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS |
|
|
WRITTEN OPTIONS AT MARKET VALUE |
|
|
UNREALIZED DEPRECIATION ON FUTURES CONTRACTS |
|
|
SWAPS AT VALUE |
|
|
UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS |
| |||||||
| Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
206,806 | — | — | — | 88,698 | — | — | |||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
5,534,848 | 50,902 | — | — | 2,804,693 | 1,385,888 | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
773,838 | 10,513,107 | — | — | 1,646,130 | 5,467,516 | — | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
560,431 | 171,028 | — | — | 477,497 | 272,371 | — | |||||||||||||||||||||
| Credit Risk Exposure: | ||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
— | 6,098,015 | — | — | — | 25,283 | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
— | 2,751,626 | — | — | — | 10,618,139 | — | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
— | — | — | — | — | 729,796 | — | |||||||||||||||||||||
| Commodity Exposure: | ||||||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
10,399,716 | 242,890 | — | — | 18,352,047 | 4,335,753 | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
4,416,797 | 205,861 | — | — | 8,087,718 | — | — | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
1,280,748 | — | — | — | 2,049,934 | 196,799 | — | |||||||||||||||||||||
| Netting: | ||||||||||||||||||||||||||||
| AQR Global Equity Fund |
(672,518) | — | (3,757,077) | — | (672,518) | — | (3,757,077) | |||||||||||||||||||||
| AQR International Equity Fund |
(1,001,987) | — | (4,257,666) | — | (1,001,987) | — | (4,257,666) | |||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
(206,806) | (25,368) | (901,753) | — | (206,806) | (25,368) | (901,753) | |||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
(16,265,626) | (294,506) | (12,562,279) | — | (16,265,626) | (294,506) | (12,562,279) | |||||||||||||||||||||
| AQR Risk Parity Fund |
(8,212,670) | (13,620,674) | (2,413,475) | — | (8,212,670) | (13,620,674) | (2,413,475) | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
(4,587,623) | (517,895) | (5,908,592) | (4,587,623) | (517,895) | (5,908,592) | ||||||||||||||||||||||
| AQR Momentum Fund |
— | — | — | — | — | |||||||||||||||||||||||
| AQR Small Cap Momentum Fund |
— | — | — | — | — | — | ||||||||||||||||||||||
| AQR International Momentum Fund |
— | — | — | — | — | — | ||||||||||||||||||||||
| Net Fair Value of Derivative Contracts: | ||||||||||||||||||||||||||||
| AQR Global Equity Fund |
3,495,247 | 299,546 | 907,559 | — | — | — | — | |||||||||||||||||||||
| AQR International Equity Fund |
5,842,951 | 73,119 | 2,918,388 | — | — | — | — | |||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
— | 6,081,527 | 2,139,927 | 568,385 | 2,914,375 | — | — | |||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
— | — | — | — | 18,787,749 | 5,427,135 | 19,432,738 | |||||||||||||||||||||
| AQR Risk Parity Fund |
— | — | — | — | 1,689,019 | 2,517,829 | 485,121 | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
— | — | 474,922 | 75,095 | 752,141 | 6,305,775 | — | |||||||||||||||||||||
| AQR Momentum Fund |
39,501 | — | — | — | — | — | — | |||||||||||||||||||||
| AQR Small Cap Momentum Fund |
18,636 | — | — | — | — | — | — | |||||||||||||||||||||
| AQR International Momentum Fund |
— | — | — | — | — | — | — | |||||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2012 | 177 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
The following is the effect of Derivative Instruments on the Statements of Operations for the period ended June 30, 2012:
|
|
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 |
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS |
|
|
WRITTEN OPTIONS |
|
|
FUTURES CONTRACTS |
|
|
SWAPS AND
SWAPS |
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS |
|
|
WRITTEN OPTIONS |
| ||||||||
| Equity Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Global Equity Fund |
$(3,926,851) | $116,714 | $— | $— | $1,187,750 | $404,518 | $— | $— | ||||||||||||||||||||||||
| AQR International Equity Fund |
(7,435,445) | (713,951) | — | — | 1,796,809 | 892,413 | — | — | ||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
(5,656,546) | — | — | 218,996 | (2,278,196) | 8,795 | — | (387,514) | ||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
18,664,179 | (1,067,695) | — | — | (16,041,115) | (300,759) | — | — | ||||||||||||||||||||||||
| AQR Risk Parity Fund |
(2,080,428) | (589,440) | — | — | 2,286,860 | 62,720 | — | — | ||||||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
(6,468,225) | 9,799,607 | — | (47,470) | (507,179) | (5,811,726) | — | 295 | ||||||||||||||||||||||||
| AQR Momentum Fund |
464,308 | — | — | — | 753 | — | — | — | ||||||||||||||||||||||||
| AQR Small Cap Momentum Fund |
(55,745) | — | — | — | 2,448 | — | — | — | ||||||||||||||||||||||||
| AQR Tax-Managed Momentum Fund |
2,745 | — | — | — | — | — | — | — | ||||||||||||||||||||||||
| AQR Tax-Managed Small Cap Momentum Fund |
(3,953) | — | — | — | — | — | — | — | ||||||||||||||||||||||||
| Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Global Equity Fund |
— | — | 950,304 | — | — | — | 1,083,356 | — | ||||||||||||||||||||||||
| AQR International Equity Fund |
— | — | 1,044,829 | — | — | — | 3,421,036 | — | ||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
— | — | (701,605) | — | — | — | 1,199,960 | — | ||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
— | — | 10,333,798 | — | — | — | (27,969,476) | — | ||||||||||||||||||||||||
| AQR Risk Parity Fund |
— | — | 6,005,916 | — | — | — | (1,678,875) | — | ||||||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
— | — | (1,208,738) | — | — | — | 1,097,460 | — | ||||||||||||||||||||||||
| AQR International Momentum Fund |
— | — | 20,568 | — | — | — | — | — | ||||||||||||||||||||||||
| AQR Tax-Managed International Momentum Fund |
— | — | 6,182 | — | — | — | — | — | ||||||||||||||||||||||||
| Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
(1,082,217) | — | — | — | 551,281 | — | — | — | ||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
16,266,205 | 982,477 | — | — | (6,197,327) | (2,614,324) | — | — | ||||||||||||||||||||||||
| AQR Risk Parity Fund |
7,570,115 | 9,695,530 | — | — | (892,494) | (458,943) | — | — | ||||||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
2,296,805 | 327,681 | — | — | (160,785) | (289,974) | — | — | ||||||||||||||||||||||||
| Credit Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
— | (13,596,759) | — | — | — | 4,441,668 | — | — | ||||||||||||||||||||||||
| AQR Risk Parity Fund |
— | 12,259,292 | — | — | — | (6,650,114) | — | — | ||||||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
— | 320,526 | — | — | — | 62,628 | — | — | ||||||||||||||||||||||||
| Commodity Exposure: | ||||||||||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
25,694,666 | 4,606,026 | — | — | (16,295,790) | (1,684,897) | — | — | ||||||||||||||||||||||||
| AQR Risk Parity Fund |
(6,595,965) | 440,332 | — | — | (2,105,767) | 209,436 | — | — | ||||||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
2,306,318 | 127,669 | — | — | (994,141) | (118,104) | — | — | ||||||||||||||||||||||||
| * | Swaps and swaps on futures are consolidated for financial reporting purposes. |
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.
| 178 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
As of June 30, 2012, the following Funds had net liability positions:
| FUND | DERIVATIVES IN NET LIABILITY POSITION |
COLLATERAL POSTED |
||||||
| AQR Global Equity Fund |
$— | $— | ||||||
| AQR International Equity Fund |
— | — | ||||||
| AQR Diversified Arbitrage Fund |
— | — | ||||||
| AQR Managed Futures Strategy Fund |
(43,647,622) | 110,461,142 | ||||||
| AQR Risk Parity Fund |
(4,691,969) | 57,236,584 | ||||||
| AQR Multi-Strategy Alternative Fund |
(6,658,089) | 35,524,824 | ||||||
| AQR Momentum Fund |
— | — | ||||||
| AQR Small Cap Momentum Fund |
— | — | ||||||
| AQR International Momentum Fund |
— | — | ||||||
| AQR Tax-Managed Momentum Fund |
— | — | ||||||
| AQR Tax-Managed Small Cap Momentum Fund |
— | — | ||||||
| AQR Tax-Managed International Momentum Fund |
— | — | ||||||
For the period ended June 30, 2012, the quarterly average values of the derivatives held by the Funds were as follows:
| FUND | SWAP CONTRACTS (NOTIONAL VALUE) |
FUTURES CONTRACTS |
WRITTEN OPTION CONTRACTS |
FORWARD CURRENCY CONTRACTS |
||||||||||||
| AQR Global Equity Fund |
$ | 15,726,680 | $ | 171,257,382 | $ | — | $ | 413,478,447 | ||||||||
| AQR International Equity Fund |
24,050,911 | 246,028,929 | — | 662,370,987 | ||||||||||||
| AQR Diversified Arbitrage Fund |
169,129,483 | 458,265,205 | 519,525 | 114,687,405 | ||||||||||||
| AQR Managed Futures Strategy Fund |
655,582,351 | 6,815,391,101 | — | 3,437,012,997 | ||||||||||||
| AQR Risk Parity Fund |
1,392,202,831 | 468,976,868 | — | 341,942,797 | ||||||||||||
| AQR Multi-Strategy Alternative Fund |
111,658,308 | 1,152,933,308 | 37,978 | 667,945,647 | ||||||||||||
| AQR Momentum Fund |
— | 2,173,770 | — | — | ||||||||||||
| AQR Small Cap Momentum Fund |
— | 775,010 | — | — | ||||||||||||
| AQR International Momentum Fund |
— | — | — | — | ||||||||||||
| AQR Tax-Managed Momentum Fund |
— | — | — | — | ||||||||||||
| AQR Tax-Managed Small Cap Momentum Fund |
— | — | — | — | ||||||||||||
| AQR Tax-Managed International Momentum Fund |
— | — | — | — | ||||||||||||
| * | Values as of each quarter end are used to calculate the average represented. |
The Funds’ derivative contracts held at June 30, 2012, 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, or an Investment Management Agreement, dated June 10, 2010, as amended, 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 Funds’ Board of 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 Funds | Semi-Annual Report | June 2012 | 179 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
| FUND | RATIO | |||
| AQR Risk Parity Fund |
0.75 | *% | ||
| AQR Multi-Strategy Alternative Fund |
1.85 | ** | ||
| AQR Momentum Fund |
0.25 | |||
| AQR Small Cap Momentum Fund |
0.35 | |||
| AQR International Momentum Fund |
0.35 | |||
| AQR Tax-Managed Momentum Fund |
0.30 | |||
| AQR Tax-Managed Small Cap Momentum Fund |
0.40 | |||
| AQR Tax-Managed International Momentum Fund |
0.40 | |||
| * | 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 and the second tier charges 0.70% on net assets in excess of $1 billion dollars. |
| ** | The AQR Multi-Strategy Alternative Fund Advisory Fee is based on the following two tier structure. The first tier charges 1.85% on the first $1 billion dollars of net assets and the second tier charges 1.80% on net assets in excess of $1 billion dollars |
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, 2013. The Adviser has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:
| FUND CLASS | RATIO | |||
| AQR Global Equity Fund — Class I |
0.95 | % | ||
| AQR Global Equity Fund — Class N |
1.25 | |||
| AQR International Equity Fund — Class I |
1.00 | |||
| AQR International Equity Fund — Class N |
1.30 | |||
| 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 Multi-Strategy Alternative Fund — Class I |
1.98 | |||
| AQR Multi-Strategy Alternative Fund — Class N |
2.23 | |||
| AQR Momentum Fund — Class L |
0.49 | |||
| AQR Small Cap Momentum Fund — Class L |
0.65 | |||
| AQR International Momentum Fund — Class L |
0.65 | |||
| AQR Tax-Managed Momentum Fund — Class L |
0.54 | |||
| AQR Tax-Managed Small Cap Momentum Fund — Class L |
0.70 | |||
| AQR Tax-Managed International Momentum Fund — Class L |
0.70 | |||
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, 2012 through May 1, 2012 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 |
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 | |||
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
| 180 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
reimbursement was made. Repayments with respect to a Fund must be limited to amounts that do not cause the aggregate operating expenses of the Fund attributable to a share class during a year in which such repayment is made to exceed the applicable ratios when the waiver was generated. A repayment shall be payable only to the extent it can be made during the thirty six months following the applicable period during which the Adviser waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement.
For the period ended June 30, 2012, 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, 2012 are as follows:
| POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31 |
||||||||||||||||||||||||
| FEES WAIVED/ FOR THE PERIOD ENDED June 30, 2012 |
TOTAL POTENTIAL RECOUPMENT AMOUNT |
2012 | 2013 | 2014 | 2015 | |||||||||||||||||||
| AQR GLOBAL EQUITY FUND |
||||||||||||||||||||||||
| Class I |
$ | 5,353 | $ | 35,565 | $ | — | $ | — | $ | 30,212 | $ | 5,353 | ||||||||||||
| Class N |
5,258 | 37,178 | — | — | 31,920 | 5,258 | ||||||||||||||||||
| Class Y | — | 287,811 | — | 287,811 | ** | — | — | |||||||||||||||||
| Totals |
$ | 10,611 | $ | 360,554 | $ | — | $ | 287,811 | $ | 62,132 | $ | 10,611 | ||||||||||||
| AQR INTERNATIONAL EQUITY FUND |
|
|||||||||||||||||||||||
| Class I |
$ | — | $ | 68,908 | $ | 8,330 | $ | 60,578 | $ | — | $ | — | ||||||||||||
| Class N |
197 | 32,794 | 1,375 | 19,745 | 11,477 | 197 | ||||||||||||||||||
| Class Y | — | 488,290 | 242,140 | * | 246,150 | ** | — | — | ||||||||||||||||
| Totals |
$ | 197 | $ | 589,992 | $ | 251,845 | $ | 326,473 | $ | 11,477 | $ | 197 | ||||||||||||
| AQR DIVERSIFIED ARBITRAGE FUND |
|
|||||||||||||||||||||||
| Class I |
$ | 95,238 | $ | 1,554,860 | $ | 302,711 | * | $ | 129,192 | $ | 1,027,719 | $ | 95,238 | |||||||||||
| Class N | — | 296,466 | 47,119 | 106,194 | 143,153 | — | ||||||||||||||||||
| Totals |
$ | 95,238 | $ | 1,851,326 | $ | 349,830 | $ | 235,386 | $ | 1,170,872 | $ | 95,238 | ||||||||||||
| AQR MANAGED FUTURES STRATEGY FUND |
|
|||||||||||||||||||||||
| Class I |
$ | 114,993 | $ | 589,071 | $ | — | $ | 43,567 | $ | 430,511 | $ | 114,993 | ||||||||||||
| Class N | 50,816 | 411,274 | — | 52,983 | 307,475 | 50,816 | ||||||||||||||||||
| Totals |
$ | 165,809 | $ | 1,000,345 | $ | — | $ | 96,550 | $ | 737,986 | $ | 165,809 | ||||||||||||
| AQR RISK PARITY FUND |
|
|||||||||||||||||||||||
| Class I |
$ | — | $ | 164,271 | $ | — | $ | 19,117 | $ | 145,154 | $ | — | ||||||||||||
| Class N | 20,374 | 181,540 | — | 64,602 | 96,564 | 20,374 | ||||||||||||||||||
| Totals |
$ | 20,374 | $ | 345,811 | $ | — | $ | 83,719 | $ | 241,718 | $ | 20,374 | ||||||||||||
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
|
|||||||||||||||||||||||
| Class I |
$ | 224,266 | $ | 547,248 | $ | — | $ | — | $ | 322,982 | $ | 224,266 | ||||||||||||
| Class N | 30,329 | 89,820 | — | — | 59,491 | 30,329 | ||||||||||||||||||
| Totals |
$ | 254,595 | $ | 637,068 | $ | — | $ | — | $ | 382,473 | $ | 254,595 | ||||||||||||
| AQR Funds | Semi-Annual Report | June 2012 | 181 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
| POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31 |
||||||||||||||||||||||||
| FEES WAIVED/ FOR THE PERIOD ENDED June 30, 2012 |
TOTAL POTENTIAL RECOUPMENT AMOUNT |
2012 | 2013 | 2014 | 2015 | |||||||||||||||||||
| AQR MOMENTUM FUND |
|
|||||||||||||||||||||||
| Class L |
$ | 199,813 | $ | 908,487 | $ | 125,259 | $ | 165,059 | $ | 418,356 | $ | 199,813 | ||||||||||||
| AQR SMALL CAP MOMENTUM FUND |
|
|||||||||||||||||||||||
| Class L |
$ | 66,368 | $ | 531,163 | $ | 124,592 | $ | 168,573 | $ | 171,630 | $ | 66,368 | ||||||||||||
| AQR INTERNATIONAL MOMENTUM FUND |
|
|||||||||||||||||||||||
| Class L |
$ | 92,876 | $ | 711,209 | $ | 121,539 | $ | 266,187 | $ | 230,607 | $ | 92,876 | ||||||||||||
| AQR TAX-MANAGED MOMENTUM FUND |
|
|||||||||||||||||||||||
| Class L |
$ | 77,901 | $ | 77,901 | $ | — | $ | — | $ | — | $ | 77,901 | ||||||||||||
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
||||||||||||||||||||||||
| Class L |
$ | 77,185 | $ | 77,185 | $ | — | $ | — | $ | — | $ | 77,185 | ||||||||||||
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
||||||||||||||||||||||||
| Class L | $ | 99,380 | $ | 99,380 | $ | — | $ | — | $ | — | $ | 99,380 | ||||||||||||
| * | 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. |
During the period ended June 30, 2012, AQR Diversified Arbitrage Fund Class N and AQR Risk Parity Fund Class I recouped $155,808 and $49,864, respectively.
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 1.00% and 0.35% of the average daily net assets for AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund, respectively.
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 period ended June 30, 2012, were as follows:
| FUND CLASS | AMOUNT | |||
| AQR Global Equity Fund — Class I |
$ | 209 | ||
| AQR Global Equity Fund — Class N |
235 | |||
| AQR International Equity Fund — Class I |
31,147 | |||
| AQR International Equity Fund — Class N |
2,603 | |||
| 182 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
| FUND CLASS | AMOUNT | |||
| AQR Diversified Arbitrage Fund — Class I |
$ | 815,694 | ||
| AQR Diversified Arbitrage Fund — Class N |
341,499 | |||
| AQR Managed Futures Strategy Fund — Class I |
580,842 | |||
| AQR Managed Futures Strategy Fund — Class N |
223,719 | |||
| AQR Risk Parity Fund — Class I |
111,885 | |||
| AQR Risk Parity Fund — Class N |
39,362 | |||
| AQR Multi-Strategy Alternative Fund — Class I |
187,559 | |||
| AQR Multi-Strategy Alternative Fund — Class N |
16,353 | |||
| AQR Momentum Fund — Class L |
193,917 | |||
| AQR Small Cap Momentum Fund — Class L |
56,709 | |||
| AQR International Momentum Fund — Class L |
47,103 | |||
| AQR Tax-Managed Momentum Fund — Class L |
938 | |||
| AQR Tax-Managed Small Cap Momentum Fund — Class L |
958 | |||
| AQR Tax-Managed International Momentum Fund — Class L |
1,012 | |||
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, AQR Risk Parity Fund and AQR Multi-Strategy Alternative 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, 2012, were as follows:
| FUND CLASS | AMOUNT | |||
| AQR Global Equity Fund — Class I |
$ | 3,128 | ||
| AQR Global Equity Fund — Class N |
2,741 | |||
| AQR International Equity Fund — Class I |
233,603 | |||
| AQR International Equity Fund — Class N |
20,929 | |||
| AQR Momentum Fund — Class L |
290,883 | |||
| AQR Small Cap Momentum Fund — Class L |
85,801 | |||
| AQR International Momentum Fund — Class L |
70,656 | |||
| AQR Tax-Managed Momentum Fund — Class L |
1,407 | |||
| AQR Tax-Managed Small Cap Momentum Fund — Class L |
1,437 | |||
| AQR Tax-Managed International Momentum Fund — Class L |
1,518 | |||
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. Effective May 1, 2011, this fee was eliminated for Class I, Class N and Class L Shares.
| AQR Funds | Semi-Annual Report | June 2012 | 183 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
11. 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 U.S. 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.
The Funds are not limited in the percentage of its assets that may be invested in convertible securities. Convertible securities generally offer lower interest or dividend yields than non-convertible securities of similar quality. The market values of convertible securities tend to decline as interest rates increase and, conversely, to increase as interest rates decline. However, the convertible security’s market value tends to reflect the market price of the common stock of the issuing company when that stock price is greater than the convertible’s “conversion price,” which is the predetermined price at which the convertible security could be exchanged for the associated stock.
Convertible securities and non-convertible income producing securities are subject to certain risks, including (i) if interest rates go up, the value of convertible securities and non-convertible income-producing securities in the Funds’ portfolio generally will decline; (ii) during periods of declining interest rates, the issuer of a security may exercise its option to prepay principal earlier than scheduled, forcing the Funds to reinvest in lower yielding securities (call or prepayment risk); and (iii) during periods of rising interest rates, the average life of certain types of securities may be extended because of slower than expected principal payments (extension risk).
Credit risk is the risk that one or more securities in the Funds’ portfolio will decline in price, or fail to pay interest or principal when due, because the issuer of the security experiences a decline in its financial status. The Funds’ investments in convertible and nonconvertible debt securities involve credit risk. However, in general, lower rated securities carry a greater degree of risk that the issuer will lose its ability to make interest and principal payments, which could have a negative impact on the Funds’ net asset value or dividends.
As of June 30, 2012, a substantial portion of the AQR Global Equity, AQR International Equity, AQR International Momentum and AQR Tax-Managed 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, 2012, the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund pledged a substantial portion of their assets for securities sold short to JPMorgan Chase Bank, N.A.
12. Line of Credit
For the period of January 1, 2012 to March 1, 2012, the Trust (excluding the AQR Managed Futures Strategy Fund and AQR Risk Parity Fund) had secured a committed, $150,000,000 line of credit with JPMorgan Chase Bank, N.A. Borrowings, if any, under this arrangement bore interest at the Federal Funds Rate plus the sum of (a) 1.5% per annum
| 184 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2012 |
plus (b) if the LIBOR Reference Rate exceeded the Federal Funds Rate, the amount of such excess, which was paid quarterly. The maximum loan amount outstanding per Fund was the lesser of an amount which did not exceed the borrowing limits set forth in the Fund’s Prospectus and/or Registration Statement and did not cause the Asset Coverage Ratio for all borrowings to drop below 500%. The agreement was subject to an annual commitment fee which was payable in arrears on a quarterly basis. This line of credit expired on March 16, 2012. For the period ended March 16, 2012, the Funds did not have any outstanding borrowings under this agreement.
Effective March 2, 2012, the Trust (excluding the AQR Managed Futures Strategy Fund and AQR Risk Parity Fund) had secured a committed, $150,000,000 line of credit with Bank of America, N.A. Borrowings, if any, under this arrangement bore interest at the sum of (a) 1.0% per annum plus (b) the higher of (i) the Federal Funds Rate and (ii) the Eurodollar Rate, the amount of such excess, which was paid quarterly. The maximum loan amount outstanding per Fund was the lesser of an amount which did not exceed the borrowing limits set forth in the Fund’s Prospectus and/or Registration Statement and did not cause the Asset Coverage Ratio for all borrowings to drop below 500%. The agreement was subject to an annual commitment fee which was payable in arrears on a quarterly basis. For the period ended June 30, 2012, the Funds did not have any outstanding borrowings under this agreement.
13. Principal Ownership
As of June 30, 2012, the Funds had individual shareholder accounts owning more than 5% of the total shares outstanding of the Fund as follows:
| FUND | NUMBER OF SHAREHOLDERS |
TOTAL PERCENTAGE INTEREST HELD |
||||||
| AQR Global Equity Fund |
3 | 92.84% | ||||||
| AQR International Equity Fund |
5 | 61.42% | ||||||
| AQR Risk Parity Fund |
2 | 16.66% | ||||||
| AQR Momentum Fund |
1 | 33.76% | ||||||
| AQR Tax-Managed Momentum Fund |
3 | 78.18% | ||||||
| AQR Tax-Managed Small Cap Momentum Fund |
3 | 86.89% | ||||||
| AQR Tax-Managed International Momentum Fund |
3 | 69.07% | ||||||
14. New Accounting Pronouncements
In December 2011, FASB issued ASU No. 2011-11, Balance Sheet (Topic 210): Disclosures about Offsetting Assets and Liabilities. The amendments in the ASU enhance disclosures about offsetting of financial assets and liabilities to enable investors to understand the effect of these arrangements on a Fund’s financial position. The ASU is effective for interim and annual reporting periods beginning on or after January 1, 2013. The Funds believe the adoption of this ASU will not have a material impact on their financial statements.
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 accrual or disclosure.
| AQR Funds | Semi-Annual Report | June 2012 | 185 | |||||||||||||
| 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 6/30/12” 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 6/30/12 |
ANNUALIZED EXPENSE |
EXPENSES PAID FOR THE PERIOD ENDING 6/30/12 |
|||||||||||||
| AQR Global Equity Fund |
||||||||||||||||
| Class I |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,051.10 | 0.92% | $4.69 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.29 | 0.92% | $4.62 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,050.20 | 1.22% | $6.22 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.80 | 1.22% | $6.12 | ||||||||||||
| Class Y |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,053.00 | 0.51% | $2.60 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,022.33 | 0.51% | $2.56 | ||||||||||||
| AQR International Equity Fund |
||||||||||||||||
| Class I |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,032.60 | 0.90% | $4.55 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.39 | 0.90% | $4.52 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,029.70 | 1.27% | $6.41 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.55 | 1.27% | $6.37 | ||||||||||||
| Class Y |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,033.40 | 0.54% | $2.73 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,022.18 | 0.54% | $2.72 | ||||||||||||
| 186 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| BEGINNING ACCOUNT DATE VALUE |
ENDING ACCOUNT VALUE 6/30/12 |
ANNUALIZED EXPENSE |
EXPENSES PAID FOR THE PERIOD ENDING 6/30/12 |
|||||||||||||
| AQR Diversified Arbitrage Fund |
||||||||||||||||
| Class I |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,011.00 | 1.21% | $6.05 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.85 | 1.21% | $6.07 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,009.20 | 1.51% | $7.54 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,017.35 | 1.51% | $7.57 | ||||||||||||
| AQR Managed Futures Strategy Fund |
||||||||||||||||
| Class I |
||||||||||||||||
| Actual Return |
$1,000.00 | $999.00 | 1.25% | $6.21 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.65 | 1.25% | $6.27 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $996.90 | 1.50% | $7.45 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,017.40 | 1.50% | $7.52 | ||||||||||||
| AQR Risk Parity Fund |
||||||||||||||||
| Class I |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,045.20 | 0.95% | $4.83 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.14 | 0.95% | $4.77 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,044.40 | 1.20% | $6.10 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.90 | 1.20% | $6.02 | ||||||||||||
| AQR Multi-Strategy Alternative Fund |
||||||||||||||||
| Class I |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,002.10 | 1.98% | $9.86 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,015.02 | 1.98% | $9.92 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,002.10 | 2.23% | $11.10 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,013.77 | 2.23% | $11.17 | ||||||||||||
| AQR Momentum Fund |
||||||||||||||||
| Class L |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,117.40 | 0.49% | $2.58 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,022.43 | 0.49% | $2.46 | ||||||||||||
| AQR Small Cap Momentum Fund |
||||||||||||||||
| Class L |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,108.70 | 0.65% | $3.41 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,021.63 | 0.65% | $3.27 | ||||||||||||
| AQR International Momentum Fund |
||||||||||||||||
| Class L |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,044.90 | 0.65% | $3.30 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,021.63 | 0.65% | $3.27 | ||||||||||||
| AQR Tax-Managed Momentum Fund |
||||||||||||||||
| Class L |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,082.00 | 0.54% | $2.40 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,022.18 | 0.54% | $2.72 | ||||||||||||
| AQR Funds | Semi-Annual Report | June 2012 | 187 | |||||||||||||
| BEGINNING ACCOUNT DATE VALUE |
ENDING ACCOUNT VALUE 6/30/12 |
ANNUALIZED EXPENSE |
EXPENSES PAID FOR THE PERIOD ENDING 6/30/12 |
|||||||||||||
| AQR Tax-Managed Small Cap Momentum Fund |
||||||||||||||||
| Class L |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,040.00 | 0.70% | $3.04 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,021.38 | 0.70% | $3.52 | ||||||||||||
| AQR Tax-Managed International Momentum Fund |
||||||||||||||||
| Class L |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,018.00 | 0.70% | $3.01 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,021.38 | 0.70% | $3.52 | ||||||||||||
Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 182/366 (to reflect the one-half year period unless stated otherwise).
| (1) | Commencement of operations was January 27, 2012. |
| (a) | Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 156/366 (to reflect the period since commencement of operations). |
| 188 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Board Approval of Investment Advisory Agreements (Unaudited) |
The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on February 23-24, 2012, to consider the continuation of the: (i) Investment Advisory Agreement between the Trust, on behalf of the AQR Global Equity Fund, AQR International Equity Fund, AQR Managed Futures Strategy Fund, AQR Momentum Fund, AQR Small Cap Momentum Fund, and AQR International Momentum Fund and AQR Capital Management, LLC (“AQR”) (the “Investment Advisory Agreement”); (ii) Investment Management Agreement between the Trust, on behalf of AQR Diversified Arbitrage Fund and AQR Risk Parity Fund (“Investment Management Agreement”); and (iii) Amended and Restated Investment Sub-Advisory agreement (the “Sub-Advisory Agreement”) with CNH Partners, LLC (the “Sub-Adviser”) for the AQR Diversified Arbitrage Fund. 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 Advisory Agreement, the Investment Management Agreement and the 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 the AQR Diversified Arbitrage Fund; (iii) performance information of the Funds relevant to consideration of the Investment Advisory Agreement, Investment Management 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 Advisory Agreement, Investment Management Agreement and the Sub-Advisory Agreement are referred to collectively herein as the “Advisory Agreement,” as applicable.
At the in person meeting held on February 23-24, 2012, the Board, including the Board Members who are not “interested persons” as defined in the 1940 Act (the “Independent Trustees”), unanimously approved the continuation of the Investment Advisory Agreement, Investment Management Agreement and the 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 Funds portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board did not identify any particular information as controlling, and each Board Member may have attributed different 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 to be provided by the Adviser. The Board Members reviewed the services that the Adviser provides to the Funds under the Advisory, Investment Management and Sub-Advisory Agreements. The Board considered the size and experience of the Adviser and Sub-Adviser’s staff, their use of technology, and the Funds’ investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Adviser and Sub-Adviser as an investment adviser. In connection with the investment advisory and sub-advisory services to be provided to the Funds, the Board Members took into account detailed discussions they had with officers of the Adviser and Sub-Adviser regarding the management of each Fund’s investments in accordance with the Funds’ stated investment objective and policies and the types of transactions that are entered into on behalf of the Funds. During these discussions, the Board Members asked detailed questions of, and received answers from, the officers of the Adviser regarding the formulation and implementation of the Funds’ investment strategies, its efficacy and potential risks. The Board considered information about how portfolio managers are compensated by the Adviser.
In addition to the investment advisory, investment management and sub-advisory services to be provided to the Funds, the Board Members considered that AQR provides administrative services, has responsibility for overseeing CNH, with respect to the AQR Diversified Arbitrage Fund, 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 to be provided to the Funds by AQR. The Board also reviewed a wide range of services to be provided to certain of the Funds’ shareholders under a shareholder services agreement between the Trust, on behalf of the Funds, and AQR. These services include providing information and
| AQR Funds | Semi-Annual Report | June 2012 | 189 | |||||||||||||
| Board Approval of Investment Advisory Agreements (Unaudited) | ||
services to Fund shareholders, including professional and informative reporting, access to analysis and explanations of Fund reports, and electronic access to Fund information.
The Independent Trustees 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 23-24, 2012, Board Meeting, the Board concluded that the continuation of the Advisory Agreement was in the best interests of the Fund.
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 Trustees 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 to be Realized by the Adviser from the Relationship with the Funds. The Board, including the Independent Board Members, received and reviewed information regarding the management fees to be paid by the Funds to the Adviser pursuant to the Advisory Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services provided to the Funds.
To assist in this analysis, the Board received materials independently prepared by Lipper Analytical Services (“Lipper Report”). The Lipper Report illustrated comparative fee information for the Funds’ expense group and expense universe, including expense comparisons of contractual management fees and actual total operating expenses. The Board also received and reviewed information regarding the profitability of the Adviser with respect to Fund-related activities and 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 management fee is reasonable.
Economies of Scale. The Adviser and Sub-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 none of the Funds, except for the AQR Risk Parity Fund, currently 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 and Sub-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 further enhance the quality of, its operations.
Other Factors. The Board also took into account other ancillary or “fall-out” benefits that the Adviser, Sub-Adviser or their affiliates may derive from its relationship with the Funds, both tangible and intangible. The Board also received information regarding the Adviser and Sub-Adviser’s brokerage and soft dollar practices. The Board considered that the Adviser and Sub-Adviser are 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 and Sub-Adviser do 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 investment management agreements. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the Independent Trustees, concluded that the proposed management fee rates and projected total expense ratios are reasonable in relation to the services to be provided by the Adviser and Sub-Adviser to the Funds, as well as the costs incurred and benefits to be gained by the Adviser and Sub-Adviser in providing such services, including the investment
| 190 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Board Approval of Investment Advisory Agreements (Unaudited) |
advisory and administrative components. The Board also found the proposed investment management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of similar, actual or anticipated size. As a result, all of the Board Members, including the Independent Trustees, approved the continuation of the Advisory Agreement with respect to the Funds. The Independent Board Members were represented by counsel who assisted them in their deliberations.
The Board of Trustees (the “Board,” and the members of which are referred to as “Board Members”) of the AQR Funds (the “Trust”) met in person on November 15, 2011, to consider the approval of the investment advisory agreement between the Trust, on behalf of the AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap Momentum Fund and AQR Tax-Managed International Momentum Fund (together, the “Funds”), and AQR Capital Management, LLC (“AQR”) (the “Investment Advisory Agreement”). 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 relevant to the Board’s consideration of whether to approve the Investment Advisory Agreement. These materials included: (1) memoranda and materials provided by AQR, describing the personnel and services to be provided to the Funds; (2) performance information for strategies and model portfolios relevant to the consideration of the Investment Advisory Agreement; (3) information independently compiled and prepared by Lipper, Inc. (“Lipper”) relating to the Funds’ proposed fees and expenses; (4) a discussion of the financial statements of AQR; and (5) a discussion of the compliance program and the regulatory exam history of AQR. AQR is referred to herein as the “Adviser,” as applicable.
At an in person meeting held on November 15, 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 Investment Advisory Agreement for an initial two-year period. The Board considered all factors it believed to be relevant with respect to the Funds, including, among other factors: (a) the nature, extent and quality of the services to be provided by the Adviser; (b) the investment performance of the Adviser and the Adviser’s portfolio management; (c) the 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 the services related to the valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the Funds and advice from independent legal counsel with respect to the review process and materials submitted for the Board’s review. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weightings to the various items considered.
The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Investment Advisory Agreement:
The nature, extent and quality of the services to be provided by the Adviser. The Board Members reviewed the services that the Adviser would provide to the Funds under the Investment Advisory Agreement. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Funds’ stated investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services to be provided to the Funds, the Board Members took into account detailed conversations they had with officers of the Adviser regarding the management of the Funds’ investments in accordance with the Funds’ stated investment objectives and policies and the types of transactions that would be entered into on behalf of the Funds. During these discussions, the Board Members asked detailed questions of, and received answers from, the officers of the Adviser regarding the formulation and proposed implementation of the Funds’ investment strategies, their efficacy and potential risks.
In addition to the investment advisory services to be provided to the Funds, the Board Members considered that AQR also will provide shareholder and administrative services, oversight of Fund accounting, marketing services, and assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board Members reviewed the compliance and administrative services to be provided to the Funds by AQR. The Board also reviewed a wide range of services to be provided to certain of the Funds’ shareholders under a shareholder services agreement between the Trust, on behalf 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.
| AQR Funds | Semi-Annual Report | June 2012 | 191 | |||||||||||||
| Board Approval of Investment Advisory Agreements (Unaudited) | ||
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 Investment Advisory Agreement. Based on the presentations at the November 15, 2011 Board meeting, the Board concluded that the services to be provided to the Funds by AQR pursuant to the Investment Advisory Agreement were likely to be of a high quality and would benefit the Funds.
Investment Performance and the Adviser’s Portfolio Management. Because the Funds are newly formed, the Board did not consider the investment performance of the Funds. The Board based its review of the Adviser’s performance primarily on the experience of the Adviser in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds. The Board reviewed performance information for strategies and model portfolios similar to that of the Funds. The Board also considered the experience, resources and strengths of the Adviser and its affiliates with respect to the investment strategies proposed for the Funds. Based on these factors, the Board Members determined that the AQR would be an appropriate investment adviser for the Funds.
The Advisory Fee and the Cost of the Services and Profits to be 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 to be paid by the Funds to the Adviser pursuant to the Investment Advisory Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services to be provided to the 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 investment advisory fees and actual total operating expenses.
The Board also received and reviewed information regarding the profitability of the Adviser with respect to Fund-related activities. The Board took into consideration the Adviser’s profits from the management of other private accounts. The Board also reviewed the Adviser’s methodology of determining profitability. The Board recognized that profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Adviser, the types of funds managed, 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 is reasonable.
Economies of Scale. Because the Funds are newly formed and had not commenced operations as of November 15, 2011, and the eventual aggregate amount of Fund assets was uncertain, the Adviser was not able to provide the Board Members with specific information concerning the extent to which economies of scale would be realized as the Funds grow and whether fee levels would reflect such economies of scale, if any. 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 Funds, 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 firm’s various advisory clients. The Board noted that the Adviser does not presently intend to make use of soft dollars to acquire third-party research.
Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of investment 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 proposed advisory fee rates and projected total expense ratios are reasonable in relation to the services to be provided by the Adviser to the Funds, as well as the costs incurred and
| 192 | AQR Funds | Semi-Annual Report | June 2012 | |||||||||||||
| Board Approval of Investment Advisory Agreements (Unaudited) |
benefits to be gained by the Adviser in providing such services, including the investment advisory and administrative components. The Board also found the proposed investment 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 Investment Advisory Agreement with respect to the Funds. The Independent Board Members were represented by counsel who assisted them in their deliberations.
| AQR Funds | Semi-Annual Report | June 2012 | 193 | |||||||||||||
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.
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. | |
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 |
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| Marco Hanig, |
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| Principal Executive Officer |
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| September 4, 2012 |
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 |
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| Marco Hanig, |
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| Principal Executive Officer |
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| Date: September 4, 2012 |
| By: /s/ Nir Messafi |
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| Nir Messafi, |
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| Principal Financial Officer |
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| Date: September 4, 2012 |