UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-22235
AQR Funds
(Exact name of registrant as specified in charter)
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
(Address of principal executive offices) (Zip code)
Bradley D. Asness, Esq.
Principal and Chief Legal Officer
Two Greenwich Plaza
4th Floor
Greenwich, CT 06830
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: 203-742-3600
Date of fiscal year end: December 31
Date of reporting period: January 1, 2013 to June 30, 2013
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 | ||||
| 2 | ||||
| 11 | ||||
| 18 | ||||
| 21 | ||||
| 24 | ||||
| 27 | ||||
| 49 | ||||
| 55 | ||||
| 63 | ||||
| 69 | ||||
| 73 | ||||
| 80 | ||||
| 85 | ||||
| 89 | ||||
| 94 | ||||
| Financial Statements and Notes | 98 | |||
| Fund Expense Examples | 162 | |||
| Board Approval of Investment Advisory Agreements | 166 | |||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 2 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 3 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 4 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 5 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 6 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 7 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
Total return swap contract outstanding as of June 30, 2013:
Over the Counter
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION |
|||||||||
| The Royal Bank of Scotland | Swiss Market Index Futures | 9/20/2013 | CHF | (4,409,465) | $49,037 | |||||||||
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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, 2013:
Exchange Traded
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 19 | Amsterdam Index Futures | July 19, 2013 | $1,735,719 | $1,705,474 | $(30,245) | |||||||||||
| 250 | CAC40 10 Euro Futures | July 19, 2013 | 12,503,462 | 12,152,529 | (350,933) | |||||||||||
| 55 | DAX Index Futures | September 20, 2013 | 14,689,333 | 14,258,193 | (431,140) | |||||||||||
| 223 | FTSE 100 Index Futures | September 20, 2013 | 21,440,225 | 20,898,073 | (542,152) | |||||||||||
| 51 | Hang Seng Index Futures | July 30, 2013 | 6,528,998 | 6,815,189 | 286,191 | |||||||||||
| 96 | IBEX 35 Index Futures | July 19, 2013 | 10,084,303 | 9,582,935 | (501,368) | |||||||||||
| 7 | MSCI Singapore Index Futures | July 30, 2013 | 382,253 | 390,343 | 8,090 | |||||||||||
| 49 | S&P 500 E-Mini Futures | September 20, 2013 | 3,970,032 | 3,918,285 | (51,747) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 8 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: (continued) | ||||||||||||||||
| 162 | TOPIX Index Futures | September 12, 2013 | $17,996,733 | $18,473,685 | $476,952 | |||||||||||
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| 89,331,058 | 88,194,706 | (1,136,352) | ||||||||||||||
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| Short Contracts: | ||||||||||||||||
| 48 | FTSE/MIB Index Futures | September 20, 2013 | (5,055,355) | (4,767,787) | 287,568 | |||||||||||
| 623 | OMXS30 Index Futures | July 19, 2013 | (11,091,227) | (10,685,880) | 405,347 | |||||||||||
| 123 | S&P/Toronto Stock Exchange 60 Index Futures | September 19, 2013 | (16,359,619) | (16,205,077) | 154,542 | |||||||||||
| 134 | SPI 200 Index Futures | September 19, 2013 | (14,681,670) | (14,610,987) | 70,683 | |||||||||||
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| (47,187,871) | (46,269,731) | 918,140 | ||||||||||||||
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| $42,143,187 | $41,924,975 | $(218,212) | ||||||||||||||
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Cash held as collateral with broker for futures contracts was $9,142,825 at June 30, 2013.
Forward foreign currency exchange contracts outstanding as of June 30, 2013:
Over the Counter
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | AUD | 14,507,000 | $13,585,109 | $13,190,184 | $(394,925) | ||||||||||||||
| Canadian Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | CAD | 2,406,000 | 2,306,956 | 2,283,313 | (23,643) | ||||||||||||||
| Swiss Franc, Expiring 09/18/13 |
The Royal Bank of Scotland | CHF | 29,321,000 | 31,168,651 | 31,064,561 | (104,090) | ||||||||||||||
| Danish Krone, Expiring 09/18/13 |
The Royal Bank of Scotland | DKK | 7,619,000 | 1,361,700 | 1,330,789 | (30,911) | ||||||||||||||
| Euro, Expiring 09/18/13 |
The Royal Bank of Scotland | EUR | 18,145,000 | 24,207,689 | 23,626,750 | (580,939) | ||||||||||||||
| British Pound, Expiring 09/18/13 |
The Royal Bank of Scotland | GBP | 499,000 | 782,908 | 758,553 | (24,355) | ||||||||||||||
| Hong Kong Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | HKD | 5,410,000 | 697,194 | 697,733 | 539 | ||||||||||||||
| Israeli Shekel, Expiring 09/18/13 |
The Royal Bank of Scotland | ILS | 4,218,000 | 1,157,337 | 1,157,513 | 176 | ||||||||||||||
| Japanese Yen, Expiring 09/18/13 |
The Royal Bank of Scotland | JPY | 3,050,413,000 | 30,999,919 | 30,767,768 | (232,151) | ||||||||||||||
| Norwegian Krone, Expiring 09/18/13 |
The Royal Bank of Scotland | NOK | 173,396,000 | 29,677,162 | 28,464,625 | (1,212,537) | ||||||||||||||
| New Zealand Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | NZD | 4,576,000 | 3,613,535 | 3,526,073 | (87,462) | ||||||||||||||
| Swedish Krona, Expiring 09/18/13 |
The Royal Bank of Scotland | SEK | 108,922,000 | 16,570,029 | 16,213,233 | (356,796) | ||||||||||||||
| Singapore Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | SGD | 544,000 | 433,534 | 429,256 | (4,278) | ||||||||||||||
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| $156,561,723 | $153,510,351 | $(3,051,372) | ||||||||||||||||||
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| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 9 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | AUD | (12,761,000) | $(12,092,756) | $(11,602,670) | $490,086 | ||||||||||||||
| Canadian Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | CAD | (23,460,000) | (22,548,553) | (22,263,728) | 284,825 | ||||||||||||||
| Swiss Franc, Expiring 09/18/13 |
The Royal Bank of Scotland | CHF | (22,647,000) | (24,154,399) | (23,993,695) | 160,704 | ||||||||||||||
| Danish Krone, Expiring 09/18/13 |
The Royal Bank of Scotland | DKK | (720,000) | (126,494) | (125,760) | 734 | ||||||||||||||
| Euro, Expiring 09/18/13 |
The Royal Bank of Scotland | EUR | (4,658,000) | (6,125,834) | (6,065,219) | 60,615 | ||||||||||||||
| British Pound, Expiring 09/18/13 |
The Royal Bank of Scotland | GBP | (15,496,000) | (23,840,084) | (23,556,197) | 283,887 | ||||||||||||||
| Hong Kong Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | HKD | (522,000) | (67,268) | (67,323) | (55) | ||||||||||||||
| Israeli Shekel, Expiring 09/18/13 |
The Royal Bank of Scotland | ILS | (305,000) | (83,776) | (83,699) | 77 | ||||||||||||||
| Japanese Yen, Expiring 09/18/13 |
The Royal Bank of Scotland | JPY | (578,506,000) | (5,955,253) | (5,835,059) | 120,194 | ||||||||||||||
| Norwegian Krone, Expiring 09/18/13 |
The Royal Bank of Scotland | NOK | (82,807,000) | (13,952,097) | (13,593,567) | 358,530 | ||||||||||||||
| New Zealand Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | NZD | (33,092,000) | (26,112,433) | (25,499,302) | 613,131 | ||||||||||||||
| Swedish Krona, Expiring 09/18/13 |
The Royal Bank of Scotland | SEK | (27,190,000) | (4,058,328) | (4,047,280) | 11,048 | ||||||||||||||
| Singapore Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | SGD | (30,000) | (23,536) | (23,672) | (136) | ||||||||||||||
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| (139,140,811) | (136,757,171) | 2,383,640 | ||||||||||||||||||
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| $17,420,912 | $16,753,180 | $(667,732) | ||||||||||||||||||
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Money Market Fund is pledged as collateral for total return swap and forward foreign currency exchange contracts in the amount of $970,092.
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
ILS - Israeli Shekel
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
| The accompanying notes are an integral part of these financial statements. |
| 10 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 11 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 12 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 13 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 14 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
Total return swap contract outstanding as of June 30, 2013:
Over the Counter
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
| The Royal Bank of Scotland | Swiss Market Index Futures | 9/20/2013 | CHF | (14,852,936) | $165,178 | |||||||||
|
|
|
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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, 2013:
Exchange Traded
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 481 | CAC40 10 Euro Futures | July 19, 2013 | $24,056,747 | $23,381,468 | $(675,279) | |||||||||||
| 84 | DAX Index Futures | September 20, 2013 | 22,410,685 | 21,776,148 | (634,537) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 15 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: (continued) | ||||||||||||||||
| 315 | FTSE 100 Index Futures | September 20, 2013 | $30,288,458 | $29,519,700 | $(768,758) | |||||||||||
| 73 | Hang Seng Index Futures | July 30, 2013 | 9,345,690 | 9,755,075 | 409,385 | |||||||||||
| 151 | IBEX 35 Index Futures | July 19, 2013 | 15,861,823 | 15,073,157 | (788,666) | |||||||||||
| 30 | MSCI Singapore Index Futures | July 30, 2013 | 1,636,383 | 1,672,900 | 36,517 | |||||||||||
| 398 | TOPIX Index Futures | September 12, 2013 | 44,205,881 | 45,385,965 | 1,180,084 | |||||||||||
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| 147,805,667 | 146,564,413 | (1,241,254) | ||||||||||||||
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| Short Contracts: | ||||||||||||||||
| 16 | Amsterdam Index Futures | July 19, 2013 | (1,394,613) | (1,436,189) | (41,576) | |||||||||||
| 85 | FTSE/MIB Index Futures | September 20, 2013 | (8,952,192) | (8,442,957) | 509,235 | |||||||||||
| 1,122 | OMXS30 Index Futures | July 19, 2013 | (19,975,011) | (19,244,874) | 730,137 | |||||||||||
| 406 | SPI 200 Index Futures | September 19, 2013 | (44,462,708) | (44,269,110) | 193,598 | |||||||||||
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| (74,784,524) | (73,393,130) | 1,391,394 | ||||||||||||||
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| $73,021,143 | $73,171,283 | $150,140 | ||||||||||||||
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Cash held as collateral with broker for futures contracts was $15,264,703 at June 30, 2013.
Forward foreign currency exchange contracts outstanding as of June 30, 2013:
Over the Counter
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | AUD | 19,131,000 | $17,741,919 | $17,394,458 | $(347,461) | ||||||||||||||
| Swiss Franc, Expiring 09/18/13 |
The Royal Bank of Scotland | CHF | 51,686,000 | 54,665,099 | 54,759,487 | 94,388 | ||||||||||||||
| Danish Krone, Expiring 09/18/13 |
The Royal Bank of Scotland | DKK | 2,189,000 | 385,584 | 382,346 | (3,238) | ||||||||||||||
| Euro, Expiring 09/18/13 |
The Royal Bank of Scotland | EUR | 39,586,400 | 52,515,221 | 51,545,767 | (969,454) | ||||||||||||||
| British Pound, Expiring 09/18/13 |
The Royal Bank of Scotland | GBP | 5,550,000 | 8,566,757 | 8,436,816 | (129,941) | ||||||||||||||
| Hong Kong Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | HKD | 20,080,000 | 2,587,685 | 2,589,738 | 2,053 | ||||||||||||||
| Israeli Shekel, Expiring 09/18/13 |
The Royal Bank of Scotland | ILS | 14,611,000 | 4,008,973 | 4,009,583 | 610 | ||||||||||||||
| Japanese Yen, Expiring 09/18/13 |
The Royal Bank of Scotland | JPY | 6,111,130,800 | 61,793,112 | 61,639,475 | (153,637) | ||||||||||||||
| Norwegian Krone, Expiring 09/18/13 |
The Royal Bank of Scotland | NOK | 367,462,000 | 62,892,047 | 60,322,430 | (2,569,617) | ||||||||||||||
| Swedish Krona, Expiring 09/18/13 |
The Royal Bank of Scotland | SEK | 120,503,000 | 18,313,357 | 17,937,086 | (376,271) | ||||||||||||||
| Singapore Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | SGD | 2,272,300 | 1,813,700 | 1,793,012 | (20,688) | ||||||||||||||
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| $285,283,454 | $280,810,198 | $(4,473,256) | ||||||||||||||||||
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| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 16 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL EQUITY FUND |
| SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | AUD | (41,196,900) | $(38,931,668) | $(37,457,413) | $1,474,255 | ||||||||||||||
| Swiss Franc, Expiring 09/18/13 |
The Royal Bank of Scotland | CHF | (52,717,800) | (56,185,406) | (55,852,642) | 332,764 | ||||||||||||||
| Danish Krone, Expiring 09/18/13 |
The Royal Bank of Scotland | DKK | (19,893,000) | (3,546,125) | (3,474,653) | 71,472 | ||||||||||||||
| Euro, Expiring 09/18/13 |
The Royal Bank of Scotland | EUR | (10,660,000) | (13,849,977) | (13,880,471) | (30,494) | ||||||||||||||
| British Pound, Expiring 09/18/13 |
The Royal Bank of Scotland | GBP | (29,889,700) | (46,167,221) | (45,436,737) | 730,484 | ||||||||||||||
| Hong Kong Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | HKD | (3,786,000) | (487,907) | (488,284) | (377) | ||||||||||||||
| Israeli Shekel, Expiring 09/18/13 |
The Royal Bank of Scotland | ILS | (1,250,000) | (342,845) | (343,028) | (183) | ||||||||||||||
| Japanese Yen, Expiring 09/18/13 |
The Royal Bank of Scotland | JPY | (1,052,540,000) | (10,809,093) | (10,616,368) | 192,725 | ||||||||||||||
| Norwegian Krone, Expiring 09/18/13 |
The Royal Bank of Scotland | NOK | (272,346,000) | (46,486,667) | (44,708,221) | 1,778,446 | ||||||||||||||
| Swedish Krona, Expiring 09/18/13 |
The Royal Bank of Scotland | SEK | (6,694,000) | (1,016,430) | (996,414) | 20,016 | ||||||||||||||
| Singapore Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | SGD | (243,000) | (191,544) | (191,745) | (201) | ||||||||||||||
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| (218,014,883) | (213,445,976) | 4,568,907 | ||||||||||||||||||
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| $67,268,571 | $67,364,222 | $95,651 | ||||||||||||||||||
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Money Market Fund is pledged as collateral for total return swap and forward foreign currency exchange contracts in the amount of $1,040,063.
AUD - Australian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
ILS - Israeli Shekel
JPY - Japanese Yen
NOK - Norwegian Krone
SEK - Swedish Krona
SGD - Singapore Dollar
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 17 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR EMERGING DEFENSIVE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 18 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR EMERGING DEFENSIVE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 19 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR EMERGING DEFENSIVE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. |
| 20 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 21 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 22 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 23 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR U.S. DEFENSIVE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 24 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR U.S. DEFENSIVE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 25 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR U.S. DEFENSIVE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. |
| 26 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 27 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 28 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| CONVERTIBLE PREFERRED STOCKS - 1.6% | SHARES | VALUE (Note 2) |
||||||||||||||
| Consumer Discretionary - 0.9% | ||||||||||||||||
| Sealy Corp., $25.00 par, 8.000% (3)†(b)(d)(h) | 299,636 | $ | 23,671,244 | |||||||||||||
|
|
|
|||||||||||||||
| Consumer Staples - 0.0% (e) | ||||||||||||||||
| Universal Corp., Perpetual, $1,000.00 par, 6.750% †(p) | 700 | 875,000 | ||||||||||||||
|
|
|
|||||||||||||||
| Energy - 0.4% | ||||||||||||||||
| Nabors Completion & Production Services Co., Perpetual, Series A, $1,000.00 par, 4.000% (3)†(b)(p) | 1,169 | 1,087,170 | ||||||||||||||
| Sanchez Energy Corp., Perpetual, Series A 144A, $50.00 par, 4.875% (2)†(f)(p) | 175,300 | 10,101,663 | ||||||||||||||
|
|
|
|||||||||||||||
| 11,188,833 | ||||||||||||||||
|
|
|
|||||||||||||||
| Financials - 0.1% | ||||||||||||||||
| iStar Financial, Inc., Perpetual, Series J, $50.00 par, 4.500% †(p) | 50,625 | 2,733,750 | ||||||||||||||
| MF Global Holdings Ltd., Perpetual, $100.00 par, 9.750% (3)†(b)(p) | 16,000 | 146,000 | ||||||||||||||
|
|
|
|||||||||||||||
| 2,879,750 | ||||||||||||||||
|
|
|
|||||||||||||||
| Industrials - 0.1% | ||||||||||||||||
| Genesee & Wyoming, Inc., $100.00 par, 5.000% † | 13,325 | 1,581,011 | ||||||||||||||
| Timberjack Corp. ADR, $188,000.00 par, 0.000% (3)†(b) | 188,000 | 157,920 | ||||||||||||||
|
|
|
|||||||||||||||
| 1,738,931 | ||||||||||||||||
|
|
|
|||||||||||||||
| Materials - 0.0% (e) | ||||||||||||||||
| Cliffs Natural Resources, Inc., $25.00 par, 7.000% † | 24,625 | 436,847 | ||||||||||||||
|
|
|
|||||||||||||||
| Utilities - 0.1% | ||||||||||||||||
| Dominion Resources, Inc., Series B, $49.00 par, 6.000% † | 53,325 | 2,668,916 | ||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CONVERTIBLE PREFERRED STOCKS |
43,459,521 | |||||||||||||||
|
|
|
|||||||||||||||
| CORPORATE BONDS - 11.8% | INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’s) |
|||||||||||||
| Communications - 0.4% | ||||||||||||||||
| Baker & Taylor Acquisitions Corp. 144A (2)(a)(f) | 15.000% | 04/01/17 | $ | 3,250 | 2,380,625 | |||||||||||
| Interactive Network, Inc./FriendFinder Networks, Inc. (2)(g) | 14.000% | 09/30/13 | 775 | 748,007 | ||||||||||||
| Interactive Network, Inc./FriendFinder Networks, Inc. 144A (2)(f)(g) | 11.500% | 04/30/14 | 2,857 | 685,720 | ||||||||||||
| Primus Telecommunications Holding, Inc./Primus Telecommunications Canada, Inc. 144A (3)(b)(f) | 13.000% | 12/15/16 | 1,150 | 1,177,646 | ||||||||||||
| WCP Wireless Site Funding/WCP Wireless Site RE Funding/WCP Wireless Site Non 144A (2)(f) | 9.247% | 11/15/15 | 3,000 | 3,144,192 | ||||||||||||
| WCP Wireless Site Funding/WCP Wireless Site RE Funding/WCP Wireless Site Non, Series 144a 144A (2)(f) | 6.829% | 11/15/15 | 3,325 | 3,544,617 | ||||||||||||
|
|
|
|||||||||||||||
| 11,680,807 | ||||||||||||||||
|
|
|
|||||||||||||||
| Consumer Discretionary - 2.9% | ||||||||||||||||
| American Apparel, Inc. 144A (2)(a)(f) | 13.000% | 04/15/20 | 925 | 918,062 | ||||||||||||
| American Axle & Manufacturing, Inc. (2)(a) | 6.250% | 03/15/21 | 1,525 | 1,549,781 | ||||||||||||
| Brookstone Co., Inc. 144A (2)(f) | 13.000% | 10/15/14 | 516 | 433,440 | ||||||||||||
| Caesars Entertainment Operating Co., Inc. (2)(a) | 5.375% | 12/15/13 | 4,975 | 4,962,562 | ||||||||||||
| Clear Channel Communications, Inc. (2)(a) | 4.900% | 05/15/15 | 4,100 | 3,792,500 | ||||||||||||
| Dex Media West, Inc. (2)(j) | 5.000% | 12/30/16 | 1,778 | 1,474,666 | ||||||||||||
| Eastman Kodak Co. (2)(f) | 10.500% | 09/30/13 | 11,916 | 11,977,848 | ||||||||||||
| Empire Today LLC/Empire Today Finance Corp. 144A (2)(f) | 11.375% | 02/01/17 | 3,250 | 2,600,000 | ||||||||||||
| Exide Technologies (2)(g) | 8.625% | 02/01/18 | 12,425 | 7,579,250 | ||||||||||||
| HOA Restaurant Group LLC/HOA Finance Corp. 144A (2)(a)(f) | 11.250% | 04/01/17 | 8,975 | 8,975,000 | ||||||||||||
| IDQ Holdings, Inc. 144A (2)(f) | 11.500% | 04/01/17 | 4,325 | 4,735,875 | ||||||||||||
| Landry’s, Inc. 144A (2)(f) | 9.375% | 05/01/20 | 7,356 | 7,760,580 | ||||||||||||
| Mandalay Resort Group (2) | 7.625% | 07/15/13 | 13,375 | 13,375,000 | ||||||||||||
| Pegasus Solutions, Inc. 144A (3)(b)(f)(h) | 13.000% | 04/15/14 | 4,030 | 3,868,377 | ||||||||||||
| RH Donnelley, Inc. (2) | 0.000% | 10/24/14 | 4,000 | 3,016,680 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 29 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’s) |
VALUE (Note 2) |
|||||||||||||
| Consumer Discretionary - 2.9% (continued) | ||||||||||||||||
| Roust Trading Ltd., Series AI (Bermuda) (2)(i) | 10.000% | 05/31/16 | $ | 749 | $ | 606,312 | ||||||||||
| Wendy’s International, Inc. (2) | 6.200% | 06/15/14 | 1,525 | 1,584,094 | ||||||||||||
|
|
|
|||||||||||||||
| 79,210,027 | ||||||||||||||||
|
|
|
|||||||||||||||
| Energy - 2.1% | ||||||||||||||||
| ATP Oil & Gas Corp. (2)(g) | 11.875% | 05/01/15 | 4,025 | 50,312 | ||||||||||||
| BassDrill Beta Ltd. 144A (Malta) (2)(f) | 8.500% | 04/24/18 | 882 | 881,650 | ||||||||||||
| Black Elk Energy Offshore Operations LLC/Black Elk Finance Corp. (3)(a)(b) | 13.750% | 12/01/15 | 5,800 | 5,510,000 | ||||||||||||
| CCS, Inc. 144A (Canada) (2)(f) | 11.000% | 11/15/15 | 4,800 | 4,824,000 | ||||||||||||
| Copano Energy LLC/Copano Energy Finance Corp. (2) | 7.125% | 04/01/21 | 575 | 639,688 | ||||||||||||
| EOAL Cyprus Holdings Ltd. (2) | 20.000% | 06/22/14 | 157 | 1,565 | ||||||||||||
| EOAL Cyprus Holdings Ltd. (2) | 20.000% | 06/22/14 | 243 | 2,433 | ||||||||||||
| EOAL Cyprus Holdings Ltd. (2) | 0.200% | 06/22/13 | 238 | 2,385 | ||||||||||||
| EOAL Cyprus Holdings Ltd. (Cyprus) (3)(b) | 15.000% | 07/15/15 | 4,100 | 41 | ||||||||||||
| Global Rig Co. ASA (Norway) (3)(b) | 13.000% | 06/09/15 | 3,008 | 3,181,311 | ||||||||||||
| Golden Close Maritime Corp. Ltd. MTN (Bermuda) (2) | 11.000% | 12/09/15 | 2,319 | 2,452,451 | ||||||||||||
| Green Field Energy Services, Inc. 144A (3)(b)(f) | 13.250% | 11/15/16 | 48 | 49,680 | ||||||||||||
| Green Field Energy Services, Inc. 144A (3)(a)(b)(f) | 13.000% | 11/15/16 | 2,025 | 2,095,875 | ||||||||||||
| Harvest Natural Resources, Inc. (2) | 11.000% | 10/11/14 | 5,975 | 4,421,500 | ||||||||||||
| InterOil Exploration and Production ASA (Norway) (3)(b) | 15.000% | 03/14/16 | NOK | 6,500 | 1,075,424 | |||||||||||
| IronGate Energy Services LLC 144A (2)(f) | 11.000% | 07/01/18 | $ | 6,200 | 6,082,200 | |||||||||||
| Nuverra Environmental Solutions, Inc. (2)(a) | 9.875% | 04/15/18 | 3,325 | 3,491,250 | ||||||||||||
| Panoro Energy ASA 144A (Norway) (2)(f) | 12.000% | 11/15/18 | 2,070 | 2,225,250 | ||||||||||||
| Plains Exploration & Production Co. (2)(a) | 6.875% | 02/15/23 | 7,775 | 8,318,488 | ||||||||||||
| RDS Ultra-Deepwater Ltd. 144A (Cayman Islands) (2)(f) | 11.875% | 03/15/17 | 845 | 912,600 | ||||||||||||
| Santa Maria Offshore Ltd. 144A (Bermuda) (2)(f) | 8.875% | 07/03/18 | 5,400 | 5,400,000 | ||||||||||||
| Sidewinder Drilling, Inc. 144A (2)(a)(f) | 9.750% | 11/15/19 | 3,750 | 3,796,875 | ||||||||||||
|
|
|
|||||||||||||||
| 55,414,978 | ||||||||||||||||
|
|
|
|||||||||||||||
| Financials - 2.6% | ||||||||||||||||
| BPA Laboratories, Inc. 144A (2)(f) | 12.250% | 04/01/17 | 5,875 | 5,698,750 | ||||||||||||
| CFG Holdings Ltd./CFG Finance LLC 144A (Cayman Islands) (2)(a)(f) | 11.500% | 11/15/19 | 6,412 | 6,476,120 | ||||||||||||
| Creditcorp 144A (2)(f) | 12.000% | 07/15/18 | 8,400 | 8,400,000 | ||||||||||||
| Emigrant Bancorp, Inc. 144A (3)(a)(b)(f) | 6.250% | 06/15/14 | 3,450 | 3,372,375 | ||||||||||||
| Global Investments Group Finance Ltd. (Virgin Islands, British) (2) | 11.000% | 09/24/17 | 2,200 | 2,068,000 | ||||||||||||
| Highclere Holdings Ltd. (Cayman Islands) (2) | 0.000% | 02/26/15 | 1,152 | 1,151,731 | ||||||||||||
| Icahn Enterprises LP/Icahn Enterprises Finance Corp. (2) | 8.000% | 01/15/18 | 4,530 | 4,756,500 | ||||||||||||
| ING Capital Funding Trust III, Perpetual Bond, Series 9 (2)(j)(p) | 3.884% | 09/30/13 | 3,875 | 3,720,000 | ||||||||||||
| iStar Financial, Inc., Series B (3)(b) | 5.700% | 03/01/14 | 1,525 | 1,547,875 | ||||||||||||
| Jasper Explorer PLC (Cyprus) (2) | 13.500% | 05/27/16 | 6,000 | 4,740,000 | ||||||||||||
| Liquidnet Holdings, Inc., Perpetual Bond (3)(b)(j)(p) | 9.250% | 05/07/14 | 3,950 | 3,950,000 | ||||||||||||
| MBIA Insurance Corp. 144A (2)(f) | 11.537% | 01/15/33 | 3,925 | 3,355,875 | ||||||||||||
| Synovus Financial Corp. (2)(a) | 5.125% | 06/15/17 | 1,375 | 1,350,937 | ||||||||||||
| TMX Finance LLC/TitleMax Finance Corp. (2) | 13.250% | 07/15/15 | 6,115 | 6,558,338 | ||||||||||||
| TMX Finance LLC/TitleMax Finance Corp. (2) | 13.250% | 07/15/15 | 11,378 | 12,202,905 | ||||||||||||
|
|
|
|||||||||||||||
| 69,349,406 | ||||||||||||||||
|
|
|
|||||||||||||||
| Health Care - 0.4% | ||||||||||||||||
| KV Pharmaceutical Co. (3)(a)(b) | 12.000% | 03/15/15 | 8,175 | 8,175,000 | ||||||||||||
| Rotech Healthcare, Inc. (2)(a)(g) | 10.500% | 03/15/18 | 610 | 311,100 | ||||||||||||
| US Oncology, Inc. (3)(b) | 9.125% | 08/15/17 | 5,786 | — | ||||||||||||
| Vantage Oncology LLC/Vantage Oncology Finance Co. 144A (2)(a)(f) | 9.500% | 06/15/17 | 1,775 | 1,757,250 | ||||||||||||
|
|
|
|||||||||||||||
| 10,243,350 | ||||||||||||||||
|
|
|
|||||||||||||||
| Industrials - 2.0% | ||||||||||||||||
| Ahern Rentals, Inc., Perpetual Bond (3)(b)(p) | 0.000% | 06/15/15 | 16,550 | — | ||||||||||||
| American Airlines, Inc. (2)(g) | 10.500% | 10/15/12 | 1,900 | 2,275,250 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 30 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’s) |
VALUE (Note 2) |
|||||||||||||
| Industrials - 2.0% (continued) | ||||||||||||||||
| American Airlines, Inc. 144A (2)(f)(g) | 7.500% | 03/15/16 | $ | 10,150 | $ | 11,799,375 | ||||||||||
| American Piping Products, Inc. 144A (2)(a)(f) | 12.875% | 11/15/17 | 1,975 | 1,767,625 | ||||||||||||
| BOA OCV AS (Norway) (2)(j) | 7.280% | 04/27/16 | NOK | 16,625 | 2,757,445 | |||||||||||
| Chloe Marine Corp. Ltd. (Bermuda) (2) | 12.000% | 12/28/16 | $ | 1,400 | 1,519,000 | |||||||||||
| HD Supply, Inc. (2)(a) | 10.500% | 01/15/21 | 10,100 | 10,453,500 | ||||||||||||
| Ship Finance International Ltd. 144A (Bermuda) (2)(f)(j) | 5.850% | 04/07/14 | NOK | 51,000 | 8,353,980 | |||||||||||
| Songa Offshore (Cyprus) (2)(j) | 11.860% | 11/17/16 | 15,000 | 2,420,012 | ||||||||||||
| Songa Offshore (Cyprus) (2)(j) | 9.610% | 06/11/15 | 25,500 | 3,925,112 | ||||||||||||
| Tempel Steel Co. 144A (2)(f) | 12.000% | 08/15/16 | $ | 5,625 | 5,343,750 | |||||||||||
| United Continental Holdings, Inc. (3)(b) | 6.860% | 04/22/14 | 641 | 640,962 | ||||||||||||
| Western Express, Inc. 144A (2)(f) | 12.500% | 04/15/15 | 2,300 | 1,518,000 | ||||||||||||
|
|
|
|||||||||||||||
| 52,774,011 | ||||||||||||||||
|
|
|
|||||||||||||||
| Information Technology - 0.1% | ||||||||||||||||
| Bankrate, Inc. (2) | 11.750% | 07/15/15 | 1,077 | 1,145,659 | ||||||||||||
| Freescale Semiconductor, Inc. (2) | 8.875% | 12/15/14 | 2,030 | 2,035,075 | ||||||||||||
| SouthPeak Interactive Corp. (3)(b) | 29.000% | 12/31/13 | 1,091 | 104,541 | ||||||||||||
|
|
|
|||||||||||||||
| 3,285,275 | ||||||||||||||||
|
|
|
|||||||||||||||
| Materials - 0.5% | ||||||||||||||||
| ArcelorMittal USA LLC (2) | 6.500% | 04/15/14 | 5,406 | 5,608,957 | ||||||||||||
| Cereplast, Inc. (3)(b) | 15.000% | 09/21/13 | 57 | 22,639 | ||||||||||||
| North Atlantic Trading Co. 144A (2)(f) | 11.500% | 07/15/16 | 5,625 | 5,850,000 | ||||||||||||
| North Atlantic Trading Co. 144A (2)(f)(h) | 19.000% | 01/15/17 | 2,163 | 2,314,624 | ||||||||||||
| Northland Resources AB 144A (Sweden) (3)(b)(f) | 13.000% | 03/06/17 | 883 | 158,855 | ||||||||||||
|
|
|
|||||||||||||||
| 13,955,075 | ||||||||||||||||
|
|
|
|||||||||||||||
| Telecommunication Services - 0.7% | ||||||||||||||||
| Clearwire Communications LLC/Clearwire Finance, Inc. 144A (2)(f) | 12.000% | 12/01/17 | 7,173 | 8,302,747 | ||||||||||||
| FiberTower Corp. (2)(g) | 9.000% | 01/01/16 | 4,444 | 366,637 | ||||||||||||
| Virgin Media Finance PLC (United Kingdom) (2) | 4.875% | 02/15/22 | 11,400 | 10,488,000 | ||||||||||||
|
|
|
|||||||||||||||
| 19,157,384 | ||||||||||||||||
|
|
|
|||||||||||||||
| Utilities - 0.1% | ||||||||||||||||
| Atlantic Offshore AS (Norway) (2)(j) | 11.690% | 06/27/15 | NOK | 12,000 | 1,965,642 | |||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS |
317,035,955 | |||||||||||||||
|
|
|
|||||||||||||||
| CONVERTIBLE BONDS - 7.8% | ||||||||||||||||
| Consumer Discretionary - 1.6% | ||||||||||||||||
| M/I Homes, Inc. (2) | 3.250% | 09/15/17 | $ | 2,300 | 2,811,750 | |||||||||||
| M/I Homes, Inc. (2) | 3.000% | 03/01/18 | 1,800 | 1,861,875 | ||||||||||||
| Meritage Homes Corp. (2) | 1.875% | 09/15/32 | 2,475 | 2,716,313 | ||||||||||||
| Palm Harbor Homes, Inc. (3)(b)(g) | 3.250% | 05/15/24 | 70 | 3,220 | ||||||||||||
| RadioShack Corp. 144A (2)(f) | 2.500% | 08/01/13 | 4,400 | 4,328,500 | ||||||||||||
| Standard Pacific Corp. (2)(a) | 1.250% | 08/01/32 | 975 | 1,243,734 | ||||||||||||
| TUI AG, Series TUI (Germany) (2) | 5.500% | 11/17/14 | EUR | 8,558 | 10,525,475 | |||||||||||
| Volkswagen International Finance NV 144A (Netherlands) (2)(f) | 5.500% | 11/09/15 | 13,500 | 18,023,882 | ||||||||||||
|
|
|
|||||||||||||||
| 41,514,749 | ||||||||||||||||
|
|
|
|||||||||||||||
| Consumer Staples - 0.6% | ||||||||||||||||
| Vector Group Ltd. (2)(j) | 2.500% | 01/15/19 | 5,950 | 6,951,444 | ||||||||||||
| Vector Group Ltd. (2)(j) | 3.750% | 11/15/14 | $ | 6,504 | 8,268,210 | |||||||||||
| Vector Group Ltd. (2)(j) | 3.875% | 06/15/26 | 58 | 63,075 | ||||||||||||
|
|
|
|||||||||||||||
| 15,282,729 | ||||||||||||||||
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 31 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’s) |
VALUE (Note 2) |
|||||||||||||
| Energy - 0.8% | ||||||||||||||||
| Alpha Natural Resources, Inc. (2) | 3.750% | 12/15/17 | $ | 825 | $ | 701,250 | ||||||||||
| Cal Dive International, Inc. 144A (2)(f) | 5.000% | 07/15/17 | 2,275 | 2,350,359 | ||||||||||||
| Cobalt International Energy, Inc. (2)(a) | 2.625% | 12/01/19 | 4,375 | 4,640,234 | ||||||||||||
| Petrominerales Ltd. (Canada) (2) | 3.250% | 06/12/17 | 3,200 | 2,483,200 | ||||||||||||
| Petrominerales Ltd., Series PMG (Canada) (2) | 2.625% | 08/25/16 | 1,900 | 1,890,500 | ||||||||||||
| Polarcus Ltd., Series PLCS (Norway) (2) | 2.875% | 04/27/16 | 400 | 393,920 | ||||||||||||
| Vantage Drilling Co. (Cayman Islands) (2)(a) | 7.875% | 09/01/42 | 4,625 | 5,662,735 | ||||||||||||
| ZaZa Energy Corp. 144A (2)(a)(f) | 9.000% | 08/01/17 | 3,550 | 3,159,500 | ||||||||||||
|
|
|
|||||||||||||||
| 21,281,698 | ||||||||||||||||
|
|
|
|||||||||||||||
| Financials - 2.2% | ||||||||||||||||
| AV Homes, Inc. (2) | 7.500% | 02/15/16 | 200 | 218,000 | ||||||||||||
| AV Homes, Inc. (2) | 7.500% | 02/15/16 | 5,900 | 7,057,875 | ||||||||||||
| BlackRock Kelso Capital Corp. 144A (2)(f) | 5.500% | 02/15/18 | 1,800 | 1,833,750 | ||||||||||||
| CNO Financial Group, Inc. (2) | 7.000% | 12/30/16 | 1,750 | 4,187,969 | ||||||||||||
| CNO Financial Group, Inc., Series 1 (2) | 7.000% | 12/30/16 | 1,900 | 4,546,937 | ||||||||||||
| CNO Financial Group, Inc., Series UNRE (2)(a) | 7.000% | 12/30/16 | 1,150 | 2,752,094 | ||||||||||||
| Encore Capital Group, Inc. 144A (2)(f) | 3.000% | 07/01/20 | 1,300 | 1,259,843 | ||||||||||||
| iStar Financial, Inc. (2) | 3.000% | 11/15/16 | 2,800 | 3,321,500 | ||||||||||||
| KCAP Financial, Inc. (2) | 8.750% | 03/15/16 | 4,000 | 5,480,000 | ||||||||||||
| Knight Capital Group, Inc. (2)(a) | 3.500% | 03/15/15 | 8,925 | 8,919,422 | ||||||||||||
| Meadowbrook Insurance Group, Inc. 144A (2)(f) | 5.000% | 03/15/20 | 2,575 | 2,935,500 | ||||||||||||
| MF Global Holdings Ltd. (2)(g) | 3.375% | 08/01/18 | 2,750 | 1,278,750 | ||||||||||||
| MGIC Investment Corp. (2) | 2.000% | 04/01/20 | 5,225 | 5,917,312 | ||||||||||||
| National Financial Partners Corp. (2)(a) | 4.000% | 06/15/17 | 600 | 1,224,750 | ||||||||||||
| Radian Group, Inc. (2)(a) | 2.250% | 03/01/19 | 4,200 | 5,357,625 | ||||||||||||
| TICC Capital Corp. 144A (2)(a)(f) | 7.500% | 11/01/17 | 3,550 | 3,652,063 | ||||||||||||
|
|
|
|||||||||||||||
| 59,943,390 | ||||||||||||||||
|
|
|
|||||||||||||||
| Health Care - 0.7% | ||||||||||||||||
| Accuray, Inc. 144A (2)(f) | 3.500% | 02/01/18 | 3,025 | 3,785,031 | ||||||||||||
| Adcare Health Systems, Inc. (3)(b) | 10.000% | 10/26/13 | 1,850 | 2,526,915 | ||||||||||||
| Exelixis, Inc. (2)(a) | 4.250% | 08/15/19 | 3,350 | 3,241,125 | ||||||||||||
| MannKind Corp. (2)(a) | 5.750% | 08/15/15 | 1,540 | 1,678,600 | ||||||||||||
| MannKind Corp. (2)(a) | 3.750% | 12/15/13 | 500 | 483,750 | ||||||||||||
| Sequenom, Inc. 144A (2)(a)(f) | 5.000% | 10/01/17 | 2,825 | 3,275,235 | ||||||||||||
| Theravance, Inc. (2) | 2.125% | 01/15/23 | 1,600 | 2,466,000 | ||||||||||||
|
|
|
|||||||||||||||
| 17,456,656 | ||||||||||||||||
|
|
|
|||||||||||||||
| Industrials - 0.6% | ||||||||||||||||
| China Linen Textile Industry Ltd. (Cayman Islands) (3)(b) | 7.500% | 12/31/13 | 1,850 | — | ||||||||||||
| FuelCell Energy, Inc. (2) | 8.000% | 06/15/18 | 1,875 | 2,076,562 | ||||||||||||
| Lufthansa Malta Blues LP, Series JBLU 144A (Malta) (2)(f) | 0.750% | 04/05/17 | EUR | 2,800 | 4,274,410 | |||||||||||
| MasTec, Inc. (2) | 4.250% | 12/15/14 | $ | 2,400 | 5,173,500 | |||||||||||
| MasTec, Inc. (2) | 4.000% | 06/15/14 | 2,125 | 4,470,469 | ||||||||||||
|
|
|
|||||||||||||||
| 15,994,941 | ||||||||||||||||
|
|
|
|||||||||||||||
| Information Technology - 0.4% | ||||||||||||||||
| Blucora, Inc. 144A (2)(f) | 4.250% | 04/01/19 | 1,675 | 1,874,953 | ||||||||||||
| GT Advanced Technologies, Inc. (2)(a) | 3.000% | 10/01/17 | 3,325 | 2,822,094 | ||||||||||||
| Powerwave Technologies, Inc. (3)(b)(g) | 3.875% | 10/01/27 | 4,104 | 20,520 | ||||||||||||
| Quantum Corp. 144A (2)(a)(f) | 4.500% | 11/15/17 | 1,650 | 1,813,969 | ||||||||||||
| Salesforce.com, Inc. 144A (2)(f) | 0.250% | 04/01/18 | 4,975 | 4,735,578 | ||||||||||||
| SouthPeak Interactive Corp. (3)(b) | 10.000% | 07/19/13 | 2,500 | 239,500 | ||||||||||||
|
|
|
|||||||||||||||
| 11,506,614 | ||||||||||||||||
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 32 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’s) |
VALUE (Note 2) |
|||||||||||||
| Materials - 0.2% | ||||||||||||||||
| Cereplast, Inc. (3)(b) | 7.000% | 06/01/16 | $ | 3,832 | $ | 560,196 | ||||||||||
| Jaguar Mining, Inc. (2)(a) | 5.500% | 03/31/16 | 500 | 116,250 | ||||||||||||
| RTI International Metals, Inc. (2) | 1.625% | 10/15/19 | 2,650 | 2,494,313 | ||||||||||||
| ShengdaTech, Inc. 144A (3)(b)(f)(g) | 6.500% | 12/15/15 | 1,200 | 12,000 | ||||||||||||
| ShengdaTech, Inc. 144A (3)(b)(f)(g) | 6.000% | 06/01/18 | 300 | 3,000 | ||||||||||||
| Silver Standard Resources, Inc. 144A (Canada) (2)(f) | 2.875% | 02/01/33 | 750 | 563,906 | ||||||||||||
| Stillwater Mining Co., Series SWC (2) | 1.750% | 10/15/32 | 1,225 | 1,256,391 | ||||||||||||
|
|
|
|||||||||||||||
| 5,006,056 | ||||||||||||||||
|
|
|
|||||||||||||||
| Telecommunication Services - 0.7% | ||||||||||||||||
| Level 3 Communications, Inc. (2) | 6.500% | 10/01/16 | 13,525 | 18,453,172 | ||||||||||||
| Level 3 Communications, Inc., Series B (2) | 7.000% | 03/15/15 | 1,280 | 1,489,600 | ||||||||||||
|
|
|
|||||||||||||||
| 19,942,772 | ||||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CONVERTIBLE BONDS |
207,929,605 | |||||||||||||||
|
|
|
|||||||||||||||
| BANK LOANS - 0.8% | ||||||||||||||||
| Energy - 0.7% | ||||||||||||||||
| Overseas Shipholding Group, Inc. (2) | 2.943% | 12/31/13 | 1,796 | 1,719,929 | ||||||||||||
| Overseas Shipholding Group, Inc. (2) | 2.942% | 12/31/13 | 1,141 | 1,092,421 | ||||||||||||
| Overseas Shipholding Group, Inc. (2) | 2.750% | 12/31/13 | 24 | 23,236 | ||||||||||||
| Overseas Shipholding Group, Inc. (2) | 2.951% | 12/31/13 | 119 | 114,323 | ||||||||||||
| Overseas Shipholding Group, Inc. (2) | 2.948% | 12/31/13 | 894 | 856,154 | ||||||||||||
| Patriot Coal Corp. (2) | 9.250% | 12/31/49 | 15,500 | 15,332,135 | ||||||||||||
|
|
|
|||||||||||||||
| 19,138,198 | ||||||||||||||||
|
|
|
|||||||||||||||
| Financials - 0.1% | ||||||||||||||||
| J.G. Wentworth LLC (2) | 9.000% | 01/22/18 | 2,396 | 2,362,626 | ||||||||||||
|
|
|
|||||||||||||||
| TOTAL BANK LOANS |
21,500,824 | |||||||||||||||
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 33 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 34 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 35 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 36 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 37 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
Credit default swap contracts buy protection as of June 30, 2013:
| COUNTERPARTY | REFERENCE ENTITY |
FIXED ANNUAL RATE RECEIVED BY FUND |
CURRENCY | CREDIT SPREAD |
NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||||
| Exchange Cleared | ||||||||||||||||||||||||||||
| CitiBank, Inc. | Markit CDX North America High Yield Index Series 20 | 5.000% | USD | 4.290% | (144,100,000) | $(4,157,531) | 06/20/2018 | $(384,428) | ||||||||||||||||||||
| Over the Counter | ||||||||||||||||||||||||||||
| Bank of America | Host Hotels & Resorts LP | 1.000% | USD | 0.560% | (3,450,000) | $96,976 | 12/20/2015 | $(135,091) | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| $(4,060,555) | $(519,519) | |||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
Money Market Fund is pledged as collateral to brokers for credit default swap contracts in the amount of $622. Additional cash held as collateral with CitiBank was $10,313,986 at June 30, 2013.
Open written options contracts outstanding at June 30, 2013:
Call options written
| SHARES | ISSUER | COUNTERPARTY | EXPIRATION DATE | PROCEEDS | VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| 13,945 | Clearwire Corp. (Exercise price $3) | J.P. Morgan | September 21, 2013 | $(585,690) | $(2,719,275) | $(2,133,585) | ||||||||||||||
| 10,405 | Clearwire Corp. (Exercise price $4) | J.P. Morgan | December 21, 2013 | (71,055) | (988,475) | (917,420) | ||||||||||||||
| 1,764 | Dell, Inc. (Exercise price $13) | J.P. Morgan | August 17, 2013 | (128,772) | (109,368) | 19,404 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 38 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| SHARES | ISSUER | COUNTERPARTY | EXPIRATION DATE | PROCEEDS | VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| 136 | Knight Capital Group, Inc. (Exercise price $5) | J.P. Morgan | July 20, 2013 | $— | $(544) | $(544) | ||||||||||||||
| 372 | Knight Capital Group, Inc. (Exercise price $4) | J.P. Morgan | July 20, 2013 | (510) | (1,488) | (978) | ||||||||||||||
| 34,786 | Pfizer, Inc. (Exercise price $35) | J.P. Morgan | July 20, 2013 | (75,772) | (34,786) | 40,986 | ||||||||||||||
| 5,545 | Sprint Nextel Corp. (Exercise price $10) | J.P. Morgan | January 18, 2014 | (41,551) | (22,180) | 19,371 | ||||||||||||||
| 5,651 | SUPERVALU, Inc. (Exercise price $5) | J.P. Morgan | July 20, 2013 | — | (762,885) | (762,885) | ||||||||||||||
| 6,653 | Zoetis, Inc. (Exercise price $40) | J.P. Morgan | July 20, 2013 | (76,487) | (19,959) | 56,528 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(979,837) | $(4,658,960) | $(3,679,123) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION |
|||||||||||
| Short Contracts: | ||||||||||||||||
| 2,140 | S&P 500 E-Mini Futures | September 20, 2013 | $(174,356,380) | $(171,125,100) | $3,231,280 | |||||||||||
| 1,227 | U.S. Treasury 2-Year Note Futures | September 30, 2013 | (270,372,885) | (269,940,000) | 432,885 | |||||||||||
| 251 | U.S. Treasury 5-Year Note Futures | September 30, 2013 | (30,906,880) | (30,382,766) | 524,114 | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| $(475,636,145) | $(471,447,866) | $4,188,279 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
Cash held as collateral with broker for futures contracts was $4,608,026 at June 30, 2013.
Forward foreign currency exchange contracts outstanding as of June 30, 2013:
Over the Counter
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Canadian Dollar, Expiring 08/07/13 |
The Royal Bank of Scotland | CAD | 4,851,774 | $4,715,724 | $4,609,175 | $(106,549) | ||||||||||||||
| Euro, Expiring 09/06/13 |
The Royal Bank of Scotland | EUR | 1,499,738 | 1,987,153 | 1,952,713 | (34,440) | ||||||||||||||
| Norwegian Krone, Expiring 07/09/13 |
The Royal Bank of Scotland | NOK | 406,088 | 69,760 | 66,837 | (2,923) | ||||||||||||||
| Norwegian Krone, Expiring 10/09/13 |
The Royal Bank of Scotland | NOK | 410,550 | 70,292 | 67,346 | (2,946) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $6,842,929 | $6,696,071 | $(146,858) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 39 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 12/31/13 |
The Royal Bank of Scotland | AUD | (275,541) | $(278,296) | $(248,777) | $29,519 | ||||||||||||||
| Canadian Dollar, Expiring 07/15/13 |
The Royal Bank of Scotland | CAD | (20,179,600) | (19,236,193) | (19,181,556) | 54,637 | ||||||||||||||
| Canadian Dollar, Expiring 08/07/13 |
The Royal Bank of Scotland | CAD | (29,592,710) | (28,906,356) | (28,111,996) | 794,360 | ||||||||||||||
| Canadian Dollar, Expiring 10/04/13 |
The Royal Bank of Scotland | CAD | (4,902,323) | (4,650,096) | (4,648,859) | 1,237 | ||||||||||||||
| Canadian Dollar, Expiring 12/27/13 |
The Royal Bank of Scotland | CAD | (168,314) | (159,888) | (159,343) | 545 | ||||||||||||||
| Euro, Expiring 07/02/13 |
The Royal Bank of Scotland | EUR | (259,533) | (336,906) | (337,821) | (915) | ||||||||||||||
| Euro, Expiring 09/06/13 |
The Royal Bank of Scotland | EUR | (14,023,715) | (18,351,588) | (18,259,382) | 92,206 | ||||||||||||||
| Euro, Expiring 09/18/13 |
The Royal Bank of Scotland | EUR | (4,793,643) | (6,293,193) | (6,241,841) | 51,352 | ||||||||||||||
| Euro, Expiring 12/04/13 |
The Royal Bank of Scotland | EUR | (2,411,123) | (3,156,434) | (3,140,179) | 16,255 | ||||||||||||||
| Euro, Expiring 12/13/13 |
The Royal Bank of Scotland | EUR | (2,761,147) | (3,627,656) | (3,596,975) | 30,681 | ||||||||||||||
| Euro, Expiring 12/31/13 |
The Royal Bank of Scotland | EUR | (18,000) | (23,720) | (23,451) | 269 | ||||||||||||||
| Euro, Expiring 04/07/14 |
The Royal Bank of Scotland | EUR | (21,000) | (27,733) | (27,377) | 356 | ||||||||||||||
| Euro, Expiring 06/09/14 |
The Royal Bank of Scotland | EUR | (742,500) | (954,016) | (968,435) | (14,419) | ||||||||||||||
| Euro, Expiring 06/27/14 |
The Royal Bank of Scotland | EUR | (326,437) | (426,548) | (425,827) | 721 | ||||||||||||||
| Euro, Expiring 04/07/15 |
The Royal Bank of Scotland | EUR | (21,000) | (27,804) | (27,471) | 333 | ||||||||||||||
| Euro, Expiring 06/09/15 |
The Royal Bank of Scotland | EUR | (742,500) | (956,986) | (971,918) | (14,932) | ||||||||||||||
| Euro, Expiring 11/09/15 |
The Royal Bank of Scotland | EUR | (311,240) | (401,618) | (409,164) | (7,546) | ||||||||||||||
| Euro, Expiring 04/05/16 |
The Royal Bank of Scotland | EUR | (21,000) | (27,886) | (27,729) | 157 | ||||||||||||||
| Euro, Expiring 04/05/17 |
The Royal Bank of Scotland | EUR | (21,000) | (28,010) | (28,029) | (19) | ||||||||||||||
| Norwegian Krone, Expiring 07/09/13 |
The Royal Bank of Scotland | NOK | (1,173,142) | (202,413) | (193,083) | 9,330 | ||||||||||||||
| Norwegian Krone, Expiring 09/16/13 |
The Royal Bank of Scotland | NOK | (6,745,753) | (1,166,288) | (1,107,460) | 58,828 | ||||||||||||||
| Norwegian Krone, Expiring 09/27/13 |
The Royal Bank of Scotland | NOK | (368,000) | (59,686) | (60,391) | (705) | ||||||||||||||
| Norwegian Krone, Expiring 10/09/13 |
The Royal Bank of Scotland | NOK | (1,186,033) | (203,939) | (194,556) | 9,383 | ||||||||||||||
| Norwegian Krone, Expiring 11/18/13 |
The Royal Bank of Scotland | NOK | (978,750) | (166,612) | (160,336) | 6,276 | ||||||||||||||
| Norwegian Krone, Expiring 12/11/13 |
The Royal Bank of Scotland | NOK | (1,397,358) | (225,770) | (228,733) | (2,963) | ||||||||||||||
| Norwegian Krone, Expiring 12/18/13 |
The Royal Bank of Scotland | NOK | (51,000,000) | (8,733,470) | (8,346,192) | 387,278 | ||||||||||||||
| Norwegian Krone, Expiring 12/27/13 |
The Royal Bank of Scotland | NOK | (364,000) | (58,852) | (59,551) | (699) | ||||||||||||||
| Norwegian Krone, Expiring 03/27/14 |
The Royal Bank of Scotland | NOK | (360,000) | (58,013) | (58,726) | (713) | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 40 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Norwegian Krone, Expiring 05/19/14 |
The Royal Bank of Scotland | NOK | (978,750) | $(164,808) | $(159,396) | $5,412 | ||||||||||||||
| Norwegian Krone, Expiring 06/11/14 |
The Royal Bank of Scotland | NOK | (1,389,722) | (222,926) | (226,163) | (3,237) | ||||||||||||||
| Norwegian Krone, Expiring 06/27/14 |
The Royal Bank of Scotland | NOK | (368,000) | (59,102) | (59,858) | (756) | ||||||||||||||
| Norwegian Krone, Expiring 09/29/14 |
The Royal Bank of Scotland | NOK | (368,000) | (58,875) | (59,696) | (821) | ||||||||||||||
| Norwegian Krone, Expiring 11/18/14 |
The Royal Bank of Scotland | NOK | (17,178,750) | (2,863,290) | (2,782,665) | 80,625 | ||||||||||||||
| Norwegian Krone, Expiring 12/11/14 |
The Royal Bank of Scotland | NOK | (1,397,358) | (222,594) | (226,198) | (3,604) | ||||||||||||||
| Norwegian Krone, Expiring 12/29/14 |
The Royal Bank of Scotland | NOK | (364,000) | (58,017) | (58,892) | (875) | ||||||||||||||
| Norwegian Krone, Expiring 03/27/15 |
The Royal Bank of Scotland | NOK | (360,000) | (57,174) | (58,096) | (922) | ||||||||||||||
| Norwegian Krone, Expiring 06/11/15 |
The Royal Bank of Scotland | NOK | (26,889,722) | (4,251,474) | (4,329,818) | (78,344) | ||||||||||||||
| Norwegian Krone, Expiring 06/29/15 |
The Royal Bank of Scotland | NOK | (12,368,000) | (1,956,652) | (1,990,667) | (34,015) | ||||||||||||||
| Norwegian Krone, Expiring 04/27/16 |
The Royal Bank of Scotland | NOK | (19,387,600) | (3,266,931) | (3,106,531) | 160,400 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (111,927,813) | (110,303,138) | 1,624,675 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(105,084,884) | $(103,607,067) | $1,477,817 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
Money Market Fund is pledged as collateral for forward foreign currency exchange contracts in the amount of $8,781. Additional cash held as collateral for Royal Bank of Scotland was $1,630,000.
AUD - Australian Dollar
CAD - Canadian Dollar
EUR - Euro
NOK - Norwegian Krone
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 41 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
Total Return Basket Swaps* Outstanding at June 30, 2013
Over the Counter
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
VALUE (NOTE 2) |
|||||
| 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 swaps. | 06/19/2014 | $98,082 | |||||
|
|
|
|||||||
| * | See the accompanying “Additional Information — Total Return Basket Swaps” for further details. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of June 30, 2013.
Total Return Basket Swaps* Outstanding at June 30, 2013
Over the Counter
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
VALUE (NOTE 2) |
|||||
| JPMorgan | 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 swaps. | 09/16/2013 - 08/04/2014 | $36,991,864 | |||||
|
|
|
|||||||
| * | See the accompanying “Additional Information — Total Return Basket Swaps” for further details. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of June 30, 2013.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 42 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 43 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 44 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 45 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 46 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 47 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
| The accompanying notes are an integral part of these financial statements. |
| 48 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 49 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 50 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 51 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 52 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 53 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MOMENTUM FUND |
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED DEPRECIATION |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 65 | S&P 500 E-Mini Futures | September 20, 2013 | $5,208,283 | $5,197,725 | $(10,558) | |||||||||||
|
|
|
|
|
|
|
|||||||||||
Cash held as collateral with broker for futures contracts was $214,913 at June 30, 2013.
| The accompanying notes are an integral part of these financial statements. |
| 54 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedules of Investments | June 30, 2013 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 55 | |||||||||||||
| Schedules of Investments | June 30, 2013 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 56 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedules of Investments | June 30, 2013 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 57 | |||||||||||||
| Schedules of Investments | June 30, 2013 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 58 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedules of Investments | June 30, 2013 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 59 | |||||||||||||
| Schedules of Investments | June 30, 2013 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 60 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedules of Investments | June 30, 2013 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 61 | |||||||||||||
| Schedules of Investments | June 30, 2013 (Unaudited) |
| AQR SMALL CAP MOMENTUM FUND |
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 10 | E-Mini Russell 2000 Futures | September 20, 2013 | $970,634 | $974,700 | $4,066 | |||||||||||
|
|
|
|
|
|
|
|||||||||||
Cash held as collateral with broker for futures contracts was $42,751 at June 30, 2013.
| The accompanying notes are an integral part of these financial statements. |
| 62 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 63 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 64 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 65 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 66 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 67 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL MOMENTUM FUND |
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 12 | MSCI EAFE Mini Index Futures | September 20, 2013 | $977,003 | $983,820 | $6,817 | |||||||||||
|
|
|
|
|
|
|
|||||||||||
Cash held as collateral with broker for futures contracts was $44,678 at June 30, 2013.
| The accompanying notes are an integral part of these financial statements. |
| 68 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR TAX-MANAGED MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 69 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR TAX-MANAGED MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 70 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR TAX-MANAGED MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 71 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR TAX-MANAGED MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. |
| 72 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (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 2013 | 73 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 74 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (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 2013 | 75 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 76 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (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 2013 | 77 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 78 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 79 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 80 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (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 2013 | 81 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 82 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (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 2013 | 83 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
The following abbreviations are used in portfolio descriptions:
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
| SECTOR | VALUE | % OF NET ASSETS |
||||||
| Consumer Discretionary | $ | 1,017,782 | 15.2 | % | ||||
| Consumer Staples | 763,360 | 11.4 | ||||||
| Energy | 80,698 | 1.2 | ||||||
| Financials | 2,402,221 | 36.0 | ||||||
| Health Care | 604,308 | 9.0 | ||||||
| Industrials | 708,612 | 10.6 | ||||||
| Information Technology | 260,114 | 4.0 | ||||||
| Materials | 200,269 | 3.0 | ||||||
| Mutual Fund | 56,978 | 0.9 | ||||||
| Telecommunication Services | 316,420 | 4.7 | ||||||
| Utilities | 201,820 | 3.0 | ||||||
| Money Market Funds | 58,493 | 0.8 | ||||||
|
|
|
|
|
|||||
| Total Investments |
6,671,075 | 99.8 | ||||||
| Other Assets in Excess of Liabilities | 12,946 | 0.2 | ||||||
|
|
|
|
|
|||||
| Net Assets |
$ | 6,684,021 | 100.0 | % | ||||
|
|
|
|
|
|||||
| The accompanying notes are an integral part of these financial statements. |
| 84 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedules of Investments | June 30, 2013 (Unaudited) |
| AQR CORE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 85 | |||||||||||||
| Schedules of Investments | June 30, 2013 (Unaudited) |
| AQR CORE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 86 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedules of Investments | June 30, 2013 (Unaudited) |
| AQR CORE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 87 | |||||||||||||
| Schedules of Investments | June 30, 2013 (Unaudited) |
| AQR CORE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. |
| 88 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR SMALL CAP CORE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 89 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR SMALL CAP CORE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 90 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR SMALL CAP CORE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 91 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR SMALL CAP CORE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 92 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR SMALL CAP CORE EQUITY FUND |
All securities are United States companies, unless noted otherwise in parentheses.
| † | Non income-producing security. |
| (a) | Represents annualized seven-day yield as of June 30, 2013. |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) | Level 2 security (See Note 4). |
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 93 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL CORE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 94 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL CORE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 95 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL CORE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 96 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL CORE EQUITY FUND |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 97 | |||||||||||||
| Statements of Assets and Liabilities | June 30, 2013 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
AQR INTERNATIONAL EQUITY FUND |
AQR EMERGING DEFENSIVE EQUITY FUND |
||||||||||
| ASSETS: | ||||||||||||
| Investments in securities, at cost | $433,375,677 | $637,661,124 | $9,626,108 | |||||||||
| Investments in securities, at value* | $511,109,585 | $717,659,841 | $9,496,099 | |||||||||
| Foreign currency, at value | 2,195,687 | 3,443,083 | 27,960 | |||||||||
| Due from brokers | 9,142,825 | 15,264,703 | — | |||||||||
| Unrealized appreciation on forward foreign currency exchange contracts | — | 95,651 | — | |||||||||
| Swaps, at value | 49,037 | 165,178 | — | |||||||||
| Unrealized appreciation on futures contracts | — | 150,140 | — | |||||||||
| Receivables: | ||||||||||||
| Securities sold |
29,058,519 | 43,424 | — | |||||||||
| Foreign tax reclaim |
645,623 | 1,346,914 | — | |||||||||
| Dividends and interest |
706,409 | 1,136,260 | 25,733 | |||||||||
| Capital shares sold |
— | 10,828,258 | 220,538 | |||||||||
| Due from Investment Advisor |
— | — | 13,283 | |||||||||
| Prepaid expenses |
22,582 | 27,807 | 23,208 | |||||||||
| Total Assets | 552,930,267 | 750,161,259 | 9,806,821 | |||||||||
| LIABILITIES: | ||||||||||||
| Due to custodian | 18,601 | 3,647 | — | |||||||||
| Due to brokers | 47,422 | 112,305 | — | |||||||||
| Unrealized depreciation on forward foreign currency exchange contracts | 667,732 | — | — | |||||||||
| Unrealized depreciation on futures contracts | 218,212 | — | — | |||||||||
| Payables: | ||||||||||||
| Securities purchased |
27,101,051 | 74 | — | |||||||||
| Collateral received on securities loaned |
278,805 | 60,848 | 14 | |||||||||
| Accrued Investment advisory fees |
172,242 | 276,693 | — | |||||||||
| Accrued Shareholder servicing fees |
463 | 56,039 | — | |||||||||
| Accrued Distribution fees—Class N |
145 | 3,554 | 220 | |||||||||
| Capital shares redeemed |
— | 6,762 | 63,998 | |||||||||
| Other accrued expenses and liabilities |
88,642 | 164,245 | 40,822 | |||||||||
| Total Liabilities | 28,593,315 | 684,167 | 105,054 | |||||||||
| Net Assets | $524,336,952 | $749,477,092 | $9,701,767 | |||||||||
| NET ASSETS CONSIST OF: | ||||||||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $417,349,536 | $648,183,790 | $9,871,051 | |||||||||
| Undistributed (accumulated) net investment income (loss) | 4,937,921 | 8,974,756 | 81,030 | |||||||||
| Undistributed (accumulated) net realized gain (loss) | 24,838,570 | 11,966,842 | (119,911) | |||||||||
| Net unrealized appreciation (depreciation) | 77,210,925 | 80,351,704 | (130,403) | |||||||||
| Net Assets | $524,336,952 | $749,477,092 | $9,701,767 | |||||||||
| NET ASSETS: | ||||||||||||
| Class I | $1,045,862 | $204,350,543 | $8,621,076 | |||||||||
| Class N | 647,844 | 27,959,092 | 1,080,691 | |||||||||
| Class Y | 522,643,246 | 517,167,457 | — | |||||||||
| SHARES OUTSTANDING: | ||||||||||||
| Class I | 83,842 | 18,972,066 | 850,950 | |||||||||
| Class N | 52,160 | 2,553,953 | 106,616 | |||||||||
| Class Y | 41,798,708 | 45,824,565 | — | |||||||||
| NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
| Class I | $12.47 | $10.77 | $10.13 | |||||||||
| Class N | $12.42 | $10.95 | $10.14 | |||||||||
| Class Y | $12.50 | $11.29 | — | |||||||||
Foreign currency at cost of $2,232,615, $3,475,615 and $27,786, respectively.
| * | Investments in securities includes the market value of securities out on loan of $265,338, $55,655 and $13, respectively. |
| The accompanying notes are an integral part of these financial statements. |
| 98 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Statements of Assets and Liabilities | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND |
AQR U.S. DEFENSIVE EQUITY FUND |
AQR DIVERSIFIED ARBITRAGE FUND |
||||||||||
| ASSETS: | ||||||||||||
| Investments in securities, at cost | $13,561,439 | $20,480,338 | $2,686,271,336 | |||||||||
| Investments in securities, at value* | $13,543,354 | $21,763,245 | $2,729,224,403 | |||||||||
| Cash | — | — | 2,098,058 | |||||||||
| Foreign currency, at value | 56,763 | — | 5,680,134 | |||||||||
| Due from brokers | — | — | 437,122,183 | |||||||||
| Unrealized appreciation on forward foreign currency exchange contracts | — | — | 1,477,817 | |||||||||
| Swaps, at value | — | — | 37,089,946 | |||||||||
| Unrealized appreciation on futures contracts | — | — | 4,188,279 | |||||||||
| Receivables: | ||||||||||||
| Securities sold |
— | — | 203,571,290 | |||||||||
| Foreign tax reclaim |
5,980 | — | 27,098 | |||||||||
| Dividends and interest |
49,361 | 35,031 | 9,437,431 | |||||||||
| Capital shares sold |
154,614 | 218,286 | 3,947,246 | |||||||||
| Due from Investment Advisor |
12,983 | 7,017 | — | |||||||||
| Prepaid expenses |
23,406 | 24,462 | 100,707 | |||||||||
| Total Assets | 13,846,461 | 22,048,041 | 3,433,964,592 | |||||||||
| LIABILITIES: | ||||||||||||
| Securities sold short, at value (proceeds $—, $— and $544,992,162, respectively) | — | — | 587,515,011 | |||||||||
| Options written, at value (proceeds $—, $— and $979,837, respectively) | — | — | 4,658,960 | |||||||||
| Due to custodian | 190 | — | — | |||||||||
| Due to brokers | — | — | 1,630,000 | |||||||||
| Swaps, at value | — | — | 4,580,074 | |||||||||
| Payables: | ||||||||||||
| Securities purchased |
195,878 | 401,131 | 144,999,575 | |||||||||
| Collateral received on securities loaned |
42,618 | 214,750 | 115,553 | |||||||||
| Accrued Investment advisory fees |
— | — | 2,180,116 | |||||||||
| Accrued Shareholder servicing fees |
— | — | — | |||||||||
| Accrued Distribution fees—Class N |
194 | 365 | 169,564 | |||||||||
| Capital shares redeemed |
— | — | 2,236,967 | |||||||||
| Dividends and interest payable on securities sold short |
— | — | 1,295,171 | |||||||||
| Other accrued expenses and liabilities |
40,302 | 32,923 | 824,000 | |||||||||
| Total Liabilities | 279,182 | 649,169 | 750,204,991 | |||||||||
| Net Assets | $13,567,279 | $21,398,872 | $2,683,759,601 | |||||||||
| NET ASSETS CONSIST OF: | ||||||||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $13,364,011 | $19,844,564 | $2,654,595,417 | |||||||||
| Undistributed (accumulated) net investment income (loss) | 143,082 | 119,691 | 19,955,613 | |||||||||
| Undistributed (accumulated) net realized gain (loss) | 79,126 | 151,710 | (22,007,542) | |||||||||
| Net unrealized appreciation (depreciation) | (18,940) | 1,282,907 | 31,216,113 | |||||||||
| Net Assets | $13,567,279 | $21,398,872 | $2,683,759,601 | |||||||||
| NET ASSETS: | ||||||||||||
| Class I | $12,490,975 | $19,857,986 | $1,857,940,431 | |||||||||
| Class N | 1,076,304 | 1,540,886 | 825,819,170 | |||||||||
| SHARES OUTSTANDING: | ||||||||||||
| Class I | 1,134,413 | 1,699,751 | 166,217,141 | |||||||||
| Class N | 97,729 | 131,861 | 74,238,204 | |||||||||
| NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
| Class I | $11.01 | $11.68 | $11.18 | |||||||||
| Class N | $11.01 | $11.69 | $11.12 | |||||||||
Foreign currency at cost of $57,153, $— and $5,808,077, respectively.
| * | Investments in securities includes the market value of securities out on loan of $39,802, $209,313 and $51,999, respectively. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 99 | |||||||||||||
| Statements of Assets and Liabilities | June 30, 2013 (Unaudited) |
| AQR MOMENTUM FUND |
AQR SMALL CAP MOMENTUM FUND |
AQR INTERNATIONAL MOMENTUM FUND |
||||||||||
| ASSETS: | ||||||||||||
| Investments in securities, at cost | $706,876,590 | $215,211,949 | $188,812,625 | |||||||||
| Investments in securities, at value* | $817,162,499 | $253,339,787 | $206,697,489 | |||||||||
| Cash | — | — | 2,101 | |||||||||
| Foreign currency, at value | 456 | — | 610,398 | |||||||||
| Due from brokers | 214,913 | 42,751 | 44,678 | |||||||||
| Unrealized appreciation on futures contracts | — | 4,066 | 6,817 | |||||||||
| Receivables: | ||||||||||||
| Securities sold |
41,270,131 | 10,737,412 | 11,059,805 | |||||||||
| Foreign tax reclaim |
— | — | 169,270 | |||||||||
| Dividends and interest |
461,994 | 165,924 | 358,093 | |||||||||
| Capital shares sold |
2,537,707 | 191,587 | 303,658 | |||||||||
| Prepaid expenses |
33,688 | 13,300 | 12,825 | |||||||||
| Total Assets | 861,681,388 | 264,494,827 | 219,265,134 | |||||||||
| LIABILITIES: | ||||||||||||
| Unrealized depreciation on futures contracts | 10,558 | — | — | |||||||||
| Payables: | ||||||||||||
| Securities purchased |
48,632,416 | 13,381,345 | 14,520,867 | |||||||||
| Collateral received on securities loaned |
121,038,716 | 57,021,813 | 337,165 | |||||||||
| Accrued Investment advisory fees |
92,108 | 44,056 | 37,055 | |||||||||
| Accrued Shareholder servicing fees |
84,656 | 23,753 | 25,049 | |||||||||
| Accrued Distribution fees—Class N |
15,132 | 24 | 4,963 | |||||||||
| Capital shares redeemed |
739,089 | 82,413 | 67,914 | |||||||||
| Other accrued expenses and liabilities |
207,438 | 78,016 | 106,283 | |||||||||
| Total Liabilities | 170,820,113 | 70,631,420 | 15,099,296 | |||||||||
| Net Assets | $690,861,275 | $193,863,407 | $204,165,838 | |||||||||
| NET ASSETS CONSIST OF: | ||||||||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $569,123,932 | $145,586,543 | $191,921,690 | |||||||||
| Undistributed (accumulated) net investment income (loss) | 3,148,499 | 841,686 | 1,784,446 | |||||||||
| Undistributed (accumulated) net realized gain (loss) | 8,313,463 | 9,303,274 | (7,411,451) | |||||||||
| Net unrealized appreciation (depreciation) | 110,275,381 | 38,131,904 | 17,871,153 | |||||||||
| Net Assets | $690,861,275 | $193,863,407 | $204,165,838 | |||||||||
| NET ASSETS: | ||||||||||||
| Class L | $617,118,812 | $193,738,926 | $180,168,439 | |||||||||
| Class N | 73,742,463 | 124,481 | 23,997,399 | |||||||||
| SHARES OUTSTANDING: | ||||||||||||
| Class L | 34,056,837 | 9,999,366 | 12,933,455 | |||||||||
| Class N | 4,075,467 | 6,432 | 1,725,785 | |||||||||
| NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
| Class L | $18.12 | $19.38 | $13.93 | |||||||||
| Class N | $18.09 | $19.35 | $13.91 | |||||||||
Foreign currency at cost of $426, $— and $614,644, respectively.
| * | Investments in securities includes the market value of securities out on loan of $117,442,602, $54,406,226 and $318,122, respectively. |
| The accompanying notes are an integral part of these financial statements. |
| 100 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Statements of Assets and Liabilities | June 30, 2013 (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 | $9,072,966 | $4,223,800 | $6,029,552 | |||||||||
| Investments in securities, at value* | $10,106,124 | $5,146,336 | $6,671,075 | |||||||||
| Cash | — | 19 | 39 | |||||||||
| Foreign currency, at value | — | — | 20,892 | |||||||||
| Receivables: | ||||||||||||
| Securities sold |
990,982 | 308,554 | 358,817 | |||||||||
| Foreign tax reclaim |
— | — | 5,768 | |||||||||
| Dividends and interest |
10,325 | 2,789 | 12,769 | |||||||||
| Capital shares sold |
143,369 | 37,378 | 37,378 | |||||||||
| Due from Investment Advisor |
6,891 | 8,963 | 9,784 | |||||||||
| Prepaid expenses |
57 | 42 | 90 | |||||||||
| Total Assets | 11,257,748 | 5,504,081 | 7,116,612 | |||||||||
| LIABILITIES: | ||||||||||||
| Payables: | ||||||||||||
| Securities purchased |
1,062,416 | 312,342 | 384,716 | |||||||||
| Collateral received on securities loaned |
81,604 | 144,512 | — | |||||||||
| Accrued Distribution fees—Class N |
22 | 22 | 21 | |||||||||
| Other accrued expenses and liabilities |
30,751 | 31,208 | 47,854 | |||||||||
| Total Liabilities | 1,174,793 | 488,084 | 432,591 | |||||||||
| Net Assets | $10,082,955 | $5,015,997 | $6,684,021 | |||||||||
| NET ASSETS CONSIST OF: | ||||||||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $8,967,788 | $4,032,774 | $5,793,003 | |||||||||
| Undistributed (accumulated) net investment income (loss) | 44,313 | 18,451 | 65,272 | |||||||||
| Undistributed (accumulated) net realized gain (loss) | 37,696 | 42,236 | 185,016 | |||||||||
| Net unrealized appreciation (depreciation) | 1,033,158 | 922,536 | 640,730 | |||||||||
| Net Assets | $10,082,955 | $5,015,997 | $6,684,021 | |||||||||
| NET ASSETS: | ||||||||||||
| Class L | $9,976,496 | $4,906,590 | $6,582,747 | |||||||||
| Class N | 106,459 | 109,407 | 101,274 | |||||||||
| SHARES OUTSTANDING: | ||||||||||||
| Class L | 794,117 | 369,297 | 549,523 | |||||||||
| Class N | 8,489 | 8,251 | 8,468 | |||||||||
| NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
| Class L | $12.56 | $13.29 | $11.98 | |||||||||
| Class N | $12.54 | $13.26 | $11.96 | |||||||||
Foreign currency at cost of $—, $— and $21,036, respectively.
| * | Investments in securities includes the market value of securities out on loan of $77,510, $140,583 and $—, respectively. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 101 | |||||||||||||
| Statements of Assets and Liabilities | June 30, 2013 (Unaudited) |
| AQR CORE EQUITY FUND |
AQR SMALL CAP CORE EQUITY FUND |
AQR INTERNATIONAL CORE EQUITY FUND |
||||||||||
| ASSETS: | ||||||||||||
| Investments in securities, at cost | $9,873,787 | $2,613,427 | $3,427,444 | |||||||||
| Investments in securities, at value | $9,828,379 | $2,783,893 | $3,412,677 | |||||||||
| Foreign currency, at value | — | — | 6,267 | |||||||||
| Receivables: | ||||||||||||
| Securities sold |
1,094,994 | 326,536 | 394,340 | |||||||||
| Foreign tax reclaim |
— | — | 1,056 | |||||||||
| Dividends and interest |
10,026 | 2,208 | 11,554 | |||||||||
| Capital shares sold |
209,900 | — | — | |||||||||
| Due from Investment Advisor |
15,420 | 17,679 | 19,792 | |||||||||
| Prepaid expenses |
— | — | 19 | |||||||||
| Total Assets | 11,158,719 | 3,130,316 | 3,845,705 | |||||||||
| LIABILITIES: | ||||||||||||
| Due to custodian | — | 42 | — | |||||||||
| Payables: | ||||||||||||
| Securities purchased |
1,166,810 | 328,521 | 401,825 | |||||||||
| Accrued Distribution fees—Class N |
115 | 226 | 291 | |||||||||
| Other accrued expenses and liabilities |
34,754 | 35,404 | 40,509 | |||||||||
| Total Liabilities | 1,201,679 | 364,193 | 442,625 | |||||||||
| Net Assets | $9,957,040 | $2,766,123 | $3,403,080 | |||||||||
| NET ASSETS CONSIST OF: | ||||||||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $9,955,024 | $2,590,575 | $3,399,223 | |||||||||
| Undistributed (accumulated) net investment income (loss) | 18,874 | 2,265 | 31,337 | |||||||||
| Undistributed (accumulated) net realized gain (loss) | 28,550 | 2,817 | (12,462) | |||||||||
| Net unrealized appreciation (depreciation) | (45,408) | 170,466 | (15,018) | |||||||||
| Net Assets | $9,957,040 | $2,766,123 | $3,403,080 | |||||||||
| NET ASSETS: | ||||||||||||
| Class L | $9,388,889 | $1,660,361 | $1,979,730 | |||||||||
| Class N | 568,151 | 1,105,762 | 1,423,350 | |||||||||
| SHARES OUTSTANDING: | ||||||||||||
| Class L | 898,644 | 153,898 | 193,614 | |||||||||
| Class N | 54,372 | 102,553 | 139,288 | |||||||||
| NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
| Class L | $10.45 | $10.79 | $10.23 | |||||||||
| Class N | $10.45 | $10.78 | $10.22 | |||||||||
Foreign currency at cost of $—, $— and $6,315, respectively.
| The accompanying notes are an integral part of these financial statements. |
| 102 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Statements of Operations | June 30, 2013 (Unaudited) |
| AQR GLOBAL EQUITY FUND |
AQR INTERNATIONAL EQUITY FUND |
AQR EMERGING DEFENSIVE EQUITY FUND |
||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2013 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 |
||||||||||
| INVESTMENT INCOME: | ||||||||||||
| Dividend income† | $6,694,093 | $12,930,440 | $119,635 | |||||||||
| Securities lending income, net | 44,198 | 85,931 | 49 | |||||||||
| Total Income | 6,738,291 | 13,016,371 | 119,684 | |||||||||
| EXPENSES: | ||||||||||||
| Investment advisory fees | 1,025,993 | 1,651,090 | 23,329 | |||||||||
| Shareholder servicing fees | 2,377 | 340,672 | 9,721 | |||||||||
| Custody, administration & accounting fees | 95,089 | 144,298 | 10,428 | |||||||||
| Legal fees | 7,669 | 13,645 | 2,005 | |||||||||
| Audit & tax fees | 37,642 | 37,497 | 38,879 | |||||||||
| Shareholder reporting fees | 1,399 | 7,349 | 2,899 | |||||||||
| Transfer agent fees | 7,071 | 70,161 | 8,132 | |||||||||
| Trustee fees | 12,769 | 18,731 | 214 | |||||||||
| Distribution fees—Class N | 753 | 21,015 | 1,735 | |||||||||
| Recoupment of waiver | — | 63,691 | — | |||||||||
| Registration fees | 13,895 | 20,853 | 15,918 | |||||||||
| Pricing fee | 11,372 | 9,978 | 7,056 | |||||||||
| Other fees | 21,057 | 35,329 | 3,094 | |||||||||
| Total Expenses | 1,237,086 | 2,434,309 | 123,410 | |||||||||
| Less waivers: | ||||||||||||
| Investment advisory fees waived |
(9,563) | — | (23,329) | |||||||||
| Shareholder servicing fees waived |
(2,377) | — | (9,721) | |||||||||
| Expense reimbursements |
— | — | (47,447) | |||||||||
| Net Expenses | 1,225,146 | 2,434,309 | 42,913 | |||||||||
| Net Investment Income (Loss) | 5,513,145 | 10,582,062 | 76,771 | |||||||||
| REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
| Net realized gain (loss) from: | ||||||||||||
| Investments in securities |
26,020,848 | 13,275,711 | (116,063) | |||||||||
| Foreign currency and foreign currency translations |
(62,612) | (78,875) | 2,653 | |||||||||
| Forward foreign currency exchange contracts |
6,003,449 | 7,848,867 | — | |||||||||
| Futures contracts |
6,471,045 | 17,060,370 | — | |||||||||
| Swap and swaps on futures contracts |
(464,510) | (2,676,377) | — | |||||||||
| Net realized gain (loss) | 37,968,220 | 35,429,696 | (113,410) | |||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||
| Investments in securities |
11,357,676 | (653,289) | (640,349) | |||||||||
| Foreign currency and foreign currency translations |
(33,093) | (73,189) | (1,778) | |||||||||
| Forward foreign currency exchange contracts |
(6,213,999) | (7,441,307) | — | |||||||||
| Futures contracts |
(391,194) | (1,062,219) | — | |||||||||
| Swap and swaps on futures contracts |
137,795 | 118,618 | — | |||||||||
| Net change in unrealized appreciation (depreciation) | 4,857,185 | (9,111,386) | (642,127) | |||||||||
| Net gain (loss) and change in unrealized appreciation (depreciation) | 42,825,405 | 26,318,310 | (755,537) | |||||||||
| Net increase (decrease) in net assets resulting from operations | $48,338,550 | $36,900,372 | ($678,766) | |||||||||
|
† Net of foreign taxes withheld of |
$445,033 | $1,321,808 | $8,982 | |||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 103 | |||||||||||||
| Statements of Operations | June 30, 2013 (Unaudited) |
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND |
AQR U.S. DEFENSIVE EQUITY FUND |
AQR DIVERSIFIED ARBITRAGE FUND |
||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2013 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 |
||||||||||
| INVESTMENT INCOME: | ||||||||||||
| Dividend income† | $182,717 | $160,868 | $21,233,852 | |||||||||
| Interest income | — | — | 20,996,578 | |||||||||
| Securities lending income, net | 141 | 524 | 44,758 | |||||||||
| Total Income | 182,858 | 161,392 | 42,275,188 | |||||||||
| EXPENSES: | ||||||||||||
| Investment advisory fees | 19,386 | 21,493 | 12,898,448 | |||||||||
| Shareholder servicing fees | 12,117 | 17,911 | — | |||||||||
| Custody, administration & accounting fees | 13,398 | 8,400 | 412,464 | |||||||||
| Legal fees | 260 | 265 | 96,667 | |||||||||
| Audit & tax fees | 38,878 | 25,901 | 122,614 | |||||||||
| Shareholder reporting fees | 3,046 | 3,303 | 153,168 | |||||||||
| Transfer agent fees | 9,055 | 11,145 | 1,463,733 | |||||||||
| Trustee fees | 255 | 330 | 65,760 | |||||||||
| Distribution fees—Class N | 1,102 | 1,946 | 987,724 | |||||||||
| Dividends and interest on securities sold short | — | — | 6,194,746 | |||||||||
| Recoupment of waiver | — | — | 45,569 | |||||||||
| Registration fees | 15,890 | 15,945 | 132,782 | |||||||||
| Pricing fee | 7,138 | 798 | 35,594 | |||||||||
| Other fees | 2,844 | 2,978 | 128,288 | |||||||||
| Total Expenses | 123,369 | 110,415 | 22,737,557 | |||||||||
| Less waivers: | ||||||||||||
| Investment advisory fees waived |
(19,386) | (21,493) | — | |||||||||
| Shareholder servicing fees waived |
(12,117) | (17,911) | — | |||||||||
| Expense reimbursements |
(52,233) | (23,583) | — | |||||||||
| Net Expenses | 39,633 | 47,428 | 22,737,557 | |||||||||
| Net Investment Income (Loss) | 143,225 | 113,964 | 19,537,631 | |||||||||
| REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
| Net realized gain (loss) from: | ||||||||||||
| Investments in securities |
81,291 | 158,900 | 41,953,595 | |||||||||
| Foreign currency and foreign currency translations |
(4,314) | — | 14,236,687 | |||||||||
| Forward foreign currency exchange contracts |
— | — | 2,478,810 | |||||||||
| Futures contracts |
— | — | (18,997,018) | |||||||||
| Securities sold short |
— | — | (28,411,899) | |||||||||
| Swap and swaps on futures contracts |
— | — | (34,771,409) | |||||||||
| Written options |
— | — | 1,303,134 | |||||||||
| Net realized gain (loss) | 76,977 | 158,900 | (22,208,100) | |||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||
| Investments in securities |
(262,410) | 1,249,464 | 29,148,621 | |||||||||
| Foreign currency and foreign currency translations |
(912) | — | (13,322,911) | |||||||||
| Forward foreign currency exchange contracts |
— | — | 2,810,398 | |||||||||
| Futures contracts |
— | — | 3,366,745 | |||||||||
| Securities sold short |
— | — | (21,977,124) | |||||||||
| Swap and swaps on futures contracts |
— | — | 36,021,811 | |||||||||
| Written options |
— | — | (3,715,964) | |||||||||
| Net change in unrealized appreciation (depreciation) | (263,322) | 1,249,464 | 32,331,576 | |||||||||
| Net gain (loss) and change in unrealized appreciation (depreciation) | (186,345) | 1,408,364 | 10,123,476 | |||||||||
| Net increase (decrease) in net assets resulting from operations | ($43,120) | $1,522,328 | $29,661,107 | |||||||||
|
† Net of foreign taxes withheld of |
$18,789 | $— | $60,614 | |||||||||
| The accompanying notes are an integral part of these financial statements. |
| 104 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Statements of Operations | June 30, 2013 (Unaudited) |
| AQR MOMENTUM FUND |
AQR SMALL CAP MOMENTUM FUND |
AQR INTERNATIONAL MOMENTUM FUND |
||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2013 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 |
||||||||||
| INVESTMENT INCOME: | ||||||||||||
| Dividend income† | $4,340,849 | $992,659 | $2,663,019 | |||||||||
| Interest income | — | 27 | — | |||||||||
| Securities lending income, net | 229,951 | 271,203 | 18,828 | |||||||||
| Total Income | 4,570,800 | 1,263,889 | 2,681,847 | |||||||||
| EXPENSES: | ||||||||||||
| Investment advisory fees | 790,624 | 303,779 | 302,485 | |||||||||
| Shareholder servicing fees | 474,377 | 130,192 | 129,637 | |||||||||
| Custody, administration & accounting fees | 89,328 | 29,981 | 40,709 | |||||||||
| Legal fees | 11,355 | 3,465 | 3,189 | |||||||||
| Audit & tax fees | 27,621 | 27,254 | 32,875 | |||||||||
| Shareholder reporting fees | 34,895 | 6,313 | 15,003 | |||||||||
| Transfer agent fees | 289,646 | 72,976 | 78,528 | |||||||||
| Trustee fees | 16,003 | 4,218 | 4,181 | |||||||||
| Distribution fees—Class N | 85,719 | 104 | 18,408 | |||||||||
| Pricing fee | 2,122 | 7,492 | 10,879 | |||||||||
| Other fees | 67,564 | 34,853 | 34,340 | |||||||||
| Total Expenses | 1,889,254 | 620,627 | 670,234 | |||||||||
| Less waivers: | ||||||||||||
| Investment advisory fees waived |
— | (13,770) | (2,367) | |||||||||
| Shareholder servicing fees waived |
(239,840) | (38,555) | (84,201) | |||||||||
| Net Expenses | 1,649,414 | 568,302 | 583,666 | |||||||||
| Net Investment Income (Loss) | 2,921,386 | 695,587 | 2,098,181 | |||||||||
| REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
| Net realized gain (loss) from: | ||||||||||||
| Investments in securities |
15,527,848 | 7,409,331 | 4,094,461 | |||||||||
| Foreign currency and foreign currency translations |
— | — | (29,608) | |||||||||
| Futures contracts |
1,087,475 | 419,545 | 28,678 | |||||||||
| Net realized gain (loss) | 16,615,323 | 7,828,876 | 4,093,531 | |||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||
| Investments in securities |
53,561,756 | 18,900,890 | 1,395,452 | |||||||||
| Foreign currency and foreign currency translations |
(7) | — | (22,592) | |||||||||
| Futures contracts |
(25,580) | (23,207) | 6,817 | |||||||||
| Net change in unrealized appreciation (depreciation) | 53,536,169 | 18,877,683 | 1,379,677 | |||||||||
| Net gain (loss) and change in unrealized appreciation (depreciation) | 70,151,492 | 26,706,559 | 5,473,208 | |||||||||
| Net increase (decrease) in net assets resulting from operations | $73,072,878 | $27,402,146 | $7,571,389 | |||||||||
|
† Net of foreign taxes withheld of |
$— | $— | $282,777 | |||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 105 | |||||||||||||
| Statements of Operations | June 30, 2013 (Unaudited) |
| AQR TAX-MANAGED MOMENTUM FUND |
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2013 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 |
||||||||||
| INVESTMENT INCOME: | ||||||||||||
| Dividend income† | $60,470 | $25,864 | $101,672 | |||||||||
| Securities lending income, net | 1,772 | 3,550 | 319 | |||||||||
| Total Income | 62,242 | 29,414 | 101,991 | |||||||||
| EXPENSES: | ||||||||||||
| Investment advisory fees | 11,705 | 8,358 | 12,740 | |||||||||
| Shareholder servicing fees | 5,853 | 3,134 | 4,777 | |||||||||
| Custody, administration & accounting fees | 4,568 | 4,465 | 8,005 | |||||||||
| Legal fees | 201 | 151 | 455 | |||||||||
| Audit & tax fees | 27,125 | 27,105 | 32,751 | |||||||||
| Shareholder reporting fees | 177 | 475 | 742 | |||||||||
| Transfer agent fees | 6,763 | 6,594 | 6,703 | |||||||||
| Trustee fees | 181 | 112 | 164 | |||||||||
| Distribution fees—Class N | 101 | 102 | 100 | |||||||||
| Registration fees | 20,555 | 20,550 | 20,556 | |||||||||
| Pricing fee | 1,645 | 5,679 | 10,232 | |||||||||
| Other fees | 1,764 | 1,542 | 1,554 | |||||||||
| Total Expenses | 80,638 | 78,267 | 98,779 | |||||||||
| Less waivers: | ||||||||||||
| Investment advisory fees waived |
(11,705) | (8,358) | (12,740) | |||||||||
| Shareholder servicing fees waived |
(5,853) | (3,134) | (4,777) | |||||||||
| Expense reimbursements |
(41,697) | (51,949) | (58,727) | |||||||||
| Net Expenses | 21,383 | 14,826 | 22,535 | |||||||||
| Net Investment Income (Loss) | 40,859 | 14,588 | 79,456 | |||||||||
| REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
| Net realized gain (loss) from: | ||||||||||||
| Investments in securities |
51,885 | 26,037 | 158,846 | |||||||||
| Foreign currency and foreign currency translations |
— | — | (173) | |||||||||
| Net realized gain (loss) | 51,885 | 26,037 | 158,673 | |||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||
| Investments in securities |
742,190 | 650,447 | 129,220 | |||||||||
| Foreign currency and foreign currency translations |
— | — | (942) | |||||||||
| Net change in unrealized appreciation (depreciation) | 742,190 | 650,447 | 128,278 | |||||||||
| Net gain (loss) and change in unrealized appreciation (depreciation) | 794,075 | 676,484 | 286,951 | |||||||||
| Net increase (decrease) in net assets resulting from operations | $834,934 | $691,072 | $366,407 | |||||||||
|
† Net of foreign taxes withheld of |
$— | $— | $9,772 | |||||||||
| The accompanying notes are an integral part of these financial statements. |
| 106 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Statements of Operations | June 30, 2013 (Unaudited) |
| AQR CORE EQUITY FUND |
AQR SMALL CAP CORE EQUITY FUND |
AQR INTERNATIONAL CORE EQUITY FUND |
||||||||||
| FOR THE PERIOD |
FOR THE PERIOD 03/26/13*-06/30/13 |
FOR THE PERIOD 03/26/13*-06/30/13 |
||||||||||
| INVESTMENT INCOME: | ||||||||||||
| Dividend income† | $26,225 | $7,550 | $37,455 | |||||||||
| Total Income | 26,225 | 7,550 | 37,455 | |||||||||
| EXPENSES: | ||||||||||||
| Investment advisory fees | 3,800 | 2,753 | 3,036 | |||||||||
| Shareholder servicing fees | 1,900 | 917 | 1,138 | |||||||||
| Custody, administration & accounting fees | 1,840 | 1,733 | 1,761 | |||||||||
| Legal fees | 28 | 28 | 28 | |||||||||
| Audit & tax fees | 20,459 | 20,459 | 25,722 | |||||||||
| Shareholder reporting fees | 3,688 | 3,668 | 3,735 | |||||||||
| Transfer agent fees | 4,709 | 4,048 | 4,194 | |||||||||
| Trustee fees | 32 | 26 | 29 | |||||||||
| Organization and offering costs | 8,572 | 8,572 | 8,572 | |||||||||
| Distribution fees—Class N | 511 | 692 | 804 | |||||||||
| Registration fees | 9,726 | 9,727 | 9,726 | |||||||||
| Pricing fee | 785 | 2,525 | 3,982 | |||||||||
| Other fees | 580 | 580 | 599 | |||||||||
| Total Expenses | 56,630 | 55,728 | 63,326 | |||||||||
| Less waivers: | ||||||||||||
| Investment advisory fees waived |
(3,800) | (2,753) | (3,036) | |||||||||
| Shareholder servicing fees waived |
(1,900) | (917) | (1,138) | |||||||||
| Expense reimbursements |
(43,579) | (46,773) | (53,034) | |||||||||
| Net Expenses | 7,351 | 5,285 | 6,118 | |||||||||
| Net Investment Income (Loss) | 18,874 | 2,265 | 31,337 | |||||||||
| REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
| Net realized gain (loss) from: | ||||||||||||
| Investments in securities |
28,550 | 2,817 | (11,862) | |||||||||
| Foreign currency and foreign currency translations |
— | — | (600) | |||||||||
| Net realized gain (loss) | 28,550 | 2,817 | (12,462) | |||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||
| Investments in securities |
(45,408) | 170,466 | (14,767) | |||||||||
| Foreign currency and foreign currency translations |
— | — | (251) | |||||||||
| Net change in unrealized appreciation (depreciation) | (45,408) | 170,466 | (15,018) | |||||||||
| Net gain (loss) and change in unrealized appreciation (depreciation) | (16,858) | 173,283 | (27,480) | |||||||||
| Net increase (decrease) in net assets resulting from operations | $2,016 | $175,548 | $3,857 | |||||||||
|
† Net of foreign taxes withheld of |
$— | $— | $4,156 | |||||||||
| * | Commencement of operations. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 107 | |||||||||||||
| Statements of Changes in Net Assets | June 30, 2013 |
| AQR GLOBAL EQUITY FUND | AQR INTERNATIONAL EQUITY FUND |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2012 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2012 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) | $5,513,145 | $9,761,325 | $10,582,062 | $14,157,497 | ||||||||||||
| Net realized gain (loss) | 37,968,220 | 25,951,075 | 35,429,696 | 14,380,448 | ||||||||||||
| Net change in unrealized appreciation (depreciation) | 4,857,185 | 42,326,765 | (9,111,386) | 96,501,940 | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
48,338,550 | 78,039,165 | 36,900,372 | 125,039,885 | ||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (44,921) | — | (6,044,927) | ||||||||||||
| Class N |
— | (39,465) | — | (442,708) | ||||||||||||
| Class Y |
— | (13,830,600) | — | (14,968,277) | ||||||||||||
| Total |
— | (13,914,986) | — | (21,455,912) | ||||||||||||
| Net realized gain: | ||||||||||||||||
| Class I |
— | (36,801) | — | — | ||||||||||||
| Class N |
— | (34,857) | — | — | ||||||||||||
| Class Y |
— | (9,350,410) | — | — | ||||||||||||
| Total |
— | (9,422,068) | — | — | ||||||||||||
| Total distributions |
— | (23,337,054) | — | (21,455,912) | ||||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold | 360,991 | 289,737 | 21,947,338 | 56,017,676 | ||||||||||||
| Reinvestment of distributions | — | 81,722 | — | 5,225,139 | ||||||||||||
| Cost of shares redeemed | (9,593) | (2,120,396) | (25,105,021) | (33,350,378) | ||||||||||||
| Net increase (decrease) from capital transactions | 351,398 | (1,748,937) | (3,157,683) | 27,892,437 | ||||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold | 565,176 | 73,666 | 15,022,277 | 15,872,803 | ||||||||||||
| Reinvestment of distributions | — | 74,323 | — | 442,505 | ||||||||||||
| Cost of shares redeemed | (472,700) | (1,850,280) | (3,382,536) | (3,715,733) | ||||||||||||
| Net increase (decrease) from capital transactions | 92,476 | (1,702,291) | 11,639,741 | 12,599,575 | ||||||||||||
| CLASS Y | ||||||||||||||||
| Proceeds from shares sold | — | — | 19,000,000 | 45,779,910 | ||||||||||||
| Reinvestment of distributions | — | 23,181,009 | — | 14,968,276 | ||||||||||||
| Cost of shares redeemed | (2,000) | (659,771) | (2,023,000) | (5,836,872) | ||||||||||||
| Redemption fees | 2 | 4 | 20,704 | 32,284 | ||||||||||||
| Net increase (decrease) from capital transactions | (1,998) | 22,521,242 | 16,997,704 | 54,943,598 | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 441,876 | 19,070,014 | 25,479,762 | 95,435,610 | ||||||||||||
| Total increase (decrease) in net assets | 48,780,426 | 73,772,125 | 62,380,134 | 199,019,583 | ||||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period | 475,556,526 | 401,784,401 | 687,096,958 | 488,077,375 | ||||||||||||
| End of period | $524,336,952 | $475,556,526 | $749,477,092 | $687,096,958 | ||||||||||||
| Undistributed accumulated net investment income (loss) at end of period | $4,937,921 | $(575,224) | $8,974,756 | $(1,607,306) | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (continued on p. 109) |
| 108 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Statements of Changes in Net Assets | June 30, 2013 |
| AQR GLOBAL EQUITY FUND | AQR INTERNATIONAL EQUITY FUND |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2012 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2012 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period | 55,196 | 210,532 | 19,233,566 | 16,066,790 | ||||||||||||
| Shares sold | 29,394 | 25,557 | 1,976,052 | 6,218,133 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 7,336 | — | 524,610 | ||||||||||||
| Shares redeemed | (748) | (188,229) | (2,237,552) | (3,575,967) | ||||||||||||
| Shares outstanding, end of period | 83,842 | 55,196 | 18,972,066 | 19,233,566 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period | 45,729 | 202,461 | 1,492,563 | 133,174 | ||||||||||||
| Shares sold | 44,535 | 6,817 | 1,366,473 | 1,698,841 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 6,690 | — | 43,639 | ||||||||||||
| Shares redeemed | (38,104) | (170,239) | (305,083) | (383,091) | ||||||||||||
| Shares outstanding, end of period | 52,160 | 45,729 | 2,553,953 | 1,492,563 | ||||||||||||
| CLASS Y | ||||||||||||||||
| Shares outstanding, beginning of period | 41,798,875 | 39,780,661 | 44,308,341 | 38,834,729 | ||||||||||||
| Shares sold | — | — | 1,693,404 | 4,631,152 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 2,080,881 | — | 1,436,495 | ||||||||||||
| Shares redeemed | (167) | (62,667) | (177,180) | (594,035) | ||||||||||||
| Shares outstanding, end of period | 41,798,708 | 41,798,875 | 45,824,565 | 44,308,341 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 109 | |||||||||||||
| Statements of Changes in Net Assets | June 30, 2013 |
| AQR EMERGING DEFENSIVE EQUITY FUND |
AQR INTERNATIONAL DEFENSIVE EQUITY FUND |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE PERIOD 7/09/12*-12/31/12 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE PERIOD 7/09/12*-12/31/12 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) | $76,771 | $49,290 | $143,225 | $33,252 | ||||||||||||
| Net realized gain (loss) | (113,410) | 3,764 | 76,977 | 16,279 | ||||||||||||
| Net change in unrealized appreciation (depreciation) | (642,127) | 511,724 | (263,322) | 244,382 | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
(678,766) | 564,778 | (43,120) | 293,913 | ||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (34,222) | — | (26,339) | ||||||||||||
| Class N |
— | (9,990) | — | (3,918) | ||||||||||||
| Total |
— | (44,212) | — | (30,257) | ||||||||||||
| Net realized gain: | ||||||||||||||||
| Class I |
— | (11,427) | — | (16,369) | ||||||||||||
| Class N |
— | (4,811) | — | (4,353) | ||||||||||||
| Total |
— | (16,238) | — | (20,722) | ||||||||||||
| Total distributions |
— | (60,450) | — | (50,979) | ||||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold | 7,708,835 | 5,666,656 | 7,483,831 | 7,216,220 | ||||||||||||
| Reinvestment of distributions | — | 45,649 | — | 42,708 | ||||||||||||
| Cost of shares redeemed | (3,886,995) | (689,457) | (296,381) | (2,065,477) | ||||||||||||
| Net increase (decrease) from capital transactions | 3,821,840 | 5,022,848 | 7,187,450 | 5,193,451 | ||||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold | 372,525 | 1,857,059 | 315,021 | 1,791,100 | ||||||||||||
| Reinvestment of distributions | — | 14,801 | — | 8,271 | ||||||||||||
| Cost of shares redeemed | (1,020,352) | (192,516) | (108,373) | (1,019,455) | ||||||||||||
| Net increase (decrease) from capital transactions | (647,827) | 1,679,344 | 206,648 | 779,916 | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 3,174,013 | 6,702,192 | 7,394,098 | 5,973,367 | ||||||||||||
| Total increase (decrease) in net assets | 2,495,247 | 7,206,520 | 7,350,978 | 6,216,301 | ||||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period | 7,206,520 | — | 6,216,301 | — | ||||||||||||
| End of period | $9,701,767 | $7,206,520 | $13,567,279 | $6,216,301 | ||||||||||||
| Undistributed accumulated net investment income (loss) at end of period | $81,030 | $4,259 | $143,082 | $(143) | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (continued on p. 111) |
| 110 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Statements of Changes in Net Assets | June 30, 2013 |
| AQR EMERGING DEFENSIVE EQUITY FUND |
AQR INTERNATIONAL DEFENSIVE EQUITY FUND |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE PERIOD 7/09/12*-12/31/12 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE PERIOD 7/09/12*-12/31/12 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period | 494,839 | — | 502,748 | — | ||||||||||||
| Shares sold | 709,806 | 556,121 | 658,351 | 693,168 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 4,278 | — | 4,014 | ||||||||||||
| Shares redeemed | (353,695) | (65,560) | (26,686) | (194,434) | ||||||||||||
| Shares outstanding, end of period | 850,950 | 494,839 | 1,134,413 | 502,748 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period | 165,019 | — | 79,543 | — | ||||||||||||
| Shares sold | 34,453 | 181,889 | 28,201 | 174,715 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 1,386 | — | 776 | ||||||||||||
| Shares redeemed | (92,856) | (18,256) | (10,015) | (95,948) | ||||||||||||
| Shares outstanding, end of period | 106,616 | 165,019 | 97,729 | 79,543 | ||||||||||||
| * | Commencement of operations. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 111 | |||||||||||||
| Statements of Changes in Net Assets | June 30, 2013 |
| AQR U.S. DEFENSIVE EQUITY FUND |
AQR DIVERSIFIED ARBITRAGE FUND |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE PERIOD 7/09/12*-12/31/12 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2012 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) | $113,964 | $44,795 | $19,537,631 | $18,967,706 | ||||||||||||
| Net realized gain (loss) | 158,900 | (2,179) | (22,208,100) | 61,270,840 | ||||||||||||
| Net change in unrealized appreciation (depreciation) | 1,249,464 | 33,443 | 32,331,576 | (11,053,088) | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
1,522,328 | 76,059 | 29,661,107 | 69,185,458 | ||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (40,855) | — | (20,054,461) | ||||||||||||
| Class N |
— | (1,691) | — | (6,424,707) | ||||||||||||
| Total |
— | (42,546) | — | (26,479,168) | ||||||||||||
| Net realized gain: | ||||||||||||||||
| Class I |
— | (4,695) | — | (8,252,742) | ||||||||||||
| Class N |
— | (316) | — | (3,609,101) | ||||||||||||
| Total |
— | (5,011) | — | (11,861,843) | ||||||||||||
| Total distributions |
— | (47,557) | — | (38,341,011) | ||||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold | 11,822,722 | 8,863,968 | 436,935,681 | 1,015,619,538 | ||||||||||||
| Reinvestment of distributions | — | 45,549 | — | 24,177,205 | ||||||||||||
| Cost of shares redeemed | (1,156,528) | (1,076,018) | (353,025,647) | (765,520,230) | ||||||||||||
| Net increase (decrease) from capital transactions | 10,666,194 | 7,833,499 | 83,910,034 | 274,276,513 | ||||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold | 3,250,546 | 1,421,979 | 161,789,609 | 313,184,408 | ||||||||||||
| Reinvestment of distributions | — | 2,007 | — | 9,826,792 | ||||||||||||
| Cost of shares redeemed | (2,302,926) | (1,023,257) | (105,696,473) | (222,575,477) | ||||||||||||
| Net increase (decrease) from capital transactions | 947,620 | 400,729 | 56,093,136 | 100,435,723 | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 11,613,814 | 8,234,228 | 140,003,170 | 374,712,236 | ||||||||||||
| Total increase (decrease) in net assets | 13,136,142 | 8,262,730 | 169,664,277 | 405,556,683 | ||||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period | 8,262,730 | — | 2,514,095,324 | 2,108,538,641 | ||||||||||||
| End of period | $21,398,872 | $8,262,730 | $2,683,759,601 | $2,514,095,324 | ||||||||||||
| Undistributed accumulated net investment income (loss) at end of period | $119,691 | $5,727 | $19,955,613 | $417,982 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (continued on p. 113) |
| 112 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Statements of Changes in Net Assets | June 30, 2013 |
| AQR U.S. DEFENSIVE EQUITY FUND |
AQR DIVERSIFIED ARBITRAGE FUND |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE PERIOD 7/09/12*-12/31/12 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2012 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period | 771,572 | — | 158,688,997 | 133,778,788 | ||||||||||||
| Shares sold | 1,036,840 | 872,439 | 39,234,883 | 91,852,169 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 4,479 | — | 2,195,928 | ||||||||||||
| Shares redeemed | (108,661) | (105,346) | (31,706,739) | (69,137,888) | ||||||||||||
| Shares outstanding, end of period | 1,699,751 | 771,572 | 166,217,141 | 158,688,997 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period | 41,347 | — | 69,181,212 | 60,071,714 | ||||||||||||
| Shares sold | 288,805 | 141,350 | 14,587,767 | 28,441,266 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 197 | — | 894,936 | ||||||||||||
| Shares redeemed | (198,291) | (100,200) | (9,530,775) | (20,226,704) | ||||||||||||
| Shares outstanding, end of period | 131,861 | 41,347 | 74,238,204 | 69,181,212 | ||||||||||||
| * | Commencement of operations. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 113 | |||||||||||||
| Statements of Changes in Net Assets | June 30, 2013 |
| AQR MOMENTUM FUND | AQR SMALL CAP MOMENTUM FUND |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE YEAR ENDED |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2012 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) | $2,921,386 | $7,340,127 | $695,587 | $1,800,500 | ||||||||||||
| Net realized gain (loss) | 16,615,323 | 13,466,529 | 7,828,876 | 7,037,857 | ||||||||||||
| Net change in unrealized appreciation (depreciation) | 53,536,169 | 39,530,778 | 18,877,683 | 12,331,774 | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
73,072,878 | 60,337,434 | 27,402,146 | 21,170,131 | ||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class L |
— | (7,610,158) | — | (1,541,164) | ||||||||||||
| Total |
— | (7,610,158) | — | (1,541,164) | ||||||||||||
| Total distributions |
— | (7,610,158) | — | (1,541,164) | ||||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS L | ||||||||||||||||
| Proceeds from shares sold | 126,356,716 | 231,326,342 | 37,265,129 | 50,077,757 | ||||||||||||
| Reinvestment of distributions | — | 7,604,346 | — | 1,537,931 | ||||||||||||
| Cost of shares redeemed | (64,855,150) | (104,299,857) | (16,688,513) | (26,009,044) | ||||||||||||
| Net increase (decrease) from capital transactions | 61,501,566 | 134,630,831 | 20,576,616 | 25,606,644 | ||||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold | 15,170,817 | 58,966,793(a) | 115,780 | 10,000(a) | ||||||||||||
| Cost of shares redeemed | (7,747,299) | (216,871) | (11,100) | — | ||||||||||||
| Net increase (decrease) from capital transactions | 7,423,518 | 58,749,922 | 104,680 | 10,000 | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 68,925,084 | 193,380,753 | 20,681,296 | 25,616,644 | ||||||||||||
| Total increase (decrease) in net assets | 141,997,962 | 246,108,029 | 48,083,442 | 45,245,611 | ||||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period | 548,863,313 | 302,755,284 | 145,779,965 | 100,534,354 | ||||||||||||
| End of period | $690,861,275 | $548,863,313 | $193,863,407 | $145,779,965 | ||||||||||||
| Undistributed accumulated net investment income (loss) at end of period | $3,148,499 | $227,113 | $841,686 | $146,099 | ||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS L | ||||||||||||||||
| Shares outstanding, beginning of period | 30,541,508 | 21,793,766 | 8,871,777 | 7,238,497 | ||||||||||||
| Shares sold | 7,204,675 | 14,895,037 | 2,027,912 | 3,211,497 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 481,898 | — | 97,153 | ||||||||||||
| Shares redeemed | (3,689,346) | (6,629,193) | (900,323) | (1,675,370) | ||||||||||||
| Shares outstanding, end of period | 34,056,837 | 30,541,508 | 9,999,366 | 8,871,777 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period | 3,638,858 | —(a) | 622 | —(a) | ||||||||||||
| Shares sold | 873,237 | 3,652,468 | 6,432 | 622 | ||||||||||||
| Shares redeemed | (436,628) | (13,610) | (622) | — | ||||||||||||
| Shares outstanding, end of period | 4,075,467 | 3,638,858 | 6,432 | 622 | ||||||||||||
| (a) | Commencement of offering class of shares effective December 17, 2012. |
| The accompanying notes are an integral part of these financial statements. |
| 114 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Statements of Changes in Net Assets | June 30, 2013 |
| AQR INTERNATIONAL MOMENTUM FUND |
AQR TAX-MANAGED MOMENTUM FUND |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2012 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE PERIOD 1/27/12*-12/31/12 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) | $2,098,181 | $2,524,674 | $40,859 | $55,098 | ||||||||||||
| Net realized gain (loss) | 4,093,531 | 1,155,067 | 51,885 | 20,369 | ||||||||||||
| Net change in unrealized appreciation (depreciation) | 1,379,677 | 13,708,882 | 742,190 | 290,968 | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
7,571,389 | 17,388,623 | 834,934 | 366,435 | ||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class L |
— | (2,965,770) | — | (58,114) | ||||||||||||
| Total |
— | (2,965,770) | — | (58,114) | ||||||||||||
| Net realized gain: | ||||||||||||||||
| Class L |
— | — | — | (35,669) | ||||||||||||
| Total |
— | — | — | (35,669) | ||||||||||||
| Total distributions |
— | (2,965,770) | — | (93,783) | ||||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS L | ||||||||||||||||
| Proceeds from shares sold | 56,420,336 | 54,777,235 | 3,639,514 | 5,727,135 | ||||||||||||
| Reinvestment of distributions | — | 2,965,195 | — | 93,783 | ||||||||||||
| Cost of shares redeemed | (11,718,114) | (21,716,680) | (531,728) | (52,741) | ||||||||||||
| Net increase (decrease) from capital transactions | 44,702,222 | 36,025,750 | 3,107,786 | 5,768,177 | ||||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold | 25,710,734 | 11,000(a) | 100,000 | 10,000(a) | ||||||||||||
| Cost of shares redeemed | (1,503,021) | — | (10,594) | — | ||||||||||||
| Net increase (decrease) from capital transactions | 24,207,713 | 11,000 | 89,406 | 10,000 | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 68,909,935 | 36,036,750 | 3,197,192 | 5,778,177 | ||||||||||||
| Total increase (decrease) in net assets | 76,481,324 | 50,459,603 | 4,032,126 | 6,050,829 | ||||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period | 127,684,514 | 77,224,911 | 6,050,829 | — | ||||||||||||
| End of period | $204,165,838 | $127,684,514 | $10,082,955 | $6,050,829 | ||||||||||||
| Undistributed accumulated net investment income (loss) at end of period | $1,784,446 | $(313,735) | $44,313 | $3,454 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (continued on p. 116) |
| AQR Funds | Semi-Annual Report | June 2013 | 115 | |||||||||||||
| Statements of Changes in Net Assets | June 30, 2013 |
| AQR INTERNATIONAL MOMENTUM FUND |
AQR TAX-MANAGED MOMENTUM FUND |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2012 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE PERIOD 1/27/12*-12/31/12 |
|||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS L | ||||||||||||||||
| Shares outstanding, beginning of period | 9,757,051 | 6,789,578 | 542,643 | — | ||||||||||||
| Shares sold | 4,003,426 | 4,490,971 | 296,192 | 538,821 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 229,327 | — | 8,557 | ||||||||||||
| Shares redeemed | (827,022) | (1,752,825) | (44,718) | (4,735) | ||||||||||||
| Shares outstanding, end of period | 12,933,455 | 9,757,051 | 794,117 | 542,643 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period | 849 | —(a) | 899 | —(a) | ||||||||||||
| Shares sold | 1,829,529 | 849 | 8,489 | 899 | ||||||||||||
| Shares redeemed | (104,593) | — | (899) | — | ||||||||||||
| Shares outstanding, end of period | 1,725,785 | 849 | 8,489 | 899 | ||||||||||||
| * | Commencement of operations. |
| (a) | Commencement of offering class of shares effective December 17, 2012. |
| The accompanying notes are an integral part of these financial statements. |
| 116 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Statements of Changes in Net Assets | June 30, 2013 |
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE PERIOD 1/27/12*-12/31/12 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE PERIOD 1/27/12*-12/31/12 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) | $14,588 | $46,220 | $79,456 | $80,248 | ||||||||||||
| Net realized gain (loss) | 26,037 | 14,572 | 158,673 | 24,701 | ||||||||||||
| Net change in unrealized appreciation (depreciation) | 650,447 | 272,089 | 128,278 | 512,452 | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
691,072 | 332,881 | 366,407 | 617,401 | ||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class L |
— | (43,740) | — | (91,118) | ||||||||||||
| Total |
— | (43,740) | — | (91,118) | ||||||||||||
| Net realized gain: | ||||||||||||||||
| Class L |
— | — | — | (8,768) | ||||||||||||
| Total |
— | — | — | (8,768) | ||||||||||||
| Total distributions |
— | (43,740) | — | (99,886) | ||||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS L | ||||||||||||||||
| Proceeds from shares sold | 896,419 | 3,103,895 | 671,163 | 5,127,939 | ||||||||||||
| Reinvestment of distributions | — | 43,740 | — | 99,886 | ||||||||||||
| Cost of shares redeemed | (105,595) | (1,566) | (191,779) | (6,508) | ||||||||||||
| Net increase (decrease) from capital transactions | 790,824 | 3,146,069 | 479,384 | 5,221,317 | ||||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold | 100,000 | 10,000(a) | 100,000 | 10,000(a) | ||||||||||||
| Cost of shares redeemed | (11,109) | — | (10,602) | — | ||||||||||||
| Net increase (decrease) from capital transactions | 88,891 | 10,000 | 89,398 | 10,000 | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 879,715 | 3,156,069 | 568,782 | 5,231,317 | ||||||||||||
| Total increase (decrease) in net assets | 1,570,787 | 3,445,210 | 935,189 | 5,748,832 | ||||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period | 3,445,210 | — | 5,748,832 | — | ||||||||||||
| End of period | $5,015,997 | $3,445,210 | $6,684,021 | $5,748,832 | ||||||||||||
| Undistributed accumulated net investment income (loss) at end of period | $18,451 | $3,863 | $65,272 | $(14,184) | ||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS L | ||||||||||||||||
| Shares outstanding, beginning of period | 307,953 | — | 510,465 | — | ||||||||||||
| Shares sold | 69,749 | 304,030 | 54,812 | 502,067 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 4,069 | — | 8,983 | ||||||||||||
| Shares redeemed | (8,405) | (146) | (15,754) | (585) | ||||||||||||
| Shares outstanding, end of period | 369,297 | 307,953 | 549,523 | 510,465 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period | 917 | —(a) | 898 | —(a) | ||||||||||||
| Shares sold | 8,251 | 917 | 8,468 | 898 | ||||||||||||
| Shares redeemed | (917) | — | (898) | — | ||||||||||||
| Shares outstanding, end of period | 8,251 | 917 | 8,468 | 898 | ||||||||||||
| * | Commencement of operations. |
| (a) | Commencement of offering class of shares effective December 17, 2012. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 117 | |||||||||||||
| Statements of Changes in Net Assets | June 30, 2013 |
| AQR CORE EQUITY FUND |
AQR SMALL CAP CORE EQUITY FUND |
AQR INTERNATIONAL CORE EQUITY FUND |
||||||||||
| FOR THE
PERIOD 3/26/13*-6/30/13 (Unaudited) |
FOR THE
PERIOD 3/26/13*-6/30/13 (Unaudited) |
FOR THE
PERIOD 3/26/13*-6/30/13 (Unaudited) |
||||||||||
| OPERATIONS: | ||||||||||||
| Net investment income (loss) | $18,874 | $2,265 | $31,337 | |||||||||
| Net realized gain (loss) | 28,550 | 2,817 | (12,462) | |||||||||
| Net change in unrealized appreciation (depreciation) | (45,408) | 170,466 | (15,018) | |||||||||
| Net increase (decrease) in net assets resulting from operations |
2,016 | 175,548 | 3,857 | |||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||
| CLASS L | ||||||||||||
| Proceeds from shares sold | 10,493,206 | 2,295,029 | 2,432,245 | |||||||||
| Cost of shares redeemed | (1,054,000) | (730,509) | (450,000) | |||||||||
| Net increase (decrease) from capital transactions | 9,439,206 | 1,564,520 | 1,982,245 | |||||||||
| CLASS N | ||||||||||||
| Proceeds from shares sold | 1,415,818 | 1,026,055 | 1,416,978 | |||||||||
| Cost of shares redeemed | (900,000) | — | — | |||||||||
| Net increase (decrease) from capital transactions | 515,818 | 1,026,055 | 1,416,978 | |||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 9,955,024 | 2,590,575 | 3,399,223 | |||||||||
| Total increase (decrease) in net assets | 9,957,040 | 2,766,123 | 3,403,080 | |||||||||
| NET ASSETS: | ||||||||||||
| Beginning of period | — | — | — | |||||||||
| End of period | $9,957,040 | $2,766,123 | $3,403,080 | |||||||||
| Undistributed accumulated net investment income (loss) at end of period | $18,874 | $2,265 | $31,337 | |||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||
| CLASS L | ||||||||||||
| Shares outstanding, beginning of period | — | — | — | |||||||||
| Shares sold | 998,644 | 222,691 | 237,208 | |||||||||
| Shares redeemed | (100,000) | (68,793) | (43,594) | |||||||||
| Shares outstanding, end of period | 898,644 | 153,898 | 193,614 | |||||||||
| CLASS N | ||||||||||||
| Shares outstanding, beginning of period | — | — | — | |||||||||
| Shares sold | 139,761 | 102,553 | 139,288 | |||||||||
| Shares redeemed | (85,389) | — | — | |||||||||
| Shares outstanding, end of period | 54,372 | 102,553 | 139,288 | |||||||||
| * | Commencement of operations. |
| The accompanying notes are an integral part of these financial statements. |
| 118 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Statement of Cash Flows | June 30, 2013 (Unaudited) |
| AQR DIVERSIFIED ARBITRAGE FUND |
||||
| CASH FLOWS FROM OPERATING ACTIVITIES: | ||||
| Net increase in net assets resulting from operations | $29,661,107 | |||
| Adjustments to reconcile net increase in net assets resulting from operations to net cash provided (used) in operating activities: | ||||
| Payments to purchase securities |
(3,439,831,712) | |||
| Payments to cover short securities |
(778,827,847) | |||
| Proceeds from securities sold short |
778,653,219 | |||
| Proceeds from sale of securities |
3,368,796,496 | |||
| Realized gain on investments in securities |
(41,953,595) | |||
| Realized loss on securities sold short and written options |
27,108,765 | |||
| Change in unrealized appreciation on investments in securities |
(29,148,621) | |||
| Change in unrealized depreciation on securities sold short and written options |
25,693,088 | |||
| Amortization of bond premium |
614,864 | |||
| Increases (decreases) in operating assets: | ||||
| Due from brokers |
(21,279,696) | |||
| Unrealized appreciation on forward foreign currency exchange contracts |
(1,477,817) | |||
| Swaps, at value |
(36,811,722) | |||
| Unrealized appreciation on futures contracts |
(3,366,745) | |||
| Receivable for securities sold |
(151,103,287) | |||
| Foreign tax reclaim |
846 | |||
| Dividends and interest |
621,214 | |||
| Prepaid expenses |
106,238 | |||
| Increases (decreases) in operating liabilities | ||||
| Due to custodian/broker |
1,630,000 | |||
| Unrealized depreciation on forward foreign currency exchange contracts |
(1,332,581) | |||
| Swaps, at value |
(873,060) | |||
| Payable for securities purchased |
107,564,598 | |||
| Collateral received on securities loaned |
(46,397) | |||
| Accrued Investment advisory fees |
51,808 | |||
| Accrued Distribution fees—Class N |
8,443 | |||
| Dividends on securities sold short |
793,990 | |||
| Other accrued expenses |
(112,734) | |||
| Net cash used in operating activities |
$(164,861,138) | |||
| CASH FLOWS FROM FINANCING ACTIVITIES | ||||
| Proceeds from shares sold |
599,903,750 | |||
| Payments on shares redeemed |
(461,986,694) | |||
| Net cash provided by financing activities |
$137,917,056 | |||
| Net change in cash | (26,944,082) | |||
| Cash, beginning of period |
34,722,274 | |||
| Cash, end of period |
$7,778,192 | |||
Supplemental disclosure of cash flow information:
Cash paid during the year for interest in the amount of $1,201,187.
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 119 | |||||||||||||
| Financial Highlights | June 30, 2013 |
| PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||
| Change in Net Assets Resulting from Operations |
Less Dividends and Distributions | |||||||||||||||||||||||||||
| Net
Asset Value, Beginning of Period |
Net Investment Income (Loss) |
Net Realized and Unrealized Gain (Loss) |
Net Increase (Decrease) in Net Asset Value from Operations |
Distributions from Net Investment Income |
Distributions from Net Realized Gains |
Total Distributions |
||||||||||||||||||||||
| AQR GLOBAL EQUITY FUND CLASS I | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.35 | 0.11 | 1.01 | 1.12 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20125 | $9.99 | 0.20 | 1.69 | 1.89 | (0.29) | (0.24) | (0.53) | |||||||||||||||||||||
| 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, 2013 (Unaudited)5 | $11.32 | 0.08 | 1.02 | 1.10 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20125 | $9.97 | 0.16 | 1.70 | 1.86 | (0.27) | (0.24) | (0.51) | |||||||||||||||||||||
| 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, 2013 (Unaudited)†,5 | $11.35 | 0.13 | 1.02 | 1.15 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2012†,5 | $10.00 | 0.24 | 1.70 | 1.94 | (0.35) | (0.24) | (0.59) | |||||||||||||||||||||
| 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, 2013 (Unaudited)5 | $10.24 | 0.14 | 0.39 | 0.53 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20125 | $8.60 | 0.20 | 1.76 | 1.96 | (0.32) | — | (0.32) | |||||||||||||||||||||
| 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, 2013 (Unaudited)5 | $10.43 | 0.12 | 0.40 | 0.52 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20125 | $8.76 | 0.19 | 1.76 | 1.95 | (0.28) | — | (0.28) | |||||||||||||||||||||
| 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—12/31/095 | $10.00 | — | 0.20 | 0.20 | — | (0.29) | (0.29) | |||||||||||||||||||||
| AQR INTERNATIONAL EQUITY FUND CLASS Y | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)†,5 | $10.71 | 0.17 | 0.41 | 0.58 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2012†,5 | $8.98 | 0.25 | 1.83 | 2.08 | (0.35) | — | (0.35) | |||||||||||||||||||||
| 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) | |||||||||||||||||||||
| * | 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 not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain non-recurring expenses incurred by the Fund were not annualized for the period ended December 31, 2012. |
| 8 | Commencement of operations. |
| The accompanying notes are an integral part of these financial statements. |
| 120 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Financial Highlights | June 30, 2013 |
| 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 |
Expenses, Before Reimbursements and/or Waivers3 |
Net Investment Income (Loss) |
Portfolio Turnover Rate4 |
|||||||||||||||||||||||||
| $12.47 | 9.87 | % | $1,045,862 | 0.95 | % | 0.95 | % | 2.36 | % | 1.73 | % | 48 | % | |||||||||||||||||||
| $11.35 | 18.95 | % | $626,448 | 0.95 | % | 0.94 | % | 1.41 | % | 1.83 | % | 87 | % | |||||||||||||||||||
| $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 | % | |||||||||||||||||||
| $12.42 | 9.72 | % | $647,844 | 1.25 | % | 1.25 | % | 3.15 | % | 1.37 | % | 48 | % | |||||||||||||||||||
| $11.32 | 18.67 | % | $517,504 | 1.25 | % | 1.24 | % | 1.87 | % | 1.51 | % | 87 | % | |||||||||||||||||||
| $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 | % | |||||||||||||||||||
| $12.50 | 10.13 | % | $522,643,246 | 0.48 | % | 0.47 | % | 0.47 | % | 2.15 | % | 48 | % | |||||||||||||||||||
| $11.35 | 19.45 | % | $474,412,574 | 0.51 | % | 0.50 | % | 0.51 | % | 2.24 | % | 87 | % | |||||||||||||||||||
| $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 | % | |||||||||||||||||||
| $10.77 | 5.18 | % | $204,350,543 | 0.90 | % | 0.90 | % | 0.90 | % | 2.65 | % | 22 | % | |||||||||||||||||||
| $10.24 | 22.87 | % | $196,971,397 | 0.91 | % | 0.90 | % | 0.91 | % | 2.17 | % | 74 | % | |||||||||||||||||||
| $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 | % | |||||||||||||||||||
| $10.95 | 4.99 | % | $27,959,092 | 1.27 | % | 1.27 | % | 1.27 | % | 2.27 | % | 22 | % | |||||||||||||||||||
| $10.43 | 22.41 | % | $15,561,822 | 1.28 | % | 1.27 | % | 1.28 | % | 2.00 | % | 74 | % | |||||||||||||||||||
| $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 | % | |||||||||||||||||||
| $11.29 | 5.42 | % | $517,167,457 | 0.54 | % | 0.54 | % | 0.54 | % | 3.00 | % | 22 | % | |||||||||||||||||||
| $10.71 | 23.26 | % | $474,563,739 | 0.56 | % | 0.55 | % | 0.56 | % | 2.52 | % | 74 | % | |||||||||||||||||||
| $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 | % | |||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 121 | |||||||||||||
| Financial Highlights | June 30, 2013 |
| PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||
| Change in Net Assets Resulting from Operations |
Less Dividends and Distributions | |||||||||||||||||||||||||||
| Net
Asset Value, Beginning of Period |
Net Investment Income (Loss) |
Net Realized and Unrealized Gain (Loss) |
Net Increase (Decrease) in Net Asset Value from Operations |
Distributions from Net Investment Income |
Distributions from Net Realized Gains |
Total Distributions |
||||||||||||||||||||||
| AQR EMERGING DEFENSIVE EQUITY FUND CLASS I | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.92 | 0.11 | (0.90) | (0.79) | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 7/09/126—12/31/125 | $10.00 | 0.10 | 0.94 | 1.04 | (0.09) | (0.03) | (0.12) | |||||||||||||||||||||
| AQR EMERGING DEFENSIVE EQUITY FUND CLASS N | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.93 | 0.09 | (0.88) | (0.79) | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 7/09/126—12/31/125 | $10.00 | 0.08 | 0.94 | 1.02 | (0.06) | (0.03) | (0.09) | |||||||||||||||||||||
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND CLASS I | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.67 | 0.17 | 0.17 | 0.34 | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 7/09/126—12/31/125 | $10.00 | 0.10 | 0.67 | 0.77 | (0.06) | (0.04) | (0.10) | |||||||||||||||||||||
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND CLASS N | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.69 | 0.14 | 0.18 | 0.32 | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 7/09/126—12/31/125 | $10.00 | 0.08 | 0.68 | 0.76 | (0.03) | (0.04) | (0.07) | |||||||||||||||||||||
| AQR U.S. DEFENSIVE EQUITY FUND CLASS I | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.16 | 0.09 | 1.43 | 1.52 | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 7/09/126—12/31/125 | $10.00 | 0.14 | 7 | 0.10 | 0.24 | (0.07) | (0.01) | (0.08) | ||||||||||||||||||||
| AQR U.S. DEFENSIVE EQUITY FUND CLASS N | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.18 | 0.07 | 1.44 | 1.51 | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 7/09/126—12/31/125 | $10.00 | 0.08 | 7 | 0.15 | 0.23 | (0.04) | (0.01) | (0.05) | ||||||||||||||||||||
| AQR DIVERSIFIED ARBITRAGE FUND CLASS I | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.05 | 0.09 | 0.04 | 0.13 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20125 | $10.89 | 0.10 | 7 | 0.24 | 0.34 | (0.13) | (0.05) | (0.18) | ||||||||||||||||||||
| 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 1/15/096—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, 2013 (Unaudited)5 | $11.01 | 0.07 | 0.04 | 0.11 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20125 | $10.85 | 0.06 | 7 | 0.24 | 0.30 | (0.09) | (0.05) | (0.14) | ||||||||||||||||||||
| 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 1/15/096—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 operations. |
| 7 | For the year ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
| FUND | NET INVESTMENT INCOME PER SHARE |
NET INVESTMENT INCOME RATIO |
||||||
| AQR U.S. Defensive Equity Fund—Class I |
$ | 0.11 | 2.58 | % | ||||
| AQR U.S. Defensive Equity Fund—Class N |
0.05 | 1.38 | ||||||
| AQR Diversified Arbitrage Fund—Class I |
0.08 | 0.73 | ||||||
| AQR Diversified Arbitrage Fund—Class N |
0.04 | 0.42 | ||||||
| 8 | 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%. |
| The accompanying notes are an integral part of these financial statements. |
| 122 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Financial Highlights | June 30, 2013 |
| 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 |
Expenses, Before Reimbursements and/or Waivers3 |
Net Investment Income (Loss) |
Portfolio Turnover Rate4 |
|||||||||||||||||||||||||
| $10.13 | (7.23 | )% | $8,621,076 | 1.05 | % | 1.05 | % | 2.71 | % | 2.05 | % | 44 | % | |||||||||||||||||||
| $10.92 | 10.39 | % | $5,402,251 | 1.15 | % | 1.15 | % | 4.14 | % | 1.92 | % | 38 | % | |||||||||||||||||||
| $10.14 | (7.23 | )% | $1,080,691 | 1.34 | % | 1.33 | % | 3.82 | % | 1.65 | % | 44 | % | |||||||||||||||||||
| $10.93 | 10.22 | % | $1,804,269 | 1.40 | % | 1.40 | % | 5.41 | % | 1.67 | % | 38 | % | |||||||||||||||||||
| $11.01 | 3.19 | % | $12,490,975 | 0.79 | % | 0.79 | % | 2.16 | % | 2.99 | % | 75 | % | |||||||||||||||||||
| $10.67 | 7.69 | % | $5,366,031 | 0.90 | % | 0.90 | % | 5.00 | % | 1.91 | % | 81 | % | |||||||||||||||||||
| $11.01 | 2.99 | % | $1,076,304 | 1.06 | % | 1.06 | % | 4.04 | % | 2.58 | % | 75 | % | |||||||||||||||||||
| $10.69 | 7.62 | % | $850,270 | 1.15 | % | 1.15 | % | 6.96 | % | 1.61 | % | 81 | % | |||||||||||||||||||
| $11.68 | 14.96 | % | $19,857,986 | 0.63 | % | 0.63 | % | 1.32 | % | 1.63 | % | 87 | % | |||||||||||||||||||
| $10.16 | 2.34 | % | $7,841,840 | 0.75 | % | 0.75 | % | 3.90 | % | 2.90 | %7 | 141 | % | |||||||||||||||||||
| $11.69 | 14.83 | % | $1,540,886 | 0.90 | % | 0.90 | % | 2.42 | % | 1.26 | % | 87 | % | |||||||||||||||||||
| $10.18 | 2.29 | % | $420,890 | 1.00 | % | 1.00 | % | 9.36 | % | 1.70 | %7 | 141 | % | |||||||||||||||||||
| $11.18 | 1.18 | % | $1,857,940,431 | 1.69 | % | 1.20 | % | 1.69 | % | 1.59 | % | 217 | % | |||||||||||||||||||
| $11.05 | 3.13 | % | $1,752,723,858 | 2.30 | % | 1.21 | % | 2.32 | % | 0.88 | %7 | 312 | % | |||||||||||||||||||
| $10.89 | 0.99 | % | $1,456,748,122 | 2.75 | % | 1.20 | % | 2.84 | % | 1.18 | % | 298 | % | |||||||||||||||||||
| $11.15 | 4.81 | %8 | $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 | % | |||||||||||||||||||
| $11.12 | 1.00 | % | $825,819,170 | 1.94 | % | 1.45 | % | 1.94 | % | 1.33 | % | 217 | % | |||||||||||||||||||
| $11.01 | 2.83 | % | $761,371,466 | 2.62 | % | 1.52 | % | 2.62 | % | 0.57 | %7 | 312 | % | |||||||||||||||||||
| $10.85 | 0.68 | % | $651,790,519 | 3.05 | % | 1.50 | % | 3.08 | % | 0.89 | % | 298 | % | |||||||||||||||||||
| $11.12 | 4.52 | %8 | $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 2013 | 123 | |||||||||||||
| Financial Highlights | June 30, 2013 |
| PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||
| Change in Net Assets Resulting from Operations |
Less Dividends and Distributions | |||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
Net Investment Income (Loss) |
Net Realized and Unrealized Gain (Loss) |
Net Increase (Decrease) in Net Asset Value from Operations |
Distributions from Net Investment Income |
Distributions from Net Realized Gains |
Total Distributions |
||||||||||||||||||||||
| AQR MOMENTUM FUND CLASS L | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $16.06 | 0.08 | 1.98 | 2.06 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20125 | $13.89 | 0.26 | 9 | 2.16 | 2.42 | (0.25) | — | (0.25) | ||||||||||||||||||||
| 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) | |||||||||||||||||||||
| AQR MOMENTUM FUND CLASS N | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $16.05 | 0.06 | 1.98 | 2.04 | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 12/17/126—12/31/125 | $16.02 | 0.01 | 9 | 0.02 | 0.03 | — | — | — | ||||||||||||||||||||
| AQR SMALL CAP MOMENTUM FUND CLASS L | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $16.43 | 0.07 | 2.88 | 2.95 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20125 | $13.89 | 0.22 | 9 | 2.50 | 2.72 | (0.18) | — | (0.18) | ||||||||||||||||||||
| 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 SMALL CAP MOMENTUM FUND CLASS N | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $16.43 | 0.06 | 2.86 | 2.92 | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 12/17/126—12/31/125 | $16.09 | 0.02 | 9 | 0.32 | 0.34 | — | — | — | ||||||||||||||||||||
| AQR INTERNATIONAL MOMENTUM FUND CLASS L | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $13.09 | 0.17 | 0.67 | 0.84 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20125 | $11.37 | 0.29 | 1.74 | 2.03 | (0.31) | — | (0.31) | |||||||||||||||||||||
| 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 INTERNATIONAL MOMENTUM FUND CLASS N | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $13.08 | 0.22 | 0.61 | 0.83 | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 12/17/126—12/31/125 | $12.95 | — | 0.13 | 0.13 | — | — | — | |||||||||||||||||||||
| AQR TAX-MANAGED MOMENTUM FUND CLASS L | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.13 | 0.06 | 1.37 | 1.43 | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 1/27/128—12/31/125 | $10.00 | 0.19 | 9 | 1.17 | 1.36 | (0.14) | (0.09) | (0.23) | ||||||||||||||||||||
| AQR TAX-MANAGED MOMENTUM FUND CLASS N | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.13 | 0.05 | 1.36 | 1.41 | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 12/17/126—12/31/125 | $11.12 | 0.01 | 9 | — | 0.01 | — | — | — | ||||||||||||||||||||
| * | 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 not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain non-recurring expenses incurred by the Fund were not annualized for the period ended December 31, 2012. |
| 8 | Commencement of operations. |
| 9 | For the year ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
| FUND | NET INVESTMENT INCOME PER SHARE |
NET INVESTMENT INCOME RATIO |
||||||
| AQR Momentum Fund—Class L |
$ | 0.24 | 1.57 | % | ||||
| AQR Momentum Fund—Class N |
0.01 | 1.07 | ||||||
| AQR Small Cap Momentum Fund—Class L |
0.15 | 1.01 | ||||||
| AQR Small Cap Momentum Fund—Class N |
0.02 | 2.93 | ||||||
| AQR Tax-Managed Momentum Fund—Class L |
0.17 | 1.76 | ||||||
| AQR Tax-Managed Momentum Fund—Class N |
0.01 | 2.28 | ||||||
| The accompanying notes are an integral part of these financial statements. |
| 124 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Financial Highlights | June 30, 2013 |
| 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 |
|||||||||||||||||||||||||
| $18.12 | 12.83 | % | $617,118,812 | 0.49 | % | 0.49 | % | 0.56 | % | 0.95 | % | 40 | % | |||||||||||||||||||
| $16.06 | 17.49 | % | $490,441,577 | 0.50 | % | 0.49 | % | 0.58 | % | 1.69 | %9 | 68 | % | |||||||||||||||||||
| $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 | % | |||||||||||||||||||
| $18.09 | 12.71 | % | $73,742,463 | 0.74 | % | 0.74 | % | 0.86 | % | 0.70 | % | 40 | % | |||||||||||||||||||
| $16.05 | 0.19 | % | $58,421,736 | 0.75 | % | 0.74 | % | 0.82 | % | 1.19 | %9 | 68 | % | |||||||||||||||||||
| $19.38 | 17.95 | % | $193,738,926 | 0.65 | % | 0.65 | % | 0.69 | % | 0.80 | % | 34 | % | |||||||||||||||||||
| $16.43 | 19.62 | % | $145,769,751 | 0.66 | % | 0.65 | % | 0.72 | % | 1.44 | %9 | 73 | % | |||||||||||||||||||
| $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 | % | |||||||||||||||||||
| $19.35 | 17.77 | % | $124,481 | 0.90 | % | 0.90 | % | 34.08 | % | 0.63 | % | 34 | % | |||||||||||||||||||
| $16.43 | 2.11 | % | $10,214 | 0.90 | % | 0.90 | % | 135.33 | %7 | 3.36 | %9 | 73 | % | |||||||||||||||||||
| $13.93 | 6.42 | % | $180,168,439 | 0.65 | % | 0.65 | % | 0.73 | % | 2.37 | % | 67 | % | |||||||||||||||||||
| $13.09 | 17.92 | % | $127,673,412 | 0.66 | % | 0.65 | % | 0.80 | % | 2.41 | % | 116 | % | |||||||||||||||||||
| $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 | % | |||||||||||||||||||
| $13.91 | 6.35 | % | $23,997,399 | 0.90 | % | 0.90 | % | 1.07 | % | 3.04 | % | 67 | % | |||||||||||||||||||
| $13.08 | 1.00 | % | $11,102 | 0.90 | % | 0.90 | % | 132.42 | %7 | 0.25 | % | 116 | % | |||||||||||||||||||
| $12.56 | 12.85 | % | $9,976,496 | 0.55 | % | 0.54 | % | 1.65 | % | 1.05 | % | 83 | % | |||||||||||||||||||
| $11.13 | 13.67 | % | $6,040,821 | 0.55 | % | 0.54 | % | 4.57 | % | 1.89 | %9 | 93 | % | |||||||||||||||||||
| $12.54 | 12.67 | % | $106,459 | 0.79 | % | 0.79 | % | 24.46 | % | 0.77 | % | 83 | % | |||||||||||||||||||
| $11.13 | 0.09 | % | $10,008 | 0.79 | % | 0.79 | % | 15.32 | %7 | 2.41 | %9 | 93 | % | |||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 125 | |||||||||||||
| Financial Highlights | June 30, 2013 |
| PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||
| Change in Net Assets Resulting from Operations |
Less Dividends and Distributions | |||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
Net Investment Income (Loss) |
Net Realized and Unrealized Gain (Loss) |
Net Increase (Decrease) in Net Asset Value from Operations |
Distributions from Net Investment Income |
Distributions from Net Realized Gains |
Total Distributions |
||||||||||||||||||||||
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND CLASS L | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.15 | 0.04 | 2.10 | 2.14 | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 1/27/128—12/31/125 | $10.00 | 0.19 | 9 | 1.11 | 1.30 | (0.15) | — | (0.15) | ||||||||||||||||||||
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND CLASS N | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.15 | 0.03 | 2.08 | 2.11 | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 12/17/126—12/31/125 | $10.91 | 0.02 | 9 | 0.22 | 0.24 | — | — | — | ||||||||||||||||||||
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND CLASS L | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.24 | 0.15 | 0.59 | 0.74 | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 1/27/128—12/31/125 | $10.00 | 0.23 | 1.22 | 1.45 | (0.19) | (0.02) | (0.21) | |||||||||||||||||||||
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND CLASS N | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.24 | 0.18 | 0.54 | 0.72 | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 12/17/126—12/31/125 | $11.14 | — | 0.10 | 0.10 | — | — | — | |||||||||||||||||||||
| AQR CORE EQUITY FUND CLASS L | ||||||||||||||||||||||||||||
| FOR THE PERIOD ENDED 3/26/138—6/30/13 (Unaudited)5 | $10.00 | 0.05 | 0.40 | 10 | 0.45 | — | — | — | ||||||||||||||||||||
| AQR CORE EQUITY FUND CLASS N | ||||||||||||||||||||||||||||
| FOR THE PERIOD ENDED 3/26/138—6/30/13 (Unaudited)5 | $10.00 | 0.02 | 0.43 | 10 | 0.45 | — | — | — | ||||||||||||||||||||
| AQR SMALL CAP CORE EQUITY FUND CLASS L | ||||||||||||||||||||||||||||
| FOR THE PERIOD ENDED 3/26/138—6/30/13 (Unaudited)5 | $10.00 | 0.01 | 0.78 | 0.79 | — | — | — | |||||||||||||||||||||
| AQR SMALL CAP CORE EQUITY FUND CLASS N | ||||||||||||||||||||||||||||
| FOR THE PERIOD ENDED 3/26/138—6/30/13 (Unaudited)5 | $10.00 | 0.01 | 0.77 | 0.78 | — | — | — | |||||||||||||||||||||
| AQR INTERNATIONAL CORE EQUITY FUND CLASS L | ||||||||||||||||||||||||||||
| FOR THE PERIOD ENDED 3/26/138—6/30/13 (Unaudited)5 | $10.00 | 0.12 | 0.11 | 10 | 0.23 | — | — | — | ||||||||||||||||||||
| AQR INTERNATIONAL CORE EQUITY FUND CLASS N | ||||||||||||||||||||||||||||
| FOR THE PERIOD ENDED 3/26/138—6/30/13 (Unaudited)5 | $10.00 | 0.11 | 0.11 | 10 | 0.22 | — | — | — | ||||||||||||||||||||
| * | 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 not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain non-recurring expenses incurred by the Fund were not annualized for the period ended December 31, 2012. |
| 8 | Commencement of operations. |
| The accompanying notes are an integral part of these financial statements. |
| 126 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Financial Highlights | June 30, 2013 |
| RATIOS/SUPPLEMENTAL DATA | ||||||||||||||||||||||||||||||||
| Ratios to Average Net Assets of:* | ||||||||||||||||||||||||||||||||
| Net End of |
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 |
|||||||||||||||||||||||||
| $13.29 | 19.19 | % | $4,906,590 | 0.70 | % | 0.70 | % | 2.97 | % | 0.70 | % | 40 | % | |||||||||||||||||||
| $11.15 | 13.01 | % | $3,434,992 | 0.71 | % | 0.70 | % | 5.77 | % | 1.91 | %9 | 93 | % | |||||||||||||||||||
| $13.26 | 18.92 | % | $109,407 | 0.95 | % | 0.95 | % | 25.34 | % | 0.49 | % | 40 | % | |||||||||||||||||||
| $11.15 | 2.20 | % | $10,218 | 0.95 | % | 0.95 | % | 12.32 | %7 | 4.19 | %9 | 93 | % | |||||||||||||||||||
| $11.98 | 6.58 | % | $6,582,747 | 0.70 | % | 0.70 | % | 2.55 | % | 2.49 | % | 39 | % | |||||||||||||||||||
| $11.24 | 14.46 | % | $5,738,743 | 0.71 | % | 0.70 | % | 5.28 | % | 2.38 | % | 131 | % | |||||||||||||||||||
| $11.96 | 6.41 | % | $101,274 | 0.95 | % | 0.95 | % | 25.55 | % | 2.92 | % | 39 | % | |||||||||||||||||||
| $11.24 | 0.90 | % | $10,089 | 0.95 | % | 0.95 | % | 15.82 | %7 | 0.15 | % | 131 | % | |||||||||||||||||||
| $10.45 | 4.50 | % | $9,388,889 | 0.54 | % | 0.54 | % | 2.68 | % | 1.62 | % | 185 | % | |||||||||||||||||||
| $10.45 | 4.50 | % | $568,151 | 0.79 | % | 0.79 | % | 6.00 | % | 0.80 | % | 185 | % | |||||||||||||||||||
| $10.79 | 7.90 | % | $1,660,361 | 0.75 | % | 0.75 | % | 6.26 | % | 0.51 | % | 41 | % | |||||||||||||||||||
| $10.78 | 7.80 | % | $1,105,762 | 1.00 | % | 1.00 | % | 6.81 | % | 0.20 | % | 41 | % | |||||||||||||||||||
| $10.23 | 2.30 | % | $1,979,730 | 0.70 | % | 0.70 | % | 5.62 | % | 4.30 | % | 63 | % | |||||||||||||||||||
| $10.22 | 2.20 | % | $1,423,350 | 0.95 | % | 0.95 | % | 6.32 | % | 3.90 | % | 63 | % | |||||||||||||||||||
| 9 | For the year ended December 31, 2012 certain Funds received special dividends which materially impacted the Net Investment Income Per Share and Net Investment Income Ratio. These dividends are not expected to continue in the future. Had these special dividends not been received the Net Investment Income Per Share and Net Investment Income Ratio would have been as follows: |
| FUND | NET INVESTMENT INCOME PER SHARE |
NET INVESTMENT INCOME RATIO |
||||||
| AQR Tax-Managed Small Cap Momentum Fund—Class L |
$ | 0.12 | 1.26 | % | ||||
| AQR Tax-Managed Small Cap Momentum Fund—Class N |
0.02 | 3.54 | ||||||
| 10 | The amount shown for a share outstanding throughout the period is not in accordance with the aggregate net realized and unrealized gain (loss) for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 127 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
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, 2013, the Trust consists of twenty-one active series, of which fifteen of the active series are presented in this book and the remaining six active series are reported in a separate book, (collectively, the “Funds” and each individually a “Fund”): AQR Global Equity Fund, AQR International Equity Fund, AQR Emerging Defensive Equity Fund, AQR International Defensive Equity Fund, AQR U.S. Defensive Equity Fund, AQR Diversified Arbitrage 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, AQR Tax-Managed International Momentum Fund, AQR Core Equity Fund, AQR Small Cap Core Equity Fund and AQR International Core Equity Fund. AQR Capital Management, LLC (“the Advisor”) serves as the investment advisor of each Fund. The Advisor has retained CNH Partners, LLC (“the Sub-Advisor”), an affiliate of the Advisor, to serve as an investment sub-advisor to the AQR Diversified Arbitrage Fund.
The investment objective of the AQR Global Equity Fund is to seek 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 to seek 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 Emerging Defensive Equity Fund is to seek total return. The Fund pursues a “defensive” strategy that provides exposure to emerging stock markets. The Fund seeks to invest in lower beta stocks of companies with stable businesses, high profitability, low operating and financial leverage, lower earnings-per-share variability and other measures of quality. These stocks generally are less volatile than the market average, and are expected to produce higher risk adjusted returns over a full market cycle than market indexes. The Fund offers Class I and Class N shares.
The investment objective of the AQR International Defensive Equity Fund is to seek total return. The Fund pursues a “defensive” strategy that provides exposure to international stock markets. The Fund seeks to invest in lower beta stocks of companies with stable businesses, high profitability, low operating and financial leverage, lower earnings-per-share variability and other measures of quality. These stocks generally are less volatile than the market average, and are expected to produce higher risk adjusted returns over a full market cycle than market indexes. The Fund offers Class I and Class N shares.
The investment objective of the AQR U.S. Defensive Equity Fund is to seek total return. The Fund pursues a “defensive” strategy that provides exposure to the U.S. stock market. The Fund seeks to invest in lower beta stocks of companies with stable businesses, high profitability, low operating and financial leverage, lower earnings-per-share variability and other measures of quality. These stocks generally are less volatile than the market average, and are expected to produce higher risk adjusted returns over a full market cycle than market indexes. The Fund offers Class I and Class N shares.
The investment objective of the AQR Diversified Arbitrage Fund is to seek positive absolute 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.
| 128 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
The investment objective of the AQR Momentum Fund is to seek long-term capital appreciation. The Fund invests primarily in equity or equity-related securities (including, but not limited to, exchange-traded funds, equity index futures, and depositary receipts) of large and mid-sized companies traded on a principal U.S. exchange or over-the-counter market that the Advisor determines to have positive momentum. The Advisor 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 and Class N 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 Advisor determines to have positive momentum. The Fund offers Class L and Class N 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 Advisor determines to have positive momentum. The Fund offers Class L and Class N 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 Advisor determines to have positive momentum. 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 and Class N 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 Advisor determines to have positive momentum. 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 and Class N 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 Advisor determines to have positive momentum. 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 and Class N shares.
The investment objective of the AQR Core Equity 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, equity index swaps and depositary receipts) of large and mid-sized companies traded on a principal U.S. exchange or over-the-counter market that the Advisor determines to be attractively valued with positive momentum and a stable business. The Fund offers Class L and Class N shares.
The investment objective of the AQR Small Cap Core Equity 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
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| Notes to Financial Statements (Unaudited) | June 30, 2013 |
futures, equity index swaps and depositary receipts) of small cap companies traded on a principal U.S. exchange or over-the-counter market that the Advisor determines to be attractively valued with positive momentum and a stable business. The Fund offers Class I and Class N shares.
The investment objective of the AQR International Core Equity 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, equity index swaps and depositary receipts) of non-U.S. companies that the Advisor determines to be attractively valued with positive momentum and a stable business. The Fund offers Class I and Class N shares.
2. 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 Stock Market LLC (“NASDAQ”) are generally the NASDAQ Official Closing Price. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value pricing to international securities traded outside of the Western Hemisphere on a daily basis utilizing the quotations of an independent pricing service, unless the Advisor 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 evaluated quotes furnished by independent pricing services. Evaluated quotes are based on a matrix system, which may consider such factors as quoted prices, yields, maturities and ratings and are not necessarily reliant on quoted prices. 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. Total return 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.
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. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. 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.
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| Notes to Financial Statements (Unaudited) | June 30, 2013 |
It is possible the estimated values may differ significantly from the values which would have been used had a ready market for the investments existed, these differences could be material.
Loan Participations and Assignments: The Diversified Arbitrage Fund invests in loan participations and assignments. When the Fund purchases a loan participation, the Fund typically enters into a contractual relationship with the lender or a third party selling such participations (“Selling Participant”), but not the borrower. In this case, the Fund assumes the credit risk of the borrower and the Selling Participant and any other persons inter-positioned between the Fund and the borrower (“Intermediate Participants”). In contrast, when the Fund purchases an assignment, the contractual relationship is with the borrower and the credit risk assumed by the Fund is only with the borrower. Although certain loan participations or assignments are secured by collateral, the Fund could experience delays or limitations in realizing on such collateral or have its interest subordinated to other indebtedness of the obligor. The Fund may also enter into unfunded loan commitments, which are contractual obligations for future funding. These unfunded commitments represent a future obligation in full, even though a percentage of the loan may not be utilized by the borrower. These types of investments may include standby financing commitments, such as revolving credit facilities, which obligate the Fund to supply additional cash to the borrower on demand. The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities. In addition, loan participations and assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan participations and assignments and certain loan participations and assignments which were liquid, when purchased, may become illiquid.
Convertible Securities: Certain Funds invest in preferred stocks and fixed-income securities which are convertible into common stock. Convertible securities may be converted either at a stated price or rate within a specified period of time into a specified number of shares of common stock. By investing in a convertible security, the Funds may participate in any capital appreciation or depreciation of a company’s stock, but to a lesser degree than if 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 sells securities it does not own as a hedge against some of its long positions and/or in anticipation of a decline in the market value of that security (short sale). When the Fund makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. The Fund may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions open are recorded on the ex-date as an expense. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received. The Fund is also subject to the risk that 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 Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as unrealized gain or loss on the Statements of Operations.
The Fund is required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash deposited with broker for collateral for securities sold short is recorded as an asset on the Statements of Assets and Liabilities and securities segregated as collateral are denoted in the Schedules of Investments. The Fund may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities; and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security. The net amount of fees of $1,016,586, incurred by the Diversified Arbitrage Fund is included in dividend and interest on securities sold short in the Statements of Operations.
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| Notes to Financial Statements (Unaudited) | June 30, 2013 |
Futures Contracts: Certain Funds invest in futures contracts. The Funds 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. 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 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 presented as Due from Broker 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 Foreign Currency Exchange Contracts: Certain Funds buy and sell forward foreign currency exchange contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities 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 foreign currency exchange 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. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instrument, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, basket of securities, security index or index component during the period of the swap. Total return 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. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the other party to an total return 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. Total return swaps are derivatives and their value can be very volatile. To the extent that the Advisor or Sub-Advisor, 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. Total return swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Credit Default Swap Contracts: The AQR Diversified Arbitrage Fund enters 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
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| Notes to Financial Statements (Unaudited) | June 30, 2013 |
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. 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 Fund’s risk of loss associated with these instruments may exceed their value as recorded in the Statements of Assets and Liabilities. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the Fund’s Schedule of Investments.
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.
High Yield Securities: The AQR Diversified Arbitrage Fund invests 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: Certain 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 (includes Total Return, Credit Default and Interest Rate Swaps) 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 a custodian of 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 by derivative type and counterparty when a legally enforceable master netting agreement exists between the Funds and a derivative counterparty.
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| Notes to Financial Statements (Unaudited) | June 30, 2013 |
Options: The AQR Diversified Arbitrage Fund may write and purchase put and call options from time to time. 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.
Transactions in call and put options written during the period ended June 30, 2013 for the AQR Diversified Arbitrage Fund were as follows:
| CALL OPTIONS | ||||||||
| SHARES SUBJECT TO CALL |
PREMIUM | |||||||
| Options outstanding, December 31, 2012 |
(3,986 | ) | $ | (183,593 | ) | |||
| Options written |
(114,508 | ) | (2,103,803 | ) | ||||
| Options expired |
26,728 | 1,147,203 | ||||||
| Options exercised | 12,509 | 160,356 | ||||||
| Options outstanding, June 30, 2013 | (79,257 | ) | $ | (979,837 | ) | |||
Securities Lending: Certain Funds may lend securities to brokers approved by the Advisor 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 Securities lending income, 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 Advisor does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.
In the event of a default by a borrower with respect to any loan, the lending agent will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by the lending agent to exercise these remedies, the Funds sustain losses as a result of a borrower’s default, the Securities Lending Agent indemnifies the Funds by purchasing replacement securities at its expense, or paying the Funds an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Funds and the lending agent.
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.
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| Notes to Financial Statements (Unaudited) | June 30, 2013 |
Management evaluates tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether the tax positions are “more-likely-than-not” of being sustained by the applicable tax authority. Tax positions 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, 2013, 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, capital gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.
Organization and Offering Costs: Costs incurred by the AQR Core Equity Fund, AQR Small Cap Core Equity Fund and AQR International Core Equity Fund in connection with the organization of those Funds, including professional and incorporation fees, are fully expensed by the end of the fiscal year. Offering costs, including professional fees, printing fees and the offering of the initial registration, are amortized over a twelve month period from the date the Funds commenced operations.
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 and forward foreign currency exchange contracts, currency gains or losses realized between the trade and settlement dates on securities
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| Notes to Financial Statements (Unaudited) | June 30, 2013 |
transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.
Cash and Cash Equivalents: Cash and cash equivalents 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.
3. Federal Income Tax Matters
At June 30, 2013, 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 |
$ | 437,012,156 | $ | 82,767,040 | $ | (8,669,611 | ) | $ | 74,097,429 | |||||||
| AQR International Equity Fund |
640,319,367 | 104,146,466 | (26,805,992 | ) | 77,340,474 | |||||||||||
| AQR Emerging Defensive Equity Fund |
9,631,544 | 520,732 | (656,177 | ) | (135,445 | ) | ||||||||||
| AQR International Defensive Equity Fund |
13,587,028 | 553,776 | (597,450 | ) | (43,674 | ) | ||||||||||
| AQR U.S. Defensive Equity Fund |
20,508,885 | 1,413,032 | (158,672 | ) | 1,254,360 | |||||||||||
| AQR Diversified Arbitrage Fund |
2,687,478,057 | 110,438,807 | (68,692,461 | ) | 41,746,346 | |||||||||||
| AQR Momentum Fund |
707,283,368 | 115,815,353 | (5,936,222 | ) | 109,879,131 | |||||||||||
| AQR Small Cap Momentum Fund |
215,267,349 | 42,448,345 | (4,375,907 | ) | 38,072,438 | |||||||||||
| AQR International Momentum Fund |
188,891,857 | 23,392,991 | (5,587,359 | ) | 17,805,632 | |||||||||||
| AQR Tax-Managed Momentum Fund |
9,077,785 | 1,108,366 | (80,027 | ) | 1,028,339 | |||||||||||
| AQR Tax-Managed Small Cap Momentum Fund |
4,224,617 | 1,020,724 | (99,005 | ) | 921,719 | |||||||||||
| AQR Tax-Managed International Momentum Fund |
6,034,410 | 832,222 | (195,557 | ) | 636,665 | |||||||||||
| AQR Core Equity Fund |
9,876,327 | 170,022 | (217,970 | ) | (47,948 | ) | ||||||||||
| AQR Small Cap Core Equity Fund |
2,616,095 | 223,624 | (55,826 | ) | 167,798 | |||||||||||
| AQR International Core Equity Fund |
3,430,250 | 120,939 | (138,512 | ) | (17,573 | ) | ||||||||||
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals.
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.
| 136 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
The AQR Emerging Defensive Equity Fund, AQR International Defensive Equity Fund and AQR U.S. Defensive Equity Fund commenced operations on July 9, 2012.
The AQR Core Equity Fund, AQR Small Cap Core Equity Fund and AQR International Core Equity Fund commenced operations on March 26, 2013.
As of December 31, 2012, 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 International Equity Fund |
$ | 4,938,860 | $ | — | N/A | |||||||
| AQR Momentum Fund |
7,901,396 | — | N/A | |||||||||
| AQR International Momentum Fund |
107,993 | — | 2018 | |||||||||
| AQR International Momentum Fund |
10,946,594 | 219,017 | N/A | |||||||||
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Post-enactment capital loss carryforwards 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.
4. 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.
Equities traded outside North America are fair valued daily based on the application of a fair value factor and therefore are considered Level 2 (Note 2). 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 (including evaluated quotes) from an independent pricing service, as well as quotations from counterparties and other market participants. 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
| AQR Funds | Semi-Annual Report | June 2013 | 137 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
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, total return and credit default swaps, are valued by the Funds using observable inputs, such as quotations received from the counterparty, or dealers and 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.
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 contract 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.
Securities for which market quotations or independent pricing service quotations are not readily available, are not readily marketable, or model priced 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 Advisor has established a Valuation Committee (the “VC”) which is responsible for overseeing the pricing and valuation of all securities held in the Funds. The VC operates under the valuation procedures approved by the Funds’ Board of Trustees. The VC meets quarterly and on an as-needed basis. The VC is responsible for valuing 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, model prices and other events that may have a potentially material impact on security values. On a quarterly basis the VC meets to review the results of back test reports generated by the Advisor’s internal risk department. The VC prepares for the Funds’ Board of Trustees an analysis
| 138 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
relating to Level 3 positions. On a daily basis, the Trust’s fund accounting agent compares trade executions prices to the prior night’s valuation price for all positions which were traded and held the previous day. On a monthly basis, model prices are reviewed against available third party model prices.
Quantitative Information
These tables include a description of unobservable and quantitative inputs and the relationship 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, 2013 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 (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 281,062,318 | $ | 190,818,490 | $ | — | $ | 471,880,808 | ||||||||
| Preferred Stocks† |
— | 5,086,308 | — | 5,086,308 | ||||||||||||
| Rights† |
— | 813 | — | 813 | ||||||||||||
| Money Market Funds |
— | 34,141,656 | — | 34,141,656 | ||||||||||||
| Total Return Swap Contracts* | — | 49,037 | — | 49,037 | ||||||||||||
| Total Assets |
$ | 281,062,318 | $ | 230,096,304 | $ | — | $ | 511,158,622 | ||||||||
| LIABILITIES |
||||||||||||||||
| Forward Foreign Currency Exchange Contracts* |
$ | — | $ | (667,732 | ) | $ | — | $ | (667,732 | ) | ||||||
| Futures Contracts* | (218,212 | ) | — | — | (218,212 | ) | ||||||||||
| Total Liabilities |
$ | (218,212 | ) | $ | (667,732 | ) | $ | — | $ | (885,944 | ) | |||||
| * 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 Funds | Semi-Annual Report | June 2013 | 139 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
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.
| AQR INTERNATIONAL EQUITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | — | $ | 656,532,735 | $ | — | $ | 656,532,735 | ||||||||
| Preferred Stocks† |
— | 10,222,425 | — | 10,222,425 | ||||||||||||
| Rights† |
— | 3,078 | — | 3,078 | ||||||||||||
| Money Market Funds |
— | 50,901,603 | — | 50,901,603 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 95,651 | — | 95,651 | ||||||||||||
| Futures Contracts* |
150,140 | — | — | 150,140 | ||||||||||||
| Total Return Swap Contracts* | — | 165,178 | — | 165,178 | ||||||||||||
| Total Assets |
$ | 150,140 | $ | 717,920,670 | $ | — | $ | 718,070,810 | ||||||||
| * 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. |
| |||||||||||||||
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.
| AQR EMERGING DEFENSIVE EQUITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 2,750,298 | $ | 6,353,261 | $ | — | $ | 9,103,559 | ||||||||
| Exchange-Traded Funds |
256,876 | — | — | 256,876 | ||||||||||||
| Preferred Stocks† |
84,182 | — | — | 84,182 | ||||||||||||
| Money Market Funds | — | 51,482 | — | 51,482 | ||||||||||||
| Total Assets |
$ | 3,091,356 | $ | 6,404,743 | $ | — | $ | 9,496,099 | ||||||||
| † 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. There were no Level 3 securities held during the period.
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND |
QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 2,135,900 | $ | 10,103,919 | $ | — | $ | 12,239,819 | ||||||||
| Exchange-Traded Funds |
931,794 | — | — | 931,794 | ||||||||||||
| Preferred Stocks† |
— | 75,128 | — | 75,128 | ||||||||||||
| Rights† |
— | 364 | — | 364 | ||||||||||||
| Money Market Funds | — | 296,249 | — | 296,249 | ||||||||||||
| Total Assets |
$ | 3,067,694 | $ | 10,475,660 | $ | — | $ | 13,543,354 | ||||||||
| † Please refer to the Schedule of Investments to view securities segregated by country. |
| |||||||||||||||
| 140 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held during the period.
| AQR U.S. DEFENSIVE EQUITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 19,175,342 | $ | — | $ | — | $ | 19,175,342 | ||||||||
| Exchange-Traded Funds |
1,788,592 | — | — | 1,788,592 | ||||||||||||
| Money Market Funds | — | 799,311 | — | 799,311 | ||||||||||||
| Total Assets |
$ | 20,963,934 | $ | 799,311 | $ | — | $ | 21,763,245 | ||||||||
| † 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 DIVERSIFIED ARBITRAGE FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 1,116,651,989 | $ | 42,012,342 | $ | 30,744,150 | $ | 1,189,408,481 | ||||||||
| Convertible Preferred Stocks† |
8,295,524 | 10,101,663 | 25,062,334 | 43,459,521 | ||||||||||||
| Corporate Bonds† |
— | 282,105,354 | 34,930,601 | 317,035,955 | ||||||||||||
| Convertible Bonds† |
— | 204,564,254 | 3,365,351 | 207,929,605 | ||||||||||||
| Bank Loans† |
— | 21,500,824 | — | 21,500,824 | ||||||||||||
| Closed End Funds |
65,179,286 | — | — | 65,179,286 | ||||||||||||
| Preferred Stocks† |
617,625 | 3,819,070 | 20,183,807 | 24,620,502 | ||||||||||||
| Rights† |
— | — | 2,835 | 2,835 | ||||||||||||
| Short-Term Investments |
— | 120,664,273 | — | 120,664,273 | ||||||||||||
| Warrants† |
22,198,750 | 2,605,825 | 3,256,149 | 28,060,724 | ||||||||||||
| Money Market Funds |
— | 679,448,713 | — | 679,448,713 | ||||||||||||
| Purchased Options |
31,854,174 | — | 59,510 | 31,913,684 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 1,477,817 | — | 1,477,817 | ||||||||||||
| Futures Contracts* |
4,188,279 | — | — | 4,188,279 | ||||||||||||
| Total Return Basket Swaps Contracts* | — | 37,089,946 | — | 37,089,946 | ||||||||||||
| Total Assets |
$ | 1,248,985,627 | $ | 1,405,390,081 | $ | 117,604,737 | $ | 2,771,980,445 | ||||||||
| AQR DIVERSIFIED ARBITRAGE FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| LIABILITIES |
||||||||||||||||
| Common Stocks (Sold Short)† |
$ | (546,033,484 | ) | $ | (6,109,532 | ) | $ | — | $ | (552,143,016 | ) | |||||
| Closed End Funds (Sold Short) |
(1,373 | ) | — | — | (1,373 | ) | ||||||||||
| Exchange-Traded Funds (Sold Short) |
(21,798,327 | ) | — | — | (21,798,327 | ) | ||||||||||
| Preferred Stocks (Sold Short)† |
— | (13,572,295 | ) | — | (13,572,295 | ) | ||||||||||
| Written Options (Sold Short)* |
(4,622,142 | ) | (36,274 | ) | (544 | ) | (4,658,960 | ) | ||||||||
| Credit Default Swap Contracts* | — | (4,580,074 | ) | — | (4,580,074 | ) | ||||||||||
| Total Liabilities |
$ | (572,455,326 | ) | $ | (24,298,175 | ) | $ | (544 | ) | $ | (596,754,045 | ) | ||||
| * Derivative instruments, including futures, total return basket swaps and forward foreign currency exchange contracts, are valued at the unrealized appreciation (depreciation) of the instrument. Credit default swap and option contracts are reported at market value. † Please refer to the Schedule of Investments to view securities segregated by industry type. |
| |||||||||||||||
| AQR Funds | Semi-Annual Report | June 2013 | 141 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
Quantitative Information about Level 3 Fair Value Measurements**
| FAIR VALUE AT 6/30/2013 |
VALUATION TECHNIQUE(S) |
UNOBSERVABLE INPUT(S) |
RANGE | |||||||
| Common Stocks | $5,686,950 | Liquidity Discount | Underlying Price Liquidity Discount | $0.008 — $4.20 41.95% — 50.00% | ||||||
| Preferred Stocks | $2,759,291 | Jump Diffussion Model* | Credit Spread Liquidity Discount | 790 — 920 bps 1.73% — 5.53% | ||||||
| Convertible Preferred Stocks | $157,920 | Jump Diffussion Model* | Underlying Price Volatility Credit Spread Liquidity Discount |
$0.25 150.0% | ||||||
| Corporate Bonds | $1,304,826 | Discounted Cash Flow Model | Volitility Credit Spread Liquidity Discount |
40.0% 1000 — 2500 bps 5.0% — 10.0% | ||||||
| Convertible Bonds | $3,326,611 | Jump Diffussion Model* | Underlying Price Volatility Credit Spread Liquidity Discount |
$0.0035 — $4.80 42.0% — 75.0% 1200 — 5000 bps 1.5% — 72.5% | ||||||
| Warrants | $1,944,664 | Black Scholes Model | Underlying Price Volatility Liquidity Discount |
$0.0029 — $6.9 40.0% — 150.0% 10.0% — 77.5% | ||||||
| * | The Jump Diffusion Model extends the classical Black-Scholes Model by taking bankruptcy into consideration, and derives a partial differential equation for pricing a convertible bond or stock. The essential inputs to the model are stock volatility and default probability, which is typically approximated with credit spread. |
| ** | The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At June 30, 2013, the value of these securities was $102,364,966. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 4. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of pricing vendor and/or broker due diligence, unchanged price review and consideration of macro or security specific events. |
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 common stocks, corporate bonds, convertible bonds, convertible 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.
| 142 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
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 |
PREFERRED STOCK |
|||||||||||||||
| Balance as of December 31, 2012 | $ | 24,333,266 | $ | 8,469,674 | $ | 89,519,605 | $ | 26,292,911 | $ | — | ||||||||||
| Accrued discounts/(premiums) |
— | — | (14,836 | ) | 1,683 | — | ||||||||||||||
| Realized gain/(loss) |
712,956 | (123,854 | ) | (299,778 | ) | (208,994 | ) | 3 | ||||||||||||
| Change in unrealized appreciation/ |
(195,118 | ) | 926,740 | 1,609,011 | (1,248,958 | ) | 113,147 | |||||||||||||
| Purchases |
15,216,533 | 11,682,707 | 7,685,183 | 164,160 | 19,850,663 | |||||||||||||||
| Sales |
(28,330,194 | ) | (8,066,284 | ) | (27,761,793 | ) | (21,635,451 | ) | (6 | ) | ||||||||||
| Transfers in to Level 3 |
19,629,936 | 12,173,351 | 12,209,158 | — | 220,000 | |||||||||||||||
| Transfers out of Level 3 | (623,229 | ) | — | (48,015,949 | ) | — | — | |||||||||||||
| Balance as of June 30, 2013 | $ | 30,744,150 | $ | 25,062,334 | $ | 34,930,601 | $ | 3,365,351 | $ | 20,183,807 | ||||||||||
| Change in Unrealized appreciation/ |
$ | 281,578 | $ | 1,119,299 | $ | 1,237,207 | $ | (1,403,091 | ) | $ | 113,147 | |||||||||
| AQR DIVERSIFIED ARBITRAGE FUND | RIGHTS | WARRANTS | PURCHASED OPTIONS |
SHORT COMMON STOCK |
WRITTEN OPTION |
|||||||||||||||
| Balance as of December 31, 2012 | $ | 2,835 | $ | 2,824,399 | $ | — | $ | (32,207 | ) | $ | — | |||||||||
| Accrued discounts/(premiums) |
— | — | — | — | — | |||||||||||||||
| Realized gain/(loss) |
— | 771,463 | — | 890,422 | — | |||||||||||||||
| Change in unrealized appreciation/ |
— | 168,977 | (1,216,682 | ) | (858,215 | ) | (408 | ) | ||||||||||||
| Purchases |
— | 347 | 1,276,192 | — | — | |||||||||||||||
| Sales |
— | (778,051 | ) | — | — | — | ||||||||||||||
| Transfers in to Level 3 |
— | 728,418 | — | — | (136 | ) | ||||||||||||||
| Transfers out of Level 3 | — | (459,404 | ) | — | — | — | ||||||||||||||
| Balance as of June 30, 2013 | $ | 2,835 | $ | 3,256,149 | $ | 59,510 | $ | — | $ | (544 | ) | |||||||||
| Change in Unrealized appreciation/ |
$ | — | $ | 637,018 | $ | (1,216,682 | ) | $ | — | $ | (408 | ) | ||||||||
| AQR MOMENTUM FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 682,771,618 | $ | — | $ | — | $ | 682,771,618 | ||||||||
| Money Market Funds | — | 134,390,881 | — | 134,390,881 | ||||||||||||
| Total Assets |
$ | 682,771,618 | $ | 134,390,881 | $ | — | $ | 817,162,499 | ||||||||
| Liabilities |
||||||||||||||||
| Futures Contracts* | $ | (10,558 | ) | $ | — | $ | — | $ | (10,558 | ) | ||||||
| Total Liabilities |
$ | (10,558 | ) | $ | — | $ | — | $ | (10,558 | ) | ||||||
| * 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. |
| |||||||||||||||
| AQR Funds | Semi-Annual Report | June 2013 | 143 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
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 (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 192,818,211 | $ | 57,304 | $ | 14,729 | $ | 192,890,244 | ||||||||
| Preferred Stocks† |
— | 47,200 | — | 47,200 | ||||||||||||
| Rights† |
— | — | — | — | ||||||||||||
| Warrants† |
417 | — | — | 417 | ||||||||||||
| Money Market Funds |
— | 60,401,926 | — | 60,401,926 | ||||||||||||
| Futures Contracts* | 4,066 | — | — | 4,066 | ||||||||||||
| Total Assets |
$ | 192,822,694 | $ | 60,506,430 | $ | 14,729 | $ | 253,343,853 | ||||||||
| * 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. Securities listed in the Schedule of Investments with a total market value of $14,729 are classified as Level 3 and considered quantitatively insignificant to the portfolio. The total change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3 investments still held at June 30, 2013 is $0.
| AQR INTERNATIONAL MOMENTUM FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 8,264,027 | $ | 193,333,850 | $ | — | $ | 201,597,877 | ||||||||
| Preferred Stocks† |
— | — | 6,356 | 6,356 | ||||||||||||
| Rights† |
— | — | — | — | ||||||||||||
| Money Market Funds |
— | 5,093,256 | — | 5,093,256 | ||||||||||||
| Futures Contracts* | 6,817 | — | — | 6,817 | ||||||||||||
| Total Assets |
$ | 8,270,844 | $ | 198,427,106 | $ | 6,356 | $ | 206,704,306 | ||||||||
| * 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 country. |
| |||||||||||||||
There were no transfers between Levels 1 and 2 during the period. Securities listed in the Schedule of Investments with a total market value of $6,356 are classified as Level 3 and considered quantitatively insignificant to the portfolio. The total change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3 investments still held at June 30, 2013 is $2,020.
| AQR TAX-MANAGED MOMENTUM FUND | QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 9,770,463 | $ | — | $ | — | $ | 9,770,463 | ||||||||
| Exchange-Traded Funds |
123,368 | — | — | 123,368 | ||||||||||||
| Money Market Funds | — | 212,293 | — | 212,293 | ||||||||||||
| Total Assets |
$ | 9,893,831 | $ | 212,293 | $ | — | $ | 10,106,124 | ||||||||
| † Please refer to the Schedule of Investments to view securities segregated by industry type. |
| |||||||||||||||
| 144 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
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 (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 4,936,987 | $ | — | $ | — | $ | 4,936,987 | ||||||||
| Exchange-Traded Funds |
25,261 | — | — | 25,261 | ||||||||||||
| Money Market Funds | — | 184,088 | — | 184,088 | ||||||||||||
| Total Assets |
$ | 4,962,248 | $ | 184,088 | $ | — | $ | 5,146,336 | ||||||||
| † 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 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† |
$ | 311,497 | $ | 6,243,870 | $ | — | $ | 6,555,367 | ||||||||
| Exchange-Traded Funds |
56,978 | — | — | 56,978 | ||||||||||||
| Preferred Stocks† |
— | — | 237 | 237 | ||||||||||||
| Rights† |
— | — | — | — | ||||||||||||
| Money Market Funds | — | 58,493 | — | 58,493 | ||||||||||||
| Total Assets |
$ | 368,475 | $ | 6,302,363 | $ | 237 | $ | 6,671,075 | ||||||||
| † 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. Securities listed in the Schedule of Investments with a total market value of $237 are classified as Level 3 and considered quantitatively insignificant to the portfolio. The total change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3 investments still held at June 30, 2013 is $75.
| AQR CORE EQUITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 9,669,421 | $ | — | $ | — | $ | 9,669,421 | ||||||||
| Exchange-Traded Funds |
57,444 | — | — | 57,444 | ||||||||||||
| Money Market Funds | — | 101,514 | — | 101,514 | ||||||||||||
| Total Assets |
$ | 9,726,865 | $ | 101,514 | $ | — | $ | 9,828,379 | ||||||||
| † Please refer to the Schedule of Investments to view securities segregated by industry type. |
| |||||||||||||||
| AQR Funds | Semi-Annual Report | June 2013 | 145 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
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 CORE EQUITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 2,740,477 | $ | — | $ | — | $ | 2,740,477 | ||||||||
| Exchange-Traded Funds |
14,866 | — | — | 14,866 | ||||||||||||
| Money Market Funds | — | 28,550 | — | 28,550 | ||||||||||||
| Total Assets |
$ | 2,755,343 | $ | 28,550 | $ | — | $ | 2,783,893 | ||||||||
| † 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 INTERNATIONAL CORE EQUITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 242,403 | $ | 3,095,383 | $ | — | $ | 3,337,786 | ||||||||
| Exchange-Traded Funds |
40,109 | — | — | 40,109 | ||||||||||||
| Money Market Funds | — | 34,782 | — | 34,782 | ||||||||||||
| Total Assets |
$ | 282,512 | $ | 3,130,165 | $ | — | $ | 3,412,677 | ||||||||
| † 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. There were no Level 3 securities held during the period.
5. Investment Transactions
During the period ended June 30, 2013, 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 |
$ | 237,918,435 | $ | 223,306,631 | $ | — | $ | — | ||||||||
| AQR International Equity Fund |
205,994,836 | 145,974,751 | — | — | ||||||||||||
| AQR Emerging Defensive Equity Fund |
6,577,622 | 3,476,852 | — | — | ||||||||||||
| AQR International Defensive Equity Fund |
14,447,582 | 7,180,208 | — | — | ||||||||||||
| AQR U.S. Defensive Equity Fund |
23,777,597 | 12,408,368 | — | — | ||||||||||||
| AQR Diversified Arbitrage Fund |
4,147,275,720 | 3,224,770,674 | 776,549,416 | 775,812,213 | ||||||||||||
| AQR Momentum Fund |
319,485,852 | 250,054,881 | — | — | ||||||||||||
| AQR Small Cap Momentum Fund |
82,396,956 | 58,755,662 | — | — | ||||||||||||
| AQR International Momentum Fund |
183,680,586 | 114,426,384 | — | — | ||||||||||||
| AQR Tax-Managed Momentum Fund |
10,597,499 | 6,294,535 | — | — | ||||||||||||
| AQR Tax-Managed Small Cap Momentum Fund |
2,509,367 | 1,655,886 | — | — | ||||||||||||
| AQR Tax-Managed International Momentum Fund |
3,086,800 | 2,501,562 | — | — | ||||||||||||
| AQR Core Equity Fund |
17,565,186 | 7,821,438 | — | — | ||||||||||||
| AQR Small Cap Core Equity Fund |
3,508,694 | 926,634 | — | — | ||||||||||||
| AQR International Core Equity Fund |
5,064,886 | 1,659,881 | — | — | ||||||||||||
| 146 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
6. Derivative Instruments and Hedging Activities
Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The values of such derivative instruments reflected in the Statements of Assets and Liabilities at June 30, 2013 are as follows:
| ASSETS | LIABILITIES | |||||||||||||||||||||||||||
| FUND | |
UNREALIZED APPRECIATION ON FUTURES CONTRACTS |
|
|
SWAPS AT VALUE |
|
|
UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS |
|
|
UNREALIZED DEPRECIATION ON FUTURES CONTRACTS |
|
|
SWAPS AT VALUE |
|
|
UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS |
|
|
WRITTEN OPTIONS AT MARKET VALUE |
| |||||||
| Equity Risk Exposure: | ||||||||||||||||||||||||||||
| AQR Global Equity Fund |
$1,689,373 | $49,037 | $— | $1,907,585 | $— | $— | $— | |||||||||||||||||||||
| AQR International Equity Fund |
3,058,956 | 165,178 | — | 2,908,816 | — | — | — | |||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
3,231,280 | 37,089,946 | — | — | — | — | 4,658,960 | |||||||||||||||||||||
| AQR Momentum Fund |
— | — | — | 10,558 | — | — | — | |||||||||||||||||||||
| AQR Small Cap Momentum Fund |
4,066 | — | — | — | — | — | — | |||||||||||||||||||||
| AQR International Momentum Fund |
6,817 | — | — | — | — | — | — | |||||||||||||||||||||
| Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||||||
| AQR Global Equity Fund |
— | — | 2,384,546 | — | — | 3,052,278 | — | |||||||||||||||||||||
| AQR International Equity Fund |
— | — | 4,697,213 | — | — | 4,601,562 | — | |||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
— | — | 1,790,160 | — | — | 312,343 | — | |||||||||||||||||||||
| Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
956,999 | — | — | — | — | — | — | |||||||||||||||||||||
| Credit Risk Exposure: | ||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund | — | — | — | — | 4,580,074 | — | — | |||||||||||||||||||||
| Netting: | ||||||||||||||||||||||||||||
| AQR Global Equity Fund |
(1,689,373) | — | (2,384,546) | (1,689,373) | — | (2,384,546) | — | |||||||||||||||||||||
| AQR International Equity Fund |
(2,908,816) | — | (4,601,562) | (2,908,816) | — | (4,601,562) | — | |||||||||||||||||||||
| AQR Diversified Arbitrage Fund | — | (4,580,074) | (312,779) | — | (4,580,074) | (312,779) | — | |||||||||||||||||||||
| Net Fair Value of Derivative Contracts: | ||||||||||||||||||||||||||||
| AQR Global Equity Fund |
— | 49,037 | — | 218,212 | — | 667,732 | — | |||||||||||||||||||||
| AQR International Equity Fund |
150,140 | 165,178 | 95,651 | — | — | — | — | |||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
4,188,279 | 32,509,872 | 1,477,817 | — | — | — | 4,658,960 | |||||||||||||||||||||
| AQR Momentum Fund |
— | — | — | 10,558 | — | — | — | |||||||||||||||||||||
| AQR Small Cap Momentum Fund |
4,066 | — | — | — | — | — | — | |||||||||||||||||||||
| AQR International Momentum Fund |
6,817 | — | — | — | — | — | — | |||||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2013 | 147 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
The following is the effect of Derivative Instruments on the Statements of Operations for the period ended June 30, 2013:
| |
REALIZED GAIN (LOSS) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS |
|
|
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS |
| |||||||||||||||||||||||||||
| FUND | |
FUTURES CONTRACTS |
|
|
SWAPS AND SWAPS ON FUTURES CONTRACTS |
* |
|
FORWARD CURRENCY EXCHANGE CONTRACTS |
|
|
WRITTEN OPTIONS |
|
|
FUTURES CONTRACTS |
|
|
SWAPS AND SWAPS ON FUTURES CONTRACTS |
* |
|
FORWARD CURRENCY EXCHANGE CONTRACTS |
|
|
WRITTEN OPTIONS |
| ||||||||
| Equity Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Global Equity Fund |
$6,471,045 | $(464,510) | $— | $— | $(391,194) | $137,795 | $— | $— | ||||||||||||||||||||||||
| AQR International Equity Fund |
17,060,370 | (2,676,377) | — | — | (1,062,219) | 118,618 | — | — | ||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
(19,038,269) | (28,570,794) | — | 1,303,134 | 2,338,583 | 41,351,470 | — | (3,715,964) | ||||||||||||||||||||||||
| AQR Momentum Fund |
1,087,475 | — | — | — | (25,580) | — | — | — | ||||||||||||||||||||||||
| AQR Small Cap Momentum Fund |
419,545 | — | — | — | (23,207) | — | — | — | ||||||||||||||||||||||||
| AQR International Momentum Fund |
28,678 | — | — | — | 6,817 | — | — | — | ||||||||||||||||||||||||
| Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Global Equity Fund |
— | — | 6,003,449 | — | — | — | (6,213,999) | — | ||||||||||||||||||||||||
| AQR International Equity Fund |
— | — | 7,848,867 | — | — | — | (7,441,307) | — | ||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
— | — | 2,478,810 | — | — | — | 2,810,398 | — | ||||||||||||||||||||||||
| Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
41,251 | — | — | — | 1,028,162 | — | — | — | ||||||||||||||||||||||||
| Credit Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Diversified Arbitrage Fund |
— | (6,200,615) | — | — | — | (5,329,659) | — | — | ||||||||||||||||||||||||
| * | Swaps and swaps on futures are combined for financial reporting purposes. |
For swaps, futures and forward foreign currency exchange 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.
In December 2011, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”) No. 2011-11: Disclosures about Offsetting Assets and Liabilities (“netting”) on the Statements of Assets and Liabilities that are subject to master netting arrangements or similar agreements. ASU 2011-11, as amended by ASU No. 2013-01 clarifying which investments and transactions are subject to the netting disclosure. The scope of the disclosure requirements is limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions to the extent they are subject to an enforceable master netting arrangement or similar agreement. This information will enable users of the Funds’ financial statements to evaluate the effect or potential effect of netting arrangements on the Funds’ financial position. The ASU is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. The Funds adopted the disclosure requirements for the current reporting period.
For financial reporting purposes, the Funds do not offset financial assets and financial liabilities across derivative types that are subject to master netting arrangements or similar agreements on the Statement of Assets and Liabilities.
| 148 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
AQR GLOBAL EQUITY FUND
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED (a) |
|
|
NET AMOUNT |
| |||||||
| Barclays Capital | Futures Contracts | $1,689,373 | $(1,689,373) | $ — | $ — | $ — | $ — | |||||||||||||||||||
| Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
2,384,546 | (2,384,546) | — | — | — | — | |||||||||||||||||||
| Total Return Swap Contracts | 49,037 | — | 49,037 | (49,037) | — | — | ||||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 4,122,956 | (4,073,919) | 49,037 | (49,037) | — | — | ||||||||||||||||||||
| J.P. Morgan | Securities Lending | 265,338 | — | 265,338 | — | (265,338) | — | |||||||||||||||||||
| Total financial instruments not subject to a master netting arrangement or similar arrangement | 265,338 | — | 265,338 | — | (265,338) | — | ||||||||||||||||||||
| Total financial instruments |
$4,388,294 | $(4,073,919) | $314,375 | $(49,037) | $(265,338) | $ — | ||||||||||||||||||||
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED LIABILITIES |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL PLEDGED (b) |
|
|
NET AMOUNT |
| |||||||
| Barclays Capital | Futures Contracts | $1,907,585 | $(1,689,373) | $218,212 | $ — | $(218,212) | $ — | |||||||||||||||||||
| Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
3,052,278 | (2,384,546) | 667,732 | (49,037) | (618,695) | — | |||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 4,959,863 | (4,073,919) | 885,944 | (49,037) | (836,907) | — | ||||||||||||||||||||
| Total financial instruments not subject to a master netting arrangement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
| Total financial instruments |
$4,959,863 | $(4,073,919) | $885,944 | $(49,037) | $(836,907) | $ — | ||||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $13,467. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $9,276,010. |
| AQR Funds | Semi-Annual Report | June 2013 | 149 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
AQR INTERNATIONAL EQUITY FUND
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED (a) |
|
|
NET AMOUNT |
| |||||||
| Barclays Capital | Futures Contracts | $3,058,956 | $(2,908,816) | $150,140 | $ — | $ — | $150,140 | |||||||||||||||||||
| Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
4,697,213 | (4,601,562) | 95,651 | — | — | 95,651 | |||||||||||||||||||
| Total Return Swap Contracts | 165,178 | — | 165,178 | — | — | 165,178 | ||||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 7,921,347 | (7,510,378) | 410,969 | — | — | 410,969 | ||||||||||||||||||||
| J.P. Morgan | Securities Lending | 55,655 | — | 55,655 | — | (55,655) | — | |||||||||||||||||||
| Total financial instruments not subject to a master netting arrangement or similar arrangement | 55,655 | — | 55,655 | — | (55,655) | — | ||||||||||||||||||||
| Total financial instruments |
$7,977,002 | $(7,510,378) | $466,624 | $ — | $(55,655) | $410,969 | ||||||||||||||||||||
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED LIABILITIES |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL PLEDGED (b) |
|
|
NET AMOUNT |
| |||||||
| Barclays Capital | Futures Contracts | $2,908,816 | $(2,908,816) | $ — | $ — | $ — | $ — | |||||||||||||||||||
| Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
4,601,562 | (4,601,562) | — | — | — | — | |||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 7,510,378 | (7,510,378) | — | — | — | — | ||||||||||||||||||||
| Total financial instruments not subject to a master netting arrangement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
| Total financial instruments |
$7,510,378 | $(7,510,378) | $ — | $ — | $ — | $ — | ||||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $5,193. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $16,304,766. |
| 150 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
AQR DIVERSIFIED ARBITRAGE FUND
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED (a) |
|
|
NET AMOUNT |
| |||||||
| Barclays Capital | Futures Contracts | $ | 3,231,280 | $ | — | $ | 3,231,280 | $ | — | $ | — | $ | 3,231,280 | |||||||||||||
| Deutsche Bank | Total Return Basket Swaps Contracts | 98,082 | — | 98,082 | — | — | 98,082 | |||||||||||||||||||
| J.P. Morgan | Futures Contracts | 956,999 | — | 956,999 | — | — | 956,999 | |||||||||||||||||||
| Total Return Basket Swaps Contracts | 36,991,864 | — | 36,991,864 | — | — | 36,991,864 | ||||||||||||||||||||
| Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
1,790,160 | (312,343) | 1,477,817 | — | (1,477,817) | — | |||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 43,068,385 | (312,343) | 42,756,042 | — | (1,477,817) | 41,278,225 | ||||||||||||||||||||
| J.P. Morgan | Securities Lending | 51,999 | — | 51,999 | — | (51,999) | — | |||||||||||||||||||
| Total financial instruments not subject to a master netting arrangement or similar arrangement | 51,999 | — | 51,999 | — | (51,999) | — | ||||||||||||||||||||
| Total financial instruments |
$ | 43,120,384 | $ | (312,343) | $ | 42,808,041 | $ | — | $ | (1,529,816) | $ | 41,278,225 | ||||||||||||||
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED LIABILITIES |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL PLEDGED (b) |
|
|
NET AMOUNT |
| |||||||
| Bank of America | Credit Default Swap Contracts | $ | 38,115 | $ | — | $ | 38,115 | $ | — | $ | (622) | $ | 37,493 | |||||||||||||
| CitiBank | Credit Default Swap Contracts | 4,541,959 | — | 4,541,959 | — | (4,541,959) | — | |||||||||||||||||||
| J.P. Morgan | Written Options | 4,658,960 | — | 4,658,960 | — | — | 4,658,960 | |||||||||||||||||||
| Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
312,343 | (312,343) | — | — | — | — | |||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 9,551,377 | (312,343) | 9,239,034 | — | (4,542,581) | 4,696,453 | ||||||||||||||||||||
| Total financial instruments not subject to a master netting arrangement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
| Total financial instruments |
$ | 9,551,377 | $ | (312,343) | $ | 9,239,034 | $ | — | $ | (4,542,581) | $ | 4,696,453 | ||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $215,737. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $316,176,051. |
| AQR Funds | Semi-Annual Report | June 2013 | 151 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
AQR MOMENTUM FUND
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED (a) |
|
|
NET AMOUNT |
| |||||||
| J.P. Morgan | Securities Lending | $117,442,602 | $ — | $117,442,602 | $ — | $(117,442,602) | $ — | |||||||||||||||||||
| Total financial instruments not subject to a master netting arrangement or similar arrangement | 117,442,602 | — | 117,442,602 | — | (117,442,602) | — | ||||||||||||||||||||
| Total financial instruments |
$117,442,602 | $ — | $117,442,602 | $ — | $(117,442,602) | $ — | ||||||||||||||||||||
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED LIABILITIES |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL PLEDGED (b) |
|
|
NET AMOUNT |
| |||||||
| Barclays Capital | Futures Contracts | $10,558 | $ — | $10,558 | $ — | $(10,558) | $ — | |||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 10,558 | — | 10,558 | — | (10,558) | — | ||||||||||||||||||||
| Total financial instruments not subject to a master netting arrangement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
| Total financial instruments |
$10,558 | $ — | $10,558 | $ — | $(10,558) | $ — | ||||||||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $3,596,114. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $204,355. |
| 152 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
AQR SMALL CAP MOMENTUM FUND
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED (a) |
|
|
NET AMOUNT |
| |||||||
| Barclays Capital | Futures Contracts | $ | 4,066 | $ | — | $ | 4,066 | $ | — | $ | — | $ | 4,066 | |||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 4,066 | — | 4,066 | — | — | 4,066 | ||||||||||||||||||||
| J.P. Morgan | Securities Lending | 54,406,226 | — | 54,406,226 | — | (54,406,226) | — | |||||||||||||||||||
| Total financial instruments not subject to a master netting arrangement or similar arrangement | 54,406,226 | — | 54,406,226 | — | (54,406,226) | — | ||||||||||||||||||||
| Total financial instruments |
$ | 54,410,292 | $ | — | $ | 54,410,292 | $ | — | $ | (54,406,226) | $ | 4,066 | ||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $2,615,587. In addition, collateral pledged to the counterparty was $42,751. |
AQR INTERNATIONAL MOMENTUM FUND
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED (a) |
|
|
NET AMOUNT |
| |||||||
| Barclays Capital | Futures Contracts | $ | 6,817 | $ | — | $ | 6,817 | $ | — | $ | — | $ | 6,817 | |||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 6,817 | — | 6,817 | — | — | 6,817 | ||||||||||||||||||||
| J.P. Morgan | Securities Lending | 318,122 | — | 318,122 | — | (318,122) | — | |||||||||||||||||||
| Total financial instruments not subject to a master netting arrangement or similar arrangement | 318,122 | — | 318,122 | — | (318,122) | — | ||||||||||||||||||||
| Total financial instruments |
$ | 324,939 | $ | — | $ | 324,939 | $ | — | $ | (318,122) | $ | 6,817 | ||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $19,043. In addition, collateral pledged to the counterparty was $44,678. |
| AQR Funds | Semi-Annual Report | June 2013 | 153 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
For the period ended June 30, 2013, the quarterly average values of the derivatives held by the Funds were as follows:
| AQR GLOBAL EQUITY FUND |
AQR INTERNATIONAL EQUITY FUND |
AQR DIVERSIFIED ARBITRAGE FUND |
AQR MOMENTUM FUND |
AQR SMALL CAP MOMENTUM FUND |
AQR INTERNATIONAL MOMENTUM FUND |
|||||||||||||||||||
| Futures Contracts* |
||||||||||||||||||||||||
| Average Notional Balance Long |
$ | 107,679,878 | $ | 163,172,307 | $ | — | $ | 5,233,702 | $ | 1,533,070 | $ | 983,820 | ||||||||||||
| Average Notional Balance Short |
69,678,060 | 79,270,580 | 521,801,169 | — | — | — | ||||||||||||||||||
| Forward Foreign Currency Exchange Contracts* |
||||||||||||||||||||||||
| Average Value Purchased |
191,665,990 | 332,633,102 | 25,934,488 | — | — | — | ||||||||||||||||||
| Average Value Sold |
185,639,706 | 268,426,038 | 144,454,262 | — | — | — | ||||||||||||||||||
| Exchange-Traded Options* |
|
|||||||||||||||||||||||
| Average Value of Contracts Written |
— | — | 1,839,724 | — | — | — | ||||||||||||||||||
| Credit Default Swaps* |
||||||||||||||||||||||||
| Average Notional Balance — Buy Protection |
— | — | 276,570,250 | — | — | — | ||||||||||||||||||
| Average Notional Balance — Sell Protection |
— | — | 114,796,833 | — | — | — | ||||||||||||||||||
| Total Return Swaps* |
||||||||||||||||||||||||
| Average Notional Balance —Long |
8,649,410 | — | — | — | — | — | ||||||||||||||||||
| Average Notional Balance —Short |
5,038,391 | 13,150,085 | — | — | — | — | ||||||||||||||||||
| Total Return Basket Swaps* |
|
|||||||||||||||||||||||
| Average Notional of Underlying Positions — Long |
— | — | 1,188,104,717 | — | — | — | ||||||||||||||||||
| Average Notional of Underlying Positions — Short |
— | — | 877,061,105 | — | — | — | ||||||||||||||||||
| * | Values as of each quarter end are used to calculate the average represented. |
The Funds’ derivative contracts held at June 30, 2013, are not accounted for as hedging instruments under GAAP.
7. Investment Advisory and Other Agreements
The Advisor serves as the investment advisor 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 Advisor 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 Advisor 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 Advisor provides persons satisfactory to
| 154 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
the Funds’ Board of Trustees to serve as officers of the Funds. Pursuant to the Advisory Agreement, the Funds pay the Advisor 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 Emerging Defensive Equity Fund |
0.60 | * | ||
| AQR International Defensive Equity Fund |
0.40 | ** | ||
| AQR U.S. Defensive Equity Fund |
0.30 | *** | ||
| AQR Diversified Arbitrage Fund |
1.00 | |||
| 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 | |||
| AQR Core Equity Fund |
0.30 | |||
| AQR Small Cap Core Equity Fund |
0.45 | |||
| AQR International Core Equity Fund |
0.40 | |||
| * | The AQR Emerging Defensive Equity Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.60% on the first $1 billion of net assets; the second tier charges 0.575% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.55% on net assets in excess of $3 billion. |
| ** | The AQR International Defensive Equity Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.40% on the first $1 billion of net assets; the second tier charges 0.375% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.35% on net assets in excess of $3 billion. |
| *** | The AQR U.S. Defensive Equity Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.30% on the first $1 billion of net assets; the second tier charges 0.275% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.25% on net assets in excess of $3 billion. |
The Trust and the Advisor have entered into a Fee Waiver and Expense Reimbursement Agreement whereby the Advisor has agreed to waive its fee and/or reimburse each Fund at least through April 30, 2014, unless otherwise noted. The Advisor has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:
| FUND | CLASS I | CLASS L | CLASS N | |||||||||
| AQR Global Equity Fund |
0.95 | % | — | % | 1.25 | % | ||||||
| AQR International Equity Fund |
— | — | 1.30 | |||||||||
| AQR Emerging Defensive Equity Fund |
0.90 | — | 1.15 | |||||||||
| AQR International Defensive Equity Fund |
0.65 | — | 0.90 | |||||||||
| AQR U.S. Defensive Equity Fund |
0.49 | — | 0.74 | |||||||||
| AQR Diversified Arbitrage Fund |
1.20 | — | 1.50 | |||||||||
| AQR Momentum Fund |
— | 0.49 | 0.74 | |||||||||
| AQR Small Cap Momentum Fund |
— | 0.65 | 0.90 | |||||||||
| AQR International Momentum Fund |
— | 0.65 | 0.90 | |||||||||
| AQR Tax-Managed Momentum Fund |
— | 0.54 | 0.79 | |||||||||
| AQR Tax-Managed Small Cap Momentum Fund |
— | 0.70 | 0.95 | |||||||||
| AQR Tax-Managed International Momentum Fund |
— | 0.70 | 0.95 | |||||||||
| AQR Core Equity Fund* |
— | 0.54 | 0.79 | |||||||||
| AQR Small Cap Core Equity Fund* |
— | 0.75 | 1.00 | |||||||||
| AQR International Core Equity Fund* |
— | 0.70 | 0.95 | |||||||||
| * | This arrangement will continue at least through April 30, 2015 for Class L and N. |
| AQR Funds | Semi-Annual Report | June 2013 | 155 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
The Trust and the Advisor had previously entered into a Fee Waiver and Expense Reimbursement Agreement whereby the Advisor had agreed to waive its fee and/or reimburse each Fund from January 1, 2013 through April 30, 2013 for AQR International Equity Fund, AQR Emerging Defensive Equity Fund, AQR International Defensive Equity Fund and AQR U.S. Defensive Equity Fund. The Advisor 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 I | CLASS L | ||||||
| AQR International Equity Fund |
1.00 | % | — | % | ||||
| AQR Emerging Defensive Equity Fund |
1.15 | 1.40 | ||||||
| AQR International Defensive Equity Fund |
0.90 | 1.15 | ||||||
| AQR U.S. Defensive Equity Fund |
0.75 | 1.00 | ||||||
The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Advisor. Such repayment shall be made only out of the class of the Fund for which the applicable fee waiver and expense reimbursement was made. Repayments with respect to a Fund must be limited to amounts that do not cause the aggregate operating expenses of the Fund attributable to a share class during a year in which such repayment is made to exceed the applicable ratios 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 Advisor waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement.
For the period ended June 30, 2013, the amounts waived and reimbursed by the Advisor, as well as the amounts available for potential future recoupment by the Advisor and the expiration schedule at June 30, 2013 are as follows:
| FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2013 |
TOTAL POTENTIAL RECOUPMENT AMOUNT |
POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31 |
||||||||||||||||||||||
| 2013 | 2014 | 2015 | 2016 | |||||||||||||||||||||
| AQR GLOBAL EQUITY FUND |
||||||||||||||||||||||||
| Class I |
$ | 6,227 | $ | 46,214 | $ | — | $ | 30,212 | $ | 9,775 | $ | 6,227 | ||||||||||||
| Class N |
5,713 | 47,569 | — | 31,920 | 9,936 | 5,713 | ||||||||||||||||||
| Class Y | — | 196,805 | 196,805 | — | — | — | ||||||||||||||||||
| Totals |
$ | 11,940 | $ | 290,588 | $ | 196,805 | $ | 62,132 | $ | 19,711 | $ | 11,940 | ||||||||||||
| AQR INTERNATIONAL EQUITY FUND |
||||||||||||||||||||||||
| Class I |
$ | — | $ | 9,533 | $ | 9,533 | $ | — | $ | — | $ | — | ||||||||||||
| Class N |
— | 31,222 | 19,745 | 11,477 | — | — | ||||||||||||||||||
| Class Y | — | 199,346 | 199,346 | — | — | — | ||||||||||||||||||
| Totals |
$ | — | $ | 240,101 | $ | 228,624 | $ | 11,477 | $ | — | $ | — | ||||||||||||
| AQR EMERGING DEFENSIVE EQUITY FUND |
||||||||||||||||||||||||
| Class I |
$ | 61,425 | $ | 153,185 | $ | — | $ | — | $ | 91,760 | $ | 61,425 | ||||||||||||
| Class N | 19,072 | 51,787 | — | — | 32,715 | 19,072 | ||||||||||||||||||
| Totals |
$ | 80,497 | $ | 204,972 | $ | — | $ | — | $ | 124,475 | $ | 80,497 | ||||||||||||
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND |
||||||||||||||||||||||||
| Class I |
$ | 69,660 | $ | 149,601 | $ | — | $ | — | $ | 79,941 | $ | 69,660 | ||||||||||||
| Class N | 14,076 | 57,551 | — | — | 43,475 | 14,076 | ||||||||||||||||||
| Totals |
$ | 83,736 | $ | 207,152 | $ | — | $ | — | $ | 123,416 | $ | 83,736 | ||||||||||||
| 156 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
| FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2013 |
TOTAL POTENTIAL RECOUPMENT AMOUNT |
POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31 |
||||||||||||||||||||||
| 2013 | 2014 | 2015 | 2016 | |||||||||||||||||||||
| AQR U.S. DEFENSIVE EQUITY FUND |
||||||||||||||||||||||||
| Class I |
$ | 50,409 | $ | 115,747 | $ | — | $ | — | $ | 65,338 | $ | 50,409 | ||||||||||||
| Class N | 12,578 | 51,407 | — | — | 38,829 | 12,578 | ||||||||||||||||||
| Totals |
$ | 62,987 | $ | 167,154 | $ | — | $ | — | $ | 104,167 | $ | 62,987 | ||||||||||||
| AQR DIVERSIFIED ARBITRAGE FUND |
||||||||||||||||||||||||
| Class I |
$ | — | $ | 1,384,501 | $ | 129,192 | $ | 1,027,719 | $ | 227,590 | $ | — | ||||||||||||
| Class N | — | 8,388 | 8,388 | — | — | — | ||||||||||||||||||
| Totals |
$ | — | $ | 1,392,889 | $ | 137,580 | $ | 1,027,719 | $ | 227,590 | $ | — | ||||||||||||
| AQR MOMENTUM FUND |
||||||||||||||||||||||||
| Class L |
$ | 199,932 | $ | 1,118,067 | $ | 165,059 | $ | 418,356 | $ | 334,720 | $ | 199,932 | ||||||||||||
| Class N | 39,908 | 41,064 | — | — | 1,156 | 39,908 | ||||||||||||||||||
| Totals |
$ | 239,840 | $ | 1,159,131 | $ | 165,059 | $ | 418,356 | $ | 335,876 | $ | 239,840 | ||||||||||||
| AQR SMALL CAP MOMENTUM FUND |
||||||||||||||||||||||||
| Class L |
$ | 38,492 | $ | 452,837 | $ | 168,573 | $ | 171,630 | $ | 74,142 | $ | 38,492 | ||||||||||||
| Class N | 13,833 | 14,353 | — | — | 520 | 13,833 | ||||||||||||||||||
| Totals |
$ | 52,325 | $ | 467,190 | $ | 168,573 | $ | 171,630 | $ | 74,662 | $ | 52,325 | ||||||||||||
| AQR INTERNATIONAL MOMENTUM FUND |
||||||||||||||||||||||||
| Class L |
$ | 73,156 | $ | 710,163 | $ | 266,187 | $ | 230,607 | $ | 140,213 | $ | 73,156 | ||||||||||||
| Class N | 13,412 | 13,932 | — | — | 520 | 13,412 | ||||||||||||||||||
| Totals |
$ | 86,568 | $ | 724,095 | $ | 266,187 | $ | 230,607 | $ | 140,733 | $ | 86,568 | ||||||||||||
| AQR TAX-MANAGED MOMENTUM FUND |
||||||||||||||||||||||||
| Class L |
$ | 49,587 | $ | 172,703 | $ | — | $ | — | $ | 123,116 | $ | 49,587 | ||||||||||||
| Class N | 9,668 | 9,729 | — | — | 61 | 9,668 | ||||||||||||||||||
| Totals |
$ | 59,255 | $ | 182,432 | $ | — | $ | — | $ | 123,177 | $ | 59,255 | ||||||||||||
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
||||||||||||||||||||||||
| Class L |
$ | 53,341 | $ | 181,216 | $ | — | $ | — | $ | 127,875 | $ | 53,341 | ||||||||||||
| Class N | 10,100 | 10,152 | — | — | 52 | 10,100 | ||||||||||||||||||
| Totals |
$ | 63,441 | $ | 191,368 | $ | — | $ | — | $ | 127,927 | $ | 63,441 | ||||||||||||
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
||||||||||||||||||||||||
| Class L |
$ | 66,278 | $ | 227,212 | $ | — | $ | — | $ | 160,934 | $ | 66,278 | ||||||||||||
| Class N | 9,966 | 10,029 | — | — | 63 | 9,966 | ||||||||||||||||||
| Totals |
$ | 76,244 | $ | 237,241 | $ | — | $ | — | $ | 160,997 | $ | 76,244 | ||||||||||||
| AQR CORE EQUITY FUND |
||||||||||||||||||||||||
| Class L |
$ | 34,947 | $ | 34,947 | $ | — | $ | — | $ | — | $ | 34,947 | ||||||||||||
| Class N | 14,332 | 14,332 | — | — | — | 14,332 | ||||||||||||||||||
| Totals |
$ | 49,279 | $ | 49,279 | $ | — | $ | — | $ | — | $ | 49,279 | ||||||||||||
| AQR Funds | Semi-Annual Report | June 2013 | 157 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
| FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2013 |
TOTAL POTENTIAL RECOUPMENT AMOUNT |
POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31 |
||||||||||||||||||||||
| 2013 | 2014 | 2015 | 2016 | |||||||||||||||||||||
| AQR SMALL CAP CORE EQUITY FUND |
||||||||||||||||||||||||
| Class L |
$ | 27,213 | $ | 27,213 | $ | — | $ | — | $ | — | $ | 27,213 | ||||||||||||
| Class N | 23,230 | 23,230 | — | — | — | 23,230 | ||||||||||||||||||
| Totals |
$ | 50,443 | $ | 50,443 | $ | — | $ | — | $ | — | $ | 50,443 | ||||||||||||
| AQR INTERNATIONAL CORE EQUITY FUND |
||||||||||||||||||||||||
| Class L |
$ | 32,104 | $ | 32,104 | $ | — | $ | — | $ | — | $ | 32,104 | ||||||||||||
| Class N | 25,104 | 25,104 | — | — | — | 25,104 | ||||||||||||||||||
| Totals |
$ | 57,208 | $ | 57,208 | $ | — | $ | — | $ | — | $ | 57,208 | ||||||||||||
The Advisor 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 $429,810 for the AQR Global Equity Fund and AQR International Equity Fund, respectively.
During the period ended June 30, 2013, the Funds recouped amounts as follows:
| FUND | CLASS I | CLASS N | CLASS Y | |||||||||
| AQR International Equity Fund |
$ | 16,887 | $ | — | $ | 46,804 | ||||||
| AQR Diversified Arbitrage Fund |
— | 45,569 | — | |||||||||
Pursuant to the Sub-Advisory Agreement between the Sub-Advisor, the Advisor and the Trust, the Advisor will pay the Sub-Advisor an annual fee, payable monthly, at the annual rate of 1.00% of the average daily net assets for AQR Diversified Arbitrage Fund.
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.
8. Distribution Plan
The Trust has adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the Class N shares of the Funds, 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.
9. Shareholder Service Plan
Pursuant to a Shareholder Services Agreement, between the Trust (excluding the AQR Diversified Arbitrage Fund) and the Advisor, the Advisor provides a wide range of services to the Funds and their shareholders. These services include, among others, access to performance information reporting, analysis and explanations of Fund reports as well as electronic access to Fund information. Under this agreement the Advisor receives an annual fee, payable monthly, calculated on the average daily net assets of each Class at the following rates:
| FUND | CLASS I | CLASS L | CLASS N | |||||||||
| AQR Global Equity Fund |
0.30 | % | — | % | 0.35 | % | ||||||
| AQR International Equity Fund |
0.30 | — | 0.35 | |||||||||
| 158 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
| FUND | CLASS I | CLASS L | CLASS N | |||||||||
| AQR Emerging Defensive Equity Fund |
0.25 | % | — | % | 0.25 | % | ||||||
| AQR International Defensive Equity Fund |
0.25 | — | 0.25 | |||||||||
| AQR U.S. Defensive Equity Fund |
0.25 | — | 0.25 | |||||||||
| AQR Momentum Fund |
— | 0.15 | 0.15 | |||||||||
| AQR Small Cap Momentum Fund |
— | 0.15 | 0.15 | |||||||||
| AQR International Momentum Fund |
— | 0.15 | 0.15 | |||||||||
| AQR Tax-Managed Momentum Fund |
— | 0.15 | 0.15 | |||||||||
| AQR Tax-Managed Small Cap Momentum Fund |
— | 0.15 | 0.15 | |||||||||
| AQR Tax-Managed International Momentum Fund |
— | 0.15 | 0.15 | |||||||||
| AQR Core Equity Fund |
— | 0.15 | 0.15 | |||||||||
| AQR Small Cap Core Equity Fund |
— | 0.15 | 0.15 | |||||||||
| AQR International Core Equity Fund |
— | 0.15 | 0.15 | |||||||||
In addition, the Advisor may, from time to time, compensate third parties (including financial intermediaries) from the fees the Advisor 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, 2013, were as follows:
| FUND | CLASS I | CLASS L | CLASS N | |||||||||
| AQR Global Equity Fund |
$ | 1,323 | $ | — | $ | 1,054 | ||||||
| AQR International Equity Fund |
311,251 | — | 29,421 | |||||||||
| AQR Emerging Defensive Equity Fund |
7,986 | — | 1,735 | |||||||||
| AQR International Defensive Equity Fund |
11,015 | — | 1,102 | |||||||||
| AQR U.S. Defensive Equity Fund |
15,965 | — | 1,946 | |||||||||
| AQR Momentum Fund |
— | 422,945 | 51,432 | |||||||||
| AQR Small Cap Momentum Fund |
— | 130,129 | 63 | |||||||||
| AQR International Momentum Fund |
— | 118,592 | 11,045 | |||||||||
| AQR Tax-Managed Momentum Fund |
— | 5,792 | 61 | |||||||||
| AQR Tax-Managed Small Cap Momentum Fund |
— | 3,073 | 61 | |||||||||
| AQR Tax-Managed International Momentum Fund |
— | 4,717 | 60 | |||||||||
| AQR Core Equity Fund |
— | 1,594 | 306 | |||||||||
| AQR Small Cap Core Equity Fund |
— | 502 | 415 | |||||||||
| AQR International Core Equity Fund |
— | 656 | 482 | |||||||||
10. Purchases and Redemption of Shares
Investors may purchase shares of a Fund at their net asset value (“NAV”), based on the next calculation of the NAV after the order is placed. Neither the Fund nor the distributor charges a sales charge or other transaction fee to purchase shares, although other institutions may impose transaction fees on shares purchased through them. The AQR Global Equity and AQR International Equity Funds’ Class Y shares charge subscription and redemption fees of 0.10% each, regardless of the period such shares may have been held. Prior to May 1, 2011, the Funds reserved the right to charge a redemption fee on redemption proceeds for shares that were held for less than 60 days. Effective May 1, 2011, this fee was eliminated for Class I, Class N and Class L Shares.
11. Risks and Concentrations
The Funds, at times, utilize substantial leverage in their investment program. Such leverage may take the form of trading on margin, investing in derivative instruments that are inherently leveraged, entering into repurchase transactions and entering into other forms of direct and indirect borrowing.
There is no guarantee that the Funds’ borrowing arrangement or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Funds. Unfavorable economic conditions also could increase funding costs, limits access to the capital markets or result in a decision by lenders not to extend credit to the Funds. In addition, a decline in market value of the Funds’ assets may have particular adverse consequences in instances where they have borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender (including derivative counterparties) requiring the Funds to post additional collateral or otherwise sell assets at a time when it may not be the Funs best interest to do so.
| AQR Funds | Semi-Annual Report | June 2013 | 159 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
The counterparties to the Funds’ currency forward, futures, option and swap contracts and repurchase and reverse repurchase agreements include affiliates of the Funds clearing brokers and other major financial institutions. While the Funds utilize multiple clearing brokers and counterparties, a concentration of credit risk exists because of balances held and transactions with a limited number of clearing brokers and counterparties.
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, 2013, a substantial portion of the AQR Global Equity, AQR International Equity, AQR Emerging Defensive Equity, AQR International Defensive Equity, AQR International Momentum, AQR Tax-Managed International Momentum and AQR International Core Equity 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, 2013, the AQR Diversified Arbitrage Fund had pledged a substantial portion of its assets for securities sold short to JPMorgan Chase Bank, N.A.
| 160 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Financial Statements (Unaudited) | June 30, 2013 |
12. Line of Credit
Effective March 1, 2013 and terminating on March 1, 2014, the Trust had renewed a committed, $150,000,000 syndicated line of credit with Bank of America, N.A., as the Administrative Agent. 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 is subject to an annual commitment fee which is payable in arrears on a quarterly basis. In the event of a draw upon the line of credit, investments of the responsible Fund may be designated as collateral until its loan is repaid in full. For the period ended June 30, 2013, the Funds did not have any outstanding borrowings under this agreement.
13. Principal Ownership
As of June 30, 2013, 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 | 93.35 | % | |||||
| AQR International Equity Fund |
3 | 58.04 | % | |||||
| AQR Tax-Managed Momentum Fund |
2 | 21.06 | % | |||||
| AQR Tax-Managed Small Cap Momentum Fund |
3 | 54.09 | % | |||||
| AQR Tax-Managed International Momentum Fund |
3 | 36.71 | % | |||||
Significant shareholder transactions by these shareholders, if any, may impact the Fund’s performance.
14. 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.
15. Change in Fiscal Year End
In May 2013, the Board of Trustees approved a change in the fiscal year end for the AQR Global Equity Fund, AQR International Equity Fund, AQR Emerging Defensive Equity Fund, AQR International Defensive Equity Fund, AQR U.S. Defensive Equity 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, AQR Tax-Managed International Momentum Fund, AQR Core Equity Fund, AQR Small Cap Core Equity Fund and AQR International Core Equity Fund from December 31 to September 30, effective September 30, 2013.
| AQR Funds | Semi-Annual Report | June 2013 | 161 | |||||||||||||
| 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 6/30/13” 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 6/30/13 |
ANNUALIZED EXPENSE RATIO FOR THE PERIOD |
EXPENSES PAID FOR THE PERIOD ENDING 6/30/13 |
|||||||||||||
| AQR Global Equity Fund |
||||||||||||||||
| Class I |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,098.70 | 0.95% | $4.94 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.08 | 0.95% | $4.76 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,097.20 | 1.25% | $6.50 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.60 | 1.25% | $6.26 | ||||||||||||
| Class Y |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,101.30 | 0.47% | $2.50 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,022.41 | 0.47% | $2.41 | ||||||||||||
| AQR International Equity Fund |
||||||||||||||||
| Class I |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,051.80 | 0.90% | $4.58 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.33 | 0.90% | $4.51 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,049.90 | 1.27% | $6.45 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.50 | 1.27% | $6.36 | ||||||||||||
| Class Y |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,054.20 | 0.54% | $2.80 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,022.07 | 0.54% | $2.76 | ||||||||||||
| 162 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| BEGINNING ACCOUNT DATE VALUE |
ENDING ACCOUNT VALUE 6/30/13 |
ANNUALIZED EXPENSE RATIO FOR THE PERIOD |
EXPENSES PAID FOR THE PERIOD ENDING 6/30/13 |
|||||||||||||
| AQR Emerging Defensive Equity Fund |
||||||||||||||||
| Class I |
||||||||||||||||
| Actual Return |
$1,000.00 | $927.70 | 1.05% | $5.02 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,019.59 | 1.05% | $5.26 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $927.70 | 1.35% | $6.40 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.15 | 1.35% | $6.71 | ||||||||||||
| AQR International Defensive Equity Fund |
||||||||||||||||
| Class I |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,031.90 | 0.79% | $3.98 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.88 | 0.79% | $3.96 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,029.90 | 1.06% | $5.34 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,019.54 | 1.06% | $5.31 | ||||||||||||
| AQR U.S. Defensive Equity Fund |
||||||||||||||||
| Class I |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,149.60 | 0.63% | $3.36 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,021.67 | 0.63% | $3.16 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,148.30 | 0.90% | $4.79 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.33 | 0.90% | $4.51 | ||||||||||||
| AQR Diversified Arbitrage Fund |
||||||||||||||||
| Class I |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,011.80 | 1.20% | $5.99 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.84 | 1.20% | $6.01 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,010.00 | 1.45% | $7.28 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,017.55 | 1.45% | $7.30 | ||||||||||||
| AQR Momentum Fund |
||||||||||||||||
| Class L |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,128.30 | 0.49% | $2.59 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,022.36 | 0.49% | $2.46 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,127.10 | 0.74% | $3.90 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,021.12 | 0.74% | $3.71 | ||||||||||||
| AQR Small Cap Momentum Fund |
||||||||||||||||
| Class L |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,179.50 | 0.65% | $3.51 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,021.57 | 0.65% | $3.26 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,177.70 | 0.90% | $4.86 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.33 | 0.90% | $4.51 | ||||||||||||
| AQR Funds | Semi-Annual Report | June 2013 | 163 | |||||||||||||
| BEGINNING ACCOUNT DATE VALUE |
ENDING ACCOUNT VALUE 6/30/13 |
ANNUALIZED EXPENSE RATIO FOR THE PERIOD |
EXPENSES PAID FOR THE PERIOD ENDING 6/30/13 |
|||||||||||||
| AQR International Momentum Fund |
||||||||||||||||
| Class L |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,064.20 | 0.65% | $3.33 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,021.57 | 0.65% | $3.26 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,063.50 | 0.90% | $4.60 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.33 | 0.90% | $4.51 | ||||||||||||
| AQR Tax-Managed Momentum Fund |
||||||||||||||||
| Class L |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,128.50 | 0.54% | $2.90 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,022.07 | 0.54% | $2.76 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,126.70 | 0.79% | $4.22 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.83 | 0.79% | $4.01 | ||||||||||||
| AQR Tax-Managed Small Cap Momentum Fund |
||||||||||||||||
| Class L |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,191.90 | 0.70% | $3.80 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,021.32 | 0.70% | $3.51 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,189.20 | 0.95% | $5.16 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.08 | 0.95% | $4.76 | ||||||||||||
| AQR Tax-Managed International Momentum Fund |
||||||||||||||||
| Class L |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,065.80 | 0.70% | $3.59 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,021.32 | 0.70% | $3.51 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,064.10 | 0.95% | $4.86 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.08 | 0.95% | $4.76 | ||||||||||||
| AQR Core Equity Fund |
||||||||||||||||
| Class L (1) |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,045.00 | 0.54% | $1.47 | (a) | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,022.12 | 0.54% | $2.71 | ||||||||||||
| Class N (1) |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,045.00 | 0.79% | $2.15 | (a) | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.88 | 0.79% | $3.96 | ||||||||||||
| AQR Small Cap Core Equity Fund |
||||||||||||||||
| Class L (1) |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,079.00 | 0.75% | $2.07 | (a) | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,021.08 | 0.75% | $3.76 | ||||||||||||
| Class N (1) |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,078.00 | 1.00% | $2.76 | (a) | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,019.84 | 1.00% | $5.01 | ||||||||||||
| 164 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| BEGINNING ACCOUNT DATE VALUE |
ENDING ACCOUNT VALUE 6/30/13 |
ANNUALIZED EXPENSE RATIO FOR THE PERIOD |
EXPENSES PAID FOR THE PERIOD ENDING 6/30/13 |
|||||||||||||
| AQR International Core Equity Fund |
||||||||||||||||
| Class L (1) |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,023.00 | 0.70% | $1.88 | (a) | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,021.32 | 0.70% | $3.51 | ||||||||||||
| Class N (1) |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,022.00 | 0.95% | $2.55 | (a) | |||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.08 | 0.95% | $4.76 | ||||||||||||
| Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365 (to reflect the one-half year period unless stated otherwise). |
| (1) | Commencement of operations was March 26, 2013. |
| (a) | Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multipled by 97/365 (to reflect the period since commencement of operations). |
| AQR Funds | Semi-Annual Report | June 2013 | 165 | |||||||||||||
| Board Approval of Investment Advisory Agreements (Unaudited) | ||
| AQR Global Equity Fund, AQR International Equity 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 | ||
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 21-22, 2013, to consider the continuation of the Investment Advisory Agreement between the Trust, on behalf of AQR Global Equity Fund, AQR International Equity 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 and AQR Capital Management, LLC (“AQR”) (the “Investment Advisory Agreement”). In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), had had a separate call in advance of the in person meeting held on February 21-22, 2013 with independent legal counsel to review the materials provided and the relevant legal considerations (together with the in person meeting held on February 21-22, 2013, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed, and considered materials furnished by AQR relevant to the Board’s consideration of whether to approve the continuation of the Investment Advisory Agreement. These materials included: (i) memoranda and materials prepared by AQR, describing personnel and services provided to the Funds; (ii) performance information for the Funds relevant to the consideration of the Investment Advisory Agreement; (iii) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ fees and expenses; (iv) a discussion of the financial statements of AQR; and (v) a discussion of the compliance program and the regulatory exam history of AQR. AQR is referred to herein as the “Advisor”.
At the in person meeting held on February 21-22, 2013, the Board, including the Independent Board Members, unanimously approved the continuation of the Investment Advisory Agreement for an additional one-year period. In approving the continuation of the Investment Advisory Agreement, 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 Advisor; (b) the investment performance of the Funds and the Advisor’s portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by the Advisor from the relationship with the Funds; (d) economies of scale; and (e) other factors.
The Board also considered other matters it deemed important to the approval process, such as services related to the valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Advisor 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 Investment Advisory Agreement:
The Nature, Extent and Quality of the Services Provided by the Advisor. The Board Members reviewed the services that the Advisor provides to the Funds under the Investment Advisory Agreement. The Board considered the size and experience of the Advisor’s staff, its use of technology, and the Funds’ investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Advisor as an investment adviser. In connection with the investment advisory services to be provided to the Funds, the Board Members took into account detailed discussions they had with officers of the Advisor regarding the management of each Fund’s investments in accordance with the Funds’ stated investment objectives and policies and the types of transactions that are entered into on behalf of the Funds. During these discussions, the Board Members asked detailed questions of, and received answers from, the officers of the Advisor regarding the formulation and implementation of the Funds’ investment strategies, their efficacy and potential risks. The Board considered information about how portfolio managers are compensated by the Advisor.
In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR also provides shareholder and administrative services, fund accounting, and 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 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.
| 166 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Board Approval of Investment Advisory Agreements (Unaudited) | ||
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 and materials at the Meetings, the Board concluded that the continuation of the Investment Advisory Agreement was in the best interests of the Funds.
Investment Performance of the Funds and the Advisor’s Portfolio Management. The Board considered the investment performance of each Fund. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated objectives and the Advisor’s success in reaching such goals as well as the performance of the Funds relative to their peers. The Board also considered the Advisor’s performance in managing other registered investment companies and private funds, noting that other funds the Advisor 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 Advisor 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 Advisor 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 provided to the Funds.
To assist in this analysis, the Board received materials independently prepared by Morningstar (“Morningstar Report”). The Morningstar Report illustrated comparative fee information for each Fund’s Morningstar category, including expense comparisons of contractual management fees and actual net expenses. The Board also received and reviewed information regarding the profitability of the Advisor with respect to Fund-related activities and the Advisor’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 Advisor, the types of funds managed, expense allocations and business mix, and therefore comparability of profitability is somewhat limited.
The Board reviewed the Advisor’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 fees are reasonable.
Economies of Scale. The Advisor provided to the Board 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 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 Advisor presented information to show that the fees were set at a level that is competitive relative to comparable funds. 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 Advisor’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 Advisor or its affiliates may derive from its relationship with the Funds, both tangible and intangible. The Board also received information regarding the Advisor’s brokerage and soft dollar practices. The Board considered that the Advisor is responsible for decisions to buy and sell securities for the Funds, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firms’ various advisory clients. The Board noted that the Advisor 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 advisory fee rates and total expense ratios are reasonable in relation to the services provided by the Advisor to the Funds, as well as the costs incurred and benefits to be gained by the Advisor in providing such services, including the investment advisory and administrative components. The Board also found the investment advisory fees to be reasonable in comparison to the fees charged by advisers to other comparable funds. As a result, all of the Board Members, including the Independent Board Members, approved the continuation of 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 2013 | 167 | |||||||||||||
| Board Approval of Investment Advisory Agreements (Unaudited) | ||
| AQR Core Equity Fund, AQR Small Cap Core Equity Fund and AQR International Core Equity Fund | ||
Additionally, 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 21-22, 2013, to consider the approval of the investment advisory agreement between the Trust, on behalf of the AQR Core Equity Fund, AQR Small Cap Core Equity Fund and AQR International Core Equity Fund (together, the “Funds”), and AQR Capital Management, LLC (“AQR”) (the “Investment Advisory Agreement”). In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), had a separate call in advance of the in person meeting held on February 21-22, 2013 with independent legal counsel to review the materials provided and the relevant legal considerations (together with the in person meeting held on February 21-22, 2013, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed and considered materials furnished by AQR relevant to the Board’s consideration of whether to approve the Investment 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 Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ proposed fees and expenses; (4) a discussion of the financial statements of AQR and the regulatory exam history; and (5) a discussion of the compliance program and the regulatory exam history of AQR. AQR is referred to herein as the “Advisor,” as applicable.
At the in person meeting held on February 21-22, 2013, the Board, including 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 Advisor; (b) the investment performance of the Advisor and the Advisor’s portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by the Advisor 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 Advisor 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 Advisor. The Board Members reviewed the services that the Advisor would provide to the Funds under the Investment Advisory Agreement. The Board considered the size and experience of the Advisor’s staff, its use of technology, and the Funds’ stated investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Advisor as an investment adviser. In connection with the investment advisory services to be provided to the Funds, the Board Members took into account detailed discussions they had with officers of the Advisor 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 Advisor 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.
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 and materials at the Meetings, 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.
| 168 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Board Approval of Investment Advisory Agreements (Unaudited) | ||
Investment Performance and the Advisor’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 Advisor’s performance primarily on the experience of the Advisor in managing other registered investment companies and private funds, noting that other funds the Advisor manages might have investment objectives, policies or restrictions different from those of the Funds. The Board also considered the experience, resources and strengths of the Advisor and its affiliates with respect to the investment strategies proposed for the Funds. Based on these factors, the Board Members determined that the Advisor 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 Advisor 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 Advisor 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 Morningstar. The report showed comparative fee information for each Fund’s Morningstar category, including expense comparisons of contractual investment advisory fees and actual net expenses.
The Board also received and reviewed information regarding the profitability of the Advisor with respect to Fund-related activities. The Board took into consideration the Advisor’s profits from the management of other private accounts. The Board also reviewed the Advisor’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 Advisor, the types of funds managed, expense allocations and business mix, and therefore comparability of profitability is somewhat limited.
The Board reviewed the Advisor’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 proposed management fees are reasonable.
Economies of Scale. Because the Funds are newly formed and had not commenced operations as of February 22, 2013, and the eventual aggregate amount of the Funds’ assets was uncertain, the Advisor 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 Advisor presented information to show that the fees were set at a level that is competitive relative to comparable funds of similar, actual or anticipated size. 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 Advisor’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 Advisor or its affiliates may derive from its relationship with the Funds, both tangible and intangible. The Board also received information regarding the Advisor’s brokerage and soft dollar practices. The Board considered that the Advisor 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 Advisor 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 Advisor to the Funds, as well as the costs incurred and benefits to be gained by the Advisor 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 2013 | 169 | |||||||||||||
Investment Advisor
AQR Capital Management, LLC
Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
Sub-Advisor
CNH Partners, LLC
Two Greenwich Plaza, 1st Floor,
Greenwich, CT 06830
Transfer Agent
ALPS Fund Services, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Custodian
JPMorgan Chase Bank, N.A.
4 Metro Tech Center
Brooklyn, NY 11245
Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Administrator
J.P. Morgan Investor Services Co.
70 Fargo Street
Boston, MA 02210
Independent Registered Public Accounting Firm
PricewaterhouseCoopers, LLP
300 Madison Avenue
New York, NY 10017
You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website www.aqrfunds.com, or by accessing the SEC’s website at www.SEC.Gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-942-8090.
The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.Gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and polices, experienced of its management, marketability of shares and other information.
P.O. Box 2248
Denver, CO 80201-2248
1-866-290-2688
www.aqrfunds.com
| Consolidated Schedule of Investments | ||||
| 2 | ||||
| 10 | ||||
| 14 | ||||
| 27 | ||||
| 34 | ||||
| 41 | ||||
| Financial Statements and Notes | 79 | |||
| Fund Expense Examples | 118 | |||
| Board Approval of Investment Advisory Agreements | 120 | |||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
Total return swap contracts outstanding as of June 30, 2013:
Over the Counter
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Barclays Capital | Cocoa Futures | 9/13/2013 | USD | 4,721,150 | $(284,862) | |||||||||||
| Barclays Capital | Cocoa Futures | 9/13/2013 | USD | (4,721,150) | (45,636) | |||||||||||
| Barclays Capital | Coffee ‘C’ Futures | 9/18/2013 | USD | (1,853,831) | 92,981 | |||||||||||
| Bank of America | Euro - SCHATZ Futures | 9/6/2013 | EUR | (586,644,882) | (720,140) | |||||||||||
| Barclays Capital | Gold 100 OZ Futures | 8/28/2013 | USD | (198,681,061) | 23,808,223 | |||||||||||
| Barclays Capital | Gold 100 OZ Futures | 8/28/2013 | USD | 90,096,520 | (3,727,749) | |||||||||||
| Barclays Capital | Lean Hogs Futures | 7/15/2013 | USD | (89,525,043) | (7,405,623) | |||||||||||
| Barclays Capital | Lean Hogs Futures | 7/15/2013 | USD | 89,525,043 | 5,616,055 | |||||||||||
| Barclays Capital | Lean Hogs Futures | 8/14/2013 | USD | 24,046,500 | (73,800) | |||||||||||
| Barclays Capital | LME Aluminum Futures | 9/16/2013 | USD | 32,194,100 | (3,089,937) | |||||||||||
| Barclays Capital | LME Aluminum Futures | 9/16/2013 | USD | (103,301,412) | 7,009,981 | |||||||||||
| Bank of America | MSCI Taiwan Stock Index Futures | 7/30/2013 | USD | 25,154,447 | 894,953 | |||||||||||
| Barclays Capital | Silver Futures | 9/26/2013 | USD | (37,912,470) | 3,839,970 | |||||||||||
| Barclays Capital | Soybean Futures | 11/14/2013 | USD | 142,504,948 | (5,849,148) | |||||||||||
| Deutsche Bank | Soybean Meal Futures | 12/13/2013 | USD | 7,420,830 | (389,630) | |||||||||||
| Barclays Capital | Soybean Oil Futures | 12/13/2013 | USD | (25,428,662) | 1,199,222 | |||||||||||
| The Royal Bank of Scotland | Swiss Market Index Futures | 9/20/2013 | CHF | 12,232,512 | (146,563) | |||||||||||
| Bank of America | U.S. Treasury 2-Year Note Futures | 9/30/2013 | USD | (843,660,831) | (259,170) | |||||||||||
| Barclays Capital | Wheat Futures | 9/13/2013 | USD | (44,907,065) | 2,120,427 | |||||||||||
|
|
|
|||||||||||||||
| $22,589,554 | ||||||||||||||||
|
|
|
|||||||||||||||
Money Market Fund is pledged as collateral to brokers for total return swap contracts in the amount of $12,901,634. 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) |
| 2 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 21 | Cocoa Futures | September 13, 2013 | $486,770 | $454,440 | $(32,330) | |||||||||||
| 455 | Corn Futures | September 13, 2013 | 13,404,040 | 12,449,938 | (954,102) | |||||||||||
| 266 | Cotton No. 2 Futures | December 6, 2013 | 11,708,424 | 11,173,330 | (535,094) | |||||||||||
| 295 | Crude Oil Financial Futures | July 19, 2013 | 28,872,810 | 28,485,200 | (387,610) | |||||||||||
| 3 | Globex Brent FCL Futures | July 15, 2013 | 308,130 | 306,480 | (1,650) | |||||||||||
| 247 | Globex RBOB Gas Futures | July 30, 2013 | 29,252,845 | 28,171,635 | (1,081,210) | |||||||||||
| 353 | Lean Hogs Futures | August 14, 2013 | 13,869,226 | 13,759,940 | (109,286) | |||||||||||
| 123 | LME Aluminum Futures | July 2, 2013 | 5,838,084 | 5,318,981 | (519,103) | |||||||||||
| 20 | LME Aluminum Futures | July 3, 2013 | 935,657 | 865,125 | (70,532) | |||||||||||
| 55 | LME Aluminum Futures | July 12, 2013 | 2,575,463 | 2,385,281 | (190,182) | |||||||||||
| 285 | LME Aluminum Futures | August 2, 2013 | 13,101,906 | 12,435,690 | (666,216) | |||||||||||
| 91 | LME Aluminum Futures | September 27, 2013 | 4,045,892 | 4,033,575 | (12,317) | |||||||||||
| 45 | LME Copper Futures | July 2, 2013 | 8,403,822 | 7,572,375 | (831,447) | |||||||||||
| 74 | LME Copper Futures | July 3, 2013 | 13,736,368 | 12,453,423 | (1,282,945) | |||||||||||
| 7 | LME Copper Futures | July 5, 2013 | 1,304,111 | 1,178,231 | (125,880) | |||||||||||
| 31 | LME Copper Futures | July 9, 2013 | 5,835,800 | 5,219,370 | (616,430) | |||||||||||
| 139 | LME Copper Futures | August 2, 2013 | 24,301,266 | 23,430,709 | (870,557) | |||||||||||
| 47 | LME Copper Futures | August 21, 2013 | 8,705,254 | 7,929,194 | (776,060) | |||||||||||
| 19 | LME Copper Futures | August 22, 2013 | 3,533,523 | 3,205,419 | (328,104) | |||||||||||
| 70 | LME Copper Futures | August 23, 2013 | 12,764,681 | 11,809,438 | (955,243) | |||||||||||
| 19 | LME Copper Futures | August 30, 2013 | 3,471,893 | 3,205,893 | (266,000) | |||||||||||
| 14 | LME Copper Futures | September 4, 2013 | 2,576,731 | 2,362,458 | (214,273) | |||||||||||
| 34 | LME Copper Futures | September 5, 2013 | 6,342,060 | 5,737,500 | (604,560) | |||||||||||
| 6 | LME Copper Futures | September 6, 2013 | 1,107,846 | 1,012,520 | (95,326) | |||||||||||
| 23 | LME Copper Futures | September 12, 2013 | 4,094,037 | 3,881,756 | (212,281) | |||||||||||
| 66 | LME Copper Futures | September 13, 2013 | 11,668,886 | 11,139,150 | (529,736) | |||||||||||
| 73 | LME Copper Futures | September 16, 2013 | 13,486,742 | 12,320,575 | (1,166,167) | |||||||||||
| 19 | LME Copper Futures | September 17, 2013 | 3,361,130 | 3,206,725 | (154,405) | |||||||||||
| 44 | LME Copper Futures | September 19, 2013 | 7,690,445 | 7,425,550 | (264,895) | |||||||||||
| 104 | LME Copper Futures | September 20, 2013 | 17,696,166 | 17,551,092 | (145,074) | |||||||||||
| 12 | LME Nickel Futures | July 9, 2013 | 1,165,483 | 982,735 | (182,748) | |||||||||||
| 36 | LME Nickel Futures | July 11, 2013 | 3,470,098 | 2,948,552 | (521,546) | |||||||||||
| 48 | LME Nickel Futures | July 12, 2013 | 4,623,571 | 3,931,632 | (691,939) | |||||||||||
| 70 | LME Nickel Futures | July 16, 2013 | 6,663,412 | 5,734,974 | (928,438) | |||||||||||
| 37 | LME Nickel Futures | July 17, 2013 | 3,454,379 | 3,031,521 | (422,858) | |||||||||||
| 37 | LME Nickel Futures | July 19, 2013 | 3,393,329 | 3,031,838 | (361,491) | |||||||||||
| 38 | LME Nickel Futures | July 22, 2013 | 3,477,061 | 3,114,268 | (362,793) | |||||||||||
| 17 | LME Nickel Futures | July 23, 2013 | 1,545,327 | 1,393,298 | (152,029) | |||||||||||
| 19 | LME Nickel Futures | July 24, 2013 | 1,743,888 | 1,557,297 | (186,591) | |||||||||||
| 14 | LME Nickel Futures | July 29, 2013 | 1,287,994 | 1,147,781 | (140,213) | |||||||||||
| 16 | LME Nickel Futures | August 2, 2013 | 1,426,022 | 1,312,025 | (113,997) | |||||||||||
| 25 | LME Nickel Futures | September 5, 2013 | 2,307,095 | 2,053,875 | (253,220) | |||||||||||
| 17 | LME Nickel Futures | September 6, 2013 | 1,544,185 | 1,396,722 | (147,463) | |||||||||||
| 42 | LME Nickel Futures | September 16, 2013 | 3,844,220 | 3,453,282 | (390,938) | |||||||||||
| 94 | LME Zinc Futures | July 2, 2013 | 4,404,050 | 4,279,350 | (124,700) | |||||||||||
| 76 | LME Zinc Futures | July 3, 2013 | 3,532,222 | 3,460,793 | (71,429) | |||||||||||
| 187 | LME Zinc Futures | July 5, 2013 | 8,814,324 | 8,519,720 | (294,604) | |||||||||||
| 38 | LME Zinc Futures | July 8, 2013 | 1,803,161 | 1,732,610 | (70,551) | |||||||||||
| 56 | LME Zinc Futures | July 11, 2013 | 2,646,090 | 2,555,280 | (90,810) | |||||||||||
| 13 | LME Zinc Futures | July 12, 2013 | 609,721 | 593,343 | (16,378) | |||||||||||
| 106 | LME Zinc Futures | July 16, 2013 | 5,040,470 | 4,842,955 | (197,515) | |||||||||||
| 152 | LME Zinc Futures | August 2, 2013 | 7,046,004 | 6,971,594 | (74,410) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 3 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: (continued) | ||||||||||||||||
| 79 | LME Zinc Futures | August 7, 2013 | $3,723,528 | $3,627,482 | $(96,046) | |||||||||||
| 70 | LME Zinc Futures | August 8, 2013 | 3,326,242 | 3,214,942 | (111,300) | |||||||||||
| 82 | LME Zinc Futures | August 9, 2013 | 3,866,494 | 3,766,937 | (99,557) | |||||||||||
| 86 | LME Zinc Futures | August 30, 2013 | 4,104,100 | 3,969,330 | (134,770) | |||||||||||
| 73 | LME Zinc Futures | September 3, 2013 | 3,547,148 | 3,372,308 | (174,840) | |||||||||||
| 102 | LME Zinc Futures | September 5, 2013 | 4,998,246 | 4,714,083 | (284,163) | |||||||||||
| 226 | LME Zinc Futures | September 6, 2013 | 10,976,026 | 10,447,246 | (528,780) | |||||||||||
| 37 | LME Zinc Futures | September 10, 2013 | 1,739,916 | 1,711,906 | (28,010) | |||||||||||
| 524 | LME Zinc Futures | September 16, 2013 | 25,374,328 | 24,287,400 | (1,086,928) | |||||||||||
| 15 | LME Zinc Futures | September 20, 2013 | 690,024 | 695,141 | 5,117 | |||||||||||
| 21 | LME Zinc Futures | September 25, 2013 | 967,609 | 972,978 | 5,369 | |||||||||||
| 199 | Natural Gas Swap Futures | July 29, 2013 | 1,866,123 | 1,773,588 | (92,535) | |||||||||||
| 37 | Soybean Futures | November 14, 2013 | 2,396,108 | 2,316,200 | (79,908) | |||||||||||
| 1,365 | Soybean Meal Futures | December 13, 2013 | 53,471,809 | 51,051,000 | (2,420,809) | |||||||||||
| 359 | Amsterdam Index Futures | July 19, 2013 | 32,795,957 | 32,224,480 | (571,477) | |||||||||||
| 1,078 | CAC40 10 Euro Futures | July 19, 2013 | 53,728,686 | 52,401,708 | (1,326,978) | |||||||||||
| 170 | DAX Index Futures | September 20, 2013 | 45,420,722 | 44,070,777 | (1,349,945) | |||||||||||
| 1,133 | DJIA Mini E-CBOT Futures | September 20, 2013 | 85,851,303 | 83,977,960 | (1,873,343) | |||||||||||
| 726 | E-Mini Russell 2000 Futures | September 20, 2013 | 71,616,864 | 70,763,220 | (853,644) | |||||||||||
| 351 | FTSE/JSE Top 40 Index Futures | September 19, 2013 | 12,248,558 | 12,358,617 | 110,059 | |||||||||||
| 645 | FTSE/MIB Index Futures | September 20, 2013 | 67,809,106 | 64,067,147 | (3,741,959) | |||||||||||
| 5 | Hang Seng Index Futures | July 30, 2013 | 643,184 | 668,156 | 24,972 | |||||||||||
| 243 | IBEX 35 Index Futures | July 19, 2013 | 25,536,937 | 24,256,803 | (1,280,134) | |||||||||||
| 143 | MSCI Singapore Index Futures | July 30, 2013 | 7,859,667 | 7,974,154 | 114,487 | |||||||||||
| 1,370 | NASDAQ 100 E-Mini Futures | September 20, 2013 | 81,403,796 | 79,494,250 | (1,909,546) | |||||||||||
| 959 | S&P 500 E-Mini Futures | September 20, 2013 | 78,407,233 | 76,686,435 | (1,720,798) | |||||||||||
| 411 | S&P MID 400 E-Mini Futures | September 20, 2013 | 48,503,981 | 47,589,690 | (914,291) | |||||||||||
| 62 | S&P/Toronto Stock Exchange 60 Index Futures | September 19, 2013 | 8,296,942 | 8,168,413 | (128,529) | |||||||||||
| 2,190 | SGX S&P CNX Nifty Index Futures | July 25, 2013 | 24,586,794 | 25,522,260 | 935,466 | |||||||||||
| 146 | SPI 200 Index Futures | September 19, 2013 | 16,017,856 | 15,919,434 | (98,422) | |||||||||||
| 359 | TOPIX Index Futures | September 12, 2013 | 39,652,494 | 40,938,596 | 1,286,102 | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| 1,169,749,895 | 1,131,529,079 | (38,220,816) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
| Short Contracts: | ||||||||||||||||
| 1,259 | Coffee ‘C’ Futures | September 18, 2013 | (60,654,484) | (56,843,850) | 3,810,634 | |||||||||||
| 27 | Globex Heat Oil Futures | July 30, 2013 | (3,243,307) | (3,241,879) | 1,428 | |||||||||||
| 258 | ICE Euro Gasoil Futures | July 10, 2013 | (22,175,100) | (22,787,850) | (612,750) | |||||||||||
| 123 | LME Aluminum Futures | July 2, 2013 | (5,837,366) | (5,318,982) | 518,384 | |||||||||||
| 20 | LME Aluminum Futures | July 3, 2013 | (936,127) | (865,125) | 71,002 | |||||||||||
| 55 | LME Aluminum Futures | July 12, 2013 | (2,605,606) | (2,385,281) | 220,325 | |||||||||||
| 285 | LME Aluminum Futures | August 2, 2013 | (13,073,919) | (12,435,690) | 638,229 | |||||||||||
| 91 | LME Aluminum Futures | September 16, 2013 | (4,036,842) | (4,025,044) | 11,798 | |||||||||||
| 91 | LME Aluminum Futures | September 27, 2013 | (4,030,985) | (4,033,575) | (2,590) | |||||||||||
| 45 | LME Copper Futures | July 2, 2013 | (8,407,878) | (7,572,375) | 835,503 | |||||||||||
| 74 | LME Copper Futures | July 3, 2013 | (13,720,562) | (12,453,423) | 1,267,139 | |||||||||||
| 7 | LME Copper Futures | July 5, 2013 | (1,299,769) | (1,178,231) | 121,538 | |||||||||||
| 31 | LME Copper Futures | July 9, 2013 | (5,840,009) | (5,219,369) | 620,640 | |||||||||||
| 139 | LME Copper Futures | August 2, 2013 | (24,178,641) | (23,430,708) | 747,933 | |||||||||||
| 47 | LME Copper Futures | August 21, 2013 | (8,678,475) | (7,929,194) | 749,281 | |||||||||||
| 19 | LME Copper Futures | August 22, 2013 | (3,541,807) | (3,205,419) | 336,388 | |||||||||||
| 70 | LME Copper Futures | August 23, 2013 | (12,824,938) | (11,809,437) | 1,015,501 | |||||||||||
| 19 | LME Copper Futures | August 30, 2013 | (3,453,457) | (3,205,894) | 247,563 | |||||||||||
| 14 | LME Copper Futures | September 4, 2013 | (2,583,678) | (2,362,458) | 221,220 | |||||||||||
| 34 | LME Copper Futures | September 5, 2013 | (6,338,396) | (5,737,500) | 600,896 | |||||||||||
| 6 | LME Copper Futures | September 6, 2013 | (1,102,490) | (1,012,519) | 89,971 | |||||||||||
| 23 | LME Copper Futures | September 12, 2013 | (4,073,621) | (3,881,756) | 191,865 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 4 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts: (continued) | ||||||||||||||||
| 66 | LME Copper Futures | September 13, 2013 | $(11,735,489) | $(11,139,150) | $596,339 | |||||||||||
| 708 | LME Copper Futures | September 16, 2013 | (128,649,939) | (119,492,700) | 9,157,239 | |||||||||||
| 19 | LME Copper Futures | September 17, 2013 | (3,394,996) | (3,206,725) | 188,271 | |||||||||||
| 44 | LME Copper Futures | September 19, 2013 | (7,720,317) | (7,425,550) | 294,767 | |||||||||||
| 104 | LME Copper Futures | September 20, 2013 | (17,771,309) | (17,551,092) | 220,217 | |||||||||||
| 12 | LME Nickel Futures | July 9, 2013 | (1,166,135) | (982,735) | 183,400 | |||||||||||
| 36 | LME Nickel Futures | July 11, 2013 | (3,469,667) | (2,948,551) | 521,116 | |||||||||||
| 48 | LME Nickel Futures | July 12, 2013 | (4,659,796) | (3,931,632) | 728,164 | |||||||||||
| 70 | LME Nickel Futures | July 16, 2013 | (6,530,936) | (5,734,974) | 795,962 | |||||||||||
| 37 | LME Nickel Futures | July 17, 2013 | (3,471,755) | (3,031,521) | 440,234 | |||||||||||
| 37 | LME Nickel Futures | July 19, 2013 | (3,431,694) | (3,031,838) | 399,856 | |||||||||||
| 38 | LME Nickel Futures | July 22, 2013 | (3,447,045) | (3,114,268) | 332,777 | |||||||||||
| 17 | LME Nickel Futures | July 23, 2013 | (1,549,812) | (1,393,299) | 156,513 | |||||||||||
| 19 | LME Nickel Futures | July 24, 2013 | (1,739,476) | (1,557,297) | 182,179 | |||||||||||
| 14 | LME Nickel Futures | July 29, 2013 | (1,281,310) | (1,147,781) | 133,529 | |||||||||||
| 16 | LME Nickel Futures | August 2, 2013 | (1,426,534) | (1,312,025) | 114,509 | |||||||||||
| 25 | LME Nickel Futures | September 5, 2013 | (2,306,960) | (2,053,875) | 253,085 | |||||||||||
| 17 | LME Nickel Futures | September 6, 2013 | (1,534,053) | (1,396,722) | 137,331 | |||||||||||
| 574 | LME Nickel Futures | September 16, 2013 | (52,996,154) | (47,194,854) | 5,801,300 | |||||||||||
| 94 | LME Zinc Futures | July 2, 2013 | (4,441,519) | (4,279,350) | 162,169 | |||||||||||
| 76 | LME Zinc Futures | July 3, 2013 | (3,526,909) | (3,460,793) | 66,116 | |||||||||||
| 187 | LME Zinc Futures | July 5, 2013 | (8,771,987) | (8,519,720) | 252,267 | |||||||||||
| 38 | LME Zinc Futures | July 8, 2013 | (1,805,234) | (1,732,610) | 72,624 | |||||||||||
| 56 | LME Zinc Futures | July 11, 2013 | (2,664,110) | (2,555,280) | 108,830 | |||||||||||
| 13 | LME Zinc Futures | July 12, 2013 | (617,015) | (593,343) | 23,672 | |||||||||||
| 106 | LME Zinc Futures | July 16, 2013 | (4,982,090) | (4,842,954) | 139,136 | |||||||||||
| 152 | LME Zinc Futures | August 2, 2013 | (7,058,969) | (6,971,594) | 87,375 | |||||||||||
| 79 | LME Zinc Futures | August 7, 2013 | (3,712,874) | (3,627,483) | 85,391 | |||||||||||
| 70 | LME Zinc Futures | August 8, 2013 | (3,335,388) | (3,214,942) | 120,446 | |||||||||||
| 82 | LME Zinc Futures | August 9, 2013 | (3,849,014) | (3,766,937) | 82,077 | |||||||||||
| 86 | LME Zinc Futures | August 30, 2013 | (4,114,962) | (3,969,330) | 145,632 | |||||||||||
| 73 | LME Zinc Futures | September 3, 2013 | (3,547,683) | (3,372,308) | 175,375 | |||||||||||
| 102 | LME Zinc Futures | September 5, 2013 | (5,009,312) | (4,714,083) | 295,229 | |||||||||||
| 226 | LME Zinc Futures | September 6, 2013 | (10,896,388) | (10,447,245) | 449,143 | |||||||||||
| 37 | LME Zinc Futures | September 10, 2013 | (1,741,716) | (1,711,907) | 29,809 | |||||||||||
| 1,154 | LME Zinc Futures | September 16, 2013 | (56,569,026) | (53,487,900) | 3,081,126 | |||||||||||
| 15 | LME Zinc Futures | September 20, 2013 | (689,218) | (695,141) | (5,923) | |||||||||||
| 21 | LME Zinc Futures | September 25, 2013 | (963,262) | (972,977) | (9,715) | |||||||||||
| 527 | Silver Futures | September 26, 2013 | (52,198,155) | (51,303,450) | 894,705 | |||||||||||
| 2,272 | Soybean Oil Futures | December 13, 2013 | (63,890,059) | (61,507,584) | 2,382,475 | |||||||||||
| 7,859 | Sugar #11 (World Markets) Futures | September 30, 2013 | (146,347,288) | (148,931,193) | (2,583,905) | |||||||||||
| 2,378 | Wheat Futures | September 13, 2013 | (81,301,667) | (78,206,475) | 3,095,192 | |||||||||||
| 86 | FTSE 100 Index Futures | September 20, 2013 | (8,059,401) | (8,059,346) | 55 | |||||||||||
| 431 | H-SHARES Index Futures | July 30, 2013 | (24,948,321) | (25,684,233) | (735,912) | |||||||||||
| 162 | KOSPI Index 200 Futures | September 12, 2013 | (17,591,850) | (17,163,872) | 427,978 | |||||||||||
| 604 | 3-Month Euro Euribor Futures | December 16, 2013 | (195,707,581) | (195,880,882) | (173,301) | |||||||||||
| 748 | 3-Month Euro Euribor Futures | March 17, 2014 | (242,158,645) | (242,398,403) | (239,758) | |||||||||||
| 881 | 3-Month Euro Euribor Futures | June 16, 2014 | (285,017,990) | (285,312,307) | (294,317) | |||||||||||
| 888 | 3-Month Euro Euribor Futures | September 15, 2014 | (287,031,773) | (287,391,432) | (359,659) | |||||||||||
| 904 | 3-Month Euro Euribor Futures | December 15, 2014 | (291,928,508) | (292,349,026) | (420,518) | |||||||||||
| 906 | 3-Month Euro Euribor Futures | March 16, 2015 | (292,332,278) | (292,759,958) | (427,680) | |||||||||||
| 849 | 3-Month Euro Euribor Futures | June 15, 2015 | (273,645,780) | (274,092,637) | (446,857) | |||||||||||
| 273 | 90-Day EURODollar Futures | December 16, 2013 | (67,983,399) | (67,994,063) | (10,664) | |||||||||||
| 760 | 90-Day EURODollar Futures | March 17, 2014 | (189,109,852) | (189,183,000) | (73,148) | |||||||||||
| 1,046 | 90-Day EURODollar Futures | June 16, 2014 | (260,062,996) | (260,218,649) | (155,653) | |||||||||||
| 1,378 | 90-Day EURODollar Futures | September 15, 2014 | (342,300,058) | (342,553,575) | (253,517) | |||||||||||
| 1,808 | 90-Day EURODollar Futures | December 15, 2014 | (448,796,444) | (448,949,000) | (152,556) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 5 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts: (continued) | ||||||||||||||||
| 2,063 | 90-Day EURODollar Futures | March 16, 2015 | $(511,451,283) | $(511,495,063) | $(43,780) | |||||||||||
| 2,011 | 90-Day EURODollar Futures | June 15, 2015 | (498,018,061) | (497,647,088) | 370,973 | |||||||||||
| 2,054 | 90-Day GBP LIBOR Futures | December 18, 2013 | (388,140,352) | (388,082,782) | 57,570 | |||||||||||
| 2,320 | 90-Day Sterling Futures | March 19, 2014 | (438,383,037) | (438,076,180) | 306,857 | |||||||||||
| 2,581 | 90-Day Sterling Futures | June 18, 2014 | (487,511,961) | (487,114,402) | 397,559 | |||||||||||
| 2,584 | 90-Day Sterling Futures | September 17, 2014 | (487,804,223) | (487,385,834) | 418,389 | |||||||||||
| 2,428 | 90-Day Sterling Futures | December 17, 2014 | (457,951,427) | (457,638,486) | 312,941 | |||||||||||
| 2,315 | 90-Day Sterling Futures | March 18, 2015 | (436,171,787) | (435,943,713) | 228,074 | |||||||||||
| 2,256 | 90-Day Sterling Futures | June 17, 2015 | (424,680,088) | (424,340,024) | 340,064 | |||||||||||
| 1,406 | Australia 10-Year Bond Futures | September 16, 2013 | (152,260,235) | (152,232,648) | 27,587 | |||||||||||
| 3,937 | Australia 3-Year Bond Futures | September 16, 2013 | (392,392,451) | (393,208,624) | (816,173) | |||||||||||
| 1,771 | Canadian 10-Year Bond Futures | September 19, 2013 | (226,969,057) | (221,286,593) | 5,682,464 | |||||||||||
| 1,266 | Canadian 3-Month Bank Acceptance Futures | December 16, 2013 | (296,940,176) | (296,968,908) | (28,732) | |||||||||||
| 1,505 | Canadian 3-Month Bank Acceptance Futures | March 17, 2014 | (352,863,942) | (352,674,004) | 189,938 | |||||||||||
| 1,589 | Euro - Bobl Futures | September 6, 2013 | (259,145,968) | (258,953,894) | 192,074 | |||||||||||
| 913 | Euro - Bund Futures | September 6, 2013 | (168,479,437) | (168,183,280) | 296,157 | |||||||||||
| 4,350 | Euro - SCHATZ Futures | September 6, 2013 | (625,534,887) | (624,849,595) | 685,292 | |||||||||||
| 2,217 | Euro CHF 3-Month LIFFE Futures | December 16, 2013 | (586,680,831) | (586,611,323) | 69,508 | |||||||||||
| 2,032 | Euro CHF 3-Month LIFFE Futures | March 17, 2014 | (537,587,977) | (537,553,332) | 34,645 | |||||||||||
| 1,005 | Euro-Buxl 30-Year Bond Futures | September 6, 2013 | (170,103,357) | (168,150,660) | 1,952,697 | |||||||||||
| 1,140 | Long Gilt Futures | September 26, 2013 | (198,941,685) | (194,021,505) | 4,920,180 | |||||||||||
| 157 | Mini Japanese 10-Year Treasury Bond | September 10, 2013 | (225,759,601) | (225,891,309) | (131,708) | |||||||||||
| 1,312 | U.S. Long Bond Futures | September 19, 2013 | (183,471,659) | (178,227,000) | 5,244,659 | |||||||||||
| 2,141 | U.S. Treasury 10-Year Note Futures | September 19, 2013 | (274,670,621) | (270,970,313) | 3,700,308 | |||||||||||
| 3,194 | U.S. Treasury 5-Year Note Futures | September 30, 2013 | (389,950,418) | (386,623,719) | 3,326,699 | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| (13,341,494,076) | (13,275,587,409) | 65,906,667 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
| $(12,171,744,181) | $(12,144,058,330) | $27,685,851 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
Cash held as collateral with broker for futures contracts was $182,563,087 at June 30, 2013.
Forward foreign currency exchange contracts outstanding as of June 30, 2013:
Over the Counter
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | AUD | 153,251,000 | $142,485,916 | $139,340,241 | $(3,145,675) | ||||||||||||||
| Brazilian Real, Expiring 09/18/13* |
The Royal Bank of Scotland | BRL | 21,000,000 | 9,175,354 | 9,259,835 | 84,481 | ||||||||||||||
| Canadian Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | CAD | 198,751,000 | 192,264,017 | 188,616,295 | (3,647,722) | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 6 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Swiss Franc, Expiring 09/18/13 |
The Royal Bank of Scotland | CHF | 1,012,000 | $1,060,719 | $1,072,178 | $11,459 | ||||||||||||||
| Chilean Peso, Expiring 09/23/13* |
The Royal Bank of Scotland | CLP | 13,352,000,000 | 26,274,776 | 25,932,014 | (342,762) | ||||||||||||||
| Columbian Peso, Expiring 09/18/13* |
The Royal Bank of Scotland | COP | 9,970,000,000 | 5,204,556 | 5,147,052 | (57,504) | ||||||||||||||
| Czech Republic Koruna, Expiring 09/18/13 |
The Royal Bank of Scotland | CZK | 3,380,000,000 | 173,900,348 | 169,189,307 | (4,711,041) | ||||||||||||||
| Euro, Expiring 09/18/13 |
The Royal Bank of Scotland | EUR | 1,553,304,974 | 2,040,339,322 | 2,022,570,810 | (17,768,512) | ||||||||||||||
| British Pound, Expiring 09/18/13 |
The Royal Bank of Scotland | GBP | 265,871,000 | 409,337,115 | 404,162,995 | (5,174,120) | ||||||||||||||
| Hungarian Forint, Expiring 09/18/13 |
The Royal Bank of Scotland | HUF | 26,526,000,000 | 116,714,666 | 116,143,056 | (571,610) | ||||||||||||||
| Indonesian Rupiah, Expiring 09/18/13* |
The Royal Bank of Scotland | IDR | 136,900,000,000 | 13,504,982 | 13,652,216 | 147,234 | ||||||||||||||
| Israeli Shekel, Expiring 09/18/13 |
The Royal Bank of Scotland | ILS | 388,610,000 | 106,961,385 | 106,643,225 | (318,160) | ||||||||||||||
| Indian Rupee, Expiring 09/18/13* |
The Royal Bank of Scotland | INR | 6,852,400,000 | 118,861,925 | 113,744,687 | (5,117,238) | ||||||||||||||
| Japanese Yen, Expiring 09/18/13 |
The Royal Bank of Scotland | JPY | 100,287,117,000 | 1,028,802,965 | 1,011,538,684 | (17,264,281) | ||||||||||||||
| Korean Won, Expiring 09/23/13* |
The Royal Bank of Scotland | KRW | 187,833,720,000 | 166,385,131 | 163,849,232 | (2,535,899) | ||||||||||||||
| Mexican Peso, Expiring 09/18/13 |
The Royal Bank of Scotland | MXN | 1,767,000,000 | 136,786,235 | 135,403,547 | (1,382,688) | ||||||||||||||
| Malaysian Ringgit, Expiring 09/18/13* |
The Royal Bank of Scotland | MYR | 179,690,000 | 57,161,128 | 56,579,641 | (581,487) | ||||||||||||||
| Norwegian Krone, Expiring 09/18/13 |
The Royal Bank of Scotland | NOK | 1,171,021,000 | 200,435,519 | 192,234,386 | (8,201,133) | ||||||||||||||
| New Zealand Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | NZD | 858,890,000 | 682,551,971 | 661,824,463 | (20,727,508) | ||||||||||||||
| Philippine Peso, Expiring 09/18/13* |
The Royal Bank of Scotland | PHP | 724,500,000 | 17,148,450 | 16,753,963 | (394,487) | ||||||||||||||
| Poland Zloty, Expiring 09/18/13 |
The Royal Bank of Scotland | PLN | 518,510,000 | 159,527,984 | 155,284,469 | (4,243,515) | ||||||||||||||
| Russian Ruble, Expiring 09/18/13* |
The Royal Bank of Scotland | RUB | 5,038,200,000 | 153,498,393 | 151,197,108 | (2,301,285) | ||||||||||||||
| Swedish Krona, Expiring 09/18/13 |
The Royal Bank of Scotland | SEK | 1,686,050,000 | 257,857,951 | 250,971,540 | (6,886,411) | ||||||||||||||
| Singapore Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | SGD | 63,790,000 | 50,980,477 | 50,335,000 | (645,477) | ||||||||||||||
| Turkish Lira, Expiring 09/18/13 |
The Royal Bank of Scotland | TRY | 111,910,000 | 58,903,100 | 57,308,307 | (1,594,793) | ||||||||||||||
| Taiwanese Dollar, Expiring 09/18/13* |
The Royal Bank of Scotland | TWD | 990,000,000 | 32,953,793 | 33,060,613 | 106,820 | ||||||||||||||
| South African Rand, Expiring 09/18/13 |
The Royal Bank of Scotland | ZAR | 401,000,000 | 39,316,313 | 40,101,172 | 784,859 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $6,398,394,491 | $6,291,916,036 | $(106,478,455) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 7 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | AUD | (917,602,000) | $(871,986,146) | $(834,310,276) | $37,675,870 | ||||||||||||||
| Brazilian Real, Expiring 09/18/13* |
The Royal Bank of Scotland | BRL | (145,060,000) | (66,979,367) | (63,963,411) | 3,015,956 | ||||||||||||||
| Canadian Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | CAD | (635,068,000) | (609,595,071) | (602,684,628) | 6,910,443 | ||||||||||||||
| Swiss Franc, Expiring 09/18/13 |
The Royal Bank of Scotland | CHF | (2,536,000) | (2,693,151) | (2,686,803) | 6,348 | ||||||||||||||
| Chilean Peso, Expiring 09/23/13* |
The Royal Bank of Scotland | CLP | (9,900,000,000) | (19,450,652) | (19,227,601) | 223,051 | ||||||||||||||
| Columbian Peso, Expiring 09/18/13* |
The Royal Bank of Scotland | COP | (30,000,000,000) | (15,602,836) | (15,487,620) | 115,216 | ||||||||||||||
| Czech Republic Koruna, Expiring 09/18/13 |
The Royal Bank of Scotland | CZK | (3,709,832,000) | (188,746,697) | (185,699,382) | 3,047,315 | ||||||||||||||
| Euro, Expiring 09/18/13 |
The Royal Bank of Scotland | EUR | (80,163,000) | (105,817,436) | (104,380,881) | 1,436,555 | ||||||||||||||
| British Pound, Expiring 09/18/13 |
The Royal Bank of Scotland | GBP | (201,982,001) | (309,872,704) | (307,042,326) | 2,830,378 | ||||||||||||||
| Hungarian Forint, Expiring 09/18/13 |
The Royal Bank of Scotland | HUF | (8,200,000,000) | (35,687,644) | (35,903,380) | (215,736) | ||||||||||||||
| Indonesian Rupiah, Expiring 09/18/13* |
The Royal Bank of Scotland | IDR | (389,000,000,000) | (37,367,848) | (38,792,636) | (1,424,788) | ||||||||||||||
| Israeli Shekel, Expiring 09/18/13 |
The Royal Bank of Scotland | ILS | (146,000,000) | (40,177,332) | (40,065,646) | 111,686 | ||||||||||||||
| Indian Rupee, Expiring 09/18/13* |
The Royal Bank of Scotland | INR | (8,510,000,000) | (146,037,458) | (141,259,600) | 4,777,858 | ||||||||||||||
| Japanese Yen, Expiring 09/18/13 |
The Royal Bank of Scotland | JPY | (150,488,049,000) | (1,520,629,034) | (1,517,886,721) | 2,742,313 | ||||||||||||||
| Korean Won, Expiring 09/23/13* |
The Royal Bank of Scotland | KRW | (151,300,000,000) | (132,681,451) | (131,980,503) | 700,948 | ||||||||||||||
| Mexican Peso, Expiring 09/18/13 |
The Royal Bank of Scotland | MXN | (1,748,000,000) | (135,070,710) | (133,947,596) | 1,123,114 | ||||||||||||||
| Malaysian Ringgit, Expiring 09/18/13* |
The Royal Bank of Scotland | MYR | (182,000,000) | (56,606,147) | (57,306,998) | (700,851) | ||||||||||||||
| Norwegian Krone, Expiring 09/18/13 |
The Royal Bank of Scotland | NOK | (2,587,347,000) | (432,809,723) | (424,737,952) | 8,071,771 | ||||||||||||||
| New Zealand Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | NZD | (695,598,000) | (547,956,359) | (535,998,527) | 11,957,832 | ||||||||||||||
| Philippine Peso, Expiring 09/18/13* |
The Royal Bank of Scotland | PHP | (2,240,000,000) | (52,439,124) | (51,799,692) | 639,432 | ||||||||||||||
| Poland Zloty, Expiring 09/18/13 |
The Royal Bank of Scotland | PLN | (423,000,000) | (127,764,211) | (126,680,934) | 1,083,277 | ||||||||||||||
| Russian Ruble, Expiring 09/18/13* |
The Royal Bank of Scotland | RUB | (5,060,000,000) | (154,791,054) | (151,851,328) | 2,939,726 | ||||||||||||||
| Swedish Krona, Expiring 09/18/13 |
The Royal Bank of Scotland | SEK | (2,138,148,000) | (319,984,042) | (318,267,131) | 1,716,911 | ||||||||||||||
| Singapore Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | SGD | (125,700,000) | (99,535,848) | (99,186,544) | 349,304 | ||||||||||||||
| Turkish Lira, Expiring 09/18/13 |
The Royal Bank of Scotland | TRY | (264,000,000) | (138,301,550) | (135,192,503) | 3,109,047 | ||||||||||||||
| Taiwanese Dollar, Expiring 09/18/13* |
The Royal Bank of Scotland | TWD | (4,243,700,000) | (142,330,640) | (141,716,490) | 614,150 | ||||||||||||||
| South African Rand, Expiring 09/18/13 |
The Royal Bank of Scotland | ZAR | (1,580,600,000) | (156,599,131) | (158,064,620) | (1,465,489) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (6,467,513,366) | (6,376,121,729) | 91,391,637 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(69,118,875) | $(84,205,693) | $(15,086,818) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 8 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND |
Money Market Fund is pledged as collateral for total return swap and forward foreign currency exchange contracts in the amount of $49,570,000.
| * | Non deliverable forward. See Note 3 in the Notes to Schedule of Investments. |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Columbian Peso
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Poland Zloty
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwan Dollar
ZAR - South African Rand
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwan Dollar
ZAR - South African Rand
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 9 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
Total return swap contracts outstanding as of June 30, 2013:
Over the Counter
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Barclays Capital | Cocoa Futures | 9/13/2013 | USD | 434,960 | $(23,793) | |||||||||||
| Barclays Capital | Cocoa Futures | 9/13/2013 | USD | (92,120) | 1,190 | |||||||||||
| Barclays Capital | Coffee ‘C’ Futures | 9/18/2013 | USD | 2,293,219 | (171,107) | |||||||||||
| Barclays Capital | Coffee ‘C’ Futures | 9/18/2013 | USD | (785,100) | 1,330 | |||||||||||
| Barclays Capital | Corn Futures | 9/13/2013 | USD | 3,350,275 | (258,192) | |||||||||||
| Barclays Capital | Corn Futures | 9/13/2013 | USD | (380,387) | 31,673 | |||||||||||
| Deutsche Bank | Corn Futures | 9/13/2013 | USD | 29,987 | (2,625) | |||||||||||
| Barclays Capital | Cotton No. 2 Futures | 12/6/2013 | USD | 720,340 | (6,248) | |||||||||||
| Barclays Capital | Cotton No. 2 Futures | 12/6/2013 | USD | (168,880) | 3,561 | |||||||||||
| Barclays Capital | Gold 100 OZ Futures | 8/28/2013 | USD | 9,398,845 | (876,106) | |||||||||||
| Barclays Capital | Gold 100 OZ Futures | 8/28/2013 | USD | (2,391,475) | 63,044 | |||||||||||
| Barclays Capital | Lean Hogs Futures | 7/15/2013 | USD | 373,711 | 21,297 | |||||||||||
| Barclays Capital | Lean Hogs Futures | 7/15/2013 | USD | (373,711) | (31,605) | |||||||||||
| Barclays Capital | Lean Hogs Futures | 8/14/2013 | USD | 354,764 | (3,944) | |||||||||||
| Deutsche Bank | Lean Hogs Futures | 8/14/2013 | USD | (1,131,290) | 870 | |||||||||||
| Barclays Capital | Live Cattle Futures | 8/30/2013 | USD | 4,542,766 | 45,030 | |||||||||||
| Barclays Capital | Live Cattle Futures | 8/30/2013 | USD | (1,115,028) | (17,145) | |||||||||||
| Deutsche Bank | Live Cattle Futures | 8/30/2013 | USD | 532,400 | 4,510 | |||||||||||
| Barclays Capital | LME Aluminum Futures | 9/16/2013 | USD | (7,224,631) | 589,944 | |||||||||||
| Barclays Capital | LME Aluminum Futures | 9/16/2013 | USD | 7,337,738 | (703,050) | |||||||||||
| Barclays Capital | LME Aluminum Futures | 12/16/2013 | USD | (594,650) | 6,806 | |||||||||||
| Barclays Capital | LME Aluminum Futures | 12/16/2013 | USD | 4,210,700 | (321,888) | |||||||||||
| Barclays Capital | LME Copper Futures | 9/16/2013 | USD | (15,592,175) | 1,246,300 | |||||||||||
| Barclays Capital | LME Copper Futures | 9/16/2013 | USD | 16,178,250 | (1,832,375) | |||||||||||
| Barclays Capital | LME Copper Futures | 12/16/2013 | USD | (2,063,550) | 34,650 | |||||||||||
| Barclays Capital | LME Copper Futures | 12/16/2013 | USD | 6,474,488 | (387,788) | |||||||||||
| Barclays Capital | LME Lead Futures | 9/16/2013 | USD | (1,784,175) | 41,463 | |||||||||||
| Barclays Capital | LME Lead Futures | 9/16/2013 | USD | 1,880,500 | (137,788) | |||||||||||
| Barclays Capital | LME Lead Futures | 12/16/2013 | USD | (50,900) | (688) | |||||||||||
| Barclays Capital | LME Lead Futures | 12/16/2013 | USD | 758,275 | (36,050) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 10 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Barclays Capital | LME Nickel Futures | 9/16/2013 | USD | (2,203,476) | $230,172 | |||||||||||
| Barclays Capital | LME Nickel Futures | 9/16/2013 | USD | 2,385,384 | (412,080) | |||||||||||
| Barclays Capital | LME Nickel Futures | 12/16/2013 | USD | (348,540) | 18,108 | |||||||||||
| Barclays Capital | LME Nickel Futures | 12/16/2013 | USD | 1,264,200 | (107,688) | |||||||||||
| Barclays Capital | LME Zinc Futures | 9/16/2013 | USD | (3,459,675) | 76,125 | |||||||||||
| Barclays Capital | LME Zinc Futures | 9/16/2013 | USD | 3,663,438 | (279,887) | |||||||||||
| Barclays Capital | LME Zinc Futures | 12/16/2013 | USD | (281,025) | (300) | |||||||||||
| Barclays Capital | LME Zinc Futures | 12/16/2013 | USD | 2,250,963 | (47,250) | |||||||||||
| Barclays Capital | Silver Futures | 9/26/2013 | USD | 2,248,860 | (107,106) | |||||||||||
| Barclays Capital | Silver Futures | 9/26/2013 | USD | (217,160) | 4,098 | |||||||||||
| Barclays Capital | Soybean Futures | 11/14/2013 | USD | 3,464,477 | 101,860 | |||||||||||
| Barclays Capital | Soybean Futures | 11/14/2013 | USD | (361,163) | (13,517) | |||||||||||
| Barclays Capital | Soybean Futures | 1/14/2014 | USD | (1,346,238) | 26,634 | |||||||||||
| Barclays Capital | Soybean Futures | 1/14/2014 | USD | 65,700 | (1,959) | |||||||||||
| Deutsche Bank | Soybean Futures | 11/14/2013 | USD | 181,800 | 6,000 | |||||||||||
| Barclays Capital | Soybean Meal Futures | 12/13/2013 | USD | 2,215,728 | (51,483) | |||||||||||
| Barclays Capital | Soybean Meal Futures | 12/13/2013 | USD | (618,782) | (26,248) | |||||||||||
| Deutsche Bank | Soybean Meal Futures | 12/13/2013 | USD | 78,945 | (4,145) | |||||||||||
| Barclays Capital | Soybean Oil Futures | 12/13/2013 | USD | 3,276,363 | (47,700) | |||||||||||
| Barclays Capital | Soybean Oil Futures | 12/13/2013 | USD | (2,621,625) | 12,656 | |||||||||||
| Deutsche Bank | Soybean Oil Futures | 12/13/2013 | USD | 199,206 | (9,702) | |||||||||||
| Barclays Capital | Sugar #11 (World Markets) Futures | 9/30/2013 | USD | (1,220,856) | (10,805) | |||||||||||
| Barclays Capital | Sugar #11 (World Markets) Futures | 9/30/2013 | USD | 3,360,168 | 31,933 | |||||||||||
| Barclays Capital | Wheat Futures | 12/13/2013 | USD | 609,120 | (37,153) | |||||||||||
| Barclays Capital | Wheat Futures | 12/13/2013 | USD | (251,300) | 16,254 | |||||||||||
| Barclays Capital | Wheat Futures | 9/13/2013 | USD | 2,510,546 | (208,422) | |||||||||||
| Deutsche Bank | Wheat Futures | 9/13/2013 | USD | 181,750 | (17,312) | |||||||||||
|
|
|
|||||||||||||||
| $(3,577,641) | ||||||||||||||||
|
|
|
|||||||||||||||
Money Market Fund is pledged as collateral to brokers for total return swap contracts in the amount of $7,261,375.
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 31 | Cocoa Futures | September 13, 2013 | $715,721 | $670,840 | $(44,881) | |||||||||||
| 9 | Corn Futures | September 13, 2013 | 257,378 | 246,263 | (11,115) | |||||||||||
| 22 | Gas Oil Futures | September 12, 2013 | 1,918,992 | 1,922,800 | 3,808 | |||||||||||
| 38 | Globex Brent FCL Futures | September 12, 2013 | 3,862,700 | 3,847,880 | (14,820) | |||||||||||
| 13 | Globex Heat Oil Futures | August 29, 2013 | 1,587,113 | 1,563,362 | (23,751) | |||||||||||
| 12 | Globex RBOB Gas Futures | August 29, 2013 | 1,414,224 | 1,360,195 | (54,029) | |||||||||||
| 10 | Heating Oil Futures | August 30, 2013 | 1,219,126 | 1,202,586 | (16,540) | |||||||||||
| 17 | ICE Euro Gasoil Futures | September 11, 2013 | 1,476,960 | 1,485,800 | 8,840 | |||||||||||
| 36 | Lean Hogs Futures | August 14, 2013 | 1,412,626 | 1,403,280 | (9,346) | |||||||||||
| 59 | LME Aluminum Futures | July 16, 2013 | 2,795,282 | 2,561,706 | (233,576) | |||||||||||
| 8 | LME Aluminum Futures | July 18, 2013 | 376,013 | 347,552 | (28,461) | |||||||||||
| 3 | LME Aluminum Futures | July 19, 2013 | 142,130 | 130,370 | (11,760) | |||||||||||
| 23 | LME Aluminum Futures | July 29, 2013 | 1,083,912 | 1,002,420 | (81,492) | |||||||||||
| 9 | LME Aluminum Futures | August 2, 2013 | 412,890 | 392,706 | (20,184) | |||||||||||
| 7 | LME Aluminum Futures | August 9, 2013 | 332,182 | 306,059 | (26,123) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 11 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: (continued) | ||||||||||||||||
| 2 | LME Aluminum Futures | August 16, 2013 | $92,003 | $87,623 | $(4,380) | |||||||||||
| 10 | LME Aluminum Futures | September 6, 2013 | 489,401 | 440,785 | (48,616) | |||||||||||
| 66 | LME Aluminum Futures | September 16, 2013 | 3,171,419 | 2,919,262 | (252,157) | |||||||||||
| 9 | LME Aluminum Futures | September 20, 2013 | 405,240 | 398,268 | (6,972) | |||||||||||
| 2 | LME Aluminum Futures | September 27, 2013 | 88,503 | 88,650 | 147 | |||||||||||
| 31 | LME Aluminum Futures | December 16, 2013 | 1,491,651 | 1,401,781 | (89,870) | |||||||||||
| 2 | LME Copper Futures | August 23, 2013 | 364,594 | 337,413 | (27,181) | |||||||||||
| 1 | LME Copper Futures | August 30, 2013 | 181,827 | 168,732 | (13,095) | |||||||||||
| 1 | LME Copper Futures | September 13, 2013 | 177,002 | 168,775 | (8,227) | |||||||||||
| 3 | LME Copper Futures | September 16, 2013 | 563,680 | 506,325 | (57,355) | |||||||||||
| 2 | LME Copper Futures | December 16, 2013 | 355,736 | 338,150 | (17,586) | |||||||||||
| 5 | LME Lead Futures | July 5, 2013 | 257,449 | 255,162 | (2,287) | |||||||||||
| 2 | LME Lead Futures | July 11, 2013 | 104,103 | 102,145 | (1,958) | |||||||||||
| 1 | LME Lead Futures | July 16, 2013 | 51,352 | 51,106 | (246) | |||||||||||
| 3 | LME Lead Futures | July 17, 2013 | 153,605 | 153,338 | (267) | |||||||||||
| 1 | LME Lead Futures | July 22, 2013 | 50,520 | 51,116 | 596 | |||||||||||
| 1 | LME Lead Futures | July 29, 2013 | 50,620 | 51,122 | 502 | |||||||||||
| 1 | LME Lead Futures | August 2, 2013 | 49,458 | 51,125 | 1,667 | |||||||||||
| 3 | LME Lead Futures | August 9, 2013 | 152,330 | 153,465 | 1,135 | |||||||||||
| 3 | LME Lead Futures | August 30, 2013 | 163,430 | 153,728 | (9,702) | |||||||||||
| 3 | LME Lead Futures | September 13, 2013 | 156,980 | 153,797 | (3,183) | |||||||||||
| 9 | LME Lead Futures | September 16, 2013 | 468,098 | 461,306 | (6,792) | |||||||||||
| 1 | LME Lead Futures | September 20, 2013 | 50,510 | 51,260 | 750 | |||||||||||
| 4 | LME Lead Futures | December 16, 2013 | 214,956 | 206,350 | (8,606) | |||||||||||
| 7 | LME Nickel Futures | July 5, 2013 | 676,767 | 573,127 | (103,640) | |||||||||||
| 8 | LME Nickel Futures | July 11, 2013 | 771,613 | 655,234 | (116,379) | |||||||||||
| 2 | LME Nickel Futures | July 17, 2013 | 186,783 | 163,866 | (22,917) | |||||||||||
| 1 | LME Nickel Futures | July 18, 2013 | 92,006 | 81,938 | (10,068) | |||||||||||
| 2 | LME Nickel Futures | July 22, 2013 | 183,003 | 163,909 | (19,094) | |||||||||||
| 1 | LME Nickel Futures | July 26, 2013 | 92,342 | 81,972 | (10,370) | |||||||||||
| 2 | LME Nickel Futures | August 9, 2013 | 184,803 | 164,063 | (20,740) | |||||||||||
| 18 | LME Nickel Futures | September 16, 2013 | 1,799,039 | 1,479,978 | (319,061) | |||||||||||
| 5 | LME Zinc Futures | July 5, 2013 | 235,853 | 227,800 | (8,053) | |||||||||||
| 7 | LME Zinc Futures | July 17, 2013 | 329,011 | 319,900 | (9,111) | |||||||||||
| 1 | LME Zinc Futures | July 18, 2013 | 46,452 | 45,711 | (741) | |||||||||||
| 3 | LME Zinc Futures | July 22, 2013 | 140,772 | 137,255 | (3,517) | |||||||||||
| 2 | LME Zinc Futures | July 26, 2013 | 95,954 | 91,587 | (4,367) | |||||||||||
| 9 | LME Zinc Futures | July 29, 2013 | 426,277 | 412,418 | (13,859) | |||||||||||
| 3 | LME Zinc Futures | August 2, 2013 | 138,817 | 137,597 | (1,220) | |||||||||||
| 3 | LME Zinc Futures | August 16, 2013 | 136,355 | 138,032 | 1,677 | |||||||||||
| 3 | LME Zinc Futures | August 23, 2013 | 139,880 | 138,249 | (1,631) | |||||||||||
| 42 | LME Zinc Futures | September 16, 2013 | 2,040,849 | 1,946,700 | (94,149) | |||||||||||
| 12 | LME Zinc Futures | December 16, 2013 | 563,801 | 562,650 | (1,151) | |||||||||||
| 201 | Natural Gas Swap Futures | August 28, 2013 | 1,937,022 | 1,788,397 | (148,625) | |||||||||||
| 47 | Wheat Futures | September 13, 2013 | 1,670,504 | 1,545,712 | (124,792) | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| 40,199,619 | 38,050,698 | (2,148,921) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
| Short Contracts: | ||||||||||||||||
| 7 | Crude Oil Financial Futures | August 19, 2013 | (665,270) | (675,080) | (9,810) | |||||||||||
| 59 | LME Aluminum Futures | July 16, 2013 | (2,799,454) | (2,561,706) | 237,748 | |||||||||||
| 8 | LME Aluminum Futures | July 18, 2013 | (376,518) | (347,552) | 28,966 | |||||||||||
| 3 | LME Aluminum Futures | July 19, 2013 | (143,383) | (130,370) | 13,013 | |||||||||||
| 23 | LME Aluminum Futures | July 29, 2013 | (1,082,645) | (1,002,421) | 80,224 | |||||||||||
| 9 | LME Aluminum Futures | August 2, 2013 | (412,684) | (392,706) | 19,978 | |||||||||||
| 7 | LME Aluminum Futures | August 9, 2013 | (332,139) | (306,060) | 26,079 | |||||||||||
| 2 | LME Aluminum Futures | August 16, 2013 | (91,966) | (87,623) | 4,343 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 12 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts: (continued) | ||||||||||||||||
| 10 | LME Aluminum Futures | September 6, 2013 | $(489,984) | $(440,785) | $49,199 | |||||||||||
| 66 | LME Aluminum Futures | September 16, 2013 | (3,107,473) | (2,919,262) | 188,211 | |||||||||||
| 9 | LME Aluminum Futures | September 20, 2013 | (404,406) | (398,268) | 6,138 | |||||||||||
| 2 | LME Aluminum Futures | September 27, 2013 | (88,766) | (88,650) | 116 | |||||||||||
| 11 | LME Aluminum Futures | December 16, 2013 | (503,567) | (497,406) | 6,161 | |||||||||||
| 2 | LME Copper Futures | August 23, 2013 | (365,897) | (337,413) | 28,484 | |||||||||||
| 1 | LME Copper Futures | August 30, 2013 | (182,998) | (168,731) | 14,267 | |||||||||||
| 1 | LME Copper Futures | September 13, 2013 | (177,209) | (168,775) | 8,434 | |||||||||||
| 3 | LME Copper Futures | September 16, 2013 | (548,070) | (506,325) | 41,745 | |||||||||||
| 2 | LME Copper Futures | December 16, 2013 | (360,183) | (338,150) | 22,033 | |||||||||||
| 5 | LME Lead Futures | July 5, 2013 | (257,267) | (255,163) | 2,104 | |||||||||||
| 2 | LME Lead Futures | July 11, 2013 | (104,284) | (102,145) | 2,139 | |||||||||||
| 1 | LME Lead Futures | July 16, 2013 | (51,255) | (51,106) | 149 | |||||||||||
| 3 | LME Lead Futures | July 17, 2013 | (153,158) | (153,338) | (180) | |||||||||||
| 1 | LME Lead Futures | July 22, 2013 | (50,373) | (51,116) | (743) | |||||||||||
| 1 | LME Lead Futures | July 29, 2013 | (50,898) | (51,122) | (224) | |||||||||||
| 1 | LME Lead Futures | August 2, 2013 | (49,823) | (51,125) | (1,302) | |||||||||||
| 3 | LME Lead Futures | August 9, 2013 | (152,602) | (153,465) | (863) | |||||||||||
| 3 | LME Lead Futures | August 30, 2013 | (163,720) | (153,728) | 9,992 | |||||||||||
| 3 | LME Lead Futures | September 13, 2013 | (157,914) | (153,797) | 4,117 | |||||||||||
| 9 | LME Lead Futures | September 16, 2013 | (462,947) | (461,306) | 1,641 | |||||||||||
| 1 | LME Lead Futures | September 20, 2013 | (50,623) | (51,260) | (637) | |||||||||||
| 3 | LME Lead Futures | December 16, 2013 | (157,870) | (154,762) | 3,108 | |||||||||||
| 7 | LME Nickel Futures | July 5, 2013 | (674,677) | (573,128) | 101,549 | |||||||||||
| 8 | LME Nickel Futures | July 11, 2013 | (771,479) | (655,233) | 116,246 | |||||||||||
| 2 | LME Nickel Futures | July 17, 2013 | (187,233) | (163,866) | 23,367 | |||||||||||
| 1 | LME Nickel Futures | July 18, 2013 | (91,624) | (81,937) | 9,687 | |||||||||||
| 2 | LME Nickel Futures | July 22, 2013 | (181,869) | (163,909) | 17,960 | |||||||||||
| 1 | LME Nickel Futures | July 26, 2013 | (92,842) | (81,971) | 10,871 | |||||||||||
| 2 | LME Nickel Futures | August 9, 2013 | (184,972) | (164,063) | 20,909 | |||||||||||
| 18 | LME Nickel Futures | September 16, 2013 | (1,708,405) | (1,479,978) | 228,427 | |||||||||||
| 5 | LME Zinc Futures | July 5, 2013 | (235,992) | (227,800) | 8,192 | |||||||||||
| 7 | LME Zinc Futures | July 17, 2013 | (329,082) | (319,900) | 9,182 | |||||||||||
| 1 | LME Zinc Futures | July 18, 2013 | (46,186) | (45,710) | 476 | |||||||||||
| 3 | LME Zinc Futures | July 22, 2013 | (140,658) | (137,256) | 3,402 | |||||||||||
| 2 | LME Zinc Futures | July 26, 2013 | (95,997) | (91,587) | 4,410 | |||||||||||
| 9 | LME Zinc Futures | July 29, 2013 | (425,910) | (412,418) | 13,492 | |||||||||||
| 3 | LME Zinc Futures | August 2, 2013 | (138,820) | (137,597) | 1,223 | |||||||||||
| 3 | LME Zinc Futures | August 16, 2013 | (137,058) | (138,033) | (975) | |||||||||||
| 3 | LME Zinc Futures | August 23, 2013 | (139,126) | (138,249) | 877 | |||||||||||
| 42 | LME Zinc Futures | September 16, 2013 | (2,009,026) | (1,946,700) | 62,326 | |||||||||||
| 29 | Soybean Meal Futures | December 13, 2013 | (1,114,457) | (1,084,599) | 29,858 | |||||||||||
| 20 | Wheat Futures | December 13, 2013 | (691,583) | (671,500) | 20,083 | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| (23,392,342) | (21,926,150) | 1,466,192 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
| $16,807,277 | $16,124,548 | $(682,729) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
Cash held as collateral with broker for futures contracts was $1,759,503 at June 30, 2013.
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 13 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY FUND |
| GOVERNMENT RELATED OBLIGATIONS - 7.0% | INTEREST RATE |
MATURITY DATE |
CURRENCY | PRINCIPAL AMOUNT (000’s) |
VALUE (Note 3) |
|||||||||||||||
| Sovereign Debt - 7.0% | ||||||||||||||||||||
| Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.500% | 04/15/16 | EUR | 15,635 | $ | 21,408,948 | ||||||||||||||
| Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.750% | 04/15/20 | EUR | 15,175 | 22,248,799 | |||||||||||||||
| France Government Bond OAT (France) | 0.250% | 07/25/18 | EUR | 2,073 | 2,728,625 | |||||||||||||||
| France Government Bond OAT (France) | 1.300% | 07/25/19 | EUR | 5,524 | 7,726,365 | |||||||||||||||
| France Government Bond OAT (France) | 1.100% | 07/25/22 | EUR | 8,000 | 10,887,917 | |||||||||||||||
| United Kingdom Treasury Gilt (United Kingdom) | 1.875% | 11/22/22 | GBP | 8,856 | 16,476,331 | |||||||||||||||
|
|
|
|||||||||||||||||||
| TOTAL GOVERNMENT RELATED OBLIGATIONS |
81,476,985 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| U.S. TREASURY OBLIGATIONS - 7.0% | ||||||||||||||||||||
| U.S. Treasury Inflation Protected Securities - 7.0% | ||||||||||||||||||||
| U.S. Treasury Inflation Protected Securities | 0.125% | 01/15/22 | USD | 23,800 | 23,949,236 | |||||||||||||||
| U.S. Treasury Inflation Protected Securities | 0.125% | 04/15/17 | USD | 23,800 | 24,999,869 | |||||||||||||||
| U.S. Treasury Inflation Protected Securities | 1.375% | 07/15/18 | USD | 8,200 | 9,657,460 | |||||||||||||||
| U.S. Treasury Inflation Protected Securities | 1.625% | 01/15/18 | USD | 8,900 | 10,813,155 | |||||||||||||||
| U.S. Treasury Inflation Protected Securities | 2.625% | 07/15/17 | USD | 9,600 | 12,218,876 | |||||||||||||||
|
|
|
|||||||||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS |
81,638,596 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 14 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY FUND |
Credit default swap contracts sell protection as of June 30, 2013:
| COUNTERPARTY | REFERENCE ENTITY | FIXED ANNUAL RATE RECEIVED BY FUND |
CURRENCY | CREDIT SPREAD |
NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||||
| Exchange Cleared | ||||||||||||||||||||||||||||
| CitiBank | iTraxx Europe Crossover Series 19.V1 | 0.000% | EUR | 0.478% | 2,500,000 | $30,931 | 06/20/2018 | $(30,931) | ||||||||||||||||||||
| CitiBank | iTraxx Europe Crossover Series 19.V1 | 5.000% | EUR | 0.478% | 28,225,000 | 378,909 | 06/20/2018 | 10,388 | ||||||||||||||||||||
| CitiBank | iTraxx Europe Series 19.V1 |
0.000% | EUR | 0.120% | 3,250,000 | (38,253) | 06/20/2018 | 38,253 | ||||||||||||||||||||
| CitiBank | iTraxx Europe Series 19.V1 |
1.000% | EUR | 0.120% | 51,250,000 |
|
(608,174) |
|
06/20/2018 | 10,768 | ||||||||||||||||||
| CitiBank | Markit CDX North America High Yield Index Series 20 | 0.000% | USD | 0.435% | 4,000,000 | 136,389 | 06/20/2018 | (136,389) | ||||||||||||||||||||
| CitiBank | Markit CDX North America High Yield Index Series 20 | 5.000% | USD | 4.290% | 58,300,000 | 1,830,389 | 06/20/2018 | 7,197 | ||||||||||||||||||||
| CitiBank | Markit CDX North America Investment Grade Index Series 20 | 0.000% | USD | 0.088% | 12,250,000 | 80,709 | 06/20/2018 | (80,709) | ||||||||||||||||||||
| CitiBank | Markit CDX North America Investment Grade Index Series 20 | 1.000% | USD | 0.870% | 125,625,000 | 600,975 | 06/20/2018 | 202,183 | ||||||||||||||||||||
| Over the Counter | ||||||||||||||||||||||||||||
| Bank of America | Markit CMBX North America AJ 3 | 1.470% | USD | 1.160% | 25,000 | (8,158) | 12/13/2049 | 893 | ||||||||||||||||||||
| CitiBank | Markit CDX Emerging Market Index Series 19 | 5.000% | USD | 3.200% | 16,625,000 | 1,816,218 | 06/20/2018 | (469,863) | ||||||||||||||||||||
| Deutsche Bank | Markit CMBX North America AJ 3 | 1.470% | USD | 1.160% | 1,250,000 | (381,131) | 12/13/2049 | 17,897 | ||||||||||||||||||||
| Deutsche Bank | Markit CMBX North America AJ 4 | 0.960% | USD | 1.022% | 1,450,000 | (460,864) | 02/17/2051 | 27,459 | ||||||||||||||||||||
| Morgan Stanley Capital Services, Inc. | Markit CMBX North America AJ 3 | 1.470% | USD | 1.160% | 350,000 | (100,539) | 12/13/2049 | (1,166) | ||||||||||||||||||||
| Morgan Stanley Capital Services, Inc. | Markit CMBX North America AJ 4 | 0.960% | USD | 1.022% | 400,000 | (119,936) | 02/15/2051 | 376 | ||||||||||||||||||||
| Morgan Stanley Capital Services, Inc. | Markit CMBX North America AJ 5 | 0.980% | USD | 0.966% | 125,000 | (36,073) | 02/15/2051 | (1,379) | ||||||||||||||||||||
| The Royal Bank of Scotland | Markit CMBX North America AJ 5 | 0.980% | USD | 0.966% | 175,000 | (58,256) | 02/17/2051 | 5,822 | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
| $3,063,136 | $(399,201) | |||||||||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
Money Market Fund is pledged as collateral to brokers for credit default swap contracts in the amount of $12,562,376. 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 for CitiBank was $6,745,042 at June 30, 2013.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 15 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY FUND |
Interest rate swap contracts outstanding as of June 30, 2013:
Over the Counter
| 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 Prague Interbank Offered Rate | 1.020% | CZK | 570,000,000 | 09/19/2018 | $(828,065) | ||||||||||||||
| The Royal Bank of Scotland |
6 Month Prague Interbank Offered Rate | 1.295% | CZK | 60,000,000 | 09/19/2018 | (46,633) | ||||||||||||||
| The Royal Bank of Scotland |
0.900% | (1) | CZK | 10,000,000 | 09/19/2018 | 17,475 | ||||||||||||||
| The Royal Bank of Scotland |
1.145% | (1) | CZK | 60,000,000 | 09/19/2018 | 68,741 | ||||||||||||||
| The Royal Bank of Scotland |
1.255% | (1) | CZK | 90,000,000 | 09/19/2018 | 78,793 | ||||||||||||||
| The Royal Bank of Scotland |
1.315% | (1) | CZK | 100,000,000 | 09/19/2018 | 72,810 | ||||||||||||||
| The Royal Bank of Scotland |
1.540% | (1) | CZK | 60,000,000 | 09/19/2018 | 10,524 | ||||||||||||||
| The Royal Bank of Scotland |
1.685% | (1) | CZK | 70,000,000 | 09/19/2018 | (12,655) | ||||||||||||||
| The Royal Bank of Scotland |
1.740% | (1) | CZK | 40,000,000 | 09/19/2018 | (12,636) | ||||||||||||||
| The Royal Bank of Scotland |
1.790% | (1) | CZK | 60,000,000 | 09/19/2018 | (26,323) | ||||||||||||||
| The Royal Bank of Scotland |
3 Month Hong Kong Interbank Offered Rate | 0.875% | HKD | 72,000,000 | 09/19/2018 | (390,432) | ||||||||||||||
| The Royal Bank of Scotland |
3 Month Hong Kong Interbank Offered Rate | 1.020% | HKD | 271,000,000 | 09/19/2018 | (1,221,364) | ||||||||||||||
| The Royal Bank of Scotland |
3 Month Hong Kong Interbank Offered Rate | 1.045% | HKD | 100,000,000 | 09/19/2018 | (434,898) | ||||||||||||||
| The Royal Bank of Scotland |
3 Month Hong Kong Interbank Offered Rate | 1.357% | HKD | 44,000,000 | 09/19/2018 | (104,652) | ||||||||||||||
| The Royal Bank of Scotland |
1.045% | (2) | HKD | 45,000,000 | 09/19/2018 | 123,230 | ||||||||||||||
| The Royal Bank of Scotland |
1.338% | (2) | HKD | 64,000,000 | 09/19/2018 | 159,901 | ||||||||||||||
| The Royal Bank of Scotland |
1.360% | (2) | HKD | 76,000,000 | 09/19/2018 | 179,322 | ||||||||||||||
| The Royal Bank of Scotland |
1.703% | (2) | HKD | 50,000,000 | 09/19/2018 | 9,817 | ||||||||||||||
| The Royal Bank of Scotland |
1.815% | (2) | HKD | 27,000,000 | 09/19/2018 | (13,883) | ||||||||||||||
| The Royal Bank of Scotland |
1.850% | (2) | HKD | 53,000,000 | 09/19/2018 | (38,968) | ||||||||||||||
| The Royal Bank of Scotland |
1.870% | (2) | HKD | 59,000,000 | 09/19/2018 | (50,832) | ||||||||||||||
| The Royal Bank of Scotland |
6 Month Budapest Interbank Offered Rate | 4.520% | HUF | 600,000,000 | 09/19/2018 | (76,400) | ||||||||||||||
| The Royal Bank of Scotland |
6 Month Budapest Interbank Offered Rate | 4.655% | HUF | 2,200,000,000 | 09/19/2018 | (221,721) | ||||||||||||||
| The Royal Bank of Scotland |
6 Month Budapest Interbank Offered Rate | 4.815% | HUF | 400,000,000 | 09/19/2018 | (27,726) | ||||||||||||||
| The Royal Bank of Scotland |
6 Month Budapest Interbank Offered Rate | 4.890% | HUF | 4,800,000,000 | 09/19/2018 | (261,904) | ||||||||||||||
| The Royal Bank of Scotland |
4.740% | (3) | HUF | 1,200,000,000 | 09/19/2018 | 100,878 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 16 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (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 |
4.770% | (3) | HUF | 1,200,000,000 | 09/19/2018 | $93,797 | ||||||||||||||
| The Royal Bank of Scotland |
4.930% | (3) | HUF | 1,000,000,000 | 09/19/2018 | 46,696 | ||||||||||||||
| The Royal Bank of Scotland |
5.560% | (3) | HUF | 600,000,000 | 09/19/2018 | (46,326) | ||||||||||||||
| The Royal Bank of Scotland |
5.750% | (3) | HUF | 400,000,000 | 09/19/2018 | (45,831) | ||||||||||||||
| The Royal Bank of Scotland |
5.860% | (3) | HUF | 900,000,000 | 09/19/2018 | (122,591) | ||||||||||||||
| The Royal Bank of Scotland |
6.350% | (3) | HUF | 700,000,000 | 09/19/2018 | (162,809) | ||||||||||||||
| The Royal Bank of Scotland |
3 Month Korean Certificate of Deposit | 2.733% | KRW | 15,000,000,000 | 03/21/2018 | (161,720) | ||||||||||||||
| The Royal Bank of Scotland |
3 Month Korean Certificate of Deposit | 2.778% | KRW | 35,000,000,000 | 09/19/2018 | (404,301) | ||||||||||||||
| The Royal Bank of Scotland |
3 Month Korean Certificate of Deposit | 2.780% | KRW | 35,000,000,000 | 09/19/2018 | (400,782) | ||||||||||||||
| The Royal Bank of Scotland |
3 Month Korean Certificate of Deposit | 2.798% | KRW | 42,000,000,000 | 03/21/2018 | (346,969) | ||||||||||||||
| The Royal Bank of Scotland |
3 Month Korean Certificate of Deposit | 2.800% | KRW | 41,000,000,000 | 03/21/2018 | (334,734) | ||||||||||||||
| The Royal Bank of Scotland |
3 Month Korean Certificate of Deposit | 2.806% | KRW | 42,000,000,000 | 03/21/2018 | (332,639) | ||||||||||||||
| The Royal Bank of Scotland |
3 Month Korean Certificate of Deposit | 2.820% | KRW | 35,000,000,000 | 09/19/2018 | (344,469) | ||||||||||||||
| The Royal Bank of Scotland |
3 Month Korean Certificate of Deposit | 2.828% | KRW | 37,000,000,000 | 09/19/2018 | (352,991) | ||||||||||||||
| The Royal Bank of Scotland |
3 Month Korean Certificate of Deposit | 2.966% | KRW | 14,000,000,000 | 09/19/2018 | (55,459) | ||||||||||||||
| The Royal Bank of Scotland |
2.650% | (4) | KRW | 3,000,000,000 | 09/19/2018 | 50,040 | ||||||||||||||
| The Royal Bank of Scotland |
2.655% | (4) | KRW | 5,000,000,000 | 09/19/2018 | 82,394 | ||||||||||||||
| The Royal Bank of Scotland |
2.753% | (4) | KRW | 35,000,000,000 | 03/21/2018 | 350,207 | ||||||||||||||
| The Royal Bank of Scotland |
2.760% | (4) | KRW | 35,000,000,000 | 03/21/2018 | 340,029 | ||||||||||||||
| The Royal Bank of Scotland |
2.800% | (4) | KRW | 35,000,000,000 | 03/21/2018 | 285,748 | ||||||||||||||
| The Royal Bank of Scotland |
2.808% | (4) | KRW | 36,000,000,000 | 03/21/2018 | 283,444 | ||||||||||||||
| The Royal Bank of Scotland |
2.869% | (4) | KRW | 13,000,000,000 | 09/19/2018 | 102,324 | ||||||||||||||
| The Royal Bank of Scotland |
2.888% | (4) | KRW | 20,000,000,000 | 09/19/2018 | 142,538 | ||||||||||||||
| The Royal Bank of Scotland |
2.890% | (4) | KRW | 24,000,000,000 | 09/19/2018 | 168,633 | ||||||||||||||
| The Royal Bank of Scotland |
3.140% | (4) | KRW | 15,000,000,000 | 09/19/2018 | (45,441) | ||||||||||||||
| The Royal Bank of Scotland |
3.200% | (4) | KRW | 8,000,000,000 | 09/19/2018 | (43,542) | ||||||||||||||
| The Royal Bank of Scotland |
3.215% | (4) | KRW | 18,000,000,000 | 09/19/2018 | (108,831) | ||||||||||||||
| The Royal Bank of Scotland |
3.220% | (4) | KRW | 16,000,000,000 | 09/19/2018 | (99,956) | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 17 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (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 | 3.420% | PLN | 17,000,000 | 09/19/2018 | $(107,101) | ||||||||||||||
| The Royal Bank of Scotland |
6 Month Warsaw Interbank Offered Rate | 3.604% | PLN | 220,000,000 | 09/19/2018 | (831,369) | ||||||||||||||
| The Royal Bank of Scotland |
3.265% | (5) | PLN | 28,000,000 | 09/19/2018 | 235,933 | ||||||||||||||
| The Royal Bank of Scotland |
3.280% | (5) | PLN | 3,000,000 | 09/19/2018 | 24,661 | ||||||||||||||
| The Royal Bank of Scotland |
3.310% | (5) | PLN | 36,000,000 | 09/19/2018 | 281,121 | ||||||||||||||
| The Royal Bank of Scotland |
3.320% | (5) | PLN | 18,000,000 | 09/19/2018 | 138,092 | ||||||||||||||
| The Royal Bank of Scotland |
3.445% | (5) | PLN | 24,000,000 | 09/19/2018 | 142,972 | ||||||||||||||
| The Royal Bank of Scotland |
3.860% | (5) | PLN | 19,000,000 | 09/19/2018 | 5,030 | ||||||||||||||
| The Royal Bank of Scotland |
3.975% | (5) | PLN | 27,000,000 | 09/19/2018 | (35,443) | ||||||||||||||
| The Royal Bank of Scotland |
4.010% | (5) | PLN | 12,000,000 | 09/19/2018 | (21,513) | ||||||||||||||
| The Royal Bank of Scotland |
4.205% | (5) | PLN | 21,000,000 | 09/19/2018 | (93,819) | ||||||||||||||
| The Royal Bank of Scotland |
6 Month Singapore Interbank Offered Rate | 0.890% | SGD | 25,000,000 | 09/19/2018 | (849,057) | ||||||||||||||
| The Royal Bank of Scotland |
6 Month Singapore Interbank Offered Rate | 0.930% | SGD | 19,000,000 | 09/19/2018 | (615,864) | ||||||||||||||
| The Royal Bank of Scotland |
6 Month Singapore Interbank Offered Rate | 0.945% | SGD | 6,000,000 | 09/19/2018 | (191,000) | ||||||||||||||
| The Royal Bank of Scotland |
6 Month Singapore Interbank Offered Rate | 0.980% | SGD | 24,000,000 | 09/19/2018 | (731,482) | ||||||||||||||
| The Royal Bank of Scotland |
6 Month Singapore Interbank Offered Rate | 1.008% | SGD | 23,000,000 | 09/19/2018 | (676,520) | ||||||||||||||
| The Royal Bank of Scotland |
6 Month Singapore Interbank Offered Rate | 1.090% | SGD | 46,000,000 | 09/19/2018 | (1,206,138) | ||||||||||||||
| The Royal Bank of Scotland |
6 Month Singapore Interbank Offered Rate | 1.503% | SGD | 9,000,000 | 09/19/2018 | (92,274) | ||||||||||||||
| The Royal Bank of Scotland |
1.245% | (6) | SGD | 14,000,000 | 09/19/2018 | 283,086 | ||||||||||||||
| The Royal Bank of Scotland |
1.383% | (6) | SGD | 22,000,000 | 09/19/2018 | 327,753 | ||||||||||||||
| The Royal Bank of Scotland |
1.470% | (6) | SGD | 18,000,000 | 09/19/2018 | 207,194 | ||||||||||||||
| The Royal Bank of Scotland |
1.735% | (6) | SGD | 15,000,000 | 09/19/2018 | 18,792 | ||||||||||||||
| The Royal Bank of Scotland |
1.905% | (6) | SGD | 19,000,000 | 09/19/2018 | (101,229) | ||||||||||||||
| The Royal Bank of Scotland |
1.910% | (6) | SGD | 17,000,000 | 09/19/2018 | (93,864) | ||||||||||||||
| The Royal Bank of Scotland |
1.920% | (6) | SGD | 9,000,000 | 09/19/2018 | (53,176) | ||||||||||||||
| The Royal Bank of Scotland |
3 Month Johannesburg Interbank Agreed Rate | 6.190% | ZAR | 549,000,000 | 09/19/2018 | (2,657,506) | ||||||||||||||
| The Royal Bank of Scotland |
3 Month Johannesburg Interbank Agreed Rate | 6.310% | ZAR | 66,000,000 | 09/19/2018 | (285,591) | ||||||||||||||
| The Royal Bank of Scotland |
3 Month Johannesburg Interbank Agreed Rate | 7.410% | ZAR | 54,000,000 | 09/19/2018 | 20,514 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 18 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (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 |
7.130% | (7) | ZAR | 30,000,000 | 09/19/2018 | $24,548 | ||||||||||||||
| The Royal Bank of Scotland |
7.190% | (7) | ZAR | 104,000,000 | 09/19/2018 | 58,398 | ||||||||||||||
| The Royal Bank of Scotland |
7.570% | (7) | ZAR | 60,000,000 | 09/19/2018 | (63,873) | ||||||||||||||
| The Royal Bank of Scotland |
7.650% | (7) | ZAR | 100,000,000 | 09/19/2018 | (140,688) | ||||||||||||||
| The Royal Bank of Scotland |
7.650% | (7) | ZAR | 40,000,000 | 09/19/2018 | (56,275) | ||||||||||||||
| The Royal Bank of Scotland |
7.700% | (7) | ZAR | 71,000,000 | 09/19/2018 | (115,079) | ||||||||||||||
| The Royal Bank of Scotland |
7.840% | (7) | ZAR | 80,000,000 | 09/19/2018 | (177,593) | ||||||||||||||
|
|
|
|||||||||||||||||||
| $(11,839,502) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| (1) | 6 month Prague Interbank Offered Rate |
| (2) | 3 month Hong Kong Interbank Offered Rate |
| (3) | 6 month Budapest Interbank Offered Rate |
| (4) | 3 month Korean Certificate of Deposit |
| (5) | 6 month Warsaw Interbank Offered Rate |
| (6) | 6 month Singapore Interbank Offered Rate |
| (7) | 3 month Johannesburg Interbank Agreed Rate |
Money Market Fund pledged as collateral to broker is included in the forward foreign currency exchange contracts.
Total return swap contracts outstanding as of June 30, 2013:
Over the Counter
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Bank of America | Australia 10-Year Bond Futures | 9/16/2013 | AUD | 355,558 | $(355) | |||||||||||
| Morgan Stanley and Co., International PLC |
Bovespa Index | 8/14/2013 | BRL | 8,495,052 | (219,979) | |||||||||||
| Barclays Capital | Cocoa Futures | 9/13/2013 | USD | 138,180 | (8,340) | |||||||||||
| Bank of America | Euro - Bund Futures | 9/6/2013 | EUR | 48,765,724 | (860,501) | |||||||||||
| Morgan Stanley and Co., International PLC |
H-SHARES Index Futures | 7/30/2013 | HKD | 11,544,858 | 60,887 | |||||||||||
| Barclays Capital | Lean Hogs Futures | 7/15/2013 | USD | 1,281,897 | 54,924 | |||||||||||
| Barclays Capital | Lean Hogs Futures | 7/15/2013 | USD | (1,281,897) | (14,320) | |||||||||||
| Barclays Capital | Lean Hogs Futures | 8/14/2013 | USD | 1,290,300 | (3,959) | |||||||||||
| Barclays Capital | Lean Hogs Futures | 8/14/2013 | USD | (195,500) | 1,000 | |||||||||||
| Barclays Capital | Live Cattle Futures | 8/30/2013 | USD | 2,349,634 | 42,056 | |||||||||||
| Morgan Stanley and Co., International PLC |
MSCI Taiwan Stock Index Futures | 7/30/2013 | USD | 4,791,984 | 183,116 | |||||||||||
| Morgan Stanley and Co., International PLC |
Russian Depository Index | 6/15/2050 | USD | — | (8,230) | |||||||||||
| Morgan Stanley and Co., International PLC |
Russian Trading System Index Futures | 9/16/2013 | USD | 3,976,059 | 59,284 | |||||||||||
| Barclays Capital | Soybean Futures | 11/14/2013 | USD | 1,029,920 | 34,281 | |||||||||||
| Barclays Capital | Soybean Futures | 1/14/2014 | USD | (320,425) | 6,237 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 19 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY FUND |
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Deutsche Bank | Soybean Meal Futures | 12/13/2013 | USD | 2,055,180 | $(110,380) | |||||||||||
| Barclays Capital | Soybean Oil Futures | 12/13/2013 | USD | 113,983 | (5,695) | |||||||||||
| Morgan Stanley and Co., International PLC |
Swiss Market Index Futures | 9/20/2013 | CHF | 5,082,671 | (31,442) | |||||||||||
| Bank of America | U.S. Treasury 10-Year Note Futures | 9/19/2013 | USD | 158,770,487 | (3,478,300) | |||||||||||
| Barclays Capital | Wheat Futures | 9/13/2013 | USD | 4,131,668 | (382,493) | |||||||||||
| Barclays Capital | Wheat Futures | 12/13/2013 | USD | 4,024,025 | (196,227) | |||||||||||
| Barclays Capital | Wheat Futures | 12/13/2013 | USD | (2,184,025) | 94,710 | |||||||||||
|
|
|
|||||||||||||||
| $(4,783,726) | ||||||||||||||||
|
|
|
|||||||||||||||
Money Market Fund is pledged as collateral to brokers for total return swap contracts in the amount of $1,222,206. Additional collateral for positions held at Bank of America is included in collateral for credit default swap contracts. Additional cash held as collateral for Deutsche Bank was $400,000 at June 30, 2013.
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 3 | Cattle Feeder Futures | August 29, 2013 | $224,771 | $224,175 | $(596) | |||||||||||
| 71 | Cocoa Futures | September 13, 2013 | 1,623,862 | 1,536,440 | (87,422) | |||||||||||
| 39 | Coffee ‘C’ Futures | September 18, 2013 | 1,850,630 | 1,760,850 | (89,780) | |||||||||||
| 251 | Corn Futures | September 13, 2013 | 7,147,961 | 6,867,988 | (279,973) | |||||||||||
| 31 | Cotton No. 2 Futures | December 6, 2013 | 1,353,792 | 1,302,155 | (51,637) | |||||||||||
| 224 | Crude Oil Financial Futures | August 19, 2013 | 21,797,780 | 21,602,560 | (195,220) | |||||||||||
| 206 | Globex Brent FCL Futures | September 12, 2013 | 20,950,180 | 20,859,560 | (90,620) | |||||||||||
| 87 | Globex Heat Oil Futures | August 29, 2013 | 10,743,650 | 10,462,498 | (281,152) | |||||||||||
| 53 | Globex RBOB Gas Futures | August 29, 2013 | 6,252,977 | 6,007,529 | (245,448) | |||||||||||
| 83 | Gold 100 OZ Futures | August 28, 2013 | 11,170,410 | 10,156,710 | (1,013,700) | |||||||||||
| 120 | ICE Euro Gasoil Futures | September 11, 2013 | 10,437,330 | 10,488,000 | 50,670 | |||||||||||
| 32 | Lean Hogs Futures | August 14, 2013 | 1,259,677 | 1,247,360 | (12,317) | |||||||||||
| 93 | Live Cattle Futures | August 30, 2013 | 4,481,069 | 4,539,331 | 58,262 | |||||||||||
| 3 | LME Aluminum Futures | July 5, 2013 | 140,980 | 129,844 | (11,136) | |||||||||||
| 39 | LME Aluminum Futures | July 11, 2013 | 1,843,056 | 1,690,894 | (152,162) | |||||||||||
| 139 | LME Aluminum Futures | July 16, 2013 | 6,542,683 | 6,035,206 | (507,477) | |||||||||||
| 37 | LME Aluminum Futures | July 19, 2013 | 1,772,722 | 1,607,890 | (164,832) | |||||||||||
| 19 | LME Aluminum Futures | July 24, 2013 | 904,170 | 826,880 | (77,290) | |||||||||||
| 13 | LME Aluminum Futures | July 26, 2013 | 627,921 | 566,088 | (61,833) | |||||||||||
| 77 | LME Aluminum Futures | August 2, 2013 | 3,532,498 | 3,359,818 | (172,680) | |||||||||||
| 52 | LME Aluminum Futures | August 9, 2013 | 2,470,112 | 2,273,583 | (196,529) | |||||||||||
| 12 | LME Aluminum Futures | August 16, 2013 | 552,019 | 525,738 | (26,281) | |||||||||||
| 2 | LME Aluminum Futures | August 22, 2013 | 93,253 | 87,775 | (5,478) | |||||||||||
| 5 | LME Aluminum Futures | August 23, 2013 | 232,192 | 219,502 | (12,690) | |||||||||||
| 9 | LME Aluminum Futures | August 30, 2013 | 427,357 | 395,905 | (31,452) | |||||||||||
| 37 | LME Aluminum Futures | September 6, 2013 | 1,815,427 | 1,630,905 | (184,522) | |||||||||||
| 26 | LME Aluminum Futures | September 10, 2013 | 1,254,542 | 1,147,367 | (107,175) | |||||||||||
| 24 | LME Aluminum Futures | September 13, 2013 | 1,112,738 | 1,060,026 | (52,712) | |||||||||||
| 510 | LME Aluminum Futures | September 16, 2013 | 24,814,174 | 22,557,938 | (2,256,236) | |||||||||||
| 5 | LME Aluminum Futures | September 17, 2013 | 229,383 | 221,092 | (8,291) | |||||||||||
| 59 | LME Aluminum Futures | September 20, 2013 | 2,648,694 | 2,610,868 | (37,826) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 20 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: (continued) | ||||||||||||||||
| 63 | LME Aluminum Futures | September 24, 2013 | $2,797,301 | $2,790,506 | $(6,795) | |||||||||||
| 29 | LME Aluminum Futures | September 25, 2013 | 1,288,371 | 1,284,823 | (3,548) | |||||||||||
| 50 | LME Aluminum Futures | September 26, 2013 | 2,220,080 | 2,215,725 | (4,355) | |||||||||||
| 15 | LME Aluminum Futures | September 27, 2013 | 663,879 | 664,875 | 996 | |||||||||||
| 383 | LME Aluminum Futures | December 16, 2013 | 18,191,535 | 17,318,781 | (872,754) | |||||||||||
| 10 | LME Copper Futures | July 5, 2013 | 1,841,391 | 1,683,187 | (158,204) | |||||||||||
| 24 | LME Copper Futures | July 11, 2013 | 4,531,414 | 4,041,378 | (490,036) | |||||||||||
| 19 | LME Copper Futures | July 16, 2013 | 3,439,980 | 3,200,559 | (239,421) | |||||||||||
| 9 | LME Copper Futures | July 19, 2013 | 1,568,264 | 1,516,259 | (52,005) | |||||||||||
| 7 | LME Copper Futures | July 24, 2013 | 1,225,052 | 1,179,500 | (45,552) | |||||||||||
| 16 | LME Copper Futures | July 26, 2013 | 2,860,186 | 2,696,236 | (163,950) | |||||||||||
| 8 | LME Copper Futures | August 2, 2013 | 1,383,013 | 1,348,530 | (34,483) | |||||||||||
| 34 | LME Copper Futures | August 9, 2013 | 6,248,338 | 5,733,004 | (515,334) | |||||||||||
| 4 | LME Copper Futures | August 16, 2013 | 720,934 | 674,678 | (46,256) | |||||||||||
| 11 | LME Copper Futures | August 22, 2013 | 2,045,724 | 1,855,769 | (189,955) | |||||||||||
| 5 | LME Copper Futures | August 23, 2013 | 908,325 | 843,532 | (64,793) | |||||||||||
| 8 | LME Copper Futures | August 30, 2013 | 1,454,763 | 1,349,850 | (104,913) | |||||||||||
| 7 | LME Copper Futures | September 6, 2013 | 1,285,386 | 1,181,273 | (104,113) | |||||||||||
| 27 | LME Copper Futures | September 10, 2013 | 4,826,293 | 4,556,675 | (269,618) | |||||||||||
| 8 | LME Copper Futures | September 13, 2013 | 1,415,013 | 1,350,200 | (64,813) | |||||||||||
| 248 | LME Copper Futures | September 16, 2013 | 46,780,564 | 41,856,200 | (4,924,364) | |||||||||||
| 1 | LME Copper Futures | September 17, 2013 | 177,202 | 168,775 | (8,427) | |||||||||||
| 34 | LME Copper Futures | September 20, 2013 | 5,801,279 | 5,737,857 | (63,422) | |||||||||||
| 16 | LME Copper Futures | September 24, 2013 | 2,672,026 | 2,700,100 | 28,074 | |||||||||||
| 7 | LME Copper Futures | September 25, 2013 | 1,186,511 | 1,181,280 | (5,231) | |||||||||||
| 10 | LME Copper Futures | September 26, 2013 | 1,682,516 | 1,687,520 | 5,004 | |||||||||||
| 4 | LME Copper Futures | September 27, 2013 | 674,872 | 675,000 | 128 | |||||||||||
| 149 | LME Copper Futures | December 16, 2013 | 26,502,907 | 25,192,175 | (1,310,732) | |||||||||||
| 2 | LME Lead Futures | July 11, 2013 | 104,103 | 102,145 | (1,958) | |||||||||||
| 11 | LME Lead Futures | July 16, 2013 | 564,868 | 562,164 | (2,704) | |||||||||||
| 9 | LME Lead Futures | July 19, 2013 | 450,014 | 460,026 | 10,012 | |||||||||||
| 5 | LME Lead Futures | July 26, 2013 | 258,825 | 255,598 | (3,227) | |||||||||||
| 6 | LME Lead Futures | August 2, 2013 | 297,368 | 306,750 | 9,382 | |||||||||||
| 2 | LME Lead Futures | August 9, 2013 | 101,553 | 102,310 | 757 | |||||||||||
| 3 | LME Lead Futures | August 22, 2013 | 154,281 | 153,618 | (663) | |||||||||||
| 2 | LME Lead Futures | August 23, 2013 | 101,022 | 102,413 | 1,391 | |||||||||||
| 1 | LME Lead Futures | September 6, 2013 | 55,239 | 51,269 | (3,970) | |||||||||||
| 10 | LME Lead Futures | September 10, 2013 | 532,766 | 512,687 | (20,079) | |||||||||||
| 1 | LME Lead Futures | September 13, 2013 | 52,677 | 51,266 | (1,411) | |||||||||||
| 94 | LME Lead Futures | September 16, 2013 | 5,108,902 | 4,818,087 | (290,815) | |||||||||||
| 30 | LME Lead Futures | September 20, 2013 | 1,520,973 | 1,537,815 | 16,842 | |||||||||||
| 3 | LME Lead Futures | September 24, 2013 | 150,089 | 153,806 | 3,717 | |||||||||||
| 4 | LME Lead Futures | September 25, 2013 | 203,306 | 205,083 | 1,777 | |||||||||||
| 4 | LME Lead Futures | September 26, 2013 | 204,506 | 205,092 | 586 | |||||||||||
| 3 | LME Lead Futures | September 27, 2013 | 153,330 | 153,825 | 495 | |||||||||||
| 76 | LME Lead Futures | December 16, 2013 | 4,024,725 | 3,920,650 | (104,075) | |||||||||||
| 3 | LME Nickel Futures | July 5, 2013 | 289,686 | 245,626 | (44,060) | |||||||||||
| 21 | LME Nickel Futures | July 11, 2013 | 2,025,484 | 1,719,989 | (305,495) | |||||||||||
| 2 | LME Nickel Futures | July 16, 2013 | 189,843 | 163,856 | (25,987) | |||||||||||
| 5 | LME Nickel Futures | July 19, 2013 | 458,558 | 409,708 | (48,850) | |||||||||||
| 7 | LME Nickel Futures | July 26, 2013 | 646,391 | 573,801 | (72,590) | |||||||||||
| 13 | LME Nickel Futures | August 2, 2013 | 1,158,643 | 1,066,020 | (92,623) | |||||||||||
| 14 | LME Nickel Futures | August 9, 2013 | 1,293,622 | 1,148,442 | (145,180) | |||||||||||
| 1 | LME Nickel Futures | August 16, 2013 | 89,258 | 82,062 | (7,196) | |||||||||||
| 7 | LME Nickel Futures | September 10, 2013 | 626,693 | 575,262 | (51,431) | |||||||||||
| 10 | LME Nickel Futures | September 13, 2013 | 856,816 | 821,956 | (34,860) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 21 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: (continued) | ||||||||||||||||
| 88 | LME Nickel Futures | September 16, 2013 | $8,698,944 | $7,235,448 | $(1,463,496) | |||||||||||
| 6 | LME Nickel Futures | September 20, 2013 | 499,647 | 493,344 | (6,303) | |||||||||||
| 3 | LME Nickel Futures | September 25, 2013 | 250,187 | 246,749 | (3,438) | |||||||||||
| 4 | LME Nickel Futures | September 26, 2013 | 328,998 | 329,019 | 21 | |||||||||||
| 43 | LME Nickel Futures | December 16, 2013 | 3,688,484 | 3,552,144 | (136,340) | |||||||||||
| 24 | LME Zinc Futures | July 11, 2013 | 1,142,892 | 1,095,120 | (47,772) | |||||||||||
| 11 | LME Zinc Futures | July 16, 2013 | 522,518 | 502,571 | (19,947) | |||||||||||
| 3 | LME Zinc Futures | July 19, 2013 | 140,630 | 137,162 | (3,468) | |||||||||||
| 14 | LME Zinc Futures | July 26, 2013 | 673,596 | 641,105 | (32,491) | |||||||||||
| 55 | LME Zinc Futures | August 2, 2013 | 2,549,261 | 2,522,617 | (26,644) | |||||||||||
| 42 | LME Zinc Futures | August 9, 2013 | 1,971,967 | 1,929,406 | (42,561) | |||||||||||
| 12 | LME Zinc Futures | August 22, 2013 | 559,519 | 552,873 | (6,646) | |||||||||||
| 37 | LME Zinc Futures | September 10, 2013 | 1,746,459 | 1,711,907 | (34,552) | |||||||||||
| 254 | LME Zinc Futures | September 16, 2013 | 12,288,489 | 11,772,900 | (515,589) | |||||||||||
| 38 | LME Zinc Futures | September 20, 2013 | 1,750,959 | 1,761,025 | 10,066 | |||||||||||
| 25 | LME Zinc Futures | September 24, 2013 | 1,137,540 | 1,158,394 | 20,854 | |||||||||||
| 14 | LME Zinc Futures | September 25, 2013 | 645,772 | 648,651 | 2,879 | |||||||||||
| 21 | LME Zinc Futures | September 26, 2013 | 967,084 | 972,899 | 5,815 | |||||||||||
| 3 | LME Zinc Futures | September 27, 2013 | 138,455 | 138,975 | 520 | |||||||||||
| 194 | LME Zinc Futures | December 16, 2013 | 9,102,954 | 9,096,175 | (6,779) | |||||||||||
| 430 | Natural Gas Swap Futures | August 28, 2013 | 4,157,945 | 3,825,925 | (332,020) | |||||||||||
| 24 | Silver Futures | September 26, 2013 | 2,352,232 | 2,336,400 | (15,832) | |||||||||||
| 34 | Soybean Futures | January 14, 2014 | 2,203,567 | 2,136,475 | (67,092) | |||||||||||
| 4 | Soybean Meal Futures | December 13, 2013 | 153,528 | 149,600 | (3,928) | |||||||||||
| 45 | Soybean Oil Futures | December 13, 2013 | 1,269,820 | 1,218,240 | (51,580) | |||||||||||
| 141 | Sugar #11 (World Markets) Futures | September 30, 2013 | 2,642,163 | 2,672,007 | 29,844 | |||||||||||
| 305 | Wheat Futures | September 13, 2013 | 10,917,655 | 10,030,688 | (886,967) | |||||||||||
| 9 | Amsterdam Index Futures | July 19, 2013 | 821,701 | 807,856 | (13,845) | |||||||||||
| 97 | CAC40 10 Euro Futures | July 19, 2013 | 4,828,500 | 4,715,182 | (113,318) | |||||||||||
| 19 | DAX Index Futures | September 20, 2013 | 5,057,872 | 4,925,557 | (132,315) | |||||||||||
| 67 | E-Mini Russell 2000 Futures | September 20, 2013 | 6,615,854 | 6,530,491 | (85,363) | |||||||||||
| 315 | Euro Stoxx 50 Index | September 20, 2013 | 10,973,876 | 10,652,313 | (321,563) | |||||||||||
| 140 | FTSE 100 Index Futures | September 20, 2013 | 13,416,387 | 13,119,866 | (296,521) | |||||||||||
| 81 | FTSE/JSE Top 40 Index Futures | September 19, 2013 | 2,916,024 | 2,851,989 | (64,035) | |||||||||||
| 16 | FTSE/MIB Index Futures | September 20, 2013 | 1,663,584 | 1,589,263 | (74,321) | |||||||||||
| 17 | Hang Seng Index Futures | July 30, 2013 | 2,201,525 | 2,271,730 | 70,205 | |||||||||||
| 90 | H-SHARES Index Futures | July 30, 2013 | 5,261,095 | 5,363,297 | 102,202 | |||||||||||
| 22 | IBEX 35 Index Futures | July 19, 2013 | 2,311,943 | 2,196,089 | (115,854) | |||||||||||
| 34 | KOSPI Index 200 Futures | September 12, 2013 | 3,688,401 | 3,602,294 | (86,107) | |||||||||||
| 48 | MSCI Taiwan Stock Index Futures | July 30, 2013 | 1,318,075 | 1,341,600 | 23,525 | |||||||||||
| 907 | S&P 500 E-Mini Futures | September 20, 2013 | 74,306,754 | 72,528,255 | (1,778,499) | |||||||||||
| 61 | S&P MID 400 E-Mini Futures | September 20, 2013 | 7,178,784 | 7,063,190 | (115,594) | |||||||||||
| 16 | S&P/Toronto Stock Exchange 60 Index Futures | September 19, 2013 | 2,143,861 | 2,107,978 | (35,883) | |||||||||||
| 184 | SGX S&P CNX Nifty Index Futures | July 25, 2013 | 2,086,119 | 2,144,336 | 58,217 | |||||||||||
| 38 | SPI 200 Index Futures | September 19, 2013 | 4,164,925 | 4,143,414 | (21,511) | |||||||||||
| 128 | TOPIX Index Futures | September 12, 2013 | 14,000,639 | 14,596,491 | 595,852 | |||||||||||
| 108 | Australia 10-Year Bond Futures | September 16, 2013 | 11,878,403 | 11,693,546 | (184,857) | |||||||||||
| 128 | Canadian 10-Year Bond Futures | September 19, 2013 | 16,458,798 | 15,993,610 | (465,188) | |||||||||||
| 60 | Euro - Bund Futures | September 6, 2013 | 11,062,301 | 11,052,571 | (9,730) | |||||||||||
| 462 | U.S. Treasury 10-Year Note Futures | September 19, 2013 | 59,274,364 | 58,471,875 | (802,489) | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| 654,505,720 | 629,778,660 | (24,727,060) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
| Short Contracts: | ||||||||||||||||
| 3 | LME Aluminum Futures | July 5, 2013 | (140,822) | (129,844) | 10,978 | |||||||||||
| 39 | LME Aluminum Futures | July 11, 2013 | (1,849,887) | (1,690,894) | 158,993 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 22 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts: (continued) | ||||||||||||||||
| 139 | LME Aluminum Futures | July 16, 2013 | $(6,595,328) | $(6,035,207) | $560,121 | |||||||||||
| 37 | LME Aluminum Futures | July 19, 2013 | (1,752,816) | (1,607,891) | 144,925 | |||||||||||
| 19 | LME Aluminum Futures | July 24, 2013 | (906,745) | (826,880) | 79,865 | |||||||||||
| 13 | LME Aluminum Futures | July 26, 2013 | (627,033) | (566,088) | 60,945 | |||||||||||
| 77 | LME Aluminum Futures | August 2, 2013 | (3,540,376) | (3,359,818) | 180,558 | |||||||||||
| 52 | LME Aluminum Futures | August 9, 2013 | (2,467,317) | (2,273,583) | 193,734 | |||||||||||
| 12 | LME Aluminum Futures | August 16, 2013 | (551,430) | (525,738) | 25,692 | |||||||||||
| 2 | LME Aluminum Futures | August 22, 2013 | (93,313) | (87,775) | 5,538 | |||||||||||
| 5 | LME Aluminum Futures | August 23, 2013 | (232,992) | (219,503) | 13,489 | |||||||||||
| 9 | LME Aluminum Futures | August 30, 2013 | (428,611) | (395,906) | 32,705 | |||||||||||
| 37 | LME Aluminum Futures | September 6, 2013 | (1,812,941) | (1,630,905) | 182,036 | |||||||||||
| 26 | LME Aluminum Futures | September 10, 2013 | (1,257,579) | (1,147,367) | 110,212 | |||||||||||
| 24 | LME Aluminum Futures | September 13, 2013 | (1,114,883) | (1,060,026) | 54,857 | |||||||||||
| 510 | LME Aluminum Futures | September 16, 2013 | (23,942,707) | (22,557,937) | 1,384,770 | |||||||||||
| 5 | LME Aluminum Futures | September 17, 2013 | (232,009) | (221,093) | 10,916 | |||||||||||
| 59 | LME Aluminum Futures | September 20, 2013 | (2,652,585) | (2,610,868) | 41,717 | |||||||||||
| 63 | LME Aluminum Futures | September 24, 2013 | (2,799,508) | (2,790,506) | 9,002 | |||||||||||
| 29 | LME Aluminum Futures | September 25, 2013 | (1,290,768) | (1,284,823) | 5,945 | |||||||||||
| 50 | LME Aluminum Futures | September 26, 2013 | (2,222,140) | (2,215,725) | 6,415 | |||||||||||
| 15 | LME Aluminum Futures | September 27, 2013 | (667,101) | (664,875) | 2,226 | |||||||||||
| 256 | LME Aluminum Futures | December 16, 2013 | (11,774,809) | (11,576,000) | 198,809 | |||||||||||
| 10 | LME Copper Futures | July 5, 2013 | (1,846,734) | (1,683,187) | 163,547 | |||||||||||
| 24 | LME Copper Futures | July 11, 2013 | (4,531,162) | (4,041,378) | 489,784 | |||||||||||
| 19 | LME Copper Futures | July 16, 2013 | (3,437,031) | (3,200,559) | 236,472 | |||||||||||
| 9 | LME Copper Futures | July 19, 2013 | (1,571,171) | (1,516,260) | 54,911 | |||||||||||
| 7 | LME Copper Futures | July 24, 2013 | (1,221,139) | (1,179,500) | 41,639 | |||||||||||
| 16 | LME Copper Futures | July 26, 2013 | (2,847,974) | (2,696,236) | 151,738 | |||||||||||
| 8 | LME Copper Futures | August 2, 2013 | (1,369,230) | (1,348,530) | 20,700 | |||||||||||
| 34 | LME Copper Futures | August 9, 2013 | (6,306,096) | (5,733,004) | 573,092 | |||||||||||
| 4 | LME Copper Futures | August 16, 2013 | (714,494) | (674,678) | 39,816 | |||||||||||
| 11 | LME Copper Futures | August 22, 2013 | (2,047,426) | (1,855,769) | 191,657 | |||||||||||
| 5 | LME Copper Futures | August 23, 2013 | (914,742) | (843,531) | 71,211 | |||||||||||
| 8 | LME Copper Futures | August 30, 2013 | (1,459,017) | (1,349,850) | 109,167 | |||||||||||
| 7 | LME Copper Futures | September 6, 2013 | (1,291,828) | (1,181,273) | 110,555 | |||||||||||
| 27 | LME Copper Futures | September 10, 2013 | (4,838,919) | (4,556,675) | 282,244 | |||||||||||
| 8 | LME Copper Futures | September 13, 2013 | (1,421,179) | (1,350,200) | 70,979 | |||||||||||
| 248 | LME Copper Futures | September 16, 2013 | (44,894,025) | (41,856,200) | 3,037,825 | |||||||||||
| 1 | LME Copper Futures | September 17, 2013 | (178,684) | (168,775) | 9,909 | |||||||||||
| 34 | LME Copper Futures | September 20, 2013 | (5,801,154) | (5,737,857) | 63,297 | |||||||||||
| 16 | LME Copper Futures | September 24, 2013 | (2,665,697) | (2,700,100) | (34,403) | |||||||||||
| 7 | LME Copper Futures | September 25, 2013 | (1,173,184) | (1,181,280) | (8,096) | |||||||||||
| 10 | LME Copper Futures | September 26, 2013 | (1,672,759) | (1,687,520) | (14,761) | |||||||||||
| 4 | LME Copper Futures | September 27, 2013 | (678,581) | (675,000) | 3,581 | |||||||||||
| 117 | LME Copper Futures | December 16, 2013 | (20,359,731) | (19,781,775) | 577,956 | |||||||||||
| 2 | LME Lead Futures | July 11, 2013 | (104,555) | (102,145) | 2,410 | |||||||||||
| 11 | LME Lead Futures | July 16, 2013 | (561,152) | (562,164) | (1,012) | |||||||||||
| 9 | LME Lead Futures | July 19, 2013 | (454,317) | (460,026) | (5,709) | |||||||||||
| 5 | LME Lead Futures | July 26, 2013 | (258,117) | (255,597) | 2,520 | |||||||||||
| 6 | LME Lead Futures | August 2, 2013 | (298,940) | (306,750) | (7,810) | |||||||||||
| 2 | LME Lead Futures | August 9, 2013 | (102,607) | (102,310) | 297 | |||||||||||
| 3 | LME Lead Futures | August 22, 2013 | (153,895) | (153,619) | 276 | |||||||||||
| 2 | LME Lead Futures | August 23, 2013 | (101,647) | (102,413) | (766) | |||||||||||
| 1 | LME Lead Futures | September 6, 2013 | (55,073) | (51,268) | 3,805 | |||||||||||
| 10 | LME Lead Futures | September 10, 2013 | (531,788) | (512,688) | 19,100 | |||||||||||
| 1 | LME Lead Futures | September 13, 2013 | (52,534) | (51,266) | 1,268 | |||||||||||
| 94 | LME Lead Futures | September 16, 2013 | (4,918,192) | (4,818,087) | 100,105 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 23 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts: (continued) | ||||||||||||||||
| 30 | LME Lead Futures | September 20, 2013 | $(1,515,447) | $(1,537,815) | $(22,368) | |||||||||||
| 3 | LME Lead Futures | September 24, 2013 | (149,995) | (153,806) | (3,811) | |||||||||||
| 4 | LME Lead Futures | September 25, 2013 | (200,269) | (205,083) | (4,814) | |||||||||||
| 4 | LME Lead Futures | September 26, 2013 | (202,454) | (205,092) | (2,638) | |||||||||||
| 3 | LME Lead Futures | September 27, 2013 | (154,299) | (153,825) | 474 | |||||||||||
| 50 | LME Lead Futures | December 16, 2013 | (2,580,589) | (2,579,375) | 1,214 | |||||||||||
| 3 | LME Nickel Futures | July 5, 2013 | (288,895) | (245,626) | 43,269 | |||||||||||
| 21 | LME Nickel Futures | July 11, 2013 | (2,023,972) | (1,719,988) | 303,984 | |||||||||||
| 2 | LME Nickel Futures | July 16, 2013 | (186,598) | (163,856) | 22,742 | |||||||||||
| 5 | LME Nickel Futures | July 19, 2013 | (463,742) | (409,707) | 54,035 | |||||||||||
| 7 | LME Nickel Futures | July 26, 2013 | (650,025) | (573,801) | 76,224 | |||||||||||
| 13 | LME Nickel Futures | August 2, 2013 | (1,159,293) | (1,066,020) | 93,273 | |||||||||||
| 14 | LME Nickel Futures | August 9, 2013 | (1,287,274) | (1,148,442) | 138,832 | |||||||||||
| 1 | LME Nickel Futures | August 16, 2013 | (89,428) | (82,061) | 7,367 | |||||||||||
| 7 | LME Nickel Futures | September 10, 2013 | (627,094) | (575,263) | 51,831 | |||||||||||
| 10 | LME Nickel Futures | September 13, 2013 | (848,630) | (821,956) | 26,674 | |||||||||||
| 88 | LME Nickel Futures | September 16, 2013 | (7,970,121) | (7,235,448) | 734,673 | |||||||||||
| 6 | LME Nickel Futures | September 20, 2013 | (496,505) | (493,344) | 3,161 | |||||||||||
| 3 | LME Nickel Futures | September 25, 2013 | (247,335) | (246,750) | 585 | |||||||||||
| 4 | LME Nickel Futures | September 26, 2013 | (330,189) | (329,020) | 1,169 | |||||||||||
| 25 | LME Nickel Futures | December 16, 2013 | (2,157,514) | (2,065,200) | 92,314 | |||||||||||
| 24 | LME Zinc Futures | July 11, 2013 | (1,133,400) | (1,095,120) | 38,280 | |||||||||||
| 11 | LME Zinc Futures | July 16, 2013 | (517,009) | (502,570) | 14,439 | |||||||||||
| 3 | LME Zinc Futures | July 19, 2013 | (141,489) | (137,162) | 4,327 | |||||||||||
| 14 | LME Zinc Futures | July 26, 2013 | (671,978) | (641,106) | 30,872 | |||||||||||
| 55 | LME Zinc Futures | August 2, 2013 | (2,545,037) | (2,522,616) | 22,421 | |||||||||||
| 42 | LME Zinc Futures | August 9, 2013 | (1,977,979) | (1,929,406) | 48,573 | |||||||||||
| 12 | LME Zinc Futures | August 22, 2013 | (559,451) | (552,873) | 6,578 | |||||||||||
| 37 | LME Zinc Futures | September 10, 2013 | (1,738,234) | (1,711,906) | 26,328 | |||||||||||
| 254 | LME Zinc Futures | September 16, 2013 | (11,874,556) | (11,772,900) | 101,656 | |||||||||||
| 38 | LME Zinc Futures | September 20, 2013 | (1,745,129) | (1,761,025) | (15,896) | |||||||||||
| 25 | LME Zinc Futures | September 24, 2013 | (1,140,556) | (1,158,394) | (17,838) | |||||||||||
| 14 | LME Zinc Futures | September 25, 2013 | (642,175) | (648,652) | (6,477) | |||||||||||
| 21 | LME Zinc Futures | September 26, 2013 | (961,759) | (972,899) | (11,140) | |||||||||||
| 3 | LME Zinc Futures | September 27, 2013 | (139,345) | (138,975) | 370 | |||||||||||
| 117 | LME Zinc Futures | December 16, 2013 | (5,499,063) | (5,485,838) | 13,225 | |||||||||||
| 262 | Wheat Futures | December 13, 2013 | (9,268,862) | (8,796,650) | 472,212 | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| (253,974,164) | (241,796,292) | 12,177,872 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
| $400,531,556 | $387,982,368 | $(12,549,188) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
Cash held as collateral with broker for futures contracts was $31,269,829 at June 30, 2013.
Forward foreign currency exchange contracts outstanding as of June 30, 2013:
Over the Counter
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | AUD | 6,000 | $5,501 | $5,455 | $(46) | ||||||||||||||
| Brazilian Real, Expiring 09/18/13* |
The Royal Bank of Scotland | BRL | 74,075,000 | 33,892,167 | 32,662,965 | (1,229,202) | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 24 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY FUND |
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Swiss Franc, Expiring 09/18/13 |
The Royal Bank of Scotland | CHF | 77,000 | $83,327 | $81,579 | $(1,748) | ||||||||||||||
| Czech Republic Koruna, Expiring 09/18/13 |
The Royal Bank of Scotland | CZK | 21,928,000 | 1,116,761 | 1,097,628 | (19,133) | ||||||||||||||
| Euro, Expiring 09/18/13 |
The Royal Bank of Scotland | EUR | 258,168,062 | 339,385,934 | 336,162,695 | (3,223,239) | ||||||||||||||
| British Pound, Expiring 09/18/13 |
The Royal Bank of Scotland | GBP | 60,281,305 | 92,883,612 | 91,636,445 | (1,247,167) | ||||||||||||||
| Hong Kong Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | HKD | 6,356,000 | 819,041 | 819,740 | 699 | ||||||||||||||
| Israeli Shekel, Expiring 09/18/13 |
The Royal Bank of Scotland | ILS | $292,494,000 | 77,974,481 | 77,880,755 | (93,726) | ||||||||||||||
| Japanese Yen, Expiring 09/18/13 |
The Royal Bank of Scotland | JPY | 3,494,000 | 35,406 | 35,242 | (164) | ||||||||||||||
| Korean Won, Expiring 09/23/13* |
The Royal Bank of Scotland | KRW | 55,917,856,000 | 49,472,735 | 48,777,705 | (695,030) | ||||||||||||||
| Mexican Peso, Expiring 09/18/13 |
The Royal Bank of Scotland | MXN | 1,024,031,000 | 79,198,339 | 78,470,532 | (727,807) | ||||||||||||||
| Poland Zloty, Expiring 09/18/13 |
The Royal Bank of Scotland | PLN | 6,110,000 | 1,849,218 | 1,829,836 | (19,382) | ||||||||||||||
| Russian Ruble, Expiring 09/18/13* |
The Royal Bank of Scotland | RUB | 137,444,000 | 4,149,173 | 4,124,714 | (24,459) | ||||||||||||||
| Singapore Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | SGD | 52,777,000 | 42,054,900 | 41,644,936 | (409,964) | ||||||||||||||
| Turkish Lira, Expiring 09/18/13 |
The Royal Bank of Scotland | TRY | 64,449,000 | 33,917,171 | 33,003,870 | (913,301) | ||||||||||||||
| Taiwanese Dollar, Expiring 09/18/13* |
The Royal Bank of Scotland | TWD | 1,183,034,000 | 39,674,368 | 39,506,899 | (167,469) | ||||||||||||||
| South African Rand, Expiring 09/18/13 |
The Royal Bank of Scotland | ZAR | 122,070,000 | 12,157,821 | 12,207,356 | 49,535 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 808,669,955 | 799,948,352 | (8,721,603) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | AUD | (24,000) | $(22,886) | $(21,821) | $1,065 | ||||||||||||||
| Brazilian Real, Expiring 09/18/13* |
The Royal Bank of Scotland | BRL | (54,284,000) | (24,345,739) | (23,936,231) | 409,508 | ||||||||||||||
| Swiss Franc, Expiring 09/18/13 |
The Royal Bank of Scotland | CHF | (130,000) | (137,960) | (137,730) | 230 | ||||||||||||||
| Euro, Expiring 09/18/13 |
The Royal Bank of Scotland | EUR | (344,387,811) | (452,283,576) | (448,430,118) | 3,853,458 | ||||||||||||||
| British Pound, Expiring 09/18/13 |
The Royal Bank of Scotland | GBP | (72,216,232) | (111,201,561) | (109,779,286) | 1,422,275 | ||||||||||||||
| Hong Kong Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | HKD | (520,000) | (67,022) | (67,065) | (43) | ||||||||||||||
| Hungarian Forint, Expiring 09/18/13 |
The Royal Bank of Scotland | HUF | (202,866,000) | (892,466) | (888,241) | 4,225 | ||||||||||||||
| Israeli Shekel, Expiring 09/18/13 |
The Royal Bank of Scotland | ILS | (199,533,000) | (54,794,705) | (54,756,291) | 38,414 | ||||||||||||||
| Japanese Yen, Expiring 09/18/13 |
The Royal Bank of Scotland | JPY | (116,374,000) | (1,176,450) | (1,173,798) | 2,652 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 25 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Korean Won, Expiring 09/23/13* |
The Royal Bank of Scotland | KRW | (42,436,931,000) | $(36,957,588) | $(37,018,160) | $(60,572) | ||||||||||||||
| Mexican Peso, Expiring 09/18/13 |
The Royal Bank of Scotland | MXN | (764,173,000) | (58,119,163) | (58,557,857) | (438,694) | ||||||||||||||
| Poland Zloty, Expiring 09/18/13 |
The Royal Bank of Scotland | PLN | (8,514,000) | (2,608,389) | (2,549,791) | 58,598 | ||||||||||||||
| Russian Ruble, Expiring 09/18/13* |
The Royal Bank of Scotland | RUB | (275,882,000) | (8,415,945) | (8,279,258) | 136,687 | ||||||||||||||
| Singapore Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | SGD | (35,783,000) | (28,210,803) | (28,235,419) | (24,616) | ||||||||||||||
| Turkish Lira, Expiring 09/18/13 |
The Royal Bank of Scotland | TRY | (51,333,000) | (26,628,860) | (26,287,261) | 341,599 | ||||||||||||||
| Taiwanese Dollar, Expiring 09/18/13* |
The Royal Bank of Scotland | TWD | (821,674,000) | (27,346,247) | (27,439,441) | (93,194) | ||||||||||||||
| South African Rand, Expiring 09/18/13 |
The Royal Bank of Scotland | ZAR | (65,370,000) | (6,348,730) | (6,537,190) | (188,460) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (839,558,090) | (834,094,958) | 5,463,132 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(30,888,135) | $(34,146,606) | $(3,258,471) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
Money Market Fund is pledged as collateral for forward foreign currency exchange contracts in the amount of $18,370,000.
| * | Non deliverable forward. See Note 3 in the Notes to Financial Statements. |
AUD - Australian Dollar
BRL - Brazilian Real
CHF - Swiss Franc
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
ILS - Israeli Shekel
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
PLN - Poland Zloty
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. |
| 26 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY II MV FUND |
| GOVERNMENT RELATED OBLIGATIONS - 10.3% | INTEREST RATE |
MATURITY DATE |
CURRENCY | PRINCIPAL AMOUNT (000’S) |
VALUE (Note 3) |
|||||||||||||||
| Sovereign Debt - 10.3% | ||||||||||||||||||||
| Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.500% | 04/15/16 | EUR | 1,621 | $ | 2,220,194 | ||||||||||||||
| Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.750% | 04/15/20 | EUR | 1,638 | 2,400,950 | |||||||||||||||
| France Government Bond OAT (France) | 0.250% | 07/25/18 | EUR | 207 | 272,870 | |||||||||||||||
| France Government Bond OAT (France) | 1.300% | 07/25/19 | EUR | 531 | 742,923 | |||||||||||||||
| France Government Bond OAT (France) | 1.100% | 07/25/22 | EUR | 757 | 1,029,954 | |||||||||||||||
| United Kingdom Treasury Gilt (United Kingdom) | 1.875% | 11/22/22 | GBP | 849 | 1,579,922 | |||||||||||||||
|
|
|
|||||||||||||||||||
| TOTAL GOVERNMENT RELATED OBLIGATIONS |
8,246,813 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| U.S. TREASURY OBLIGATIONS - 10.8% | ||||||||||||||||||||
| U.S. Treasury Inflation Protected Securities - 10.8% | ||||||||||||||||||||
| U.S. Treasury Inflation Protected Securities | 0.125% | 01/15/22 | USD | 2,500 | 2,515,676 | |||||||||||||||
| U.S. Treasury Inflation Protected Securities | 0.125% | 04/15/17 | USD | 2,500 | 2,626,037 | |||||||||||||||
| U.S. Treasury Inflation Protected Securities | 1.375% | 07/15/18 | USD | 900 | 1,059,965 | |||||||||||||||
| U.S. Treasury Inflation Protected Securities | 1.625% | 01/15/18 | USD | 1,000 | 1,214,961 | |||||||||||||||
| U.S. Treasury Inflation Protected Securities | 2.625% | 07/15/17 | USD | 1,000 | 1,272,800 | |||||||||||||||
|
|
|
|||||||||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS |
8,689,439 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| MONEY MARKET FUNDS - 62.1% | SHARES | |||||||||||||||||||
| BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.046% (a) | 1,445,033 | 1,445,033 | ||||||||||||||||||
| Dreyfus Treasury Cash Management, Class I, 0.010% (a) | 5,780,132 | 5,780,132 | ||||||||||||||||||
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b) | 35,297,223 | 35,297,223 | ||||||||||||||||||
| UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a) | 7,225,166 | 7,225,166 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| TOTAL MONEY MARKET FUNDS |
49,747,554 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| SHORT-TERM INVESTMENTS - 2.4% | PRINCIPAL AMOUNT (000’S) |
|||||||||||||||||||
| U.S. Treasury Bill, 0.000%, 12/12/2013 (c) |
$ | 1,899 | 1,899,438 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| TOTAL INVESTMENTS - 85.6% |
68,583,244 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES - 14.4% (d) | 11,577,969 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| NET ASSETS - 100.0% | $ | 80,161,213 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
All securities are United States companies, unless noted otherwise in parentheses.
| (a) | Represents annualized seven-day yield as of June 30, 2013. |
| (b) | A portion of the security is pledged as collateral to the brokers for swap contracts. |
| (c) | The rate shown is the effective yield at the date of purchase. |
| (d) | Includes appreciation/depreciation on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820 (See Note 5).
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 2013 | 27 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY II MV FUND |
Total return swap contracts outstanding as of June 30, 2013:
Over the Counter
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Goldman Sachs | Bovespa Index | 8/14/2013 | BRL | 1,293,408 | $(52,662) | |||||||||||
| Barclays Capital | Cocoa Futures | 9/13/2013 | USD | 138,180 | (8,337) | |||||||||||
| Barclays Capital | Cocoa Futures | 9/13/2013 | USD | (23,030) | (120) | |||||||||||
| Barclays Capital | Coffee ‘C’ Futures | 9/18/2013 | USD | 343,481 | (27,421) | |||||||||||
| Barclays Capital | Coffee ‘C’ Futures | 9/18/2013 | USD | (98,138) | 75 | |||||||||||
| Barclays Capital | Corn Futures | 9/13/2013 | USD | 652,850 | (50,851) | |||||||||||
| Barclays Capital | Corn Futures | 9/13/2013 | USD | (296,750) | 17,082 | |||||||||||
| Barclays Capital | Gold 100 OZ Futures | 8/28/2013 | USD | 1,686,125 | (217,629) | |||||||||||
| Barclays Capital | Gold 100 OZ Futures | 8/28/2013 | USD | (562,700) | 10,757 | |||||||||||
| Goldman Sachs | H-SHARES Index Futures | 7/30/2013 | HKD | 1,332,238 | 7,008 | |||||||||||
| Barclays Capital | Lean Hogs Futures | 7/15/2013 | USD | 152,045 | 9,994 | |||||||||||
| Barclays Capital | Lean Hogs Futures | 7/15/2013 | USD | (152,045) | (1,736) | |||||||||||
| Barclays Capital | Lean Hogs Futures | 8/14/2013 | USD | 156,400 | (480) | |||||||||||
| Barclays Capital | Live Cattle Futures | 8/30/2013 | USD | 1,161,775 | 9,662 | |||||||||||
| Barclays Capital | Live Cattle Futures | 8/30/2013 | USD | (484,795) | (3,869) | |||||||||||
| Barclays Capital | LME Aluminum Futures | 9/16/2013 | USD | 391,150 | (37,300) | |||||||||||
| Barclays Capital | LME Aluminum Futures | 9/16/2013 | USD | (383,550) | 29,700 | |||||||||||
| Barclays Capital | LME Aluminum Futures | 12/16/2013 | USD | 294,900 | (23,588) | |||||||||||
| Barclays Capital | LME Aluminum Futures | 12/16/2013 | USD | (90,850) | 413 | |||||||||||
| Barclays Capital | LME Copper Futures | 9/16/2013 | USD | 778,100 | (103,000) | |||||||||||
| Barclays Capital | LME Copper Futures | 9/16/2013 | USD | (717,800) | 42,700 | |||||||||||
| Barclays Capital | LME Copper Futures | 12/16/2013 | USD | 720,350 | (44,050) | |||||||||||
| Barclays Capital | LME Copper Futures | 12/16/2013 | USD | (169,625) | 550 | |||||||||||
| Barclays Capital | LME Nickel Futures | 9/16/2013 | USD | 100,266 | (18,045) | |||||||||||
| Barclays Capital | LME Nickel Futures | 9/16/2013 | USD | (94,620) | 12,399 | |||||||||||
| Goldman Sachs | MSCI Taiwan Stock Index Futures | 7/30/2013 | USD | 430,376 | 16,824 | |||||||||||
| Bank of America | Russian Trading System Index Futures | 9/16/2013 | USD | 397,832 | 2,180 | |||||||||||
| Barclays Capital | Silver Futures | 9/26/2013 | USD | 108,580 | (11,230) | |||||||||||
| Barclays Capital | Soybean Futures | 11/14/2013 | USD | 607,403 | 18,545 | |||||||||||
| Barclays Capital | Soybean Futures | 11/14/2013 | USD | (60,550) | (2,048) | |||||||||||
| Barclays Capital | Soybean Futures | 1/14/2014 | USD | (255,888) | 4,538 | |||||||||||
| Barclays Capital | Soybean Meal Futures | 12/13/2013 | USD | 731,448 | (20,822) | |||||||||||
| Barclays Capital | Soybean Meal Futures | 12/13/2013 | USD | (497,318) | 8,859 | |||||||||||
| Barclays Capital | Sugar #11 (World Markets) Futures | 9/30/2013 | USD | 18,782 | 168 | |||||||||||
| Goldman Sachs | Swiss Market Index Futures | 9/20/2013 | CHF | 617,163 | (5,025) | |||||||||||
| Barclays Capital | Wheat Futures | 9/13/2013 | USD | 938,468 | (83,393) | |||||||||||
| Barclays Capital | Wheat Futures | 12/13/2013 | USD | 35,900 | (2,322) | |||||||||||
| Barclays Capital | Wheat Futures | 12/13/2013 | USD | (248,500) | 13,458 | |||||||||||
|
|
|
|||||||||||||||
| $(509,016) | ||||||||||||||||
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 28 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY II MV FUND |
Money Market Fund is pledged as collateral to brokers for total return swap contracts in the amount of $1,100,000.
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 1 | Cattle Feeder Futures | August 29, 2013 | $72,816 | $74,725 | $1,909 | |||||||||||
| 2 | Cocoa Futures | September 13, 2013 | 45,306 | 43,279 | (2,027) | |||||||||||
| 1 | Coffee ‘C’ Futures | September 18, 2013 | 46,582 | 45,150 | (1,432) | |||||||||||
| 15 | Corn Futures | September 13, 2013 | 423,793 | 410,438 | (13,355) | |||||||||||
| 4 | Cotton No. 2 Futures | December 6, 2013 | 170,746 | 168,020 | (2,726) | |||||||||||
| 22 | Crude Oil Financial Futures | August 19, 2013 | 2,123,110 | 2,121,680 | (1,430) | |||||||||||
| 21 | Globex Brent FCL Futures | September 12, 2013 | 2,134,420 | 2,126,460 | (7,960) | |||||||||||
| 8 | Globex Heat Oil Futures | August 29, 2013 | 978,008 | 962,069 | (15,939) | |||||||||||
| 6 | Globex RBOB Gas Futures | August 29, 2013 | 706,041 | 680,098 | (25,943) | |||||||||||
| 12 | ICE Euro Gasoil Futures | September 11, 2013 | 1,042,630 | 1,048,800 | 6,170 | |||||||||||
| 2 | Lean Hogs Futures | August 14, 2013 | 78,625 | 77,960 | (665) | |||||||||||
| 1 | Live Cattle Futures | August 30, 2013 | 47,903 | 48,810 | 907 | |||||||||||
| 2 | LME Aluminum Futures | July 11, 2013 | 94,516 | 86,713 | (7,803) | |||||||||||
| 12 | LME Aluminum Futures | July 16, 2013 | 564,836 | 521,025 | (43,811) | |||||||||||
| 1 | LME Aluminum Futures | July 19, 2013 | 47,911 | 43,456 | (4,455) | |||||||||||
| 2 | LME Aluminum Futures | July 24, 2013 | 95,176 | 87,040 | (8,136) | |||||||||||
| 1 | LME Aluminum Futures | July 26, 2013 | 48,302 | 43,546 | (4,756) | |||||||||||
| 10 | LME Aluminum Futures | August 2, 2013 | 460,766 | 436,340 | (24,426) | |||||||||||
| 7 | LME Aluminum Futures | August 9, 2013 | 332,515 | 306,059 | (26,456) | |||||||||||
| 2 | LME Aluminum Futures | August 15, 2013 | 92,503 | 87,598 | (4,905) | |||||||||||
| 1 | LME Aluminum Futures | August 16, 2013 | 46,089 | 43,811 | (2,278) | |||||||||||
| 1 | LME Aluminum Futures | August 23, 2013 | 46,438 | 43,900 | (2,538) | |||||||||||
| 2 | LME Aluminum Futures | August 30, 2013 | 94,968 | 87,979 | (6,989) | |||||||||||
| 2 | LME Aluminum Futures | September 6, 2013 | 98,131 | 88,157 | (9,974) | |||||||||||
| 43 | LME Aluminum Futures | September 16, 2013 | 2,086,041 | 1,901,944 | (184,097) | |||||||||||
| 8 | LME Aluminum Futures | September 20, 2013 | 359,838 | 354,016 | (5,822) | |||||||||||
| 4 | LME Aluminum Futures | September 24, 2013 | 177,606 | 177,175 | (431) | |||||||||||
| 2 | LME Aluminum Futures | September 25, 2013 | 88,853 | 88,608 | (245) | |||||||||||
| 6 | LME Aluminum Futures | September 26, 2013 | 266,410 | 265,887 | (523) | |||||||||||
| 1 | LME Aluminum Futures | September 27, 2013 | 44,570 | 44,325 | (245) | |||||||||||
| 30 | LME Aluminum Futures | December 16, 2013 | 1,424,339 | 1,356,563 | (67,776) | |||||||||||
| 1 | LME Copper Futures | July 11, 2013 | 188,809 | 168,391 | (20,418) | |||||||||||
| 2 | LME Copper Futures | July 16, 2013 | 362,103 | 336,901 | (25,202) | |||||||||||
| 2 | LME Copper Futures | July 26, 2013 | 357,523 | 337,029 | (20,494) | |||||||||||
| 1 | LME Copper Futures | August 2, 2013 | 172,877 | 168,567 | (4,310) | |||||||||||
| 2 | LME Copper Futures | August 9, 2013 | 367,549 | 337,235 | (30,314) | |||||||||||
| 1 | LME Copper Futures | August 15, 2013 | 179,858 | 168,662 | (11,196) | |||||||||||
| 1 | LME Copper Futures | August 22, 2013 | 185,975 | 168,706 | (17,269) | |||||||||||
| 2 | LME Copper Futures | September 13, 2013 | 354,003 | 337,550 | (16,453) | |||||||||||
| 14 | LME Copper Futures | September 16, 2013 | 2,642,254 | 2,362,850 | (279,404) | |||||||||||
| 1 | LME Copper Futures | September 20, 2013 | 169,327 | 168,761 | (566) | |||||||||||
| 2 | LME Copper Futures | September 24, 2013 | 334,003 | 337,512 | 3,509 | |||||||||||
| 1 | LME Copper Futures | September 25, 2013 | 169,502 | 168,755 | (747) | |||||||||||
| 1 | LME Copper Futures | September 26, 2013 | 168,252 | 168,752 | 500 | |||||||||||
| 8 | LME Copper Futures | December 16, 2013 | 1,426,294 | 1,352,600 | (73,694) | |||||||||||
| 1 | LME Lead Futures | July 16, 2013 | 51,352 | 51,106 | (246) | |||||||||||
| 1 | LME Lead Futures | August 2, 2013 | 49,561 | 51,125 | 1,564 | |||||||||||
| 1 | LME Lead Futures | August 9, 2013 | 50,777 | 51,155 | 378 | |||||||||||
| 1 | LME Lead Futures | August 15, 2013 | 49,102 | 51,181 | 2,079 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 29 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY II MV FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: (continued) | ||||||||||||||||
| 8 | LME Lead Futures | September 16, 2013 | $431,613 | $410,050 | $(21,563) | |||||||||||
| 2 | LME Lead Futures | September 20, 2013 | 101,403 | 102,521 | 1,118 | |||||||||||
| 1 | LME Lead Futures | September 25, 2013 | 50,827 | 51,271 | 444 | |||||||||||
| 1 | LME Lead Futures | September 26, 2013 | 50,658 | 51,273 | 615 | |||||||||||
| 1 | LME Lead Futures | September 27, 2013 | 51,077 | 51,275 | 198 | |||||||||||
| 7 | LME Lead Futures | December 16, 2013 | 370,376 | 361,113 | (9,263) | |||||||||||
| 1 | LME Nickel Futures | July 16, 2013 | 94,922 | 81,929 | (12,993) | |||||||||||
| 1 | LME Nickel Futures | July 26, 2013 | 92,342 | 81,972 | (10,370) | |||||||||||
| 3 | LME Nickel Futures | August 2, 2013 | 268,278 | 246,004 | (22,274) | |||||||||||
| 1 | LME Nickel Futures | August 9, 2013 | 92,402 | 82,032 | (10,370) | |||||||||||
| 7 | LME Nickel Futures | September 16, 2013 | 685,133 | 575,547 | (109,586) | |||||||||||
| 1 | LME Nickel Futures | September 27, 2013 | 82,802 | 82,260 | (542) | |||||||||||
| 3 | LME Nickel Futures | December 16, 2013 | 258,530 | 247,824 | (10,706) | |||||||||||
| 1 | LME Zinc Futures | July 5, 2013 | 46,377 | 45,560 | (817) | |||||||||||
| 2 | LME Zinc Futures | July 11, 2013 | 95,241 | 91,260 | (3,981) | |||||||||||
| 2 | LME Zinc Futures | July 16, 2013 | 95,003 | 91,376 | (3,627) | |||||||||||
| 1 | LME Zinc Futures | July 24, 2013 | 47,343 | 45,772 | (1,571) | |||||||||||
| 1 | LME Zinc Futures | July 26, 2013 | 48,114 | 45,793 | (2,321) | |||||||||||
| 4 | LME Zinc Futures | August 2, 2013 | 185,401 | 183,463 | (1,938) | |||||||||||
| 3 | LME Zinc Futures | August 9, 2013 | 140,855 | 137,815 | (3,040) | |||||||||||
| 1 | LME Zinc Futures | August 15, 2013 | 46,058 | 46,000 | (58) | |||||||||||
| 1 | LME Zinc Futures | August 16, 2013 | 45,452 | 46,011 | 559 | |||||||||||
| 1 | LME Zinc Futures | August 22, 2013 | 46,627 | 46,073 | (554) | |||||||||||
| 20 | LME Zinc Futures | September 16, 2013 | 972,189 | 927,000 | (45,189) | |||||||||||
| 1 | LME Zinc Futures | September 20, 2013 | 45,940 | 46,342 | 402 | |||||||||||
| 2 | LME Zinc Futures | September 24, 2013 | 91,003 | 92,671 | 1,668 | |||||||||||
| 3 | LME Zinc Futures | September 26, 2013 | 138,155 | 138,986 | 831 | |||||||||||
| 1 | LME Zinc Futures | September 27, 2013 | 46,002 | 46,325 | 323 | |||||||||||
| 14 | LME Zinc Futures | December 16, 2013 | 657,623 | 656,425 | (1,198) | |||||||||||
| 49 | Natural Gas Swap Futures | August 28, 2013 | 472,207 | 435,977 | (36,230) | |||||||||||
| 2 | Silver Futures | September 26, 2013 | 197,738 | 194,700 | (3,038) | |||||||||||
| 1 | Soybean Futures | January 14, 2014 | 65,427 | 62,837 | (2,590) | |||||||||||
| 6 | Soybean Oil Futures | December 13, 2013 | 170,889 | 162,432 | (8,457) | |||||||||||
| 14 | Sugar #11 (World Markets) Futures | September 30, 2013 | 262,063 | 265,306 | 3,243 | |||||||||||
| 18 | Wheat Futures | September 13, 2013 | 641,797 | 591,975 | (49,822) | |||||||||||
| 1 | Amsterdam Index Futures | July 19, 2013 | 91,354 | 89,762 | (1,592) | |||||||||||
| 8 | CAC40 10 Euro Futures | July 19, 2013 | 399,733 | 388,881 | (10,852) | |||||||||||
| 2 | DAX Index Futures | September 20, 2013 | 537,623 | 518,480 | (19,143) | |||||||||||
| 8 | E-Mini Russell 2000 Futures | September 20, 2013 | 791,732 | 779,760 | (11,972) | |||||||||||
| 34 | Euro Stoxx 50 Index | September 20, 2013 | 1,187,365 | 1,149,773 | (37,592) | |||||||||||
| 16 | FTSE 100 Index Futures | September 20, 2013 | 1,537,335 | 1,499,414 | (37,921) | |||||||||||
| 9 | FTSE/JSE Top 40 Index Futures | September 19, 2013 | 331,209 | 316,887 | (14,322) | |||||||||||
| 1 | FTSE/MIB Index Futures | September 20, 2013 | 105,071 | 99,329 | (5,742) | |||||||||||
| 2 | Hang Seng Index Futures | July 30, 2013 | 256,063 | 267,262 | 11,199 | |||||||||||
| 11 | H-SHARES Index Futures | July 30, 2013 | 638,165 | 655,514 | 17,349 | |||||||||||
| 3 | IBEX 35 Index Futures | July 19, 2013 | 315,330 | 299,466 | (15,864) | |||||||||||
| 4 | KOSPI Index 200 Futures | September 12, 2013 | 441,785 | 423,799 | (17,986) | |||||||||||
| 10 | MSCI Taiwan Stock Index Futures | July 30, 2013 | 269,955 | 279,500 | 9,545 | |||||||||||
| 108 | S&P 500 E-Mini Futures | September 20, 2013 | 8,846,816 | 8,636,220 | (210,596) | |||||||||||
| 7 | S&P MID 400 E-Mini Futures | September 20, 2013 | 826,454 | 810,530 | (15,924) | |||||||||||
| 2 | S&P/Toronto Stock Exchange 60 Index Futures | September 19, 2013 | 268,462 | 263,497 | (4,965) | |||||||||||
| 24 | SGX S&P CNX Nifty Index Futures | July 25, 2013 | 269,349 | 279,696 | 10,347 | |||||||||||
| 4 | SPI 200 Index Futures | September 19, 2013 | 438,845 | 436,149 | (2,696) | |||||||||||
| 15 | TOPIX Index Futures | September 12, 2013 | 1,650,773 | 1,710,526 | 59,753 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 30 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY II MV FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: (continued) | ||||||||||||||||
| 16 | 10-Year Japanese Government Bond Futures | September 9, 2013 | $2,305,843 | $2,300,625 | $(5,218) | |||||||||||
| 13 | Australia 10-Year Bond Futures | September 16, 2013 | 1,446,502 | 1,407,557 | (38,945) | |||||||||||
| 14 | Canadian 10-Year Bond Futures | September 19, 2013 | 1,812,282 | 1,749,301 | (62,981) | |||||||||||
| 53 | Euro - Bund Futures | September 6, 2013 | 9,899,030 | 9,763,103 | (135,927) | |||||||||||
| 202 | U.S. Treasury 10-Year Note Futures | September 19, 2013 | 26,150,662 | 25,565,625 | (585,037) | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| 89,624,514 | 87,174,295 | (2,450,219) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
| Short Contracts: | ||||||||||||||||
| 2 | LME Aluminum Futures | July 11, 2013 | (94,866) | (86,713) | 8,153 | |||||||||||
| 12 | LME Aluminum Futures | July 16, 2013 | (569,381) | (521,025) | 48,356 | |||||||||||
| 1 | LME Aluminum Futures | July 19, 2013 | (47,373) | (43,456) | 3,917 | |||||||||||
| 2 | LME Aluminum Futures | July 24, 2013 | (95,447) | (87,040) | 8,407 | |||||||||||
| 1 | LME Aluminum Futures | July 26, 2013 | (48,233) | (43,545) | 4,688 | |||||||||||
| 10 | LME Aluminum Futures | August 2, 2013 | (460,259) | (436,340) | 23,919 | |||||||||||
| 7 | LME Aluminum Futures | August 9, 2013 | (332,139) | (306,060) | 26,079 | |||||||||||
| 2 | LME Aluminum Futures | August 15, 2013 | (92,558) | (87,598) | 4,960 | |||||||||||
| 1 | LME Aluminum Futures | August 16, 2013 | (45,998) | (43,811) | 2,187 | |||||||||||
| 1 | LME Aluminum Futures | August 23, 2013 | (46,598) | (43,900) | 2,698 | |||||||||||
| 2 | LME Aluminum Futures | August 30, 2013 | (95,247) | (87,979) | 7,268 | |||||||||||
| 2 | LME Aluminum Futures | September 6, 2013 | (97,997) | (88,157) | 9,840 | |||||||||||
| 43 | LME Aluminum Futures | September 16, 2013 | (2,016,905) | (1,901,943) | 114,962 | |||||||||||
| 8 | LME Aluminum Futures | September 20, 2013 | (360,812) | (354,016) | 6,796 | |||||||||||
| 4 | LME Aluminum Futures | September 24, 2013 | (177,747) | (177,176) | 571 | |||||||||||
| 2 | LME Aluminum Futures | September 25, 2013 | (89,019) | (88,609) | 410 | |||||||||||
| 6 | LME Aluminum Futures | September 26, 2013 | (266,657) | (265,887) | 770 | |||||||||||
| 1 | LME Aluminum Futures | September 27, 2013 | (44,248) | (44,325) | (77) | |||||||||||
| 20 | LME Aluminum Futures | December 16, 2013 | (910,430) | (904,375) | 6,055 | |||||||||||
| 1 | LME Copper Futures | July 11, 2013 | (188,798) | (168,390) | 20,408 | |||||||||||
| 2 | LME Copper Futures | July 16, 2013 | (361,793) | (336,901) | 24,892 | |||||||||||
| 2 | LME Copper Futures | July 26, 2013 | (355,997) | (337,030) | 18,967 | |||||||||||
| 1 | LME Copper Futures | August 2, 2013 | (171,154) | (168,566) | 2,588 | |||||||||||
| 2 | LME Copper Futures | August 9, 2013 | (370,947) | (337,236) | 33,711 | |||||||||||
| 1 | LME Copper Futures | August 15, 2013 | (179,498) | (168,662) | 10,836 | |||||||||||
| 1 | LME Copper Futures | August 22, 2013 | (186,130) | (168,707) | 17,423 | |||||||||||
| 2 | LME Copper Futures | September 13, 2013 | (355,928) | (337,550) | 18,378 | |||||||||||
| 14 | LME Copper Futures | September 16, 2013 | (2,538,602) | (2,362,850) | 175,752 | |||||||||||
| 1 | LME Copper Futures | September 20, 2013 | (171,409) | (168,760) | 2,649 | |||||||||||
| 2 | LME Copper Futures | September 24, 2013 | (333,212) | (337,512) | (4,300) | |||||||||||
| 1 | LME Copper Futures | September 25, 2013 | (167,598) | (168,755) | (1,157) | |||||||||||
| 1 | LME Copper Futures | September 26, 2013 | (167,276) | (168,752) | (1,476) | |||||||||||
| 7 | LME Copper Futures | December 16, 2013 | (1,199,012) | (1,183,525) | 15,487 | |||||||||||
| 1 | LME Lead Futures | July 16, 2013 | (51,014) | (51,106) | (92) | |||||||||||
| 1 | LME Lead Futures | August 2, 2013 | (49,823) | (51,125) | (1,302) | |||||||||||
| 1 | LME Lead Futures | August 9, 2013 | (51,304) | (51,155) | 149 | |||||||||||
| 1 | LME Lead Futures | August 15, 2013 | (49,148) | (51,180) | (2,032) | |||||||||||
| 8 | LME Lead Futures | September 16, 2013 | (419,581) | (410,050) | 9,531 | |||||||||||
| 2 | LME Lead Futures | September 20, 2013 | (101,005) | (102,521) | (1,516) | |||||||||||
| 1 | LME Lead Futures | September 25, 2013 | (50,067) | (51,270) | (1,203) | |||||||||||
| 1 | LME Lead Futures | September 26, 2013 | (51,048) | (51,273) | (225) | |||||||||||
| 1 | LME Lead Futures | September 27, 2013 | (51,253) | (51,275) | (22) | |||||||||||
| 4 | LME Lead Futures | December 16, 2013 | (204,556) | (206,350) | (1,794) | |||||||||||
| 1 | LME Nickel Futures | July 16, 2013 | (93,299) | (81,928) | 11,371 | |||||||||||
| 1 | LME Nickel Futures | July 26, 2013 | (92,861) | (81,972) | 10,889 | |||||||||||
| 3 | LME Nickel Futures | August 2, 2013 | (267,913) | (246,005) | 21,908 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 31 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY II MV FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts: (continued) | ||||||||||||||||
| 1 | LME Nickel Futures | August 9, 2013 | $(91,948) | $(82,031) | $9,917 | |||||||||||
| 7 | LME Nickel Futures | September 16, 2013 | (627,739) | (575,547) | 52,192 | |||||||||||
| 1 | LME Nickel Futures | September 27, 2013 | (82,544) | (82,260) | 284 | |||||||||||
| 1 | LME Nickel Futures | December 16, 2013 | (83,164) | (82,608) | 556 | |||||||||||
| 1 | LME Zinc Futures | July 5, 2013 | (46,998) | (45,560) | 1,438 | |||||||||||
| 2 | LME Zinc Futures | July 11, 2013 | (94,450) | (91,260) | 3,190 | |||||||||||
| 2 | LME Zinc Futures | July 16, 2013 | (94,002) | (91,377) | 2,625 | |||||||||||
| 1 | LME Zinc Futures | July 24, 2013 | (47,373) | (45,772) | 1,601 | |||||||||||
| 1 | LME Zinc Futures | July 26, 2013 | (47,998) | (45,793) | 2,205 | |||||||||||
| 4 | LME Zinc Futures | August 2, 2013 | (185,094) | (183,463) | 1,631 | |||||||||||
| 3 | LME Zinc Futures | August 9, 2013 | (141,284) | (137,815) | 3,469 | |||||||||||
| 1 | LME Zinc Futures | August 15, 2013 | (45,973) | (46,000) | (27) | |||||||||||
| 1 | LME Zinc Futures | August 16, 2013 | (45,911) | (46,011) | (100) | |||||||||||
| 1 | LME Zinc Futures | August 22, 2013 | (46,621) | (46,073) | 548 | |||||||||||
| 20 | LME Zinc Futures | September 16, 2013 | (932,705) | (927,000) | 5,705 | |||||||||||
| 1 | LME Zinc Futures | September 20, 2013 | (45,898) | (46,342) | (444) | |||||||||||
| 2 | LME Zinc Futures | September 24, 2013 | (91,244) | (92,671) | (1,427) | |||||||||||
| 3 | LME Zinc Futures | September 26, 2013 | (137,394) | (138,985) | (1,591) | |||||||||||
| 1 | LME Zinc Futures | September 27, 2013 | (46,273) | (46,325) | (52) | |||||||||||
| 6 | LME Zinc Futures | December 16, 2013 | (279,053) | (281,325) | (2,272) | |||||||||||
| 17 | Wheat Futures | December 13, 2013 | (597,793) | (570,775) | 27,018 | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| (17,983,599) | (17,217,354) | 766,245 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
| $71,640,915 | $69,956,941 | $(1,683,974) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
Cash held as collateral with broker for futures contracts was $3,726,133 at June 30, 2013.
Forward foreign currency exchange contracts outstanding as of June 30, 2013:
Over the Counter
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Swiss Franc, Expiring 09/18/13 |
The Royal Bank of Scotland | CHF | 13,000 | $13,920 | $13,773 | $(147) | ||||||||||||||
| Euro, Expiring 09/18/13 |
The Royal Bank of Scotland | EUR | 11,492,653 | 15,044,588 | 14,964,675 | (79,913) | ||||||||||||||
| British Pound, Expiring 09/18/13 |
The Royal Bank of Scotland | GBP | 4,792,404 | 7,347,684 | 7,285,159 | (62,525) | ||||||||||||||
| Russian Ruble, Expiring 09/18/13* |
The Royal Bank of Scotland | RUB | 11,439,000 | 343,966 | 343,286 | (680) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 22,750,158 | 22,606,893 | (143,265) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Swiss Franc, Expiring 09/18/13 |
The Royal Bank of Scotland | CHF | (33,000) | $(34,963) | $(34,962) | $1 | ||||||||||||||
| Euro, Expiring 09/18/13 |
The Royal Bank of Scotland | EUR | (16,812,213) | (22,071,389) | (21,891,317) | 180,072 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 32 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY II MV FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| British Pound, Expiring 09/18/13 |
The Royal Bank of Scotland | GBP | (5,955,136) | $(9,169,966) | $(9,052,682) | $117,284 | ||||||||||||||
| Hong Kong Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | HKD | (288,000) | (37,132) | (37,143) | (11) | ||||||||||||||
| Russian Ruble, Expiring 09/18/13* |
The Royal Bank of Scotland | RUB | (27,923,000) | (850,728) | (837,973) | 12,755 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (32,164,178) | (31,854,077) | 310,101 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(9,414,020) | $(9,247,184) | $166,836 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
Cash held as collateral with broker for forward currency exchange contracts was $190,000 at June 30, 2013.
| * | Non deliverable forward. See Note 3 in the Notes to Financial Statements. |
BRL - Brazilian Real
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
RUB - Russian Ruble
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 33 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY II HV FUND |
| GOVERNMENT RELATED OBLIGATIONS - 14.9% | INTEREST RATE |
MATURITY DATE |
CURRENCY | PRINCIPAL AMOUNT (000’S) |
VALUE (Note 3) |
|||||||||||||||
| Sovereign Debt - 14.9% | ||||||||||||||||||||
| Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.500% | 04/15/16 | EUR | 927 | $ | 1,268,683 | ||||||||||||||
| Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.750% | 04/15/20 | EUR | 983 | 1,440,576 | |||||||||||||||
| France Government Bond OAT (France) | 0.250% | 07/25/18 | EUR | 104 | 136,436 | |||||||||||||||
| France Government Bond OAT (France) | 1.300% | 07/25/19 | EUR | 319 | 445,750 | |||||||||||||||
| France Government Bond OAT (France) | 1.100% | 07/25/22 | EUR | 432 | 588,548 | |||||||||||||||
| United Kingdom Treasury Gilt (United Kingdom) | 1.875% | 11/22/22 | GBP | 485 | 902,813 | |||||||||||||||
|
|
|
|||||||||||||||||||
| TOTAL GOVERNMENT RELATED OBLIGATIONS |
4,782,806 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| U.S. TREASURY OBLIGATIONS - 17.1% | ||||||||||||||||||||
| U.S. Treasury Inflation Protected Securities - 17.1% | ||||||||||||||||||||
| U.S. Treasury Inflation Protected Securities (a) | 0.125% | 01/15/22 | USD | 1,600 | 1,610,033 | |||||||||||||||
| U.S. Treasury Inflation Protected Securities (a) | 0.125% | 04/15/17 | USD | 1,600 | 1,680,663 | |||||||||||||||
| U.S. Treasury Inflation Protected Securities (a) | 1.375% | 07/15/18 | USD | 600 | 706,643 | |||||||||||||||
| U.S. Treasury Inflation Protected Securities (a) | 1.625% | 01/15/18 | USD | 600 | 728,977 | |||||||||||||||
| U.S. Treasury Inflation Protected Securities (a) | 2.625% | 07/15/17 | USD | 600 | 763,680 | |||||||||||||||
|
|
|
|||||||||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS |
5,489,996 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 34 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY II HV FUND |
| (c) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
| (d) | The rate shown is the effective yield at the date of purchase. |
| (e) | Includes appreciation (depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820 (See Note 5).
The following abbreviations are used in portfolio descriptions:
| EUR | - Euro |
| GBP | - British Pound |
| USD | - United States Dollar |
Open reverse repurchase agreements at June 30, 2013:
| Counterparty | Trade Date | Rate | Due Date | Principal Amount of Reverse Repurchase Agreement |
||||||||
| Barclays Capital | 6/26/2013 | 0.18% | 7/17/2013 | $2,789,500 | ||||||||
| Morgan Stanley & Co., Inc. | 6/26/2013 | 0.16% | 7/17/2013 | 5,341,375 | ||||||||
|
|
|
|||||||||||
| $8,130,875 | ||||||||||||
|
|
|
|||||||||||
Additional cash held as collateral with Barclays Capital for open reverse repurchase agreements was $90,000 at June 30, 2013.
Total return swap contracts outstanding as of June 30, 2013:
Over the Counter
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Goldman Sachs | Bovespa Index | 8/14/2013 | BRL | 517,363 | $(21,065) | |||||||||||
| Barclays Capital | Cocoa Futures | 9/13/2013 | USD | 69,090 | (4,169) | |||||||||||
| Barclays Capital | Cocoa Futures | 9/13/2013 | USD | (23,030) | (223) | |||||||||||
| Barclays Capital | Coffee ‘C’ Futures | 9/18/2013 | USD | 294,413 | (23,504) | |||||||||||
| Barclays Capital | Coffee ‘C’ Futures | 9/18/2013 | USD | (196,275) | 187 | |||||||||||
| Barclays Capital | Gold 100 OZ Futures | 8/28/2013 | USD | 1,406,750 | (183,003) | |||||||||||
| Barclays Capital | Gold 100 OZ Futures | 8/28/2013 | USD | (703,375) | 31,422 | |||||||||||
| Goldman Sachs | H-SHARES Index Futures | 7/30/2013 | HKD | 88,158 | 4,672 | |||||||||||
| Barclays Capital | Live Cattle Futures | 8/30/2013 | USD | 968,281 | 7,917 | |||||||||||
| Barclays Capital | Live Cattle Futures | 8/30/2013 | USD | (630,233) | (6,578) | |||||||||||
| Barclays Capital | LME Aluminum Futures | 9/16/2013 | USD | 195,800 | (18,875) | |||||||||||
| Barclays Capital | LME Aluminum Futures | 9/16/2013 | USD | (195,200) | 18,275 | |||||||||||
| Barclays Capital | LME Aluminum Futures | 12/16/2013 | USD | 147,450 | (11,794) | |||||||||||
| Barclays Capital | LME Copper Futures | 9/16/2013 | USD | 1,337,800 | (156,375) | |||||||||||
| Barclays Capital | LME Copper Futures | 9/16/2013 | USD | (1,258,425) | 77,000 | |||||||||||
| Barclays Capital | LME Copper Futures | 12/16/2013 | USD | 1,080,525 | (66,075) | |||||||||||
| Barclays Capital | LME Copper Futures | 12/16/2013 | USD | (684,325) | 8,025 | |||||||||||
| Barclays Capital | LME Nickel Futures | 9/16/2013 | USD | 102,000 | (19,779) | |||||||||||
| Barclays Capital | LME Nickel Futures | 9/16/2013 | USD | (90,120) | 7,899 | |||||||||||
| Barclays Capital | LME Zinc Futures | 9/16/2013 | USD | 50,838 | (4,488) | |||||||||||
| Barclays Capital | LME Zinc Futures | 9/16/2013 | USD | (47,700) | 1,350 | |||||||||||
| Goldman Sachs | MSCI Taiwan Stock Index Futures | 7/30/2013 | USD | 322,782 | 12,618 | |||||||||||
| Bank of America | Russian Trading System Index Futures | 9/16/2013 | USD | 197,665 | 1,083 | |||||||||||
| Barclays Capital | Silver Futures | 9/26/2013 | USD | 217,160 | (22,449) | |||||||||||
| Barclays Capital | Silver Futures | 9/26/2013 | USD | (108,580) | 12,080 | |||||||||||
| Barclays Capital | Soybean Futures | 11/14/2013 | USD | 908,235 | 30,039 | |||||||||||
| Barclays Capital | Soybean Futures | 11/14/2013 | USD | (241,638) | (8,754) | |||||||||||
| Barclays Capital | Soybean Futures | 1/14/2014 | USD | (512,475) | 9,774 | |||||||||||
| Barclays Capital | Soybean Meal Futures | 12/13/2013 | USD | 647,662 | (12,468) | |||||||||||
| Barclays Capital | Soybean Meal Futures | 12/13/2013 | USD | (530,597) | 13,698 | |||||||||||
| Barclays Capital | Soybean Oil Futures | 12/13/2013 | USD | 56,991 | (2,847) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 35 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY II HV FUND |
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Goldman Sachs | Swiss Market Index Futures | 9/20/2013 | CHF | 308,582 | $(2,512) | |||||||||||
| Bank of America | U.S. Treasury 10-Year Note Futures | 9/19/2013 | USD | 10,707,165 | (202,477) | |||||||||||
| Barclays Capital | Wheat Futures | 9/13/2013 | USD | 828,930 | (68,473) | |||||||||||
| Barclays Capital | Wheat Futures | 9/13/2013 | USD | (140,950) | 6,151 | |||||||||||
| Barclays Capital | Wheat Futures | 12/13/2013 | USD | 35,900 | (2,322) | |||||||||||
| Barclays Capital | Wheat Futures | 12/13/2013 | USD | (384,948) | 15,620 | |||||||||||
|
|
|
|||||||||||||||
| $(580,420) | ||||||||||||||||
|
|
|
|||||||||||||||
Money Market Fund is pledged as collateral to brokers for total return swap contracts in the amount of $1,260,000.
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 1 | Cocoa Futures | September 13, 2013 | $22,912 | $21,640 | $(1,272) | |||||||||||
| 13 | Corn Futures | September 13, 2013 | 366,776 | 355,712 | (11,064) | |||||||||||
| 2 | Cotton No. 2 Futures | December 6, 2013 | 86,446 | 84,010 | (2,436) | |||||||||||
| 11 | Crude Oil Financial Futures | August 19, 2013 | 1,063,710 | 1,060,840 | (2,870) | |||||||||||
| 10 | Globex Brent FCL Futures | September 12, 2013 | 1,016,500 | 1,012,600 | (3,900) | |||||||||||
| 4 | Globex Heat Oil Futures | August 29, 2013 | 486,931 | 481,034 | (5,897) | |||||||||||
| 3 | Globex RBOB Gas Futures | August 29, 2013 | 353,745 | 340,049 | (13,696) | |||||||||||
| 6 | ICE Euro Gasoil Futures | September 11, 2013 | 521,280 | 524,400 | 3,120 | |||||||||||
| 4 | Lean Hogs Futures | August 14, 2013 | 157,096 | 155,920 | (1,176) | |||||||||||
| 2 | LME Aluminum Futures | July 11, 2013 | 94,516 | 86,713 | (7,803) | |||||||||||
| 9 | LME Aluminum Futures | July 16, 2013 | 423,627 | 390,769 | (32,858) | |||||||||||
| 1 | LME Aluminum Futures | July 19, 2013 | 47,911 | 43,456 | (4,455) | |||||||||||
| 9 | LME Aluminum Futures | August 2, 2013 | 414,890 | 392,705 | (22,185) | |||||||||||
| 7 | LME Aluminum Futures | August 9, 2013 | 332,515 | 306,059 | (26,456) | |||||||||||
| 1 | LME Aluminum Futures | August 16, 2013 | 46,002 | 43,812 | (2,190) | |||||||||||
| 1 | LME Aluminum Futures | August 21, 2013 | 46,677 | 43,875 | (2,802) | |||||||||||
| 1 | LME Aluminum Futures | August 30, 2013 | 47,484 | 43,989 | (3,495) | |||||||||||
| 1 | LME Aluminum Futures | September 4, 2013 | 48,377 | 44,054 | (4,323) | |||||||||||
| 1 | LME Aluminum Futures | September 12, 2013 | 46,877 | 44,155 | (2,722) | |||||||||||
| 4 | LME Aluminum Futures | September 13, 2013 | 185,706 | 176,671 | (9,035) | |||||||||||
| 35 | LME Aluminum Futures | September 16, 2013 | 1,699,788 | 1,548,094 | (151,694) | |||||||||||
| 3 | LME Aluminum Futures | September 20, 2013 | 134,892 | 132,756 | (2,136) | |||||||||||
| 2 | LME Aluminum Futures | September 24, 2013 | 88,803 | 88,587 | (216) | |||||||||||
| 2 | LME Aluminum Futures | September 25, 2013 | 88,853 | 88,608 | (245) | |||||||||||
| 5 | LME Aluminum Futures | September 26, 2013 | 222,008 | 221,572 | (436) | |||||||||||
| 2 | LME Aluminum Futures | September 27, 2013 | 88,728 | 88,650 | (78) | |||||||||||
| 24 | LME Aluminum Futures | December 16, 2013 | 1,136,469 | 1,085,250 | (51,219) | |||||||||||
| 1 | LME Copper Futures | July 11, 2013 | 188,809 | 168,391 | (20,418) | |||||||||||
| 1 | LME Copper Futures | July 16, 2013 | 181,052 | 168,451 | (12,601) | |||||||||||
| 1 | LME Copper Futures | July 26, 2013 | 178,762 | 168,515 | (10,247) | |||||||||||
| 1 | LME Copper Futures | August 2, 2013 | 172,877 | 168,567 | (4,310) | |||||||||||
| 2 | LME Copper Futures | August 9, 2013 | 367,549 | 337,235 | (30,314) | |||||||||||
| 1 | LME Copper Futures | August 21, 2013 | 185,218 | 168,706 | (16,512) | |||||||||||
| 2 | LME Copper Futures | September 4, 2013 | 369,003 | 337,494 | (31,509) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 36 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY II HV FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: (continued) | ||||||||||||||||
| 2 | LME Copper Futures | September 12, 2013 | $356,003 | $337,544 | $(18,459) | |||||||||||
| 9 | LME Copper Futures | September 16, 2013 | 1,703,371 | 1,518,975 | (184,396) | |||||||||||
| 2 | LME Copper Futures | September 20, 2013 | 342,178 | 337,521 | (4,657) | |||||||||||
| 5 | LME Copper Futures | December 16, 2013 | 883,012 | 845,375 | (37,637) | |||||||||||
| 1 | LME Lead Futures | July 5, 2013 | 51,377 | 51,033 | (344) | |||||||||||
| 1 | LME Lead Futures | July 16, 2013 | 51,352 | 51,106 | (246) | |||||||||||
| 1 | LME Lead Futures | July 26, 2013 | 51,765 | 51,120 | (645) | |||||||||||
| 1 | LME Lead Futures | September 12, 2013 | 53,377 | 51,269 | (2,108) | |||||||||||
| 7 | LME Lead Futures | September 16, 2013 | 381,568 | 358,794 | (22,774) | |||||||||||
| 2 | LME Lead Futures | September 20, 2013 | 101,403 | 102,521 | 1,118 | |||||||||||
| 1 | LME Lead Futures | September 24, 2013 | 50,030 | 51,269 | 1,239 | |||||||||||
| 2 | LME Lead Futures | September 25, 2013 | 101,653 | 102,541 | 888 | |||||||||||
| 6 | LME Lead Futures | December 16, 2013 | 315,727 | 309,525 | (6,202) | |||||||||||
| 2 | LME Nickel Futures | July 16, 2013 | 189,843 | 163,856 | (25,987) | |||||||||||
| 1 | LME Nickel Futures | August 2, 2013 | 89,126 | 82,001 | (7,125) | |||||||||||
| 1 | LME Nickel Futures | September 12, 2013 | 86,162 | 82,191 | (3,971) | |||||||||||
| 1 | LME Nickel Futures | September 13, 2013 | 85,682 | 82,196 | (3,486) | |||||||||||
| 5 | LME Nickel Futures | September 16, 2013 | 492,284 | 411,105 | (81,179) | |||||||||||
| 1 | LME Nickel Futures | September 20, 2013 | 83,177 | 82,224 | (953) | |||||||||||
| 1 | LME Nickel Futures | September 27, 2013 | 82,802 | 82,260 | (542) | |||||||||||
| 4 | LME Nickel Futures | December 16, 2013 | 341,439 | 330,432 | (11,007) | |||||||||||
| 1 | LME Zinc Futures | July 5, 2013 | 46,377 | 45,560 | (817) | |||||||||||
| 3 | LME Zinc Futures | July 11, 2013 | 142,862 | 136,889 | (5,973) | |||||||||||
| 2 | LME Zinc Futures | July 16, 2013 | 95,003 | 91,376 | (3,627) | |||||||||||
| 2 | LME Zinc Futures | July 26, 2013 | 96,228 | 91,586 | (4,642) | |||||||||||
| 3 | LME Zinc Futures | August 2, 2013 | 139,051 | 137,598 | (1,453) | |||||||||||
| 2 | LME Zinc Futures | August 9, 2013 | 93,903 | 91,876 | (2,027) | |||||||||||
| 1 | LME Zinc Futures | September 4, 2013 | 48,602 | 46,207 | (2,395) | |||||||||||
| 3 | LME Zinc Futures | September 12, 2013 | 139,505 | 138,866 | (639) | |||||||||||
| 1 | LME Zinc Futures | September 13, 2013 | 46,690 | 46,299 | (391) | |||||||||||
| 16 | LME Zinc Futures | September 16, 2013 | 775,213 | 741,600 | (33,613) | |||||||||||
| 1 | LME Zinc Futures | September 25, 2013 | 46,127 | 46,333 | 206 | |||||||||||
| 3 | LME Zinc Futures | September 26, 2013 | 138,155 | 138,986 | 831 | |||||||||||
| 1 | LME Zinc Futures | September 27, 2013 | 46,302 | 46,325 | 23 | |||||||||||
| 13 | LME Zinc Futures | December 16, 2013 | 610,565 | 609,537 | (1,028) | |||||||||||
| 23 | Natural Gas Swap Futures | August 28, 2013 | 222,300 | 204,642 | (17,658) | |||||||||||
| 1 | Soybean Oil Futures | December 13, 2013 | 28,481 | 27,071 | (1,410) | |||||||||||
| 9 | Sugar #11 (World Markets) Futures | September 30, 2013 | 167,877 | 170,553 | 2,676 | |||||||||||
| 8 | Wheat Futures | September 13, 2013 | 287,089 | 263,100 | (23,989) | |||||||||||
| 1 | Amsterdam Index Futures | July 19, 2013 | 91,354 | 89,762 | (1,592) | |||||||||||
| 5 | CAC40 10 Euro Futures | July 19, 2013 | 249,907 | 243,051 | (6,856) | |||||||||||
| 1 | DAX Index Futures | September 20, 2013 | 268,857 | 259,240 | (9,617) | |||||||||||
| 4 | E-Mini Russell 2000 Futures | September 20, 2013 | 396,395 | 389,880 | (6,515) | |||||||||||
| 16 | Euro Stoxx 50 Index | September 20, 2013 | 558,760 | 541,070 | (17,690) | |||||||||||
| 8 | FTSE 100 Index Futures | September 20, 2013 | 768,365 | 749,707 | (18,658) | |||||||||||
| 5 | FTSE/JSE Top 40 Index Futures | September 19, 2013 | 184,251 | 176,049 | (8,202) | |||||||||||
| 1 | FTSE/MIB Index Futures | September 20, 2013 | 105,071 | 99,329 | (5,742) | |||||||||||
| 1 | Hang Seng Index Futures | July 30, 2013 | 128,637 | 133,631 | 4,994 | |||||||||||
| 5 | H-SHARES Index Futures | July 30, 2013 | 290,687 | 297,961 | 7,274 | |||||||||||
| 1 | IBEX 35 Index Futures | July 19, 2013 | 105,110 | 99,822 | (5,288) | |||||||||||
| 2 | KOSPI Index 200 Futures | September 12, 2013 | 219,469 | 211,899 | (7,570) | |||||||||||
| 52 | S&P 500 E-Mini Futures | September 20, 2013 | 4,263,421 | 4,158,180 | (105,241) | |||||||||||
| 3 | S&P MID 400 E-Mini Futures | September 20, 2013 | 353,977 | 347,370 | (6,607) | |||||||||||
| 1 | S&P/Toronto Stock Exchange 60 Index Futures | September 19, 2013 | 134,231 | 131,749 | (2,482) | |||||||||||
| 13 | SGX S&P CNX Nifty Index Futures | July 25, 2013 | 145,849 | 151,502 | 5,653 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 37 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY II HV FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: (continued) | ||||||||||||||||
| 2 | SPI 200 Index Futures | September 19, 2013 | $219,423 | $218,075 | $(1,348) | |||||||||||
| 7 | TOPIX Index Futures | September 12, 2013 | 761,863 | 798,245 | 36,382 | |||||||||||
| 10 | 10-Year Japanese Government Bond Futures | September 9, 2013 | 1,440,895 | 1,437,891 | (3,004) | |||||||||||
| 6 | Australia 10-Year Bond Futures | September 16, 2013 | 667,387 | 649,642 | (17,745) | |||||||||||
| 7 | Canadian 10-Year Bond Futures | September 19, 2013 | 906,718 | 874,651 | (32,067) | |||||||||||
| 26 | Euro - Bund Futures | September 6, 2013 | 4,854,065 | 4,789,447 | (64,618) | |||||||||||
| 13 | U.S. Treasury 10-Year Note Futures | September 19, 2013 | 1,683,148 | 1,645,312 | (37,836) | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| 38,774,290 | 37,476,066 | (1,298,224) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
| Short Contracts: | ||||||||||||||||
| 2 | LME Aluminum Futures | July 11, 2013 | (94,866) | (86,713) | 8,153 | |||||||||||
| 9 | LME Aluminum Futures | July 16, 2013 | (427,036) | (390,769) | 36,267 | |||||||||||
| 1 | LME Aluminum Futures | July 19, 2013 | (47,373) | (43,456) | 3,917 | |||||||||||
| 9 | LME Aluminum Futures | August 2, 2013 | (414,280) | (392,706) | 21,574 | |||||||||||
| 7 | LME Aluminum Futures | August 9, 2013 | (332,139) | (306,060) | 26,079 | |||||||||||
| 1 | LME Aluminum Futures | August 16, 2013 | (45,953) | (43,812) | 2,141 | |||||||||||
| 1 | LME Aluminum Futures | August 21, 2013 | (46,623) | (43,875) | 2,748 | |||||||||||
| 1 | LME Aluminum Futures | August 30, 2013 | (47,623) | (43,989) | 3,634 | |||||||||||
| 1 | LME Aluminum Futures | September 4, 2013 | (48,064) | (44,053) | 4,011 | |||||||||||
| 1 | LME Aluminum Futures | September 12, 2013 | (47,405) | (44,155) | 3,250 | |||||||||||
| 4 | LME Aluminum Futures | September 13, 2013 | (186,478) | (176,671) | 9,807 | |||||||||||
| 35 | LME Aluminum Futures | September 16, 2013 | (1,631,146) | (1,548,094) | 83,052 | |||||||||||
| 3 | LME Aluminum Futures | September 20, 2013 | (135,228) | (132,757) | 2,471 | |||||||||||
| 2 | LME Aluminum Futures | September 24, 2013 | (88,873) | (88,587) | 286 | |||||||||||
| 2 | LME Aluminum Futures | September 25, 2013 | (89,019) | (88,609) | 410 | |||||||||||
| 5 | LME Aluminum Futures | September 26, 2013 | (222,214) | (221,573) | 641 | |||||||||||
| 2 | LME Aluminum Futures | September 27, 2013 | (88,859) | (88,650) | 209 | |||||||||||
| 20 | LME Aluminum Futures | December 16, 2013 | (921,599) | (904,375) | 17,224 | |||||||||||
| 1 | LME Copper Futures | July 11, 2013 | (188,798) | (168,390) | 20,408 | |||||||||||
| 1 | LME Copper Futures | July 16, 2013 | (180,896) | (168,450) | 12,446 | |||||||||||
| 1 | LME Copper Futures | July 26, 2013 | (177,998) | (168,514) | 9,484 | |||||||||||
| 1 | LME Copper Futures | August 2, 2013 | (171,154) | (168,566) | 2,588 | |||||||||||
| 2 | LME Copper Futures | August 9, 2013 | (370,947) | (337,236) | 33,711 | |||||||||||
| 1 | LME Copper Futures | August 21, 2013 | (184,623) | (168,706) | 15,917 | |||||||||||
| 2 | LME Copper Futures | September 4, 2013 | (368,134) | (337,494) | 30,640 | |||||||||||
| 2 | LME Copper Futures | September 12, 2013 | (354,228) | (337,544) | 16,684 | |||||||||||
| 9 | LME Copper Futures | September 16, 2013 | (1,636,048) | (1,518,975) | 117,073 | |||||||||||
| 2 | LME Copper Futures | September 20, 2013 | (339,869) | (337,521) | 2,348 | |||||||||||
| 5 | LME Copper Futures | December 16, 2013 | (898,815) | (845,375) | 53,440 | |||||||||||
| 1 | LME Lead Futures | July 5, 2013 | (51,353) | (51,032) | 321 | |||||||||||
| 1 | LME Lead Futures | July 16, 2013 | (51,014) | (51,106) | (92) | |||||||||||
| 1 | LME Lead Futures | July 26, 2013 | (51,623) | (51,119) | 504 | |||||||||||
| 1 | LME Lead Futures | September 12, 2013 | (52,668) | (51,269) | 1,399 | |||||||||||
| 7 | LME Lead Futures | September 16, 2013 | (367,126) | (358,794) | 8,332 | |||||||||||
| 2 | LME Lead Futures | September 20, 2013 | (101,005) | (102,521) | (1,516) | |||||||||||
| 1 | LME Lead Futures | September 24, 2013 | (49,998) | (51,268) | (1,270) | |||||||||||
| 2 | LME Lead Futures | September 25, 2013 | (100,135) | (102,542) | (2,407) | |||||||||||
| 5 | LME Lead Futures | December 16, 2013 | (257,953) | (257,937) | 16 | |||||||||||
| 2 | LME Nickel Futures | July 16, 2013 | (186,598) | (163,856) | 22,742 | |||||||||||
| 1 | LME Nickel Futures | August 2, 2013 | (89,176) | (82,001) | 7,175 | |||||||||||
| 1 | LME Nickel Futures | September 12, 2013 | (86,183) | (82,191) | 3,992 | |||||||||||
| 1 | LME Nickel Futures | September 13, 2013 | (84,863) | (82,196) | 2,667 | |||||||||||
| 5 | LME Nickel Futures | September 16, 2013 | (447,550) | (411,105) | 36,445 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 38 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY II HV FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts: (continued) | ||||||||||||||||
| 1 | LME Nickel Futures | September 20, 2013 | $(82,798) | $(82,224) | $574 | |||||||||||
| 1 | LME Nickel Futures | September 27, 2013 | (82,544) | (82,260) | 284 | |||||||||||
| 3 | LME Nickel Futures | December 16, 2013 | (256,244) | (247,824) | 8,420 | |||||||||||
| 1 | LME Zinc Futures | July 5, 2013 | (46,998) | (45,560) | 1,438 | |||||||||||
| 3 | LME Zinc Futures | July 11, 2013 | (141,675) | (136,890) | 4,785 | |||||||||||
| 2 | LME Zinc Futures | July 16, 2013 | (94,002) | (91,377) | 2,625 | |||||||||||
| 2 | LME Zinc Futures | July 26, 2013 | (95,997) | (91,587) | 4,410 | |||||||||||
| 3 | LME Zinc Futures | August 2, 2013 | (138,820) | (137,597) | 1,223 | |||||||||||
| 2 | LME Zinc Futures | August 9, 2013 | (94,190) | (91,877) | 2,313 | |||||||||||
| 1 | LME Zinc Futures | September 4, 2013 | (48,242) | (46,206) | 2,036 | |||||||||||
| 3 | LME Zinc Futures | September 12, 2013 | (139,248) | (138,866) | 382 | |||||||||||
| 1 | LME Zinc Futures | September 13, 2013 | (46,073) | (46,298) | (225) | |||||||||||
| 16 | LME Zinc Futures | September 16, 2013 | (746,405) | (741,600) | 4,805 | |||||||||||
| 1 | LME Zinc Futures | September 25, 2013 | (45,870) | (46,333) | (463) | |||||||||||
| 3 | LME Zinc Futures | September 26, 2013 | (137,394) | (138,985) | (1,591) | |||||||||||
| 1 | LME Zinc Futures | September 27, 2013 | (46,355) | (46,325) | 30 | |||||||||||
| 9 | LME Zinc Futures | December 16, 2013 | (424,408) | (421,987) | 2,421 | |||||||||||
| 7 | Wheat Futures | December 13, 2013 | (247,838) | (235,025) | 12,813 | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| (14,678,634) | (14,013,433) | 665,201 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
| $24,095,656 | $23,462,633 | $(633,023) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
Cash held as collateral with broker for futures contracts was $1,807,807 at June 30, 2013.
Forward foreign currency exchange contracts outstanding as of June 30, 2013:
Over the Counter
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Swiss Franc, Expiring 09/18/13 |
The Royal Bank of Scotland | CHF | 11,000 | $11,723 | $11,654 | $(69) | ||||||||||||||
| Euro, Expiring 09/18/13 |
The Royal Bank of Scotland | EUR | 11,880,333 | 15,611,506 | 15,469,477 | (142,029) | ||||||||||||||
| British Pound, Expiring 09/18/13 |
The Royal Bank of Scotland | GBP | 4,864,255 | 7,486,147 | 7,394,382 | (91,765) | ||||||||||||||
| Russian Ruble, Expiring 09/18/13* |
The Royal Bank of Scotland | RUB | 13,773,000 | 417,327 | 413,330 | (3,997) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 23,526,703 | 23,288,843 | (237,860) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Swiss Franc, Expiring 09/18/13 |
The Royal Bank of Scotland | CHF | (18,000) | $(19,094) | $(19,070) | $24 | ||||||||||||||
| Euro, Expiring 09/18/13 |
The Royal Bank of Scotland | EUR | (14,977,487) | (19,662,665) | (19,502,305) | 160,360 | ||||||||||||||
| British Pound, Expiring 09/18/13 |
The Royal Bank of Scotland | GBP | (5,537,900) | (8,527,489) | (8,418,422) | 109,067 | ||||||||||||||
| Hong Kong Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | HKD | (191,000) | (24,626) | (24,634) | (8) | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 39 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR RISK PARITY II HV FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Japanese Yen, Expiring 09/18/13 |
The Royal Bank of Scotland | JPY | (12,000) | $(121) | $(121) | $— | ||||||||||||||
| Russian Ruble, Expiring 09/18/13* |
The Royal Bank of Scotland | RUB | (22,708,000) | (691,843) | (681,470) | 10,373 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (28,925,838) | (28,646,022) | 279,816 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(5,399,135) | $(5,357,179) | $41,956 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
Money Market Fund held as collateral with broker for forward foreign currency exchange contracts was $60,000 at June 30, 2013.
| * | Non deliverable forward. See Note 3 in the Notes to Financial Statements. |
BRL - Brazilian Real
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
RUB - Russian Ruble
| The accompanying notes are an integral part of these financial statements. |
| 40 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 41 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 42 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 43 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 44 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 45 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| CONVERTIBLE PREFERRED STOCKS - 0.7% | ||||||||
| United States - 0.7% | ||||||||
| 2010 Swift Mandatory Common Exchange Security Trust 144A, $11.00 par, 6.000% 12/31/13 †(a)(c) | 36,800 | 507,770 | ||||||
| Cliffs Natural Resources, Inc., $25.00 par, 7.000% (1) 02/01/16 †(a) | 6,900 | 122,406 | ||||||
| Dominion Resources, Inc., Series B, $50.00 par, 6.000% (1) 07/01/16 †(a) | 11,750 | 588,087 | ||||||
| NextEra Energy, Inc., $50.00 par, 5.599% (1) 06/01/15 (a) | 43,975 | 2,480,190 | ||||||
| NextEra Energy, Inc., $50.00 par, 5.599% (1) 06/01/15 † | 842,500 | 475,170 | ||||||
| PPL Corp., $50.00 par, 9.500% (1) 07/01/13 (a) | 91,050 | 4,771,931 | ||||||
|
|
|
|||||||
| TOTAL CONVERTIBLE PREFERRED STOCKS |
8,945,554 | |||||||
|
|
|
|||||||
| INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’s) |
||||||||||||||
| CORPORATE BONDS - 11.0% | ||||||||||||||||
| Mexico - 0.6% | ||||||||||||||||
| Cemex SAB de CV (a) | 3.250% | 03/15/16 | $ | 6,225 | 7,555,594 | |||||||||||
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 46 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’s) |
VALUE (Note 3) |
|||||||||||||
| United Kingdom - 0.2% | ||||||||||||||||
| Virgin Media Finance PLC | 4.875% | 02/15/22 | $ | 3,125 | $ | 2,875,000 | ||||||||||
|
|
|
|||||||||||||||
| United States - 10.2% | ||||||||||||||||
| American Airlines, Inc. (d) | 10.500% | 10/15/12 | 500 | 598,750 | ||||||||||||
| American Airlines, Inc. 144A (a)(c)(d) | 7.500% | 03/15/16 | 2,825 | 3,284,062 | ||||||||||||
| Annaly Capital Management, Inc. (a) | 5.000% | 05/15/15 | 425 | 428,719 | ||||||||||||
| Archer-Daniels-Midland Co. (a) | 0.875% | 02/15/14 | 600 | 604,875 | ||||||||||||
| Chart Industries, Inc. (a) | 2.000% | 08/01/18 | 2,275 | 3,411,078 | ||||||||||||
| Clearwire Communications LLC/Clearwire Finance, Inc. 144A (a)(c) | 12.000% | 12/01/17 | 1,904 | 2,203,880 | ||||||||||||
| Copano Energy LLC/Copano Energy Finance Corp. | 7.125% | 04/01/21 | 125 | 139,062 | ||||||||||||
| General Cable Corp. (a)(e) | 4.500% | 11/15/29 | 3,475 | 3,831,188 | ||||||||||||
| Gilead Sciences, Inc., Series D (a) | 1.625% | 05/01/16 | 8,800 | 19,915,500 | ||||||||||||
| Health Care REIT, Inc. (a) | 3.000% | 12/01/29 | 5,175 | 6,847,172 | ||||||||||||
| L-3 Communications Holdings, Inc. (a) | 3.000% | 08/01/35 | 2,850 | 2,898,094 | ||||||||||||
| Microchip Technology, Inc. (a) | 2.125% | 12/15/37 | 11,725 | 17,008,578 | ||||||||||||
| Micron Technology, Inc., Series C 144A (a)(c) | 2.375% | 05/01/32 | 4,750 | 7,588,125 | ||||||||||||
| Omnicare, Inc. (a) | 3.750% | 12/15/25 | 725 | 1,341,250 | ||||||||||||
| PHH Corp. (a) | 6.000% | 06/15/17 | 14,402 | 25,851,590 | ||||||||||||
| Plains Exploration & Production Co. (a) | 6.875% | 02/15/23 | 1,025 | 1,096,650 | ||||||||||||
| Salesforce.com, Inc. (a) | 0.750% | 01/15/15 | 4,650 | 8,419,406 | ||||||||||||
| Smithfield Foods, Inc. (a) | 4.000% | 06/30/13 | 4,625 | 6,100,306 | ||||||||||||
| Vishay Intertechnology, Inc. 144A (a)(c) | 2.250% | 11/15/40 | 2,425 | 2,682,656 | ||||||||||||
| Xilinx, Inc. (a) | 3.125% | 03/15/37 | 12,425 | 17,146,500 | ||||||||||||
|
|
|
|||||||||||||||
| 131,397,441 | ||||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CORPORATE BONDS |
141,828,035 | |||||||||||||||
|
|
|
|||||||||||||||
| CONVERTIBLE BONDS - 16.3% | ||||||||||||||||
| Canada - 0.0% (b) | ||||||||||||||||
| Petrominerales Ltd. | 3.250% | 06/12/17 | 400 | 310,400 | ||||||||||||
| Silver Standard Resources, Inc. 144A (a)(c) | 2.875% | 02/01/33 | 125 | 93,984 | ||||||||||||
|
|
|
|||||||||||||||
| 404,384 | ||||||||||||||||
|
|
|
|||||||||||||||
| India - 0.0% (b) | ||||||||||||||||
| Sterlite Industries India Ltd. (a) | 4.000% | 10/30/14 | 225 | 218,672 | ||||||||||||
|
|
|
|||||||||||||||
| Malta - 0.1% | ||||||||||||||||
| Lufthansa Malta Blues LP, Series JBLU 144A (c) | 0.750% | 04/05/17 | 475 | 725,123 | ||||||||||||
|
|
|
|||||||||||||||
| Mexico - 0.1% | ||||||||||||||||
| Cemex SAB de CV | 4.875% | 03/15/15 | 1,100 | 1,258,125 | ||||||||||||
|
|
|
|||||||||||||||
| Netherlands - 0.2% | ||||||||||||||||
| Volkswagen International Finance NV 144A (c) | 5.500% | 11/09/15 | 2,000 | 2,670,205 | ||||||||||||
|
|
|
|||||||||||||||
| United States - 15.9% | ||||||||||||||||
| Alcoa, Inc. (a) | 5.250% | 03/15/14 | 975 | 1,237,031 | ||||||||||||
| Alpha Natural Resources, Inc. (a) | 3.750% | 12/15/17 | 250 | 212,500 | ||||||||||||
| Amkor Technology, Inc. (a) | 6.000% | 04/15/14 | 3,475 | 5,014,859 | ||||||||||||
| Ares Capital Corp. 144A (a)(c) | 5.750% | 02/01/16 | 1,625 | 1,775,312 | ||||||||||||
| Avis Budget Group, Inc. (a) | 3.500% | 10/01/14 | 8,575 | 15,692,250 | ||||||||||||
| Cadence Design Systems, Inc. (a) | 2.625% | 06/01/15 | 2,900 | 5,633,250 | ||||||||||||
| Ciena Corp., Series WI (a) | 4.000% | 12/15/20 | 1,166 | 1,520,901 | ||||||||||||
| Cobalt International Energy, Inc. (a) | 2.625% | 12/01/19 | 825 | 875,016 | ||||||||||||
| DDR Corp. (a) | 1.750% | 11/15/40 | 2,070 | 2,414,137 | ||||||||||||
| Digital Realty Trust LP 144A (a)(c) | 5.500% | 04/15/29 | 1,650 | 2,561,625 | ||||||||||||
| DR Horton, Inc., Series DHI | 2.000% | 05/15/14 | 2,350 | 3,899,531 | ||||||||||||
| Electronic Arts, Inc. (a) | 0.750% | 07/15/16 | 1,475 | 1,535,844 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 47 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000’s) |
VALUE (Note 3) |
|||||||||||||
| United States - 15.9% (continued) | ||||||||||||||||
| Equinix, Inc. (a) | 4.750% | 06/15/16 | $ | 4,450 | $ | 10,104,281 | ||||||||||
| Exelixis, Inc. (a) | 4.250% | 08/15/19 | 650 | 628,875 | ||||||||||||
| Exterran Holdings, Inc. (a) | 4.250% | 06/15/14 | 1,825 | 2,346,266 | ||||||||||||
| Gaylord Entertainment Co. 144A (a)(c) | 3.750% | 10/01/14 | 2,800 | 4,991,000 | ||||||||||||
| General Cable Corp. (a) | 0.875% | 11/15/13 | 1,925 | 1,920,187 | ||||||||||||
| Hertz Global Holdings, Inc. (a) | 5.250% | 06/01/14 | 5,775 | 17,368,313 | ||||||||||||
| Hornbeck Offshore Services, Inc. (a)(e) | 1.625% | 11/15/26 | 2,250 | 2,595,825 | ||||||||||||
| Host Hotels & Resorts LP 144A (a)(c) | 2.500% | 10/15/29 | 6,575 | 8,917,344 | ||||||||||||
| Jefferies Group LLC (a) | 3.875% | 11/01/29 | — | — | ||||||||||||
| Knight Capital Group, Inc. (a) | 3.500% | 03/15/15 | 325 | 324,797 | ||||||||||||
| Lennar Corp. 144A (a)(c) | 3.250% | 11/15/21 | 4,800 | 8,058,000 | ||||||||||||
| Lennar Corp. 144A (a)(c) | 2.750% | 12/15/20 | 4,800 | 8,217,000 | ||||||||||||
| MGIC Investment Corp. (a) | 2.000% | 04/01/20 | 1,750 | 1,981,875 | ||||||||||||
| MGM Resorts International (a) | 4.250% | 04/15/15 | 1,150 | 1,287,281 | ||||||||||||
| Micron Technology, Inc. (a) | 1.875% | 06/01/14 | 6,075 | 6,910,313 | ||||||||||||
| Micron Technology, Inc., Series D 144A (a)(c) | 3.125% | 05/01/32 | 1,375 | 2,193,984 | ||||||||||||
| Navistar International Corp. (a) | 3.000% | 10/15/14 | 50 | 48,563 | ||||||||||||
| PHH Corp. (a) | 4.000% | 09/01/14 | 600 | 634,500 | ||||||||||||
| Radian Group, Inc. (a) | 2.250% | 03/01/19 | 3,950 | 5,038,719 | ||||||||||||
| Radian Group, Inc. (a) | 3.000% | 11/15/17 | 3,025 | 3,781,250 | ||||||||||||
| Regeneron Pharmaceuticals, Inc. (a) | 1.875% | 10/01/16 | 6,550 | 17,549,906 | ||||||||||||
| Salesforce.com, Inc. 144A (a)(c) | 0.250% | 04/01/18 | 3,050 | 2,903,219 | ||||||||||||
| SL Green Operating Partnership LP 144A (a)(c) | 3.000% | 10/15/17 | 5,325 | 6,419,953 | ||||||||||||
| Standard Pacific Corp. (a) | 1.250% | 08/01/32 | 350 | 446,469 | ||||||||||||
| Stillwater Mining Co., Series SWC (a) | 1.750% | 10/15/32 | 200 | 205,125 | ||||||||||||
| SunPower Corp. (a) | 4.500% | 03/15/15 | 875 | 1,021,016 | ||||||||||||
| Theravance, Inc. (a) | 2.125% | 01/15/23 | 325 | 500,906 | ||||||||||||
| Tyson Foods, Inc. | 3.250% | 10/15/13 | 2,175 | 3,315,516 | ||||||||||||
| United States Steel Corp. (a) | 4.000% | 05/15/14 | 1,425 | 1,457,063 | ||||||||||||
| VeriSign, Inc. (a) | 3.250% | 08/15/37 | 19,969 | 28,093,887 | ||||||||||||
| Virgin Media, Inc. (a) | 6.500% | 11/15/16 | 725 | 1,925,781 | ||||||||||||
| XM Satellite Radio, Inc. 144A (a)(c) | 7.000% | 12/01/14 | 6,500 | 12,358,125 | ||||||||||||
|
|
|
|||||||||||||||
| 205,917,595 | ||||||||||||||||
|
|
|
|||||||||||||||
| TOTAL CONVERTIBLE BONDS |
211,194,104 | |||||||||||||||
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 48 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 49 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 50 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 51 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 52 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
Credit default swap contracts sell protection as of June 30, 2013:
Exchange Cleared
| COUNTERPARTY | REFERENCE ENTITY | FIXED ANNUAL RATE RECEIVED BY FUND |
CURRENCY | CREDIT SPREAD |
NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||||
| CitiBank | Markit CDX North America High Yield Index Series 20 | 5.000% | USD | 4.290% | 46,550,000 | $1,547,022 | 06/20/2018 | $(79,790) | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||||||||||
Cash held as collateral for CitiBank was $2,246,452 at June 30, 2013.
Open written options contracts outstanding at June 30, 2013:
Call Options Written
| SHARES | ISSUER | COUNTERPARTY | EXPIRATION DATE | PROCEEDS | VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||
| 3,414 | Clearwire Corp. (Exercise price $3) (1) | J.P. Morgan | September 21, 2013 | $(143,388) | $(665,730) | $(522,342) | ||||||||||||||||
| 5,306 | Clearwire Corp. (Exercise price $4) (1) | J.P. Morgan | December 21, 2013 | (42,086) | (504,070) | (461,984) | ||||||||||||||||
| 447 | Dell, Inc. (Exercise price $13) (1) | J.P. Morgan | August 17, 2013 | (32,631) | (27,714) | 4,917 | ||||||||||||||||
| 76 | Knight Capital Group, Inc. (Exercise price $4) | J.P. Morgan | July 20, 2013 | (104) | (304) | (200) | ||||||||||||||||
| 28 | Knight Capital Group, Inc. (Exercise price $5) (3) | J.P. Morgan | July 20, 2013 | – | (112) | (112) | ||||||||||||||||
| 1,432 | Sprint Nextel Corp. (Exercise price $10) (1) | J.P. Morgan | January 18, 2014 | (10,238) | (5,728) | 4,510 | ||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||
| $(228,447) | $(1,203,658) | $(975,211) | ||||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||||
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) | Level 1 security (See Note 5). |
| (3) | Level 3 security (See Note 5). |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 53 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
Total return swap contracts outstanding as of June 30, 2013:
Over the Counter
| COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Bank of America | 10-Year Japanese Government Bond Futures | 9/10/2013 | JPY | (142,231,500) | $(4,767) | |||||||||||
| Morgan Stanley and Co., International PLC | Bovespa Index | 8/14/2013 | BRL | (33,807,943) | 1,342,603 | |||||||||||
| Bank of America | Canadian 10-Year Bond Futures | 9/19/2013 | CAD | (14,390,131) | 316,851 | |||||||||||
| Barclays Capital | Cocoa Futures | 9/13/2013 | USD | 552,720 | (33,350) | |||||||||||
| Barclays Capital | Cocoa Futures | 9/13/2013 | USD | (460,600) | (4,452) | |||||||||||
| Barclays Capital | Corn Futures | 9/13/2013 | USD | (1,305,700) | 101,750 | |||||||||||
| Deutsche Bank | Corn Futures | 9/13/2013 | USD | 2,399,000 | (210,000) | |||||||||||
| Bank of America | Euro - Bobl Futures | 9/6/2013 | EUR | (13,142,458) | (3,854) | |||||||||||
| Bank of America | Euro - Bund Futures | 9/6/2013 | EUR | 60,517,490 | (1,055,544) | |||||||||||
| Bank of America | Euro - SCHATZ Futures | 9/6/2013 | EUR | (76,934,490) | 23,977 | |||||||||||
| Bank of America | Euro-Buxl 30-Year Bond Futures | 9/6/2013 | EUR | (8,299,008) | 96,635 | |||||||||||
| Merrill Lynch | Gold 100 OZ Futures | 8/28/2013 | USD | (2,400,740) | 320,450 | |||||||||||
| Morgan Stanley and Co., International PLC | H-SHARES Index Futures | 7/30/2013 | HKD | 11,100,825 | 58,548 | |||||||||||
| Barclays Capital | Lean Hogs Futures | 7/15/2013 | USD | (9,430,644) | (779,259) | |||||||||||
| Barclays Capital | Lean Hogs Futures | 7/15/2013 | USD | 9,430,644 | 593,022 | |||||||||||
| Barclays Capital | Lean Hogs Futures | 8/14/2013 | USD | 2,541,500 | (7,800) | |||||||||||
| Barclays Capital | LME Aluminum Futures | 9/16/2013 | USD | (942,809) | 58,184 | |||||||||||
| Barclays Capital | LME Copper Futures | 9/16/2013 | USD | (365,750) | 28,200 | |||||||||||
| Barclays Capital | LME Nickel Futures | 9/16/2013 | USD | (633,150) | 57,603 | |||||||||||
| Bank of America | Long Gilt Futures | 9/26/2013 | GBP | (72,032,018) | 4,433,101 | |||||||||||
| Morgan Stanley and Co., International PLC | MSCI Taiwan Stock Index Futures | 7/30/2013 | USD | 2,342,150 | 89,500 | |||||||||||
| Morgan Stanley and Co., International PLC | Russian Trading System Index Futures | 9/16/2013 | USD | 14,100,494 | 209,376 | |||||||||||
| Merrill Lynch | Silver Futures | 9/26/2013 | USD | (434,340) | 44,940 | |||||||||||
| Barclays Capital | Soybean Futures | 11/14/2013 | USD | 7,243,305 | (294,413) | |||||||||||
| Barclays Capital | Soybean Futures | 11/14/2013 | USD | (9,424,245) | 261,231 | |||||||||||
| Deutsche Bank | Soybean Futures | 11/14/2013 | USD | 2,209,150 | (80,750) | |||||||||||
| Deutsche Bank | Soybean Meal Futures | 12/13/2013 | USD | 750,195 | (39,595) | |||||||||||
| Barclays Capital | Soybean Oil Futures | 12/13/2013 | USD | (2,329,691) | 109,787 | |||||||||||
| Morgan Stanley and Co., International PLC | Swiss Market Index Futures | 9/20/2013 | CHF | (16,203,895) | (29,439) | |||||||||||
| Bank of America | U.S. Long Bond Futures | 9/19/2013 | USD | (11,886,793) | 340,074 | |||||||||||
| Bank of America | U.S. Treasury 10-Year Note Futures | 9/19/2013 | USD | 205,327,900 | (3,966,962) | |||||||||||
| Bank of America | U.S. Treasury 2-Year Note Futures | 9/30/2013 | USD | (85,580,690) | 690 | |||||||||||
| Bank of America | U.S. Treasury 5-Year Note Futures | 9/30/2013 | USD | (27,882,495) | 283,808 | |||||||||||
|
|
|
|||||||||||||||
| $2,260,145 | ||||||||||||||||
|
|
|
|||||||||||||||
Money Market is pledged as collateral to brokers for total return swap contracts in the amount of $12,088,453. Additional cash held as collateral for Bank of America and Deutsche Bank was $350,000 and $400,000, respectively.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 54 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
Open futures contracts outstanding at June 30, 2013:
Exchange Traded
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: | ||||||||||||||||
| 3 | Cocoa Futures | September 13, 2013 | $69,539 | $64,920 | $(4,619) | |||||||||||
| 336 | Corn Futures | September 13, 2013 | 9,648,644 | 9,193,800 | (454,844) | |||||||||||
| 43 | Cotton No. 2 Futures | December 6, 2013 | 1,898,057 | 1,806,215 | (91,842) | |||||||||||
| 19 | Globex Brent FCL Futures | July 15, 2013 | 1,986,110 | 1,941,040 | (45,070) | |||||||||||
| 25 | Globex RBOB Gas Futures | July 30, 2013 | 2,953,264 | 2,851,380 | (101,884) | |||||||||||
| 35 | Lean Hogs Futures | August 14, 2013 | 1,375,248 | 1,364,300 | (10,948) | |||||||||||
| 33 | LME Aluminum Futures | July 2, 2013 | 1,566,315 | 1,427,043 | (139,272) | |||||||||||
| 6 | LME Aluminum Futures | July 3, 2013 | 280,697 | 259,537 | (21,160) | |||||||||||
| 2 | LME Aluminum Futures | July 26, 2013 | 96,737 | 87,090 | (9,647) | |||||||||||
| 6 | LME Aluminum Futures | July 29, 2013 | 282,110 | 261,501 | (20,609) | |||||||||||
| 135 | LME Aluminum Futures | August 2, 2013 | 6,232,186 | 5,890,590 | (341,596) | |||||||||||
| 7 | LME Aluminum Futures | August 8, 2013 | 331,824 | 305,972 | (25,852) | |||||||||||
| 8 | LME Aluminum Futures | August 9, 2013 | 379,783 | 349,782 | (30,001) | |||||||||||
| 7 | LME Aluminum Futures | August 16, 2013 | 322,811 | 306,680 | (16,131) | |||||||||||
| 9 | LME Aluminum Futures | August 20, 2013 | 414,239 | 394,760 | (19,479) | |||||||||||
| 4 | LME Aluminum Futures | August 21, 2013 | 186,706 | 175,500 | (11,206) | |||||||||||
| 11 | LME Aluminum Futures | August 22, 2013 | 512,893 | 482,766 | (30,127) | |||||||||||
| 16 | LME Aluminum Futures | August 30, 2013 | 759,747 | 703,832 | (55,915) | |||||||||||
| 10 | LME Aluminum Futures | September 3, 2013 | 482,852 | 440,405 | (42,447) | |||||||||||
| 8 | LME Aluminum Futures | September 4, 2013 | 385,346 | 352,426 | (32,920) | |||||||||||
| 17 | LME Aluminum Futures | September 5, 2013 | 837,322 | 749,117 | (88,205) | |||||||||||
| 24 | LME Aluminum Futures | September 6, 2013 | 1,177,985 | 1,057,884 | (120,101) | |||||||||||
| 2 | LME Aluminum Futures | September 10, 2013 | 96,607 | 88,259 | (8,348) | |||||||||||
| 26 | LME Aluminum Futures | September 13, 2013 | 1,205,442 | 1,148,362 | (57,080) | |||||||||||
| 77 | LME Aluminum Futures | September 16, 2013 | 3,757,817 | 3,405,806 | (352,011) | |||||||||||
| 4 | LME Aluminum Futures | September 19, 2013 | 183,606 | 176,967 | (6,639) | |||||||||||
| 26 | LME Aluminum Futures | September 20, 2013 | 1,166,442 | 1,150,552 | (15,890) | |||||||||||
| 3 | LME Aluminum Futures | September 27, 2013 | 133,381 | 132,975 | (406) | |||||||||||
| 7 | LME Copper Futures | July 2, 2013 | 1,307,261 | 1,177,925 | (129,336) | |||||||||||
| 7 | LME Copper Futures | July 3, 2013 | 1,299,386 | 1,178,026 | (121,360) | |||||||||||
| 6 | LME Copper Futures | July 5, 2013 | 1,106,960 | 1,009,913 | (97,047) | |||||||||||
| 14 | LME Copper Futures | July 16, 2013 | 2,537,758 | 2,358,307 | (179,451) | |||||||||||
| 15 | LME Copper Futures | July 19, 2013 | 2,617,149 | 2,527,099 | (90,050) | |||||||||||
| 5 | LME Copper Futures | August 2, 2013 | 866,714 | 842,831 | (23,883) | |||||||||||
| 2 | LME Copper Futures | August 22, 2013 | 371,950 | 337,413 | (34,537) | |||||||||||
| 4 | LME Copper Futures | August 23, 2013 | 728,379 | 674,825 | (53,554) | |||||||||||
| 6 | LME Copper Futures | August 29, 2013 | 1,087,060 | 1,012,367 | (74,693) | |||||||||||
| 5 | LME Copper Futures | August 30, 2013 | 912,802 | 843,657 | (69,145) | |||||||||||
| 1 | LME Copper Futures | September 4, 2013 | 184,052 | 168,747 | (15,305) | |||||||||||
| 5 | LME Copper Futures | September 5, 2013 | 932,656 | 843,750 | (88,906) | |||||||||||
| 5 | LME Copper Futures | September 6, 2013 | 907,758 | 843,766 | (63,992) | |||||||||||
| 6 | LME Copper Futures | September 12, 2013 | 1,068,010 | 1,012,632 | (55,378) | |||||||||||
| 16 | LME Copper Futures | September 13, 2013 | 2,828,333 | 2,700,400 | (127,933) | |||||||||||
| 10 | LME Copper Futures | September 16, 2013 | 1,845,003 | 1,687,750 | (157,253) | |||||||||||
| 3 | LME Copper Futures | September 17, 2013 | 530,705 | 506,325 | (24,380) | |||||||||||
| 5 | LME Copper Futures | September 19, 2013 | 873,914 | 843,812 | (30,102) | |||||||||||
| 10 | LME Copper Futures | September 20, 2013 | 1,701,416 | 1,687,605 | (13,811) | |||||||||||
| 7 | LME Nickel Futures | July 8, 2013 | 682,511 | 573,228 | (109,283) | |||||||||||
| 5 | LME Nickel Futures | July 16, 2013 | 475,958 | 409,641 | (66,317) | |||||||||||
| 2 | LME Nickel Futures | July 17, 2013 | 186,723 | 163,866 | (22,857) | |||||||||||
| 5 | LME Nickel Futures | July 19, 2013 | 458,558 | 409,708 | (48,850) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 55 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Long Contracts: (continued) | ||||||||||||||||
| 3 | LME Nickel Futures | July 22, 2013 | $274,505 | $245,863 | $(28,642) | |||||||||||
| 1 | LME Nickel Futures | July 24, 2013 | 91,784 | 81,963 | (9,821) | |||||||||||
| 3 | LME Nickel Futures | July 29, 2013 | 275,999 | 245,953 | (30,046) | |||||||||||
| 4 | LME Nickel Futures | August 2, 2013 | 356,506 | 328,007 | (28,499) | |||||||||||
| 11 | LME Zinc Futures | July 2, 2013 | 515,368 | 500,775 | (14,593) | |||||||||||
| 10 | LME Zinc Futures | July 3, 2013 | 464,766 | 455,368 | (9,398) | |||||||||||
| 34 | LME Zinc Futures | July 5, 2013 | 1,602,079 | 1,549,040 | (53,039) | |||||||||||
| 21 | LME Zinc Futures | August 2, 2013 | 973,468 | 963,181 | (10,287) | |||||||||||
| 14 | LME Zinc Futures | August 8, 2013 | 665,248 | 642,988 | (22,260) | |||||||||||
| 25 | LME Zinc Futures | August 9, 2013 | 1,178,498 | 1,148,456 | (30,042) | |||||||||||
| 5 | LME Zinc Futures | September 3, 2013 | 242,955 | 230,980 | (11,975) | |||||||||||
| 11 | LME Zinc Futures | September 4, 2013 | 532,592 | 508,269 | (24,323) | |||||||||||
| 9 | LME Zinc Futures | September 5, 2013 | 441,022 | 415,949 | (25,073) | |||||||||||
| 14 | LME Zinc Futures | September 6, 2013 | 680,107 | 647,174 | (32,933) | |||||||||||
| 1 | LME Zinc Futures | September 10, 2013 | 47,025 | 46,268 | (757) | |||||||||||
| 40 | LME Zinc Futures | September 16, 2013 | 1,947,034 | 1,854,000 | (93,034) | |||||||||||
| 810 | Natural Gas Swap Futures | July 29, 2013 | 7,841,330 | 7,219,125 | (622,205) | |||||||||||
| 106 | Soybean Futures | November 14, 2013 | 6,858,244 | 6,635,600 | (222,644) | |||||||||||
| 144 | Soybean Meal Futures | December 13, 2013 | 5,658,475 | 5,385,600 | (272,875) | |||||||||||
| 453 | CAC40 10 Euro Futures | July 19, 2013 | 22,619,617 | 22,020,384 | (599,233) | |||||||||||
| 155 | DAX Index Futures | September 20, 2013 | 40,891,750 | 40,182,179 | (709,571) | |||||||||||
| 82 | DJIA Mini E-CBOT Futures | September 20, 2013 | 6,213,374 | 6,077,840 | (135,534) | |||||||||||
| 696 | Euro Stoxx 50 Index | September 20, 2013 | 24,360,482 | 23,536,539 | (823,943) | |||||||||||
| 143 | FTSE 100 Index Futures | September 20, 2013 | 13,742,549 | 13,401,007 | (341,542) | |||||||||||
| 382 | FTSE/JSE Top 40 Index Futures | September 19, 2013 | 14,027,469 | 13,450,119 | (577,350) | |||||||||||
| 260 | H-SHARES Index Futures | July 30, 2013 | 14,948,874 | 15,493,969 | 545,095 | |||||||||||
| 88 | IBEX 35 Index Futures | July 19, 2013 | 9,244,868 | 8,784,357 | (460,511) | |||||||||||
| 33 | MSCI Taiwan Stock Index Futures | July 30, 2013 | 888,267 | 922,350 | 34,083 | |||||||||||
| 99 | NASDAQ 100 E-Mini Futures | September 20, 2013 | 5,881,758 | 5,744,475 | (137,283) | |||||||||||
| 29 | S&P MID 400 E-Mini Futures | September 20, 2013 | 3,422,793 | 3,357,910 | (64,883) | |||||||||||
| 4 | S&P/Toronto Stock Exchange 60 Index Futures | September 19, 2013 | 536,007 | 526,995 | (9,012) | |||||||||||
| 302 | TOPIX Index Futures | September 12, 2013 | 33,456,154 | 34,438,597 | 982,443 | |||||||||||
| 787 | 3-Month Euro Euribor Futures | December 16, 2013 | 255,420,738 | 255,228,897 | (191,841) | |||||||||||
| 264 | 3-Month Euro Euribor Futures | March 17, 2014 | 85,689,558 | 85,552,378 | (137,180) | |||||||||||
| 185 | 3-Month Euro Euribor Futures | June 16, 2014 | 59,919,507 | 59,912,346 | (7,161) | |||||||||||
| 1,705 | 90-Day EURODollar Futures | December 16, 2013 | 424,757,036 | 424,651,562 | (105,474) | |||||||||||
| 590 | 90-Day EURODollar Futures | March 17, 2014 | 146,914,183 | 146,865,750 | (48,433) | |||||||||||
| 262 | 90-Day EURODollar Futures | June 16, 2014 | 65,213,778 | 65,179,050 | (34,728) | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| 1,323,030,493 | 1,314,814,317 | (8,216,176) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
| Short Contracts: | ||||||||||||||||
| 137 | Coffee ‘C’ Futures | September 18, 2013 | (6,623,471) | (6,185,550) | 437,921 | |||||||||||
| 65 | Crude Oil Financial Futures | July 19, 2013 | (6,191,240) | (6,276,400) | (85,160) | |||||||||||
| 3 | Globex Heat Oil Futures | July 30, 2013 | (360,310) | (360,209) | 101 | |||||||||||
| 54 | Gold 100 OZ Futures | August 28, 2013 | (7,548,193) | (6,607,980) | 940,213 | |||||||||||
| 25 | ICE Euro Gasoil Futures | July 10, 2013 | (2,148,750) | (2,208,125) | (59,375) | |||||||||||
| 33 | LME Aluminum Futures | July 2, 2013 | (1,566,122) | (1,427,043) | 139,079 | |||||||||||
| 6 | LME Aluminum Futures | July 3, 2013 | (280,838) | (259,537) | 21,301 | |||||||||||
| 2 | LME Aluminum Futures | July 26, 2013 | (96,697) | (87,091) | 9,606 | |||||||||||
| 6 | LME Aluminum Futures | July 29, 2013 | (282,590) | (261,501) | 21,089 | |||||||||||
| 135 | LME Aluminum Futures | August 2, 2013 | (6,220,096) | (5,890,590) | 329,506 | |||||||||||
| 7 | LME Aluminum Futures | August 8, 2013 | (334,239) | (305,972) | 28,267 | |||||||||||
| 8 | LME Aluminum Futures | August 9, 2013 | (378,062) | (349,782) | 28,280 | |||||||||||
| 7 | LME Aluminum Futures | August 16, 2013 | (322,639) | (306,681) | 15,958 | |||||||||||
| 9 | LME Aluminum Futures | August 20, 2013 | (414,021) | (394,760) | 19,261 | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 56 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts: (continued) | ||||||||||||||||
| 4 | LME Aluminum Futures | August 21, 2013 | $(186,561) | $(175,500) | $11,061 | |||||||||||
| 11 | LME Aluminum Futures | August 22, 2013 | (513,222) | (482,765) | 30,457 | |||||||||||
| 16 | LME Aluminum Futures | August 30, 2013 | (762,774) | (703,832) | 58,942 | |||||||||||
| 10 | LME Aluminum Futures | September 3, 2013 | (481,234) | (440,405) | 40,829 | |||||||||||
| 8 | LME Aluminum Futures | September 4, 2013 | (386,987) | (352,426) | 34,561 | |||||||||||
| 17 | LME Aluminum Futures | September 5, 2013 | (840,623) | (749,118) | 91,505 | |||||||||||
| 24 | LME Aluminum Futures | September 6, 2013 | (1,175,962) | (1,057,884) | 118,078 | |||||||||||
| 2 | LME Aluminum Futures | September 10, 2013 | (96,497) | (88,259) | 8,238 | |||||||||||
| 26 | LME Aluminum Futures | September 13, 2013 | (1,209,784) | (1,148,362) | 61,422 | |||||||||||
| 223 | LME Aluminum Futures | September 16, 2013 | (10,779,493) | (9,863,568) | 915,925 | |||||||||||
| 4 | LME Aluminum Futures | September 19, 2013 | (184,072) | (176,967) | 7,105 | |||||||||||
| 26 | LME Aluminum Futures | September 20, 2013 | (1,169,710) | (1,150,552) | 19,158 | |||||||||||
| 3 | LME Aluminum Futures | September 27, 2013 | (132,890) | (132,975) | (85) | |||||||||||
| 7 | LME Copper Futures | July 2, 2013 | (1,307,892) | (1,177,925) | 129,967 | |||||||||||
| 7 | LME Copper Futures | July 3, 2013 | (1,297,891) | (1,178,027) | 119,864 | |||||||||||
| 6 | LME Copper Futures | July 5, 2013 | (1,109,608) | (1,009,912) | 99,696 | |||||||||||
| 14 | LME Copper Futures | July 16, 2013 | (2,532,578) | (2,358,307) | 174,271 | |||||||||||
| 15 | LME Copper Futures | July 19, 2013 | (2,616,213) | (2,527,099) | 89,114 | |||||||||||
| 5 | LME Copper Futures | August 2, 2013 | (864,758) | (842,832) | 21,926 | |||||||||||
| 2 | LME Copper Futures | August 22, 2013 | (372,822) | (337,413) | 35,409 | |||||||||||
| 4 | LME Copper Futures | August 23, 2013 | (732,719) | (674,825) | 57,894 | |||||||||||
| 6 | LME Copper Futures | August 29, 2013 | (1,087,436) | (1,012,366) | 75,070 | |||||||||||
| 5 | LME Copper Futures | August 30, 2013 | (909,273) | (843,656) | 65,617 | |||||||||||
| 1 | LME Copper Futures | September 4, 2013 | (184,548) | (168,747) | 15,801 | |||||||||||
| 5 | LME Copper Futures | September 5, 2013 | (932,117) | (843,750) | 88,367 | |||||||||||
| 5 | LME Copper Futures | September 6, 2013 | (917,882) | (843,766) | 74,116 | |||||||||||
| 6 | LME Copper Futures | September 12, 2013 | (1,062,684) | (1,012,632) | 50,052 | |||||||||||
| 16 | LME Copper Futures | September 13, 2013 | (2,838,926) | (2,700,400) | 138,526 | |||||||||||
| 106 | LME Copper Futures | September 16, 2013 | (19,274,379) | (17,890,150) | 1,384,229 | |||||||||||
| 3 | LME Copper Futures | September 17, 2013 | (536,052) | (506,325) | 29,727 | |||||||||||
| 5 | LME Copper Futures | September 19, 2013 | (877,309) | (843,813) | 33,496 | |||||||||||
| 10 | LME Copper Futures | September 20, 2013 | (1,707,996) | (1,687,605) | 20,391 | |||||||||||
| 7 | LME Nickel Futures | July 8, 2013 | (677,533) | (573,229) | 104,304 | |||||||||||
| 5 | LME Nickel Futures | July 16, 2013 | (466,495) | (409,641) | 56,854 | |||||||||||
| 2 | LME Nickel Futures | July 17, 2013 | (187,662) | (163,866) | 23,796 | |||||||||||
| 5 | LME Nickel Futures | July 19, 2013 | (463,742) | (409,707) | 54,035 | |||||||||||
| 3 | LME Nickel Futures | July 22, 2013 | (272,135) | (245,863) | 26,272 | |||||||||||
| 1 | LME Nickel Futures | July 24, 2013 | (91,551) | (81,963) | 9,588 | |||||||||||
| 3 | LME Nickel Futures | July 29, 2013 | (274,567) | (245,954) | 28,613 | |||||||||||
| 4 | LME Nickel Futures | August 2, 2013 | (356,634) | (328,007) | 28,627 | |||||||||||
| 54 | LME Nickel Futures | September 16, 2013 | (4,985,764) | (4,439,934) | 545,830 | |||||||||||
| 11 | LME Zinc Futures | July 2, 2013 | (519,752) | (500,775) | 18,977 | |||||||||||
| 10 | LME Zinc Futures | July 3, 2013 | (464,067) | (455,368) | 8,699 | |||||||||||
| 34 | LME Zinc Futures | July 5, 2013 | (1,592,757) | (1,549,040) | 43,717 | |||||||||||
| 21 | LME Zinc Futures | August 2, 2013 | (975,404) | (963,181) | 12,223 | |||||||||||
| 14 | LME Zinc Futures | August 8, 2013 | (667,078) | (642,989) | 24,089 | |||||||||||
| 25 | LME Zinc Futures | August 9, 2013 | (1,173,094) | (1,148,457) | 24,637 | |||||||||||
| 5 | LME Zinc Futures | September 3, 2013 | (242,992) | (230,980) | 12,012 | |||||||||||
| 11 | LME Zinc Futures | September 4, 2013 | (534,857) | (508,268) | 26,589 | |||||||||||
| 9 | LME Zinc Futures | September 5, 2013 | (441,998) | (415,948) | 26,050 | |||||||||||
| 14 | LME Zinc Futures | September 6, 2013 | (675,428) | (647,175) | 28,253 | |||||||||||
| 1 | LME Zinc Futures | September 10, 2013 | (47,073) | (46,267) | 806 | |||||||||||
| 113 | LME Zinc Futures | September 16, 2013 | (5,549,984) | (5,237,550) | 312,434 | |||||||||||
| 122 | Silver Futures | September 26, 2013 | (12,079,482) | (11,876,700) | 202,782 | |||||||||||
| 244 | Soybean Oil Futures | December 13, 2013 | (6,897,620) | (6,605,568) | 292,052 | |||||||||||
| 807 | Sugar #11 (World Markets) Futures | September 30, 2013 | (15,028,263) | (15,292,972) | (264,709) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 57 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| NUMBER OF CONTRACTS |
DESCRIPTION | EXPIRATION DATE |
VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||
| Short Contracts: (continued) | ||||||||||||||||
| 379 | Wheat Futures | September 13, 2013 | $(13,007,688) | $(12,464,363) | $543,325 | |||||||||||
| 323 | Amsterdam Index Futures | July 19, 2013 | (28,903,308) | (28,993,056) | (89,748) | |||||||||||
| 504 | E-Mini Russell 2000 Futures | September 20, 2013 | (48,877,612) | (49,124,880) | (247,268) | |||||||||||
| 167 | FTSE/MIB Index Futures | September 20, 2013 | (17,392,865) | (16,587,928) | 804,937 | |||||||||||
| 157 | KOSPI Index 200 Futures | September 12, 2013 | (17,123,317) | (16,634,123) | 489,194 | |||||||||||
| 15 | MSCI Singapore Index Futures | July 30, 2013 | (833,545) | (836,450) | (2,905) | |||||||||||
| 633 | S&P 500 E-Mini Futures | September 20, 2013 | (51,551,466) | (50,617,845) | 933,621 | |||||||||||
| 1,404 | SGX S&P CNX Nifty Index Futures | July 25, 2013 | (15,752,909) | (16,362,216) | (609,307) | |||||||||||
| 24 | SPI 200 Index Futures | September 19, 2013 | (2,629,334) | (2,616,893) | 12,441 | |||||||||||
| 28 | 10-Year Japanese Government Bond Futures | September 9, 2013 | (4,033,588) | (4,026,094) | 7,494 | |||||||||||
| 85 | 3-Month Euro Euribor Futures | September 15, 2014 | (27,474,933) | (27,509,315) | (34,382) | |||||||||||
| 86 | 3-Month Euro Euribor Futures | December 15, 2014 | (27,771,720) | (27,811,965) | (40,245) | |||||||||||
| 87 | 3-Month Euro Euribor Futures | March 16, 2015 | (28,071,281) | (28,112,711) | (41,430) | |||||||||||
| 81 | 3-Month Euro Euribor Futures | June 15, 2015 | (26,107,191) | (26,150,181) | (42,990) | |||||||||||
| 132 | 90-Day EURODollar Futures | September 15, 2014 | (32,789,491) | (32,813,550) | (24,059) | |||||||||||
| 173 | 90-Day EURODollar Futures | December 15, 2014 | (42,943,457) | (42,958,062) | (14,605) | |||||||||||
| 197 | 90-Day EURODollar Futures | March 16, 2015 | (48,839,337) | (48,843,687) | (4,350) | |||||||||||
| 192 | 90-Day EURODollar Futures | June 15, 2015 | (47,549,397) | (47,512,800) | 36,597 | |||||||||||
| 2,892 | 90-Day GBP LIBOR Futures | December 18, 2013 | (547,167,439) | (546,414,511) | 752,928 | |||||||||||
| 2,179 | 90-Day Sterling Futures | March 19, 2014 | (412,106,892) | (411,451,722) | 655,170 | |||||||||||
| 1,325 | 90-Day Sterling Futures | June 18, 2014 | (250,307,276) | (250,068,416) | 238,860 | |||||||||||
| 246 | 90-Day Sterling Futures | September 17, 2014 | (46,439,807) | (46,399,735) | 40,072 | |||||||||||
| 231 | 90-Day Sterling Futures | December 17, 2014 | (43,569,324) | (43,539,741) | 29,583 | |||||||||||
| 220 | 90-Day Sterling Futures | March 18, 2015 | (41,449,050) | (41,428,776) | 20,274 | |||||||||||
| 215 | 90-Day Sterling Futures | June 17, 2015 | (40,471,114) | (40,440,206) | 30,908 | |||||||||||
| 1,172 | Australia 10-Year Bond Futures | September 16, 2013 | (129,285,789) | (126,896,631) | 2,389,158 | |||||||||||
| 284 | Australia 3-Year Bond Futures | September 16, 2013 | (28,306,976) | (28,364,554) | (57,578) | |||||||||||
| 121 | Canadian 3-Month Bank Acceptance Futures | December 16, 2013 | (28,380,687) | (28,383,284) | (2,597) | |||||||||||
| 291 | Canadian 3-Month Bank Acceptance Futures | March 17, 2014 | (68,216,706) | (68,191,452) | 25,254 | |||||||||||
| 211 | Euro CHF 3-Month LIFFE Futures | December 16, 2013 | (55,836,559) | (55,829,945) | 6,614 | |||||||||||
| 195 | Euro CHF 3-Month LIFFE Futures | March 17, 2014 | (51,589,568) | (51,586,073) | 3,495 | |||||||||||
| 71 | Mini Japanese 10-Year Treasury Bond | September 10, 2013 | (102,220,410) | (102,154,668) | 65,742 | |||||||||||
| 10 | U.S. Treasury 2-Year Note Futures | September 30, 2013 | (2,203,577) | (2,200,000) | 3,577 | |||||||||||
| 7 | U.S. Treasury 5-Year Note Futures | September 30, 2013 | (862,081) | (847,328) | 14,753 | |||||||||||
|
|
|
|
|
|
|
|||||||||||
| (2,476,581,786) | (2,463,095,947) | 13,485,839 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
| $(1,153,551,293) | $(1,148,281,630) | $5,269,663 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||
Cash held as collateral with broker for futures contracts was $39,516,885 at June 30, 2013.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 58 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2013:
Over the Counter
| PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | AUD | 83,685,000 | $78,157,557 | $76,088,822 | $(2,068,735) | ||||||||||||||
| Brazilian Real, Expiring 09/18/13* |
The Royal Bank of Scotland | BRL | 58,600,000 | 26,281,147 | 25,839,348 | (441,799) | ||||||||||||||
| Canadian Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | CAD | 95,506,000 | 92,239,695 | 90,635,961 | (1,603,734) | ||||||||||||||
| Swiss Franc, Expiring 09/18/13 |
The Royal Bank of Scotland | CHF | 102,203,000 | 108,629,527 | 108,280,459 | (349,068) | ||||||||||||||
| Chilean Peso, Expiring 09/23/13* |
The Royal Bank of Scotland | CLP | 732,092,000 | 1,440,650 | 1,421,856 | (18,794) | ||||||||||||||
| Columbian Peso, Expiring 09/18/13* |
The Royal Bank of Scotland | COP | 486,000,000 | 253,702 | 250,899 | (2,803) | ||||||||||||||
| Czech Republic Koruna, Expiring 09/18/13 |
The Royal Bank of Scotland | CZK | 489,000,000 | 25,130,216 | 24,477,388 | (652,828) | ||||||||||||||
| Euro, Expiring 09/18/13 |
The Royal Bank of Scotland | EUR | 150,861,000 | 198,063,504 | 196,437,313 | (1,626,191) | ||||||||||||||
| British Pound, Expiring 09/18/13 |
The Royal Bank of Scotland | GBP | 44,223,000 | 68,098,574 | 67,225,459 | (873,115) | ||||||||||||||
| Hungarian Forint, Expiring 09/18/13 |
The Royal Bank of Scotland | HUF | 15,042,400,000 | 66,166,629 | 65,862,562 | (304,067) | ||||||||||||||
| Israeli Shekel, Expiring 09/18/13 |
The Royal Bank of Scotland | ILS | 60,175,000 | 16,530,732 | 16,513,358 | (17,374) | ||||||||||||||
| Indian Rupee, Expiring 09/18/13* |
The Royal Bank of Scotland | INR | 274,698,000 | 4,741,609 | 4,559,780 | (181,829) | ||||||||||||||
| Japanese Yen, Expiring 09/18/13 |
The Royal Bank of Scotland | JPY | 14,122,608,000 | 144,114,753 | 142,446,655 | (1,668,098) | ||||||||||||||
| Korean Won, Expiring 09/23/13* |
The Royal Bank of Scotland | KRW | 42,552,211,000 | 37,693,207 | 37,118,719 | (574,488) | ||||||||||||||
| Mexican Peso, Expiring 09/18/13 |
The Royal Bank of Scotland | MXN | 455,634,000 | 35,269,160 | 34,914,805 | (354,355) | ||||||||||||||
| Malaysian Ringgit, Expiring 09/18/13* |
The Royal Bank of Scotland | MYR | 218,420,000 | 69,477,625 | 68,774,694 | (702,931) | ||||||||||||||
| Norwegian Krone, Expiring 09/18/13 |
The Royal Bank of Scotland | NOK | 524,532,000 | 89,898,582 | 86,106,984 | (3,791,598) | ||||||||||||||
| New Zealand Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | NZD | 172,391,000 | 136,997,540 | 132,837,245 | (4,160,295) | ||||||||||||||
| Poland Zloty, Expiring 09/18/13 |
The Royal Bank of Scotland | PLN | 254,189,000 | 77,956,852 | 76,125,058 | (1,831,794) | ||||||||||||||
| Russian Ruble, Expiring 09/18/13* |
The Royal Bank of Scotland | RUB | 411,409,000 | 12,781,028 | 12,346,443 | (434,585) | ||||||||||||||
| Swedish Krona, Expiring 09/18/13 |
The Royal Bank of Scotland | SEK | 395,708,000 | 60,616,908 | 58,901,839 | (1,715,069) | ||||||||||||||
| Singapore Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | SGD | 33,100,000 | 26,253,241 | 26,118,334 | (134,907) | ||||||||||||||
| Thailand Baht, Expiring 09/18/13 |
The Royal Bank of Scotland | THB | 4,317,000 | 137,702 | 138,617 | 915 | ||||||||||||||
| Turkish Lira, Expiring 09/18/13 |
The Royal Bank of Scotland | TRY | 64,000,000 | 32,789,457 | 32,773,940 | (15,517) | ||||||||||||||
| Taiwanese Dollar, Expiring 09/18/13* |
The Royal Bank of Scotland | TWD | 534,363,000 | 17,881,830 | 17,844,817 | (37,013) | ||||||||||||||
| South African Rand, Expiring 09/18/13 |
The Royal Bank of Scotland | ZAR | 384,000,000 | 37,757,017 | 38,401,123 | 644,106 | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| 1,465,358,444 | 1,442,442,478 | (22,915,966) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 59 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| Australian Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | AUD | (167,379,000) | $(158,865,389) | $(152,185,828) | $6,679,561 | ||||||||||||||
| Brazilian Real, Expiring 09/18/13* |
The Royal Bank of Scotland | BRL | (112,911,000) | (51,929,849) | (49,787,485) | 2,142,364 | ||||||||||||||
| Canadian Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | CAD | (151,721,000) | (145,992,771) | (143,984,447) | 2,008,324 | ||||||||||||||
| Swiss Franc, Expiring 09/18/13 |
The Royal Bank of Scotland | CHF | (122,754,000) | (130,328,780) | (130,053,516) | 275,264 | ||||||||||||||
| Chilean Peso, Expiring 09/23/13* |
The Royal Bank of Scotland | CLP | (816,464,000) | (1,602,093) | (1,585,722) | 16,371 | ||||||||||||||
| Columbian Peso, Expiring 09/18/13* |
The Royal Bank of Scotland | COP | (2,300,000,000) | (1,194,482) | (1,187,384) | 7,098 | ||||||||||||||
| Czech Republic Koruna, Expiring 09/18/13 |
The Royal Bank of Scotland | CZK | (487,946,000) | (24,859,833) | (24,424,629) | 435,204 | ||||||||||||||
| Danish Krone, Expiring 09/18/13 |
The Royal Bank of Scotland | DKK | (7,867,000) | (1,402,356) | (1,374,106) | 28,250 | ||||||||||||||
| Euro, Expiring 09/06/13 |
The Royal Bank of Scotland | EUR | (933,538) | (1,218,712) | (1,215,500) | 3,212 | ||||||||||||||
| Euro, Expiring 09/18/13 |
The Royal Bank of Scotland | EUR | (51,087,391) | (67,087,737) | (66,521,300) | 566,437 | ||||||||||||||
| Euro, Expiring 04/07/14 |
The Royal Bank of Scotland | EUR | (3,562) | (4,704) | (4,644) | 60 | ||||||||||||||
| Euro, Expiring 06/09/14 |
The Royal Bank of Scotland | EUR | (110,000) | (141,336) | (143,472) | (2,136) | ||||||||||||||
| Euro, Expiring 04/07/15 |
The Royal Bank of Scotland | EUR | (3,562) | (4,716) | (4,660) | 56 | ||||||||||||||
| Euro, Expiring 06/09/15 |
The Royal Bank of Scotland | EUR | (110,000) | (141,776) | (143,988) | (2,212) | ||||||||||||||
| Euro, Expiring 11/09/15 |
The Royal Bank of Scotland | EUR | (46,110) | (59,500) | (60,617) | (1,117) | ||||||||||||||
| Euro, Expiring 04/05/16 |
The Royal Bank of Scotland | EUR | (3,562) | (4,730) | (4,703) | 27 | ||||||||||||||
| Euro, Expiring 04/05/17 |
The Royal Bank of Scotland | EUR | (3,562) | (4,751) | (4,754) | (3) | ||||||||||||||
| British Pound, Expiring 09/18/13 |
The Royal Bank of Scotland | GBP | (77,648,000) | (119,486,463) | (118,036,372) | 1,450,091 | ||||||||||||||
| Hong Kong Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | HKD | (97,945,000) | (12,621,805) | (12,632,066) | (10,261) | ||||||||||||||
| Hungarian Forint, Expiring 09/18/13 |
The Royal Bank of Scotland | HUF | (2,630,000,000) | (11,532,944) | (11,515,352) | 17,592 | ||||||||||||||
| Indonesian Rupiah, Expiring 09/18/13 |
The Royal Bank of Scotland | IDR | (50,908,522,000) | (4,933,822) | (5,076,801) | (142,979) | ||||||||||||||
| Israeli Shekel, Expiring 09/18/13 |
The Royal Bank of Scotland | ILS | (44,100,000) | (12,132,142) | (12,102,021) | 30,121 | ||||||||||||||
| Indian Rupee, Expiring 09/18/13* |
The Royal Bank of Scotland | INR | (1,876,926,000) | (32,034,170) | (31,155,560) | 878,610 | ||||||||||||||
| Japanese Yen, Expiring 09/18/13 |
The Royal Bank of Scotland | JPY | (20,559,598,000) | (207,664,056) | (207,372,884) | 291,172 | ||||||||||||||
| Korean Won, Expiring 09/23/13* |
The Royal Bank of Scotland | KRW | (21,943,904,000) | (19,122,326) | (19,141,887) | (19,561) | ||||||||||||||
| Mexican Peso, Expiring 09/18/13 |
The Royal Bank of Scotland | MXN | (520,000,000) | (40,076,309) | (39,847,111) | 229,198 | ||||||||||||||
| Malaysian Ringgit, Expiring 09/18/13* |
The Royal Bank of Scotland | MYR | (156,585,000) | (49,192,484) | (49,304,484) | (112,000) | ||||||||||||||
| Norwegian Krone, Expiring 09/18/13 |
The Royal Bank of Scotland | NOK | (333,636,000) | (55,597,705) | (54,769,566) | 828,139 | ||||||||||||||
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 60 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2013 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
| New Zealand Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | NZD | (118,400,000) | $(93,163,852) | $(91,234,054) | $1,929,798 | ||||||||||||||
| Peru Nuevo Sol, Expiring 09/18/13* |
The Royal Bank of Scotland | PEN | (632,000) | (229,314) | (225,615) | 3,699 | ||||||||||||||
| Philippine Peso, Expiring 09/18/13 |
The Royal Bank of Scotland | PHP | (1,372,500,000) | (32,442,063) | (31,738,874) | 703,189 | ||||||||||||||
| Poland Zloty, Expiring 09/18/13 |
The Royal Bank of Scotland | PLN | (50,362,000) | (15,245,426) | (15,082,518) | 162,908 | ||||||||||||||
| Russian Ruble, Expiring 09/18/13* |
The Royal Bank of Scotland | RUB | (987,140,000) | (30,127,328) | (29,624,214) | 503,114 | ||||||||||||||
| Swedish Krona, Expiring 09/18/13 |
The Royal Bank of Scotland | SEK | (292,953,000) | (43,782,493) | (43,606,575) | 175,918 | ||||||||||||||
| Singapore Dollar, Expiring 09/18/13 |
The Royal Bank of Scotland | SGD | (113,368,000) | (90,384,778) | (89,455,689) | 929,089 | ||||||||||||||
| Thailand Baht, Expiring 09/18/13 |
The Royal Bank of Scotland | THB | (38,733,000) | (1,274,531) | (1,243,699) | 30,832 | ||||||||||||||
| Turkish Lira, Expiring 09/18/13 |
The Royal Bank of Scotland | TRY | (137,869,000) | (72,464,484) | (70,601,724) | 1,862,760 | ||||||||||||||
| Taiwanese Dollar, Expiring 09/18/13* |
The Royal Bank of Scotland | TWD | (198,822,000) | (6,644,739) | (6,639,571) | 5,168 | ||||||||||||||
| South African Rand, Expiring 09/18/13 |
The Royal Bank of Scotland | ZAR | (752,181,000) | (74,519,911) | (75,220,299) | (700,388) | ||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| (1,609,516,660) | (1,588,313,691) | 21,202,969 | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
| $(144,158,216) | $(145,871,213) | $(1,712,997) | ||||||||||||||||||
|
|
|
|
|
|
|
|||||||||||||||
Money Market Fund is pledged as collateral with broker for forward foreign currency exchange contracts in the amount of $13,458,380 at June 30, 2013.
| * | Non deliverable forward. See Note 3 in the Notes to Schedule of Investments. |
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
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 61 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
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) |
| 62 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
Total Return Basket Swaps* Outstanding at June 30, 2013
Over the Counter
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
VALUE (Note 3) |
|||||
| 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 swaps. | 12/20/2013 — 05/12/2014 | $4,503,448 | |||||
|
|
|
|||||||
| * | See the accompanying “Additional Information — Total Return Basket Swaps” for further details. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of June 30, 2013.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 63 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (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 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 65 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
Total Return Basket Swaps* Outstanding at June 30, 2013
Over the Counter
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
VALUE (Note 3) |
|||||
| 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 swaps. | 07/24/2013 |
$34,991,775 | |||||
|
|
|
|||||||
| * | See the accompanying “Additional Information — Total Return Basket Swaps” for further details. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of June 30, 2013.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 66 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 67 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (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 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 69 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (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 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 71 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 72 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 73 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 74 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 75 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| 76 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
Total Return Basket Swaps* Outstanding at June 30, 2013
Over the Counter
| COUNTERPARTY | DESCRIPTION | TERMINATION DATE |
VALUE (Note 3) |
|||||
| 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 swaps. | 07/24/2013 — 06/29/2015 |
$3,934,675 | |||||
|
|
|
|||||||
| * | See the accompanying “Additional Information — Total Return Basket Swaps” for further details. |
Additional Information — Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of June 30, 2013.
| The accompanying notes are an integral part of these financial statements. | (Continued) |
| AQR Funds | Semi-Annual Report | June 2013 | 77 | |||||||||||||
| Consolidated Schedule of Investments | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
| The accompanying notes are an integral part of these financial statements. |
| 78 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Statements of Assets and Liabilities | June 30, 2013 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND** |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND** |
AQR RISK PARITY FUND** |
||||||||||
| ASSETS: | ||||||||||||
| Investments in securities, at cost | $3,634,889,190 | $58,954,754 | $1,075,580,901 | |||||||||
| Investments in securities, at value | $3,634,893,186 | $58,954,744 | $1,073,376,954 | |||||||||
| Cash | — | — | 7,952,193 | |||||||||
| Foreign currency, at value | 6,321,633 | — | 3,075,360 | |||||||||
| Due from brokers | 194,354,975 | 2,092,761 | 38,444,871 | |||||||||
| Swaps, at value | 23,210,104 | — | 3,778,990 | |||||||||
| Unrealized appreciation on futures contracts | 27,685,851 | — | — | |||||||||
| Receivables: | ||||||||||||
| Securities sold |
— | 156,847 | 98,174,149 | |||||||||
| Dividends and interest |
21,548 | 478 | 976,109 | |||||||||
| Capital shares sold |
15,581,536 | 9,980 | 3,602,120 | |||||||||
| Prepaid expenses |
211,151 | 26,203 | 51,739 | |||||||||
| Total Assets | 3,902,279,984 | 61,241,013 | 1,229,432,485 | |||||||||
| LIABILITIES: | ||||||||||||
| Due to custodian | 1,195,982 | — | — | |||||||||
| Due to brokers | 4,393,969 | 896,865 | 3,892,655 | |||||||||
| Unrealized depreciation on forward foreign currency exchange contracts | 15,086,818 | — | 3,258,471 | |||||||||
| Swaps, at value | 620,550 | 3,577,641 | 17,738,283 | |||||||||
| Unrealized depreciation on futures contracts | — | 682,729 | 12,549,188 | |||||||||
| Payables: | ||||||||||||
| Securities purchased |
5,313,947 | — | 24,137,641 | |||||||||
| Accrued Investment advisory fees |
3,269,730 | 12,288 | 770,931 | |||||||||
| Accrued Shareholder servicing fees |
— | 12,054 | — | |||||||||
| Accrued Distribution fees—Class N |
198,122 | 875 | 34,470 | |||||||||
| Capital shares redeemed |
1,546,802 | 15,988 | 1,677,742 | |||||||||
| Other accrued expenses and liabilities |
1,768,567 | 82,832 | 266,191 | |||||||||
| Total Liabilities | 33,394,487 | 5,281,272 | 64,325,572 | |||||||||
| Net Assets | $3,868,885,497 | $55,959,741 | $1,165,106,913 | |||||||||
| NET ASSETS CONSIST OF: | ||||||||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $3,740,513,797 | $68,716,961 | $1,193,775,170 | |||||||||
| Undistributed (accumulated) net investment income (loss) | (22,443,931) | (344,334) | 8,680,423 | |||||||||
| Undistributed (accumulated) net realized gain (loss) | 115,779,806 | (8,152,506) | (2,462,224) | |||||||||
| Net unrealized appreciation (depreciation) | 35,035,825 | (4,260,380) | (34,886,456) | |||||||||
| Net Assets | $3,868,885,497 | $55,959,741 | $1,165,106,913 | |||||||||
| NET ASSETS: | ||||||||||||
| Class I | $2,870,618,577 | $51,880,415 | $1,035,712,169 | |||||||||
| Class N | 998,266,920 | 4,079,326 | 129,394,744 | |||||||||
| SHARES OUTSTANDING: | ||||||||||||
| Class I | 284,004,343 | 6,222,474 | 95,213,276 | |||||||||
| Class N | 99,369,796 | 490,334 | 11,935,886 | |||||||||
| NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
| Class I | $10.11 | $8.34 | $10.88 | |||||||||
| Class N | $10.05 | $8.32 | $10.84 | |||||||||
Foreign currency at cost of $6,351,715, $— and $3,042,784, respectively.
| ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 79 | |||||||||||||
| Consolidated Statements of Assets and Liabilities | June 30, 2013 (Unaudited) |
| AQR RISK PARITY II MV FUND** |
AQR RISK PARITY II HV FUND** |
AQR MULTI-STRATEGY ALTERNATIVE FUND** |
||||||||||
| ASSETS: | ||||||||||||
| Investments in securities, at cost | $69,523,114 | $22,146,955 | $1,289,340,798 | |||||||||
| Repurchase agreements, at cost | — | 2,668,000 | — | |||||||||
| Investments in securities, at value | $68,583,244 | $21,711,032 | $1,389,497,681 | |||||||||
| Repurchase agreements, at value | — | 2,668,000 | — | |||||||||
| Cash | 1,166,302 | 4,888,201 | — | |||||||||
| Foreign currency, at value | 89,133 | 105,180 | 6,298,104 | |||||||||
| Due from brokers | 3,726,133 | 2,064,610 | 612,817,640 | |||||||||
| Unrealized appreciation on forward foreign currency exchange contracts | 166,836 | 41,956 | — | |||||||||
| Swaps, at value | 2,180 | — | 47,157,275 | |||||||||
| Unrealized appreciation on futures contracts | — | — | 5,269,663 | |||||||||
| Receivables: | ||||||||||||
| Securities sold |
11,419,778 | 7,138,671 | 3,718,444 | |||||||||
| Foreign tax reclaim |
— | — | 520,640 | |||||||||
| Dividends and interest |
109,518 | 67,884 | 1,825,098 | |||||||||
| Capital shares sold |
155,754 | 5,005,289 | 4,761,712 | |||||||||
| Prepaid expenses |
31,119 | 18,190 | 67,558 | |||||||||
| Total Assets | 85,449,997 | 43,709,013 | 2,071,933,815 | |||||||||
| LIABILITIES: | ||||||||||||
| Securities sold short, at value (proceeds $—, $— and $708,672,702, respectively) | — | — | 767,769,311 | |||||||||
| Options written, at value (proceeds $—, $— and $228,447, respectively) | — | — | 1,203,658 | |||||||||
| Reverse repurchase agreements, at value | — | 8,130,875 | — | |||||||||
| Due to custodian | — | — | 1,371,811 | |||||||||
| Due to brokers | 433,563 | 635,628 | 2,364,385 | |||||||||
| Unrealized depreciation on forward foreign currency exchange contracts | — | — | 1,712,997 | |||||||||
| Swaps, at value | 511,196 | 580,420 | — | |||||||||
| Unrealized depreciation on futures contracts | 1,683,974 | 633,023 | — | |||||||||
| Payables: | ||||||||||||
| Securities purchased |
2,082,272 | 1,155,499 | 823,204 | |||||||||
| Accrued Investment advisory fees |
24,005 | 3,438 | 1,872,435 | |||||||||
| Accrued Shareholder servicing fees |
20,114 | 8,809 | — | |||||||||
| Accrued Distribution fees—Class N |
4,487 | 3,982 | 10,960 | |||||||||
| Capital shares redeemed |
460,434 | 386,766 | 567,231 | |||||||||
| Dividends and interest payable on securities sold short |
— | — | 1,034,602 | |||||||||
| Interest payable for reverse repurchase agreements |
— | 1,667 | — | |||||||||
| Other accrued expenses and liabilities |
68,739 | 61,676 | 598,953 | |||||||||
| Total Liabilities | 5,288,784 | 11,601,783 | 779,329,547 | |||||||||
| Net Assets | $80,161,213 | $32,107,230 | $1,292,604,268 | |||||||||
| NET ASSETS CONSIST OF: | ||||||||||||
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) | $87,792,664 | $37,504,106 | $1,252,593,831 | |||||||||
| Undistributed (accumulated) net investment income (loss) | (157,201) | (37,385) | (13,650,099) | |||||||||
| Undistributed (accumulated) net realized gain (loss) | (4,544,841) | (3,801,960) | (30,486,908) | |||||||||
| Net unrealized appreciation (depreciation) | (2,929,409) | (1,557,531) | 84,147,444 | |||||||||
| Net Assets | $80,161,213 | $32,107,230 | $1,292,604,268 | |||||||||
| NET ASSETS: | ||||||||||||
| Class I | $61,079,411 | $18,913,036 | $1,238,583,303 | |||||||||
| Class N | 19,081,802 | 13,194,194 | 54,020,965 | |||||||||
| SHARES OUTSTANDING: | ||||||||||||
| Class I | 6,417,619 | 2,050,146 | 122,149,259 | |||||||||
| Class N | 2,006,310 | 1,427,815 | 5,341,525 | |||||||||
| NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
| Class I | $9.52 | $9.23 | $10.14 | |||||||||
| Class N | $9.51 | $9.24 | $10.11 | |||||||||
Foreign currency at cost of $65,915, $62,830 and $6,296,410, 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. |
| 80 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Statements of Operations | June 30, 2013 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND** |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND** |
AQR RISK PARITY FUND** |
||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2013 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 |
||||||||||
| INVESTMENT INCOME: | ||||||||||||
| Dividend income† | $75,359 | $1,129 | $7,729 | |||||||||
| Interest income | 90,478 | 1,222 | 1,844,104 | |||||||||
| Total Income | 165,837 | 2,351 | 1,851,833 | |||||||||
| EXPENSES: | ||||||||||||
| Investment advisory fees | 16,720,985 | 194,681 | 4,568,747 | |||||||||
| Shareholder servicing fees | — | 81,117 | — | |||||||||
| Custody, administration & accounting fees | 729,180 | 15,855 | 275,290 | |||||||||
| Legal fees | 70,527 | 14,417 | 33,237 | |||||||||
| Audit & tax fees | 58,478 | 55,971 | 70,228 | |||||||||
| Shareholder reporting fees | 138,614 | 6,729 | 12,627 | |||||||||
| Transfer agent fees | 1,674,812 | 37,836 | 379,386 | |||||||||
| Trustee fees | 78,425 | 2,315 | 31,269 | |||||||||
| Distribution fees—Class N | 874,019 | 4,937 | 224,700 | |||||||||
| Recoupment of waiver | 203,367 | — | 18,483 | |||||||||
| Pricing fee | — | — | 16,908 | |||||||||
| Other fees | 273,280 | 31,357 | 98,826 | |||||||||
| Total Expenses | 20,821,687 | 445,215 | 5,729,701 | |||||||||
| Less waivers: | ||||||||||||
| Investment advisory fees waived |
(7,299) | (17,413) | — | |||||||||
| Shareholder servicing fees waived |
— | (81,117) | — | |||||||||
| Net Expenses | 20,814,388 | 346,685 | 5,729,701 | |||||||||
| Net Investment Income (Loss) | (20,648,551) | (344,334) | (3,877,868) | |||||||||
| REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
| Net realized gain (loss) from: | ||||||||||||
| Investments in securities |
(450,142) | 117 | (17,395,689) | |||||||||
| Foreign currency and foreign currency translations |
(65,447) | — | (174,900) | |||||||||
| Forward foreign currency exchange contracts |
101,650,223 | — | (2,579,587) | |||||||||
| Futures contracts |
(4,576,975) | (420,069) | (7,907,609) | |||||||||
| Swap and swaps on futures contracts |
34,644,131 | (7,732,554) | 3,283,827 | |||||||||
| Net realized gain (loss) | 131,201,790 | (8,152,506) | (24,773,958) | |||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||
| Investments in securities |
14,601 | 101 | (23,214,046) | |||||||||
| Foreign currency and foreign currency translations |
(272,370) | — | 35,007 | |||||||||
| Forward foreign currency exchange contracts |
(76,934,726) | — | 94,077 | |||||||||
| Futures contracts |
14,759,785 | (944,264) | (10,178,590) | |||||||||
| Swap and swaps on futures contracts |
20,738,394 | (1,885,027) | (15,895,803) | |||||||||
| Net change in unrealized appreciation (depreciation) | (41,694,316) | (2,829,190) | (49,159,355) | |||||||||
| Net gain (loss) and change in unrealized appreciation (depreciation) | 89,507,474 | (10,981,696) | (73,933,313) | |||||||||
| Net increase (decrease) in net assets resulting from operations | $68,858,923 | $(11,326,030) | $(77,811,181) | |||||||||
|
† Net of foreign taxes withheld of |
$— | $— | $192 | |||||||||
| ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 81 | |||||||||||||
| Consolidated Statements of Operations | June 30, 2013 (Unaudited) |
| AQR RISK PARITY II MV FUND** |
AQR RISK PARITY II HV FUND** |
AQR MULTI-STRATEGY ALTERNATIVE FUND** |
||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2013 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 |
||||||||||
| INVESTMENT INCOME: | ||||||||||||
| Dividend income† | $500 | $334 | $9,791,565 | |||||||||
| Interest income | 189,718 | 183,899 | 2,204,739 | |||||||||
| Securities lending income, net | — | — | 1,032 | |||||||||
| Total Income | 190,218 | 184,233 | 11,997,336 | |||||||||
| EXPENSES: | ||||||||||||
| Investment advisory fees | 207,674 | 153,041 | 9,918,469 | |||||||||
| Shareholder servicing fees | 103,837 | 54,658 | — | |||||||||
| Custody, administration & accounting fees | 20,806 | 17,606 | 276,439 | |||||||||
| Legal fees | 12,008 | 12,156 | 31,850 | |||||||||
| Audit & tax fees | 49,433 | 49,432 | 85,568 | |||||||||
| Shareholder reporting fees | 4,172 | 4,477 | 25,703 | |||||||||
| Transfer agent fees | 27,525 | 20,032 | 396,809 | |||||||||
| Trustee fees | 2,160 | 1,535 | 27,158 | |||||||||
| Organization and offering costs | 17,878 | 18,773 | — | |||||||||
| Distribution fees—Class N | 16,173 | 19,263 | 61,227 | |||||||||
| Dividends and interest on securities sold short and reverse repurchase agreement | — | 23,618 | 9,731,965 | |||||||||
| Pricing fee | 252 | 252 | 15,081 | |||||||||
| Other fees | 35,403 | 34,076 | 102,425 | |||||||||
| Total Expenses | 497,321 | 408,919 | 20,672,694 | |||||||||
| Less waivers: | ||||||||||||
| Investment advisory fees waived |
(3,674) | (59,360) | (218,761) | |||||||||
| Shareholder servicing fees waived |
(82,091) | (54,658) | — | |||||||||
| Net Expenses | 411,556 | 294,901 | 20,453,933 | |||||||||
| Net Investment Income (Loss) | (221,338) | (110,668) | (8,456,597) | |||||||||
| REALIZED AND UNREALIZED GAIN (LOSS): | ||||||||||||
| Net realized gain (loss) from: | ||||||||||||
| Investments in securities |
(2,771,524) | (2,147,310) | 3,525,349 | |||||||||
| Foreign currency and foreign currency translations |
(55,611) | (2,239) | 762,071 | |||||||||
| Forward foreign currency exchange contracts |
341,090 | 40,613 | 15,839,847 | |||||||||
| Futures contracts |
(1,201,000) | (328,335) | (11,746,040) | |||||||||
| Securities sold short |
— | — | (29,344,926) | |||||||||
| Swap and swaps on futures contracts |
(923,882) | (1,514,415) | 4,365,624 | |||||||||
| Written options |
— | — | 279,584 | |||||||||
| Net realized gain (loss) | (4,610,927) | (3,951,686) | (16,318,491) | |||||||||
| Net change in unrealized appreciation (depreciation) on: | ||||||||||||
| Investments in securities |
(1,062,403) | (614,002) | 38,492,798 | |||||||||
| Foreign currency and foreign currency translations |
35,285 | 47,889 | (5,571,047) | |||||||||
| Forward foreign currency exchange contracts |
211,234 | 140,187 | (9,847,950) | |||||||||
| Futures contracts |
(1,675,695) | (617,597) | 1,324,904 | |||||||||
| Securities sold short |
— | — | (18,843,293) | |||||||||
| Swap and swaps on futures contracts |
(502,299) | (524,624) | 44,302,816 | |||||||||
| Written options |
— | — | (982,271) | |||||||||
| Net change in unrealized appreciation (depreciation) | (2,993,878) | (1,568,147) | 48,875,957 | |||||||||
| Net gain (loss) and change in unrealized appreciation (depreciation) | (7,604,805) | (5,519,833) | 32,557,466 | |||||||||
| Net increase (decrease) in net assets resulting from operations | $(7,826,143) | $(5,630,501) | $24,100,869 | |||||||||
|
† Net of foreign taxes withheld of |
$— | $— | $843,320 | |||||||||
| ** | 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. |
| 82 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Statements of Changes in Net Assets | June 30, 2013 (Unaudited) |
| AQR MANAGED FUTURES STRATEGY FUND** |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND** |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2012 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE PERIOD 7/09/12*-12/31/12 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) | $(20,648,551) | $(23,819,486) | $(344,334) | $(169,935) | ||||||||||||
| Net realized gain (loss) | 131,201,790 | 43,049,129 | (8,152,506) | (749,368) | ||||||||||||
| Net change in unrealized appreciation (depreciation) | (41,694,316) | 49,331,383 | (2,829,190) | (1,431,190) | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
68,858,923 | 68,561,026 | (11,326,030) | (2,350,493) | ||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (13,405,142) | — | — | ||||||||||||
| Class N |
— | (3,993,493) | — | — | ||||||||||||
| Total |
— | (17,398,635) | — | — | ||||||||||||
| Total distributions |
— | (17,398,635) | — | — | ||||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold | 1,126,830,383 | 1,395,656,377 | 13,389,354 | 77,004,032 | ||||||||||||
| Reinvestment of distributions | — | 10,360,005 | — | — | ||||||||||||
| Cost of shares redeemed | (456,426,861) | (387,573,411) | (14,309,390) | (11,390,971) | ||||||||||||
| Net increase (decrease) from capital transactions | 670,403,522 | 1,018,442,971 | (920,036) | 65,613,061 | ||||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold | 554,096,183 | 330,844,230 | 3,877,453 | 3,507,402 | ||||||||||||
| Reinvestment of distributions | — | 3,925,643 | — | — | ||||||||||||
| Cost of shares redeemed | (88,750,328) | (295,614,412) | (1,208,761) | (1,232,855) | ||||||||||||
| Net increase (decrease) from capital transactions | 465,345,855 | 39,155,461 | 2,668,692 | 2,274,547 | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 1,135,749,377 | 1,057,598,432 | 1,748,656 | 67,887,608 | ||||||||||||
| Total increase (decrease) in net assets | 1,204,608,300 | 1,108,760,823 | (9,577,374) | 65,537,115 | ||||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period | 2,664,277,197 | 1,555,516,374 | 65,537,115 | — | ||||||||||||
| End of period | $3,868,885,497 | $2,664,277,197 | $55,959,741 | $65,537,115 | ||||||||||||
| Undistributed accumulated net investment income (loss) at end of period | $(22,443,931) | $(1,795,380) | $(344,334) | $— | ||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period | 218,555,645 | 112,731,031 | 6,413,854 | — | ||||||||||||
| Shares sold | 110,261,734 | 145,328,092 | 1,413,621 | 7,499,229 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 1,075,795 | — | — | ||||||||||||
| Shares redeemed | (44,813,036) | (40,579,273) | (1,605,001) | (1,085,375) | ||||||||||||
| Shares outstanding, end of period | 284,004,343 | 218,555,645 | 6,222,474 | 6,413,854 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period | 54,190,271 | 49,946,509 | 223,691 | — | ||||||||||||
| Shares sold | 53,965,595 | 34,790,824 | 402,551 | 340,691 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 409,770 | — | — | ||||||||||||
| Shares redeemed | (8,786,070) | (30,956,832) | (135,908) | (117,000) | ||||||||||||
| Shares outstanding, end of period | 99,369,796 | 54,190,271 | 490,334 | 223,691 | ||||||||||||
| * | Commencement of operations. |
| ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 83 | |||||||||||||
| Consolidated Statements of Changes in Net Assets | June 30, 2013 (Unaudited) |
| AQR RISK PARITY FUND** | AQR RISK PARITY II MV FUND** | |||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2012 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE PERIOD 11/05/12*-12/31/12 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) | $(3,877,868) | $(476,291) | $(221,338) | $2,578 | ||||||||||||
| Net realized gain (loss) | (24,773,958) | 81,873,863 | (4,610,927) | 160,027 | ||||||||||||
| Net change in unrealized appreciation (depreciation) | (49,159,355) | 7,410,873 | (2,993,878) | 64,469 | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
(77,811,181) | 88,808,445 | (7,826,143) | 227,074 | ||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (9,796,702) | — | (16,427) | ||||||||||||
| Class N |
— | (1,584,812) | — | — | ||||||||||||
| Total |
— | (11,381,514) | — | (16,427) | ||||||||||||
| Net realized gain: | ||||||||||||||||
| Class I |
— | (32,256,921) | — | — | ||||||||||||
| Class N |
— | (6,624,667) | — | — | ||||||||||||
| Total |
— | (38,881,588) | — | — | ||||||||||||
| Total distributions |
— | (50,263,102) | — | (16,427) | ||||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold | 393,415,528 | 669,000,824 | 72,071,695 | 38,864,832 | ||||||||||||
| Reinvestment of distributions | — | 35,264,133 | — | 16,427 | ||||||||||||
| Cost of shares redeemed | (158,230,885) | (206,439,327) | (35,234,164) | (9,067,579) | ||||||||||||
| Net increase (decrease) from capital transactions | 235,184,643 | 497,825,630 | 36,837,531 | 29,813,680 | ||||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold | 31,331,246 | 132,332,404 | 26,324,779 | 3,242,604 | ||||||||||||
| Reinvestment of distributions | — | 8,172,729 | — | — | ||||||||||||
| Cost of shares redeemed | (63,211,910) | (26,348,713) | (7,427,519) | (1,014,366) | ||||||||||||
| Net increase (decrease) from capital transactions | (31,880,664) | 114,156,420 | 18,897,260 | 2,228,238 | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 203,303,979 | 611,982,050 | 55,734,791 | 32,041,918 | ||||||||||||
| Total increase (decrease) in net assets | 125,492,798 | 650,527,393 | 47,908,648 | 32,252,565 | ||||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period | 1,039,614,115 | 389,086,722 | 32,252,565 | — | ||||||||||||
| End of period | $1,165,106,913 | $1,039,614,115 | $80,161,213 | $32,252,565 | ||||||||||||
| Undistributed accumulated net investment income (loss) at end of period | $8,680,423 | $12,558,291 | $(157,201) | $64,137 | ||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period | 75,596,068 | 31,791,062 | 2,950,196 | — | ||||||||||||
| Shares sold | 33,337,061 | 58,917,029 | 6,987,387 | 3,844,193 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 3,071,788 | — | 1,620 | ||||||||||||
| Shares redeemed | (13,719,853) | (18,183,811) | (3,519,964) | (895,617) | ||||||||||||
| Shares outstanding, end of period | 95,213,276 | 75,596,068 | 6,417,619 | 2,950,196 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period | 14,906,004 | 4,868,266 | 221,957 | — | ||||||||||||
| Shares sold | 2,660,830 | 11,658,773 | 2,525,375 | 321,962 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 713,153 | — | — | ||||||||||||
| Shares redeemed | (5,630,948) | (2,334,188) | (741,022) | (100,005) | ||||||||||||
| Shares outstanding, end of period | 11,935,886 | 14,906,004 | 2,006,310 | 221,957 | ||||||||||||
| * | 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. |
| 84 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Consolidated Statements of Changes in Net Assets |
| AQR RISK PARITY II HV FUND** | AQR MULTI-STRATEGY ALTERNATIVE FUND** |
|||||||||||||||
| FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE PERIOD 11/05/12*-12/31/12 |
FOR THE SIX MONTHS ENDED JUNE 30, 2013 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2012 |
|||||||||||||
| OPERATIONS: | ||||||||||||||||
| Net investment income (loss) | $(110,668) | $5,591 | $(8,456,597) | $(9,845,563) | ||||||||||||
| Net realized gain (loss) | (3,951,686) | 290,719 | (16,318,491) | (11,666,874) | ||||||||||||
| Net change in unrealized appreciation (depreciation) | (1,568,147) | 10,616 | 48,875,957 | 34,480,693 | ||||||||||||
| Net increase (decrease) in net assets resulting from operations |
(5,630,501) | 306,926 | 24,100,869 | 12,968,256 | ||||||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
| Net investment income: | ||||||||||||||||
| Class I |
— | (36,666) | — | (1,085,248) | ||||||||||||
| Class N |
— | (4,075) | — | — | ||||||||||||
| Total |
— | (40,741) | — | (1,085,248) | ||||||||||||
| Net realized gain: | ||||||||||||||||
| Class I |
— | — | — | (1,191,421) | ||||||||||||
| Class N |
— | — | — | (54,608) | ||||||||||||
| Total |
— | — | — | (1,246,029) | ||||||||||||
| Total distributions |
— | (40,741) | — | (2,331,277) | ||||||||||||
| CAPITAL TRANSACTIONS: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Proceeds from shares sold | 48,747,234 | 15,978,772 | 504,082,968 | 682,299,842 | ||||||||||||
| Reinvestment of distributions | — | 36,666 | — | 1,825,572 | ||||||||||||
| Cost of shares redeemed | (43,239,485) | (1,270) | (96,765,043) | (142,988,282) | ||||||||||||
| Net increase (decrease) from capital transactions | 5,507,749 | 16,014,168 | 407,317,925 | 541,137,132 | ||||||||||||
| CLASS N | ||||||||||||||||
| Proceeds from shares sold | 23,119,886 | 6,140,990 | 19,263,162 | 39,666,094 | ||||||||||||
| Reinvestment of distributions | — | 4,075 | — | 54,570 | ||||||||||||
| Cost of shares redeemed | (12,948,378) | (366,944) | (9,443,715) | (41,973,512) | ||||||||||||
| Net increase (decrease) from capital transactions | 10,171,508 | 5,778,121 | 9,819,447 | (2,252,848) | ||||||||||||
| Net increase (decrease) in net assets resulting from capital transactions | 15,679,257 | 21,792,289 | 417,137,372 | 538,884,284 | ||||||||||||
| Total increase (decrease) in net assets | 10,048,756 | 22,058,474 | 441,238,241 | 549,521,263 | ||||||||||||
| NET ASSETS: | ||||||||||||||||
| Beginning of period | 22,058,474 | — | 851,366,027 | 301,844,764 | ||||||||||||
| End of period | $32,107,230 | $22,058,474 | $1,292,604,268 | $851,366,027 | ||||||||||||
| Undistributed accumulated net investment income (loss) at end of period | $(37,385) | $73,283 | $(13,650,099) | $(5,193,502) | ||||||||||||
| CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
| CLASS I | ||||||||||||||||
| Shares outstanding, beginning of period | 1,591,812 | — | 81,626,174 | 26,521,933 | ||||||||||||
| Shares sold | 4,686,628 | 1,588,338 | 50,148,060 | 69,512,527 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 3,599 | — | 184,399 | ||||||||||||
| Shares redeemed | (4,228,294) | (125) | (9,624,975) | (14,592,685) | ||||||||||||
| Shares outstanding, end of period | 2,050,146 | 1,591,812 | 122,149,259 | 81,626,174 | ||||||||||||
| CLASS N | ||||||||||||||||
| Shares outstanding, beginning of period | 567,306 | — | 4,359,055 | 4,608,787 | ||||||||||||
| Shares sold | 2,171,495 | 602,901 | 1,922,703 | 4,042,219 | ||||||||||||
| Shares issued on reinvestment of distributions | — | 399 | — | 5,529 | ||||||||||||
| Shares redeemed | (1,310,986) | (35,994) | (940,233) | (4,297,480) | ||||||||||||
| Shares outstanding, end of period | 1,427,815 | 567,306 | 5,341,525 | 4,359,055 | ||||||||||||
| * | Commencement of operations. |
| ** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 85 | |||||||||||||
| Statement of Cash Flows | June 30, 2013 (Unaudited) |
| AQR RISK PARITY II HV FUND |
||||
| CASH FLOWS FROM OPERATING ACTIVITIES: | ||||
| Net increase in net assets resulting from operations | $(5,630,501) | |||
| Adjustments to reconcile net increase in net assets resulting from operations to net cash provided (used) in operating activities: | ||||
| Payments to purchase securities |
(42,783,147) | |||
| Proceeds from sale of securities |
49,802,608 | |||
| Realized loss on investments in securities |
2,147,310 | |||
| Change in unrealized depreciation on investments in securities |
614,002 | |||
| Amortization of bond premium |
162,689 | |||
| (Increases) decreases in operating assets: | ||||
| Repurchase agreements, at value |
(2,668,000) | |||
| Due from brokers |
(138,665) | |||
| Unrealized appreciation on forward foreign currency exchange contracts |
(41,956) | |||
| Swaps, at value |
4,706 | |||
| Receivable for securities sold |
(7,138,671) | |||
| Dividends and interest |
21,433 | |||
| Expense reimbursement due from Advisor |
90,647 | |||
| Prepaid expenses |
11,111 | |||
| Increases (decreases) in operating liabilities | ||||
| Due to custodian/broker |
635,628 | |||
| Unrealized depreciation on forward foreign currency exchange contracts |
(98,231) | |||
| Swaps, at value |
519,918 | |||
| Unrealized depreciation on futures contracts |
617,597 | |||
| Payable for securities purchased |
(1,144,957) | |||
| Accrued Investment advisory fees |
3,438 | |||
| Accrued Shareholder servicing fees |
8,809 | |||
| Accrued Distribution fees—Class N |
3,099 | |||
| Interest Payable |
777 | |||
| Other accrued expenses |
11,363 | |||
| Net cash used in operating activities |
$(4,988,993) | |||
| CASH FLOWS FROM FINANCING ACTIVITIES | ||||
| Proceeds from shares sold |
66,941,313 | |||
| Net change in reverse repurchase agreements |
(2,459,015) | |||
| Payments on shares redeemed |
(55,801,097) | |||
| Net cash provided by financing activities |
$8,681,201 | |||
| Net change in cash | 3,692,208 | |||
| Cash, beginning of period |
1,301,173 | |||
| Cash, end of period |
$4,993,381 | |||
| The accompanying notes are an integral part of these financial statements. |
| 86 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Statement of Cash Flows | June 30, 2013 (Unaudited) |
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
||||
| CASH FLOWS FROM OPERATING ACTIVITIES: | ||||
| Net increase in net assets resulting from operations | $24,100,869 | |||
| Adjustments to reconcile net increase in net assets resulting from operations to net cash provided (used) in operating activities: | ||||
| Payments to purchase securities |
(564,442,388) | |||
| Payments to cover short securities |
(195,354,446) | |||
| Proceeds from securities sold short |
396,904,448 | |||
| Proceeds from sale of securities |
171,425,674 | |||
| Realized gain on investments in securities |
(3,525,349) | |||
| Realized loss on securities sold short and written options |
29,065,342 | |||
| Change in unrealized appreciation on investments in securities |
(38,492,798) | |||
| Change in unrealized depreciation on securities sold short and written options |
19,825,564 | |||
| Amortization of bond premium |
159,832 | |||
| Increases (decreases) in operating assets: | ||||
| Due from brokers |
(214,284,101) | |||
| Unrealized appreciation on forward foreign currency exchange contracts |
8,134,953 | |||
| Swaps, at value |
(42,534,035) | |||
| Unrealized appreciation on futures contracts |
(1,324,904) | |||
| Receivable for securities sold |
(3,148,557) | |||
| Foreign tax reclaim |
(357,340) | |||
| Dividends and interest |
(925,493) | |||
| Prepaid expenses |
(21,723) | |||
| Increases (decreases) in operating liabilities | ||||
| Due to custodian/broker |
968,188 | |||
| Unrealized depreciation on forward foreign currency exchange contracts |
1,712,997 | |||
| Swaps, at value |
(1,948,199) | |||
| Payable for securities purchased |
(3,370,915) | |||
| Collateral received on securities loaned |
(1,238,191) | |||
| Accrued Investment advisory fees |
584,079 | |||
| Accrued Distribution fees—Class N |
3,259 | |||
| Dividends on securities sold short |
760,133 | |||
| Other accrued expenses |
178,552 | |||
| Net cash used in operating activities |
$(417,144,549) | |||
| CASH FLOWS FROM FINANCING ACTIVITIES | ||||
| Proceeds from shares sold |
528,166,355 | |||
| Payments on shares redeemed |
(106,552,422) | |||
| Net cash provided by financing activities |
$421,613,933 | |||
| Net change in cash | 4,469,384 | |||
| Cash, beginning of period |
1,828,720 | |||
| Cash, end of period |
$6,298,104 | |||
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $2,286,005.
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 87 | |||||||||||||
| Financial Highlights | June 30, 2013 |
| PER SHARE OPERATING PERFORMANCE | ||||||||||||||||||||||||||||
| Change in Net Assets Resulting from Operations |
Less Dividends and Distributions | |||||||||||||||||||||||||||
| Net Asset Value, Beginning of Period |
Net Investment Income (Loss) |
Net Realized and Unrealized Gain (Loss) |
Net Increase (Decrease) in Net Asset Value from Operations |
Distributions from Net Investment Income |
Distributions from Net Realized Gains |
Total Distributions |
||||||||||||||||||||||
| AQR MANAGED FUTURES STRATEGY FUND CLASS I | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $9.78 | (0.06) | 0.39 | 0.33 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20125 | $9.57 | (0.12) | 0.40 | 0.28 | (0.07) | — | (0.07) | |||||||||||||||||||||
| 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 1/06/106—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, 2013 (Unaudited)5 | $9.73 | (0.08) | 0.40 | 0.32 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20125 | $9.55 | (0.14) | 0.39 | 0.25 | (0.07) | — | (0.07) | |||||||||||||||||||||
| 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 1/06/106—12/31/10†,5 | $10.00 | (0.15) | 0.66 | 0.51 | (0.08) | (0.15) | (0.23) | |||||||||||||||||||||
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS I | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $9.87 | (0.05) | (1.48) | (1.53) | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 7/09/126—12/31/125 | $10.00 | (0.05) | (0.08) | (0.13) | — | — | — | |||||||||||||||||||||
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS N | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $9.86 | (0.06) | (1.48) | (1.54) | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 7/09/126—12/31/125 | $10.00 | (0.06) | (0.08) | (0.14) | — | — | — | |||||||||||||||||||||
| AQR RISK PARITY FUND CLASS I | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $11.49 | (0.03) | (0.58) | (0.61) | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20125 | $10.62 | — | 1.49 | 1.49 | (0.14) | (0.48) | (0.62) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $10.28 | 0.04 | 0.51 | 0.55 | (0.21) | — | (0.21) | |||||||||||||||||||||
| FOR THE PERIOD ENDED 9/30/106—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, 2013 (Unaudited)5 | $11.47 | (0.06) | (0.57) | (0.63) | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20125 | $10.59 | (0.03) | 1.50 | 1.47 | (0.11) | (0.48) | (0.59) | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 2011†,5 | $10.27 | 0.03 | 0.49 | 0.52 | (0.20) | — | (0.20) | |||||||||||||||||||||
| FOR THE PERIOD ENDED 9/30/106—12/31/10† | $10.00 | 0.01 | 0.38 | 0.39 | (0.12) | — | (0.12) | |||||||||||||||||||||
| AQR RISK PARITY II MV FUND CLASS I | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.17 | (0.03) | (0.62) | (0.65) | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 11/05/126—12/31/125 | $10.00 | — | 0.19 | 0.19 | (0.02) | — | (0.02) | |||||||||||||||||||||
| AQR RISK PARITY II MV FUND CLASS N | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.18 | (0.02) | (0.65) | (0.67) | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 11/05/126—12/31/125 | $10.00 | — | 0.18 | 0.18 | — | — | — | |||||||||||||||||||||
| AQR RISK PARITY II HV FUND CLASS I | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.21 | (0.03) | (0.95) | (0.98) | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 11/05/126—12/31/125 | $10.00 | 0.01 | 0.23 | 0.24 | (0.03) | — | (0.03) | |||||||||||||||||||||
| AQR RISK PARITY II HV FUND CLASS N | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $10.23 | (0.03) | (0.96) | (0.99) | — | — | — | |||||||||||||||||||||
| FOR THE PERIOD ENDED 11/05/126—12/31/125 | $10.00 | (0.01) | 0.25 | 0.24 | (0.01) | — | (0.01) | |||||||||||||||||||||
| AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS I | ||||||||||||||||||||||||||||
| SIX MONTHS ENDED JUNE 30, 2013 (Unaudited)5 | $9.90 | (0.08) | 0.32 | 0.24 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20125 | $9.70 | (0.17) | 0.40 | 0.23 | (0.01) | (0.02) | (0.03) | |||||||||||||||||||||
| FOR THE PERIOD ENDED 7/18/116—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, 2013 (Unaudited)5 | $9.89 | (0.09) | 0.31 | 0.22 | — | — | — | |||||||||||||||||||||
| FOR THE YEAR ENDED DECEMBER 31, 20125 | $9.69 | (0.23) | 0.45 | 0.22 | — | (0.02) | (0.02) | |||||||||||||||||||||
| FOR THE PERIOD ENDED 7/18/116—12/31/115 | $10.00 | (0.06) | (0.21) | (0.27) | (0.04) | — | (0.04) | |||||||||||||||||||||
| * | 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 operations. |
| 7 | 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%. |
| 8 | 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. |
| 88 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Financial Highlights | June 30, 2013 |
| 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 |
|||||||||||||||||||||||||
| $10.11 | 3.37 | % | $2,870,618,577 | 1.25 | % | 1.25 | % | 1.25 | % | (1.24 | )% | 0 | % | |||||||||||||||||||
| $9.78 | 2.99 | % | $2,136,959,054 | 1.25 | % | 1.25 | % | 1.25 | % | (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 | % | |||||||||||||||||||
| $10.05 | 3.29 | % | $998,266,920 | 1.50 | % | 1.50 | % | 1.50 | % | (1.50 | )% | 0 | % | |||||||||||||||||||
| $9.73 | 2.68 | % | $527,318,143 | 1.50 | % | 1.50 | % | 1.52 | % | (1.48 | )% | 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 | % | |||||||||||||||||||
| $8.34 | (15.50 | )% | $51,880,415 | 1.05 | % | 1.05 | % | 1.34 | % | (1.05 | )% | 0 | % | |||||||||||||||||||
| $9.87 | (1.30 | )% | $63,330,812 | 1.05 | % | 1.05 | % | 1.72 | % | (1.04 | )% | 0 | % | |||||||||||||||||||
| $8.32 | (15.62 | )% | $4,079,326 | 1.30 | % | 1.30 | % | 1.96 | % | (1.30 | )% | 0 | % | |||||||||||||||||||
| $9.86 | (1.40 | )% | $2,206,303 | 1.30 | % | 1.30 | % | 4.00 | % | (1.30 | )% | 0 | % | |||||||||||||||||||
| $10.88 | (5.31 | )% | $1,035,712,169 | 0.88 | % | 0.88 | % | 0.88 | % | (0.56 | )% | 50 | % | |||||||||||||||||||
| $11.49 | 14.05 | % | $868,660,662 | 0.95 | % | 0.95 | % | 0.95 | % | (0.03 | )% | 72 | % | |||||||||||||||||||
| $10.62 | 5.45 | %7 | $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 | % | |||||||||||||||||||
| $10.84 | (5.49 | )% | $129,394,744 | 1.20 | % | 1.20 | % | 1.20 | % | (1.01 | )% | 50 | % | |||||||||||||||||||
| $11.47 | 13.89 | % | $170,953,453 | 1.20 | % | 1.20 | % | 1.23 | % | (0.26 | )% | 72 | % | |||||||||||||||||||
| $10.59 | 5.12 | %7 | $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 | % | |||||||||||||||||||
| $9.52 | (6.39 | )% | $61,079,411 | 0.95 | % | 0.95 | % | 1.14 | % | (0.57 | )% | 112 | % | |||||||||||||||||||
| $10.17 | 1.87 | % | $29,993,223 | 0.95 | % | 0.95 | % | 2.07 | % | 0.18 | % | 0 | % | |||||||||||||||||||
| $9.51 | (6.58 | )% | $19,081,802 | 1.20 | % | 1.20 | % | 1.51 | % | (0.35 | )% | 112 | % | |||||||||||||||||||
| $10.18 | 1.80 | % | $2,259,342 | 1.20 | % | 1.20 | % | 2.81 | % | (0.29 | )% | 0 | % | |||||||||||||||||||
| $9.23 | (9.60 | )% | $18,913,036 | 1.26 | % | 1.15 | % | 1.70 | % | (0.49 | )% | 114 | % | |||||||||||||||||||
| $10.21 | 2.44 | % | $16,253,630 | 1.28 | % | 1.15 | % | 2.26 | % | 0.53 | % | 0 | % | |||||||||||||||||||
| $9.24 | (9.68 | )% | $13,194,194 | 1.51 | % | 1.40 | % | 2.18 | % | (0.54 | )% | 114 | % | |||||||||||||||||||
| $10.23 | 2.38 | % | $5,804,844 | 1.53 | % | 1.40 | % | 3.44 | % | (0.62 | )% | 0 | % | |||||||||||||||||||
| $10.14 | 2.42 | % | $1,238,583,303 | 3.79 | % | 1.98 | % | 3.83 | % | (1.56 | )% | 73 | % | |||||||||||||||||||
| $9.90 | 2.36 | % | $808,261,775 | 3.52 | % | 1.98 | % | 3.60 | % | (1.73 | )% | 208 | % | |||||||||||||||||||
| $9.70 | (2.57 | )%8 | $257,168,435 | 2.23 | % | 1.98 | % | 2.59 | % | (1.09 | )% | 133 | % | |||||||||||||||||||
| $10.11 | 2.22 | % | $54,020,965 | 4.04 | % | 2.23 | % | 4.13 | % | (1.88 | )% | 73 | % | |||||||||||||||||||
| $9.89 | 2.22 | % | $43,104,252 | 3.76 | % | 2.23 | % | 3.93 | % | (2.32 | )% | 208 | % | |||||||||||||||||||
| $9.69 | (2.73 | )%8 | $44,676,329 | 2.48 | % | 2.23 | % | 2.85 | % | (1.37 | )% | 133 | % | |||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. |
| AQR Funds | Semi-Annual Report | June 2013 | 89 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
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, 2013, the Trust consists of twenty-one active series, of which six of the active series are presented in this book and the remaining fifteen active series are reported in a separate book, (collectively, the “Funds” and each individually a “Fund”): AQR Managed Futures Strategy Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II MV Fund, AQR Risk Parity II HV Fund and AQR Multi-Strategy Alternative Fund. AQR Capital Management, LLC (“the Advisor”) serves as the investment Advisor of each Fund. The Advisor has retained CNH Partners, LLC (“the Sub-Advisor”), an affiliate of the Advisor, to serve as an investment sub-Advisor to the AQR Multi-Strategy Alternative Fund.
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 total return 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 total return 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-Balanced Commodities Strategy Fund is to seek total return. The Fund pursues its investment objective by investing in a portfolio of commodity futures contracts. The Fund seeks to balance risks across commodity sectors, managing risk over time through volatility targeting and drawdown control, and improving returns using information on commodity fundamentals and trends. The fund can go long or short individual commodity contracts, but will always be net long commodities as a whole. 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 Risk Parity II MV 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, developed and emerging market currencies, and commodities). The “MV” in the Fund’s name reflects its “moderate volatility” approach. On average, the Advisor will target an annualized volatility level of 10% and expects the Fund’s targeted annualized volatility will typically range from 7% to 13%. The Fund offers Class I and Class N shares.
The investment objective of the AQR Risk Parity II HV 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, developed and emerging market currencies, and commodities). The “HV” in the Fund’s name reflects its “high volatility” approach. On average, the Advisor, will target an annualized volatility level of 15% and expects that the Fund’s targeted annualized volatility will typically range from 10% to 20%. 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.
2. Consolidation of Subsidiaries
The consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets, of Cash Flows and the Financial Highlights of the AQR Managed Futures Strategy Fund, AQR Risk-Balanced
| 90 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II MV Fund, AQR Risk Parity II HV Fund and AQR Multi-Strategy Alternative Fund include the accounts of AQR Managed Futures Strategy Offshore Fund Ltd., AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd., AQR Risk Parity Offshore Fund Ltd., AQR Risk Parity II MV Offshore Fund Ltd., AQR Risk Parity II HV 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 future periods.
AQR Managed Futures Strategy Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II MV Fund, AQR Risk Parity II HV 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, 2013 |
% OF TOTAL NET ASSETS AT JUNE 30, 2013 |
||||||||||
| AQR Managed Futures Strategy Offshore Fund, Ltd. |
January 6, 2010 | 890,237,889 | 23.0% | |||||||||
| AQR Risk-Balanced Commodities Strategy Offshore Fund, Ltd. |
July 9, 2012 | 12,418,044 | 22.2% | |||||||||
| AQR Risk Parity Offshore Fund, Ltd. |
September 30, 2010 | 232,024,781 | 19.9% | |||||||||
| AQR Risk Parity II MV Offshore Fund, Ltd. |
November 5, 2012 | 11,986,406 | 15.0% | |||||||||
| AQR Risk Parity II HV Offshore Fund, Ltd. |
November 5, 2012 | 6,291,380 | 19.6% | |||||||||
| AQR Multi-Strategy Alternative Offshore Fund, Ltd. |
July 18, 2011 | 203,641,918 | 15.8% | |||||||||
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 Stock Market LLC (“NASDAQ”) are generally the NASDAQ Official Closing Price. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value pricing to international securities traded outside of the Western Hemisphere on a daily basis utilizing the quotations of an independent pricing service, unless the Advisor 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 evaluated quotes furnished by independent pricing services. Evaluated quotes are based on a matrix system, which may consider such factors as quoted prices, yields, maturities and ratings and are not necessarily reliant on quoted prices. 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
| AQR Funds | Semi-Annual Report | June 2013 | 91 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
on the contracts that is determined by marking the contracts to their current settlement prices. Futures and options contracts are valued at the last quoted sales price on the valuation date. In the event that the exchange for a specific futures contract closes earlier than 4:00 p.m., the futures contract is valued at the Official Settlement Price of the exchange. Prices of futures contracts are monitored until 4:00 p.m. to determine if fair valuation would provide a more accurate valuation. Investments in open-end investment companies are valued at such investment company’s current day closing net asset value per share. Exchange-Traded Funds (“ETFs”) and closed-end investment companies are valued at the last quoted sales price. Equity, total return and commodity swap contracts are valued at fair value, based on the price of the underlying referenced instrument. Credit default swaps are valued daily primarily using independent pricing services or market makers. Interest rate swap contracts are valued at fair value as determined by an independent pricing service based on various valuation models which consider the terms of underlying contracts and market data inputs received from third parties.
The Funds may use pricing services to obtain readily available market quotations. Where market quotations are not readily available, or if an available market quotation is determined not to 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. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. 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. It is possible the estimated values may differ significantly from the values which would have been used had a ready market for the investments existed, these differences could be material.
Convertible Securities: Certain Funds invest in preferred stocks and fixed-income securities which are convertible into common stock. Convertible securities may be converted either at a stated price or rate within a specified period of time into a specified number of shares of common stock. By investing in a convertible security, the Funds may participate in any capital appreciation or depreciation of a company’s stock, but to a lesser degree than if 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 Multi-Strategy Alternative Fund sells securities it does not own as a hedge against some of its long positions and/or in anticipation of a decline in the market value of that security (short sale). When the Fund makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. The Fund may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions open are recorded on the ex-date as an expense. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received. The Fund is also subject to the risk that 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 Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as unrealized gain or loss on the Statements of Operations.
The Fund is required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash deposited with broker for collateral for securities sold short is recorded as an asset on the Statements of Assets and Liabilities and securities segregated as collateral are denoted in the Schedules of Investments. The Fund may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities; and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security
| 92 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
and a variable rate that is dependent on the availability of the security. The net amount of fees of $1,135,360, incurred by the AQR Multi-Strategy Alternative Fund is included in dividend and interest on securities sold short in the Statements of Operations.
Futures Contracts: The Funds invest in futures contracts 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 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 presented as Due from Broker 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 Foreign Currency Exchange Contracts: Certain Funds buy and sell forward foreign currency exchange contracts, which are agreements between two parties to buy and sell currencies at a set price on a future date. These contracts are used to protect against a decline in value relative to the U.S. dollar of the currencies in which portfolio securities are denominated or quoted (or an increase in the value of a currency in which securities 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 foreign currency exchange 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. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
Total Return Swap Contracts: Certain Funds invest in total return swaps to obtain exposure to the underlying referenced instrument, obtain leverage or attain the returns from ownership without actually owning the underlying position. Total return swaps are two-party contracts that generally obligate one party to pay the positive return and the other party to pay the negative return on a specified reference security, basket of securities, security index or index component during the period of the swap. Total return 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. Total return swaps normally do not involve the delivery of securities or other underlying assets. If the other party to an total return 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. Total return swaps are derivatives and their value can be very volatile. To the extent that the Advisor or Sub-Advisor, 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. Total return 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
| AQR Funds | Semi-Annual Report | June 2013 | 93 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
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. 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 Fund’s risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the Fund’s Schedule of Investments.
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. Non-deliverable interest rate swaps are settled with the counterparty in cash without the delivery of foreign currency.
High Yield Securities: The AQR Multi-Strategy Alternative Fund invests 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 (includes Total Return, Credit Default and Interest Rate swaps) 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 a custodian of the Fund 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
| 94 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
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 by derivative type and counterparty when a legally enforceable master netting agreement exists between the Funds and a derivative counterparty.
Repurchase Agreements: The AQR Risk Parity II HV Fund may enter into repurchase agreements. In a repurchase agreement, a Fund takes possession of an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. Under the terms of a master repurchase agreement, the underlying securities for all repurchase agreements are held in safekeeping at the Fund’s custodian or designated sub-custodians under tri-party repurchase agreements. Master repurchase agreements govern transactions between a Fund and select counterparties. The master repurchase agreements maintain provisions for, among other things, initiation, income payments, events of default, maintenance of collateral for repurchase agreements and the disposition of such collateral following an event of default. The market value of the collateral must be equal to or exceed the total amount of the repurchase obligations, including interest. Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for receipt of collateral, which may result in interest expense to the Fund. Generally, in the event of counterparty default, a Fund has the right to use the collateral to offset losses incurred. If the counterparty should default, a Fund may seek to sell the securities which it holds as collateral. This could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price.
Reverse Repurchase Agreements: The AQR Risk Parity II HV Fund enters into under the terms of the Master Repurchase Agreement reverse repurchase agreements, the Fund sells to a counterparty a security that it holds with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date. Reverse repurchase agreements are valued based on the amount of cash received plus accrued interest, which represents fair value. Reverse repurchase agreements are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, the Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. The Fund monitors collateral market value for the reverse repurchase agreement, including accrued interest, throughout the lives of the agreements, and when necessary, delivers or receives cash or securities in order to manage credit exposure and liquidity. If the counterparty defaults or enters insolvency proceeding, realization or return of the collateral to the Fund may be delayed or limited.
Options: The AQR Multi-Strategy Alternative Fund may write and purchase put and call options from time to time. 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.
| AQR Funds | Semi-Annual Report | June 2013 | 95 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
Transactions in call and put options written during the period ended June 30, 2013 for the AQR Multi-Strategy Alternative Fund were as follows:
| CALL OPTIONS | ||||||||
| SHARES SUBJECT TO CALL |
PREMIUM | |||||||
| Options outstanding, December 31, 2012 |
(725 | ) | $ | (35,916 | ) | |||
| Options written |
(16,764 | ) | (472,527 | ) | ||||
| Options exercised | 6,786 | 279,996 | ||||||
| Options outstanding, June 30, 2013 | (10,703 | ) | $ | (228,447 | ) | |||
Securities Lending: The AQR Multi-Strategy Alternative Fund may lend securities to brokers approved by the Advisor 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 Fund is required to return to the borrower the posted cash collateral. Loans are subject to termination by the Fund 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 Securities lending income, net on the Statements of Operations. The Fund also receives 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 Fund bears the risk of loss associated with the collateral investments and is 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, the Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, the Fund may use leverage (borrow money) to repay the borrower for cash collateral posted if the Advisor does not believe that it is prudent to sell the collateral investments to fund the payment of this liability.
In the event of a default by a borrower with respect to any loan, the lending agent will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If, despite such efforts by the lending agent to exercise these remedies, the Funds sustain losses as a result of a borrower’s default, the Securities Lending Agent indemnifies the Funds by purchasing replacement securities at its expense, or paying the Funds an amount equal to the market value of the replacement securities, subject to certain limitations which are set forth in detail in the Securities Lending Agency Agreement between the Funds and the lending agent.
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 positions deemed to meet the more-likely-than-not threshold would be recorded as a tax benefit or expense in the current year. The Funds are required to analyze all open tax years. Open tax years are those years that are open for examination by the relevant income taxing authority. The returns of the Funds for the prior three fiscal years, or since inception if shorter, are open for examination. As of June 30, 2013, 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.
| 96 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
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, capital gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.
Organization and Offering Costs: Costs incurred by the AQR Risk Parity II MV Fund and AQR Risk Parity II HV Fund in connection with the organization of those Funds, including professional and incorporation fees, are fully expensed by the end of the fiscal year. Offering costs, including professional fees, printing fees and the offering of the initial registration are amortized over a period not longer than twelve months from the date the Funds commenced operations.
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 and forward foreign currency exchange contracts, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and assets and liabilities (other than investments) denominated in foreign currencies, which are held at period end.
Cash and Cash Equivalents: Cash and cash equivalents 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.
| AQR Funds | Semi-Annual Report | June 2013 | 97 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
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, 2013, 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 Managed Futures Strategy Fund |
$ | 3,634,889,190 | $ | 3,996 | $ | — | $ | 3,996 | ||||||||
| AQR Risk-Balanced Commodities Strategy Fund |
58,954,754 | — | (10 | ) | (10 | ) | ||||||||||
| AQR Risk Parity Fund |
1,075,968,272 | 1,830,442 | (4,421,760 | ) | (2,591,318 | ) | ||||||||||
| AQR Risk Parity II MV Fund |
69,523,704 | 21 | (940,481 | ) | (940,460 | ) | ||||||||||
| AQR Risk Parity II HV Fund |
24,815,404 | 30 | (436,402 | ) | (436,372 | ) | ||||||||||
| AQR Multi-Strategy Alternative Fund |
1,289,496,919 | 121,250,795 | (21,250,033 | ) | 100,000,762 | |||||||||||
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals.
As of December 31, 2012, 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 | ||||||
| AQR Managed Futures Strategy Fund |
$ | 49,365,405 | $ | 20,410,226 | ||||
| AQR Multi-Strategy Alternative Fund |
561,141 | 1,234,913 | ||||||
| FUND | LATE YEAR ORDINARY LOSS DEFERRALS |
|||
| AQR Managed Futures Strategy Fund |
$ | 1,744,460 | ||
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Post-enactment capital loss carryforwards 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:
| 98 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
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.
Equities traded outside North America (including those as underlying reference instruments for total return swaps) are fair valued daily based on the application of a fair value factor 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 (including evaluated quotes) from an independent pricing service, counterparties and other market participants. 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, or dealers and 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
| AQR Funds | Semi-Annual Report | June 2013 | 99 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
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 contract 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.
Securities, for which market quotations or independent pricing service quotations are not readily available, are not readily marketable, or model priced 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 Advisor has established a Valuation Committee (the “VC”) which is responsible for overseeing the pricing and valuation of all securities held in the Funds. The VC operates under the valuation procedures approved by the Funds’ Board of Trustees. The VC meets quarterly and on an as-needed basis. The VC is responsible for valuing 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, model prices and other events that may have a potentially material impact on security values. On a quarterly basis the VC meets to review the results of back test reports generated by the Advisor’s internal risk department. The VC prepares for the Funds’ Board of Trustees an analysis relating to Level 3 positions. On a daily basis, the Trust’s fund accounting agent compares trade executions prices to the prior night’s valuation price for all positions which were traded and held the previous day. On a monthly basis, model prices are reviewed against available third party model 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.
| 100 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
The following summarizes inputs used as of June 30, 2013 in valuing the Funds’ assets carried at fair value:
| AQR MANAGED FUTURES STRATEGY FUND |
QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Short-Term Investments |
$ | — | $ | 269,020,347 | $ | — | $ | 269,020,347 | ||||||||
| Money Market Funds |
— | 3,365,872,839 | — | 3,365,872,839 | ||||||||||||
| Futures Contracts* |
27,685,851 | – | — | 27,685,851 | ||||||||||||
| Total Return Swap Contracts* | — | 23,210,104 | — | 23,210,104 | ||||||||||||
| Total Assets |
$ | 27,685,851 | $ | 3,658,103,290 | $ | — | $ | 3,685,789,141 | ||||||||
| LIABILITIES |
||||||||||||||||
| Forward Foreign Currency Exchange Contracts* |
$ | — | $ | (15,086,818 | ) | $ | — | $ | (15,086,818 | ) | ||||||
| Total Return Swap Contracts* | — | (620,550 | ) | — | (620,550 | ) | ||||||||||
| Total Liabilities |
$ | — | $ | (15,707,368 | ) | $ | — | $ | (15,707,368 | ) | ||||||
| * 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-BALANCED COMMODITIES STRATEGY FUND |
QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Short-Term Investments |
$ | — | $ | 2,599,230 | $ | — | $ | 2,599,230 | ||||||||
| Money Market Funds | — | 56,355,514 | — | 56,355,514 | ||||||||||||
| Total Assets |
$ | — | $ | 58,954,744 | $ | — | $ | 58,954,744 | ||||||||
| LIABILITIES |
||||||||||||||||
| Futures Contracts* |
$ | (682,729 | ) | $ | — | $ | — | $ | (682,729 | ) | ||||||
| Total Return Swap Contracts* | — | (3,577,641 | ) | — | (3,577,641 | ) | ||||||||||
| Total Liabilities |
$ | (682,729 | ) | $ | (3,577,641 | ) | $ | — | $ | (4,260,370 | ) | |||||
| * Derivative instruments, including futures 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 |
$ | — | $ | 81,476,985 | $ | — | $ | 81,476,985 | ||||||||
| Short-Term Investments |
— | 91,472,916 | — | 91,472,916 | ||||||||||||
| U.S. Treasury Obligations |
— | 81,638,596 | — | 81,638,596 | ||||||||||||
| Money Market Funds |
— | 818,788,457 | — | 818,788,457 | ||||||||||||
| Credit Default Swap Contracts* |
— | 3,778,990 | — | 3,778,990 | ||||||||||||
| Total Return Swap Contracts* | — | 43,636 | — | 43,636 | ||||||||||||
| Total Assets |
$ | — | $ | 1,077,199,580 | $ | — | $ | 1,077,199,580 | ||||||||
| AQR Funds | Semi-Annual Report | June 2013 | 101 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
| AQR RISK PARITY FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| LIABILITIES |
||||||||||||||||
| Forward Foreign Currency Exchange Contracts* |
$ | — | $ | (3,258,471 | ) | $ | — | $ | (3,258,471 | ) | ||||||
| Futures Contracts* |
(12,549,188 | ) | – | — | (12,549,188 | ) | ||||||||||
| Credit Default Swap Contracts* |
— | (1,115,055 | ) | — | (1,115,055 | ) | ||||||||||
| Interest Rate Swap Contracts* |
— | (11,839,502 | ) | — | (11,839,502 | ) | ||||||||||
| Total Return Swap Contracts* | — | (4,827,362 | ) | — | (4,827,362 | ) | ||||||||||
| Total Liabilities |
$ | (12,549,188 | ) | $ | (21,040,390 | ) | $ | — | $ | (33,589,578 | ) | |||||
| * 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.
| AQR RISK PARITY II MV FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Government Related Obligations |
$ | — | $ | 8,246,813 | $ | — | $ | 8,246,813 | ||||||||
| Short-Term Investments |
— | 1,899,438 | — | 1,899,438 | ||||||||||||
| U.S. Treasury Obligations |
— | 8,689,439 | — | 8,689,439 | ||||||||||||
| Money Market Funds |
— | 49,747,554 | — | 49,747,554 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 166,836 | — | 166,836 | ||||||||||||
| Total Return Swap Contracts* | — | 2,180 | — | 2,180 | ||||||||||||
| Total Assets |
$ | — | $ | 68,752,260 | $ | — | $ | 68,752,260 | ||||||||
| LIABILITIES |
||||||||||||||||
| Futures Contracts* |
$ | (1,683,974 | ) | $ | — | $ | — | $ | (1,683,974 | ) | ||||||
| Total Return Swap Contracts* | — | (511,196 | ) | — | (511,196 | ) | ||||||||||
| Total Liabilities |
$ | (1,683,974 | ) | $ | (511,196 | ) | $ | — | $ | (2,195,170 | ) | |||||
| * Derivative instruments, including futures, total return swap and forward foreign currency exchange 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.
| 102 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
| AQR RISK PARITY II HV FUND | QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
| |||||||||||||||
| Government Related Obligations |
$ | — | $ | 4,782,806 | $ | — | $ | 4,782,806 | ||||||||
| Repurchase Agreements |
— | 2,668,000 | — | 2,668,000 | ||||||||||||
| Short-Term Investments |
— | 2,099,379 | — | 2,099,379 | ||||||||||||
| U.S. Treasury Obligations |
— | 5,489,996 | — | 5,489,996 | ||||||||||||
| Money Market Funds |
— | 9,338,851 | — | 9,338,851 | ||||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | 41,956 | — | 41,956 | ||||||||||||
| Total Assets |
$ | — | $ | 24,420,988 | $ | — | $ | 24,420,988 | ||||||||
| LIABILITIES |
||||||||||||||||
| Reverse Repurchase Agreements (Sold Short) |
$ | — | $ | (8,130,875) | $ | — | $ | (8,130,875 | ) | |||||||
| Futures Contracts* |
(633,023 | ) | — | — | (633,023 | ) | ||||||||||
| Total Return Swap Contracts* | — | (580,420 | ) | — | (580,420 | ) | ||||||||||
| Total Liabilities |
$ | (633,023 | ) | $ | (8,711,295 | ) | $ | — | $ | (9,344,318 | ) | |||||
| * Derivative instruments, including futures, total return swap and forward foreign currency exchange 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 MULTI-STRATEGY ALTERNATIVE FUND |
QUOTED PRICES IN ACTIVE MARKET (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3) |
TOTALS | ||||||||||||
| ASSETS |
||||||||||||||||
| Common Stocks† |
$ | 53,445,111 | $ | 517,667,979 | $ | — | $ | 571,113,090 | ||||||||
| Convertible Preferred Stocks† |
8,437,784 | 507,770 | — | 8,945,554 | ||||||||||||
| Corporate Bonds† |
— | 141,828,035 | — | 141,828,035 | ||||||||||||
| Convertible Bonds† |
— | 211,194,104 | — | 211,194,104 | ||||||||||||
| Preferred Stocks† |
1,600,718 | 3,874,659 | — | 5,475,377 | ||||||||||||
| Short-Term Investments |
— | 22,593,310 | — | 22,593,310 | ||||||||||||
| Money Market Funds |
— | 427,903,059 | — | 427,903,059 | ||||||||||||
| Purchased Options |
445,152 | — | — | 445,152 | ||||||||||||
| Futures Contracts* |
5,269,663 | — | — | 5,269,663 | ||||||||||||
| Credit Default Swap Contracts* |
— | 1,467,232 | — | 1,467,232 | ||||||||||||
| Total Return Swap Contracts* |
— | 2,590,490 | — | 2,590,490 | ||||||||||||
| Total Return Basket Swaps Contracts* | — | 43,429,898 | — | 43,429,898 | ||||||||||||
| Total Assets |
$ | 69,198,428 | $ | 1,373,056,536 | $ | — | $ | 1,442,254,964 | ||||||||
| LIABILITIES |
||||||||||||||||
| Common Stocks (Sold Short)† |
$ | (277,785,519 | ) | $ | (420,457,055 | ) | $ | — | $ | (698,242,574 | ) | |||||
| Exchange-Traded Funds (Sold Short) |
(67,516,191 | ) | — | — | (67,516,191 | ) | ||||||||||
| Preferred Stocks (Sold Short)† |
— | (2,010,546 | ) | — | (2,010,546 | ) | ||||||||||
| Forward Foreign Currency Exchange Contracts* |
— | (1,712,997 | ) | — | (1,712,997 | ) | ||||||||||
| Written Options (Sold Short)* |
(1,203,242 | ) | (304 | ) | (112 | ) | (1,203,658 | ) | ||||||||
| Total Return Swap Contracts* | — | (330,345 | ) | — | (330,345 | ) | ||||||||||
| Total Liabilities |
$ | (346,504,952 | ) | $ | (424,511,247 | ) | $ | (112 | ) | $ | (771,016,311) | |||||
| * Derivative instruments, including futures, total return swap and forward foreign currency exchange contracts, are valued at the unrealized appreciation (depreciation) of the instrument. Credit default swap, written options and total return basket swap contracts are reported at market value. † Please refer to the Schedule of Investments to view securities segregated by country. |
| |||||||||||||||
| AQR Funds | Semi-Annual Report | June 2013 | 103 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
There were no transfers between Levels 1 and 2 during the period. Securities listed in the Schedule of Investments with a total market value of $(112) are classified as Level 3 and considered quantitatively insignificant to the portfolio. The total change in unrealized appreciation (depreciation) included in the Statements of Operations attributable to Level 3 investments still held at June 30, 2013 is $(84).
6. Investment Transactions
During the period ended June 30, 2013, the cost of purchases and the proceeds from sales of investments (excluding short-term investments) were as follows:
| FUND | PURCHASES | SALES | SECURITIES SOLD SHORT |
COVERS ON SECURITIES SOLD SHORT |
||||||||||||
| AQR Managed Futures Strategy Fund |
$ | — | $ | — | $ | — | $ | — | ||||||||
| AQR Risk-Balanced Commodities Strategy Fund |
— | — | — | — | ||||||||||||
| AQR Risk Parity Fund |
319,013,403 | 713,145,720 | — | — | ||||||||||||
| AQR Risk Parity II MV Fund |
53,117,371 | 47,196,760 | — | — | ||||||||||||
| AQR Risk Parity II HV Fund |
41,449,640 | 48,141,608 | — | — | ||||||||||||
| AQR Multi-Strategy Alternative Fund |
407,211,797 | 170,373,629 | 403,661,921 | 202,234,446 | ||||||||||||
During the period ended June 30, 2013, the Funds had purchases and sales of long-term U.S. Government obligations as follows:
| FUND | PURCHASES | SALES | ||||||
| AQR Risk Parity Fund |
$ | 173,706,075 | $ | 360,857,637 | ||||
| AQR Risk Parity II MV Fund |
27,280,667 | 24,608,756 | ||||||
| AQR Risk Parity II HV Fund |
21,023,552 | 24,465,445 | ||||||
7. Derivative Instruments and Hedging Activities
Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The values of such derivative instruments reflected in the Statements of Assets and Liabilities at June 30, 2013 are as follows:
| ASSETS | LIABILITIES | |||||||||||||||||||||||||||
| FUND | UNREALIZED APPRECIATION ON FUTURES CONTRACTS |
SWAPS AT VALUE |
UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS |
UNREALIZED DEPRECIATION ON FUTURES CONTRACTS |
SWAPS AT VALUE |
UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS |
WRITTEN OPTIONS AT MARKET VALUE |
|||||||||||||||||||||
| Equity Risk Exposure | ||||||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
$2,899,119 | $894,953 | $— | $16,504,977 | $146,563 | $— | $— | |||||||||||||||||||||
| AQR Risk Parity Fund |
850,001 | 303,287 | — | 3,254,729 | 259,651 | — | — | |||||||||||||||||||||
| AQR Risk Parity II MV Fund |
108,193 | 26,012 | — | 407,167 | 57,687 | — | — | |||||||||||||||||||||
| AQR Risk Parity II HV Fund |
54,303 | 18,373 | — | 203,408 | 23,577 | — | — | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
3,801,813 | 45,129,925 | — | 4,808,090 | 29,439 | — | 1,203,658 | |||||||||||||||||||||
| Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||||||
| Managed Futures Strategy Fund |
— | — | 96,333,354 | — | — | 111,420,172 | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
— | — | 6,318,945 | — | — | 9,577,416 | — | |||||||||||||||||||||
| AQR Risk Parity II MV Fund |
— | — | 310,112 | — | — | 143,276 | — | |||||||||||||||||||||
| AQR Risk Parity II HV Fund |
— | — | 279,824 | — | — | 237,868 | — | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
— | — | 22,838,647 | — | — | 24,551,644 | — | |||||||||||||||||||||
| Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
28,754,636 | — | — | 4,028,020 | 979,310 | — | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
— | 4,535,435 | — | 1,462,265 | 20,714,093 | — | — | |||||||||||||||||||||
| AQR Risk Parity II MV Fund |
— | — | — | 828,108 | — | — | — | |||||||||||||||||||||
| AQR Risk Parity II HV Fund |
— | — | — | 155,270 | 202,477 | — | — | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
4,320,478 | 5,495,136 | — | 787,056 | 5,031,127 | — | — | |||||||||||||||||||||
| 104 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
| ASSETS | LIABILITIES | |||||||||||||||||||||||||||
| FUND | UNREALIZED APPRECIATION ON FUTURES CONTRACTS |
SWAPS AT VALUE |
UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS |
UNREALIZED DEPRECIATION ON FUTURES CONTRACTS |
SWAPS AT VALUE |
UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS |
WRITTEN OPTIONS AT MARKET VALUE |
|||||||||||||||||||||
| Credit Risk Exposure: | ||||||||||||||||||||||||||||
| AQR Risk Parity Fund |
$— | $4,376,396 | $— | $— | $1,712,461 | $— | $— | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
— | 1,467,232 | — | — | — | — | — | |||||||||||||||||||||
| Commodity Exposure: | ||||||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
44,713,300 | 43,686,859 | — | 28,148,207 | 20,866,385 | — | — | |||||||||||||||||||||
| AQR Risk Balanced Commodities Strategy Fund |
1,500,048 | 2,615,508 | — | 2,182,777 | 6,193,149 | — | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
12,593,503 | 233,208 | — | 21,275,698 | 721,414 | — | — | |||||||||||||||||||||
| AQR Risk Parity II MV Fund |
813,771 | 178,900 | — | 1,370,663 | 656,241 | — | — | |||||||||||||||||||||
| AQR Risk Parity II HV Fund |
682,866 | 239,437 | — | 1,011,514 | 612,176 | — | — | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund | 8,545,964 | 1,575,167 | — | 5,803,446 | 1,449,619 | — | — | |||||||||||||||||||||
| Netting: | ||||||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
(48,681,204) | (21,992,258) | (96,333,354) | (48,681,204) | (21,992,258) | (96,333,354) | — | |||||||||||||||||||||
| AQR Risk Balanced Commodities Strategy Fund |
(1,500,048) | (2,615,508) | — | (1,500,048) | (2,615,508) | — | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
(13,443,504) | (9,448,326) | (6,318,945) | (13,443,504) | (9,448,326) | (6,318,945) | — | |||||||||||||||||||||
| AQR Risk Parity II MV Fund |
(921,964) | (204,912) | (143,276) | (921,964) | (204,912) | (143,276) | — | |||||||||||||||||||||
| AQR Risk Parity II HV Fund |
(737,169) | (257,810) | (237,868) | (737,169) | (257,810) | (237,868) | — | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund | (11,398,592) | (6,510,185) | (22,838,647) | (11,398,592) | (6,510,185) | (22,838,647) | — | |||||||||||||||||||||
| Net Fair Value of Derivative Contracts: | ||||||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
27,685,851 | 22,589,554 | — | — | — | 15,086,818 | — | |||||||||||||||||||||
| AQR Risk Balanced Commodities Strategy Fund |
— | — | — | 682,729 | 3,577,641 | — | — | |||||||||||||||||||||
| AQR Risk Parity Fund |
— | — | — | 12,549,188 | 13,959,293 | 3,258,471 | — | |||||||||||||||||||||
| AQR Risk Parity II MV Fund |
— | — | 166,836 | 1,683,974 | 509,016 | — | — | |||||||||||||||||||||
| AQR Risk Parity II HV Fund |
— | — | 41,956 | 633,023 | 580,420 | — | — | |||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
5,269,663 | 47,157,275 | — | — | — | 1,712,997 | 1,203,658 | |||||||||||||||||||||
The following is the effect of Derivative Instruments on the Statements of Operations for the period ended June 30, 2013:
|
REALIZED GAIN (LOSS) ON AS A RESULT FROM OPERATIONS |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS |
|||||||||||||||||||||||||||||||
| FUND | FUTURES CONTRACTS |
SWAPS AND SWAPS ON FUTURES CONTRACTS* |
FORWARD CURRENCY EXCHANGE CONTRACTS |
WRITTEN OPTIONS |
FUTURES CONTRACTS |
SWAPS AND SWAPS ON FUTURES CONTRACTS* |
FORWARD CURRENCY EXCHANGE CONTRACTS |
WRITTEN OPTIONS |
||||||||||||||||||||||||
| Equity Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
$59,464,114 | $13,153,674 | $— | $— | $(23,875,276) | $1,846,157 | $— | $— | ||||||||||||||||||||||||
| AQR Risk Parity Fund |
27,242,573 | (1,737,210) | — | — | (4,253,443) | (196,666) | — | — | ||||||||||||||||||||||||
| AQR Risk Parity II MV Fund |
1,715,981 | (355,006) | — | — | (355,740) | (34,505) | — | — | ||||||||||||||||||||||||
| AQR Risk Parity II HV Fund |
1,620,964 | (228,235) | — | — | (243,228) | (12,646) | — | — | ||||||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
(30,401,027) | 10,755,591 | — | 279,584 | (3,581,715) | 42,528,953 | — | (982,271) | ||||||||||||||||||||||||
| AQR Funds | Semi-Annual Report | June 2013 | 105 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
|
REALIZED GAIN (LOSS) ON AS A RESULT FROM OPERATIONS |
NET CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION) ON DERIVATIVES RECOGNIZED AS A RESULT FROM OPERATIONS |
|||||||||||||||||||||||||||||||
| FUND | FUTURES CONTRACTS |
SWAPS AND SWAPS ON FUTURES CONTRACTS* |
FORWARD CURRENCY EXCHANGE CONTRACTS |
WRITTEN OPTIONS |
FUTURES CONTRACTS |
SWAPS AND SWAPS ON FUTURES CONTRACTS* |
FORWARD CURRENCY EXCHANGE CONTRACTS |
WRITTEN OPTIONS |
||||||||||||||||||||||||
| Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
$— | $— | $101,650,223 | $— | $— | $— | $(76,934,726) | $— | ||||||||||||||||||||||||
| AQR Risk Parity Fund |
— | — | (2,579,587) | — | — | — | 94,077 | — | ||||||||||||||||||||||||
| AQR Risk Parity II MV Fund |
— | — | 341,090 | — | — | — | 211,234 | — | ||||||||||||||||||||||||
| AQR Risk Parity II HV Fund |
— | — | 40,613 | — | — | — | 140,187 | — | ||||||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
— | — | 15,839,847 | — | — | — | (9,847,950) | — | ||||||||||||||||||||||||
| Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
(71,249,380) | (15,169,377) | — | — | 27,431,130 | (3,387,293) | — | — | ||||||||||||||||||||||||
| AQR Risk Parity Fund |
(12,313,610) | (5,485,145) | — | — | (417,753) | (19,320,332) | — | — | ||||||||||||||||||||||||
| AQR Risk Parity II MV Fund |
(1,199,699) | (301,405) | — | — | (801,999) | 320 | — | — | ||||||||||||||||||||||||
| AQR Risk Parity II HV Fund |
(756,834) | (824,212) | — | — | (92,147) | (178,362) | — | — | ||||||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
1,761,293 | (8,153,119) | — | — | 3,235,656 | 506,026 | — | — | ||||||||||||||||||||||||
| Credit Risk Exposure: | ||||||||||||||||||||||||||||||||
| AQR Risk Parity Fund |
— | 10,336,884 | — | — | — | 4,064,555 | — | — | ||||||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
— | 2,585,658 | — | — | — | 1,103,039 | — | — | ||||||||||||||||||||||||
| Commodity Exposure: | ||||||||||||||||||||||||||||||||
| AQR Managed Futures Strategy Fund |
7,208,291 | 36,659,834 | — | — | 11,203,931 | 22,279,530 | — | — | ||||||||||||||||||||||||
| AQR Risk-Balanced Commodities Strategy Fund |
(420,069) | (7,732,554) | — | — | (944,264) | (1,885,027) | — | — | ||||||||||||||||||||||||
| AQR Risk Parity Fund |
(22,836,572) | 169,298 | — | — | (5,507,394) | (443,360) | — | — | ||||||||||||||||||||||||
| AQR Risk Parity II MV Fund |
(1,717,282) | (267,471) | — | — | (517,956) | (468,114) | — | — | ||||||||||||||||||||||||
| AQR Risk Parity II HV Fund |
(1,192,465) | (461,968) | — | — | (282,222) | (333,616) | — | — | ||||||||||||||||||||||||
| AQR Multi-Strategy Alternative Fund |
16,893,694 | (822,506) | — | — | 1,670,963 | 164,798 | — | — | ||||||||||||||||||||||||
For swaps, futures and forward foreign currency exchange 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.
In December 2011, the Financial Accounting Standards Board (“FASB”) issued an Accounting Standards Update (“ASU”) No. 2011-11: Disclosures about Offsetting Assets and Liabilities (“netting”) on the Statements of Assets and Liabilities that are subject to master netting arrangements or similar agreements. ASU 2011-11, as amended by ASU No. 2013-01 clarifying which investments and transactions are subject to the netting disclosure. The scope of the disclosure requirements is limited to derivative instruments, repurchase agreements and reverse repurchase agreements, and securities borrowing and securities lending transactions to the extent they are subject to an enforceable master netting arrangement or similar agreement. This information will enable users of the Funds’ financial statements to evaluate the effect or potential effect of netting arrangements on the Funds’ financial position. The ASU is effective for financial statements with fiscal years beginning on or after January 1, 2013, and interim periods within those fiscal years. The Funds adopted the disclosure requirements for the current reporting period.
For financial reporting purposes, the Funds do not offset financial assets and financial liabilities across derivative types that are subject to master netting arrangements or similar agreements on the Statement of Assets and Liabilities.
| 106 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
AQR MANAGED FUTURES STRATEGY FUND
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED |
|
|
NET AMOUNT |
| |||||||
| Bank of America | Total Return Swap Contracts |
$ | 894,953 | $ | (894,953) | $ | — | $ | — | $ | — | $ | — | |||||||||||||
| Barclays Capital | Futures Contracts | 2,789,060 | (2,789,060) | — | — | — | — | |||||||||||||||||||
| Total Return Swap Contracts |
43,686,859 | (20,476,755) | 23,210,104 | — | — | 23,210,104 | ||||||||||||||||||||
| Goldman Sachs | Futures Contracts | 10,183,006 | (6,715,434) | 3,467,572 | — | — | 3,467,572 | |||||||||||||||||||
| J.P. Morgan | Futures Contracts | 63,393,561 | (23,285,037) | 40,108,524 | — | — | 40,108,524 | |||||||||||||||||||
| Morgan Stanley Capital Services, Inc. | Futures Contracts | 1,428 | (1,428) | — | — | — | — | |||||||||||||||||||
| Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
96,333,354 | (96,333,354) | — | — | — | — | |||||||||||||||||||
| Total financial instruments subject to a master netting agreement or similar arrangement | 217,282,221 | (150,496,021) | 66,786,200 | — | — | 66,786,200 | ||||||||||||||||||||
| Total financial instruments not subject to a master netting agreement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
| Total financial instruments |
$ | 217,282,221 | $ | (150,496,021) | $ | 66,786,200 | $ | — | $ | — | $ | 66,786,918 | ||||||||||||||
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED LIABILITIES |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL PLEDGED (b) |
|
|
NET AMOUNT |
| |||||||
| Bank of America | Total Return Swap Contracts | $ | 979,310 | $ | (894,953) | $ | 84,357 | $ | — | $ | (84,357) | $ | — | |||||||||||||
| Barclays Capital | Futures Contracts | 16,504,978 | (2,789,060) | 13,715,918 | — | 13,715,918 | — | |||||||||||||||||||
| Total Return Swap Contracts | 20,476,755 | (20,476,755) | — | — | — | — | ||||||||||||||||||||
| Deutsche Bank | Total Return Swap Contracts | 389,630 | — | 389,630 | — | (389,630) | — | |||||||||||||||||||
| Goldman Sachs | Futures Contracts | 6,715,434 | (6,715,434) | — | — | — | — | |||||||||||||||||||
| J.P. Morgan | Futures Contracts | 23,285,037 | (23,285,037) | — | — | — | — | |||||||||||||||||||
| Morgan Stanley Capital Services, Inc. | Futures Contracts | 2,175,755 | (1,428) | 2,174,327 | — | (2,174,327) | — | |||||||||||||||||||
| Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
111,420,172 | (96,333,354) | 15,086,818 | — | (15,086,818) | — | |||||||||||||||||||
| Total Return Swap Contracts | 146,563 | — | 146,563 | — | (146,563) | — | ||||||||||||||||||||
| Total financial instruments subject to a master netting agreement or similar arrangement |
182,093,634 | (150,496,021) | 31,597,613 | — | (31,597,613) | — | ||||||||||||||||||||
| Total financial instruments not subject to a master netting agreement or similar arrangement |
— | — | — | — | — | — | ||||||||||||||||||||
| Total financial instruments |
$ | 182,093,634 | $ | (150,496,021) | $ | 31,597,613 | $ | — | $ | (31,597,613) | $ | — | ||||||||||||||
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $213,437,108. |
| AQR Funds | Semi-Annual Report | June 2013 | 107 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED |
|
|
NET AMOUNT |
| |||||||
| Barclays Capital | Total Return Swap Contracts | $ | 2,604,128 | $ | (2,604,128) | $ | — | $ | — | $ | — | $ | — | |||||||||||||
| Deutsche Bank | Total Return Swap Contracts | 11,380 | (11,380) | — | — | — | — | |||||||||||||||||||
| Goldman Sachs | Futures Contracts | 53,749 | (53,749) | — | — | — | — | |||||||||||||||||||
| J.P. Morgan | Futures Contracts | 1,437,459 | (1,437,459) | — | — | — | — | |||||||||||||||||||
| Morgan Stanley Capital Services, Inc. | Futures Contracts | 8,840 | (8,840) | — | — | — | — | |||||||||||||||||||
| Total financial instruments subject to a master netting agreement or similar arrangement | 4,115,556 | (4,115,556) | — | — | — | — | ||||||||||||||||||||
| Total financial instruments not subject to a master netting agreement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
| Total financial instruments |
$ | 4,115,556 | $ | (4,115,556) | $ | — | $ | — | $ | — | $ | — | ||||||||||||||
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED LIABILITIES |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL PLEDGED (b) |
|
|
NET AMOUNT |
| |||||||
| Barclays Capital | Total Return Swap Contracts | $ | 6,159,365 | $ | (2,604,128) | $ | 3,555,237 | $ | — | $ | (3,555,237) | $ | — | |||||||||||||
| Deutsche Bank | Total Return Swap Contracts | 33,784 | (11,380) | 22,404 | — | — | 22,404 | |||||||||||||||||||
| Goldman Sachs | Futures Contracts | 206,674 | (53,749) | 152,925 | — | (152,925) | — | |||||||||||||||||||
| J.P. Morgan | Futures Contracts | 1,725,068 | (1,437,459) | 287,609 | — | (287,609) | — | |||||||||||||||||||
| Morgan Stanley Capital Services, Inc. | Futures Contracts | 251,035 | (8,840) | 242,195 | — | (242,195) | — | |||||||||||||||||||
| Total financial instruments subject to a master netting agreement or similar arrangement | 8,375,926 | (4,115,556) | 4,260,370 | — | (4,237,966) | 22,404 | ||||||||||||||||||||
| Total financial instruments not subject to a master netting agreement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
| Total financial instruments |
$ | 8,375,926 | $ | (4,115,556) | $ | 4,260,370 | $ | — | $ | (4,237,966) | $ | 22,404 | ||||||||||||||
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $4,782,912. |
| 108 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
AQR RISK PARITY FUND
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED (a) |
|
|
NET AMOUNT |
| |||||||
| Barclays Capital | Futures Contracts | $ | 850,001 | $ | (850,001) | $ | — | $ | — | $ | — | $ | — | |||||||||||||
| Total Return Swap Contracts | 233,208 | (233,208) | — | — | — | — | ||||||||||||||||||||
| CitiBank | Credit Default Swap Contracts | 4,376,396 | (597,406) | 3,778,990 | — | (430,000) | 3,348,990 | |||||||||||||||||||
| J.P. Morgan | Futures Contracts | 11,982,515 | (11,982,515) | — | — | — | — | |||||||||||||||||||
| Goldman Sachs | Futures Contracts | 560,318 | (560,318) | — | — | — | — | |||||||||||||||||||
| Morgan Stanley Capital Services, Inc. | Futures Contracts | 50,670 | (50,670) | — | — | — | — | |||||||||||||||||||
| Total Return Swap Contracts | 303,287 | (259,651) | 43,636 | (43,636) | — | — | ||||||||||||||||||||
| Royal Bank of Scotland | Interest Rate Swap Contracts | 4,535,435 | (4,535,435) | — | — | — | — | |||||||||||||||||||
| Forward Foreign Currency Exchange Contracts | 6,318,945 | (6,318,945) | — | — | — | — | ||||||||||||||||||||
| Total financial instruments subject to a master netting agreement or similar arrangement | 29,210,775 | (25,388,149) | 3,822,626 | (43,636) | (430,000) | 3,348,990 | ||||||||||||||||||||
| Total financial instruments not subject to a master netting agreement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
| Total financial instruments |
$ | 29,210,775 | $ | (25,388,149) | $ | 3,822,626 | $ | (43,636) | $ | (430,000) | $ | 3,348,990 | ||||||||||||||
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED LIABILITIES |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL PLEDGED (b) |
|
|
NET AMOUNT |
| |||||||
| Bank of America | Credit Default Swap Contracts | $ | 7,265 | $ | — | $ | 7,265 | $ | — | $ | (7,265) | $ | — | |||||||||||||
| Total Return Swap Contracts | 4,339,156 | — | 4,339,156 | — | (4,322,735) | 16,421 | ||||||||||||||||||||
| Barclays Capital | Futures Contracts | 3,190,694 | (850,001) | 2,340,693 | — | (2,340,693) | — | |||||||||||||||||||
| Total Return Swap Contracts | 611,034 | (233,208) | 377,826 | — | (377,826) | — | ||||||||||||||||||||
| CitiBank | Credit Default Swap Contracts | 597,406 | (597,406) | — | — | — | — | |||||||||||||||||||
| Deutsche Bank | Credit Default Swap Contracts | 796,639 | — | 796,639 | — | (796,639) | — | |||||||||||||||||||
| Total Return Swap Contracts | 110,380 | — | 110,380 | — | (110,380) | — | ||||||||||||||||||||
| Goldman Sachs | Futures Contracts | 2,560,824 | (560,318) | 2,000,506 | — | (2,000,506) | — | |||||||||||||||||||
| J.P. Morgan | Futures Contracts | 19,096,714 | (11,982,515) | 7,114,199 | — | (7,114,199) | — | |||||||||||||||||||
| Morgan Stanley Capital Services, Inc. | Credit Default Swap Contracts | 258,717 | — | 258,717 | (43,636) | (215,081) | — | |||||||||||||||||||
| Futures Contracts | 1,144,460 | (50,670) | 1,093,790 | — | (1,093,790) | — | ||||||||||||||||||||
| Total Return Swap Contracts | 259,651 | (259,651) | — | — | — | — | ||||||||||||||||||||
| Royal Bank of Scotland | Credit Default Swap Contracts | 52,434 | — | 52,434 | — | (52,434) | — | |||||||||||||||||||
| Interest Rate Swap Contracts | 16,374,937 | (4,535,435) | 11,839,502 | — | (11,839,502) | — | ||||||||||||||||||||
| Forward Foreign Currency Exchange Contracts | 9,577,416 | (6,318,945) | 3,258,471 | — | (3,258,471) | — | ||||||||||||||||||||
| Total financial instruments subject to a master netting agreement or similar arrangement | 58,977,727 | (25,388,149) | 33,589,578 | (43,636) | (33,529,521) | 16,421 | ||||||||||||||||||||
| Total financial instruments not subject to a master netting agreement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
| Total financial instruments |
$ | 58,977,727 | $ | (25,388,149) | $ | 33,589,578 | $ | (43,636) | $ | (33,529,521) | $ | 16,421 | ||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $400,000. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $37,069,932. |
| AQR Funds | Semi-Annual Report | June 2013 | 109 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
AQR RISK PARITY II MV FUND
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED (a) |
|
|
NET AMOUNT |
| |||||||
| Bank of America | Total Return Swap Contracts | $ | 2,180 | $ | — | $ | 2,180 | $ | — | $ | — | $ | 2,180 | |||||||||||||
| Barclays Capital | Futures Contracts | 108,193 | (108,193) | — | — | — | — | |||||||||||||||||||
| Total Return Swap Contracts | 178,900 | (178,900) | — | — | — | — | ||||||||||||||||||||
| Goldman Sachs | Futures Contracts | 33,077 | (33,077) | — | — | — | — | |||||||||||||||||||
| Total Return Swap Contracts | 23,832 | (23,832) | — | — | — | — | ||||||||||||||||||||
| J.P. Morgan | Futures Contracts | 774,524 | (774,524) | — | — | — | — | |||||||||||||||||||
| Morgan Stanley Capital Services, Inc. | Futures Contracts | 6,170 | (6,170) | — | — | — | — | |||||||||||||||||||
| Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
310,112 | (143,276) | 166,836 | — | (166,836) | — | |||||||||||||||||||
| Total financial instruments subject to a master netting agreement or similar arrangement | 1,436,988 | (1,267,972) | 169,016 | — | (166,836) | 2,180 | ||||||||||||||||||||
| Total financial instruments not subject to a master netting agreement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
| Total financial instruments |
$ | 1,436,988 | $ | (1,267,972) | $ | 169,016 | $ | — | $ | (166,836) | $ | 2,180 | ||||||||||||||
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED LIABILITIES |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL PLEDGED (b) |
|
|
NET AMOUNT |
| |||||||
| Barclays Capital | Futures Contracts | $ | 392,845 | $ | (108,193) | $ | 284,652 | $ | — | $ | (284,652) | $ | — | |||||||||||||
| Total Return Swap Contracts | 656,241 | (178,900) | 477,341 | — | (210,000) | 267,341 | ||||||||||||||||||||
| Goldman Sachs | Futures Contracts | 84,112 | (33,077) | 51,035 | — | (51,035) | — | |||||||||||||||||||
| Total Return Swap Contracts | 57,687 | (23,832) | 33,855 | — | (33,855) | — | ||||||||||||||||||||
| J.P. Morgan | Futures Contracts | 2,041,479 | (774,524) | 1,266,955 | — | (1,266,955) | — | |||||||||||||||||||
| Morgan Stanley Capital Services, Inc. | Futures Contracts | 87,502 | (6,170) | 81,332 | — | (81,332) | — | |||||||||||||||||||
| Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 143,276 | (143,276) | — | — | — | — | |||||||||||||||||||
| Total financial instruments subject to a master netting agreement or similar arrangement | 3,463,142 | (1,267,972) | 2,195,170 | — | (1,927,829) | 267,341 | ||||||||||||||||||||
| Total financial instruments not subject to a master netting agreement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
| Total financial instruments |
$ | 3,463,142 | $ | (1,267,972) | $ | 2,195,170 | $ | — | $ | (1,927,829) | $ | 267,341 | ||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $23,164. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $2,898,304. |
| 110 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
AQR RISK PARITY II HV FUND
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED |
|
|
NET AMOUNT |
| |||||||
| Bank of America | Total Return Swap Contracts | $ | 1,083 | $ | (1,083) | $ | — | $ | — | $ | — | $ | — | |||||||||||||
| Barclays Capital | Futures Contracts | 54,303 | (54,303) | — | — | — | — | |||||||||||||||||||
| Repurchase Agreements | 1,209,000 | — | 1,209,000 | (1,209,000) | — | — | ||||||||||||||||||||
| Total Return Swap Contracts | 239,437 | (239,437) | — | — | — | — | ||||||||||||||||||||
| Goldman Sachs | Futures Contracts | 15,489 | (15,489) | — | — | — | — | |||||||||||||||||||
| Total Return Swap Contracts | 17,290 | (17,290) | — | — | — | — | ||||||||||||||||||||
| J.P. Morgan | Futures Contracts | 664,257 | (664,257) | — | — | — | — | |||||||||||||||||||
| Morgan Stanley Capital Services, Inc. | Futures Contracts | 3,120 | (3,120) | — | — | — | — | |||||||||||||||||||
| Repurchase Agreements | 1,459,000 | — | 1,459,000 | (1,459,000) | — | — | ||||||||||||||||||||
| Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
279,824 | (237,868) | 41,956 | — | — | 41,956 | |||||||||||||||||||
| Total financial instruments subject to a master netting agreement or similar arrangement | 3,942,803 | (1,232,847) | 2,709,956 | (2,668,000) | — | 41,956 | ||||||||||||||||||||
| Total financial instruments not subject to a master netting agreement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
| Total financial instruments |
$ | 3,942,803 | $ | (1,232,847) | $ | 2,709,956 | $ | (2,668,000) | $ | — | $ | 41,956 | ||||||||||||||
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED LIABILITIES |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL PLEDGED (b) |
|
|
NET AMOUNT |
| |||||||
| Bank of America | Total Return Swap Contracts | $ | 202,477 | $ | (1,083) | $ | 201,394 | $ | — | $ | (201,394) | $ | — | |||||||||||||
| Barclays Capital | Futures Contracts | 195,206 | (54,303) | 140,903 | — | (140,903) | — | |||||||||||||||||||
| Reverse Repurchase Agreements | 2,789,500 | — | 2,789,500 | (2,783,970) | (5,530) | — | ||||||||||||||||||||
| Total Return Swap Contracts | 612,176 | (239,437) | 372,739 | — | (220,000) | 152,739 | ||||||||||||||||||||
| Goldman Sachs | Futures Contracts | 204,819 | (15,489) | 189,330 | — | (138,452) | 50,878 | |||||||||||||||||||
| Total Return Swap Contracts | 23,577 | (17,290) | 6,287 | — | (6,287) | — | ||||||||||||||||||||
| J.P. Morgan | Futures Contracts | 926,146 | (664,257) | 261,889 | — | (261,889) | — | |||||||||||||||||||
| Morgan Stanley Capital Services, Inc. | Futures Contracts | 44,021 | (3,120) | 40,901 | — | (40,901) | — | |||||||||||||||||||
| Reverse Repurchase Agreements | 5,341,375 | — | 5,341,375 | (5,338,963) | — | 2,412 | ||||||||||||||||||||
| Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
237,868 | (237,868) | — | — | — | — | |||||||||||||||||||
| Total financial instruments subject to a master netting agreement or similar arrangement | 10,577,165 | (1,232,847) | 9,344,318 | (8,122,933) | (1,015,356) | 206,029 | ||||||||||||||||||||
| Total financial instruments not subject to a master netting agreement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
| Total financial instruments |
$ | 10,577,165 | $ | (1,232,847) | $ | 9,344,318 | $ | (8,122,933) | $ | (1,015,356) | $ | 206,029 | ||||||||||||||
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $2,202,451. |
| AQR Funds | Semi-Annual Report | June 2013 | 111 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
AQR MULTI-STRATEGY ALTERNATIVE FUND
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED (a) |
|
|
NET AMOUNT |
| |||||||
| Bank of America | Total Return Swap Contracts | $ | 5,495,136 | $ | (5,031,127) | $ | 464,009 | $ | — | $ | (350,000) | $ | 114,009 | |||||||||||||
| Barclays Capital | Futures Contracts | 3,801,814 | (3,801,814) | — | — | — | — | |||||||||||||||||||
| Total Return Swap Contracts | 1,209,777 | (1,119,274) | 90,503 | — | — | 90,503 | ||||||||||||||||||||
| Citibank | Credit Default Swap Contracts | 1,467,232 | — | 1,467,232 | — | — | 1,467,232 | |||||||||||||||||||
| Deutsche Bank | Total Return Basket Swaps Contracts | 4,503,448 | — | 4,503,448 | (330,345) | — | 4,173,103 | |||||||||||||||||||
| Goldman Sachs | Futures Contracts | 2,416,293 | (1,322,481) | 1,093,812 | — | — | 1,093,812 | |||||||||||||||||||
| J.P. Morgan | Futures Contracts | 10,450,045 | (4,931,675) | 5,518,370 | — | — | 5,518,370 | |||||||||||||||||||
| Merrill Lynch | Total Return Swap Contracts | 365,390 | — | 365,390 | — | — | 365,390 | |||||||||||||||||||
| Morgan Stanley Capital Services, Inc. | Futures Contracts | 101 | (101) | — | — | — | — | |||||||||||||||||||
| Total Return Basket Swaps Contracts | 38,926,450 | — | 38,926,450 | — | — | 38,926,450 | ||||||||||||||||||||
| Total Return Swap Contracts | 1,700,027 | (29,439) | 1,670,588 | — | — | 1,670,588 | ||||||||||||||||||||
| Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 22,838,647 | (22,838,647) | — | — | — | — | |||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 93,174,360 | (39,074,558) | 54,099,802 | (330,345) | (350,000) | 53,419,457 | ||||||||||||||||||||
| Total financial instruments not subject to a master netting arrangement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
| Total financial instruments |
$ | 93,174,360 | $ | (39,074,558) | $ | 54,099,802 | $ | (330,345) | $ | (350,000) | $ | 53,419,457 | ||||||||||||||
| |
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
| COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED LIABILITIES |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL PLEDGED (b) |
|
|
NET AMOUNT |
| |||||||
| Bank of America | Total Return Swap Contracts | $ | 5,031,127 | $ | (5,031,127) | $ | — | $ | — | $ | — | $ | — | |||||||||||||
| Barclays Capital | Futures Contracts | 4,230,740 | (3,801,814) | 428,926 | — | (428,926) | — | |||||||||||||||||||
| Total Return Swap Contracts | 1,119,274 | (1,119,274) | — | — | — | — | ||||||||||||||||||||
| Deutsche Bank | Total Return Swap Contracts | 330,345 | — | 330,345 | (330,345) | — | — | |||||||||||||||||||
| Goldman Sachs | Futures Contracts | 1,322,481 | (1,322,481) | — | — | — | — | |||||||||||||||||||
| J.P. Morgan | Futures Contracts | 4,931,675 | (4,931,675) | — | — | — | — | |||||||||||||||||||
| Written Options | 1,203,658 | — | 1,203,658 | — | — | 1,203,658 | ||||||||||||||||||||
| Morgan Stanley Capital Services, Inc. | Futures Contracts | 913,694 | (101) | 913,593 | — | (913,593) | — | |||||||||||||||||||
| Total Return Swap Contracts | 29,439 | (29,439) | — | — | — | — | ||||||||||||||||||||
| Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 24,551,644 | (22,838,647) | 1,712,997 | — | (1,712,997) | — | |||||||||||||||||||
| Total financial instruments subject to a master netting arrangement or similar arrangement | 43,664,077 | (39,074,558) | 4,589,519 | (330,345) | (3,055,516) | 1,203,658 | ||||||||||||||||||||
| Total financial instruments not subject to a master netting arrangement or similar arrangement | — | — | — | — | — | — | ||||||||||||||||||||
| Total financial instruments |
$ | 43,664,077 | $ | (39,074,558) | $ | 4,589,519 | $ | (330,345) | $ | (3,055,516) | $ | 1,203,658 | ||||||||||||||
| (a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $400,000. |
| (b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $188,135,201. |
| 112 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
For the period ended June 30, 2013, the quarterly average values of the derivatives held by the Funds were as follows:
| AQR MANAGED FUTURES STRATEGY FUND |
AQR RISK BALANCED COMMODITIES STRATEGY FUND |
AQR RISK PARITY FUND |
AQR RISK MV |
AQR RISK HV |
AQR MULTI- FUND |
|||||||||||||||||||
| Futures Contracts * |
||||||||||||||||||||||||
| Average Notional Balance Long |
$ | 7,292,225,695 | $ | 45,823,456 | $ | 1,161,908,299 | $ | 107,107,639 | $ | 76,776,200 | $ | 1,496,311,960 | ||||||||||||
| Average Notional Balance Short |
5,451,014,269 | 21,222,356 | 151,844,928 | 9,197,664 | 7,469,062 | 1,698,191,796 | ||||||||||||||||||
| Forward Foreign Currency Exchange Contracts * |
||||||||||||||||||||||||
| Average Value Purchased |
4,413,086,991 | — | 508,620,822 | 8,380,357 | 7,768,017 | 1,025,644,559 | ||||||||||||||||||
| Average Value Sold |
4,177,303,197 | — | 612,554,700 | 22,136,369 | 20,413,169 | 1,105,234,465 | ||||||||||||||||||
| Exchange-Traded Options * |
||||||||||||||||||||||||
| Average Value of Contracts Written |
— | — | — | — | — | 444,758 | ||||||||||||||||||
| Credit Default Swaps * |
||||||||||||||||||||||||
| Average Notional Balance — Buy Protection |
— | — | 639,285,117 | — | — | 46,736,500 | ||||||||||||||||||
| Average Notional Balance — Sell Protection |
— | — | 826,715,351 | — | — | 57,595,500 | ||||||||||||||||||
| Total Return Swaps* |
||||||||||||||||||||||||
| Average Notional Balance — Long |
877,926,331 | 104,312,985 | 392,958,787 | 11,209,584 | 23,635,892 | 267,294,928 | ||||||||||||||||||
| Average Notional Balance — Short |
860,127,779 | 41,933,295 | 2,291,169 | 2,737,420 | 3,677,611 | 239,686,976 | ||||||||||||||||||
| Interest Rate-Related Swaps * |
||||||||||||||||||||||||
| Average Notional Balance |
— | — | 880,838,729 | — | — | — | ||||||||||||||||||
| Total Return Basket Swaps * |
||||||||||||||||||||||||
| Average Notional of Underlying Positions — Long |
— | — | — | — | — | 1,046,516,757 | ||||||||||||||||||
| Average Notional of Underlying Positions — Short |
— | — | — | — | — | 842,558,073 | ||||||||||||||||||
| * | Values as of each quarter end are used to calculate the average represented. |
The Funds’ derivative contracts held at June 30, 2013, are not accounted for as hedging instruments under GAAP.
8. Investment Advisory and Other Agreements
The Advisor serves as the investment Advisor 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 Advisor 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 Advisor 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 Advisor 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 Advisor a management fee calculated on the average daily net assets for each Fund, in the annual ratios below:
| FUND | RATIO | |||
| AQR Managed Futures Strategy Fund |
1.05 | % | ||
| AQR Risk-Balanced Commodities Strategy Fund |
0.60 | * | ||
| AQR Risk Parity Fund |
0.75 | ** | ||
| AQR Risk Parity II MV Fund |
0.50 | *** | ||
| AQR Risk Parity II HV Fund |
0.70 | **** | ||
| AQR Multi-Strategy Alternative Fund |
1.85 | ***** | ||
| AQR Funds | Semi-Annual Report | June 2013 | 113 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
| * | The AQR Risk-Balanced Commodities Strategy Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.60% on the first $1 billion of net assets; the second tier charges 0.575% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.55% on net assets in excess of $3 billion. |
| ** | The AQR Risk Parity Fund Advisory Fee is based on the following two tier structure. The first tier charges 0.75% on the first $1 billion of net assets and the second tier charges 0.70% on net assets in excess of $1 billion. |
| *** | The AQR Risk Parity II MV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.50% on the first $1 billion of net assets; the second tier charges 0.475% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.45% on net assets in excess of $3 billion. |
| **** | The AQR Risk Parity II HV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.70% on the first $1 billion of net assets; the second tier charges 0.675% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.65% on net assets in excess of $3 billion. |
| ***** | 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 of net assets and the second tier charges 1.80% on net assets in excess of $1 billion. |
The Trust and the Advisor have entered into a Fee Waiver and Expense Reimbursement Agreement whereby the Advisor has agreed to waive its fee and/or reimburse each Fund at least through April 30, 2014. The Advisor has agreed to waive and/or reimburse each Fund to the extent that the total annual fund operating expense ratios (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:
| FUND | CLASS I | CLASS N | ||||||
| AQR Managed Futures Strategy Fund |
1.25 | % | 1.50 | % | ||||
| AQR Risk-Balanced Commodities Strategy Fund |
1.05 | % | 1.30 | % | ||||
| AQR Risk Parity Fund |
0.95 | % | 1.20 | % | ||||
| AQR Risk Parity II MV Fund |
0.95 | % | 1.20 | % | ||||
| AQR Risk Parity II HV Fund |
1.15 | % | 1.40 | % | ||||
| AQR Multi-Strategy Alternative Fund |
1.98 | % | 2.23 | % | ||||
The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Advisor. Such repayment shall be made only out of the class of the Fund for which the applicable fee waiver and expense reimbursement was made. Repayments with respect to a Fund must be limited to amounts that do not cause the aggregate operating expenses of the Fund attributable to a share class during a year in which such repayment is made to exceed the applicable ratios 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 Advisor waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement.
For the period ended June 30, 2013, the amounts waived and reimbursed by the Advisor, as well as the amounts available for potential future recoupment by the Advisor and the expiration schedule at June 30, 2013 are as follows:
| FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2013 |
TOTAL POTENTIAL |
POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31 |
||||||||||||||||||||||
| 2013 | 2014 | 2015 | 2016 | |||||||||||||||||||||
| AQR MANAGED FUTURES STRATEGY FUND |
||||||||||||||||||||||||
| Class I |
$ | — | $ | 182,898 | $ | 13,457 | $ | 169,441 | $ | — | $ | — | ||||||||||||
| Class N | 7,299 | 445,355 | 52,983 | 307,475 | 77,598 | 7,299 | ||||||||||||||||||
| Totals |
$ | 7,299 | $ | 628,253 | $ | 66,440 | $ | 476,916 | $ | 77,598 | $ | 7,299 | ||||||||||||
| AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
||||||||||||||||||||||||
| Class I |
$ | 85,617 | $ | 267,427 | $ | — | $ | — | $ | 181,810 | $ | 85,617 | ||||||||||||
| Class N | 12,913 | 32,013 | — | — | 19,100 | 12,913 | ||||||||||||||||||
| Totals |
$ | 98,530 | $ | 299,440 | $ | — | $ | — | $ | 200,910 | $ | 98,530 | ||||||||||||
| 114 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
| FEES WAIVED/ REIMBURSED FOR THE PERIOD ENDED JUNE 30, 2013 |
TOTAL POTENTIAL |
POTENTIAL RECOUPMENT AMOUNTS EXPIRING DECEMBER 31 |
||||||||||||||||||||||
| 2013 | 2014 | 2015 | 2016 | |||||||||||||||||||||
| AQR RISK PARITY FUND |
||||||||||||||||||||||||
| Class I |
$ | — | $ | 1,760 | $ | 1,760 | $ | — | $ | — | $ | — | ||||||||||||
| Class N | — | 191,754 | 60,257 | 96,564 | 34,933 | — | ||||||||||||||||||
| Totals |
$ | — | $ | 193,514 | $ | 62,017 | $ | 96,564 | $ | 34,933 | $ | — | ||||||||||||
| AQR RISK PARITY II MV FUND |
||||||||||||||||||||||||
| Class I |
$ | 65,918 | $ | 168,256 | $ | — | $ | — | $ | 102,338 | $ | 65,918 | ||||||||||||
| Class N | 19,847 | 33,404 | — | — | 13,557 | 19,847 | ||||||||||||||||||
| Totals |
$ | 85,765 | $ | 201,660 | $ | — | $ | — | $ | 115,895 | $ | 85,765 | ||||||||||||
| AQR RISK PARITY II HV FUND |
||||||||||||||||||||||||
| Class I |
$ | 62,404 | $ | 142,057 | $ | — | $ | — | $ | 79,653 | $ | 62,404 | ||||||||||||
| Class N | 51,614 | 87,886 | — | — | 36,272 | 51,614 | ||||||||||||||||||
| Totals |
$ | 114,018 | $ | 229,943 | $ | — | $ | — | $ | 115,925 | $ | 114,018 | ||||||||||||
| AQR MULTI-STRATEGY ALTERNATIVE FUND |
||||||||||||||||||||||||
| Class I |
$ | 196,679 | $ | 969,612 | $ | — | $ | 322,982 | $ | 449,951 | $ | 196,679 | ||||||||||||
| Class N | 22,082 | 137,130 | — | 59,491 | 55,557 | 22,082 | ||||||||||||||||||
| Totals |
$ | 218,761 | $ | 1,106,742 | $ | — | $ | 382,473 | $ | 505,508 | $ | 218,761 | ||||||||||||
During the period ended June 30, 2013, the Funds recouped amounts as follows:
| FUND | CLASS I | CLASS N | ||||||
| AQR Managed Futures Strategy Fund |
$ | 203,367 | $ | — | ||||
| AQR Risk Parity Fund |
14,138 | 4,345 | ||||||
Pursuant to the Sub-Advisory Agreement between the Sub-Advisor, the Advisor and the Trust, the Advisor will pay the Sub-Advisor an annual fee, payable monthly, at the annual rate of 0.35% of the average daily net assets for AQR Multi-Strategy Alternative Fund.
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.
9. Distribution Plan
The Trust has adopted a Plan of Distribution (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the Class N shares of the Funds, 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.
10. Shareholder Service Plan
Pursuant to a Shareholder Services Agreement, between the Trust (excluding the AQR Managed Futures Strategy Fund, AQR Risk Parity Fund and AQR Multi-Strategy Alternative Fund) and the Advisor, the Advisor provides a wide range of services to the Funds and their shareholders. These services include, among others, access to performance information reporting, analysis and explanations of Fund reports as well as electronic access to Fund information. Under this
| AQR Funds | Semi-Annual Report | June 2013 | 115 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
agreement the Advisor receives an annual fee, payable monthly, calculated on the average daily net assets of each Class at the following rates:
| FUND | CLASS I | CLASS N | ||||||
| AQR Risk-Balanced Commodities Strategy Fund |
0.25 | % | 0.25 | % | ||||
| AQR Risk Parity II MV Fund |
0.25 | 0.25 | ||||||
| AQR Risk Parity II HV Fund |
0.25 | 0.25 | ||||||
In addition, the Advisor may, from time to time, compensate third parties (including financial intermediaries) from the fees the Advisor 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, 2013, were as follows:
| FUND | CLASS I | CLASS N | ||||||
| AQR Risk-Balanced Commodities Strategy Fund |
$ | 76,180 | $ | 4,937 | ||||
| AQR Risk Parity II MV Fund |
87,664 | 16,173 | ||||||
| AQR Risk Parity II HV Fund |
35,395 | 19,263 | ||||||
11. Risks and Concentrations
The Funds, at times, utilize substantial leverage in their investment program. Such leverage may take the form of trading on margin, investing in derivative instruments that are inherently leveraged, entering into repurchase transactions and entering into other forms of direct and indirect borrowing.
There is no guarantee that the Funds’ borrowing arrangement or other arrangements for obtaining leverage will continue to be available, or if available, will be available on terms and conditions acceptable to the Funds. Unfavorable economic conditions also could increase funding costs, limits access to the capital markets or result in a decision by lenders not to extend credit to the Funds. In addition, a decline in market value of the Funds’ assets may have particular adverse consequences in instances where they have borrowed money based on the market value of those assets. A decrease in market value of those assets may result in the lender (including derivative counterparties) requiring the Funds to post additional collateral or otherwise sell assets at a time when it may not be the Funs best interest to do so.
The counterparties to the Funds securities sold short, currency forward, futures, option and swap contracts and reverse repurchase agreements include affiliates of the Funds clearing brokers and other major financial institutions. While the Funds utilize multiple clearing brokers and counterparties, a concentration of credit risk exists because of balances held and transactions with a limited number of clearing brokers and counterparties.
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
| 116 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Notes to Consolidated Financial Statements (Unaudited) | June 30, 2013 |
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, 2013, the AQR Multi-Strategy Alternative Fund pledged a substantial portion of its assets for securities sold short to JPMorgan Chase Bank, N.A.
12. Line of Credit
Effective March 1, 2013 and terminating on March 1, 2014, the Trust had renewed a committed, $150,000,000 syndicated line of credit with Bank of America, N.A., as the Administrative Agent. 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 is subject to an annual commitment fee which is payable in arrears on a quarterly basis. In the event of a draw upon the line of credit, investments of the responsible Fund may be designated as collateral until its loan is repaid in full. For the period ended June 30, 2013, the Funds did not have any outstanding borrowings under this agreement.
13. Principal Ownership
As of June 30, 2013, 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 Risk Parity II HV Fund |
1 | 9.37 | % | |||||
| * | The percentage shown is owned by the Advisor and its affiliates. |
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
14. 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 2013 | 117 | |||||||||||||
| 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 6/30/13” 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 6/30/13 |
ANNUALIZED EXPENSE RATIO FOR THE PERIOD |
EXPENSES PAID FOR THE PERIOD ENDING 6/30/13 |
|||||||||||||
| AQR Managed Futures Strategy Fund |
||||||||||||||||
| Class I |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,033.70 | 1.25% | $6.30 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.60 | 1.25% | $6.26 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,032.90 | 1.50% | $7.56 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,017.36 | 1.50% | $7.50 | ||||||||||||
| AQR Risk-Balanced Commodities Strategy Fund |
||||||||||||||||
| Class I |
||||||||||||||||
| Actual Return |
$1,000.00 | $845.00 | 1.05% | $4.80 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,019.59 | 1.05% | $5.26 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $843.80 | 1.30% | $5.94 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.35 | 1.30% | $6.51 | ||||||||||||
| 118 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| BEGINNING ACCOUNT DATE VALUE |
ENDING ACCOUNT VALUE 6/30/13 |
ANNUALIZED EXPENSE RATIO FOR THE PERIOD |
EXPENSES PAID FOR THE PERIOD ENDING 6/30/13 |
|||||||||||||
| AQR Risk Parity Fund |
||||||||||||||||
| Class I |
||||||||||||||||
| Actual Return |
$1,000.00 | $946.90 | 0.88% | $4.25 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.43 | 0.88% | $4.41 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $945.10 | 1.20% | $5.79 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.84 | 1.20% | $6.01 | ||||||||||||
| AQR Risk Parity II MV Fund |
||||||||||||||||
| Class I |
||||||||||||||||
| Actual Return |
$1,000.00 | $936.10 | 0.95% | $4.56 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,020.08 | 0.95% | $4.76 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $934.20 | 1.20% | $5.75 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,018.84 | 1.20% | $6.01 | ||||||||||||
| AQR Risk Parity II HV Fund |
||||||||||||||||
| Class I |
||||||||||||||||
| Actual Return |
$1,000.00 | $904.00 | 1.15% | $5.43 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,019.09 | 1.15% | $5.76 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $903.20 | 1.40% | $6.61 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,017.85 | 1.40% | $7.00 | ||||||||||||
| AQR Multi-Strategy Alternative Fund |
||||||||||||||||
| Class I |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,024.20 | 1.98% | $9.99 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,014.93 | 1.98% | $9.94 | ||||||||||||
| Class N |
||||||||||||||||
| Actual Return |
$1,000.00 | $1,022.20 | 2.23% | $11.18 | ||||||||||||
| Hypothetical Return |
$1,000.00 | $1,013.74 | 2.23% | $11.13 | ||||||||||||
| Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365 (to reflect the one-half year period unless stated otherwise). |
| AQR Funds | Semi-Annual Report | June 2013 | 119 | |||||||||||||
| 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 21-22, 2013, to consider the continuation of the: (i) Investment Advisory Agreement between the Trust, on behalf of the AQR Managed Futures Strategy 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, AQR Risk Parity Fund and AQR Multi-Strategy Alternative Fund, and AQR (the “Investment Management Agreement”); (iii) Amended and Restated Investment Sub-Advisory Agreement for the AQR Diversified Arbitrage Fund between CNH Partners, LLC (“CNH”) and AQR (the “Investment Sub-Advisory Agreement”); and (iv) the Investment Sub-Advisory Agreement for the AQR Multi-Strategy Alternative Fund between CNH and AQR, (together with the Investment Sub-Advisory Agreement, the “Sub-Advisory Agreements”). In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), had had a separate call in advance of the in person meeting held on February 21-22, 2013 with independent legal counsel to review the materials provided and the relevant legal considerations (together with the in person meeting held on February 21-22, 2013, the “Meetings”). In accordance with Section 15(c) of the 1940 Act, the Board requested, reviewed, and considered materials furnished by AQR and CNH relevant to the Board’s consideration of whether to approve the continuation of the Investment Advisory Agreement, the Investment Management Agreement and the Sub-Advisory Agreements. 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 and AQR Multi-Strategy Alternative Fund; (iii) performance information for the Funds relevant to the consideration of the Investment Advisory Agreement, Investment Management Agreement and Sub-Advisory Agreements; (iv) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating to the Funds’ fees and expenses; (v) a discussion of the financial statements of AQR; and (vi) a discussion of the compliance programs of AQR and CNH and the regulatory exam histories of each. AQR and CNH are referred to herein as the “Advisor,” as applicable. The Investment Advisory Agreement, the Investment Management Agreement and the Sub-Advisory Agreements are referred to collectively herein as the “Advisory Agreement,” as applicable.
At the in person meeting held on February 21-22, 2013, the Board, including the Independent Board Members, unanimously approved the continuation of the Advisory Agreement for an additional one-year period. In approving the continuation of the Advisory Agreement, 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 Advisor; (b) the investment performance of the Funds and the Advisor’s portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by the Advisor from the relationship with the Funds; (d) economies of scale; and (e) other factors.
The Board also considered other matters it deemed important to the approval process, such as services related to the valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Advisor 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 Provided by the Advisor. The Board Members reviewed the services that the Advisor provides to the Funds under the Advisory Agreement. The Board considered the size and experience of the Advisor’s staff, its use of technology, and the Funds’ investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Advisor as an investment adviser. In connection with the investment advisory services to be provided to the Funds, the Board Members took into account detailed discussions they had with officers of the Advisor regarding the management of each Fund’s investments in accordance with the Funds’ stated investment objectives and policies and the types of transactions that are entered into on behalf of the Funds. During these discussions, the Board Members asked detailed questions of, and received answers from, the officers of the Advisor regarding the formulation and implementation of the Funds’ investment strategies, their efficacy and potential risks. The Board considered information about how portfolio managers are compensated by the Advisor.
In addition to the investment advisory services provided to the Funds, the Board Members considered that AQR also provides shareholder and administrative services, has responsibility for overseeing CNH, with respect to the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund, fund accounting, and marketing services, as well as
| 120 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
| Board Approval of Investment Advisory Agreements (Unaudited) |
provides assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Funds. In particular, the Board Members reviewed the compliance and administrative services to be provided to the Funds by AQR.
The Independent Board Members had an opportunity to meet outside the presence of management in executive session separately with counsel to discuss and consider the Advisory Agreement. Based on the presentations and materials at the Meetings, the Board concluded that the continuation of the Advisory Agreement was in the best interests of the Funds.
Investment Performance of the Funds and the Advisor’s Portfolio Management. The Board considered the investment performance of each Fund. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated objectives and the Advisor’s success in reaching such goals as well as the performance of the Funds relative to their peers. The Board also considered the Advisor’s performance in managing other registered investment companies and private funds, noting that other funds the Advisor 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 Advisor 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 Advisor 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 Morningstar (“Morningstar Report”). The Morningstar Report illustrated comparative fee information for each Fund’s Morningstar category, including expense comparisons of contractual management fees and actual net expenses. The Board also received and reviewed information regarding the profitability of the Advisor with respect to Fund-related activities and the Advisor’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 Advisor, the types of funds managed, expense allocations and business mix, and therefore comparability of profitability is somewhat limited.
The Board reviewed the Advisor’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 fees are reasonable.
Economies of Scale. The Advisor provided to the Board 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 and the AQR Multi-Strategy Alternative 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 Advisor presented information to show that the fees were set at a level that is competitive relative to comparable funds. 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 Advisor’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 Advisor or its affiliates may derive from its relationship with the Funds, both tangible and intangible. The Board also received information regarding the Advisor’s brokerage and soft dollar practices. The Board considered that the Advisor is responsible for decisions to buy and sell securities for the Funds, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firms’ various advisory clients. The Board noted that the Advisor 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 advisory fee rates and total expense ratios are reasonable in relation to the services provided by the Advisor to the Funds, as well as the costs incurred and benefits to be gained by the Advisor
| AQR Funds | Semi-Annual Report | June 2013 | 121 | |||||||||||||
| Board Approval of Investment Advisory Agreements (Unaudited) | ||
in providing such services, including the investment advisory and administrative components. The Board also found the investment advisory fees to be reasonable in comparison to the fees charged by advisers to other comparable funds. As a result, all of the Board Members, including the Independent Board Members, 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.
| 122 | AQR Funds | Semi-Annual Report | June 2013 | |||||||||||||
Investment Advisor
AQR Capital Management, LLC
Two Greenwich Plaza, 3rd Floor
Greenwich, CT 06830
Sub-Advisor
CNH Partners, LLC
Two Greenwich Plaza, 1st Floor,
Greenwich, CT 06830
Transfer Agent
ALPS Fund Services, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Custodian
JPMorgan Chase Bank, N.A.
4 Metro Tech Center
Brooklyn, NY 11245
Distributor
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Administrator
J.P. Morgan Investor Services Co.
70 Fargo Street
Boston, MA 02210
Independent Registered Public Accounting Firm
PricewaterhouseCoopers, LLP
300 Madison Avenue
New York, NY 10017
You may obtain a description of the AQR Funds proxy voting, policies, procedures and information regarding how each Fund voted proxies relating to portfolio securities during the 12-month period ending June 30th of each year (available by August 31st of that year) without charge, upon request, by calling 1-866-290-2688 or visiting the funds website www.aqrfunds.com, or by accessing the SEC’s website at www.SEC.Gov. Such reports may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 202-942-8090.
The Fund files complete schedules of the portfolio holdings with the SEC for the first and third quarters on Form N-Q. The Form N-Q is available without charge, upon request, by calling 1-800-SEC-0330, or by accessing the SEC’s website, at www.SEC.Gov. It may also be reviewed and copied at the SEC’s Public Reference Room in Washington, DC.
This report has been prepared for shareholders and may be distributed to others only if preceded or accompanied by an effective prospectus, which includes information regarding the Funds’ objectives and polices, experienced of its management, marketability of shares and other information.
P.O. Box 2248
Denver, CO 80201-2248
1-866-290-2688
www.aqrfunds.com
Item 2. Code of Ethics.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 3. Audit Committee Financial Expert.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 4. Principal Accountant Fees and Services.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 5. Audit Committee of Listed Registrants.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 6. Investments
| (a) | Schedule is included as part of the report to shareholders filed under Item 1 of this Form. |
| (b) | The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
| (a) | The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the time periods specified in the Securities and Exchange Commission’s rules and forms. |
| (b) | There have not been any changes in registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s control over financial reporting. |
Item 12. Exhibits.
| (a)(1) | Not required for this filing. |
| (a)(2) | Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
| (a)(3) | Any written solicitation to purchase securities under Rule 23c-1 under the 1940 Act – Not Applicable. |
| (b) | Certification required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 is attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
AQR Funds
| By: /s/ Marco Hanig |
| Marco Hanig, |
| Principal Executive Officer |
September 5, 2013
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
| By: /s/ Marco Hanig |
| Marco Hanig, |
| Principal Executive Officer |
| Date: September 5, 2013 |
| By: /s/ John Howard |
| John Howard, |
| Principal Financial Officer |
| Date: September 5, 2013 |