AQR Funds
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: September 30
Date of reporting period: October 1, 2013 to March 31, 2014
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.)
Table of Contents
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
| COMMON STOCKS - 90.0% |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Australia - 3.0% |
|
|
|
|
|
|
|
|
| AGL Energy Ltd. |
|
|
5,553 |
|
|
$ |
78,305 |
|
| Alumina Ltd. † |
|
|
33,395 |
|
|
|
37,191 |
|
| AMP Ltd. |
|
|
40,313 |
|
|
|
186,593 |
|
| Asciano Ltd. |
|
|
83,728 |
|
|
|
405,074 |
|
| ASX Ltd. |
|
|
1,555 |
|
|
|
52,106 |
|
| Aurizon Holdings Ltd. |
|
|
19,038 |
|
|
|
90,937 |
|
| Australia & New Zealand Banking Group Ltd. |
|
|
19,413 |
|
|
|
597,201 |
|
| Bank of Queensland Ltd. |
|
|
2,377 |
|
|
|
28,400 |
|
| Bendigo and Adelaide Bank Ltd. |
|
|
35,914 |
|
|
|
379,397 |
|
| BHP Billiton Ltd. |
|
|
19,981 |
|
|
|
677,261 |
|
| Brambles Ltd. |
|
|
15,981 |
|
|
|
137,501 |
|
| CFS Retail Property Trust Group REIT |
|
|
17,337 |
|
|
|
30,419 |
|
| Commonwealth Bank of Australia |
|
|
10,197 |
|
|
|
734,077 |
|
| Computershare Ltd. |
|
|
3,819 |
|
|
|
42,949 |
|
| Crown Resorts Ltd. |
|
|
561 |
|
|
|
8,677 |
|
| CSL Ltd. |
|
|
210 |
|
|
|
13,564 |
|
| Dexus Property Group REIT |
|
|
40,875 |
|
|
|
40,308 |
|
| Echo Entertainment Group Ltd. |
|
|
47,611 |
|
|
|
108,374 |
|
| Federation Centres Ltd. REIT |
|
|
11,381 |
|
|
|
24,947 |
|
| Flight Centre Travel Group Ltd. |
|
|
4,501 |
|
|
|
219,592 |
|
| Fortescue Metals Group Ltd. |
|
|
3,477 |
|
|
|
17,023 |
|
| Goodman Group REIT |
|
|
14,552 |
|
|
|
64,002 |
|
| GPT Group REIT (3)†(a) |
|
|
96,388 |
|
|
|
— |
|
| GPT Group REIT |
|
|
14,949 |
|
|
|
50,808 |
|
| Incitec Pivot Ltd. |
|
|
92,765 |
|
|
|
255,110 |
|
| Leighton Holdings Ltd. |
|
|
1,443 |
|
|
|
28,287 |
|
| Lend Lease Group |
|
|
9,328 |
|
|
|
102,729 |
|
| Macquarie Group Ltd. |
|
|
5,103 |
|
|
|
275,163 |
|
| Mirvac Group REIT |
|
|
30,051 |
|
|
|
47,489 |
|
| National Australia Bank Ltd. |
|
|
18,772 |
|
|
|
618,915 |
|
| Newcrest Mining Ltd. † |
|
|
6,113 |
|
|
|
55,936 |
|
| Ramsay Health Care Ltd. |
|
|
156 |
|
|
|
6,971 |
|
| Rio Tinto Ltd. |
|
|
4,805 |
|
|
|
283,412 |
|
| Santos Ltd. |
|
|
7,826 |
|
|
|
98,112 |
|
| Sonic Healthcare Ltd. |
|
|
14,286 |
|
|
|
228,877 |
|
| Stockland REIT |
|
|
18,057 |
|
|
|
62,901 |
|
| Suncorp Group Ltd. |
|
|
22,692 |
|
|
|
271,564 |
|
| Tatts Group Ltd. |
|
|
96,214 |
|
|
|
259,075 |
|
| Telstra Corp. Ltd. |
|
|
118,373 |
|
|
|
558,181 |
|
| Wesfarmers Ltd. |
|
|
2,944 |
|
|
|
112,801 |
|
| Westfield Group REIT |
|
|
15,829 |
|
|
|
150,775 |
|
| Westfield Retail Trust REIT |
|
|
27,860 |
|
|
|
77,134 |
|
| Westpac Banking Corp. |
|
|
14,842 |
|
|
|
477,209 |
|
| Woodside Petroleum Ltd. |
|
|
209 |
|
|
|
7,568 |
|
| Woolworths Ltd. |
|
|
11,935 |
|
|
|
395,788 |
|
| WorleyParsons Ltd. |
|
|
15,151 |
|
|
|
213,380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,612,083 |
|
|
|
|
|
|
|
|
|
|
| Belgium - 0.4% |
|
|
|
|
|
|
|
|
| Ageas |
|
|
24,195 |
|
|
|
1,078,839 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Canada - 3.7% |
|
|
|
|
|
|
|
|
| Agnico Eagle Mines Ltd. (1) |
|
|
6,300 |
|
|
|
190,738 |
|
| Agrium, Inc. (1) |
|
|
1,000 |
|
|
|
97,449 |
|
Alimentation Couche Tard, Inc.,
Class B (1) |
|
|
2,600 |
|
|
|
210,281 |
|
| Bank of Montreal (1) |
|
|
5,180 |
|
|
|
346,552 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Canada - 3.7% (continued) |
|
|
|
|
|
|
|
|
| Bank of Nova Scotia (1) |
|
|
2,299 |
|
|
$
|
133,157 |
|
| Barrick Gold Corp. (1) |
|
|
2,800 |
|
|
|
49,845 |
|
| BlackBerry Ltd. (1)† |
|
|
1,600 |
|
|
|
12,953 |
|
| Bonavista Energy Corp. (1) |
|
|
7,900 |
|
|
|
115,552 |
|
| Brookfield Asset Management, Inc., Class A (1) |
|
|
4,802 |
|
|
|
195,598 |
|
| CAE, Inc. (1) |
|
|
17,100 |
|
|
|
225,061 |
|
| Cameco Corp. (1) |
|
|
5,500 |
|
|
|
125,920 |
|
| Canadian Imperial Bank of Commerce (1) |
|
|
1,500 |
|
|
|
129,240 |
|
| Canadian National Railway Co. (1) |
|
|
3,800 |
|
|
|
213,494 |
|
| Canadian Natural Resources Ltd. (1) |
|
|
14,300 |
|
|
|
548,070 |
|
| Canadian Pacific Railway Ltd. (1) |
|
|
1,200 |
|
|
|
179,810 |
|
| Canadian Tire Corp. Ltd., Class A (1) |
|
|
1,100 |
|
|
|
103,712 |
|
| CGI Group, Inc., Class A (1)† |
|
|
4,400 |
|
|
|
135,841 |
|
| CI Financial Corp. (1) |
|
|
1,200 |
|
|
|
37,851 |
|
| Crescent Point Energy Corp. (1) |
|
|
3,000 |
|
|
|
109,498 |
|
| Dollarama, Inc. (1) |
|
|
3,200 |
|
|
|
243,785 |
|
| Empire Co., Ltd., Class A (1) |
|
|
1,400 |
|
|
|
85,697 |
|
| Encana Corp. (1) |
|
|
25,200 |
|
|
|
538,193 |
|
| Enerplus Corp. (1) |
|
|
24,651 |
|
|
|
492,797 |
|
| Finning International, Inc. (1) |
|
|
7,500 |
|
|
|
212,347 |
|
| Goldcorp, Inc. (1) |
|
|
2,300 |
|
|
|
56,111 |
|
| Great-West Lifeco, Inc. (1) |
|
|
2,245 |
|
|
|
61,877 |
|
| Husky Energy, Inc. (1) |
|
|
7,600 |
|
|
|
227,966 |
|
| IGM Financial, Inc. (1) |
|
|
800 |
|
|
|
37,731 |
|
| Industrial Alliance Insurance & Financial Services, Inc. (1) |
|
|
10,400 |
|
|
|
427,665 |
|
| Keyera Corp. (1) |
|
|
200 |
|
|
|
12,680 |
|
| Kinross Gold Corp. (1)† |
|
|
24,300 |
|
|
|
100,453 |
|
| Magna International, Inc. (1) |
|
|
6,234 |
|
|
|
599,321 |
|
| Manulife Financial Corp. (1) |
|
|
30,700 |
|
|
|
592,062 |
|
| National Bank of Canada (1) |
|
|
1,600 |
|
|
|
64,116 |
|
| Onex Corp. (1) |
|
|
3,600 |
|
|
|
199,881 |
|
| Open Text Corp. (1) |
|
|
2,600 |
|
|
|
124,226 |
|
| Pengrowth Energy Corp. (1) |
|
|
58,500 |
|
|
|
354,016 |
|
| Potash Corp of Saskatchewan, Inc. (1) |
|
|
1,900 |
|
|
|
68,730 |
|
| Power Corp. of Canada (1) |
|
|
2,746 |
|
|
|
75,065 |
|
| RioCan Real Estate Investment Trust REIT (1) |
|
|
2,100 |
|
|
|
50,586 |
|
| Rogers Communications, Inc., Class B (1) |
|
|
2,900 |
|
|
|
120,171 |
|
| Royal Bank of Canada (1) |
|
|
5,024 |
|
|
|
331,252 |
|
| Shoppers Drug Mart Corp. (1) |
|
|
1,600 |
|
|
|
88,040 |
|
| Silver Wheaton Corp. (1) |
|
|
1,300 |
|
|
|
29,493 |
|
| Sun Life Financial, Inc. (1) |
|
|
8,500 |
|
|
|
294,328 |
|
| Suncor Energy, Inc. (1) |
|
|
21,782 |
|
|
|
760,745 |
|
| Teck Resources Ltd., Class B (1) |
|
|
16,393 |
|
|
|
353,810 |
|
| Toronto-Dominion Bank/The (1) |
|
|
12,524 |
|
|
|
587,172 |
|
| Valeant Pharmaceuticals International, Inc. (1)† |
|
|
2,574 |
|
|
|
338,636 |
|
| Vermilion Energy, Inc. (1) |
|
|
1,200 |
|
|
|
74,953 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,764,527 |
|
|
|
|
|
|
|
|
|
|
| China - 0.0% (b) |
|
|
|
|
|
|
|
|
| FIH Mobile Ltd. † |
|
|
101 |
|
|
|
56 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 2 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Denmark - 0.2% |
|
|
|
|
|
|
|
|
| AP Moeller - Maersk A/S, Class B |
|
|
17 |
|
|
$
|
203,469 |
|
| TDC A/S |
|
|
39,926 |
|
|
|
369,290 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
572,759 |
|
|
|
|
|
|
|
|
|
|
| Finland - 0.3% |
|
|
|
|
|
|
|
|
| Nokia OYJ † |
|
|
9,523 |
|
|
|
70,065 |
|
| Orion OYJ, Class B |
|
|
2,336 |
|
|
|
70,523 |
|
| Sampo, A Shares |
|
|
7,774 |
|
|
|
403,546 |
|
| Stora Enso OYJ, R Shares |
|
|
18,963 |
|
|
|
202,948 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
747,082 |
|
|
|
|
|
|
|
|
|
|
| France - 4.0% |
|
|
|
|
|
|
|
|
| Airbus Group NV |
|
|
11,841 |
|
|
|
848,064 |
|
| AXA SA |
|
|
22,961 |
|
|
|
596,498 |
|
| Cie Generale des Etablissements Michelin |
|
|
6,074 |
|
|
|
759,340 |
|
| CNP Assurances |
|
|
32,506 |
|
|
|
688,480 |
|
| Danone SA |
|
|
8,320 |
|
|
|
587,786 |
|
| Electricite de France |
|
|
37,757 |
|
|
|
1,492,935 |
|
| Klepierre REIT |
|
|
1,740 |
|
|
|
77,840 |
|
| Lagardere SCA |
|
|
22,259 |
|
|
|
883,474 |
|
| Orange SA |
|
|
69,992 |
|
|
|
1,033,905 |
|
| Renault SA |
|
|
3,231 |
|
|
|
313,840 |
|
| Sanofi |
|
|
8,708 |
|
|
|
909,979 |
|
| Schneider Electric SA |
|
|
137 |
|
|
|
12,173 |
|
| Societe BIC SA |
|
|
431 |
|
|
|
56,615 |
|
| Societe Generale SA |
|
|
27,494 |
|
|
|
1,692,409 |
|
| Thales SA |
|
|
11,482 |
|
|
|
761,371 |
|
| Total SA |
|
|
12,094 |
|
|
|
796,083 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,510,792 |
|
|
|
|
|
|
|
|
|
|
| Germany - 3.1% |
|
|
|
|
|
|
|
|
| Allianz SE |
|
|
930 |
|
|
|
157,188 |
|
| Bayer AG |
|
|
5,583 |
|
|
|
756,071 |
|
| Celesio AG |
|
|
9,151 |
|
|
|
312,801 |
|
| Continental AG |
|
|
6,101 |
|
|
|
1,463,126 |
|
| Deutsche Boerse AG |
|
|
1,565 |
|
|
|
124,595 |
|
| Deutsche Post AG |
|
|
22,319 |
|
|
|
829,764 |
|
| Deutsche Telekom AG |
|
|
65,360 |
|
|
|
1,060,504 |
|
| E.ON SE |
|
|
13,954 |
|
|
|
272,523 |
|
| Fresenius SE & Co. KGaA |
|
|
1,761 |
|
|
|
276,422 |
|
| Merck KGaA |
|
|
6,989 |
|
|
|
1,176,991 |
|
| Metro AG |
|
|
3,739 |
|
|
|
152,519 |
|
| Muenchener Rueckversicherungs AG |
|
|
879 |
|
|
|
192,077 |
|
| OSRAM Licht AG † |
|
|
21,401 |
|
|
|
1,387,678 |
|
| United Internet AG |
|
|
19,995 |
|
|
|
937,903 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,100,162 |
|
|
|
|
|
|
|
|
|
|
| Hong Kong - 1.0% |
|
|
|
|
|
|
|
|
| AIA Group Ltd. |
|
|
101,800 |
|
|
|
484,176 |
|
| ASM Pacific Technology Ltd. |
|
|
1,882 |
|
|
|
18,282 |
|
| Cathay Pacific Airways Ltd. |
|
|
14,000 |
|
|
|
26,149 |
|
| Cheung Kong Holdings Ltd. |
|
|
15,201 |
|
|
|
252,758 |
|
| Cheung Kong Infrastructure Holdings Ltd. |
|
|
4,749 |
|
|
|
30,372 |
|
| CLP Holdings Ltd. |
|
|
12,511 |
|
|
|
94,417 |
|
| First Pacific Co., Ltd. |
|
|
18,000 |
|
|
|
17,941 |
|
| Galaxy Entertainment Group Ltd. † |
|
|
10,000 |
|
|
|
87,282 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Hong Kong - 1.0% (continued) |
|
| Hang Lung Group Ltd. |
|
|
791 |
|
|
$
|
3,987 |
|
| Hang Seng Bank Ltd. |
|
|
6,157 |
|
|
|
98,222 |
|
| Henderson Land Development Co., Ltd. |
|
|
16,500 |
|
|
|
96,556 |
|
| HKT Trust and HKT Ltd. |
|
|
58,842 |
|
|
|
62,233 |
|
| Hong Kong & China Gas Co., Ltd. |
|
|
20 |
|
|
|
44 |
|
| Hong Kong Exchanges and Clearing Ltd. |
|
|
9,069 |
|
|
|
137,731 |
|
| Hopewell Holdings Ltd. |
|
|
4,695 |
|
|
|
16,155 |
|
| Hutchison Whampoa Ltd. |
|
|
8,489 |
|
|
|
112,664 |
|
| Hysan Development Co., Ltd. |
|
|
10,823 |
|
|
|
47,228 |
|
| Kerry Properties Ltd. |
|
|
32,000 |
|
|
|
106,717 |
|
| Li & Fung Ltd. |
|
|
51,468 |
|
|
|
76,269 |
|
| Link REIT/The REIT |
|
|
18,829 |
|
|
|
92,848 |
|
| MGM China Holdings Ltd. |
|
|
31,600 |
|
|
|
111,644 |
|
| Mongolia Energy Corp. Ltd. † |
|
|
885 |
|
|
|
25 |
|
| New World Development Co., Ltd. |
|
|
30,173 |
|
|
|
30,438 |
|
| NWS Holdings Ltd. |
|
|
12,500 |
|
|
|
21,095 |
|
| PCCW Ltd. |
|
|
32,406 |
|
|
|
16,279 |
|
| Power Assets Holdings Ltd. |
|
|
11,500 |
|
|
|
99,815 |
|
| Sands China Ltd. |
|
|
22,000 |
|
|
|
164,999 |
|
| SJM Holdings Ltd. |
|
|
54,000 |
|
|
|
152,131 |
|
| Sun Hung Kai Properties Ltd. |
|
|
15,022 |
|
|
|
184,461 |
|
| Swire Pacific Ltd., Class A |
|
|
5,318 |
|
|
|
62,115 |
|
| Swire Properties Ltd. |
|
|
72 |
|
|
|
205 |
|
| Television Broadcasts Ltd. |
|
|
42 |
|
|
|
252 |
|
| Wharf Holdings Ltd. |
|
|
29,604 |
|
|
|
189,871 |
|
| Wheelock & Co., Ltd. |
|
|
2,844 |
|
|
|
11,146 |
|
| Wynn Macau Ltd. |
|
|
8,800 |
|
|
|
36,627 |
|
| Yue Yuen Industrial Holdings Ltd. |
|
|
26,623 |
|
|
|
86,754 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,029,888 |
|
|
|
|
|
|
|
|
|
|
| Ireland - 0.0% (b) |
|
|
|
|
|
|
|
|
| James Hardie Industries PLC CDI |
|
|
3,100 |
|
|
|
41,410 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Italy - 1.0% |
|
|
|
|
|
|
|
|
| Mediobanca SpA † |
|
|
17,094 |
|
|
|
195,666 |
|
| Prysmian SpA |
|
|
47,415 |
|
|
|
1,179,939 |
|
| UniCredit SpA |
|
|
17,345 |
|
|
|
158,552 |
|
| Unione di Banche Italiane SCpA |
|
|
150,578 |
|
|
|
1,420,677 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,954,834 |
|
|
|
|
|
|
|
|
|
|
| Japan - 7.3% |
|
|
|
|
|
|
|
|
| Aeon Co., Ltd. |
|
|
4,000 |
|
|
|
45,022 |
|
| Aeon Mall Co., Ltd. |
|
|
1,100 |
|
|
|
28,181 |
|
| Alfresa Holdings Corp. |
|
|
4,500 |
|
|
|
293,444 |
|
| Asahi Glass Co., Ltd. |
|
|
236 |
|
|
|
1,365 |
|
| Asahi Kasei Corp. |
|
|
51,000 |
|
|
|
345,811 |
|
| Astellas Pharma, Inc. |
|
|
39,000 |
|
|
|
463,030 |
|
| Bridgestone Corp. |
|
|
10,600 |
|
|
|
375,671 |
|
| Brother Industries Ltd. |
|
|
2,600 |
|
|
|
36,354 |
|
| Calbee, Inc. |
|
|
700 |
|
|
|
16,494 |
|
| Canon, Inc. |
|
|
45 |
|
|
|
1,397 |
|
| Casio Computer Co., Ltd. |
|
|
16,600 |
|
|
|
196,278 |
|
| Central Japan Railway Co. |
|
|
3,600 |
|
|
|
420,520 |
|
| Chubu Electric Power Co., Inc. † |
|
|
54 |
|
|
|
635 |
|
| Chugai Pharmaceutical Co., Ltd. |
|
|
2,300 |
|
|
|
58,747 |
|
| Coca-Cola West Co., Ltd. |
|
|
900 |
|
|
|
15,720 |
|
| Credit Saison Co., Ltd. |
|
|
2,375 |
|
|
|
47,232 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
3 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Japan - 7.3% (continued) |
|
| Dai Nippon Printing Co., Ltd. |
|
|
21,000 |
|
|
$
|
200,823 |
|
| Daito Trust Construction Co., Ltd. |
|
|
686 |
|
|
|
63,543 |
|
| Daiwa House Industry Co., Ltd. |
|
|
4,151 |
|
|
|
70,477 |
|
| Daiwa Securities Group, Inc. |
|
|
13,000 |
|
|
|
112,947 |
|
| Denso Corp. |
|
|
2,700 |
|
|
|
129,482 |
|
| DIC Corp. |
|
|
495 |
|
|
|
1,299 |
|
| East Japan Railway Co. |
|
|
2,512 |
|
|
|
185,028 |
|
| FANUC Corp. |
|
|
600 |
|
|
|
106,075 |
|
| Fuji Electric Co., Ltd. |
|
|
46,000 |
|
|
|
205,652 |
|
| Fuji Heavy Industries Ltd. |
|
|
15,833 |
|
|
|
428,756 |
|
| FUJIFILM Holdings Corp. |
|
|
14,144 |
|
|
|
379,652 |
|
| Fujitsu Ltd. |
|
|
10,115 |
|
|
|
61,140 |
|
| Fukuoka Financial Group, Inc. |
|
|
22,000 |
|
|
|
90,367 |
|
| Gunma Bank Ltd./The |
|
|
2,000 |
|
|
|
10,878 |
|
| Hachijuni Bank Ltd./The |
|
|
1,000 |
|
|
|
5,683 |
|
| Hakuhodo DY Holdings, Inc. |
|
|
19,200 |
|
|
|
133,721 |
|
| Hankyu Hanshin Holdings, Inc. |
|
|
5,000 |
|
|
|
27,201 |
|
| Hino Motors Ltd. |
|
|
18,575 |
|
|
|
275,100 |
|
| Hitachi High-Technologies Corp. |
|
|
58 |
|
|
|
1,351 |
|
| Hitachi Ltd. |
|
|
6,000 |
|
|
|
44,412 |
|
| Honda Motor Co., Ltd. |
|
|
5,197 |
|
|
|
182,865 |
|
| Hoya Corp. |
|
|
6,406 |
|
|
|
200,386 |
|
| Hulic Co., Ltd. |
|
|
2,600 |
|
|
|
35,690 |
|
| Isuzu Motors Ltd. |
|
|
17,000 |
|
|
|
97,610 |
|
| ITOCHU Corp. |
|
|
88 |
|
|
|
1,030 |
|
| J Front Retailing Co., Ltd. |
|
|
42,000 |
|
|
|
289,039 |
|
| Japan Airlines Co., Ltd. |
|
|
6,200 |
|
|
|
305,130 |
|
| Japan Real Estate Investment Corp. REIT |
|
|
10 |
|
|
|
50,322 |
|
| Japan Retail Fund Investment Corp. REIT |
|
|
19 |
|
|
|
37,444 |
|
| Japan Tobacco, Inc. |
|
|
2,900 |
|
|
|
91,023 |
|
| JGC Corp. |
|
|
9,000 |
|
|
|
312,655 |
|
| JTEKT Corp. |
|
|
6,788 |
|
|
|
100,767 |
|
| JX Holdings, Inc. |
|
|
14 |
|
|
|
67 |
|
| Kaneka Corp. |
|
|
2,354 |
|
|
|
14,245 |
|
| KDDI Corp. |
|
|
9,300 |
|
|
|
540,005 |
|
| Keisei Electric Railway Co., Ltd. |
|
|
461 |
|
|
|
3,996 |
|
| Keyence Corp. |
|
|
700 |
|
|
|
288,377 |
|
| Kinden Corp. |
|
|
15,284 |
|
|
|
147,880 |
|
| Kobe Steel Ltd. |
|
|
30,759 |
|
|
|
40,819 |
|
| Konica Minolta, Inc. |
|
|
27,000 |
|
|
|
252,602 |
|
| Kubota Corp. |
|
|
343 |
|
|
|
4,559 |
|
| Mabuchi Motor Co., Ltd. |
|
|
200 |
|
|
|
13,113 |
|
| Makita Corp. |
|
|
46 |
|
|
|
2,532 |
|
| Mazda Motor Corp. |
|
|
9,000 |
|
|
|
39,983 |
|
| Medipal Holdings Corp. |
|
|
17,800 |
|
|
|
272,566 |
|
| MEIJI Holdings Co., Ltd. |
|
|
2,500 |
|
|
|
157,587 |
|
| Miraca Holdings, Inc. |
|
|
28 |
|
|
|
1,227 |
|
| Mitsubishi Corp. |
|
|
36 |
|
|
|
668 |
|
| Mitsubishi Electric Corp. |
|
|
18,000 |
|
|
|
202,622 |
|
| Mitsubishi Estate Co., Ltd. |
|
|
11,764 |
|
|
|
279,344 |
|
| Mitsubishi Heavy Industries, Ltd. |
|
|
33,000 |
|
|
|
190,950 |
|
| Mitsubishi Motors Corp. |
|
|
12,800 |
|
|
|
133,682 |
|
| Mitsubishi UFJ Financial Group, Inc. |
|
|
153,849 |
|
|
|
847,213 |
|
| Mitsubishi UFJ Lease & Finance Co., Ltd. |
|
|
80 |
|
|
|
393 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Japan - 7.3% (continued) |
|
| Mitsui & Co., Ltd. |
|
|
89 |
|
|
$
|
1,258 |
|
| Mitsui Fudosan Co., Ltd. |
|
|
7,598 |
|
|
|
231,801 |
|
| Mitsui OSK Lines Ltd. |
|
|
8,000 |
|
|
|
31,118 |
|
| Mitsumi Electric Co., Ltd. |
|
|
40 |
|
|
|
290 |
|
| Mizuho Financial Group, Inc. |
|
|
133,141 |
|
|
|
263,866 |
|
| MS&AD Insurance Group Holdings |
|
|
9,000 |
|
|
|
206,021 |
|
| Namco Bandai Holdings, Inc. |
|
|
13,400 |
|
|
|
317,844 |
|
| NEC Corp. |
|
|
94,000 |
|
|
|
288,735 |
|
| Nexon Co., Ltd. |
|
|
9,900 |
|
|
|
83,142 |
|
| NGK Spark Plug Co., Ltd. |
|
|
2,000 |
|
|
|
44,944 |
|
| NHK Spring Co., Ltd. |
|
|
10,800 |
|
|
|
100,435 |
|
| Nintendo Co., Ltd. |
|
|
1,500 |
|
|
|
179,310 |
|
| Nippon Building Fund, Inc. REIT |
|
|
12 |
|
|
|
62,794 |
|
| Nippon Kayaku Co., Ltd. |
|
|
546 |
|
|
|
6,138 |
|
| Nippon Meat Packers, Inc. |
|
|
97 |
|
|
|
1,444 |
|
| Nippon Prologis REIT, Inc. REIT |
|
|
15 |
|
|
|
30,279 |
|
| Nippon Steel & Sumitomo Metal Corp. |
|
|
822 |
|
|
|
2,243 |
|
| Nippon Telegraph & Telephone Corp. |
|
|
3,448 |
|
|
|
187,370 |
|
| Nippon Yusen KK |
|
|
34,000 |
|
|
|
98,747 |
|
| Nishi-Nippon City Bank Ltd./The |
|
|
363 |
|
|
|
816 |
|
| Nitori Holdings Co., Ltd. |
|
|
600 |
|
|
|
26,038 |
|
| Nitto Denko Corp. |
|
|
94 |
|
|
|
4,508 |
|
| NKSJ Holdings, Inc. |
|
|
2,100 |
|
|
|
53,916 |
|
| Nomura Holdings, Inc. |
|
|
28,700 |
|
|
|
184,107 |
|
| Nomura Real Estate Holdings, Inc. |
|
|
1,700 |
|
|
|
32,550 |
|
| North Pacific Bank Ltd. |
|
|
68 |
|
|
|
276 |
|
| NTT Data Corp. |
|
|
2,000 |
|
|
|
77,614 |
|
| NTT DOCOMO, Inc. |
|
|
6,400 |
|
|
|
100,848 |
|
| Oji Holdings Corp. |
|
|
682 |
|
|
|
3,051 |
|
| Omron Corp. |
|
|
7,531 |
|
|
|
311,608 |
|
| ORIX Corp. |
|
|
12,290 |
|
|
|
173,215 |
|
| Osaka Gas Co., Ltd. |
|
|
14,446 |
|
|
|
54,598 |
|
| Otsuka Corp. |
|
|
300 |
|
|
|
39,130 |
|
| Otsuka Holdings Co., Ltd. |
|
|
11,300 |
|
|
|
338,042 |
|
| Pacific Metals Co., Ltd. † |
|
|
720 |
|
|
|
2,677 |
|
| Panasonic Corp. |
|
|
39,300 |
|
|
|
446,962 |
|
| Rengo Co., Ltd. |
|
|
884 |
|
|
|
4,735 |
|
| Resona Holdings, Inc. |
|
|
61,600 |
|
|
|
297,684 |
|
| Sankyo Co., Ltd. |
|
|
2,900 |
|
|
|
122,050 |
|
| Secom Co., Ltd. |
|
|
1,800 |
|
|
|
103,473 |
|
| Seino Holdings Co., Ltd. |
|
|
100 |
|
|
|
954 |
|
| Sekisui Chemical Co., Ltd. |
|
|
28,000 |
|
|
|
290,815 |
|
| Sekisui House Ltd. |
|
|
5,000 |
|
|
|
61,840 |
|
| Seven & I Holdings Co., Ltd. |
|
|
5,130 |
|
|
|
195,476 |
|
| Shimamura Co., Ltd. |
|
|
2,600 |
|
|
|
224,989 |
|
| Shionogi & Co., Ltd. |
|
|
16,100 |
|
|
|
297,641 |
|
| SoftBank Corp. |
|
|
6,600 |
|
|
|
498,750 |
|
| Sojitz Corp. |
|
|
16 |
|
|
|
27 |
|
| Sony Corp. |
|
|
17 |
|
|
|
324 |
|
| Sumitomo Mitsui Financial Group, Inc. |
|
|
16,949 |
|
|
|
726,501 |
|
| Sumitomo Mitsui Trust Holdings, Inc. |
|
|
35,000 |
|
|
|
158,359 |
|
| Sumitomo Realty & Development Co., Ltd. |
|
|
3,624 |
|
|
|
141,839 |
|
| Suzuken Co., Ltd. |
|
|
7,000 |
|
|
|
270,785 |
|
| Suzuki Motor Corp. |
|
|
12,100 |
|
|
|
315,479 |
|
| Taiheiyo Cement Corp. |
|
|
16,000 |
|
|
|
57,622 |
|
| Taisei Corp. |
|
|
10,000 |
|
|
|
44,628 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 4 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Japan - 7.3% (continued) |
|
| Takashimaya Co., Ltd. |
|
|
29,000 |
|
|
$
|
271,441 |
|
| Takeda Pharmaceutical Co., Ltd. |
|
|
669 |
|
|
|
31,665 |
|
| TDK Corp. |
|
|
3,400 |
|
|
|
141,787 |
|
| Terumo Corp. |
|
|
3,600 |
|
|
|
78,413 |
|
| Toho Co., Ltd. |
|
|
10,900 |
|
|
|
218,467 |
|
| Tokai Rika Co., Ltd. |
|
|
65 |
|
|
|
1,092 |
|
| Tokyo Electric Power Co., Inc † |
|
|
73,170 |
|
|
|
294,393 |
|
| Tokyo Electron Ltd. |
|
|
1,400 |
|
|
|
87,011 |
|
| Tokyo Gas Co., Ltd. |
|
|
48,000 |
|
|
|
243,391 |
|
| Tokyo Tatemono Co., Ltd. |
|
|
4,000 |
|
|
|
34,273 |
|
| Tokyu Corp. |
|
|
15,000 |
|
|
|
91,665 |
|
| Tokyu Fudosan Holdings Corp. |
|
|
5,000 |
|
|
|
37,285 |
|
| Toppan Printing Co., Ltd. |
|
|
3,000 |
|
|
|
21,449 |
|
| Toyo Seikan Group Holdings Ltd. |
|
|
17,400 |
|
|
|
282,378 |
|
| Toyo Suisan Kaisha Ltd. |
|
|
2,000 |
|
|
|
66,828 |
|
| Toyoda Gosei Co., Ltd. |
|
|
6,400 |
|
|
|
122,522 |
|
| Toyota Motor Corp. |
|
|
18,341 |
|
|
|
1,034,320 |
|
| United Urban Investment Corp. REIT |
|
|
12 |
|
|
|
17,658 |
|
| USS Co., Ltd. |
|
|
1,050 |
|
|
|
14,750 |
|
| West Japan Railway Co. |
|
|
700 |
|
|
|
28,571 |
|
| Yahoo Japan Corp. |
|
|
40,500 |
|
|
|
198,407 |
|
| Yamaha Corp. |
|
|
6,600 |
|
|
|
84,888 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,222,239 |
|
|
|
|
|
|
|
|
|
|
| Netherlands - 1.5% |
|
|
|
|
|
|
|
|
| Akzo Nobel NV |
|
|
3,817 |
|
|
|
311,316 |
|
| CNH Industrial NV † |
|
|
29,122 |
|
|
|
335,162 |
|
| ING Groep NV CVA † |
|
|
34,347 |
|
|
|
488,472 |
|
| Koninklijke Ahold NV |
|
|
4,945 |
|
|
|
99,312 |
|
| Koninklijke Philips NV |
|
|
38,283 |
|
|
|
1,346,764 |
|
| Randstad Holding NV |
|
|
7,968 |
|
|
|
466,357 |
|
| Reed Elsevier NV |
|
|
58,310 |
|
|
|
1,261,628 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,309,011 |
|
|
|
|
|
|
|
|
|
|
| Singapore - 0.6% |
|
|
|
|
|
|
|
|
| Ascendas Real Estate Investment Trust REIT |
|
|
16,478 |
|
|
|
29,660 |
|
| Avago Technologies Ltd. (1) |
|
|
2,800 |
|
|
|
180,348 |
|
| CapitaCommercial Trust REIT |
|
|
16,000 |
|
|
|
18,942 |
|
| CapitaMall Trust REIT |
|
|
19,494 |
|
|
|
29,331 |
|
| ComfortDelGro Corp. Ltd. |
|
|
83,000 |
|
|
|
131,290 |
|
| DBS Group Holdings Ltd. |
|
|
21,054 |
|
|
|
271,261 |
|
| Global Logistic Properties Ltd. |
|
|
39,000 |
|
|
|
82,307 |
|
| Jardine Cycle & Carriage Ltd. |
|
|
291 |
|
|
|
10,503 |
|
| Keppel Corp. Ltd. |
|
|
10,000 |
|
|
|
86,756 |
|
| Keppel REIT |
|
|
400 |
|
|
|
363 |
|
| Olam International Ltd. |
|
|
45,000 |
|
|
|
79,684 |
|
| Oversea-Chinese Banking Corp. Ltd. |
|
|
16,422 |
|
|
|
124,154 |
|
| Sembcorp Industries Ltd. |
|
|
7,777 |
|
|
|
34,018 |
|
| Sembcorp Marine Ltd. |
|
|
14,000 |
|
|
|
45,138 |
|
| Singapore Airlines Ltd. |
|
|
10,000 |
|
|
|
83,317 |
|
| Singapore Exchange Ltd. |
|
|
6,967 |
|
|
|
38,501 |
|
| Singapore Technologies Engineering Ltd. |
|
|
12,103 |
|
|
|
36,823 |
|
| Singapore Telecommunications Ltd. |
|
|
41,635 |
|
|
|
121,021 |
|
| StarHub Ltd. |
|
|
476 |
|
|
|
1,593 |
|
| United Overseas Bank Ltd. |
|
|
10,201 |
|
|
|
175,962 |
|
| UOL Group Ltd. |
|
|
3,340 |
|
|
|
16,656 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Singapore - 0.6% (continued) |
|
|
|
|
|
|
|
|
| Wilmar International Ltd. |
|
|
14,000 |
|
|
$
|
38,577 |
|
| Yangzijiang Shipbuilding Holdings Ltd. |
|
|
90,404 |
|
|
|
77,787 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,713,992 |
|
|
|
|
|
|
|
|
|
|
| Spain - 1.7% |
|
|
|
|
|
|
|
|
| ACS Actividades de Construccion y Servicios SA |
|
|
11,180 |
|
|
|
439,579 |
|
| Banco de Sabadell SA |
|
|
274,245 |
|
|
|
847,849 |
|
| Banco Santander SA |
|
|
124,074 |
|
|
|
1,184,431 |
|
| CaixaBank SA |
|
|
132,418 |
|
|
|
852,382 |
|
| Gas Natural SDG SA |
|
|
52,081 |
|
|
|
1,465,218 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,789,459 |
|
|
|
|
|
|
|
|
|
|
| Sweden - 0.8% |
|
|
|
|
|
|
|
|
| Hennes & Mauritz AB, B Shares |
|
|
5,474 |
|
|
|
233,467 |
|
| Investment AB Kinnevik, B Shares |
|
|
2,409 |
|
|
|
88,991 |
|
| Investor AB, B Shares |
|
|
3,849 |
|
|
|
139,421 |
|
| Skandinaviska Enskilda Banken AB, Class A |
|
|
41,856 |
|
|
|
574,988 |
|
| Svenska Cellulosa AB SCA, Class B |
|
|
39,749 |
|
|
|
1,170,654 |
|
| TeliaSonera AB |
|
|
34,247 |
|
|
|
258,647 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,466,168 |
|
|
|
|
|
|
|
|
|
|
| Switzerland - 3.0% |
|
|
|
|
|
|
|
|
| Actelion Ltd. † |
|
|
14,818 |
|
|
|
1,404,278 |
|
| Givaudan SA † |
|
|
174 |
|
|
|
269,135 |
|
| Nestle SA |
|
|
11,709 |
|
|
|
881,332 |
|
| Novartis AG |
|
|
16,926 |
|
|
|
1,437,152 |
|
| Roche Holding AG |
|
|
9,791 |
|
|
|
2,944,778 |
|
| Sika AG |
|
|
166 |
|
|
|
679,031 |
|
| Swiss Life Holding AG † |
|
|
1,562 |
|
|
|
384,122 |
|
| Swiss Re AG † |
|
|
8,351 |
|
|
|
775,091 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,774,919 |
|
|
|
|
|
|
|
|
|
|
| United Kingdom - 8.5% |
|
| 3i Group PLC |
|
|
160,394 |
|
|
|
1,065,184 |
|
| Aon PLC (1) |
|
|
7,000 |
|
|
|
589,960 |
|
| ARM Holdings PLC |
|
|
11,792 |
|
|
|
199,147 |
|
| Associated British Foods PLC |
|
|
16,841 |
|
|
|
781,460 |
|
| Babcock International Group PLC |
|
|
30,595 |
|
|
|
687,056 |
|
| BHP Billiton PLC |
|
|
17,149 |
|
|
|
529,538 |
|
| BP PLC |
|
|
93,442 |
|
|
|
750,812 |
|
| British Land Co. PLC REIT |
|
|
13,261 |
|
|
|
144,695 |
|
| British Sky Broadcasting Group PLC |
|
|
56,676 |
|
|
|
862,248 |
|
| BT Group PLC |
|
|
267,814 |
|
|
|
1,703,225 |
|
| Delphi Automotive PLC (1) |
|
|
3,700 |
|
|
|
251,082 |
|
| easyJet PLC |
|
|
49,179 |
|
|
|
1,407,455 |
|
| Hammerson PLC REIT |
|
|
10,329 |
|
|
|
95,489 |
|
| HSBC Holdings PLC |
|
|
47,676 |
|
|
|
482,739 |
|
| ICAP PLC |
|
|
13,337 |
|
|
|
84,056 |
|
| IMI PLC |
|
|
15,848 |
|
|
|
385,641 |
|
| Investec PLC |
|
|
43,650 |
|
|
|
353,361 |
|
| ITV PLC |
|
|
61,594 |
|
|
|
196,794 |
|
| Kingfisher PLC |
|
|
181,194 |
|
|
|
1,273,935 |
|
| Land Securities Group PLC REIT |
|
|
20,284 |
|
|
|
345,701 |
|
| Lloyds Banking Group PLC † |
|
|
544,184 |
|
|
|
680,785 |
|
| Marks & Spencer Group PLC |
|
|
78,938 |
|
|
|
594,239 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
5 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| United Kingdom - 8.5% (continued) |
|
| Next PLC |
|
|
9,007 |
|
|
$
|
991,227 |
|
| Persimmon PLC † |
|
|
14,002 |
|
|
|
314,510 |
|
| Randgold Resources Ltd. |
|
|
1,514 |
|
|
|
113,646 |
|
| Reckitt Benckiser Group PLC |
|
|
8,186 |
|
|
|
668,018 |
|
| Resolution Ltd. |
|
|
107,900 |
|
|
|
537,576 |
|
| Rio Tinto PLC |
|
|
10,392 |
|
|
|
579,538 |
|
| Royal Dutch Shell PLC, A Shares |
|
|
31,097 |
|
|
|
1,136,216 |
|
| Royal Dutch Shell PLC, B Shares |
|
|
14,719 |
|
|
|
574,636 |
|
| Schroders PLC |
|
|
8,783 |
|
|
|
380,914 |
|
| Shire PLC |
|
|
20,090 |
|
|
|
994,561 |
|
| Smith & Nephew PLC |
|
|
37,559 |
|
|
|
570,442 |
|
| Travis Perkins PLC |
|
|
45,208 |
|
|
|
1,423,499 |
|
| TUI Travel PLC |
|
|
77,389 |
|
|
|
565,512 |
|
| Tullow Oil PLC |
|
|
14,217 |
|
|
|
177,669 |
|
| Unilever PLC |
|
|
10,377 |
|
|
|
443,820 |
|
| Vodafone Group PLC |
|
|
349,137 |
|
|
|
1,283,889 |
|
| William Hill PLC |
|
|
27,721 |
|
|
|
157,717 |
|
| WPP PLC |
|
|
7,551 |
|
|
|
156,020 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
24,534,012 |
|
|
|
|
|
|
|
|
|
|
| United States - 49.9% |
|
|
|
|
|
|
|
|
| 3M Co. (1) |
|
|
5,300 |
|
|
|
718,998 |
|
| Abbott Laboratories (1) |
|
|
5,784 |
|
|
|
222,742 |
|
| AbbVie, Inc. (1) |
|
|
26,700 |
|
|
|
1,372,380 |
|
| AES Corp. (1) |
|
|
38,400 |
|
|
|
548,352 |
|
| Akamai Technologies, Inc. (1)† |
|
|
3,900 |
|
|
|
227,019 |
|
| Alexion Pharmaceuticals, Inc. (1)† |
|
|
2,600 |
|
|
|
395,538 |
|
| Allstate Corp./The (1) |
|
|
6,800 |
|
|
|
384,744 |
|
| Amazon.com, Inc. (1)† |
|
|
1,300 |
|
|
|
437,476 |
|
| American Electric Power Co., Inc. (1) |
|
|
6,900 |
|
|
|
349,554 |
|
| American Tower Corp. REIT (1) |
|
|
4,100 |
|
|
|
335,667 |
|
| Ameriprise Financial, Inc. (1) |
|
|
3,100 |
|
|
|
341,217 |
|
| Amgen, Inc. (1) |
|
|
2,349 |
|
|
|
289,726 |
|
| Annaly Capital Management, Inc. REIT (1) |
|
|
14,918 |
|
|
|
163,650 |
|
| Apple, Inc. (1) |
|
|
5,828 |
|
|
|
3,128,121 |
|
| Archer-Daniels-Midland Co. (1) |
|
|
43,300 |
|
|
|
1,878,787 |
|
| Ashland, Inc. (1) |
|
|
1,700 |
|
|
|
169,116 |
|
| Assurant, Inc. (1) |
|
|
8,700 |
|
|
|
565,152 |
|
| AT&T, Inc. |
|
|
52,697 |
|
|
|
1,848,084 |
|
| AvalonBay Communities, Inc. REIT (1) |
|
|
1,311 |
|
|
|
172,160 |
|
| Avery Dennison Corp. (1) |
|
|
21,700 |
|
|
|
1,099,539 |
|
| Axis Capital Holdings Ltd. (1) |
|
|
15,500 |
|
|
|
710,675 |
|
| Bank of America Corp. (1) |
|
|
98,838 |
|
|
|
1,700,014 |
|
| Bank of New York Mellon Corp./The (1) |
|
|
2,200 |
|
|
|
77,638 |
|
| Bed Bath & Beyond, Inc. (1)† |
|
|
6,300 |
|
|
|
433,440 |
|
| Berkshire Hathaway, Inc., Class B (1)† |
|
|
8,550 |
|
|
|
1,068,493 |
|
| Best Buy Co., Inc. (1) |
|
|
4,600 |
|
|
|
121,486 |
|
| Biogen Idec, Inc. (1)† |
|
|
6,300 |
|
|
|
1,926,981 |
|
| Boeing Co./The (1) |
|
|
9,400 |
|
|
|
1,179,606 |
|
| Boston Properties, Inc. REIT (1) |
|
|
2,763 |
|
|
|
316,446 |
|
| Boston Scientific Corp. (1)† |
|
|
92,000 |
|
|
|
1,243,840 |
|
| Broadcom Corp., Class A (1) |
|
|
24,700 |
|
|
|
777,556 |
|
| Brookfield Property Partners LP (1) |
|
|
1,503 |
|
|
|
27,966 |
|
| Bunge Ltd. (1) |
|
|
18,100 |
|
|
|
1,439,131 |
|
| Cardinal Health, Inc. (1) |
|
|
9,700 |
|
|
|
678,806 |
|
| CareFusion Corp. (1)† |
|
|
23,800 |
|
|
|
957,236 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| United States - 49.9% (continued) |
|
|
|
|
|
|
|
|
| Catamaran Corp. (1) † |
|
|
1,600 |
|
|
$
|
71,584 |
|
| CBS Corp., Class B (1) |
|
|
10,700 |
|
|
|
661,260 |
|
| Celgene Corp. (1) † |
|
|
8,900 |
|
|
|
1,242,440 |
|
| CF Industries Holdings, Inc. (1) |
|
|
2,800 |
|
|
|
729,792 |
|
| Chevron Corp. (1) |
|
|
6,600 |
|
|
|
784,806 |
|
| Cigna Corp. (1) |
|
|
8,700 |
|
|
|
728,451 |
|
| Cimarex Energy Co. (1) |
|
|
13,500 |
|
|
|
1,607,985 |
|
| Cisco Systems, Inc. (1) |
|
|
43,489 |
|
|
|
974,588 |
|
| Citigroup, Inc. (1) |
|
|
4,519 |
|
|
|
215,104 |
|
| Citrix Systems, Inc. (1) † |
|
|
11,700 |
|
|
|
671,931 |
|
| Coca-Cola Co./The (1) |
|
|
31,760 |
|
|
|
1,227,842 |
|
| Cognizant Technology Solutions Corp., Class A (1) † |
|
|
1,200 |
|
|
|
60,732 |
|
| Colgate-Palmolive Co. (1) |
|
|
9,456 |
|
|
|
613,411 |
|
| Comcast Corp., Class A (1) |
|
|
9,700 |
|
|
|
485,194 |
|
| Comerica, Inc. (1) |
|
|
16,600 |
|
|
|
859,880 |
|
| Computer Sciences Corp. (1) |
|
|
25,400 |
|
|
|
1,544,828 |
|
| Corning, Inc. (1) |
|
|
13,500 |
|
|
|
281,070 |
|
| Crown Castle International Corp. REIT (1) |
|
|
4,000 |
|
|
|
295,120 |
|
| Cummins, Inc. (1) |
|
|
2,000 |
|
|
|
297,980 |
|
| CVS Caremark Corp. (1) |
|
|
32,000 |
|
|
|
2,395,520 |
|
| Danaher Corp. (1) |
|
|
2,700 |
|
|
|
202,500 |
|
| Deere & Co. (1) |
|
|
2,900 |
|
|
|
263,320 |
|
| DIRECTV (1) † |
|
|
4,369 |
|
|
|
333,879 |
|
| Discover Financial Services (1) |
|
|
15,200 |
|
|
|
884,488 |
|
| DTE Energy Co. (1) |
|
|
11,600 |
|
|
|
861,764 |
|
| Duke Energy Corp. (1) |
|
|
5,600 |
|
|
|
398,832 |
|
| Dun & Bradstreet Corp./The (1) |
|
|
5,600 |
|
|
|
556,360 |
|
| Edison International (1) |
|
|
10,456 |
|
|
|
591,914 |
|
| Eli Lilly & Co. (1) |
|
|
23,100 |
|
|
|
1,359,666 |
|
| Emerson Electric Co. (1) |
|
|
5,700 |
|
|
|
380,760 |
|
| EOG Resources, Inc. (1) |
|
|
1,900 |
|
|
|
372,723 |
|
| Equity Residential REIT (1) |
|
|
3,548 |
|
|
|
205,748 |
|
| Everest Re Group Ltd. (1) |
|
|
5,500 |
|
|
|
841,775 |
|
| Exxon Mobil Corp. (1) |
|
|
19,789 |
|
|
|
1,932,990 |
|
| Facebook, Inc., Class A (1) † |
|
|
36,300 |
|
|
|
2,186,712 |
|
| Fidelity National Information Services, Inc. (1) |
|
|
22,400 |
|
|
|
1,197,280 |
|
| FLIR Systems, Inc. (1) |
|
|
14,400 |
|
|
|
518,400 |
|
| GameStop Corp., Class A (1) |
|
|
40,800 |
|
|
|
1,676,880 |
|
| Gap, Inc./The (1) |
|
|
6,219 |
|
|
|
249,133 |
|
| General Electric Co. (1) |
|
|
82,102 |
|
|
|
2,125,621 |
|
| Gilead Sciences, Inc. (1) † |
|
|
15,200 |
|
|
|
1,077,072 |
|
| Goldman Sachs Group, Inc./The (1) |
|
|
2,400 |
|
|
|
393,240 |
|
| Google, Inc., Class A (1) † |
|
|
3,102 |
|
|
|
3,457,210 |
|
| Halliburton Co. (1) |
|
|
13,900 |
|
|
|
818,571 |
|
| HCP, Inc. REIT (1) |
|
|
4,772 |
|
|
|
185,106 |
|
| Health Care REIT, Inc. REIT (1) |
|
|
3,000 |
|
|
|
178,800 |
|
| Hershey Co./The (1) |
|
|
1,700 |
|
|
|
177,480 |
|
| Hess Corp. (1) |
|
|
15,400 |
|
|
|
1,276,352 |
|
| Hewlett-Packard Co. (1) |
|
|
47,100 |
|
|
|
1,524,156 |
|
| Home Depot, Inc./The (1) |
|
|
25,006 |
|
|
|
1,978,725 |
|
| Honeywell International, Inc. (1) |
|
|
4,100 |
|
|
|
380,316 |
|
| Hormel Foods Corp. (1) |
|
|
14,200 |
|
|
|
699,634 |
|
| Host Hotels & Resorts, Inc. REIT (1) |
|
|
9,300 |
|
|
|
188,232 |
|
| Humana, Inc. (1) |
|
|
6,500 |
|
|
|
732,680 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 6 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| United States - 49.9% (continued) |
|
|
|
|
|
|
|
|
| Ingersoll-Rand PLC (1) |
|
|
15,900 |
|
|
$
|
910,116 |
|
| Intel Corp. (1) |
|
|
65,000 |
|
|
|
1,677,650 |
|
| International Business Machines Corp. (1) |
|
|
7,923 |
|
|
|
1,525,098 |
|
| International Paper Co. (1) |
|
|
3,300 |
|
|
|
151,404 |
|
| Interpublic Group of Cos., Inc./The (1) |
|
|
33,800 |
|
|
|
579,332 |
|
| JM Smucker Co./The (1) |
|
|
3,200 |
|
|
|
311,168 |
|
| Johnson & Johnson (1) |
|
|
26,616 |
|
|
|
2,614,490 |
|
| JPMorgan Chase & Co. (1) |
|
|
29,173 |
|
|
|
1,771,093 |
|
| KeyCorp (1) |
|
|
103,700 |
|
|
|
1,476,688 |
|
| Kimberly-Clark Corp. (1) |
|
|
12,263 |
|
|
|
1,351,996 |
|
| Kimco Realty Corp. REIT (1) |
|
|
6,500 |
|
|
|
142,220 |
|
| Kohl’s Corp. (1) |
|
|
2,300 |
|
|
|
130,640 |
|
| Las Vegas Sands Corp. (1) |
|
|
8,400 |
|
|
|
678,552 |
|
| Leidos Holdings, Inc. (1) |
|
|
2,700 |
|
|
|
95,499 |
|
| Lockheed Martin Corp. (1) |
|
|
2,400 |
|
|
|
391,776 |
|
| LSI Corp. |
|
|
4,100 |
|
|
|
45,387 |
|
| LyondellBasell Industries NV, Class A (1) |
|
|
18,900 |
|
|
|
1,680,966 |
|
| Macy’s, Inc. (1) |
|
|
12,500 |
|
|
|
741,125 |
|
| Manpowergroup, Inc. (1) |
|
|
4,800 |
|
|
|
378,384 |
|
| Marathon Oil Corp. (1) |
|
|
16,229 |
|
|
|
576,454 |
|
| Marathon Petroleum Corp. (1) |
|
|
7,300 |
|
|
|
635,392 |
|
| Marvell Technology Group Ltd. (1) |
|
|
99,000 |
|
|
|
1,559,250 |
|
| MasterCard, Inc., Class A (1) |
|
|
8,300 |
|
|
|
620,010 |
|
| McKesson Corp. (1) |
|
|
10,800 |
|
|
|
1,906,956 |
|
| Medtronic, Inc. (1) |
|
|
30,882 |
|
|
|
1,900,478 |
|
| Merck & Co., Inc. (1) |
|
|
50,819 |
|
|
|
2,884,995 |
|
| MetLife, Inc. (1) |
|
|
20,700 |
|
|
|
1,092,960 |
|
| Microsoft Corp. (1) |
|
|
81,750 |
|
|
|
3,350,932 |
|
| Newmont Mining Corp. (1) |
|
|
5,161 |
|
|
|
120,974 |
|
| Northrop Grumman Corp. (1) |
|
|
13,379 |
|
|
|
1,650,701 |
|
| NVIDIA Corp. (1) |
|
|
31,000 |
|
|
|
555,210 |
|
| Occidental Petroleum Corp. (1) |
|
|
7,590 |
|
|
|
723,251 |
|
| PartnerRe Ltd. (1) |
|
|
8,900 |
|
|
|
921,150 |
|
| PepsiCo, Inc. (1) |
|
|
12,272 |
|
|
|
1,024,712 |
|
| PetSmart, Inc. (1) |
|
|
700 |
|
|
|
48,223 |
|
| Pfizer, Inc. (1) |
|
|
80,794 |
|
|
|
2,595,103 |
|
| Phillips 66 (1) |
|
|
16,100 |
|
|
|
1,240,666 |
|
| PNC Financial Services Group, Inc./The (1) |
|
|
7,000 |
|
|
|
609,000 |
|
| PPG Industries, Inc. (1) |
|
|
5,897 |
|
|
|
1,140,834 |
|
| priceline.com, Inc. (1) † |
|
|
400 |
|
|
|
476,756 |
|
| Procter & Gamble Co./The (1) |
|
|
10,208 |
|
|
|
822,765 |
|
| Prologis, Inc. REIT (1) |
|
|
5,080 |
|
|
|
207,416 |
|
| Prudential Financial, Inc. (1) |
|
|
5,800 |
|
|
|
490,970 |
|
| Public Storage REIT (1) |
|
|
1,569 |
|
|
|
264,361 |
|
| QUALCOMM, Inc. (1) |
|
|
11,800 |
|
|
|
930,548 |
|
| Raytheon Co. (1) |
|
|
7,067 |
|
|
|
698,149 |
|
| Red Hat, Inc. (1) † |
|
|
20,600 |
|
|
|
1,091,388 |
|
| Simon Property Group, Inc. REIT (1) |
|
|
3,242 |
|
|
|
531,688 |
|
| SLM Corp. (1) |
|
|
9,900 |
|
|
|
242,352 |
|
| Southwest Airlines Co. (1) |
|
|
1,300 |
|
|
|
30,693 |
|
| SPX Corp. (1) |
|
|
6,200 |
|
|
|
609,522 |
|
| Starbucks Corp. (1) |
|
|
2,100 |
|
|
|
154,098 |
|
| Superior Energy Services, Inc. (1) |
|
|
21,600 |
|
|
|
664,416 |
|
| Symantec Corp. (1) |
|
|
8,300 |
|
|
|
165,751 |
|
| Synopsys, Inc. (1) † |
|
|
7,300 |
|
|
|
280,393 |
|
| TE Connectivity Ltd. (1) |
|
|
19,700 |
|
|
|
1,186,137 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| United States - 49.9% (continued) |
|
|
|
|
|
|
|
|
| Texas Instruments, Inc. (1) |
|
|
18,500 |
|
|
$
|
872,275 |
|
| Time Warner Cable, Inc. (1) |
|
|
3,200 |
|
|
|
438,976 |
|
| Time Warner, Inc. (1) |
|
|
10,800 |
|
|
|
705,564 |
|
| Travelers Cos., Inc./The (1) |
|
|
9,201 |
|
|
|
783,005 |
|
| Tyson Foods, Inc., Class A (1) |
|
|
42,700 |
|
|
|
1,879,227 |
|
| Union Pacific Corp. (1) |
|
|
1,700 |
|
|
|
319,022 |
|
| United Parcel Service, Inc., Class B (1) |
|
|
1,700 |
|
|
|
165,546 |
|
| United Technologies Corp. (1) |
|
|
4,200 |
|
|
|
490,728 |
|
| UnitedHealth Group, Inc. (1) |
|
|
9,000 |
|
|
|
737,910 |
|
| Unum Group (1) |
|
|
31,500 |
|
|
|
1,112,265 |
|
| Valero Energy Corp. (1) |
|
|
7,600 |
|
|
|
403,560 |
|
| Ventas, Inc. REIT (1) |
|
|
4,800 |
|
|
|
290,736 |
|
| Verizon Communications, Inc. (1) |
|
|
22,512 |
|
|
|
1,070,896 |
|
| Verizon Communications, Inc. |
|
|
12,099 |
|
|
|
575,427 |
|
| Viacom, Inc., Class B (1) |
|
|
5,837 |
|
|
|
496,087 |
|
| VMware, Inc., Class A (1) † |
|
|
1,900 |
|
|
|
205,238 |
|
| Vornado Realty Trust REIT (1) |
|
|
2,748 |
|
|
|
270,843 |
|
| Walgreen Co. (1) |
|
|
3,300 |
|
|
|
217,899 |
|
| Walt Disney Co./The (1) |
|
|
7,500 |
|
|
|
600,525 |
|
| Waste Management, Inc. (1) |
|
|
2,373 |
|
|
|
99,832 |
|
| WellPoint, Inc. (1) |
|
|
15,300 |
|
|
|
1,523,115 |
|
| Wells Fargo & Co. (1) |
|
|
70,070 |
|
|
|
3,485,282 |
|
| Western Digital Corp. (1) |
|
|
17,000 |
|
|
|
1,560,940 |
|
| Whiting Petroleum Corp. (1) † |
|
|
10,400 |
|
|
|
721,656 |
|
| Yahoo!, Inc. † |
|
|
42,900 |
|
|
|
1,540,110 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
144,490,075 |
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCKS
(cost $198,602,812) |
|
|
|
|
|
|
260,712,307 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| PREFERRED STOCKS - 0.8% |
|
|
|
|
|
|
|
|
|
|
|
| Germany - 0.8% |
|
|
|
|
|
|
|
|
| Henkel AG & Co. KGaA |
|
|
8,005 |
|
|
|
861,676 |
|
| Porsche Automobil Holding SE |
|
|
14,584 |
|
|
|
1,499,343 |
|
|
|
|
|
|
|
|
|
|
| TOTAL PREFERRED STOCKS
(cost $1,733,215) |
|
|
|
|
|
|
2,361,019 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| RIGHTS - 0.0% (b) |
|
|
|
|
|
|
|
|
|
|
|
| Hong Kong - 0.0% (b) |
|
|
|
|
|
|
|
|
| New World Development Co.,
Ltd. (3)†(a)
(cost $—) |
|
|
10,057 |
|
|
|
2,106 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| MONEY MARKET FUNDS - 7.3% |
|
|
|
|
|
|
|
|
| J.P. Morgan Prime Money Market Fund - Capital Shares, 0.040% (c)(d) |
|
|
13 |
|
|
|
13 |
|
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (c)(d) |
|
|
21,070,395 |
|
|
|
21,070,395 |
|
|
|
|
|
|
|
|
|
|
| TOTAL MONEY MARKET FUNDS
(cost $21,070,408) |
|
|
|
|
|
|
21,070,408 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS - 98.1%
(cost $221,406,435) |
|
|
|
|
|
|
284,145,840 |
|
|
|
|
|
|
|
|
|
|
| OTHER ASSETS IN EXCESS OF LIABILITIES - 1.9% (e) |
|
|
|
|
|
|
5,393,634 |
|
|
|
|
|
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
|
|
|
$ |
289,539,474 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
7 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
| † |
Non income-producing security. |
| (a) |
Security fair valued as of March 31, 2014 using procedures approved by the Board of Trustees. The total value of positions fair valued was $2,106 or 0.0% of total net
assets. |
| (b) |
Represents less than 0.05 percent of net assets. |
| (c) |
Represents annualized seven-day yield as of March 31, 2014. |
| (d) |
A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
| (e) |
Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) |
Level 1 security (See Note 4). |
| (3) |
Level 3 security (See Note 4). |
The following abbreviations are
used in portfolio descriptions:
CDI - CHESS Depository Interest
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
|
|
|
|
|
|
|
|
|
| SECTOR |
|
VALUE |
|
|
% OF NET
ASSETS |
|
| Consumer Discretionary |
|
$ |
31,180,135 |
|
|
|
10.8 |
% |
| Consumer Staples |
|
|
21,286,610 |
|
|
|
7.4 |
|
| Energy |
|
|
18,873,777 |
|
|
|
6.5 |
|
| Financials |
|
|
55,460,787 |
|
|
|
19.1 |
|
| Health Care |
|
|
40,009,796 |
|
|
|
13.8 |
|
| Industrials |
|
|
28,913,778 |
|
|
|
10.0 |
|
| Information Technology |
|
|
38,205,894 |
|
|
|
13.2 |
|
| Materials |
|
|
10,857,274 |
|
|
|
3.7 |
|
| Telecommunication Services |
|
|
11,410,318 |
|
|
|
3.9 |
|
| Utilities |
|
|
6,877,063 |
|
|
|
2.4 |
|
| Money Market Funds |
|
|
21,070,408 |
|
|
|
7.3 |
|
|
|
|
|
|
|
|
|
|
| Total Investments |
|
|
284,145,840 |
|
|
|
98.1 |
|
| Other Assets in Excess of Liabilities (e) |
|
|
5,393,634 |
|
|
|
1.9 |
|
|
|
|
|
|
|
|
|
|
| Net Assets |
|
$ |
289,539,474 |
|
|
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
Total return swap contract outstanding as of
March 31, 2014:
Over the Counter
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COUNTERPARTY |
|
UNDERLYING REFERENCE
INSTRUMENT |
|
TERMINATION
DATE |
|
CURRENCY |
|
NOTIONAL
VALUE |
|
|
UNREALIZED
DEPRECIATION |
|
| Goldman Sachs |
|
Swiss Market Index Futures |
|
6/20/2014 |
|
CHF |
|
|
(15,659,817) |
|
|
|
$(475,650) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Money Market Fund is pledged as collateral to Goldman Sachs for total return swap contract in the amount of $300,000 at
March 31, 2014.
Open futures contracts outstanding at March 31, 2014:
Exchange Traded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
CONTRACTS |
|
|
COUNTERPARTY |
|
DESCRIPTION |
|
EXPIRATION DATE |
|
VALUE AT
TRADE DATE |
|
|
VALUE AT
MARCH 31,
2014 |
|
|
UNREALIZED
APPRECIATION
(DEPRECIATION) |
|
| |
Long Contracts: |
|
|
|
|
|
|
|
|
|
| |
40 |
|
|
Barclays Capital |
|
Amsterdam Index Futures |
|
April 17, 2014 |
|
|
$4,289,269 |
|
|
|
$4,447,054 |
|
|
|
$157,785 |
|
| |
71 |
|
|
Barclays Capital |
|
CAC40 Index Futures |
|
April 17, 2014 |
|
|
4,219,773 |
|
|
|
4,294,976 |
|
|
|
75,203 |
|
| |
22 |
|
|
Barclays Capital |
|
DAX Index Futures |
|
June 20, 2014 |
|
|
6,997,208 |
|
|
|
7,263,763 |
|
|
|
266,555 |
|
| |
57 |
|
|
Barclays Capital |
|
FTSE 100 Index Futures |
|
June 20, 2014 |
|
|
6,198,977 |
|
|
|
6,218,128 |
|
|
|
19,151 |
|
| |
10 |
|
|
Barclays Capital |
|
FTSE/MIB Index Futures |
|
June 20, 2014 |
|
|
1,420,911 |
|
|
|
1,474,086 |
|
|
|
53,175 |
|
| |
78 |
|
|
Barclays Capital |
|
Hang Seng Index Futures |
|
April 29, 2014 |
|
|
10,977,946 |
|
|
|
11,132,083 |
|
|
|
154,137 |
|
| |
4 |
|
|
Barclays Capital |
|
IBEX 35 Index Futures |
|
April 17, 2014 |
|
|
549,970 |
|
|
|
568,364 |
|
|
|
18,394 |
|
| |
3 |
|
|
Barclays Capital |
|
MSCI Singapore Index Futures |
|
April 29, 2014 |
|
|
167,376 |
|
|
|
170,475 |
|
|
|
3,099 |
|
| |
139 |
|
|
Barclays Capital |
|
S&P 500 E-Mini Futures |
|
June 20, 2014 |
|
|
12,806,284 |
|
|
|
12,958,970 |
|
|
|
152,686 |
|
| |
87 |
|
|
Barclays Capital |
|
TOPIX Index Futures |
|
June 12, 2014 |
|
|
10,219,835 |
|
|
|
10,140,096 |
|
|
|
(79,739) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
57,847,549 |
|
|
|
58,667,995 |
|
|
|
820,446 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 8 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
CONTRACTS |
|
|
COUNTERPARTY |
|
DESCRIPTION |
|
EXPIRATION DATE |
|
VALUE AT
TRADE DATE |
|
|
VALUE AT
MARCH 31,
2014 |
|
|
UNREALIZED
APPRECIATION
(DEPRECIATION) |
|
| |
Short Contracts: |
|
|
|
|
|
|
|
|
|
| |
166 |
|
|
Barclays Capital |
|
OMXS30 Index Futures S&P/Toronto
Stock |
|
April 18, 2014 |
|
|
$(3,395,177) |
|
|
|
$(3,466,295) |
|
|
|
$(71,118) |
|
| |
25 |
|
|
Barclays Capital |
|
Exchange 60 Index Futures |
|
June 19, 2014 |
|
|
(3,675,946) |
|
|
|
(3,699,684) |
|
|
|
(23,738) |
|
| |
106 |
|
|
Barclays Capital |
|
SPI 200 Index Futures |
|
June 19, 2014 |
|
|
(13,134,583) |
|
|
|
(13,253,890) |
|
|
|
(119,307) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(20,205,706) |
|
|
|
(20,419,869) |
|
|
|
(214,163) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$37,641,843 |
|
|
|
$38,248,126 |
|
|
|
$606,283 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash held as collateral at Barclays Capital for futures contracts was $3,622,934 at March 31, 2014.
Forward foreign currency exchange contracts outstanding as of March 31, 2014:
Over the Counter
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PURCHASE
CONTRACTS |
|
COUNTERPARTY |
|
CURRENCY |
|
CURRENCY
AMOUNT
PURCHASED |
|
|
VALUE AT
SETTLEMENT
DATE |
|
|
VALUE AT
MARCH 31,
2014 |
|
|
UNREALIZED
APPRECIATION
(DEPRECIATION) |
|
Australian Dollar,
Expiring 06/18/14 |
|
Credit Suisse International |
|
AUD |
|
|
3,628,500 |
|
|
|
$3,299,979 |
|
|
|
$3,347,207 |
|
|
|
$47,228 |
|
Australian Dollar,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
AUD |
|
|
4,927,500 |
|
|
|
4,461,188 |
|
|
|
4,545,504 |
|
|
|
84,316 |
|
Canadian Dollar,
Expiring 06/18/14 |
|
Credit Suisse International |
|
CAD |
|
|
2,744,000 |
|
|
|
2,470,760 |
|
|
|
2,477,547 |
|
|
|
6,787 |
|
Canadian Dollar,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
CAD |
|
|
4,436,000 |
|
|
|
3,990,047 |
|
|
|
4,005,249 |
|
|
|
15,202 |
|
Swiss Franc,
Expiring 06/18/14 |
|
Credit Suisse International |
|
CHF |
|
|
859,000 |
|
|
|
982,862 |
|
|
|
972,272 |
|
|
|
(10,590) |
|
Swiss Franc,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
CHF |
|
|
859,000 |
|
|
|
982,866 |
|
|
|
972,272 |
|
|
|
(10,594) |
|
Danish Krone,
Expiring 06/18/14 |
|
Credit Suisse International |
|
DKK |
|
|
2,868,500 |
|
|
|
536,329 |
|
|
|
529,579 |
|
|
|
(6,750) |
|
Danish Krone,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
DKK |
|
|
2,868,500 |
|
|
|
536,327 |
|
|
|
529,579 |
|
|
|
(6,748) |
|
Euro,
Expiring 06/18/14 |
|
Credit Suisse International |
|
EUR |
|
|
12,168,000 |
|
|
|
16,807,806 |
|
|
|
16,761,309 |
|
|
|
(46,497) |
|
Euro,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
EUR |
|
|
12,174,000 |
|
|
|
16,816,145 |
|
|
|
16,769,574 |
|
|
|
(46,571) |
|
Hong Kong Dollar,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
HKD |
|
|
3,442,000 |
|
|
|
443,305 |
|
|
|
443,882 |
|
|
|
577 |
|
Israeli Shekel,
Expiring 06/18/14 |
|
Credit Suisse International |
|
ILS |
|
|
1,049,500 |
|
|
|
301,872 |
|
|
|
300,744 |
|
|
|
(1,128) |
|
Israeli Shekel,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
ILS |
|
|
1,049,499 |
|
|
|
301,870 |
|
|
|
300,744 |
|
|
|
(1,126) |
|
Japanese Yen,
Expiring 06/18/14 |
|
Credit Suisse International |
|
JPY |
|
|
1,244,748,000 |
|
|
|
12,169,337 |
|
|
|
12,064,707 |
|
|
|
(104,630) |
|
Japanese Yen,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
JPY |
|
|
1,244,748,000 |
|
|
|
12,169,382 |
|
|
|
12,064,707 |
|
|
|
(104,675) |
|
Norwegian Krone,
Expiring 06/18/14 |
|
Credit Suisse International |
|
NOK |
|
|
27,248,001 |
|
|
|
4,550,149 |
|
|
|
4,536,892 |
|
|
|
(13,257) |
|
Norwegian Krone,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
NOK |
|
|
27,248,000 |
|
|
|
4,550,130 |
|
|
|
4,536,892 |
|
|
|
(13,238) |
|
New Zealand Dollar,
Expiring 06/18/14 |
|
Credit Suisse International |
|
NZD |
|
|
17,428,501 |
|
|
|
14,602,262 |
|
|
|
15,029,646 |
|
|
|
427,384 |
|
New Zealand Dollar,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
NZD |
|
|
17,428,500 |
|
|
|
14,601,997 |
|
|
|
15,029,646 |
|
|
|
427,649 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
9 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PURCHASE
CONTRACTS |
|
COUNTERPARTY |
|
CURRENCY |
|
CURRENCY
AMOUNT
PURCHASED |
|
|
VALUE AT
SETTLEMENT
DATE |
|
|
VALUE AT
MARCH 31,
2014 |
|
|
UNREALIZED
APPRECIATION
(DEPRECIATION) |
|
Swedish Krona,
Expiring 06/18/14 |
|
Credit Suisse International |
|
SEK |
|
|
33,925,500 |
|
|
|
$5,320,167 |
|
|
|
$5,235,227 |
|
|
|
$(84,940) |
|
Swedish Krona,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
SEK |
|
|
33,925,500 |
|
|
|
5,320,181 |
|
|
|
5,235,227 |
|
|
|
(84,954) |
|
Singapore Dollar,
Expiring 06/18/14 |
|
Credit Suisse International |
|
SGD |
|
|
7,000 |
|
|
|
5,510 |
|
|
|
5,565 |
|
|
|
55 |
|
Singapore Dollar,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
SGD |
|
|
311,000 |
|
|
|
245,561 |
|
|
|
247,248 |
|
|
|
1,687 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$125,466,032 |
|
|
|
$125,941,219 |
|
|
|
$475,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SALES CONTRACTS |
|
COUNTERPARTY |
|
CURRENCY |
|
CURRENCY AMOUNT SOLD |
|
|
VALUE AT
SETTLEMENT
DATE |
|
|
VALUE AT
MARCH 31,
2014 |
|
|
UNREALIZED
APPRECIATION
(DEPRECIATION) |
|
Australian Dollar,
Expiring 06/18/14 |
|
Credit Suisse International |
|
AUD |
|
|
(6,249,000) |
|
|
|
$(5,597,973) |
|
|
|
$(5,764,558) |
|
|
|
$(166,585) |
|
Australian Dollar,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
AUD |
|
|
(6,249,000) |
|
|
|
(5,597,990) |
|
|
|
(5,764,558) |
|
|
|
(166,568) |
|
Canadian Dollar,
Expiring 06/18/14 |
|
Credit Suisse International |
|
CAD |
|
|
(2,944,501) |
|
|
|
(2,656,628) |
|
|
|
(2,658,578) |
|
|
|
(1,950) |
|
Canadian Dollar,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
CAD |
|
|
(2,955,501) |
|
|
|
(2,666,559) |
|
|
|
(2,668,510) |
|
|
|
(1,951) |
|
Swiss Franc,
Expiring 06/18/14 |
|
Credit Suisse International |
|
CHF |
|
|
(4,714,500) |
|
|
|
(5,362,224) |
|
|
|
(5,336,178) |
|
|
|
26,046 |
|
Swiss Franc,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
CHF |
|
|
(4,714,500) |
|
|
|
(5,362,282) |
|
|
|
(5,336,178) |
|
|
|
26,104 |
|
Danish Krone,
Expiring 06/18/14 |
|
Credit Suisse International |
|
DKK |
|
|
(176,000) |
|
|
|
(32,658) |
|
|
|
(32,493) |
|
|
|
165 |
|
Danish Krone,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
DKK |
|
|
(176,000) |
|
|
|
(32,659) |
|
|
|
(32,493) |
|
|
|
166 |
|
Euro,
Expiring 06/18/14 |
|
Credit Suisse International |
|
EUR |
|
|
(270,500) |
|
|
|
(372,162) |
|
|
|
(372,611) |
|
|
|
(449) |
|
Euro,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
EUR |
|
|
(270,500) |
|
|
|
(372,160) |
|
|
|
(372,611) |
|
|
|
(451) |
|
British Pound,
Expiring 06/18/14 |
|
Credit Suisse International |
|
GBP |
|
|
(11,175,502) |
|
|
|
(18,604,146) |
|
|
|
(18,620,339) |
|
|
|
(16,193) |
|
British Pound,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
GBP |
|
|
(11,175,501) |
|
|
|
(18,604,080) |
|
|
|
(18,620,337) |
|
|
|
(16,257) |
|
Hong Kong Dollar,
Expiring 06/18/14 |
|
Credit Suisse International |
|
HKD |
|
|
(598,000) |
|
|
|
(77,072) |
|
|
|
(77,118) |
|
|
|
(46) |
|
Hong Kong Dollar,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
HKD |
|
|
(1,148,000) |
|
|
|
(147,979) |
|
|
|
(148,047) |
|
|
|
(68) |
|
Japanese Yen,
Expiring 06/18/14 |
|
Credit Suisse International |
|
JPY |
|
|
(512,334,500) |
|
|
|
(4,988,417) |
|
|
|
(4,965,798) |
|
|
|
22,619 |
|
Japanese Yen,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
JPY |
|
|
(512,334,500) |
|
|
|
(4,988,475) |
|
|
|
(4,965,798) |
|
|
|
22,677 |
|
Norwegian Krone,
Expiring 06/18/14 |
|
Credit Suisse International |
|
NOK |
|
|
(28,395,000) |
|
|
|
(4,727,647) |
|
|
|
(4,727,871) |
|
|
|
(224) |
|
Norwegian Krone,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
NOK |
|
|
(28,395,000) |
|
|
|
(4,727,696) |
|
|
|
(4,727,871) |
|
|
|
(175) |
|
New Zealand Dollar,
Expiring 06/18/14 |
|
Credit Suisse International |
|
NZD |
|
|
(2,052,000) |
|
|
|
(1,744,049) |
|
|
|
(1,769,563) |
|
|
|
(25,514) |
|
New Zealand Dollar,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
NZD |
|
|
(2,052,000) |
|
|
|
(1,744,022) |
|
|
|
(1,769,563) |
|
|
|
(25,541) |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 10 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SALES CONTRACTS |
|
COUNTERPARTY |
|
CURRENCY |
|
CURRENCY AMOUNT SOLD |
|
|
VALUE AT
SETTLEMENT
DATE |
|
|
VALUE AT
MARCH 31,
2014 |
|
|
UNREALIZED
APPRECIATION
(DEPRECIATION) |
|
Swedish Krona,
Expiring 06/18/14 |
|
Credit Suisse International |
|
SEK |
|
|
(47,006,001) |
|
|
|
$(7,309,614) |
|
|
|
$(7,253,751) |
|
|
|
$55,863 |
|
Swedish Krona,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
SEK |
|
|
(47,006,000) |
|
|
|
(7,309,636) |
|
|
|
(7,253,751) |
|
|
|
55,885 |
|
Singapore Dollar,
Expiring 06/18/14 |
|
Credit Suisse International |
|
SGD |
|
|
(32,000) |
|
|
|
(25,271) |
|
|
|
(25,441) |
|
|
|
(170) |
|
Singapore Dollar,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
SGD |
|
|
(45,000) |
|
|
|
(35,525) |
|
|
|
(35,775) |
|
|
|
(250) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(103,086,924) |
|
|
|
(103,299,791) |
|
|
|
(212,867) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$22,379,108 |
|
|
|
$22,641,428 |
|
|
|
$262,320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Money Market Fund is pledged as collateral to The Royal Bank of Scotland and Credit Suisse International for forward foreign
currency exchange contracts in the amounts of $92 and $13, respectively, at March 31, 2014. Additional cash held as collateral for The Royal Bank of Scotland and Credit Suisse International for forward currency exchange contracts was $180,000
and $140,000, respectively, at March 31, 2014.
AUD - Australian Dollar
CAD - Canadian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
ILS - Israeli Shekel
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
USD - United States Dollar
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
11 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR INTERNATIONAL EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCKS - 87.3% |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Australia - 7.2% |
|
| Alumina Ltd. † |
|
|
882,866 |
|
|
$ |
983,208 |
|
| Asciano Ltd. |
|
|
457,566 |
|
|
|
2,213,693 |
|
| ASX Ltd. |
|
|
10,285 |
|
|
|
344,637 |
|
| Australia & New Zealand Banking Group Ltd. |
|
|
161,363 |
|
|
|
4,964,002 |
|
| Bank of Queensland Ltd. |
|
|
18,621 |
|
|
|
222,483 |
|
| Bendigo and Adelaide Bank Ltd. |
|
|
168,763 |
|
|
|
1,782,818 |
|
| BHP Billiton Ltd. |
|
|
195,934 |
|
|
|
6,641,231 |
|
| Brambles Ltd. |
|
|
88,862 |
|
|
|
764,571 |
|
| CFS Retail Property Trust Group REIT |
|
|
134,550 |
|
|
|
236,077 |
|
| Commonwealth Bank of Australia |
|
|
78,738 |
|
|
|
5,668,308 |
|
| Computershare Ltd. |
|
|
15,439 |
|
|
|
173,630 |
|
| CSL Ltd. |
|
|
15,115 |
|
|
|
976,303 |
|
| Dexus Property Group REIT |
|
|
283,799 |
|
|
|
279,863 |
|
| Echo Entertainment Group Ltd. |
|
|
204,137 |
|
|
|
464,667 |
|
| Federation Centres Ltd. REIT |
|
|
83,291 |
|
|
|
182,576 |
|
| Flight Centre Travel Group Ltd. |
|
|
32,116 |
|
|
|
1,566,854 |
|
| Goodman Group REIT |
|
|
110,663 |
|
|
|
486,714 |
|
| GPT Group REIT |
|
|
113,631 |
|
|
|
386,208 |
|
| GPT Group REIT (3)†(a) |
|
|
143,427 |
|
|
|
— |
|
| Incitec Pivot Ltd. |
|
|
516,966 |
|
|
|
1,421,692 |
|
| Leighton Holdings Ltd. |
|
|
7,185 |
|
|
|
140,845 |
|
| Lend Lease Group |
|
|
40,426 |
|
|
|
445,209 |
|
| Macquarie Group Ltd. |
|
|
35,494 |
|
|
|
1,913,904 |
|
| Mirvac Group REIT |
|
|
214,560 |
|
|
|
339,066 |
|
| National Australia Bank Ltd. |
|
|
157,657 |
|
|
|
5,197,970 |
|
| Newcrest Mining Ltd. † |
|
|
41,734 |
|
|
|
381,882 |
|
| Qantas Airways Ltd. † |
|
|
31,125 |
|
|
|
31,976 |
|
| QBE Insurance Group Ltd. |
|
|
135,590 |
|
|
|
1,611,343 |
|
| Rio Tinto Ltd. |
|
|
15,909 |
|
|
|
938,356 |
|
| Sonic Healthcare Ltd. |
|
|
54,986 |
|
|
|
880,934 |
|
| Stockland REIT |
|
|
127,919 |
|
|
|
445,601 |
|
| Suncorp Group Ltd. |
|
|
100,385 |
|
|
|
1,201,348 |
|
| Tatts Group Ltd. |
|
|
441,360 |
|
|
|
1,188,448 |
|
| Telstra Corp. Ltd. |
|
|
790,166 |
|
|
|
3,725,981 |
|
| Wesfarmers Ltd. |
|
|
41,232 |
|
|
|
1,579,825 |
|
| Westfield Group REIT |
|
|
118,519 |
|
|
|
1,128,922 |
|
| Westfield Retail Trust REIT |
|
|
194,481 |
|
|
|
538,443 |
|
| Westpac Banking Corp. |
|
|
124,532 |
|
|
|
4,004,033 |
|
| Woodside Petroleum Ltd. |
|
|
47,719 |
|
|
|
1,727,877 |
|
| Woolworths Ltd. |
|
|
99,879 |
|
|
|
3,312,180 |
|
| WorleyParsons Ltd. |
|
|
58,962 |
|
|
|
830,395 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
61,324,073 |
|
|
|
|
|
|
|
|
|
|
| Belgium - 0.8% |
|
| Ageas |
|
|
88,622 |
|
|
|
3,951,597 |
|
| Colruyt SA |
|
|
14,067 |
|
|
|
775,441 |
|
| Delhaize Group SA |
|
|
24,604 |
|
|
|
1,799,343 |
|
| Groupe Bruxelles Lambert SA |
|
|
2,641 |
|
|
|
263,837 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,790,218 |
|
|
|
|
|
|
|
|
|
|
| China - 0.0% (b) |
|
| FIH Mobile Ltd. † |
|
|
406 |
|
|
|
224 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Denmark - 0.6% |
|
|
|
|
|
|
|
|
| Coloplast A/S, Class B |
|
|
30,336 |
|
|
|
2,452,700 |
|
| TDC A/S |
|
|
278,560 |
|
|
|
2,576,505 |
|
| Tryg A/S |
|
|
4,860 |
|
|
|
480,738 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,509,943 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Finland - 1.2% |
|
| Nokia OYJ † |
|
|
215,002 |
|
|
$ |
1,581,860 |
|
| Orion OYJ, Class B |
|
|
34,844 |
|
|
|
1,051,933 |
|
| Sampo, A Shares |
|
|
116,487 |
|
|
|
6,046,808 |
|
| Wartsila OYJ |
|
|
24,177 |
|
|
|
1,314,177 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,994,778 |
|
|
|
|
|
|
|
|
|
|
| France - 9.9% |
|
| Aeroports de Paris |
|
|
3,330 |
|
|
|
415,039 |
|
| Airbus Group NV |
|
|
60,576 |
|
|
|
4,338,514 |
|
| AXA SA |
|
|
221,327 |
|
|
|
5,749,800 |
|
| Christian Dior SA |
|
|
9,854 |
|
|
|
1,892,622 |
|
| Cie Generale des Etablissements Michelin |
|
|
68,497 |
|
|
|
8,563,146 |
|
| CNP Assurances |
|
|
94,439 |
|
|
|
2,000,226 |
|
| Danone SA |
|
|
77,750 |
|
|
|
5,492,833 |
|
| Electricite de France |
|
|
238,595 |
|
|
|
9,434,195 |
|
| GDF Suez |
|
|
76,017 |
|
|
|
2,079,445 |
|
| Iliad SA |
|
|
5,770 |
|
|
|
1,665,019 |
|
| Kering |
|
|
628 |
|
|
|
128,046 |
|
| Klepierre REIT |
|
|
3,675 |
|
|
|
164,403 |
|
| Lagardere SCA |
|
|
86,738 |
|
|
|
3,442,686 |
|
| Orange SA |
|
|
203,111 |
|
|
|
3,000,306 |
|
| Renault SA |
|
|
39,197 |
|
|
|
3,807,358 |
|
| Safran SA |
|
|
33,233 |
|
|
|
2,302,368 |
|
| Sanofi |
|
|
95,921 |
|
|
|
10,023,664 |
|
| Schneider Electric SA |
|
|
3,734 |
|
|
|
331,773 |
|
| Societe BIC SA |
|
|
16,433 |
|
|
|
2,158,584 |
|
| Societe Generale SA |
|
|
139,135 |
|
|
|
8,564,536 |
|
| Thales SA |
|
|
54,486 |
|
|
|
3,612,967 |
|
| Total SA |
|
|
59,037 |
|
|
|
3,886,087 |
|
| Vivendi SA |
|
|
50,534 |
|
|
|
1,406,505 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
84,460,122 |
|
|
|
|
|
|
|
|
|
|
| Germany - 8.1% |
|
| Adidas AG |
|
|
54,409 |
|
|
|
5,883,207 |
|
| Bayer AG |
|
|
60,417 |
|
|
|
8,181,897 |
|
| Celesio AG |
|
|
84,186 |
|
|
|
2,877,664 |
|
| Continental AG |
|
|
25,976 |
|
|
|
6,229,499 |
|
| Deutsche Boerse AG |
|
|
12,335 |
|
|
|
982,033 |
|
| Deutsche Lufthansa AG † |
|
|
286,525 |
|
|
|
7,512,536 |
|
| Deutsche Post AG |
|
|
165,919 |
|
|
|
6,168,449 |
|
| Deutsche Telekom AG |
|
|
97,869 |
|
|
|
1,587,981 |
|
| HeidelbergCement AG |
|
|
1,109 |
|
|
|
95,054 |
|
| Merck KGaA |
|
|
55,080 |
|
|
|
9,275,818 |
|
| Metro AG |
|
|
118,202 |
|
|
|
4,821,619 |
|
| Muenchener Rueckversicherungs AG |
|
|
34,561 |
|
|
|
7,552,173 |
|
| OSRAM Licht AG † |
|
|
45,383 |
|
|
|
2,942,712 |
|
| United Internet AG |
|
|
107,891 |
|
|
|
5,060,828 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
69,171,470 |
|
|
|
|
|
|
|
|
|
|
| Hong Kong - 2.5% |
|
| AIA Group Ltd. |
|
|
653,800 |
|
|
|
3,109,571 |
|
| ASM Pacific Technology Ltd. |
|
|
14,204 |
|
|
|
137,983 |
|
| BOC Hong Kong Holdings Ltd. |
|
|
53 |
|
|
|
151 |
|
| Cathay Pacific Airways Ltd. |
|
|
155,000 |
|
|
|
289,507 |
|
| Cheung Kong Holdings Ltd. |
|
|
112,278 |
|
|
|
1,866,924 |
|
| Cheung Kong Infrastructure Holdings Ltd. |
|
|
37,827 |
|
|
|
241,917 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 12 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR INTERNATIONAL EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Hong Kong - 2.5% (continued) |
|
| CLP Holdings Ltd. |
|
|
85,509 |
|
|
$ |
645,314 |
|
| First Pacific Co., Ltd. |
|
|
144,000 |
|
|
|
143,529 |
|
| Galaxy Entertainment Group Ltd. † |
|
|
139,000 |
|
|
|
1,213,214 |
|
| Hang Lung Group Ltd. |
|
|
276 |
|
|
|
1,391 |
|
| Hang Seng Bank Ltd. |
|
|
40,135 |
|
|
|
640,270 |
|
| Henderson Land Development Co., Ltd. |
|
|
80,900 |
|
|
|
473,419 |
|
| HKT Trust and HKT Ltd. |
|
|
386,694 |
|
|
|
408,982 |
|
| Hong Kong & China Gas Co., Ltd. |
|
|
260 |
|
|
|
568 |
|
| Hong Kong Exchanges and Clearing Ltd. |
|
|
66,154 |
|
|
|
1,004,679 |
|
| Hopewell Holdings Ltd. |
|
|
34,500 |
|
|
|
118,714 |
|
| Hutchison Whampoa Ltd. |
|
|
58,832 |
|
|
|
780,808 |
|
| Hysan Development Co., Ltd. |
|
|
186,000 |
|
|
|
811,650 |
|
| Kerry Properties Ltd. |
|
|
195,500 |
|
|
|
651,973 |
|
| Li & Fung Ltd. |
|
|
1,336 |
|
|
|
1,980 |
|
| Link REIT/The REIT |
|
|
139,382 |
|
|
|
687,308 |
|
| MGM China Holdings Ltd. |
|
|
280,800 |
|
|
|
992,079 |
|
| Mongolia Energy Corp. Ltd. † |
|
|
406 |
|
|
|
11 |
|
| New World Development Co., Ltd. |
|
|
221,896 |
|
|
|
223,843 |
|
| NWS Holdings Ltd. |
|
|
86,000 |
|
|
|
145,136 |
|
| PCCW Ltd. |
|
|
131,000 |
|
|
|
65,807 |
|
| Power Assets Holdings Ltd. |
|
|
69,500 |
|
|
|
603,231 |
|
| Sands China Ltd. |
|
|
144,000 |
|
|
|
1,079,991 |
|
| Shanghai Industrial Urban Development Group Ltd. † |
|
|
8 |
|
|
|
2 |
|
| SJM Holdings Ltd. |
|
|
395,000 |
|
|
|
1,112,808 |
|
| Sun Hung Kai Properties Ltd. |
|
|
59,046 |
|
|
|
725,048 |
|
| Swire Pacific Ltd., Class A |
|
|
41,030 |
|
|
|
479,233 |
|
| Swire Properties Ltd. |
|
|
71 |
|
|
|
203 |
|
| Television Broadcasts Ltd. |
|
|
3 |
|
|
|
18 |
|
| Wharf Holdings Ltd. |
|
|
222,243 |
|
|
|
1,425,396 |
|
| Wheelock & Co., Ltd. |
|
|
132,621 |
|
|
|
519,761 |
|
| Yue Yuen Industrial Holdings Ltd. |
|
|
194,109 |
|
|
|
632,523 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,234,942 |
|
|
|
|
|
|
|
|
|
|
| Ireland - 0.0% (b) |
|
| James Hardie Industries PLC CDI |
|
|
14,191 |
|
|
|
189,564 |
|
|
|
|
|
|
|
|
|
|
|
| Italy - 2.4% |
|
| Fiat SpA † |
|
|
352,761 |
|
|
|
4,112,584 |
|
| Prysmian SpA |
|
|
329,300 |
|
|
|
8,194,745 |
|
| Unione di Banche Italiane SCpA |
|
|
866,539 |
|
|
|
8,175,645 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
20,482,974 |
|
|
|
|
|
|
|
|
|
|
| Japan - 17.6% |
|
| Alfresa Holdings Corp. |
|
|
31,300 |
|
|
|
2,041,068 |
|
| Asahi Glass Co., Ltd. |
|
|
413 |
|
|
|
2,390 |
|
| Asahi Kasei Corp. |
|
|
297,000 |
|
|
|
2,013,838 |
|
| Astellas Pharma, Inc. |
|
|
206,500 |
|
|
|
2,451,686 |
|
| Azbil Corp. |
|
|
37 |
|
|
|
915 |
|
| Bridgestone Corp. |
|
|
45,700 |
|
|
|
1,619,639 |
|
| Brother Industries Ltd. |
|
|
29,600 |
|
|
|
413,874 |
|
| Canon, Inc. |
|
|
15 |
|
|
|
465 |
|
| Casio Computer Co., Ltd. |
|
|
136,800 |
|
|
|
1,617,519 |
|
| Central Japan Railway Co. |
|
|
28,500 |
|
|
|
3,329,113 |
|
| Chubu Electric Power Co., Inc. † |
|
|
97 |
|
|
|
1,141 |
|
| Chugai Pharmaceutical Co., Ltd. |
|
|
2,000 |
|
|
|
51,085 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Japan - 17.6% (continued) |
|
| Credit Saison Co., Ltd. |
|
|
12 |
|
|
$ |
239 |
|
| Dai Nippon Printing Co., Ltd. |
|
|
107,000 |
|
|
|
1,023,241 |
|
| Daito Trust Construction Co., Ltd. |
|
|
5,187 |
|
|
|
480,461 |
|
| Daiwa House Industry Co., Ltd. |
|
|
17,295 |
|
|
|
293,638 |
|
| Daiwa Securities Group, Inc. |
|
|
87,000 |
|
|
|
755,878 |
|
| Denso Corp. |
|
|
11,400 |
|
|
|
546,702 |
|
| East Japan Railway Co. |
|
|
27,213 |
|
|
|
2,004,443 |
|
| FANUC Corp. |
|
|
8,200 |
|
|
|
1,449,695 |
|
| Fuji Electric Co., Ltd. |
|
|
406,000 |
|
|
|
1,815,106 |
|
| Fuji Heavy Industries Ltd. |
|
|
131,221 |
|
|
|
3,553,448 |
|
| FUJIFILM Holdings Corp. |
|
|
114,143 |
|
|
|
3,063,820 |
|
| Fujitsu Ltd. |
|
|
270,000 |
|
|
|
1,632,022 |
|
| Fukuoka Financial Group, Inc. |
|
|
125,046 |
|
|
|
513,640 |
|
| GungHo Online Entertainment, Inc. |
|
|
27,100 |
|
|
|
147,315 |
|
| Hakuhodo DY Holdings, Inc. |
|
|
57,600 |
|
|
|
401,163 |
|
| Hankyu Hanshin Holdings, Inc. |
|
|
67,000 |
|
|
|
364,487 |
|
| Hino Motors Ltd. |
|
|
177,000 |
|
|
|
2,621,406 |
|
| Honda Motor Co., Ltd. |
|
|
18,697 |
|
|
|
657,885 |
|
| Hoya Corp. |
|
|
45,500 |
|
|
|
1,423,286 |
|
| Hulic Co., Ltd. |
|
|
16,200 |
|
|
|
222,376 |
|
| Isuzu Motors Ltd. |
|
|
189,000 |
|
|
|
1,085,192 |
|
| ITOCHU Corp. |
|
|
38,144 |
|
|
|
446,301 |
|
| J Front Retailing Co., Ltd. |
|
|
194,000 |
|
|
|
1,335,083 |
|
| Japan Airlines Co., Ltd. |
|
|
48,500 |
|
|
|
2,386,908 |
|
| Japan Real Estate Investment Corp. REIT |
|
|
84 |
|
|
|
422,701 |
|
| Japan Retail Fund Investment Corp. REIT |
|
|
149 |
|
|
|
293,643 |
|
| Japan Tobacco, Inc. |
|
|
14,100 |
|
|
|
442,563 |
|
| JGC Corp. |
|
|
87,000 |
|
|
|
3,022,328 |
|
| JTEKT Corp. |
|
|
70 |
|
|
|
1,039 |
|
| JX Holdings, Inc. |
|
|
95 |
|
|
|
458 |
|
| Kaneka Corp. |
|
|
625 |
|
|
|
3,782 |
|
| Kansai Electric Power Co., Inc./The † |
|
|
69,432 |
|
|
|
711,708 |
|
| Kao Corp. |
|
|
85 |
|
|
|
3,010 |
|
| KDDI Corp. |
|
|
60,200 |
|
|
|
3,495,513 |
|
| Keyence Corp. |
|
|
4,000 |
|
|
|
1,647,866 |
|
| Kinden Corp. |
|
|
64,564 |
|
|
|
624,690 |
|
| Koito Manufacturing Co., Ltd. |
|
|
69,000 |
|
|
|
1,170,121 |
|
| Komatsu Ltd. |
|
|
38 |
|
|
|
797 |
|
| Konica Minolta, Inc. |
|
|
266,000 |
|
|
|
2,488,599 |
|
| Mabuchi Motor Co., Ltd. |
|
|
5,700 |
|
|
|
373,720 |
|
| Marubeni Corp. |
|
|
56,974 |
|
|
|
382,475 |
|
| Medipal Holdings Corp. |
|
|
140,900 |
|
|
|
2,157,556 |
|
| MEIJI Holdings Co., Ltd. |
|
|
17,000 |
|
|
|
1,071,595 |
|
| Miraca Holdings, Inc. |
|
|
6 |
|
|
|
263 |
|
| Mitsubishi Electric Corp. |
|
|
340,000 |
|
|
|
3,827,311 |
|
| Mitsubishi Estate Co., Ltd. |
|
|
77,020 |
|
|
|
1,828,891 |
|
| Mitsubishi Heavy Industries, Ltd. |
|
|
136,000 |
|
|
|
786,947 |
|
| Mitsubishi Motors Corp. |
|
|
85,500 |
|
|
|
892,952 |
|
| Mitsubishi UFJ Financial Group, Inc. |
|
|
1,175,091 |
|
|
|
6,470,974 |
|
| Mitsui & Co., Ltd. |
|
|
43 |
|
|
|
608 |
|
| Mitsui Fudosan Co., Ltd. |
|
|
59,205 |
|
|
|
1,806,239 |
|
| Mitsumi Electric Co., Ltd. |
|
|
89 |
|
|
|
645 |
|
| Mizuho Financial Group, Inc. |
|
|
539,610 |
|
|
|
1,069,428 |
|
| MS&AD Insurance Group Holdings |
|
|
55,700 |
|
|
|
1,275,041 |
|
| Namco Bandai Holdings, Inc. |
|
|
126,600 |
|
|
|
3,002,919 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
13 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR INTERNATIONAL EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Japan - 17.6% (continued) |
|
| NEC Corp. |
|
|
952,000 |
|
|
$ |
2,924,206 |
|
| Nexon Co., Ltd. |
|
|
111,400 |
|
|
|
935,553 |
|
| NHK Spring Co., Ltd. |
|
|
44,800 |
|
|
|
416,621 |
|
| Nintendo Co., Ltd. |
|
|
5,600 |
|
|
|
669,422 |
|
| Nippon Building Fund, Inc. REIT |
|
|
84 |
|
|
|
439,555 |
|
| Nippon Steel & Sumitomo Metal Corp. |
|
|
405 |
|
|
|
1,105 |
|
| Nippon Telegraph & Telephone Corp. |
|
|
19,019 |
|
|
|
1,033,523 |
|
| Nippon Yusen KK |
|
|
84,000 |
|
|
|
243,963 |
|
| Nishi-Nippon City Bank Ltd./The |
|
|
737 |
|
|
|
1,657 |
|
| Nisshin Seifun Group, Inc. |
|
|
92 |
|
|
|
1,010 |
|
| Nitto Denko Corp. |
|
|
83 |
|
|
|
3,980 |
|
| NKSJ Holdings, Inc. |
|
|
8,700 |
|
|
|
223,367 |
|
| Nomura Holdings, Inc. |
|
|
191,200 |
|
|
|
1,226,525 |
|
| Nomura Real Estate Holdings, Inc. |
|
|
8,000 |
|
|
|
153,179 |
|
| NTT DOCOMO, Inc. |
|
|
19,000 |
|
|
|
299,392 |
|
| Omron Corp. |
|
|
56,700 |
|
|
|
2,346,060 |
|
| ORIX Corp. |
|
|
76,990 |
|
|
|
1,085,096 |
|
| Osaka Gas Co., Ltd. |
|
|
389,802 |
|
|
|
1,473,251 |
|
| Otsuka Holdings Co., Ltd. |
|
|
57,600 |
|
|
|
1,723,119 |
|
| Panasonic Corp. |
|
|
339,600 |
|
|
|
3,862,302 |
|
| Rengo Co., Ltd. |
|
|
299 |
|
|
|
1,602 |
|
| Resona Holdings, Inc. |
|
|
591,200 |
|
|
|
2,856,993 |
|
| Sankyo Co., Ltd. |
|
|
17,300 |
|
|
|
728,093 |
|
| Sega Sammy Holdings, Inc. |
|
|
9,900 |
|
|
|
222,243 |
|
| Seino Holdings Co., Ltd. |
|
|
837 |
|
|
|
7,986 |
|
| Sekisui Chemical Co., Ltd. |
|
|
144,000 |
|
|
|
1,495,619 |
|
| Sekisui House Ltd. |
|
|
32,000 |
|
|
|
395,779 |
|
| Seven & I Holdings Co., Ltd. |
|
|
54,239 |
|
|
|
2,066,749 |
|
| Sharp Corp. † |
|
|
245 |
|
|
|
746 |
|
| Shimamura Co., Ltd. |
|
|
10,400 |
|
|
|
899,954 |
|
| Shionogi & Co., Ltd. |
|
|
143,500 |
|
|
|
2,652,885 |
|
| SoftBank Corp. |
|
|
40,300 |
|
|
|
3,045,401 |
|
| Sojitz Corp. |
|
|
62 |
|
|
|
106 |
|
| Sony Corp. |
|
|
71 |
|
|
|
1,352 |
|
| Sumitomo Electric Industries Ltd. |
|
|
56,000 |
|
|
|
836,012 |
|
| Sumitomo Heavy Industries Ltd. |
|
|
161,000 |
|
|
|
654,823 |
|
| Sumitomo Mitsui Financial Group, Inc. |
|
|
123,036 |
|
|
|
5,273,806 |
|
| Sumitomo Mitsui Trust Holdings, Inc. |
|
|
123,341 |
|
|
|
558,062 |
|
| Sumitomo Realty & Development Co., Ltd. |
|
|
24,261 |
|
|
|
949,547 |
|
| Suzuken Co., Ltd. |
|
|
36,300 |
|
|
|
1,404,216 |
|
| Suzuki Motor Corp. |
|
|
64,300 |
|
|
|
1,676,469 |
|
| Takashimaya Co., Ltd. |
|
|
271,000 |
|
|
|
2,536,566 |
|
| Takeda Pharmaceutical Co., Ltd. |
|
|
81 |
|
|
|
3,834 |
|
| THK Co., Ltd. |
|
|
53,600 |
|
|
|
1,201,570 |
|
| Toho Co., Ltd. |
|
|
51,900 |
|
|
|
1,040,223 |
|
| Tokai Rika Co., Ltd. |
|
|
99 |
|
|
|
1,664 |
|
| Tokyo Electric Power Co., Inc. † |
|
|
672,573 |
|
|
|
2,706,034 |
|
| Tokyo Electron Ltd. |
|
|
10,100 |
|
|
|
627,721 |
|
| Tokyo Gas Co., Ltd. |
|
|
252,071 |
|
|
|
1,278,164 |
|
| Tokyu Corp. |
|
|
158,000 |
|
|
|
965,533 |
|
| Tokyu Fudosan Holdings Corp. |
|
|
26,483 |
|
|
|
197,482 |
|
| TOTO Ltd. |
|
|
143,000 |
|
|
|
1,982,240 |
|
| Toyo Seikan Group Holdings Ltd. |
|
|
123,000 |
|
|
|
1,996,123 |
|
| Toyota Boshoku Corp. |
|
|
16,400 |
|
|
|
165,837 |
|
| Toyota Motor Corp. |
|
|
125,678 |
|
|
|
7,087,466 |
|
| USS Co., Ltd. |
|
|
3,040 |
|
|
|
42,706 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Japan - 17.6% (continued) |
|
| West Japan Railway Co. |
|
|
28,400 |
|
|
$ |
1,159,184 |
|
| Yahoo Japan Corp. |
|
|
200,500 |
|
|
|
982,237 |
|
| Yamaha Corp. |
|
|
37,200 |
|
|
|
478,458 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
150,287,221 |
|
|
|
|
|
|
|
|
|
|
| Netherlands - 3.3% |
|
| Akzo Nobel NV |
|
|
23,534 |
|
|
|
1,919,443 |
|
| ING Groep NV CVA † |
|
|
247,726 |
|
|
|
3,523,082 |
|
| Koninklijke Ahold NV |
|
|
336,601 |
|
|
|
6,760,201 |
|
| Koninklijke Philips NV |
|
|
288,471 |
|
|
|
10,148,167 |
|
| Randstad Holding NV |
|
|
44,193 |
|
|
|
2,586,558 |
|
| Reed Elsevier NV |
|
|
167,655 |
|
|
|
3,627,477 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,564,928 |
|
|
|
|
|
|
|
|
|
|
| Singapore - 1.3% |
|
| Ascendas Real Estate Investment Trust REIT |
|
|
123,637 |
|
|
|
222,546 |
|
| CapitaCommercial Trust REIT |
|
|
120,000 |
|
|
|
142,064 |
|
| CapitaMall Trust REIT |
|
|
145,994 |
|
|
|
219,667 |
|
| ComfortDelGro Corp. Ltd. |
|
|
563,000 |
|
|
|
890,559 |
|
| DBS Group Holdings Ltd. |
|
|
150,128 |
|
|
|
1,934,255 |
|
| Global Logistic Properties Ltd. |
|
|
231,000 |
|
|
|
487,511 |
|
| Jardine Cycle & Carriage Ltd. |
|
|
66 |
|
|
|
2,382 |
|
| Keppel Corp. Ltd. |
|
|
87,728 |
|
|
|
761,097 |
|
| Keppel Land Ltd. |
|
|
19,000 |
|
|
|
50,862 |
|
| Keppel REIT |
|
|
803 |
|
|
|
729 |
|
| Olam International Ltd. |
|
|
190,000 |
|
|
|
336,443 |
|
| Oversea-Chinese Banking Corp. Ltd. |
|
|
83,479 |
|
|
|
631,120 |
|
| Sembcorp Industries Ltd. |
|
|
60,017 |
|
|
|
262,528 |
|
| Sembcorp Marine Ltd. |
|
|
51,000 |
|
|
|
164,433 |
|
| Singapore Airlines Ltd. |
|
|
61,000 |
|
|
|
508,231 |
|
| Singapore Exchange Ltd. |
|
|
52,472 |
|
|
|
289,971 |
|
| Singapore Technologies Engineering Ltd. |
|
|
93,265 |
|
|
|
283,753 |
|
| Singapore Telecommunications Ltd. |
|
|
405,524 |
|
|
|
1,178,743 |
|
| StarHub Ltd. |
|
|
988 |
|
|
|
3,306 |
|
| United Overseas Bank Ltd. |
|
|
75,097 |
|
|
|
1,295,381 |
|
| UOL Group Ltd. |
|
|
28,000 |
|
|
|
139,635 |
|
| Wilmar International Ltd. |
|
|
127,000 |
|
|
|
349,946 |
|
| Yangzijiang Shipbuilding Holdings Ltd. |
|
|
705,319 |
|
|
|
606,884 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,762,046 |
|
|
|
|
|
|
|
|
|
|
| Spain - 3.8% |
|
| ACS Actividades de Construccion y Servicios SA |
|
|
68,870 |
|
|
|
2,707,857 |
|
| Banco de Sabadell SA |
|
|
1,410,103 |
|
|
|
4,359,441 |
|
| Banco Santander SA |
|
|
652,898 |
|
|
|
6,232,670 |
|
| CaixaBank SA |
|
|
906,471 |
|
|
|
5,835,001 |
|
| Gas Natural SDG SA |
|
|
403,336 |
|
|
|
11,347,231 |
|
| Iberdrola SA |
|
|
336,550 |
|
|
|
2,354,997 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,837,197 |
|
|
|
|
|
|
|
|
|
|
| Sweden - 2.6% |
|
| Electrolux AB, Series B |
|
|
36,933 |
|
|
|
808,669 |
|
| Investor AB, B Shares |
|
|
19,364 |
|
|
|
701,414 |
|
| Nordea Bank AB |
|
|
234,797 |
|
|
|
3,330,739 |
|
| Skandinaviska Enskilda Banken AB, Class A |
|
|
111,738 |
|
|
|
1,534,977 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 14 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR INTERNATIONAL EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Sweden - 2.6% (continued) |
|
| SKF AB, B Shares |
|
|
58,997 |
|
|
$
|
1,510,619 |
|
| Svenska Cellulosa AB SCA, Class B |
|
|
344,916 |
|
|
|
10,158,172 |
|
| Swedish Match AB |
|
|
101,459 |
|
|
|
3,321,428 |
|
| Telefonaktiebolaget LM Ericsson, B Shares |
|
|
27,447 |
|
|
|
366,070 |
|
| TeliaSonera AB |
|
|
90,089 |
|
|
|
680,387 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
22,412,475 |
|
|
|
|
|
|
|
|
|
|
| Switzerland - 7.6% |
|
| Actelion Ltd. † |
|
|
26,614 |
|
|
|
2,522,166 |
|
| Adecco SA † |
|
|
11,662 |
|
|
|
970,584 |
|
| Aryzta AG † |
|
|
7,955 |
|
|
|
703,423 |
|
| Baloise Holding AG |
|
|
12,816 |
|
|
|
1,613,290 |
|
| EMS-Chemie Holding AG |
|
|
1,100 |
|
|
|
415,705 |
|
| Givaudan SA † |
|
|
4,853 |
|
|
|
7,506,388 |
|
| Nestle SA |
|
|
56,585 |
|
|
|
4,259,134 |
|
| Novartis AG |
|
|
173,523 |
|
|
|
14,733,478 |
|
| Roche Holding AG |
|
|
71,287 |
|
|
|
21,440,547 |
|
| Sika AG |
|
|
553 |
|
|
|
2,262,071 |
|
| Sulzer AG |
|
|
19,840 |
|
|
|
2,730,143 |
|
| Swiss Life Holding AG † |
|
|
9,043 |
|
|
|
2,223,828 |
|
| Swiss Re AG † |
|
|
33,312 |
|
|
|
3,091,826 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
64,472,583 |
|
|
|
|
|
|
|
|
|
|
| United Kingdom - 18.4% |
|
| 3i Group PLC |
|
|
599,975 |
|
|
|
3,984,462 |
|
| ARM Holdings PLC |
|
|
343,793 |
|
|
|
5,806,073 |
|
| Associated British Foods PLC |
|
|
146,586 |
|
|
|
6,801,918 |
|
| AstraZeneca PLC |
|
|
15,504 |
|
|
|
1,005,078 |
|
| Babcock International Group PLC |
|
|
48,590 |
|
|
|
1,091,160 |
|
| BAE Systems PLC |
|
|
442,521 |
|
|
|
3,074,194 |
|
| BHP Billiton PLC |
|
|
124,552 |
|
|
|
3,846,001 |
|
| BP PLC |
|
|
787,004 |
|
|
|
6,323,620 |
|
| British Land Co. PLC REIT |
|
|
145,305 |
|
|
|
1,585,467 |
|
| British Sky Broadcasting Group PLC |
|
|
210,761 |
|
|
|
3,206,441 |
|
| BT Group PLC |
|
|
1,779,265 |
|
|
|
11,315,649 |
|
| Centrica PLC |
|
|
198,410 |
|
|
|
1,091,543 |
|
| easyJet PLC |
|
|
271,253 |
|
|
|
7,762,995 |
|
| GKN PLC |
|
|
276,226 |
|
|
|
1,799,827 |
|
| GlaxoSmithKline PLC |
|
|
107,762 |
|
|
|
2,873,509 |
|
| Hammerson PLC REIT |
|
|
28,872 |
|
|
|
266,914 |
|
| HSBC Holdings PLC |
|
|
798,934 |
|
|
|
8,089,541 |
|
| ICAP PLC |
|
|
128,984 |
|
|
|
812,915 |
|
| IMI PLC |
|
|
68,023 |
|
|
|
1,655,255 |
|
| International Consolidated Airlines Group SA † |
|
|
299,809 |
|
|
|
2,092,078 |
|
| Investec PLC |
|
|
139,590 |
|
|
|
1,130,025 |
|
| ITV PLC |
|
|
1,842,919 |
|
|
|
5,888,162 |
|
| Kingfisher PLC |
|
|
311,249 |
|
|
|
2,188,324 |
|
| Land Securities Group PLC REIT |
|
|
120,594 |
|
|
|
2,055,288 |
|
| Legal & General Group PLC |
|
|
256,799 |
|
|
|
876,743 |
|
| Lloyds Banking Group PLC † |
|
|
3,396,161 |
|
|
|
4,248,663 |
|
| Marks & Spencer Group PLC |
|
|
275,745 |
|
|
|
2,075,785 |
|
| Next PLC |
|
|
57,753 |
|
|
|
6,355,761 |
|
| Persimmon PLC † |
|
|
227,389 |
|
|
|
5,107,567 |
|
| Randgold Resources Ltd. |
|
|
3,761 |
|
|
|
282,313 |
|
| Reckitt Benckiser Group PLC |
|
|
45,801 |
|
|
|
3,737,590 |
|
| Resolution Ltd. |
|
|
385,283 |
|
|
|
1,919,545 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| United Kingdom - 18.4% (continued) |
|
| Rio Tinto PLC |
|
|
74,884 |
|
|
$
|
4,176,113 |
|
| Royal Dutch Shell PLC, A Shares |
|
|
224,457 |
|
|
|
8,201,164 |
|
| Royal Dutch Shell PLC, B Shares |
|
|
114,217 |
|
|
|
4,459,079 |
|
| Schroders PLC |
|
|
45,876 |
|
|
|
1,989,616 |
|
| Shire PLC |
|
|
33,973 |
|
|
|
1,681,843 |
|
| Smith & Nephew PLC |
|
|
245,173 |
|
|
|
3,723,663 |
|
| Smiths Group PLC |
|
|
19,956 |
|
|
|
424,018 |
|
| Tate & Lyle PLC |
|
|
98,319 |
|
|
|
1,095,034 |
|
| Travis Perkins PLC |
|
|
121,132 |
|
|
|
3,814,177 |
|
| TUI Travel PLC |
|
|
624,394 |
|
|
|
4,562,691 |
|
| Tullow Oil PLC |
|
|
33,537 |
|
|
|
419,109 |
|
| Unilever PLC |
|
|
76,998 |
|
|
|
3,293,174 |
|
| Vedanta Resources PLC |
|
|
38,196 |
|
|
|
575,771 |
|
| Vodafone Group PLC |
|
|
1,566,368 |
|
|
|
5,760,041 |
|
| William Hill PLC |
|
|
413,402 |
|
|
|
2,352,032 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
156,877,931 |
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCKS
(cost $604,611,870) |
|
|
|
|
|
|
745,372,689 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| PREFERRED STOCKS - 1.7% |
|
|
|
|
|
|
|
|
|
|
|
| Germany - 1.7% |
|
|
|
|
|
|
|
|
| Henkel AG & Co. KGaA |
|
|
50,844 |
|
|
|
5,472,961 |
|
| Porsche Automobil Holding SE |
|
|
86,428 |
|
|
|
8,885,436 |
|
|
|
|
|
|
|
|
|
|
| TOTAL PREFERRED STOCKS
(cost $10,910,099) |
|
|
|
|
|
|
14,358,397 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| RIGHTS - 0.0% (b) |
|
|
|
|
|
|
|
|
|
|
|
| Hong Kong - 0.0% (b) |
|
|
|
|
|
|
|
|
New World Development Co.,
Ltd. (3)†(a) |
|
|
|
|
|
|
|
|
| (cost $—) |
|
|
73,965 |
|
|
|
15,491 |
|
|
|
|
|
|
|
|
|
|
|
| MONEY MARKET FUNDS - 8.4% |
|
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (c)(d) |
|
|
|
|
|
|
|
|
| (cost $71,473,086) |
|
|
71,473,086 |
|
|
|
71,473,086 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS - 97.4%
(cost $686,995,055) |
|
|
|
|
|
|
831,219,663 |
|
|
|
|
|
|
|
|
|
|
| OTHER ASSETS IN EXCESS OF LIABILITIES - 2.6% (e) |
|
|
|
|
|
|
22,544,764 |
|
|
|
|
|
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
|
|
|
$ |
853,764,427 |
|
|
|
|
|
|
|
|
|
|
| † |
Non income-producing security. |
| (a) |
Security fair valued at as of March 31, 2014 using procedures approved by the Board of Trustees. The total value of positions fair valued was $15,491 or 0.0% of total net
assets. |
| (b) |
Represents less than 0.05 percent of net assets. |
| (c) |
Represents annualized seven-day yield as of March 31, 2014. |
| (d) |
A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
| (e) |
Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts.
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
15 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR INTERNATIONAL EQUITY FUND |
|
|
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (3) |
Level 3 security (See Note 4). |
The following abbreviations are
used in portfolio descriptions:
CDI - CHESS Depository Interest
CVA - Dutch Certificate of Shares
REIT - Real Estate Investment Trust
|
|
|
|
|
|
|
|
|
| SECTOR |
|
VALUE |
|
|
% OF NET
ASSETS |
|
| Consumer Discretionary |
|
$ |
126,107,004 |
|
|
|
14.8 |
% |
| Consumer Staples |
|
|
67,655,591 |
|
|
|
7.9 |
|
| Energy |
|
|
25,847,799 |
|
|
|
3.0 |
|
| Financials |
|
|
181,308,770 |
|
|
|
21.2 |
|
| Health Care |
|
|
96,186,907 |
|
|
|
11.3 |
|
| Industrials |
|
|
119,336,827 |
|
|
|
14.0 |
|
| Information Technology |
|
|
32,430,676 |
|
|
|
3.8 |
|
| Materials |
|
|
35,655,222 |
|
|
|
4.2 |
|
| Telecommunication Services |
|
|
41,249,041 |
|
|
|
4.8 |
|
| Utilities |
|
|
33,968,740 |
|
|
|
4.0 |
|
| Money Market Funds |
|
|
71,473,086 |
|
|
|
8.4 |
|
|
|
|
|
|
|
|
|
|
| Total Investments |
|
|
831,219,663 |
|
|
|
97.4 |
|
| Other Assets in Excess of Liabilities (e) |
|
|
22,544,764 |
|
|
|
2.6 |
|
|
|
|
|
|
|
|
|
|
| Net Assets |
|
$ |
853,764,427 |
|
|
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
Total return swap contract outstanding as of
March 31, 2014:
Over the Counter
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| COUNTERPARTY |
|
UNDERLYING REFERENCE
INSTRUMENT |
|
TERMINATION
DATE |
|
CURRENCY |
|
NOTIONAL
VALUE |
|
|
UNREALIZED
APPRECIATION
(DEPRECIATION) |
|
| Goldman Sachs |
|
Swiss Market Index Futures |
|
6/20/2014 |
|
CHF |
|
|
(46,249,202) |
|
|
|
$(1,404,768) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Money Market Fund is pledged as collateral to Goldman Sachs for total return swap contracts in the amount of $11,320,000 at
March 31, 2014.
Open futures contracts outstanding at March 31, 2014:
Exchange Traded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
CONTRACTS |
|
|
COUNTERPARTY |
|
DESCRIPTION |
|
EXPIRATION DATE |
|
VALUE AT
TRADE DATE |
|
|
VALUE AT
MARCH 31,
2014 |
|
|
UNREALIZED
APPRECIATION
(DEPRECIATION) |
|
| |
Long Contracts: |
|
|
|
|
|
|
|
|
|
| |
103 |
|
|
Barclays Capital |
|
Amsterdam Index Futures |
|
April 17, 2014 |
|
|
$11,053,340 |
|
|
|
$11,451,165 |
|
|
|
$397,825 |
|
| |
360 |
|
|
Barclays Capital |
|
CAC40 Index Futures |
|
April 17, 2014 |
|
|
21,404,444 |
|
|
|
21,777,340 |
|
|
|
372,896 |
|
| |
103 |
|
|
Barclays Capital |
|
DAX Index Futures |
|
June 20, 2014 |
|
|
32,759,654 |
|
|
|
34,007,617 |
|
|
|
1,247,963 |
|
| |
156 |
|
|
Barclays Capital |
|
FTSE 100 Index Futures |
|
June 20, 2014 |
|
|
16,962,101 |
|
|
|
17,018,034 |
|
|
|
55,933 |
|
| |
96 |
|
|
Barclays Capital |
|
FTSE/MIB Index Futures |
|
June 20, 2014 |
|
|
13,660,693 |
|
|
|
14,151,221 |
|
|
|
490,528 |
|
| |
285 |
|
|
Barclays Capital |
|
Hang Seng Index Futures |
|
April 29, 2014 |
|
|
40,132,314 |
|
|
|
40,674,918 |
|
|
|
542,604 |
|
| |
2 |
|
|
Barclays Capital |
|
IBEX 35 Index Futures |
|
April 17, 2014 |
|
|
274,985 |
|
|
|
284,182 |
|
|
|
9,197 |
|
| |
28 |
|
|
Barclays Capital |
|
MSCI Singapore Index Futures |
|
April 29, 2014 |
|
|
1,561,721 |
|
|
|
1,591,096 |
|
|
|
29,375 |
|
| |
484 |
|
|
Barclays Capital |
|
TOPIX Index Futures |
|
June 12, 2014 |
|
|
56,940,319 |
|
|
|
56,411,568 |
|
|
|
(528,751) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
194,749,571 |
|
|
|
197,367,141 |
|
|
|
2,617,570 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
Short Contracts: |
|
|
|
|
|
|
|
|
|
| |
509 |
|
|
Barclays Capital |
|
OMXS30 Index Futures |
|
April 18, 2014 |
|
|
(10,434,177) |
|
|
|
(10,628,579) |
|
|
|
(194,402) |
|
| |
463 |
|
|
Barclays Capital |
|
SPI 200 Index Futures |
|
June 19, 2014 |
|
|
(57,350,139) |
|
|
|
(57,891,992) |
|
|
|
(541,853) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(67,784,316) |
|
|
|
(68,520,571) |
|
|
|
(736,255) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$126,965,255 |
|
|
|
$128,846,570 |
|
|
|
$1,881,315 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash held as collateral at Barclays Capital for futures contracts was $13,299,557 at March 31, 2014.
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 16 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR INTERNATIONAL EQUITY FUND |
|
|
Forward foreign currency exchange contracts
outstanding as of March 31, 2014:
Over the Counter
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PURCHASE
CONTRACTS |
|
COUNTERPARTY |
|
CURRENCY |
|
CURRENCY
AMOUNT
PURCHASED |
|
|
VALUE AT
SETTLEMENT
DATE |
|
|
VALUE AT
MARCH 31,
2014 |
|
|
UNREALIZED
APPRECIATION
(DEPRECIATION) |
|
Australian Dollar,
Expiring 06/18/14 |
|
Credit Suisse International |
|
AUD |
|
|
16,316,500 |
|
|
|
$14,842,477 |
|
|
|
$15,051,593 |
|
|
|
$209,116 |
|
Australian Dollar,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
AUD |
|
|
16,316,500 |
|
|
|
14,842,599 |
|
|
|
15,051,593 |
|
|
|
208,994 |
|
Swiss Franc,
Expiring 06/18/14 |
|
Credit Suisse International |
|
CHF |
|
|
31,000 |
|
|
|
35,120 |
|
|
|
35,088 |
|
|
|
(32) |
|
Swiss Franc,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
CHF |
|
|
2,406,000 |
|
|
|
2,715,707 |
|
|
|
2,723,268 |
|
|
|
7,561 |
|
| Danish Krone, Expiring 06/18/14 |
|
Credit Suisse International |
|
DKK |
|
|
16,800,500 |
|
|
|
3,141,212 |
|
|
|
3,101,692 |
|
|
|
(39,520) |
|
| Danish Krone, Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
DKK |
|
|
16,800,500 |
|
|
|
3,141,199 |
|
|
|
3,101,692 |
|
|
|
(39,507) |
|
Euro,
Expiring 06/18/14 |
|
Credit Suisse International |
|
EUR |
|
|
51,212,200 |
|
|
|
70,740,433 |
|
|
|
70,544,336 |
|
|
|
(196,097) |
|
Euro,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
EUR |
|
|
51,256,200 |
|
|
|
70,801,521 |
|
|
|
70,604,945 |
|
|
|
(196,576) |
|
British Pound,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
GBP |
|
|
3,705,000 |
|
|
|
6,138,354 |
|
|
|
6,173,177 |
|
|
|
34,823 |
|
Hong Kong Dollar,
Expiring 06/18/14 |
|
Credit Suisse International |
|
HKD |
|
|
9,886,000 |
|
|
|
1,274,132 |
|
|
|
1,274,903 |
|
|
|
771 |
|
Hong Kong Dollar,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
HKD |
|
|
10,608,000 |
|
|
|
1,367,123 |
|
|
|
1,368,013 |
|
|
|
890 |
|
Israeli Shekel,
Expiring 06/18/14 |
|
Credit Suisse International |
|
ILS |
|
|
7,529,000 |
|
|
|
2,165,639 |
|
|
|
2,157,506 |
|
|
|
(8,133) |
|
Israeli Shekel,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
ILS |
|
|
7,529,000 |
|
|
|
2,165,622 |
|
|
|
2,157,506 |
|
|
|
(8,116) |
|
Japanese Yen,
Expiring 06/18/14 |
|
Credit Suisse International |
|
JPY |
|
|
4,381,559,400 |
|
|
|
42,866,056 |
|
|
|
42,468,225 |
|
|
|
(397,831) |
|
Japanese Yen,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
JPY |
|
|
4,381,559,400 |
|
|
|
42,866,240 |
|
|
|
42,468,225 |
|
|
|
(398,015) |
|
Norwegian Krone,
Expiring 06/18/14 |
|
Credit Suisse International |
|
NOK |
|
|
54,519,500 |
|
|
|
9,104,221 |
|
|
|
9,077,697 |
|
|
|
(26,524) |
|
Norwegian Krone,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
NOK |
|
|
54,519,500 |
|
|
|
9,104,185 |
|
|
|
9,077,697 |
|
|
|
(26,488) |
|
New Zealand Dollar,
Expiring 06/18/14 |
|
Credit Suisse International |
|
NZD |
|
|
87,066,001 |
|
|
|
72,966,052 |
|
|
|
75,082,258 |
|
|
|
2,116,206 |
|
New Zealand Dollar,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
NZD |
|
|
87,066,000 |
|
|
|
72,964,296 |
|
|
|
75,082,258 |
|
|
|
2,117,962 |
|
Swedish Krona,
Expiring 06/18/14 |
|
Credit Suisse International |
|
SEK |
|
|
41,312,500 |
|
|
|
6,490,358 |
|
|
|
6,375,155 |
|
|
|
(115,203) |
|
Swedish Krona,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
SEK |
|
|
62,055,500 |
|
|
|
9,701,675 |
|
|
|
9,576,119 |
|
|
|
(125,556) |
|
Singapore Dollar,
Expiring 06/18/14 |
|
Credit Suisse International |
|
SGD |
|
|
1,064,650 |
|
|
|
840,728 |
|
|
|
846,406 |
|
|
|
5,678 |
|
Singapore Dollar,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
SGD |
|
|
1,064,650 |
|
|
|
840,735 |
|
|
|
846,406 |
|
|
|
5,671 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$461,115,684 |
|
|
|
$464,245,758 |
|
|
|
$3,130,074 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
17 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR INTERNATIONAL EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SALES CONTRACTS |
|
COUNTERPARTY |
|
CURRENCY |
|
CURRENCY
AMOUNT
SOLD |
|
|
VALUE AT
SETTLEMENT
DATE |
|
|
VALUE AT
MARCH 31,
2014 |
|
|
UNREALIZED
APPRECIATION
(DEPRECIATION) |
|
Australian Dollar,
Expiring 06/18/14 |
|
Credit Suisse International |
|
AUD |
|
|
(29,357,950) |
|
|
|
$(26,255,059) |
|
|
|
$(27,082,027) |
|
|
|
$(826,968) |
|
| Australian Dollar, Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
AUD |
|
|
(30,176,950) |
|
|
|
(26,984,054) |
|
|
|
(27,837,536) |
|
|
|
(853,482) |
|
Swiss Franc,
Expiring 06/18/14 |
|
Credit Suisse International |
|
CHF |
|
|
(25,145,400) |
|
|
|
(28,631,369) |
|
|
|
(28,461,202) |
|
|
|
170,167 |
|
Swiss Franc,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
CHF |
|
|
(25,145,400) |
|
|
|
(28,631,604) |
|
|
|
(28,461,202) |
|
|
|
170,402 |
|
Danish Krone,
Expiring 06/18/14 |
|
Credit Suisse International |
|
DKK |
|
|
(1,503,000) |
|
|
|
(278,835) |
|
|
|
(277,482) |
|
|
|
1,353 |
|
Danish Krone,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
DKK |
|
|
(1,503,000) |
|
|
|
(278,837) |
|
|
|
(277,482) |
|
|
|
1,355 |
|
Euro,
Expiring 06/18/14 |
|
Credit Suisse International |
|
EUR |
|
|
(3,413,000) |
|
|
|
(4,695,707) |
|
|
|
(4,701,376) |
|
|
|
(5,669) |
|
Euro,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
EUR |
|
|
(4,502,000) |
|
|
|
(6,191,570) |
|
|
|
(6,201,464) |
|
|
|
(9,894) |
|
British Pound,
Expiring 06/18/14 |
|
Credit Suisse International |
|
GBP |
|
|
(45,199,350) |
|
|
|
(75,207,039) |
|
|
|
(75,310,011) |
|
|
|
(102,972) |
|
British Pound,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
GBP |
|
|
(45,199,350) |
|
|
|
(75,206,815) |
|
|
|
(75,310,011) |
|
|
|
(103,196) |
|
Hong Kong Dollar,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
HKD |
|
|
(5,247,000) |
|
|
|
(676,275) |
|
|
|
(676,656) |
|
|
|
(381) |
|
Israeli Shekel,
Expiring 06/18/14 |
|
Credit Suisse International |
|
ILS |
|
|
(49,000) |
|
|
|
(14,140) |
|
|
|
(14,041) |
|
|
|
99 |
|
Israeli Shekel,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
ILS |
|
|
(49,000) |
|
|
|
(14,133) |
|
|
|
(14,041) |
|
|
|
92 |
|
Japanese Yen,
Expiring 06/18/14 |
|
Credit Suisse International |
|
JPY |
|
|
(1,760,990,500) |
|
|
|
(17,146,134) |
|
|
|
(17,068,385) |
|
|
|
77,749 |
|
Japanese Yen,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
JPY |
|
|
(2,010,563,500) |
|
|
|
(19,588,815) |
|
|
|
(19,487,369) |
|
|
|
101,446 |
|
Norwegian Krone,
Expiring 06/18/14 |
|
Credit Suisse International |
|
NOK |
|
|
(54,519,500) |
|
|
|
(9,099,506) |
|
|
|
(9,077,697) |
|
|
|
21,809 |
|
Norwegian Krone,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
NOK |
|
|
(54,519,500) |
|
|
|
(9,099,578) |
|
|
|
(9,077,697) |
|
|
|
21,881 |
|
New Zealand Dollar,
Expiring 06/18/14 |
|
Credit Suisse International |
|
NZD |
|
|
(19,730,000) |
|
|
|
(16,761,328) |
|
|
|
(17,014,368) |
|
|
|
(253,040) |
|
New Zealand Dollar,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
NZD |
|
|
(19,730,000) |
|
|
|
(16,760,411) |
|
|
|
(17,014,368) |
|
|
|
(253,957) |
|
Swedish Krona,
Expiring 06/18/14 |
|
Credit Suisse International |
|
SEK |
|
|
(77,637,500) |
|
|
|
(12,087,590) |
|
|
|
(11,980,661) |
|
|
|
106,929 |
|
Swedish Krona,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
SEK |
|
|
(77,637,500) |
|
|
|
(12,087,620) |
|
|
|
(11,980,662) |
|
|
|
106,958 |
|
Singapore Dollar,
Expiring 06/18/14 |
|
Credit Suisse International |
|
SGD |
|
|
(22,000) |
|
|
|
(17,354) |
|
|
|
(17,490) |
|
|
|
(136) |
|
Singapore Dollar,
Expiring 06/18/14 |
|
The Royal Bank of Scotland |
|
SGD |
|
|
(141,000) |
|
|
|
(111,236) |
|
|
|
(112,096) |
|
|
|
(860) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(385,825,009) |
|
|
|
(387,455,324) |
|
|
|
(1,630,315) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$75,290,675 |
|
|
|
$76,790,434 |
|
|
|
$1,499,759 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 18 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR INTERNATIONAL EQUITY FUND |
|
|
Money Market Fund is pledged as collateral to
The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $72. Additional cash held as collateral for forward currency exchange contracts for Credit Suisse International and The Royal Bank of Scotland was $860,000
and $700,000, respectively, at March 31, 2014.
AUD - Australian Dollar
CHF - Swiss Franc
DKK - Danish Krone
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
ILS - Israeli Shekel
JPY - Japanese Yen
NOK - Norwegian Krone
NZD - New Zealand Dollar
SEK - Swedish Krona
SGD - Singapore Dollar
USD - United States Dollar
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
19 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR EMERGING DEFENSIVE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCKS - 89.8% |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Brazil - 14.2% |
|
|
|
|
|
|
|
|
| AMBEV SA ADR (1) |
|
|
44,500 |
|
|
$ |
329,745 |
|
| CCR SA (1) |
|
|
84,400 |
|
|
|
643,136 |
|
| Cia Brasileira de Distribuicao Grupo Pao de Acucar ADR (1) |
|
|
9,081 |
|
|
|
397,384 |
|
| Cia de Saneamento Basico do Estado de Sao Paulo ADR (1) |
|
|
7,442 |
|
|
|
68,913 |
|
| Cia Energetica de Minas Gerais ADR |
|
|
87,302 |
|
|
|
593,654 |
|
| Cia Hering (1) |
|
|
99 |
|
|
|
1,201 |
|
| Cia Paranaense de Energia ADR |
|
|
4,118 |
|
|
|
53,987 |
|
| Cielo SA (1) |
|
|
4,640 |
|
|
|
147,114 |
|
| CPFL Energia SA ADR (1) |
|
|
18,084 |
|
|
|
295,312 |
|
| EcoRodovias Infraestrutura e Logistica SA (1) |
|
|
47,100 |
|
|
|
281,064 |
|
| EDP-Energias do Brasil SA (1) |
|
|
94,200 |
|
|
|
423,049 |
|
| Localiza Rent a Car SA (1) |
|
|
39,810 |
|
|
|
577,938 |
|
| Natura Cosmeticos SA (1) |
|
|
28,400 |
|
|
|
475,503 |
|
| Qualicorp SA (1)† |
|
|
32,800 |
|
|
|
329,879 |
|
| Souza Cruz SA |
|
|
67,900 |
|
|
|
614,960 |
|
| Telefonica Brasil SA ADR (1) |
|
|
24,535 |
|
|
|
521,123 |
|
| Tim Participacoes SA ADR (1) |
|
|
1,544 |
|
|
|
40,082 |
|
| Totvs SA (1) |
|
|
6,400 |
|
|
|
99,230 |
|
| Tractebel Energia SA (1) |
|
|
44,000 |
|
|
|
688,409 |
|
| Ultrapar Participacoes SA ADR (1) |
|
|
2,300 |
|
|
|
55,407 |
|
| WEG SA (1) |
|
|
18,300 |
|
|
|
255,345 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,892,435 |
|
|
|
|
|
|
|
|
|
|
| Chile - 5.5% |
|
|
|
|
|
|
|
|
| Banco Santander Chile ADR (1) |
|
|
19,693 |
|
|
|
461,604 |
|
| Cencosud SA (1) |
|
|
87,856 |
|
|
|
291,425 |
|
| Empresa Nacional de Electricidad SA ADR (1) |
|
|
10,100 |
|
|
|
436,118 |
|
| Empresas COPEC SA (1) |
|
|
12,933 |
|
|
|
169,570 |
|
| Enersis SA ADR (1) |
|
|
43,447 |
|
|
|
674,732 |
|
| SACI Falabella (1) |
|
|
65,081 |
|
|
|
575,241 |
|
| Sociedad Quimica y Minera de Chile SA ADR (1) |
|
|
1,578 |
|
|
|
50,086 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,658,776 |
|
|
|
|
|
|
|
|
|
|
| China - 2.5% |
|
|
|
|
|
|
|
|
| ANTA Sports Products Ltd. |
|
|
86,000 |
|
|
|
143,560 |
|
| China Mengniu Dairy Co., Ltd. |
|
|
16,000 |
|
|
|
80,299 |
|
| China Petroleum & Chemical Corp. ADR (1) |
|
|
175 |
|
|
|
15,663 |
|
| China Telecom Corp. Ltd., H Shares |
|
|
122,000 |
|
|
|
56,299 |
|
| ENN Energy Holdings Ltd. |
|
|
8,000 |
|
|
|
55,811 |
|
| GOME Electrical Appliances Holding Ltd. |
|
|
116,000 |
|
|
|
19,630 |
|
| PetroChina Co., Ltd. ADR (1) |
|
|
176 |
|
|
|
19,096 |
|
| Sihuan Pharmaceutical Holdings Group Ltd. |
|
|
107,000 |
|
|
|
129,262 |
|
| Sun Art Retail Group Ltd. |
|
|
332,500 |
|
|
|
418,707 |
|
| Tingyi Cayman Islands Holding Corp. |
|
|
8,000 |
|
|
|
22,981 |
|
| Tsingtao Brewery Co., Ltd., H Shares |
|
|
34,000 |
|
|
|
249,404 |
|
| Want Want China Holdings Ltd. |
|
|
5,000 |
|
|
|
7,481 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,218,193 |
|
|
|
|
|
|
|
|
|
|
| Hong Kong - 1.1% |
|
|
|
|
|
|
|
|
| Belle International Holdings Ltd. |
|
|
54,000 |
|
|
|
53,985 |
|
| China Mobile Ltd. ADR (1) |
|
|
4,232 |
|
|
|
192,937 |
|
| China Unicom Hong Kong Ltd. ADR (1) |
|
|
3,161 |
|
|
|
41,598 |
|
| Sino Biopharmaceutical Ltd. |
|
|
296,000 |
|
|
|
252,668 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
541,188 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| India - 0.9% |
|
|
|
|
|
|
|
|
| Dr Reddy’s Laboratories Ltd. ADR (1) |
|
|
8,893 |
|
|
$ |
390,403 |
|
| Infosys Ltd. ADR (1) |
|
|
1,300 |
|
|
|
70,434 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
460,837 |
|
|
|
|
|
|
|
|
|
|
| Indonesia - 1.8% |
|
|
|
|
|
|
|
|
| Bank Central Asia Tbk PT |
|
|
209,500 |
|
|
|
196,762 |
|
| Perusahaan Gas Negara Persero Tbk PT |
|
|
905,000 |
|
|
|
410,721 |
|
| Telekomunikasi Indonesia Persero Tbk PT ADR (1) |
|
|
7,539 |
|
|
|
296,810 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
904,293 |
|
|
|
|
|
|
|
|
|
|
| Korea, Republic of - 11.3% |
|
|
|
|
|
|
|
|
| Amorepacific Corp. |
|
|
101 |
|
|
|
119,567 |
|
| Cheil Industries, Inc. |
|
|
7,021 |
|
|
|
473,999 |
|
| Daelim Industrial Co., Ltd. |
|
|
270 |
|
|
|
22,025 |
|
| Daewoo International Corp. |
|
|
530 |
|
|
|
19,327 |
|
| Dongbu Insurance Co., Ltd. |
|
|
832 |
|
|
|
43,175 |
|
| E-Mart Co., Ltd. |
|
|
170 |
|
|
|
39,033 |
|
| Hyundai Department Store Co., Ltd. |
|
|
449 |
|
|
|
59,992 |
|
| Hyundai Glovis Co., Ltd. |
|
|
2,268 |
|
|
|
515,749 |
|
| Hyundai Marine & Fire Insurance Co., Ltd. |
|
|
11,670 |
|
|
|
337,200 |
|
| Hyundai Mobis |
|
|
1,180 |
|
|
|
350,104 |
|
| Hyundai Wia Corp. |
|
|
1,182 |
|
|
|
190,522 |
|
| Kangwon Land, Inc. |
|
|
12,900 |
|
|
|
376,315 |
|
| Kia Motors Corp. |
|
|
3,283 |
|
|
|
183,461 |
|
| Korea Aerospace Industries Ltd. |
|
|
7,800 |
|
|
|
249,235 |
|
| KT Corp. ADR (1) |
|
|
30,221 |
|
|
|
419,770 |
|
| KT&G Corp. |
|
|
7,186 |
|
|
|
541,229 |
|
| LG Household & Health Care Ltd. |
|
|
14 |
|
|
|
6,052 |
|
| LG Uplus Corp. |
|
|
38,370 |
|
|
|
376,909 |
|
| Lotte Shopping Co., Ltd. |
|
|
246 |
|
|
|
77,487 |
|
| NAVER Corp. |
|
|
183 |
|
|
|
133,713 |
|
| Orion Corp. |
|
|
143 |
|
|
|
110,265 |
|
| POSCO ADR (1) |
|
|
133 |
|
|
|
9,231 |
|
| Samsung C&T Corp. |
|
|
181 |
|
|
|
10,523 |
|
| Samsung Electronics Co., Ltd. GDR |
|
|
357 |
|
|
|
225,211 |
|
| Samsung Fire & Marine Insurance Co., Ltd. |
|
|
913 |
|
|
|
205,653 |
|
| Samsung Life Insurance Co., Ltd. |
|
|
2,585 |
|
|
|
244,328 |
|
| Samsung Techwin Co., Ltd. |
|
|
122 |
|
|
|
6,655 |
|
| SK Telecom Co., Ltd. ADR (1) |
|
|
6,728 |
|
|
|
151,851 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,498,581 |
|
|
|
|
|
|
|
|
|
|
| Malaysia - 13.0% |
|
|
|
|
|
|
|
|
| AMMB Holdings Bhd |
|
|
72,200 |
|
|
|
158,856 |
|
| Axiata Group Bhd |
|
|
298,500 |
|
|
|
610,188 |
|
| CIMB Group Holdings Bhd |
|
|
42,600 |
|
|
|
93,398 |
|
| DiGi.Com Bhd |
|
|
368,400 |
|
|
|
608,586 |
|
| IOI Corp. Bhd |
|
|
300,900 |
|
|
|
442,037 |
|
| Malayan Banking Bhd |
|
|
190,000 |
|
|
|
563,951 |
|
| Maxis Bhd |
|
|
235,700 |
|
|
|
502,561 |
|
| Petronas Chemicals Group Bhd |
|
|
301,700 |
|
|
|
638,971 |
|
| Public Bank Bhd |
|
|
103,900 |
|
|
|
611,206 |
|
| Sime Darby Bhd |
|
|
195,000 |
|
|
|
556,325 |
|
| Telekom Malaysia Bhd |
|
|
364,000 |
|
|
|
656,630 |
|
| Tenaga Nasional Bhd |
|
|
161,500 |
|
|
|
591,460 |
|
| UMW Holdings Bhd |
|
|
86,300 |
|
|
|
290,574 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,324,743 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 20 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR EMERGING DEFENSIVE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Mexico - 5.4% |
|
|
|
|
|
|
|
|
| Alfa SAB de CV, Class A (1) |
|
|
175,400 |
|
|
$ |
443,353 |
|
| America Movil SAB de CV, Series L ADR (1) |
|
|
2,076 |
|
|
|
41,271 |
|
| Coca-Cola Femsa SAB de CV ADR (1) |
|
|
5,252 |
|
|
|
554,191 |
|
| Genomma Lab Internacional SAB de CV, Class B (1)† |
|
|
110,100 |
|
|
|
283,103 |
|
| Grupo Bimbo SAB de CV, Series A (1) |
|
|
198,000 |
|
|
|
534,451 |
|
| Grupo Financiero Banorte SAB de CV, Class O (1) |
|
|
5,400 |
|
|
|
36,518 |
|
| Grupo Financiero Inbursa SAB de CV, Class O (1) |
|
|
20,500 |
|
|
|
52,964 |
|
| Grupo Televisa SAB ADR (1) |
|
|
9 |
|
|
|
300 |
|
| Mexichem SAB de CV (1) |
|
|
34,600 |
|
|
|
121,910 |
|
| Wal-Mart de Mexico SAB de CV, Series V (1) |
|
|
242,000 |
|
|
|
576,477 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,644,538 |
|
|
|
|
|
|
|
|
|
|
| Poland - 4.4% |
|
|
|
|
|
|
|
|
| Bank Pekao SA |
|
|
2,414 |
|
|
|
157,140 |
|
| Bank Zachodni WBK SA |
|
|
2,573 |
|
|
|
351,518 |
|
| Orange Polska SA |
|
|
58,841 |
|
|
|
201,375 |
|
| PGE SA |
|
|
95,171 |
|
|
|
594,613 |
|
| Polskie Gornictwo Naftowe i Gazownictwo SA |
|
|
31,313 |
|
|
|
45,995 |
|
| Powszechna Kasa Oszczednosci Bank Polski SA |
|
|
20,131 |
|
|
|
283,100 |
|
| Powszechny Zaklad Ubezpieczen SA |
|
|
3,440 |
|
|
|
488,831 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,122,572 |
|
|
|
|
|
|
|
|
|
|
| Russia - 1.6% |
|
|
|
|
|
|
|
|
| Lukoil OAO ADR (1) |
|
|
2,716 |
|
|
|
151,892 |
|
| Mobile Telesystems OJSC ADR (1) |
|
|
11,300 |
|
|
|
197,637 |
|
| Rosneft OAO GDR |
|
|
62,101 |
|
|
|
414,493 |
|
| Tatneft OAO ADR |
|
|
751 |
|
|
|
25,788 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
789,810 |
|
|
|
|
|
|
|
|
|
|
| South Africa - 14.2% |
|
|
|
|
|
|
|
|
| AngloGold Ashanti Ltd. ADR (1) |
|
|
44 |
|
|
|
752 |
|
| Aspen Pharmacare Holdings Ltd. |
|
|
4,372 |
|
|
|
116,679 |
|
| Barclays Africa Group Ltd. |
|
|
2,086 |
|
|
|
29,543 |
|
| Bidvest Group Ltd. |
|
|
13,993 |
|
|
|
369,719 |
|
| Discovery Ltd. |
|
|
5,654 |
|
|
|
45,294 |
|
| FirstRand Ltd. |
|
|
110,291 |
|
|
|
378,156 |
|
| Gold Fields Ltd. ADR (1) |
|
|
32 |
|
|
|
118 |
|
| Kumba Iron Ore Ltd. |
|
|
1,210 |
|
|
|
43,358 |
|
| Life Healthcare Group Holdings Ltd. |
|
|
136,707 |
|
|
|
499,500 |
|
| Mediclinic International Ltd. |
|
|
16,125 |
|
|
|
114,486 |
|
| Mr Price Group Ltd. |
|
|
47,632 |
|
|
|
711,921 |
|
| MTN Group Ltd. |
|
|
23,107 |
|
|
|
472,930 |
|
| Naspers Ltd., N Shares |
|
|
2,801 |
|
|
|
308,651 |
|
| Nedbank Group Ltd. |
|
|
29,507 |
|
|
|
627,199 |
|
| Netcare Ltd. |
|
|
52,147 |
|
|
|
115,713 |
|
| RMB Holdings Ltd. |
|
|
19,411 |
|
|
|
88,344 |
|
| Sanlam Ltd. |
|
|
34,051 |
|
|
|
186,002 |
|
| Sasol Ltd. ADR (1) |
|
|
11,399 |
|
|
|
636,976 |
|
| Shoprite Holdings Ltd. |
|
|
26,659 |
|
|
|
402,290 |
|
| Standard Bank Group Ltd. |
|
|
53,854 |
|
|
|
709,512 |
|
| Tiger Brands Ltd. |
|
|
11,896 |
|
|
|
307,361 |
|
| Truworths International Ltd. |
|
|
12,003 |
|
|
|
87,938 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| South Africa - 14.2% (continued) |
|
|
|
|
|
|
|
|
| Vodacom Group Ltd. |
|
|
13,261 |
|
|
$ |
163,646 |
|
| Woolworths Holdings Ltd. |
|
|
71,569 |
|
|
|
498,057 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,914,145 |
|
|
|
|
|
|
|
|
|
|
| Taiwan - 10.4% |
|
|
|
|
|
|
|
|
| Acer, Inc. † |
|
|
13,000 |
|
|
|
7,678 |
|
| Advanced Semiconductor Engineering, Inc. |
|
|
57,000 |
|
|
|
63,257 |
|
| Asia Pacific Telecom Co., Ltd. |
|
|
83,000 |
|
|
|
39,036 |
|
| Asustek Computer, Inc. |
|
|
34,000 |
|
|
|
336,901 |
|
| Cheng UEI Precision Industry Co., Ltd. |
|
|
59 |
|
|
|
125 |
|
| China Petrochemical Development Corp. |
|
|
400 |
|
|
|
166 |
|
| China Steel Corp. |
|
|
129,764 |
|
|
|
109,406 |
|
| Chunghwa Telecom Co., Ltd. ADR (1) |
|
|
18,063 |
|
|
|
554,173 |
|
| Far Eastern Department Stores Ltd. |
|
|
720 |
|
|
|
635 |
|
| Far EasTone Telecommunications Co., Ltd. |
|
|
305,000 |
|
|
|
645,623 |
|
| Foxconn Technology Co., Ltd. |
|
|
140,017 |
|
|
|
330,881 |
|
| Hon Hai Precision Industry Co., Ltd. |
|
|
75,500 |
|
|
|
214,401 |
|
| Kinsus Interconnect Technology Corp. |
|
|
2,000 |
|
|
|
7,432 |
|
| MediaTek, Inc. |
|
|
10,000 |
|
|
|
148,017 |
|
| Merida Industry Co., Ltd. |
|
|
18,000 |
|
|
|
119,696 |
|
| Powertech Technology, Inc. |
|
|
10,000 |
|
|
|
15,150 |
|
| President Chain Store Corp. |
|
|
100,000 |
|
|
|
705,515 |
|
| Quanta Computer, Inc. |
|
|
69,000 |
|
|
|
186,035 |
|
| Radiant Opto-Electronics Corp. |
|
|
2,060 |
|
|
|
8,341 |
|
| Realtek Semiconductor Corp. |
|
|
24,442 |
|
|
|
73,819 |
|
| Taiwan Cement Corp. |
|
|
16,000 |
|
|
|
24,747 |
|
| Taiwan Mobile Co., Ltd. |
|
|
147,000 |
|
|
|
461,626 |
|
| Taiwan Semiconductor Manufacturing Co., Ltd. ADR (1) |
|
|
31,656 |
|
|
|
633,753 |
|
| Uni-President Enterprises Corp. |
|
|
194,583 |
|
|
|
338,990 |
|
| Wistron Corp. |
|
|
32,282 |
|
|
|
26,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,052,003 |
|
|
|
|
|
|
|
|
|
|
| Thailand - 2.0% |
|
|
|
|
|
|
|
|
| Advanced Info Service PCL NVDR |
|
|
60,800 |
|
|
|
424,624 |
|
| Bangkok Dusit Medical Services PCL NVDR |
|
|
35,200 |
|
|
|
144,611 |
|
| CP ALL PCL NVDR |
|
|
103,800 |
|
|
|
139,350 |
|
| PTT Global Chemical PCL NVDR |
|
|
27,200 |
|
|
|
60,645 |
|
| PTT PCL NVDR |
|
|
20,600 |
|
|
|
189,876 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
959,106 |
|
|
|
|
|
|
|
|
|
|
| Turkey - 1.5% |
|
|
|
|
|
|
|
|
| BIM Birlesik Magazalar AS |
|
|
13,570 |
|
|
|
305,668 |
|
| Enka Insaat ve Sanayi AS |
|
|
13,541 |
|
|
|
40,426 |
|
| Turk Hava Yollari |
|
|
5,773 |
|
|
|
17,778 |
|
| Turk Telekomunikasyon AS |
|
|
82,558 |
|
|
|
229,176 |
|
| Turkcell Iletisim Hizmetleri AS † |
|
|
23,106 |
|
|
|
129,429 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
722,477 |
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCKS
(cost $43,382,220) |
|
|
|
|
|
|
43,703,697 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
21 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR EMERGING DEFENSIVE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| PREFERRED STOCKS - 0.0% (a) |
|
SHARES |
|
|
VALUE
(Note 2) |
|
|
|
|
| Brazil - 0.0% (a) |
|
|
|
|
|
|
|
|
| Lojas Americanas SA (1)
(cost $24,195) |
|
|
3,100 |
|
|
$ |
22,830 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| EXCHANGE-TRADED FUNDS - 9.2% |
|
|
|
|
|
|
|
|
| iShares MSCI Emerging Markets ETF (1)
(cost $4,307,687) |
|
|
109,869 |
|
|
|
4,503,530 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| MONEY MARKET FUNDS - 2.8% |
|
|
|
|
|
|
|
|
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (b) |
|
|
|
|
|
|
|
|
| (cost $1,340,248) |
|
|
1,340,248 |
|
|
|
1,340,248 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS - 101.8%
(cost $49,054,350) |
|
|
|
|
|
|
49,570,305 |
|
|
|
|
|
|
|
|
|
|
| LIABILITIES IN EXCESS OF OTHER ASSETS - (1.8%) |
|
|
|
|
|
|
(886,453) |
|
|
|
|
|
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
|
|
|
$ |
48,683,852 |
|
|
|
|
|
|
|
|
|
|
| † |
Non income-producing security. |
| (a) |
Represents less than 0.05 percent of net assets. |
| (b) |
Represents annualized seven-day yield as of March 31, 2014. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) |
Level 1 security (See Note 4).
|
The following abbreviations are used in portfolio descriptions:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
NVDR - Non-Voting Depositary Receipt
|
|
|
|
|
|
|
|
|
| SECTOR |
|
VALUE |
|
|
% OF NET
ASSETS |
|
| Consumer Discretionary |
|
$ |
4,072,100 |
|
|
|
8.4 |
% |
| Consumer Staples |
|
|
8,010,366 |
|
|
|
16.5 |
|
| Energy |
|
|
1,724,756 |
|
|
|
3.5 |
|
| Exchange Traded Fund |
|
|
4,503,530 |
|
|
|
9.3 |
|
| Financials |
|
|
6,350,253 |
|
|
|
13.0 |
|
| Health Care |
|
|
2,376,305 |
|
|
|
4.9 |
|
| Industrials |
|
|
4,008,598 |
|
|
|
8.2 |
|
| Information Technology |
|
|
2,728,090 |
|
|
|
5.6 |
|
| Materials |
|
|
1,533,389 |
|
|
|
3.1 |
|
| Telecommunication Services |
|
|
8,035,892 |
|
|
|
16.5 |
|
| Utilities |
|
|
4,886,778 |
|
|
|
10.0 |
|
| Money Market Funds |
|
|
1,340,248 |
|
|
|
2.8 |
|
|
|
|
|
|
|
|
|
|
| Total Investments |
|
|
49,570,305 |
|
|
|
101.8 |
|
| Liabilities in Excess of Other Assets |
|
|
(886,453) |
|
|
|
(1.8) |
|
|
|
|
|
|
|
|
|
|
| Net Assets |
|
$ |
48,683,852 |
|
|
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 22 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCKS - 93.8% |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Australia - 17.4% |
|
| AGL Energy Ltd. |
|
|
21,126 |
|
|
$ |
297,907 |
|
| Amcor Ltd. |
|
|
12,922 |
|
|
|
124,852 |
|
| APA Group |
|
|
20,729 |
|
|
|
123,546 |
|
| ASX Ltd. |
|
|
2,400 |
|
|
|
80,421 |
|
| Aurizon Holdings Ltd. |
|
|
18,076 |
|
|
|
86,342 |
|
| Australia & New Zealand Banking Group Ltd. |
|
|
1,156 |
|
|
|
35,562 |
|
| Bendigo and Adelaide Bank Ltd. |
|
|
4,585 |
|
|
|
48,436 |
|
| BHP Billiton Ltd. |
|
|
2,012 |
|
|
|
68,197 |
|
| Boral Ltd. |
|
|
14,636 |
|
|
|
76,926 |
|
| Brambles Ltd. |
|
|
19,801 |
|
|
|
170,368 |
|
| Caltex Australia Ltd. |
|
|
3,385 |
|
|
|
69,264 |
|
| Coca-Cola Amatil Ltd. |
|
|
11,302 |
|
|
|
115,818 |
|
| Cochlear Ltd. |
|
|
2,349 |
|
|
|
124,336 |
|
| Commonwealth Bank of Australia |
|
|
1,776 |
|
|
|
127,853 |
|
| Crown Resorts Ltd. |
|
|
2,043 |
|
|
|
31,597 |
|
| CSL Ltd. |
|
|
3,012 |
|
|
|
194,550 |
|
| Flight Centre Travel Group Ltd. |
|
|
4,252 |
|
|
|
207,444 |
|
| Incitec Pivot Ltd. |
|
|
27,818 |
|
|
|
76,501 |
|
| Insurance Australia Group Ltd. |
|
|
11,316 |
|
|
|
58,527 |
|
| Metcash Ltd. |
|
|
44,154 |
|
|
|
107,080 |
|
| National Australia Bank Ltd. |
|
|
2,335 |
|
|
|
76,985 |
|
| Orica Ltd. |
|
|
2,718 |
|
|
|
55,306 |
|
| Ramsay Health Care Ltd. |
|
|
3,419 |
|
|
|
152,775 |
|
| Sonic Healthcare Ltd. |
|
|
10,376 |
|
|
|
166,235 |
|
| Sydney Airport |
|
|
18,501 |
|
|
|
71,987 |
|
| Tatts Group Ltd. |
|
|
43,152 |
|
|
|
116,195 |
|
| Telstra Corp. Ltd. |
|
|
81,706 |
|
|
|
385,280 |
|
| Transurban Group |
|
|
20,147 |
|
|
|
135,822 |
|
| Treasury Wine Estates Ltd. |
|
|
26,786 |
|
|
|
87,991 |
|
| Wesfarmers Ltd. |
|
|
9,690 |
|
|
|
371,277 |
|
| Westpac Banking Corp. |
|
|
2,508 |
|
|
|
80,639 |
|
| Woodside Petroleum Ltd. |
|
|
5,279 |
|
|
|
191,150 |
|
| Woolworths Ltd. |
|
|
11,415 |
|
|
|
378,543 |
|
| WorleyParsons Ltd. |
|
|
4,639 |
|
|
|
65,334 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,561,046 |
|
|
|
|
|
|
|
|
|
|
| Belgium - 1.2% |
|
| Anheuser-Busch InBev NV |
|
|
75 |
|
|
|
7,898 |
|
| Belgacom SA |
|
|
7,088 |
|
|
|
222,086 |
|
| Delhaize Group SA |
|
|
984 |
|
|
|
71,962 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
301,946 |
|
|
|
|
|
|
|
|
|
|
| Canada - 17.3% |
|
| Agnico Eagle Mines Ltd. (1) |
|
|
129 |
|
|
|
3,906 |
|
| Agrium, Inc. (1) |
|
|
200 |
|
|
|
19,490 |
|
| Alimentation Couche Tard, Inc., Class B (1) |
|
|
3,497 |
|
|
|
282,828 |
|
| Bank of Montreal (1) |
|
|
3,003 |
|
|
|
200,906 |
|
| Bank of Nova Scotia (1) |
|
|
4,380 |
|
|
|
253,687 |
|
| Barrick Gold Corp. (1) |
|
|
433 |
|
|
|
7,708 |
|
| BCE, Inc. (1) |
|
|
7,146 |
|
|
|
307,818 |
|
| Canadian Imperial Bank of Commerce (1) |
|
|
2,983 |
|
|
|
257,016 |
|
| Canadian National Railway Co. (1) |
|
|
2,422 |
|
|
|
136,075 |
|
| Canadian Tire Corp. Ltd., Class A (1) |
|
|
588 |
|
|
|
55,438 |
|
| Dollarama, Inc. (1) |
|
|
1,800 |
|
|
|
137,129 |
|
| Eldorado Gold Corp. (1) |
|
|
11,859 |
|
|
|
65,973 |
|
| Enbridge, Inc. (1) |
|
|
1,442 |
|
|
|
65,493 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Canada - 17.3% (continued) |
|
| Franco-Nevada Corp. (1) |
|
|
2,055 |
|
|
$ |
94,431 |
|
| Gildan Activewear, Inc. (1) |
|
|
700 |
|
|
|
35,275 |
|
| Goldcorp, Inc. (1) |
|
|
1,369 |
|
|
|
33,398 |
|
| Husky Energy, Inc. (1) |
|
|
4,300 |
|
|
|
128,981 |
|
| Imperial Oil Ltd. (1) |
|
|
4,571 |
|
|
|
212,859 |
|
| Intact Financial Corp. (1) |
|
|
3,404 |
|
|
|
211,846 |
|
| Kinross Gold Corp. (1)† |
|
|
20,191 |
|
|
|
83,467 |
|
| Loblaw Cos., Ltd. (1) |
|
|
2,096 |
|
|
|
88,921 |
|
| Metro, Inc. (1) |
|
|
3,274 |
|
|
|
192,205 |
|
| National Bank of Canada (1) |
|
|
3,946 |
|
|
|
158,126 |
|
| Pembina Pipeline Corp. (1) |
|
|
1,360 |
|
|
|
51,644 |
|
| Potash Corp of Saskatchewan, Inc. (1) |
|
|
2,340 |
|
|
|
84,646 |
|
| Rogers Communications, Inc., Class B (1) |
|
|
3,237 |
|
|
|
134,136 |
|
| Royal Bank of Canada (1) |
|
|
2,802 |
|
|
|
184,747 |
|
| Shaw Communications, Inc., Class B (1) |
|
|
2,904 |
|
|
|
69,349 |
|
| Silver Wheaton Corp. (1) |
|
|
5,352 |
|
|
|
121,419 |
|
| Thompson Reuters Corp. (1) |
|
|
2,838 |
|
|
|
97,013 |
|
| Tim Hortons, Inc. (1) |
|
|
5,023 |
|
|
|
277,798 |
|
| Toronto-Dominion Bank/The (1) |
|
|
4,998 |
|
|
|
234,325 |
|
| TransCanada Corp. (1) |
|
|
2,397 |
|
|
|
108,955 |
|
| Yamana Gold, Inc. (1) |
|
|
16,971 |
|
|
|
148,602 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,545,610 |
|
|
|
|
|
|
|
|
|
|
| Colombia - 0.1% |
|
| Pacific Rubiales Energy Corp. (1) |
|
|
1,756 |
|
|
|
31,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Denmark - 2.3% |
|
|
|
|
|
|
|
|
| Coloplast A/S, Class B |
|
|
3,086 |
|
|
|
249,507 |
|
| Novo Nordisk A/S, Class B |
|
|
5,830 |
|
|
|
265,453 |
|
| Novozymes A/S, B Shares |
|
|
1,790 |
|
|
|
78,686 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
593,646 |
|
|
|
|
|
|
|
|
|
|
| Finland - 0.1% |
|
| Fortum OYJ |
|
|
520 |
|
|
|
11,818 |
|
| Kone OYJ, Class B |
|
|
522 |
|
|
|
21,918 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,736 |
|
|
|
|
|
|
|
|
|
|
| France - 4.3% |
|
| Air Liquide SA |
|
|
34 |
|
|
|
4,604 |
|
| AtoS |
|
|
930 |
|
|
|
84,043 |
|
| Danone SA |
|
|
3,230 |
|
|
|
228,191 |
|
| Dassault Systemes |
|
|
819 |
|
|
|
95,836 |
|
| Essilor International SA |
|
|
1,093 |
|
|
|
110,303 |
|
| Iliad SA |
|
|
394 |
|
|
|
113,694 |
|
| L’Oreal SA |
|
|
1,088 |
|
|
|
179,499 |
|
| Pernod Ricard SA |
|
|
542 |
|
|
|
63,075 |
|
| Sanofi |
|
|
222 |
|
|
|
23,199 |
|
| SES SA FDR |
|
|
361 |
|
|
|
13,469 |
|
| Sodexo |
|
|
341 |
|
|
|
35,741 |
|
| Total SA |
|
|
2,600 |
|
|
|
171,144 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,122,798 |
|
|
|
|
|
|
|
|
|
|
| Germany - 3.5% |
|
| Adidas AG |
|
|
808 |
|
|
|
87,369 |
|
| BASF SE |
|
|
133 |
|
|
|
14,799 |
|
| Bayer AG |
|
|
971 |
|
|
|
131,496 |
|
| Beiersdorf AG |
|
|
3,124 |
|
|
|
304,696 |
|
| Deutsche Post AG |
|
|
1,190 |
|
|
|
44,241 |
|
| Fresenius Medical Care AG & Co. KGaA |
|
|
1,526 |
|
|
|
106,769 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
23 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Germany - 3.5% (continued) |
|
| Merck KGaA |
|
|
229 |
|
|
$ |
38,565 |
|
| Metro AG |
|
|
1,723 |
|
|
|
70,284 |
|
| SAP AG |
|
|
1,098 |
|
|
|
89,065 |
|
| Suedzucker AG |
|
|
1,209 |
|
|
|
34,481 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
921,765 |
|
|
|
|
|
|
|
|
|
|
| Hong Kong - 4.2% |
|
| BOC Hong Kong Holdings Ltd. |
|
|
21,500 |
|
|
|
61,392 |
|
| CLP Holdings Ltd. |
|
|
27,000 |
|
|
|
203,762 |
|
| Galaxy Entertainment Group Ltd. † |
|
|
3,000 |
|
|
|
26,185 |
|
| Hang Seng Bank Ltd. |
|
|
11,800 |
|
|
|
188,244 |
|
| Hong Kong & China Gas Co., Ltd. |
|
|
97,900 |
|
|
|
213,888 |
|
| MGM China Holdings Ltd. |
|
|
11,200 |
|
|
|
39,570 |
|
| Power Assets Holdings Ltd. |
|
|
29,000 |
|
|
|
251,708 |
|
| SJM Holdings Ltd. |
|
|
35,000 |
|
|
|
98,603 |
|
| Wynn Macau Ltd. |
|
|
4,800 |
|
|
|
19,979 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,103,331 |
|
|
|
|
|
|
|
|
|
|
| Italy - 0.6% |
|
| Luxottica Group SpA |
|
|
2,742 |
|
|
|
158,435 |
|
| Tenaris SA |
|
|
415 |
|
|
|
9,171 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
167,606 |
|
|
|
|
|
|
|
|
|
|
| Japan - 15.4% |
|
| Ajinomoto Co., Inc. |
|
|
2,000 |
|
|
|
28,624 |
|
| Asahi Group Holdings Ltd. |
|
|
1,400 |
|
|
|
39,250 |
|
| Astellas Pharma, Inc. |
|
|
13,000 |
|
|
|
154,343 |
|
| Bank of Yokohama Ltd./The |
|
|
2,000 |
|
|
|
9,976 |
|
| Calbee, Inc. |
|
|
4,100 |
|
|
|
96,607 |
|
| Canon, Inc. |
|
|
3,400 |
|
|
|
105,522 |
|
| Central Japan Railway Co. |
|
|
300 |
|
|
|
35,043 |
|
| Chiba Bank Ltd./The |
|
|
4,000 |
|
|
|
24,621 |
|
| Chugai Pharmaceutical Co., Ltd. |
|
|
9,200 |
|
|
|
234,989 |
|
| Dai Nippon Printing Co., Ltd. |
|
|
1,000 |
|
|
|
9,563 |
|
| Daihatsu Motor Co., Ltd. |
|
|
1,700 |
|
|
|
30,018 |
|
| Daiichi Sankyo Co., Ltd. |
|
|
1,900 |
|
|
|
32,016 |
|
| Dentsu, Inc. |
|
|
300 |
|
|
|
11,360 |
|
| East Japan Railway Co. |
|
|
300 |
|
|
|
22,097 |
|
| Eisai Co., Ltd. |
|
|
2,900 |
|
|
|
112,729 |
|
| FamilyMart Co., Ltd. |
|
|
3,300 |
|
|
|
145,121 |
|
| FUJIFILM Holdings Corp. |
|
|
800 |
|
|
|
21,474 |
|
| GungHo Online Entertainment, Inc. |
|
|
17,200 |
|
|
|
93,499 |
|
| Hoya Corp. |
|
|
3,100 |
|
|
|
96,971 |
|
| Inpex Corp. |
|
|
4,000 |
|
|
|
51,941 |
|
| Japan Airlines Co., Ltd. |
|
|
600 |
|
|
|
29,529 |
|
| Japan Tobacco, Inc. |
|
|
500 |
|
|
|
15,694 |
|
| JX Holdings, Inc. |
|
|
5,700 |
|
|
|
27,480 |
|
| Kao Corp. |
|
|
4,300 |
|
|
|
152,280 |
|
| KDDI Corp. |
|
|
400 |
|
|
|
23,226 |
|
| Konica Minolta, Inc. |
|
|
5,500 |
|
|
|
51,456 |
|
| Kuraray Co., Ltd. |
|
|
1,300 |
|
|
|
14,874 |
|
| Lawson, Inc. |
|
|
900 |
|
|
|
63,683 |
|
| Mitsubishi Motors Corp. |
|
|
3,600 |
|
|
|
37,598 |
|
| Mitsubishi Tanabe Pharma Corp. |
|
|
300 |
|
|
|
4,198 |
|
| Namco Bandai Holdings, Inc. |
|
|
2,200 |
|
|
|
52,183 |
|
| Nikon Corp. |
|
|
1,600 |
|
|
|
25,777 |
|
| Nippon Express Co., Ltd. |
|
|
12,000 |
|
|
|
58,688 |
|
| Nippon Meat Packers, Inc. |
|
|
2,000 |
|
|
|
29,772 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Japan - 15.4% (continued) |
|
| Nippon Yusen KK |
|
|
3,000 |
|
|
$ |
8,713 |
|
| Nitori Holdings Co., Ltd. |
|
|
1,600 |
|
|
|
69,434 |
|
| Nomura Research Institute Ltd. |
|
|
2,200 |
|
|
|
69,402 |
|
| NTT DOCOMO, Inc. |
|
|
8,900 |
|
|
|
140,242 |
|
| Omron Corp. |
|
|
1,400 |
|
|
|
57,927 |
|
| Oriental Land Co., Ltd. |
|
|
200 |
|
|
|
30,404 |
|
| Osaka Gas Co., Ltd. |
|
|
40,000 |
|
|
|
151,179 |
|
| Otsuka Holdings Co., Ltd. |
|
|
6,300 |
|
|
|
188,466 |
|
| Sanrio Co., Ltd. |
|
|
400 |
|
|
|
13,502 |
|
| Secom Co., Ltd. |
|
|
1,400 |
|
|
|
80,479 |
|
| Seven & I Holdings Co., Ltd. |
|
|
3,900 |
|
|
|
148,608 |
|
| Shimamura Co., Ltd. |
|
|
1,300 |
|
|
|
112,494 |
|
| Shin-Etsu Chemical Co., Ltd. |
|
|
800 |
|
|
|
45,605 |
|
| Shiseido Co., Ltd. |
|
|
600 |
|
|
|
10,571 |
|
| Shizuoka Bank Ltd./The |
|
|
4,000 |
|
|
|
38,981 |
|
| Suzuki Motor Corp. |
|
|
900 |
|
|
|
23,465 |
|
| Sysmex Corp. |
|
|
400 |
|
|
|
12,753 |
|
| Takashimaya Co., Ltd. |
|
|
5,000 |
|
|
|
46,800 |
|
| Takeda Pharmaceutical Co., Ltd. |
|
|
1,000 |
|
|
|
47,332 |
|
| Terumo Corp. |
|
|
1,800 |
|
|
|
39,206 |
|
| Tokyo Gas Co., Ltd. |
|
|
30,000 |
|
|
|
152,120 |
|
| Toppan Printing Co., Ltd. |
|
|
3,000 |
|
|
|
21,449 |
|
| Toyo Suisan Kaisha Ltd. |
|
|
4,000 |
|
|
|
133,656 |
|
| Trend Micro, Inc. |
|
|
3,200 |
|
|
|
98,869 |
|
| Unicharm Corp. |
|
|
1,300 |
|
|
|
69,364 |
|
| West Japan Railway Co. |
|
|
1,300 |
|
|
|
53,061 |
|
| Yakult Honsha Co., Ltd. |
|
|
1,600 |
|
|
|
80,316 |
|
| Yamato Holdings Co., Ltd. |
|
|
7,200 |
|
|
|
154,953 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,041,553 |
|
|
|
|
|
|
|
|
|
|
| Netherlands - 1.7% |
|
| Gemalto NV |
|
|
55 |
|
|
|
6,410 |
|
| Koninklijke Ahold NV † |
|
|
12,875 |
|
|
|
258,580 |
|
| Randstad Holding NV |
|
|
201 |
|
|
|
11,764 |
|
| Unilever NV CVA |
|
|
4,299 |
|
|
|
176,838 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
453,592 |
|
|
|
|
|
|
|
|
|
|
| Norway - 1.8% |
|
| Orkla ASA |
|
|
5,852 |
|
|
|
49,889 |
|
| Statoil ASA |
|
|
5,809 |
|
|
|
163,899 |
|
| Telenor ASA |
|
|
11,356 |
|
|
|
251,341 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
465,129 |
|
|
|
|
|
|
|
|
|
|
| Singapore - 2.1% |
|
| DBS Group Holdings Ltd. |
|
|
3,000 |
|
|
|
38,652 |
|
| Golden Agri-Resources Ltd. |
|
|
139,000 |
|
|
|
63,593 |
|
| Oversea-Chinese Banking Corp. Ltd. |
|
|
7,000 |
|
|
|
52,922 |
|
| Singapore Telecommunications Ltd. |
|
|
110,000 |
|
|
|
319,739 |
|
| United Overseas Bank Ltd. |
|
|
1,000 |
|
|
|
17,249 |
|
| Wilmar International Ltd. |
|
|
21,000 |
|
|
|
57,865 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
550,020 |
|
|
|
|
|
|
|
|
|
|
| Spain - 0.8% |
|
| Enagas SA |
|
|
1,116 |
|
|
|
33,949 |
|
| Inditex SA |
|
|
946 |
|
|
|
141,927 |
|
| Telefonica SA |
|
|
2,233 |
|
|
|
35,386 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
211,262 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 24 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Sweden - 3.1% |
|
| Elekta AB, B Shares |
|
|
3,700 |
|
|
$ |
49,256 |
|
| Hennes & Mauritz AB, B Shares |
|
|
5,960 |
|
|
|
254,196 |
|
| Svenska Cellulosa AB SCA, Class B |
|
|
2,577 |
|
|
|
75,896 |
|
| Swedish Match AB |
|
|
4,628 |
|
|
|
151,505 |
|
| Tele2 AB, B Shares |
|
|
11,780 |
|
|
|
146,255 |
|
| TeliaSonera AB |
|
|
18,852 |
|
|
|
142,378 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
819,486 |
|
|
|
|
|
|
|
|
|
|
| Switzerland - 5.0% |
|
| Kuehne + Nagel International AG |
|
|
1,639 |
|
|
|
229,368 |
|
| Nestle SA |
|
|
4,456 |
|
|
|
335,402 |
|
| Novartis AG |
|
|
3,246 |
|
|
|
275,611 |
|
| Roche Holding AG |
|
|
460 |
|
|
|
138,351 |
|
| SGS SA |
|
|
71 |
|
|
|
175,105 |
|
| Swisscom AG |
|
|
229 |
|
|
|
140,692 |
|
| Syngenta AG |
|
|
36 |
|
|
|
13,667 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,308,196 |
|
|
|
|
|
|
|
|
|
|
| United Kingdom - 12.9% |
|
| Associated British Foods PLC |
|
|
6,170 |
|
|
|
286,302 |
|
| AstraZeneca PLC |
|
|
5,280 |
|
|
|
342,287 |
|
| British American Tobacco PLC |
|
|
2,943 |
|
|
|
164,177 |
|
| British Sky Broadcasting Group PLC |
|
|
4,156 |
|
|
|
63,228 |
|
| Burberry Group PLC |
|
|
821 |
|
|
|
19,088 |
|
| Centrica PLC |
|
|
41,953 |
|
|
|
230,803 |
|
| Compass Group PLC |
|
|
11,794 |
|
|
|
180,080 |
|
| Diageo PLC |
|
|
926 |
|
|
|
28,761 |
|
| Experian PLC |
|
|
561 |
|
|
|
10,124 |
|
| GlaxoSmithKline PLC |
|
|
3,803 |
|
|
|
101,408 |
|
| Imperial Tobacco Group PLC |
|
|
2,019 |
|
|
|
81,644 |
|
| J Sainsbury PLC |
|
|
11,370 |
|
|
|
59,959 |
|
| Marks & Spencer Group PLC |
|
|
4,636 |
|
|
|
34,899 |
|
| National Grid PLC |
|
|
20,399 |
|
|
|
280,315 |
|
| Next PLC |
|
|
481 |
|
|
|
52,934 |
|
| Pearson PLC |
|
|
795 |
|
|
|
14,114 |
|
| Reckitt Benckiser Group PLC |
|
|
3,113 |
|
|
|
254,036 |
|
| Rexam PLC |
|
|
3,950 |
|
|
|
32,098 |
|
| Royal Dutch Shell PLC, B Shares |
|
|
2,950 |
|
|
|
115,169 |
|
| SABMiller PLC |
|
|
623 |
|
|
|
31,151 |
|
| Sage Group PLC/The |
|
|
3,363 |
|
|
|
23,456 |
|
| Shire PLC |
|
|
4,086 |
|
|
|
202,279 |
|
| Smith & Nephew PLC |
|
|
14,510 |
|
|
|
220,376 |
|
| SSE PLC |
|
|
9,272 |
|
|
|
227,109 |
|
| Tate & Lyle PLC |
|
|
4,053 |
|
|
|
45,141 |
|
| Tesco PLC |
|
|
2,518 |
|
|
|
12,419 |
|
| United Utilities Group PLC |
|
|
2,762 |
|
|
|
36,332 |
|
| Whitbread PLC |
|
|
1,298 |
|
|
|
90,096 |
|
| WM Morrison Supermarkets PLC |
|
|
44,777 |
|
|
|
159,215 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,399,000 |
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCKS
(cost $22,943,779) |
|
|
|
|
|
|
24,631,347 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| PREFERRED STOCKS - 0.6% |
|
|
|
|
|
|
|
|
|
|
|
| Germany - 0.6% |
|
|
|
|
|
|
|
|
| Henkel AG & Co. KGaA
(cost $133,153) |
|
|
1,444 |
|
|
|
155,435 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| EXCHANGE-TRADED FUNDS - 4.7% |
|
|
|
|
|
|
|
|
| iShares MSCI EAFE ETF (1)
(cost $1,147,032) |
|
|
18,361 |
|
|
$ |
1,233,308 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| MONEY MARKET FUNDS - 0.7% |
|
|
|
|
|
|
|
|
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, |
|
|
|
|
|
|
|
|
| 0.000% (a)
(cost $171,774) |
|
|
171,774 |
|
|
|
171,774 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS - 99.8%
(cost $24,395,738) |
|
|
|
|
|
|
26,191,864 |
|
|
|
|
|
|
|
|
|
|
| OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2% |
|
|
|
|
|
|
64,107 |
|
|
|
|
|
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
|
|
|
$ |
26,255,971 |
|
|
|
|
|
|
|
|
|
|
| † |
Non income-producing security. |
| (a) |
Represents annualized seven-day yield as of March 31, 2014. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) |
Level 1 security (See Note 4). |
The following abbreviations are
used in portfolio descriptions:
CVA - Dutch Certificate of Shares
FDR - Fiduciary Depositary Receipt
|
|
|
|
|
|
|
|
|
| SECTOR |
|
VALUE |
|
|
% OF NET
ASSETS |
|
| Consumer Discretionary |
|
$ |
2,810,188 |
|
|
|
10.7 |
% |
| Consumer Staples |
|
|
6,046,102 |
|
|
|
23.0 |
|
| Energy |
|
|
1,464,108 |
|
|
|
5.6 |
|
| Financials |
|
|
2,441,113 |
|
|
|
9.3 |
|
| Health Care |
|
|
3,797,476 |
|
|
|
14.5 |
|
| Industrials |
|
|
1,566,691 |
|
|
|
6.0 |
|
| Information Technology |
|
|
893,930 |
|
|
|
3.4 |
|
| Materials |
|
|
1,190,469 |
|
|
|
4.5 |
|
| Mutual Fund |
|
|
1,233,308 |
|
|
|
4.7 |
|
| Telecommunication Services |
|
|
2,362,271 |
|
|
|
9.0 |
|
| Utilities |
|
|
2,214,434 |
|
|
|
8.4 |
|
| Money Market Funds |
|
|
171,774 |
|
|
|
0.7 |
|
|
|
|
|
|
|
|
|
|
| Total Investments |
|
|
26,191,864 |
|
|
|
99.8 |
|
| Other Assets in Excess of Liabilities |
|
|
64,107 |
|
|
|
0.2 |
|
|
|
|
|
|
|
|
|
|
| Net Assets |
|
$ |
26,255,971 |
|
|
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
25 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR U.S. DEFENSIVE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCKS - 96.3% |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Consumer Discretionary - 12.4% |
|
|
|
|
|
|
|
|
| Advance Auto Parts, Inc. |
|
|
2,962 |
|
|
$ |
374,693 |
|
| Amazon.com, Inc. † |
|
|
6,312 |
|
|
|
2,124,114 |
|
| AutoZone, Inc. † |
|
|
3,160 |
|
|
|
1,697,236 |
|
| Bed Bath & Beyond, Inc. † |
|
|
11,808 |
|
|
|
812,390 |
|
| Big Lots, Inc. † |
|
|
10,249 |
|
|
|
388,130 |
|
| Chipotle Mexican Grill, Inc. † |
|
|
2,459 |
|
|
|
1,396,835 |
|
| Discovery Communications, Inc., Class A † |
|
|
900 |
|
|
|
74,430 |
|
| Dollar Tree, Inc. † |
|
|
19,670 |
|
|
|
1,026,381 |
|
| Domino’s Pizza, Inc. |
|
|
10,400 |
|
|
|
800,488 |
|
| Family Dollar Stores, Inc. |
|
|
7,616 |
|
|
|
441,804 |
|
| Groupon, Inc. † |
|
|
114,200 |
|
|
|
895,328 |
|
| Home Depot, Inc./The |
|
|
23,683 |
|
|
|
1,874,036 |
|
| Lowe’s Cos., Inc. |
|
|
6,800 |
|
|
|
332,520 |
|
| McDonald’s Corp. |
|
|
32,251 |
|
|
|
3,161,566 |
|
| NIKE, Inc., Class B |
|
|
8,358 |
|
|
|
617,322 |
|
| O’Reilly Automotive, Inc. † |
|
|
6,249 |
|
|
|
927,289 |
|
| Panera Bread Co., Class A † |
|
|
3,450 |
|
|
|
608,821 |
|
| PetSmart, Inc. |
|
|
14,869 |
|
|
|
1,024,325 |
|
| priceline.com, Inc. † |
|
|
1,268 |
|
|
|
1,511,316 |
|
| Ralph Lauren Corp. |
|
|
876 |
|
|
|
140,975 |
|
| Scripps Networks Interactive, Inc., Class A |
|
|
11,566 |
|
|
|
877,975 |
|
| Starbucks Corp. |
|
|
15,010 |
|
|
|
1,101,434 |
|
| Target Corp. |
|
|
9,298 |
|
|
|
562,622 |
|
| Time Warner, Inc. |
|
|
8,467 |
|
|
|
553,149 |
|
| TJX Cos., Inc./The |
|
|
12,740 |
|
|
|
772,681 |
|
| Tractor Supply Co. |
|
|
1,996 |
|
|
|
140,977 |
|
| TripAdvisor, Inc. † |
|
|
15,700 |
|
|
|
1,422,263 |
|
| Tupperware Brands Corp. |
|
|
3,334 |
|
|
|
279,256 |
|
| Viacom, Inc., Class B |
|
|
6,413 |
|
|
|
545,041 |
|
| Walt Disney Co./The |
|
|
9,600 |
|
|
|
768,672 |
|
| Yum! Brands, Inc. |
|
|
14,963 |
|
|
|
1,128,061 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
28,382,130 |
|
|
|
|
|
|
|
|
|
|
| Consumer Staples - 19.7% |
|
| Altria Group, Inc. |
|
|
74,427 |
|
|
|
2,785,803 |
|
| Archer-Daniels-Midland Co. |
|
|
17,155 |
|
|
|
744,355 |
|
| Brown-Forman Corp., Class B |
|
|
8,555 |
|
|
|
767,298 |
|
| Church & Dwight Co., Inc. |
|
|
21,971 |
|
|
|
1,517,537 |
|
| Clorox Co./The |
|
|
6,979 |
|
|
|
614,222 |
|
| Coca-Cola Co./The |
|
|
30,855 |
|
|
|
1,192,854 |
|
| Colgate-Palmolive Co. |
|
|
51,770 |
|
|
|
3,358,320 |
|
| Costco Wholesale Corp. |
|
|
24,323 |
|
|
|
2,716,393 |
|
| CVS Caremark Corp. |
|
|
5,919 |
|
|
|
443,096 |
|
| Estee Lauder Cos., Inc./The, Class A |
|
|
14,956 |
|
|
|
1,000,257 |
|
| General Mills, Inc. |
|
|
26,254 |
|
|
|
1,360,482 |
|
| Hershey Co./The |
|
|
24,551 |
|
|
|
2,563,124 |
|
| Hormel Foods Corp. |
|
|
29,349 |
|
|
|
1,446,025 |
|
| JM Smucker Co./The |
|
|
985 |
|
|
|
95,781 |
|
| Kellogg Co. |
|
|
6,276 |
|
|
|
393,568 |
|
| Keurig Green Mountain, Inc. |
|
|
1,000 |
|
|
|
105,590 |
|
| Kimberly-Clark Corp. |
|
|
27,150 |
|
|
|
2,993,288 |
|
| Kroger Co./The |
|
|
11,601 |
|
|
|
506,384 |
|
| Lorillard, Inc. |
|
|
14,333 |
|
|
|
775,129 |
|
| McCormick & Co., Inc. |
|
|
16,680 |
|
|
|
1,196,623 |
|
| Monster Beverage Corp. † |
|
|
14,403 |
|
|
|
1,000,288 |
|
| Nu Skin Enterprises, Inc., Class A |
|
|
300 |
|
|
|
24,855 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Consumer Staples - 19.7% (continued) |
|
| PepsiCo, Inc. |
|
|
36,102 |
|
|
$ |
3,014,517 |
|
| Philip Morris International, Inc. |
|
|
24,508 |
|
|
|
2,006,470 |
|
| Procter & Gamble Co./The |
|
|
36,021 |
|
|
|
2,903,293 |
|
| Reynolds American, Inc. |
|
|
54,934 |
|
|
|
2,934,574 |
|
| Sysco Corp. |
|
|
42,544 |
|
|
|
1,537,115 |
|
| Walgreen Co. |
|
|
18,855 |
|
|
|
1,244,996 |
|
| Wal-Mart Stores, Inc. |
|
|
43,911 |
|
|
|
3,356,118 |
|
| Whole Foods Market, Inc. |
|
|
8,665 |
|
|
|
439,402 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
45,037,757 |
|
|
|
|
|
|
|
|
|
|
| Energy - 1.1% |
|
| Chevron Corp. |
|
|
5,830 |
|
|
|
693,245 |
|
| Diamond Offshore Drilling, Inc. |
|
|
900 |
|
|
|
43,884 |
|
| EOG Resources, Inc. |
|
|
1,200 |
|
|
|
235,404 |
|
| Exxon Mobil Corp. |
|
|
12,032 |
|
|
|
1,175,286 |
|
| Occidental Petroleum Corp. |
|
|
3,094 |
|
|
|
294,827 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,442,646 |
|
|
|
|
|
|
|
|
|
|
| Financials - 11.8% |
|
| ACE Ltd. (Switzerland) |
|
|
11,364 |
|
|
|
1,125,718 |
|
| Alleghany Corp. † |
|
|
800 |
|
|
|
325,904 |
|
| Allied World Assurance Co. Holdings AG (Switzerland) |
|
|
2,300 |
|
|
|
237,337 |
|
| Aon PLC (United Kingdom) |
|
|
9,700 |
|
|
|
817,516 |
|
| Arch Capital Group Ltd. † |
|
|
18,900 |
|
|
|
1,087,506 |
|
| Bank of Hawaii Corp. |
|
|
23,363 |
|
|
|
1,416,031 |
|
| BankUnited, Inc. |
|
|
16,500 |
|
|
|
573,705 |
|
| BB&T Corp. |
|
|
3,286 |
|
|
|
131,999 |
|
| Chubb Corp./The |
|
|
23,845 |
|
|
|
2,129,359 |
|
| City National Corp. |
|
|
5,231 |
|
|
|
411,784 |
|
| Commerce Bancshares, Inc. |
|
|
6,800 |
|
|
|
315,656 |
|
| Cullen/Frost Bankers, Inc. |
|
|
24,576 |
|
|
|
1,905,377 |
|
| Everest Re Group Ltd. |
|
|
12,270 |
|
|
|
1,877,924 |
|
| M&T Bank Corp. |
|
|
16,051 |
|
|
|
1,946,986 |
|
| Markel Corp. † |
|
|
3,000 |
|
|
|
1,788,300 |
|
| Marsh & McLennan Cos., Inc. |
|
|
13,807 |
|
|
|
680,685 |
|
| New York Community Bancorp, Inc. |
|
|
76,278 |
|
|
|
1,225,788 |
|
| Northern Trust Corp. |
|
|
19,974 |
|
|
|
1,309,495 |
|
| People’s United Financial, Inc. |
|
|
131,916 |
|
|
|
1,961,591 |
|
| PNC Financial Services Group, Inc./The |
|
|
800 |
|
|
|
69,600 |
|
| Progressive Corp./The |
|
|
23,226 |
|
|
|
562,534 |
|
| RenaissanceRe Holdings Ltd. |
|
|
3,200 |
|
|
|
312,320 |
|
| Signature Bank † |
|
|
6,700 |
|
|
|
841,453 |
|
| SVB Financial Group † |
|
|
533 |
|
|
|
68,640 |
|
| Travelers Cos., Inc./The |
|
|
15,843 |
|
|
|
1,348,239 |
|
| US Bancorp |
|
|
29,916 |
|
|
|
1,282,200 |
|
| Wells Fargo & Co. |
|
|
12,400 |
|
|
|
616,776 |
|
| WR Berkley Corp. |
|
|
13,560 |
|
|
|
564,367 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,934,790 |
|
|
|
|
|
|
|
|
|
|
| Health Care - 16.3% |
|
| Abbott Laboratories |
|
|
35,102 |
|
|
|
1,351,778 |
|
| AbbVie, Inc. |
|
|
11,200 |
|
|
|
575,680 |
|
| Aetna, Inc. |
|
|
13,432 |
|
|
|
1,006,997 |
|
| Alexion Pharmaceuticals, Inc. † |
|
|
6,800 |
|
|
|
1,034,484 |
|
| Allergan, Inc. |
|
|
10,176 |
|
|
|
1,262,842 |
|
| AmerisourceBergen Corp. |
|
|
23,923 |
|
|
|
1,569,110 |
|
| Amgen, Inc. |
|
|
293 |
|
|
|
36,139 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 26 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR U.S. DEFENSIVE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Health Care - 16.3% (continued) |
|
| Baxter International, Inc. |
|
|
6,585 |
|
|
$ |
484,524 |
|
| Becton Dickinson and Co. |
|
|
15,102 |
|
|
|
1,768,142 |
|
| Biogen Idec, Inc. † |
|
|
3,377 |
|
|
|
1,032,923 |
|
| Bristol-Myers Squibb Co. |
|
|
10,257 |
|
|
|
532,851 |
|
| Cardinal Health, Inc. |
|
|
14,724 |
|
|
|
1,030,385 |
|
| Celgene Corp. † |
|
|
5,893 |
|
|
|
822,663 |
|
| Cerner Corp. † |
|
|
12,397 |
|
|
|
697,331 |
|
| CR Bard, Inc. |
|
|
7,504 |
|
|
|
1,110,442 |
|
| DENTSPLY International, Inc. |
|
|
800 |
|
|
|
36,832 |
|
| Edwards Lifesciences Corp. † |
|
|
5,469 |
|
|
|
405,636 |
|
| Eli Lilly & Co. |
|
|
36,528 |
|
|
|
2,150,038 |
|
| Gilead Sciences, Inc. † |
|
|
800 |
|
|
|
56,688 |
|
| Henry Schein, Inc. † |
|
|
7,538 |
|
|
|
899,811 |
|
| Humana, Inc. |
|
|
2,300 |
|
|
|
259,256 |
|
| IDEXX Laboratories, Inc. † |
|
|
12,083 |
|
|
|
1,466,876 |
|
| Johnson & Johnson |
|
|
35,193 |
|
|
|
3,457,008 |
|
| Laboratory Corp of America Holdings † |
|
|
10,617 |
|
|
|
1,042,696 |
|
| Mallinckrodt PLC (Ireland) † |
|
|
1,000 |
|
|
|
63,410 |
|
| McKesson Corp. |
|
|
11,061 |
|
|
|
1,953,041 |
|
| MEDNAX, Inc. † |
|
|
7,944 |
|
|
|
492,369 |
|
| Medtronic, Inc. |
|
|
15,031 |
|
|
|
925,008 |
|
| Merck & Co., Inc. |
|
|
28,885 |
|
|
|
1,639,801 |
|
| Mettler-Toledo International, Inc. † |
|
|
2,848 |
|
|
|
671,217 |
|
| Myriad Genetics, Inc. † |
|
|
13,246 |
|
|
|
452,881 |
|
| Omnicare, Inc. |
|
|
4,100 |
|
|
|
244,647 |
|
| Patterson Cos., Inc. |
|
|
16,133 |
|
|
|
673,714 |
|
| Pfizer, Inc. |
|
|
32,370 |
|
|
|
1,039,724 |
|
| Quest Diagnostics, Inc. |
|
|
589 |
|
|
|
34,115 |
|
| ResMed, Inc. |
|
|
4,300 |
|
|
|
192,167 |
|
| Seattle Genetics, Inc. † |
|
|
7,900 |
|
|
|
359,924 |
|
| Stryker Corp. |
|
|
22,109 |
|
|
|
1,801,220 |
|
| Techne Corp. |
|
|
6,200 |
|
|
|
529,294 |
|
| UnitedHealth Group, Inc. |
|
|
13,878 |
|
|
|
1,137,857 |
|
| Vertex Pharmaceuticals, Inc. † |
|
|
5,400 |
|
|
|
381,888 |
|
| Waters Corp. † |
|
|
300 |
|
|
|
32,523 |
|
| WellPoint, Inc. |
|
|
600 |
|
|
|
59,730 |
|
| Zimmer Holdings, Inc. |
|
|
5,977 |
|
|
|
565,305 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
37,340,967 |
|
|
|
|
|
|
|
|
|
|
| Industrials - 6.2% |
|
| 3M Co. |
|
|
10,446 |
|
|
|
1,417,104 |
|
| Alaska Air Group, Inc. |
|
|
2,200 |
|
|
|
205,282 |
|
| Boeing Co./The |
|
|
7,900 |
|
|
|
991,371 |
|
| Cintas Corp. |
|
|
15,682 |
|
|
|
934,804 |
|
| Copa Holdings SA, Class A (Panama) |
|
|
2,700 |
|
|
|
392,013 |
|
| Danaher Corp. |
|
|
4,349 |
|
|
|
326,175 |
|
| Dun & Bradstreet Corp./The |
|
|
2,941 |
|
|
|
292,188 |
|
| Equifax, Inc. |
|
|
3,815 |
|
|
|
259,535 |
|
| Fastenal Co. |
|
|
2,400 |
|
|
|
118,368 |
|
| FedEx Corp. |
|
|
2,400 |
|
|
|
318,144 |
|
| General Dynamics Corp. |
|
|
1,185 |
|
|
|
129,070 |
|
| Honeywell International, Inc. |
|
|
2,469 |
|
|
|
229,024 |
|
| Landstar System, Inc. |
|
|
6,241 |
|
|
|
369,592 |
|
| Lockheed Martin Corp. |
|
|
900 |
|
|
|
146,916 |
|
| MSC Industrial Direct Co., Inc., Class A |
|
|
7,535 |
|
|
|
651,928 |
|
| Northrop Grumman Corp. |
|
|
1,954 |
|
|
|
241,085 |
|
| Raytheon Co. |
|
|
10,245 |
|
|
|
1,012,104 |
|
| Republic Services, Inc. |
|
|
9,694 |
|
|
|
331,147 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Industrials - 6.2% (continued) |
|
| Southwest Airlines Co. |
|
|
3,800 |
|
|
$ |
89,718 |
|
| Stericycle, Inc. † |
|
|
23,306 |
|
|
|
2,648,028 |
|
| Union Pacific Corp. |
|
|
2,300 |
|
|
|
431,618 |
|
| United Parcel Service, Inc., Class B |
|
|
7,039 |
|
|
|
685,458 |
|
| United Technologies Corp. |
|
|
837 |
|
|
|
97,795 |
|
| Waste Connections, Inc. |
|
|
4,300 |
|
|
|
188,598 |
|
| Waste Management, Inc. |
|
|
30,390 |
|
|
|
1,278,507 |
|
| WW Grainger, Inc. |
|
|
1,345 |
|
|
|
339,828 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,125,400 |
|
|
|
|
|
|
|
|
|
|
| Information Technology - 14.7% |
|
| Accenture PLC, Class A (Ireland) |
|
|
5,360 |
|
|
|
427,299 |
|
| Adobe Systems, Inc. † |
|
|
8,871 |
|
|
|
583,180 |
|
| Amdocs Ltd. |
|
|
4,200 |
|
|
|
195,132 |
|
| Analog Devices, Inc. |
|
|
21,734 |
|
|
|
1,154,945 |
|
| Apple, Inc. |
|
|
400 |
|
|
|
214,696 |
|
| Autodesk, Inc. † |
|
|
11,991 |
|
|
|
589,717 |
|
| Automatic Data Processing, Inc. |
|
|
34,071 |
|
|
|
2,632,325 |
|
| Cognizant Technology Solutions Corp., Class A † |
|
|
10,400 |
|
|
|
526,344 |
|
| F5 Networks, Inc. † |
|
|
8,118 |
|
|
|
865,622 |
|
| FactSet Research Systems, Inc. |
|
|
9,420 |
|
|
|
1,015,570 |
|
| FLIR Systems, Inc. |
|
|
15,600 |
|
|
|
561,600 |
|
| Gartner, Inc. † |
|
|
9,200 |
|
|
|
638,848 |
|
| Google, Inc., Class A † |
|
|
2,048 |
|
|
|
2,282,516 |
|
| Harris Corp. |
|
|
2,898 |
|
|
|
212,018 |
|
| IAC/InterActiveCorp |
|
|
400 |
|
|
|
28,556 |
|
| Informatica Corp. † |
|
|
1,073 |
|
|
|
40,538 |
|
| Intel Corp. |
|
|
42,788 |
|
|
|
1,104,358 |
|
| International Business Machines Corp. |
|
|
11,330 |
|
|
|
2,180,912 |
|
| Intuit, Inc. |
|
|
26,013 |
|
|
|
2,021,990 |
|
| Jack Henry & Associates, Inc. |
|
|
5,900 |
|
|
|
328,984 |
|
| KLA-Tencor Corp. |
|
|
10,574 |
|
|
|
731,086 |
|
| Linear Technology Corp. |
|
|
32,966 |
|
|
|
1,605,115 |
|
| LinkedIn Corp., Class A † |
|
|
3,600 |
|
|
|
665,784 |
|
| MasterCard, Inc., Class A |
|
|
20,060 |
|
|
|
1,498,482 |
|
| Maxim Integrated Products, Inc. |
|
|
6,300 |
|
|
|
208,656 |
|
| Microchip Technology, Inc. |
|
|
989 |
|
|
|
47,235 |
|
| Microsoft Corp. |
|
|
22,165 |
|
|
|
908,543 |
|
| NetApp, Inc. |
|
|
8,228 |
|
|
|
303,613 |
|
| NetSuite, Inc. † |
|
|
600 |
|
|
|
56,898 |
|
| Palo Alto Networks, Inc. † |
|
|
7,700 |
|
|
|
528,220 |
|
| Paychex, Inc. |
|
|
40,650 |
|
|
|
1,731,690 |
|
| QUALCOMM, Inc. |
|
|
13,200 |
|
|
|
1,040,952 |
|
| Red Hat, Inc. † |
|
|
9,664 |
|
|
|
511,999 |
|
| Splunk, Inc. † |
|
|
2,300 |
|
|
|
164,427 |
|
| Synopsys, Inc. † |
|
|
5,672 |
|
|
|
217,862 |
|
| Teradata Corp. † |
|
|
1,329 |
|
|
|
65,374 |
|
| Texas Instruments, Inc. |
|
|
13,034 |
|
|
|
614,553 |
|
| Total System Services, Inc. |
|
|
11,650 |
|
|
|
354,277 |
|
| VeriSign, Inc. † |
|
|
2,300 |
|
|
|
123,993 |
|
| Visa, Inc., Class A |
|
|
10,449 |
|
|
|
2,255,521 |
|
| VMware, Inc., Class A † |
|
|
4,633 |
|
|
|
500,457 |
|
| Workday, Inc., Class A † |
|
|
4,400 |
|
|
|
402,292 |
|
| Xilinx, Inc. |
|
|
20,404 |
|
|
|
1,107,325 |
|
| Zebra Technologies Corp., Class A † |
|
|
5,600 |
|
|
|
388,696 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,638,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
27 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR U.S. DEFENSIVE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Materials - 1.0% |
|
| International Flavors & Fragrances, Inc. |
|
|
1,627 |
|
|
$ |
155,655 |
|
| PPG Industries, Inc. |
|
|
2,000 |
|
|
|
386,920 |
|
| Sherwin-Williams Co./The |
|
|
3,570 |
|
|
|
703,754 |
|
| Sigma-Aldrich Corp. |
|
|
11,348 |
|
|
|
1,059,676 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,306,005 |
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services - 1.3% |
|
| AT&T, Inc. (2) |
|
|
38,564 |
|
|
|
1,352,439 |
|
| tw telecom, Inc. † |
|
|
16,925 |
|
|
|
529,076 |
|
| Verizon Communications, Inc. |
|
|
24,702 |
|
|
|
1,175,074 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,056,589 |
|
|
|
|
|
|
|
|
|
|
| Utilities - 11.8% |
|
| AGL Resources, Inc. |
|
|
25,500 |
|
|
|
1,248,480 |
|
| Alliant Energy Corp. |
|
|
8,666 |
|
|
|
492,315 |
|
| American Electric Power Co., Inc. |
|
|
15,879 |
|
|
|
804,430 |
|
| American Water Works Co., Inc. |
|
|
19,832 |
|
|
|
900,373 |
|
| Aqua America, Inc. |
|
|
28,100 |
|
|
|
704,467 |
|
| Atmos Energy Corp. |
|
|
17,400 |
|
|
|
820,062 |
|
| CenterPoint Energy, Inc. |
|
|
7,392 |
|
|
|
175,116 |
|
| Consolidated Edison, Inc. |
|
|
18,530 |
|
|
|
994,134 |
|
| Dominion Resources, Inc. |
|
|
39,726 |
|
|
|
2,820,149 |
|
| DTE Energy Co. |
|
|
26,310 |
|
|
|
1,954,570 |
|
| Duke Energy Corp. |
|
|
13,144 |
|
|
|
936,116 |
|
| Exelon Corp. |
|
|
5,183 |
|
|
|
173,941 |
|
| ITC Holdings Corp. |
|
|
10,500 |
|
|
|
392,175 |
|
| National Fuel Gas Co. |
|
|
8,700 |
|
|
|
609,348 |
|
| NextEra Energy, Inc. |
|
|
14,275 |
|
|
|
1,364,976 |
|
| NiSource, Inc. |
|
|
4,921 |
|
|
|
174,843 |
|
| Northeast Utilities |
|
|
7,158 |
|
|
|
325,689 |
|
| OGE Energy Corp. |
|
|
19,021 |
|
|
|
699,212 |
|
| PG&E Corp. |
|
|
23,688 |
|
|
|
1,023,322 |
|
| Pinnacle West Capital Corp. |
|
|
3,094 |
|
|
|
169,118 |
|
| Public Service Enterprise Group, Inc. |
|
|
37,775 |
|
|
|
1,440,739 |
|
| Questar Corp. |
|
|
38,258 |
|
|
|
909,775 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Utilities - 11.8% (continued) |
|
| SCANA Corp. |
|
|
7,584 |
|
|
$ |
389,211 |
|
| Sempra Energy |
|
|
26,021 |
|
|
|
2,517,792 |
|
| Southern Co. |
|
|
37,937 |
|
|
|
1,666,952 |
|
| TECO Energy, Inc. |
|
|
4,209 |
|
|
|
72,184 |
|
| UGI Corp. |
|
|
12,875 |
|
|
|
587,229 |
|
| Vectren Corp. |
|
|
28,700 |
|
|
|
1,130,493 |
|
| Wisconsin Energy Corp. |
|
|
20,766 |
|
|
|
966,657 |
|
| Xcel Energy, Inc. |
|
|
14,091 |
|
|
|
427,803 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
26,891,671 |
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCKS
(cost $200,732,726) |
|
|
|
|
|
|
220,156,155 |
|
|
|
|
|
|
|
|
|
|
|
|
| MONEY MARKET FUNDS - 3.5% |
|
|
|
|
|
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, |
|
|
|
|
|
|
|
|
| 0.000% (2)(a)
(cost $7,952,989) |
|
|
7,952,989 |
|
|
|
7,952,989 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS - 99.8%
(cost $208,685,715) |
|
|
|
|
|
|
228,109,144 |
|
|
|
|
|
|
|
|
|
|
| OTHER ASSETS IN EXCESS OF LIABILITIES - 0.2% (b) |
|
|
|
|
|
|
463,808 |
|
|
|
|
|
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
|
|
|
$ |
228,572,952 |
|
|
|
|
|
|
|
|
|
|
All securities are United States companies, unless noted otherwise in parentheses.
| † |
Non income-producing security. |
| (a) |
Represents annualized seven-day yield as of March 31, 2014. |
| (b) |
Includes appreciation on futures contracts. |
All securities are
Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) |
Level 2 security (See Note 4). |
Open futures contracts outstanding at
March 31, 2014:
Exchange Traded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
CONTRACTS |
|
|
COUNTERPARTY |
|
DESCRIPTION |
|
EXPIRATION DATE |
|
|
VALUE AT
TRADE DATE |
|
|
VALUE AT
MARCH 31,
2014 |
|
|
UNREALIZED
APPRECIATION |
|
| |
Long Contracts: |
|
|
|
|
|
|
|
|
|
| |
58 |
|
|
Goldman Sachs |
|
S&P 500 E-Mini Futures |
|
|
June 20, 2014 |
|
|
|
$5,404,466 |
|
|
|
$5,407,340 |
|
|
|
$2,874 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash held as collateral at Goldman Sachs for futures contracts was $290,023 at March 31, 2014.
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 28 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
| COMMON STOCKS - 99.5% |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Consumer Discretionary - 20.2% |
|
|
|
|
|
|
|
|
| Advance Auto Parts, Inc. |
|
|
2,300 |
|
|
$ |
290,950 |
|
| Amazon.com, Inc. † |
|
|
61,700 |
|
|
|
20,763,284 |
|
| AutoNation, Inc. † |
|
|
14,700 |
|
|
|
782,481 |
|
| AutoZone, Inc. † |
|
|
1,400 |
|
|
|
751,940 |
|
| Bed Bath & Beyond, Inc. † |
|
|
2,300 |
|
|
|
158,240 |
|
| Best Buy Co., Inc. |
|
|
64,100 |
|
|
|
1,692,881 |
|
| Big Lots, Inc. † |
|
|
7,800 |
|
|
|
295,386 |
|
| BorgWarner, Inc. |
|
|
32,700 |
|
|
|
2,010,069 |
|
| Brinker International, Inc. |
|
|
12,400 |
|
|
|
650,380 |
|
| Brunswick Corp. |
|
|
20,700 |
|
|
|
937,503 |
|
| Buckle, Inc./The |
|
|
7,400 |
|
|
|
338,920 |
|
| Cabela’s, Inc. † |
|
|
11,000 |
|
|
|
720,610 |
|
| Carter’s, Inc. |
|
|
7,700 |
|
|
|
597,905 |
|
| CBS Corp., Class B |
|
|
103,400 |
|
|
|
6,390,120 |
|
| Charter Communications, Inc., Class A † |
|
|
7,800 |
|
|
|
960,960 |
|
| Chico’s FAS, Inc. |
|
|
25,500 |
|
|
|
408,765 |
|
| Chipotle Mexican Grill, Inc. † |
|
|
7,100 |
|
|
|
4,033,155 |
|
| Cinemark Holdings, Inc. |
|
|
15,800 |
|
|
|
458,358 |
|
| Comcast Corp., Class A |
|
|
84,500 |
|
|
|
4,226,690 |
|
| Conn’s, Inc. † |
|
|
14,700 |
|
|
|
571,095 |
|
| CST Brands, Inc. |
|
|
7,300 |
|
|
|
228,052 |
|
| Dana Holding Corp. |
|
|
34,800 |
|
|
|
809,796 |
|
| Deckers Outdoor Corp. † |
|
|
11,700 |
|
|
|
932,841 |
|
| Dick’s Sporting Goods, Inc. |
|
|
4,600 |
|
|
|
251,206 |
|
| Dillard’s, Inc., Class A |
|
|
10,500 |
|
|
|
970,200 |
|
| DIRECTV † |
|
|
32,000 |
|
|
|
2,445,440 |
|
| Discovery Communications, Inc., Class A † |
|
|
23,766 |
|
|
|
1,965,448 |
|
| DISH Network Corp., Class A † |
|
|
76,400 |
|
|
|
4,752,844 |
|
| Dollar General Corp. † |
|
|
4,400 |
|
|
|
244,112 |
|
| Dollar Tree, Inc. † |
|
|
17,900 |
|
|
|
934,022 |
|
| Domino’s Pizza, Inc. |
|
|
10,800 |
|
|
|
831,276 |
|
| DSW, Inc., Class A |
|
|
13,200 |
|
|
|
473,352 |
|
| Expedia, Inc. |
|
|
8,300 |
|
|
|
601,750 |
|
| Federal-Mogul Corp. † |
|
|
12,400 |
|
|
|
232,004 |
|
| Foot Locker, Inc. |
|
|
24,400 |
|
|
|
1,146,312 |
|
| Ford Motor Co. |
|
|
7,200 |
|
|
|
112,320 |
|
| Fossil Group, Inc. † |
|
|
6,900 |
|
|
|
804,609 |
|
| GameStop Corp., Class A |
|
|
31,300 |
|
|
|
1,286,430 |
|
| Gannett Co., Inc. |
|
|
56,300 |
|
|
|
1,553,880 |
|
| General Motors Co. |
|
|
104,800 |
|
|
|
3,607,216 |
|
| Gentex Corp. |
|
|
13,000 |
|
|
|
409,890 |
|
| Genuine Parts Co. |
|
|
16,500 |
|
|
|
1,433,025 |
|
| GNC Holdings, Inc., Class A |
|
|
12,900 |
|
|
|
567,858 |
|
| Goodyear Tire & Rubber Co./The |
|
|
39,500 |
|
|
|
1,032,135 |
|
| Groupon, Inc. † |
|
|
157,300 |
|
|
|
1,233,232 |
|
| H&R Block, Inc. |
|
|
25,400 |
|
|
|
766,826 |
|
| Hanesbrands, Inc. |
|
|
13,000 |
|
|
|
994,240 |
|
| Harley-Davidson, Inc. |
|
|
13,200 |
|
|
|
879,252 |
|
| Harman International Industries, Inc. |
|
|
18,700 |
|
|
|
1,989,680 |
|
| Hasbro, Inc. |
|
|
3,200 |
|
|
|
177,984 |
|
| HSN, Inc. |
|
|
8,000 |
|
|
|
477,840 |
|
| Hyatt Hotels Corp., Class A † |
|
|
10,100 |
|
|
|
543,481 |
|
| Jarden Corp. † |
|
|
13,800 |
|
|
|
825,654 |
|
| Johnson Controls, Inc. |
|
|
105,900 |
|
|
|
5,011,188 |
|
| Kate Spade & Co. † |
|
|
28,200 |
|
|
|
1,045,938 |
|
| L Brands, Inc. |
|
|
15,600 |
|
|
|
885,612 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Consumer Discretionary - 20.2% (continued) |
|
|
|
|
|
| Lamar Advertising Co., Class A † |
|
|
12,300 |
|
|
$ |
627,177 |
|
| Las Vegas Sands Corp. |
|
|
117,900 |
|
|
|
9,523,962 |
|
| LKQ Corp. † |
|
|
72,600 |
|
|
|
1,913,010 |
|
| Lowe’s Cos., Inc. |
|
|
8,800 |
|
|
|
430,320 |
|
| Macy’s, Inc. |
|
|
16,900 |
|
|
|
1,002,001 |
|
| Madison Square Garden Co./The, Class A † |
|
|
11,000 |
|
|
|
624,580 |
|
| Mattel, Inc. |
|
|
24,500 |
|
|
|
982,695 |
|
| MGM Resorts International † |
|
|
96,100 |
|
|
|
2,485,146 |
|
| Mohawk Industries, Inc. † |
|
|
11,600 |
|
|
|
1,577,368 |
|
| Netflix, Inc. † |
|
|
11,800 |
|
|
|
4,153,954 |
|
| News Corp., Class A † |
|
|
74,725 |
|
|
|
1,286,765 |
|
| O’Reilly Automotive, Inc. † |
|
|
7,200 |
|
|
|
1,068,408 |
|
| Panera Bread Co., Class A † |
|
|
2,400 |
|
|
|
423,528 |
|
| PetSmart, Inc. |
|
|
9,200 |
|
|
|
633,788 |
|
| Pier 1 Imports, Inc. |
|
|
24,000 |
|
|
|
453,120 |
|
| Polaris Industries, Inc. |
|
|
10,200 |
|
|
|
1,425,042 |
|
| priceline.com, Inc. † |
|
|
8,000 |
|
|
|
9,535,120 |
|
| PVH Corp. |
|
|
2,100 |
|
|
|
262,017 |
|
| Rent-A-Center, Inc. |
|
|
8,000 |
|
|
|
212,800 |
|
| Sally Beauty Holdings, Inc. † |
|
|
22,600 |
|
|
|
619,240 |
|
| Signet Jewelers Ltd. |
|
|
3,900 |
|
|
|
412,854 |
|
| Sinclair Broadcast Group, Inc., Class A |
|
|
51,400 |
|
|
|
1,392,426 |
|
| Six Flags Entertainment Corp. |
|
|
32,600 |
|
|
|
1,308,890 |
|
| Standard Pacific Corp. † |
|
|
136,800 |
|
|
|
1,136,808 |
|
| Starbucks Corp. |
|
|
89,634 |
|
|
|
6,577,343 |
|
| Tempur Sealy International, Inc. † |
|
|
2,600 |
|
|
|
131,742 |
|
| Tenneco, Inc. † |
|
|
19,000 |
|
|
|
1,103,330 |
|
| Tesla Motors, Inc. † |
|
|
28,100 |
|
|
|
5,857,445 |
|
| Time Warner, Inc. |
|
|
7,100 |
|
|
|
463,843 |
|
| TJX Cos., Inc./The |
|
|
45,800 |
|
|
|
2,777,770 |
|
| Tractor Supply Co. |
|
|
16,000 |
|
|
|
1,130,080 |
|
| TripAdvisor, Inc. † |
|
|
45,200 |
|
|
|
4,094,668 |
|
| TRW Automotive Holdings Corp. † |
|
|
30,600 |
|
|
|
2,497,572 |
|
| Tupperware Brands Corp. |
|
|
4,600 |
|
|
|
385,296 |
|
| Twenty-First Century Fox, Inc., Class A |
|
|
101,600 |
|
|
|
3,248,152 |
|
| Ulta Salon Cosmetics & Fragrance, Inc. † |
|
|
8,300 |
|
|
|
809,084 |
|
| Under Armour, Inc., Class A † |
|
|
22,300 |
|
|
|
2,556,472 |
|
| Urban Outfitters, Inc. † |
|
|
12,700 |
|
|
|
463,169 |
|
| VF Corp. |
|
|
51,900 |
|
|
|
3,211,572 |
|
| Viacom, Inc., Class B |
|
|
52,900 |
|
|
|
4,495,971 |
|
| Walt Disney Co./The |
|
|
178,800 |
|
|
|
14,316,516 |
|
| Whirlpool Corp. |
|
|
15,100 |
|
|
|
2,256,846 |
|
| Wolverine World Wide, Inc. |
|
|
16,800 |
|
|
|
479,640 |
|
| Wyndham Worldwide Corp. |
|
|
26,300 |
|
|
|
1,925,949 |
|
| Wynn Resorts Ltd. |
|
|
14,900 |
|
|
|
3,310,035 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
195,080,151 |
|
|
|
|
|
|
|
|
|
|
| Consumer Staples - 4.2% |
|
|
|
|
|
|
|
|
| Archer-Daniels-Midland Co. |
|
|
32,400 |
|
|
|
1,405,836 |
|
| Brown-Forman Corp., Class B |
|
|
14,700 |
|
|
|
1,318,443 |
|
| Casey’s General Stores, Inc. |
|
|
5,900 |
|
|
|
398,781 |
|
| Church & Dwight Co., Inc. |
|
|
12,500 |
|
|
|
863,375 |
|
| Coca-Cola Enterprises, Inc. |
|
|
23,723 |
|
|
|
1,133,010 |
|
| Constellation Brands, Inc., Class A † |
|
|
32,500 |
|
|
|
2,761,525 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
29 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Consumer Staples - 4.2% (continued) |
|
|
|
|
|
| CVS Caremark Corp. |
|
|
28,200 |
|
|
$ |
2,111,052 |
|
| Darling International, Inc. † |
|
|
15,500 |
|
|
|
310,310 |
|
| Dean Foods Co. |
|
|
15,900 |
|
|
|
245,814 |
|
| Estee Lauder Cos., Inc./The, Class A |
|
|
10,400 |
|
|
|
695,552 |
|
| Hain Celestial Group, Inc./The † |
|
|
7,600 |
|
|
|
695,172 |
|
| Herbalife Ltd. |
|
|
11,600 |
|
|
|
664,332 |
|
| Hershey Co./The |
|
|
16,700 |
|
|
|
1,743,480 |
|
| Hillshire Brands Co./The |
|
|
8,960 |
|
|
|
333,850 |
|
| Hormel Foods Corp. |
|
|
19,500 |
|
|
|
960,765 |
|
| Ingredion, Inc. |
|
|
4,600 |
|
|
|
313,168 |
|
| JM Smucker Co./The |
|
|
6,800 |
|
|
|
661,232 |
|
| Keurig Green Mountain, Inc. |
|
|
36,500 |
|
|
|
3,854,035 |
|
| Kroger Co./The |
|
|
39,200 |
|
|
|
1,711,080 |
|
| McCormick & Co., Inc. |
|
|
12,000 |
|
|
|
860,880 |
|
| Monster Beverage Corp. † |
|
|
11,200 |
|
|
|
777,840 |
|
| Nu Skin Enterprises, Inc., Class A |
|
|
13,100 |
|
|
|
1,085,335 |
|
| PriceSmart, Inc. |
|
|
7,900 |
|
|
|
797,347 |
|
| Rite Aid Corp. † |
|
|
378,900 |
|
|
|
2,375,703 |
|
| TreeHouse Foods, Inc. † |
|
|
4,700 |
|
|
|
338,353 |
|
| Tyson Foods, Inc., Class A |
|
|
44,800 |
|
|
|
1,971,648 |
|
| Walgreen Co. |
|
|
126,000 |
|
|
|
8,319,780 |
|
| WhiteWave Foods Co./The, Class A † |
|
|
11,568 |
|
|
|
330,151 |
|
| Whole Foods Market, Inc. |
|
|
30,000 |
|
|
|
1,521,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
40,559,149 |
|
|
|
|
|
|
|
|
|
|
| Energy - 3.5% |
|
|
|
|
|
|
|
|
| Atwood Oceanics, Inc. † |
|
|
7,100 |
|
|
|
357,769 |
|
| Cabot Oil & Gas Corp. |
|
|
33,500 |
|
|
|
1,134,980 |
|
| CARBO Ceramics, Inc. |
|
|
3,900 |
|
|
|
538,161 |
|
| Cheniere Energy, Inc. † |
|
|
43,800 |
|
|
|
2,424,330 |
|
| Chesapeake Energy Corp. |
|
|
29,900 |
|
|
|
766,038 |
|
| Cimarex Energy Co. |
|
|
17,000 |
|
|
|
2,024,870 |
|
| Continental Resources, Inc. † |
|
|
17,300 |
|
|
|
2,149,871 |
|
| CVR Energy, Inc. |
|
|
12,300 |
|
|
|
519,675 |
|
| Dresser-Rand Group, Inc. † |
|
|
3,600 |
|
|
|
210,276 |
|
| Energen Corp. |
|
|
2,800 |
|
|
|
226,268 |
|
| EOG Resources, Inc. |
|
|
13,900 |
|
|
|
2,726,763 |
|
| EQT Corp. |
|
|
8,600 |
|
|
|
833,942 |
|
| Golar LNG Ltd. (Norway) |
|
|
10,300 |
|
|
|
429,407 |
|
| Gulfport Energy Corp. † |
|
|
41,600 |
|
|
|
2,961,088 |
|
| Halliburton Co. |
|
|
47,480 |
|
|
|
2,796,097 |
|
| Kodiak Oil & Gas Corp. † |
|
|
51,900 |
|
|
|
630,066 |
|
| Noble Energy, Inc. |
|
|
15,200 |
|
|
|
1,079,808 |
|
| Oasis Petroleum, Inc. † |
|
|
15,700 |
|
|
|
655,161 |
|
| Oceaneering International, Inc. |
|
|
18,800 |
|
|
|
1,350,968 |
|
| ONEOK, Inc. |
|
|
22,400 |
|
|
|
1,327,200 |
|
| Patterson-UTI Energy, Inc. |
|
|
32,200 |
|
|
|
1,020,096 |
|
| Pioneer Natural Resources Co. |
|
|
25,900 |
|
|
|
4,846,926 |
|
| Rosetta Resources, Inc. † |
|
|
10,000 |
|
|
|
465,800 |
|
| SM Energy Co. |
|
|
8,300 |
|
|
|
591,707 |
|
| Targa Resources Corp. |
|
|
9,600 |
|
|
|
952,896 |
|
| Tidewater, Inc. |
|
|
2,900 |
|
|
|
140,998 |
|
| Western Refining, Inc. |
|
|
12,700 |
|
|
|
490,220 |
|
| World Fuel Services Corp. |
|
|
7,000 |
|
|
|
308,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,960,081 |
|
|
|
|
|
|
|
|
|
|
| Financials - 13.8% |
|
|
|
|
|
|
|
|
| Allstate Corp./The |
|
|
43,400 |
|
|
|
2,455,572 |
|
| American Capital Ltd. † |
|
|
144,100 |
|
|
|
2,275,339 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Financials - 13.8% (continued) |
|
|
|
|
|
|
|
|
| American Express Co. |
|
|
134,700 |
|
|
$ |
12,127,041 |
|
| American Financial Group, Inc. |
|
|
8,200 |
|
|
|
473,222 |
|
| American International Group, Inc. |
|
|
33,000 |
|
|
|
1,650,330 |
|
| Ameriprise Financial, Inc. |
|
|
26,100 |
|
|
|
2,872,827 |
|
| Aon PLC (United Kingdom) |
|
|
11,400 |
|
|
|
960,792 |
|
| Arch Capital Group Ltd. † |
|
|
13,000 |
|
|
|
748,020 |
|
| Bank of America Corp. |
|
|
817,200 |
|
|
|
14,055,840 |
|
| Bank of New York Mellon Corp./The |
|
|
41,300 |
|
|
|
1,457,477 |
|
| BB&T Corp. |
|
|
32,600 |
|
|
|
1,309,542 |
|
| Capital One Financial Corp. |
|
|
26,000 |
|
|
|
2,006,160 |
|
| Capitol Federal Financial, Inc. |
|
|
26,600 |
|
|
|
333,830 |
|
| Charles Schwab Corp./The |
|
|
201,200 |
|
|
|
5,498,796 |
|
| Cincinnati Financial Corp. |
|
|
26,000 |
|
|
|
1,265,160 |
|
| CME Group, Inc. |
|
|
58,200 |
|
|
|
4,307,382 |
|
| Comerica, Inc. |
|
|
20,500 |
|
|
|
1,061,900 |
|
| Corrections Corp. of America REIT |
|
|
18,552 |
|
|
|
581,049 |
|
| Discover Financial Services |
|
|
51,300 |
|
|
|
2,985,147 |
|
| Douglas Emmett, Inc. REIT |
|
|
8,500 |
|
|
|
230,690 |
|
| E*TRADE Financial Corp. † |
|
|
46,500 |
|
|
|
1,070,430 |
|
| Erie Indemnity Co., Class A |
|
|
2,000 |
|
|
|
139,520 |
|
| Everest Re Group Ltd. |
|
|
4,800 |
|
|
|
734,640 |
|
| Extra Space Storage, Inc. REIT |
|
|
11,900 |
|
|
|
577,269 |
|
| Fidelity National Financial, Inc., Class A |
|
|
47,700 |
|
|
|
1,499,688 |
|
| Fifth Third Bancorp |
|
|
103,800 |
|
|
|
2,382,210 |
|
| Financial Engines, Inc. |
|
|
13,000 |
|
|
|
660,140 |
|
| Franklin Resources, Inc. |
|
|
38,800 |
|
|
|
2,102,184 |
|
| General Growth Properties, Inc. REIT |
|
|
64,800 |
|
|
|
1,425,600 |
|
| Genworth Financial, Inc., Class A † |
|
|
250,400 |
|
|
|
4,439,592 |
|
| Hartford Financial Services Group, Inc./The |
|
|
116,200 |
|
|
|
4,098,374 |
|
| Huntington Bancshares, Inc. |
|
|
171,600 |
|
|
|
1,710,852 |
|
| IntercontinentalExchange Group, Inc. |
|
|
14,000 |
|
|
|
2,769,620 |
|
| Invesco Ltd. |
|
|
39,300 |
|
|
|
1,454,100 |
|
| KeyCorp |
|
|
131,500 |
|
|
|
1,872,560 |
|
| Lincoln National Corp. |
|
|
76,600 |
|
|
|
3,881,322 |
|
| M&T Bank Corp. |
|
|
4,900 |
|
|
|
594,370 |
|
| Macerich Co./The REIT |
|
|
7,100 |
|
|
|
442,543 |
|
| McGraw Hill Financial, Inc. |
|
|
37,100 |
|
|
|
2,830,730 |
|
| MetLife, Inc. |
|
|
129,400 |
|
|
|
6,832,320 |
|
| MGIC Investment Corp. † |
|
|
218,500 |
|
|
|
1,861,620 |
|
| Moody’s Corp. |
|
|
30,600 |
|
|
|
2,427,192 |
|
| Morgan Stanley |
|
|
269,300 |
|
|
|
8,394,081 |
|
| NASDAQ OMX Group, Inc./The |
|
|
5,000 |
|
|
|
184,700 |
|
| Nationstar Mortgage Holdings, Inc. † |
|
|
18,900 |
|
|
|
613,494 |
|
| Ocwen Financial Corp. † |
|
|
24,100 |
|
|
|
944,238 |
|
| PartnerRe Ltd. |
|
|
6,800 |
|
|
|
703,800 |
|
| Post Properties, Inc. REIT |
|
|
5,900 |
|
|
|
289,690 |
|
| Principal Financial Group, Inc. |
|
|
35,700 |
|
|
|
1,641,843 |
|
| Prudential Financial, Inc. |
|
|
64,200 |
|
|
|
5,434,530 |
|
| Regions Financial Corp. |
|
|
174,400 |
|
|
|
1,937,584 |
|
| Signature Bank † |
|
|
5,800 |
|
|
|
728,422 |
|
| SLM Corp. |
|
|
29,600 |
|
|
|
724,608 |
|
| State Street Corp. |
|
|
35,800 |
|
|
|
2,489,890 |
|
| SunTrust Banks, Inc. |
|
|
49,000 |
|
|
|
1,949,710 |
|
| SVB Financial Group † |
|
|
7,800 |
|
|
|
1,004,484 |
|
| Torchmark Corp. |
|
|
9,400 |
|
|
|
739,780 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 30 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Health Care - 16.8% (continued) |
|
|
|
|
|
| Weingarten Realty Investors REIT |
|
|
5,400 |
|
|
$ |
162,000 |
|
| WR Berkley Corp. |
|
|
13,700 |
|
|
|
570,194 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
132,976,040 |
|
|
|
|
|
|
|
|
|
|
| Health Care - 16.8% |
|
|
|
|
|
|
|
|
| AbbVie, Inc. |
|
|
123,900 |
|
|
|
6,368,460 |
|
| Actavis PLC (Ireland) † |
|
|
13,600 |
|
|
|
2,799,560 |
|
| Aegerion Pharmaceuticals, Inc. † |
|
|
19,100 |
|
|
|
880,892 |
|
| Aetna, Inc. |
|
|
61,900 |
|
|
|
4,640,643 |
|
| Alexion Pharmaceuticals, Inc. † |
|
|
27,000 |
|
|
|
4,107,510 |
|
| Align Technology, Inc. † |
|
|
13,100 |
|
|
|
678,449 |
|
| Alnylam Pharmaceuticals, Inc. † |
|
|
14,400 |
|
|
|
966,816 |
|
| AmerisourceBergen Corp. |
|
|
24,900 |
|
|
|
1,633,191 |
|
| Amgen, Inc. |
|
|
18,100 |
|
|
|
2,232,454 |
|
| Arena Pharmaceuticals, Inc. † |
|
|
120,400 |
|
|
|
758,520 |
|
| athenahealth, Inc. † |
|
|
6,800 |
|
|
|
1,089,632 |
|
| Biogen Idec, Inc. † |
|
|
36,400 |
|
|
|
11,133,668 |
|
| BioMarin Pharmaceutical, Inc. † |
|
|
15,000 |
|
|
|
1,023,150 |
|
| Boston Scientific Corp. † |
|
|
207,300 |
|
|
|
2,802,696 |
|
| Bristol-Myers Squibb Co. |
|
|
224,400 |
|
|
|
11,657,580 |
|
| Brookdale Senior Living, Inc. † |
|
|
19,500 |
|
|
|
653,445 |
|
| Cardinal Health, Inc. |
|
|
40,900 |
|
|
|
2,862,182 |
|
| Catamaran Corp. † |
|
|
22,500 |
|
|
|
1,007,100 |
|
| Celgene Corp. † |
|
|
61,700 |
|
|
|
8,613,320 |
|
| Cepheid, Inc. † |
|
|
11,200 |
|
|
|
577,696 |
|
| Cerner Corp. † |
|
|
31,000 |
|
|
|
1,743,750 |
|
| Cigna Corp. |
|
|
51,500 |
|
|
|
4,312,095 |
|
| Community Health Systems, Inc. † |
|
|
16,800 |
|
|
|
658,056 |
|
| Cooper Cos., Inc./The |
|
|
7,400 |
|
|
|
1,016,464 |
|
| Cubist Pharmaceuticals, Inc. † |
|
|
8,600 |
|
|
|
629,090 |
|
| DaVita HealthCare Partners, Inc. † |
|
|
28,200 |
|
|
|
1,941,570 |
|
| DexCom, Inc. † |
|
|
23,400 |
|
|
|
967,824 |
|
| Endo International PLC (Ireland) † |
|
|
28,100 |
|
|
|
1,929,065 |
|
| Gilead Sciences, Inc. † |
|
|
220,200 |
|
|
|
15,603,372 |
|
| HCA Holdings, Inc. † |
|
|
29,200 |
|
|
|
1,533,000 |
|
| Henry Schein, Inc. † |
|
|
4,600 |
|
|
|
549,102 |
|
| Hill-Rom Holdings, Inc. |
|
|
3,500 |
|
|
|
134,890 |
|
| HMS Holdings Corp. † |
|
|
5,700 |
|
|
|
108,585 |
|
| Humana, Inc. |
|
|
17,400 |
|
|
|
1,961,328 |
|
| IDEXX Laboratories, Inc. † |
|
|
4,000 |
|
|
|
485,600 |
|
| Illumina, Inc. † |
|
|
34,800 |
|
|
|
5,173,368 |
|
| Incyte Corp. Ltd. † |
|
|
40,400 |
|
|
|
2,162,208 |
|
| Intercept Pharmaceuticals, Inc. † |
|
|
2,900 |
|
|
|
956,391 |
|
| Isis Pharmaceuticals, Inc. † |
|
|
43,800 |
|
|
|
1,892,598 |
|
| Jazz Pharmaceuticals PLC (Ireland) † |
|
|
8,000 |
|
|
|
1,109,440 |
|
| McKesson Corp. |
|
|
35,100 |
|
|
|
6,197,607 |
|
| Medidata Solutions, Inc. † |
|
|
30,000 |
|
|
|
1,630,200 |
|
| Medivation, Inc. † |
|
|
27,400 |
|
|
|
1,763,738 |
|
| Medtronic, Inc. |
|
|
9,500 |
|
|
|
584,630 |
|
| Mylan, Inc. (2)† |
|
|
57,600 |
|
|
|
2,812,608 |
|
| NPS Pharmaceuticals, Inc. † |
|
|
64,200 |
|
|
|
1,921,506 |
|
| Omnicare, Inc. |
|
|
8,700 |
|
|
|
519,129 |
|
| OPKO Health, Inc. † |
|
|
88,500 |
|
|
|
824,820 |
|
| Perrigo Co. PLC (Ireland) |
|
|
9,300 |
|
|
|
1,438,338 |
|
| Pharmacyclics, Inc. † |
|
|
25,600 |
|
|
|
2,565,632 |
|
| Questcor Pharmaceuticals, Inc. |
|
|
23,500 |
|
|
|
1,525,855 |
|
| Regeneron Pharmaceuticals, Inc. † |
|
|
19,000 |
|
|
|
5,705,320 |
|
| ResMed, Inc. |
|
|
13,000 |
|
|
|
580,970 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Health Care - 16.8% (continued) |
|
|
|
|
|
|
|
|
| Salix Pharmaceuticals Ltd. † |
|
|
19,600 |
|
|
$ |
2,030,756 |
|
| Seattle Genetics, Inc. † |
|
|
20,500 |
|
|
|
933,980 |
|
| St. Jude Medical, Inc. |
|
|
29,200 |
|
|
|
1,909,388 |
|
| Tenet Healthcare Corp. † |
|
|
33,600 |
|
|
|
1,438,416 |
|
| Thermo Fisher Scientific, Inc. |
|
|
55,200 |
|
|
|
6,637,248 |
|
| United Therapeutics Corp. † |
|
|
9,600 |
|
|
|
902,688 |
|
| UnitedHealth Group, Inc. |
|
|
22,400 |
|
|
|
1,836,576 |
|
| Vertex Pharmaceuticals, Inc. † |
|
|
35,300 |
|
|
|
2,496,416 |
|
| Vivus, Inc. † |
|
|
37,700 |
|
|
|
223,938 |
|
| WellCare Health Plans, Inc. † |
|
|
10,500 |
|
|
|
666,960 |
|
| WellPoint, Inc. |
|
|
30,400 |
|
|
|
3,026,320 |
|
| Zimmer Holdings, Inc. |
|
|
8,000 |
|
|
|
756,640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
162,284,439 |
|
|
|
|
|
|
|
|
|
|
| Industrials - 13.7% |
|
|
|
|
|
|
|
|
| 3M Co. |
|
|
15,900 |
|
|
|
2,156,994 |
|
| A. O. Smith Corp. |
|
|
16,200 |
|
|
|
745,524 |
|
| Acacia Research Corp. |
|
|
8,700 |
|
|
|
132,936 |
|
| ACCO Brands Corp. † |
|
|
1,715 |
|
|
|
10,564 |
|
| Acuity Brands, Inc. |
|
|
2,600 |
|
|
|
344,682 |
|
| Alaska Air Group, Inc. |
|
|
17,800 |
|
|
|
1,660,918 |
|
| AMERCO |
|
|
1,900 |
|
|
|
441,028 |
|
| AMETEK, Inc. |
|
|
6,900 |
|
|
|
355,281 |
|
| Avis Budget Group, Inc. † |
|
|
49,800 |
|
|
|
2,425,260 |
|
| B/E Aerospace, Inc. † |
|
|
42,400 |
|
|
|
3,679,896 |
|
| Boeing Co./The |
|
|
112,700 |
|
|
|
14,142,723 |
|
| Chart Industries, Inc. † |
|
|
14,700 |
|
|
|
1,169,385 |
|
| Clean Harbors, Inc. † |
|
|
4,800 |
|
|
|
262,992 |
|
| Copa Holdings SA, Class A (Panama) |
|
|
9,100 |
|
|
|
1,321,229 |
|
| Copart, Inc. † |
|
|
14,400 |
|
|
|
524,016 |
|
| Cummins, Inc. |
|
|
5,800 |
|
|
|
864,142 |
|
| Delta Air Lines, Inc. |
|
|
166,900 |
|
|
|
5,783,085 |
|
| Donaldson Co., Inc. |
|
|
8,800 |
|
|
|
373,120 |
|
| Dover Corp. |
|
|
26,300 |
|
|
|
2,150,025 |
|
| Fastenal Co. |
|
|
21,700 |
|
|
|
1,070,244 |
|
| FedEx Corp. |
|
|
21,700 |
|
|
|
2,876,552 |
|
| Flowserve Corp. |
|
|
21,600 |
|
|
|
1,692,144 |
|
| Fortune Brands Home & Security, Inc. |
|
|
83,500 |
|
|
|
3,513,680 |
|
| Generac Holdings, Inc. |
|
|
35,100 |
|
|
|
2,069,847 |
|
| General Dynamics Corp. |
|
|
27,000 |
|
|
|
2,940,840 |
|
| Genesee & Wyoming, Inc., Class A † |
|
|
9,100 |
|
|
|
885,612 |
|
| Hertz Global Holdings, Inc. † |
|
|
82,800 |
|
|
|
2,205,792 |
|
| Hexcel Corp. † |
|
|
15,700 |
|
|
|
683,578 |
|
| Honeywell International, Inc. |
|
|
27,400 |
|
|
|
2,541,624 |
|
| Hubbell, Inc., Class B |
|
|
3,700 |
|
|
|
443,519 |
|
| Huntington Ingalls Industries, Inc. |
|
|
9,900 |
|
|
|
1,012,374 |
|
| IHS, Inc., Class A † |
|
|
4,100 |
|
|
|
498,150 |
|
| Illinois Tool Works, Inc. |
|
|
27,200 |
|
|
|
2,212,176 |
|
| Iron Mountain, Inc. |
|
|
18,945 |
|
|
|
522,314 |
|
| JB Hunt Transport Services, Inc. |
|
|
14,400 |
|
|
|
1,035,648 |
|
| Kansas City Southern |
|
|
10,200 |
|
|
|
1,041,012 |
|
| Kennametal, Inc. |
|
|
7,500 |
|
|
|
332,250 |
|
| Kirby Corp. † |
|
|
4,600 |
|
|
|
465,750 |
|
| Lockheed Martin Corp. |
|
|
53,300 |
|
|
|
8,700,692 |
|
| Manitowoc Co., Inc./The |
|
|
38,300 |
|
|
|
1,204,535 |
|
| Masco Corp. |
|
|
19,400 |
|
|
|
430,874 |
|
| Middleby Corp./The † |
|
|
3,600 |
|
|
|
951,156 |
|
| Mueller Industries, Inc. |
|
|
13,000 |
|
|
|
389,870 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
31 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Industrials - 13.7% (continued) |
|
|
|
|
|
|
|
|
| Nielsen Holdings NV |
|
|
21,500 |
|
|
$ |
959,545 |
|
| Nordson Corp. |
|
|
3,200 |
|
|
|
225,568 |
|
| Norfolk Southern Corp. |
|
|
9,700 |
|
|
|
942,549 |
|
| Northrop Grumman Corp. |
|
|
41,300 |
|
|
|
5,095,594 |
|
| Old Dominion Freight Line, Inc. † |
|
|
11,100 |
|
|
|
629,814 |
|
| Oshkosh Corp. |
|
|
16,100 |
|
|
|
947,807 |
|
| Owens Corning |
|
|
19,000 |
|
|
|
820,230 |
|
| PACCAR, Inc. |
|
|
13,500 |
|
|
|
910,440 |
|
| Pall Corp. |
|
|
7,000 |
|
|
|
626,290 |
|
| Pitney Bowes, Inc. |
|
|
36,200 |
|
|
|
940,838 |
|
| Polypore International, Inc. † |
|
|
10,200 |
|
|
|
348,942 |
|
| Precision Castparts Corp. |
|
|
15,600 |
|
|
|
3,943,056 |
|
| Raytheon Co. |
|
|
58,300 |
|
|
|
5,759,457 |
|
| Rockwell Automation, Inc. |
|
|
14,900 |
|
|
|
1,855,795 |
|
| Roper Industries, Inc. |
|
|
9,300 |
|
|
|
1,241,643 |
|
| RR Donnelley & Sons Co. |
|
|
50,900 |
|
|
|
911,110 |
|
| SolarCity Corp. † |
|
|
43,800 |
|
|
|
2,742,756 |
|
| Southwest Airlines Co. |
|
|
141,100 |
|
|
|
3,331,371 |
|
| Spirit Airlines, Inc. † |
|
|
17,600 |
|
|
|
1,045,440 |
|
| SPX Corp. |
|
|
4,900 |
|
|
|
481,719 |
|
| Stericycle, Inc. † |
|
|
7,700 |
|
|
|
874,874 |
|
| Swift Transportation Co. † |
|
|
39,100 |
|
|
|
967,725 |
|
| Terex Corp. |
|
|
24,100 |
|
|
|
1,067,630 |
|
| Textron, Inc. |
|
|
18,300 |
|
|
|
719,007 |
|
| Timken Co./The |
|
|
19,800 |
|
|
|
1,163,844 |
|
| Towers Watson & Co., Class A |
|
|
12,400 |
|
|
|
1,414,220 |
|
| TransDigm Group, Inc. |
|
|
9,000 |
|
|
|
1,666,800 |
|
| Triumph Group, Inc. |
|
|
6,300 |
|
|
|
406,854 |
|
| United Continental Holdings, Inc. † |
|
|
67,200 |
|
|
|
2,999,136 |
|
| United Rentals, Inc. † |
|
|
24,700 |
|
|
|
2,345,018 |
|
| USG Corp. † |
|
|
39,400 |
|
|
|
1,289,168 |
|
| Verisk Analytics, Inc., Class A † |
|
|
18,500 |
|
|
|
1,109,260 |
|
| WABCO Holdings, Inc. † |
|
|
2,900 |
|
|
|
306,124 |
|
| Wabtec Corp. |
|
|
8,800 |
|
|
|
682,000 |
|
| Waste Connections, Inc. |
|
|
8,300 |
|
|
|
364,038 |
|
| Werner Enterprises, Inc. |
|
|
10,900 |
|
|
|
278,059 |
|
| WESCO International, Inc. † |
|
|
7,500 |
|
|
|
624,150 |
|
| Woodward, Inc. |
|
|
3,200 |
|
|
|
132,896 |
|
| WW Grainger, Inc. |
|
|
9,500 |
|
|
|
2,400,270 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
132,835,070 |
|
|
|
|
|
|
|
|
|
|
| Information Technology - 23.2% |
|
|
|
|
|
|
|
|
| 3D Systems Corp. † |
|
|
36,900 |
|
|
|
2,182,635 |
|
| Activision Blizzard, Inc. |
|
|
131,000 |
|
|
|
2,677,640 |
|
| Adobe Systems, Inc. † |
|
|
81,700 |
|
|
|
5,370,958 |
|
| Akamai Technologies, Inc. † |
|
|
12,800 |
|
|
|
745,088 |
|
| Alliance Data Systems Corp. † |
|
|
8,100 |
|
|
|
2,206,845 |
|
| Amphenol Corp., Class A |
|
|
8,600 |
|
|
|
788,190 |
|
| ANSYS, Inc. † |
|
|
5,600 |
|
|
|
431,312 |
|
| AOL, Inc. † |
|
|
32,400 |
|
|
|
1,418,148 |
|
| Applied Materials, Inc. |
|
|
148,500 |
|
|
|
3,032,370 |
|
| Arrow Electronics, Inc. † |
|
|
8,600 |
|
|
|
510,496 |
|
| Automatic Data Processing, Inc. |
|
|
19,700 |
|
|
|
1,522,022 |
|
| CA, Inc. |
|
|
16,500 |
|
|
|
511,005 |
|
| Cadence Design Systems, Inc. † |
|
|
23,600 |
|
|
|
366,744 |
|
| Cirrus Logic, Inc. † |
|
|
28,800 |
|
|
|
572,256 |
|
| Citrix Systems, Inc. † |
|
|
7,700 |
|
|
|
442,211 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Information Technology - 23.2% (continued) |
|
|
|
|
|
| Cognizant Technology Solutions Corp., Class A † |
|
|
19,900 |
|
|
$ |
1,007,139 |
|
| CommVault Systems, Inc. † |
|
|
8,200 |
|
|
|
532,590 |
|
| Computer Sciences Corp. |
|
|
13,600 |
|
|
|
827,152 |
|
| Concur Technologies, Inc. † |
|
|
6,600 |
|
|
|
653,862 |
|
| CoreLogic, Inc. † |
|
|
18,100 |
|
|
|
543,724 |
|
| Corning, Inc. |
|
|
120,700 |
|
|
|
2,512,974 |
|
| CoStar Group, Inc. † |
|
|
4,800 |
|
|
|
896,352 |
|
| Cree, Inc. † |
|
|
31,900 |
|
|
|
1,804,264 |
|
| Electronic Arts, Inc. † |
|
|
95,000 |
|
|
|
2,755,950 |
|
| F5 Networks, Inc. † |
|
|
6,500 |
|
|
|
693,095 |
|
| Facebook, Inc., Class A † |
|
|
339,400 |
|
|
|
20,445,456 |
|
| FactSet Research Systems, Inc. |
|
|
1,300 |
|
|
|
140,153 |
|
| Fairchild Semiconductor International, Inc. † |
|
|
7,700 |
|
|
|
106,183 |
|
| Fidelity National Information Services, Inc. |
|
|
18,200 |
|
|
|
972,790 |
|
| First Solar, Inc. † |
|
|
32,300 |
|
|
|
2,254,217 |
|
| Fiserv, Inc. † |
|
|
29,200 |
|
|
|
1,655,348 |
|
| FleetCor Technologies, Inc. † |
|
|
24,700 |
|
|
|
2,842,970 |
|
| Fortinet, Inc. † |
|
|
19,300 |
|
|
|
425,179 |
|
| Gartner, Inc. † |
|
|
6,200 |
|
|
|
430,528 |
|
| Google, Inc., Class A † |
|
|
43,100 |
|
|
|
48,035,381 |
|
| Hewlett-Packard Co. |
|
|
275,000 |
|
|
|
8,899,000 |
|
| IAC/InterActiveCorp |
|
|
16,100 |
|
|
|
1,149,379 |
|
| InterDigital, Inc. |
|
|
6,200 |
|
|
|
205,282 |
|
| Intuit, Inc. |
|
|
8,200 |
|
|
|
637,386 |
|
| IPG Photonics Corp. † |
|
|
3,700 |
|
|
|
262,996 |
|
| Jabil Circuit, Inc. |
|
|
15,000 |
|
|
|
270,000 |
|
| Jack Henry & Associates, Inc. |
|
|
8,800 |
|
|
|
490,688 |
|
| KLA-Tencor Corp. |
|
|
11,300 |
|
|
|
781,282 |
|
| Knowles Corp. † |
|
|
13,150 |
|
|
|
415,145 |
|
| Lam Research Corp. † |
|
|
15,600 |
|
|
|
858,000 |
|
| LinkedIn Corp., Class A † |
|
|
14,300 |
|
|
|
2,644,642 |
|
| MasterCard, Inc., Class A |
|
|
171,300 |
|
|
|
12,796,110 |
|
| Maxim Integrated Products, Inc. |
|
|
21,200 |
|
|
|
702,144 |
|
| Micron Technology, Inc. † |
|
|
196,400 |
|
|
|
4,646,824 |
|
| Microsoft Corp. |
|
|
388,300 |
|
|
|
15,916,417 |
|
| Motorola Solutions, Inc. |
|
|
10,300 |
|
|
|
662,187 |
|
| NCR Corp. † |
|
|
8,300 |
|
|
|
303,365 |
|
| NetSuite, Inc. † |
|
|
17,000 |
|
|
|
1,612,110 |
|
| NeuStar, Inc., Class A † |
|
|
8,700 |
|
|
|
282,837 |
|
| Pandora Media, Inc. † |
|
|
72,900 |
|
|
|
2,210,328 |
|
| Red Hat, Inc. † |
|
|
7,400 |
|
|
|
392,052 |
|
| Salesforce.com, Inc. † |
|
|
38,500 |
|
|
|
2,197,965 |
|
| SanDisk Corp. |
|
|
42,700 |
|
|
|
3,466,813 |
|
| ServiceNow, Inc. † |
|
|
47,800 |
|
|
|
2,864,176 |
|
| Shutterstock, Inc. † |
|
|
12,700 |
|
|
|
922,147 |
|
| SolarWinds, Inc. † |
|
|
12,600 |
|
|
|
537,138 |
|
| Solera Holdings, Inc. |
|
|
5,700 |
|
|
|
361,038 |
|
| Splunk, Inc. † |
|
|
38,600 |
|
|
|
2,759,514 |
|
| SunEdison, Inc. † |
|
|
106,400 |
|
|
|
2,004,576 |
|
| SunPower Corp. † |
|
|
59,300 |
|
|
|
1,913,018 |
|
| Symantec Corp. |
|
|
43,100 |
|
|
|
860,707 |
|
| Texas Instruments, Inc. |
|
|
22,600 |
|
|
|
1,065,590 |
|
| TIBCO Software, Inc. † |
|
|
20,000 |
|
|
|
406,400 |
|
| Total System Services, Inc. |
|
|
15,100 |
|
|
|
459,191 |
|
| Trimble Navigation Ltd. † |
|
|
6,800 |
|
|
|
264,316 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 32 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Information Technology - 23.2% (continued) |
|
|
|
|
|
| Ubiquiti Networks, Inc. † |
|
|
45,300 |
|
|
$ |
2,059,791 |
|
| Universal Display Corp. † |
|
|
8,600 |
|
|
|
274,426 |
|
| VeriSign, Inc. † |
|
|
22,700 |
|
|
|
1,223,757 |
|
| Visa, Inc., Class A |
|
|
46,800 |
|
|
|
10,102,248 |
|
| Vishay Intertechnology, Inc. |
|
|
8,200 |
|
|
|
122,016 |
|
| Western Digital Corp. |
|
|
65,100 |
|
|
|
5,977,482 |
|
| Workday, Inc., Class A † |
|
|
29,000 |
|
|
|
2,651,470 |
|
| Xerox Corp. |
|
|
164,600 |
|
|
|
1,859,980 |
|
| Xilinx, Inc. |
|
|
28,100 |
|
|
|
1,524,987 |
|
| Yahoo!, Inc. (2)† |
|
|
167,500 |
|
|
|
6,013,250 |
|
| Yelp, Inc. † |
|
|
29,500 |
|
|
|
2,269,435 |
|
| Zebra Technologies Corp., Class A † |
|
|
3,200 |
|
|
|
222,112 |
|
| Zillow, Inc., Class A † |
|
|
21,300 |
|
|
|
1,876,530 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
224,711,474 |
|
|
|
|
|
|
|
|
|
|
| Materials - 3.2% |
|
|
|
|
|
|
|
|
| Airgas, Inc. |
|
|
4,900 |
|
|
|
521,899 |
|
| Albemarle Corp. |
|
|
4,000 |
|
|
|
265,680 |
|
| Ashland, Inc. |
|
|
6,600 |
|
|
|
656,568 |
|
| Axiall Corp. |
|
|
8,150 |
|
|
|
366,098 |
|
| Ball Corp. |
|
|
5,200 |
|
|
|
285,012 |
|
| Carpenter Technology Corp. |
|
|
5,700 |
|
|
|
376,428 |
|
| Celanese Corp., Series A |
|
|
7,000 |
|
|
|
388,570 |
|
| Dow Chemical Co./The |
|
|
77,600 |
|
|
|
3,770,584 |
|
| Eagle Materials, Inc. |
|
|
18,800 |
|
|
|
1,666,808 |
|
| Eastman Chemical Co. |
|
|
7,300 |
|
|
|
629,333 |
|
| Ecolab, Inc. |
|
|
26,400 |
|
|
|
2,850,936 |
|
| EI du Pont de Nemours & Co. |
|
|
64,200 |
|
|
|
4,307,820 |
|
| FMC Corp. |
|
|
8,000 |
|
|
|
612,480 |
|
| Huntsman Corp. |
|
|
30,500 |
|
|
|
744,810 |
|
| International Flavors & Fragrances, Inc. |
|
|
6,500 |
|
|
|
621,855 |
|
| Louisiana-Pacific Corp. † |
|
|
71,200 |
|
|
|
1,201,144 |
|
| MeadWestvaco Corp. |
|
|
5,200 |
|
|
|
195,728 |
|
| NewMarket Corp. |
|
|
1,600 |
|
|
|
625,248 |
|
| Packaging Corp. of America |
|
|
14,500 |
|
|
|
1,020,365 |
|
| PPG Industries, Inc. |
|
|
15,797 |
|
|
|
3,056,088 |
|
| Rock-Tenn Co., Class A |
|
|
7,000 |
|
|
|
738,990 |
|
| Rockwood Holdings, Inc. |
|
|
5,700 |
|
|
|
424,080 |
|
| Sherwin-Williams Co./The |
|
|
9,700 |
|
|
|
1,912,161 |
|
| SunCoke Energy, Inc. † |
|
|
2,334 |
|
|
|
53,308 |
|
| Valspar Corp./The |
|
|
8,500 |
|
|
|
613,020 |
|
| Vulcan Materials Co. |
|
|
9,800 |
|
|
|
651,210 |
|
| Westlake Chemical Corp. |
|
|
25,600 |
|
|
|
1,694,208 |
|
| WR Grace & Co. † |
|
|
3,700 |
|
|
|
366,929 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,617,360 |
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services - 0.3% |
|
|
|
|
|
|
|
|
| Level 3 Communications, Inc. † |
|
|
21,386 |
|
|
|
837,048 |
|
| SBA Communications Corp., Class A † |
|
|
23,400 |
|
|
|
2,128,464 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,965,512 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Utilities - 0.6% |
|
|
|
|
|
|
|
|
| AGL Resources, Inc. |
|
|
7,100 |
|
|
$ |
347,616 |
|
| American Water Works Co., Inc. |
|
|
20,500 |
|
|
|
930,700 |
|
| Atmos Energy Corp. |
|
|
9,100 |
|
|
|
428,883 |
|
| Cleco Corp. |
|
|
8,100 |
|
|
|
409,698 |
|
| Hawaiian Electric Industries, Inc. |
|
|
11,500 |
|
|
|
292,330 |
|
| ITC Holdings Corp. |
|
|
22,500 |
|
|
|
840,375 |
|
| National Fuel Gas Co. |
|
|
5,400 |
|
|
|
378,216 |
|
| NiSource, Inc. |
|
|
5,300 |
|
|
|
188,309 |
|
| OGE Energy Corp. |
|
|
14,600 |
|
|
|
536,696 |
|
| Portland General Electric Co. |
|
|
12,000 |
|
|
|
388,080 |
|
| Questar Corp. |
|
|
15,300 |
|
|
|
363,834 |
|
| Sempra Energy |
|
|
2,000 |
|
|
|
193,520 |
|
| UIL Holdings Corp. |
|
|
7,700 |
|
|
|
283,437 |
|
| WGL Holdings, Inc. |
|
|
6,900 |
|
|
|
276,414 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,858,108 |
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCKS
(cost $778,223,901) |
|
|
|
|
|
|
961,847,384 |
|
|
|
|
|
|
|
|
|
|
|
|
| MONEY MARKET FUNDS - 1.4% |
|
|
|
|
|
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional
Shares, 0.000% (2)(a)
(cost $13,432,902) |
|
|
13,432,902 |
|
|
|
13,432,902 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS - 100.9%
(cost $791,656,803) |
|
|
|
|
|
|
975,280,286 |
|
|
|
|
|
|
|
|
|
|
| LIABILITIES IN EXCESS OF OTHER ASSETS - (0.9%) (b) |
|
|
|
|
|
|
(9,112,757) |
|
|
|
|
|
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
|
|
|
$ |
966,167,529 |
|
|
|
|
|
|
|
|
|
|
All securities are United States companies, unless noted otherwise in parentheses.
| † |
Non income-producing security. |
| (a) |
Represents annualized seven-day yield as of March 31, 2014. |
| (b) |
Includes depreciation on futures. |
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. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
33 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
Open futures contracts outstanding at
March 31, 2014:
Exchange Traded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
CONTRACTS |
|
COUNTERPARTY |
|
DESCRIPTION |
|
EXPIRATION DATE |
|
|
VALUE AT
TRADE DATE |
|
|
VALUE AT
MARCH 31,
2014 |
|
|
UNREALIZED
DEPRECIATION |
|
| Long Contracts: |
|
|
|
|
|
| 34 |
|
Barclays Capital |
|
S&P 500 E-Mini Futures |
|
|
June 20, 2014 |
|
|
|
$3,178,273 |
|
|
|
$3,169,820 |
|
|
|
$(8,453) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash held as collateral at Barclays Capital for futures contracts was $179,924 at March 31, 2014.
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 34 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR SMALL CAP MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCKS - 99.6% |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Consumer Discretionary - 17.1% |
|
|
|
|
|
|
|
|
| 1-800-Flowers.com, Inc., Class A † |
|
|
24,900 |
|
|
$ |
140,187 |
|
| A. H. Belo Corp., Class A |
|
|
2,900 |
|
|
|
33,582 |
|
| American Axle & Manufacturing Holdings, Inc. † |
|
|
32,900 |
|
|
|
609,308 |
|
| America’s Car-Mart, Inc. † |
|
|
3,100 |
|
|
|
113,832 |
|
| Arctic Cat, Inc. |
|
|
7,800 |
|
|
|
372,762 |
|
| Asbury Automotive Group, Inc. † |
|
|
11,100 |
|
|
|
613,941 |
|
| Ascent Capital Group, Inc., Class A † |
|
|
3,000 |
|
|
|
226,650 |
|
| Bally Technologies, Inc. † |
|
|
4,500 |
|
|
|
298,215 |
|
| Big 5 Sporting Goods Corp. |
|
|
14,100 |
|
|
|
226,305 |
|
| Black Diamond, Inc. † |
|
|
2,900 |
|
|
|
35,467 |
|
| Bob Evans Farms, Inc. |
|
|
5,300 |
|
|
|
265,159 |
|
| Bon-Ton Stores, Inc./The |
|
|
7,500 |
|
|
|
82,350 |
|
| Boyd Gaming Corp. † |
|
|
67,000 |
|
|
|
884,400 |
|
| Bridgepoint Education, Inc. † |
|
|
12,899 |
|
|
|
192,066 |
|
| Brown Shoe Co., Inc. |
|
|
13,800 |
|
|
|
366,252 |
|
| Buffalo Wild Wings, Inc. † |
|
|
6,900 |
|
|
|
1,027,410 |
|
| Caesars Entertainment Corp. † |
|
|
2,000 |
|
|
|
38,020 |
|
| Capella Education Co. |
|
|
6,300 |
|
|
|
397,845 |
|
| Career Education Corp. † |
|
|
24,100 |
|
|
|
179,786 |
|
| Carmike Cinemas, Inc. † |
|
|
14,400 |
|
|
|
429,984 |
|
| Carriage Services, Inc. |
|
|
20,100 |
|
|
|
366,624 |
|
| Cavco Industries, Inc. † |
|
|
1,300 |
|
|
|
101,985 |
|
| Century Casinos, Inc. † |
|
|
13,700 |
|
|
|
98,229 |
|
| Christopher & Banks Corp. † |
|
|
33,800 |
|
|
|
223,418 |
|
| Churchill Downs, Inc. |
|
|
3,600 |
|
|
|
328,680 |
|
| Chuy’s Holdings, Inc. † |
|
|
3,600 |
|
|
|
155,304 |
|
| Collectors Universe, Inc. |
|
|
6,200 |
|
|
|
116,684 |
|
| Columbia Sportswear Co. |
|
|
4,000 |
|
|
|
330,600 |
|
| Conn’s, Inc. † |
|
|
14,300 |
|
|
|
555,555 |
|
| Core-Mark Holding Co., Inc. |
|
|
2,900 |
|
|
|
210,540 |
|
| Cracker Barrel Old Country Store, Inc. |
|
|
9,400 |
|
|
|
914,056 |
|
| Cumulus Media, Inc., Class A † |
|
|
114,500 |
|
|
|
791,195 |
|
| Deckers Outdoor Corp. † |
|
|
1,800 |
|
|
|
143,514 |
|
| Denny’s Corp. † |
|
|
18,100 |
|
|
|
116,383 |
|
| Destination Maternity Corp. |
|
|
3,000 |
|
|
|
82,200 |
|
| Destination XL Group, Inc. † |
|
|
22,800 |
|
|
|
128,592 |
|
| Dex Media, Inc. † |
|
|
49,200 |
|
|
|
452,640 |
|
| Dixie Group, Inc./The † |
|
|
16,500 |
|
|
|
270,930 |
|
| Dorman Products, Inc. † |
|
|
14,964 |
|
|
|
883,774 |
|
| Drew Industries, Inc. |
|
|
5,900 |
|
|
|
319,780 |
|
| Education Management Corp. † |
|
|
43,200 |
|
|
|
210,384 |
|
| Einstein Noah Restaurant Group, Inc. |
|
|
3,600 |
|
|
|
59,256 |
|
| Empire Resorts, Inc. † |
|
|
4,700 |
|
|
|
33,182 |
|
| Entravision Communications Corp., Class A |
|
|
91,000 |
|
|
|
609,700 |
|
| EW Scripps Co., Class A † |
|
|
23,500 |
|
|
|
416,420 |
|
| Express, Inc. † |
|
|
3,100 |
|
|
|
49,228 |
|
| Famous Dave’s of America, Inc. † |
|
|
2,200 |
|
|
|
53,856 |
|
| Federal-Mogul Corp. † |
|
|
15,600 |
|
|
|
291,876 |
|
| Fiesta Restaurant Group, Inc. † |
|
|
18,900 |
|
|
|
861,651 |
|
| Finish Line, Inc./The, Class A |
|
|
11,200 |
|
|
|
303,408 |
|
| Fred’s, Inc., Class A |
|
|
7,400 |
|
|
|
133,274 |
|
| FTD Cos., Inc. † |
|
|
5,720 |
|
|
|
181,953 |
|
| Gentherm, Inc. † |
|
|
17,600 |
|
|
|
611,072 |
|
| G-III Apparel Group Ltd. † |
|
|
10,800 |
|
|
|
773,064 |
|
| Grand Canyon Education, Inc. † |
|
|
19,200 |
|
|
|
896,640 |
|
| Gray Television, Inc. † |
|
|
62,600 |
|
|
|
649,162 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Consumer Discretionary - 17.1% (continued) |
|
| Haverty Furniture Cos., Inc. |
|
|
7,500 |
|
|
$ |
222,750 |
|
| Helen of Troy Ltd. † |
|
|
4,300 |
|
|
|
297,689 |
|
| hhgregg, Inc. † |
|
|
27,100 |
|
|
|
260,431 |
|
| Iconix Brand Group, Inc. † |
|
|
22,500 |
|
|
|
883,575 |
|
| Interval Leisure Group, Inc. |
|
|
9,000 |
|
|
|
235,260 |
|
| iRobot Corp. † |
|
|
14,400 |
|
|
|
591,120 |
|
| ITT Educational Services, Inc. † |
|
|
17,500 |
|
|
|
501,900 |
|
| Jack in the Box, Inc. † |
|
|
10,800 |
|
|
|
636,552 |
|
| Jamba, Inc. † |
|
|
11,680 |
|
|
|
140,102 |
|
| Journal Communications, Inc., Class A † |
|
|
7,300 |
|
|
|
64,678 |
|
| K12, Inc. † |
|
|
7,600 |
|
|
|
172,140 |
|
| Kate Spade & Co. † |
|
|
2,200 |
|
|
|
81,598 |
|
| Kirkland’s, Inc. † |
|
|
11,900 |
|
|
|
220,031 |
|
| Kona Grill, Inc. † |
|
|
1,700 |
|
|
|
34,629 |
|
| Krispy Kreme Doughnuts, Inc. † |
|
|
37,200 |
|
|
|
659,556 |
|
| La-Z-Boy, Inc. |
|
|
22,300 |
|
|
|
604,330 |
|
| Lee Enterprises, Inc. (2)† |
|
|
79,900 |
|
|
|
357,153 |
|
| Libbey, Inc. † |
|
|
4,300 |
|
|
|
111,800 |
|
| LifeLock, Inc. † |
|
|
48,800 |
|
|
|
834,968 |
|
| Lithia Motors, Inc., Class A |
|
|
10,200 |
|
|
|
677,892 |
|
| Loral Space & Communications, Inc. † |
|
|
5,300 |
|
|
|
374,869 |
|
| Lumber Liquidators Holdings, Inc. † |
|
|
400 |
|
|
|
37,520 |
|
| M/I Homes, Inc. † |
|
|
6,100 |
|
|
|
136,762 |
|
| MarineMax, Inc. † |
|
|
10,100 |
|
|
|
153,419 |
|
| Marriott Vacations Worldwide Corp. † |
|
|
5,300 |
|
|
|
296,323 |
|
| Martha Stewart Living Omnimedia, Class A † |
|
|
10,800 |
|
|
|
48,924 |
|
| Mattress Firm Holding Corp. † |
|
|
7,000 |
|
|
|
334,810 |
|
| McClatchy Co./The, Class A † |
|
|
21,200 |
|
|
|
136,104 |
|
| MDC Partners, Inc., Class A |
|
|
24,600 |
|
|
|
561,372 |
|
| Men’s Wearhouse, Inc./The |
|
|
18,600 |
|
|
|
911,028 |
|
| Meredith Corp. |
|
|
2,100 |
|
|
|
97,503 |
|
| Modine Manufacturing Co. † |
|
|
30,000 |
|
|
|
439,500 |
|
| Monarch Casino & Resort, Inc. † |
|
|
12,000 |
|
|
|
222,360 |
|
| Monro Muffler Brake, Inc. |
|
|
11,300 |
|
|
|
642,744 |
|
| Motorcar Parts of America, Inc. † |
|
|
19,200 |
|
|
|
510,144 |
|
| Movado Group, Inc. |
|
|
3,500 |
|
|
|
159,425 |
|
| Multimedia Games Holding Co., Inc. † |
|
|
17,500 |
|
|
|
508,200 |
|
| NACCO Industries, Inc., Class A |
|
|
5,100 |
|
|
|
276,471 |
|
| Nautilus, Inc. † |
|
|
41,300 |
|
|
|
397,719 |
|
| New York & Co., Inc. † |
|
|
17,200 |
|
|
|
75,508 |
|
| New York Times Co./The, Class A |
|
|
63,400 |
|
|
|
1,085,408 |
|
| Nexstar Broadcasting Group, Inc., Class A |
|
|
21,200 |
|
|
|
795,424 |
|
| Nutrisystem, Inc. |
|
|
14,300 |
|
|
|
215,501 |
|
| Orbitz Worldwide, Inc. † |
|
|
75,000 |
|
|
|
588,000 |
|
| Overstock.com, Inc. † |
|
|
16,800 |
|
|
|
330,960 |
|
| Oxford Industries, Inc. |
|
|
4,300 |
|
|
|
336,260 |
|
| Pacific Sunwear of California, Inc. † |
|
|
53,500 |
|
|
|
158,895 |
|
| Papa John’s International, Inc. |
|
|
14,300 |
|
|
|
745,173 |
|
| Perry Ellis International, Inc. † |
|
|
10,100 |
|
|
|
138,774 |
|
| Pinnacle Entertainment, Inc. † |
|
|
20,900 |
|
|
|
495,330 |
|
| Popeyes Louisiana Kitchen, Inc. † |
|
|
10,200 |
|
|
|
414,528 |
|
| Quiksilver, Inc. † |
|
|
39,700 |
|
|
|
298,147 |
|
| Radio One, Inc., Class D † |
|
|
16,500 |
|
|
|
78,210 |
|
| Red Robin Gourmet Burgers, Inc. † |
|
|
10,700 |
|
|
|
766,976 |
|
| Rentrak Corp. † |
|
|
8,800 |
|
|
|
530,464 |
|
| Restoration Hardware Holdings, Inc. † |
|
|
15,000 |
|
|
|
1,103,850 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
35 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR SMALL CAP MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Consumer Discretionary - 17.1% (continued) |
|
| Ruth’s Hospitality Group, Inc. |
|
|
22,500 |
|
|
$
|
272,025 |
|
| Scholastic Corp. |
|
|
3,800 |
|
|
|
131,024 |
|
| Scientific Games Corp., Class A † |
|
|
44,100 |
|
|
|
605,493 |
|
| Select Comfort Corp. † |
|
|
1,900 |
|
|
|
34,352 |
|
| Shiloh Industries, Inc. † |
|
|
9,900 |
|
|
|
175,626 |
|
| Shoe Carnival, Inc. |
|
|
4,200 |
|
|
|
96,768 |
|
| Sinclair Broadcast Group, Inc., Class A |
|
|
5,700 |
|
|
|
154,413 |
|
| Sizmek, Inc. † |
|
|
8,600 |
|
|
|
91,418 |
|
| Skechers U.S.A., Inc., Class A † |
|
|
25,000 |
|
|
|
913,500 |
|
| Sonic Automotive, Inc., Class A |
|
|
1,500 |
|
|
|
33,720 |
|
| Sonic Corp. † |
|
|
28,000 |
|
|
|
638,120 |
|
| Standard Motor Products, Inc. |
|
|
18,100 |
|
|
|
647,437 |
|
| Stein Mart, Inc. |
|
|
23,200 |
|
|
|
325,032 |
|
| Steiner Leisure Ltd. (Bahamas) † |
|
|
1,700 |
|
|
|
78,625 |
|
| Stoneridge, Inc. † |
|
|
20,500 |
|
|
|
230,215 |
|
| Strattec Security Corp. |
|
|
1,700 |
|
|
|
122,791 |
|
| Sturm, Ruger & Co., Inc. |
|
|
10,500 |
|
|
|
627,900 |
|
| Tempur Sealy International, Inc. † |
|
|
800 |
|
|
|
40,536 |
|
| Texas Roadhouse, Inc. |
|
|
22,100 |
|
|
|
576,368 |
|
| Tower International, Inc. † |
|
|
18,300 |
|
|
|
498,126 |
|
| Town Sports International Holdings, Inc. |
|
|
5,300 |
|
|
|
44,997 |
|
| Tuesday Morning Corp. † |
|
|
34,500 |
|
|
|
488,175 |
|
| Unifi, Inc. † |
|
|
11,200 |
|
|
|
258,384 |
|
| Universal Electronics, Inc. † |
|
|
9,000 |
|
|
|
345,510 |
|
| ValueVision Media, Inc., Class A † |
|
|
69,300 |
|
|
|
336,798 |
|
| VOXX International Corp. † |
|
|
10,300 |
|
|
|
140,904 |
|
| Winnebago Industries, Inc. † |
|
|
14,300 |
|
|
|
391,677 |
|
| World Wrestling Entertainment, Inc., Class A |
|
|
47,300 |
|
|
|
1,366,024 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
50,915,047 |
|
|
|
|
|
|
|
|
|
|
| Consumer Staples - 2.5% |
|
| Andersons, Inc./The |
|
|
10,200 |
|
|
|
604,248 |
|
| Boston Beer Co., Inc./The, Class A † |
|
|
700 |
|
|
|
171,311 |
|
| Boulder Brands, Inc. † |
|
|
11,800 |
|
|
|
207,916 |
|
| Calavo Growers, Inc. |
|
|
4,000 |
|
|
|
142,320 |
|
| Cal-Maine Foods, Inc. |
|
|
5,200 |
|
|
|
326,456 |
|
| Chiquita Brands International, Inc. (2)† |
|
|
13,500 |
|
|
|
168,075 |
|
| Coca-Cola Bottling Co. Consolidated |
|
|
1,200 |
|
|
|
101,976 |
|
| Craft Brew Alliance, Inc. † |
|
|
18,100 |
|
|
|
276,387 |
|
| Diamond Foods, Inc. † |
|
|
10,200 |
|
|
|
356,286 |
|
| Harbinger Group, Inc. † |
|
|
14,900 |
|
|
|
182,227 |
|
| IGI Laboratories, Inc. † |
|
|
12,300 |
|
|
|
69,495 |
|
| Ingles Markets, Inc., Class A |
|
|
3,400 |
|
|
|
80,988 |
|
| Inter Parfums, Inc. |
|
|
10,000 |
|
|
|
362,100 |
|
| Inventure Foods, Inc. † |
|
|
5,600 |
|
|
|
78,288 |
|
| J&J Snack Foods Corp. |
|
|
3,500 |
|
|
|
335,895 |
|
| Liberator Medical Holdings, Inc. |
|
|
79,700 |
|
|
|
313,221 |
|
| Medifast, Inc. † |
|
|
6,400 |
|
|
|
186,176 |
|
| Natural Grocers by Vitamin Cottage, Inc. † |
|
|
10,500 |
|
|
|
458,430 |
|
| Omega Protein Corp. † |
|
|
13,000 |
|
|
|
156,910 |
|
| Revlon, Inc., Class A † |
|
|
14,300 |
|
|
|
365,365 |
|
| Rite Aid Corp. † |
|
|
6,500 |
|
|
|
40,755 |
|
| Roundy’s, Inc. |
|
|
13,800 |
|
|
|
94,944 |
|
| Spartan Stores, Inc. |
|
|
6,500 |
|
|
|
150,865 |
|
| Star Scientific, Inc. † |
|
|
64,200 |
|
|
|
50,378 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Consumer Staples - 2.5% (continued) |
|
| SUPERVALU, Inc. † |
|
|
99,100 |
|
|
$
|
677,844 |
|
| Susser Holdings Corp. † |
|
|
7,900 |
|
|
|
493,513 |
|
| USANA Health Sciences, Inc. † |
|
|
5,400 |
|
|
|
406,836 |
|
| WD-40 Co. |
|
|
4,600 |
|
|
|
356,822 |
|
| Weis Markets, Inc. |
|
|
2,000 |
|
|
|
98,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,314,527 |
|
|
|
|
|
|
|
|
|
|
| Energy - 5.3% |
|
|
|
|
|
|
|
|
| Abraxas Petroleum Corp. † |
|
|
37,300 |
|
|
|
147,708 |
|
| Adams Resources & Energy, Inc. |
|
|
500 |
|
|
|
28,960 |
|
| Bill Barrett Corp. † |
|
|
14,200 |
|
|
|
363,520 |
|
| Bonanza Creek Energy, Inc. † |
|
|
3,500 |
|
|
|
155,400 |
|
| Carrizo Oil & Gas, Inc. † |
|
|
19,000 |
|
|
|
1,015,740 |
|
| Clayton Williams Energy, Inc. † |
|
|
5,300 |
|
|
|
598,953 |
|
| Dawson Geophysical Co. |
|
|
6,000 |
|
|
|
168,060 |
|
| DHT Holdings, Inc. |
|
|
15,300 |
|
|
|
119,034 |
|
| Diamondback Energy, Inc. † |
|
|
6,800 |
|
|
|
457,708 |
|
| EnLink Midstream LLC |
|
|
20,900 |
|
|
|
709,346 |
|
| Exterran Holdings, Inc. |
|
|
11,900 |
|
|
|
522,172 |
|
| Gastar Exploration, Inc. † |
|
|
69,700 |
|
|
|
381,259 |
|
| Goodrich Petroleum Corp. † |
|
|
26,800 |
|
|
|
423,976 |
|
| Green Plains Renewable Energy, Inc. |
|
|
22,200 |
|
|
|
665,112 |
|
| Gulf Island Fabrication, Inc. |
|
|
3,100 |
|
|
|
66,991 |
|
| Knightsbridge Tankers Ltd. |
|
|
16,200 |
|
|
|
219,510 |
|
| Magnum Hunter Resources Corp. † |
|
|
112,100 |
|
|
|
952,850 |
|
| Matador Resources Co. † |
|
|
32,000 |
|
|
|
783,680 |
|
| Matrix Service Co. † |
|
|
9,800 |
|
|
|
331,044 |
|
| Miller Energy Resources, Inc. † |
|
|
55,000 |
|
|
|
323,400 |
|
| Mitcham Industries, Inc. † |
|
|
5,800 |
|
|
|
80,852 |
|
| Natural Gas Services Group, Inc. † |
|
|
6,200 |
|
|
|
186,868 |
|
| Newpark Resources, Inc. † |
|
|
46,600 |
|
|
|
533,570 |
|
| Parker Drilling Co. † |
|
|
29,100 |
|
|
|
206,319 |
|
| PDC Energy, Inc. † |
|
|
900 |
|
|
|
56,034 |
|
| Penn Virginia Corp. † |
|
|
48,300 |
|
|
|
844,767 |
|
| PHI, Inc. † |
|
|
1,900 |
|
|
|
84,056 |
|
| Renewable Energy Group, Inc. † |
|
|
39,400 |
|
|
|
472,012 |
|
| Rentech, Inc. † |
|
|
52,300 |
|
|
|
99,370 |
|
| REX American Resources Corp. † |
|
|
5,400 |
|
|
|
308,070 |
|
| Rex Energy Corp. † |
|
|
23,600 |
|
|
|
441,556 |
|
| RigNet, Inc. † |
|
|
11,700 |
|
|
|
629,811 |
|
| Sanchez Energy Corp. † |
|
|
10,500 |
|
|
|
311,115 |
|
| SemGroup Corp., Class A |
|
|
2,500 |
|
|
|
164,200 |
|
| Stone Energy Corp. † |
|
|
22,500 |
|
|
|
944,325 |
|
| Synergy Resources Corp. † |
|
|
18,500 |
|
|
|
198,875 |
|
| Tesco Corp. † |
|
|
26,300 |
|
|
|
486,550 |
|
| TETRA Technologies, Inc. † |
|
|
35,900 |
|
|
|
459,520 |
|
| VAALCO Energy, Inc. † |
|
|
13,800 |
|
|
|
117,990 |
|
| Westmoreland Coal Co. † |
|
|
9,300 |
|
|
|
276,954 |
|
| Willbros Group, Inc. † |
|
|
37,800 |
|
|
|
477,036 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,814,273 |
|
|
|
|
|
|
|
|
|
|
| Financials - 14.5% |
|
| American Equity Investment Life Holding Co. |
|
|
26,100 |
|
|
|
616,482 |
|
| Ameris Bancorp † |
|
|
9,301 |
|
|
|
216,713 |
|
| AMERISAFE, Inc. |
|
|
4,000 |
|
|
|
175,640 |
|
| Argo Group International Holdings Ltd. |
|
|
3,200 |
|
|
|
146,880 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 36 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR SMALL CAP MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Financials - 14.5% (continued) |
|
| Arlington Asset Investment Corp., Class A |
|
|
2,800 |
|
|
$
|
74,144 |
|
| Ashford Hospitality Prime, Inc. REIT |
|
|
5,780 |
|
|
|
87,394 |
|
| Ashford Hospitality Trust, Inc. REIT |
|
|
28,900 |
|
|
|
325,703 |
|
| Banco Latinoamericano de Comercio Exterior SA, Class E (Panama) |
|
|
8,600 |
|
|
|
227,126 |
|
| Bancorp, Inc. † |
|
|
16,000 |
|
|
|
300,960 |
|
| BancorpSouth, Inc. |
|
|
36,300 |
|
|
|
906,048 |
|
| Bank of the Ozarks, Inc. |
|
|
17,000 |
|
|
|
1,157,020 |
|
| Banner Corp. |
|
|
12,000 |
|
|
|
494,520 |
|
| BBCN Bancorp, Inc. |
|
|
22,400 |
|
|
|
383,936 |
|
| Beneficial Mutual Bancorp, Inc. † |
|
|
2,600 |
|
|
|
34,294 |
|
| Berkshire Hills Bancorp, Inc. |
|
|
5,000 |
|
|
|
129,400 |
|
| BGC Partners, Inc., Class A |
|
|
118,800 |
|
|
|
776,952 |
|
| BlackRock Kelso Capital Corp. |
|
|
15,700 |
|
|
|
143,969 |
|
| BNC Bancorp |
|
|
9,000 |
|
|
|
155,970 |
|
| BofI Holding, Inc. † |
|
|
12,300 |
|
|
|
1,054,725 |
|
| Boston Private Financial Holdings, Inc. |
|
|
32,500 |
|
|
|
439,725 |
|
| Cardinal Financial Corp. |
|
|
6,300 |
|
|
|
112,329 |
|
| Center Bancorp, Inc. |
|
|
4,600 |
|
|
|
87,400 |
|
| Chemical Financial Corp. |
|
|
1,500 |
|
|
|
48,675 |
|
| City Holding Co. |
|
|
1,300 |
|
|
|
58,318 |
|
| CoBiz Financial, Inc. |
|
|
3,100 |
|
|
|
35,712 |
|
| Cohen & Steers, Inc. |
|
|
3,000 |
|
|
|
119,550 |
|
| Community Trust Bancorp, Inc. |
|
|
3,300 |
|
|
|
136,884 |
|
| Consumer Portfolio Services, Inc. † |
|
|
32,700 |
|
|
|
223,668 |
|
| CoreSite Realty Corp. REIT |
|
|
9,200 |
|
|
|
285,200 |
|
| Cowen Group, Inc., Class A † |
|
|
27,800 |
|
|
|
122,598 |
|
| Credit Acceptance Corp. † |
|
|
318 |
|
|
|
45,204 |
|
| CVB Financial Corp. |
|
|
24,000 |
|
|
|
381,600 |
|
| Diamond Hill Investment Group, Inc. |
|
|
500 |
|
|
|
65,720 |
|
| Eagle Bancorp, Inc. † |
|
|
13,039 |
|
|
|
470,708 |
|
| eHealth, Inc. † |
|
|
10,800 |
|
|
|
548,640 |
|
| Employers Holdings, Inc. |
|
|
3,300 |
|
|
|
66,759 |
|
| Encore Capital Group, Inc. † |
|
|
7,274 |
|
|
|
332,422 |
|
| Enstar Group Ltd. † |
|
|
2,000 |
|
|
|
272,620 |
|
| Evercore Partners, Inc., Class A |
|
|
14,800 |
|
|
|
817,700 |
|
| FBL Financial Group, Inc., Class A |
|
|
7,100 |
|
|
|
307,572 |
|
| FBR & Co. † |
|
|
10,700 |
|
|
|
276,381 |
|
| Federal Agricultural Mortgage Corp., Class C |
|
|
7,100 |
|
|
|
236,075 |
|
| Federated National Holding Co. |
|
|
10,500 |
|
|
|
192,360 |
|
| FelCor Lodging Trust, Inc. REIT |
|
|
33,500 |
|
|
|
302,840 |
|
| Fidelity Southern Corp. |
|
|
8,768 |
|
|
|
122,489 |
|
| Financial Engines, Inc. |
|
|
3,300 |
|
|
|
167,574 |
|
| First Busey Corp. |
|
|
1,100 |
|
|
|
6,380 |
|
| First Commonwealth Financial Corp. |
|
|
18,100 |
|
|
|
163,624 |
|
| First Financial Bancorp |
|
|
1,700 |
|
|
|
30,566 |
|
| First Financial Bankshares, Inc. |
|
|
11,600 |
|
|
|
716,764 |
|
| First Financial Holdings, Inc. |
|
|
7,600 |
|
|
|
475,912 |
|
| First Interstate Bancsystem, Inc. |
|
|
15,900 |
|
|
|
448,698 |
|
| First Merchants Corp. |
|
|
9,200 |
|
|
|
199,088 |
|
| First Midwest Bancorp, Inc. |
|
|
10,800 |
|
|
|
184,464 |
|
| Flagstar Bancorp, Inc. † |
|
|
10,000 |
|
|
|
222,200 |
|
| Forestar Group, Inc. † |
|
|
13,900 |
|
|
|
247,420 |
|
| FXCM, Inc., Class A |
|
|
12,800 |
|
|
|
189,056 |
|
| Gain Capital Holdings, Inc. |
|
|
23,700 |
|
|
|
256,197 |
|
| GAMCO Investors, Inc., Class A |
|
|
4,000 |
|
|
|
310,600 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Financials - 14.5% (continued) |
|
| Glacier Bancorp, Inc. |
|
|
34,500 |
|
|
$
|
1,002,915 |
|
| Gladstone Capital Corp. |
|
|
7,300 |
|
|
|
73,584 |
|
| Gladstone Commercial Corp. REIT |
|
|
5,400 |
|
|
|
93,636 |
|
| Gladstone Investment Corp. |
|
|
9,900 |
|
|
|
81,873 |
|
| Gramercy Property Trust, Inc. REIT (2) |
|
|
20,400 |
|
|
|
105,264 |
|
| Green Dot Corp., Class A † |
|
|
12,200 |
|
|
|
238,266 |
|
| Hanmi Financial Corp. |
|
|
9,600 |
|
|
|
223,680 |
|
| Hanover Insurance Group, Inc./The |
|
|
4,400 |
|
|
|
270,336 |
|
| HCI Group, Inc. |
|
|
14,300 |
|
|
|
520,520 |
|
| Hercules Technology Growth Capital, Inc. |
|
|
14,300 |
|
|
|
201,201 |
|
| HFF, Inc., Class A |
|
|
13,000 |
|
|
|
436,930 |
|
| Hilltop Holdings, Inc. † |
|
|
36,400 |
|
|
|
865,956 |
|
| Home BancShares, Inc. |
|
|
37,100 |
|
|
|
1,276,982 |
|
| HomeStreet, Inc. |
|
|
7,500 |
|
|
|
146,625 |
|
| Horace Mann Educators Corp. |
|
|
8,000 |
|
|
|
232,000 |
|
| Horizon Technology Finance Corp. |
|
|
900 |
|
|
|
11,259 |
|
| ICG Group, Inc. † |
|
|
6,000 |
|
|
|
122,520 |
|
| Independent Bank Corp. † |
|
|
28,300 |
|
|
|
406,919 |
|
| Infinity Property & Casualty Corp. |
|
|
3,300 |
|
|
|
223,179 |
|
| Interactive Brokers Group, Inc., Class A |
|
|
19,100 |
|
|
|
413,897 |
|
| International Bancshares Corp. |
|
|
14,900 |
|
|
|
373,692 |
|
| INTL FCStone, Inc. † |
|
|
3,000 |
|
|
|
56,430 |
|
| Investment Technology Group, Inc. † |
|
|
10,100 |
|
|
|
204,020 |
|
| Investors Bancorp, Inc. |
|
|
8,700 |
|
|
|
240,468 |
|
| KCAP Financial, Inc. |
|
|
23,900 |
|
|
|
206,974 |
|
| Kemper Corp. |
|
|
7,000 |
|
|
|
274,190 |
|
| Kennedy-Wilson Holdings, Inc. |
|
|
24,000 |
|
|
|
540,240 |
|
| Ladenburg Thalmann Financial Services, Inc. † |
|
|
84,600 |
|
|
|
255,492 |
|
| Lakeland Financial Corp. |
|
|
7,600 |
|
|
|
305,672 |
|
| Maiden Holdings Ltd. |
|
|
15,800 |
|
|
|
197,184 |
|
| MarketAxess Holdings, Inc. |
|
|
13,282 |
|
|
|
786,560 |
|
| MB Financial, Inc. |
|
|
15,200 |
|
|
|
470,592 |
|
| Medallion Financial Corp. |
|
|
7,700 |
|
|
|
101,717 |
|
| Meta Financial Group, Inc. |
|
|
3,000 |
|
|
|
134,550 |
|
| MGIC Investment Corp. † |
|
|
12,700 |
|
|
|
108,204 |
|
| Monmouth Real Estate Investment Corp., Class A REIT |
|
|
8,600 |
|
|
|
82,044 |
|
| MVC Capital, Inc. |
|
|
4,300 |
|
|
|
58,265 |
|
| Nelnet, Inc., Class A |
|
|
9,400 |
|
|
|
384,460 |
|
| OneBeacon Insurance Group Ltd., Class A |
|
|
14,400 |
|
|
|
222,624 |
|
| Oritani Financial Corp. |
|
|
10,200 |
|
|
|
161,262 |
|
| PacWest Bancorp |
|
|
20,000 |
|
|
|
860,200 |
|
| Phoenix Cos., Inc./The † |
|
|
2,500 |
|
|
|
129,375 |
|
| Pinnacle Financial Partners, Inc. |
|
|
11,500 |
|
|
|
431,135 |
|
| Piper Jaffray Cos. † |
|
|
7,800 |
|
|
|
357,240 |
|
| Platinum Underwriters Holdings Ltd. |
|
|
600 |
|
|
|
36,060 |
|
| Portfolio Recovery Associates, Inc. † |
|
|
4,100 |
|
|
|
237,226 |
|
| Preferred Bank † |
|
|
1,300 |
|
|
|
33,748 |
|
| Primerica, Inc. |
|
|
3,800 |
|
|
|
179,018 |
|
| PrivateBancorp, Inc. |
|
|
34,400 |
|
|
|
1,049,544 |
|
| Pzena Investment Management, Inc., Class A |
|
|
13,600 |
|
|
|
160,072 |
|
| Radian Group, Inc. |
|
|
25,500 |
|
|
|
383,265 |
|
| Ramco-Gershenson Properties Trust REIT |
|
|
9,400 |
|
|
|
153,220 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
37 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR SMALL CAP MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Financials - 14.5% (continued) |
|
| Regional Management Corp. † |
|
|
5,000 |
|
|
$
|
123,300 |
|
| Rockville Financial, Inc. |
|
|
2,700 |
|
|
|
36,693 |
|
| Safeguard Scientifics, Inc. † |
|
|
4,700 |
|
|
|
104,246 |
|
| Safety Insurance Group, Inc. |
|
|
1,900 |
|
|
|
102,315 |
|
| Security National Financial Corp., Class A † |
|
|
7,840 |
|
|
|
31,830 |
|
| Simmons First National Corp., Class A |
|
|
1,300 |
|
|
|
48,451 |
|
| Southside Bancshares, Inc. |
|
|
7,387 |
|
|
|
231,804 |
|
| StanCorp Financial Group, Inc. |
|
|
8,700 |
|
|
|
581,160 |
|
| Stewart Information Services Corp. |
|
|
11,000 |
|
|
|
386,430 |
|
| Strategic Hotels & Resorts, Inc. REIT † |
|
|
25,000 |
|
|
|
254,750 |
|
| Symetra Financial Corp. |
|
|
19,200 |
|
|
|
380,544 |
|
| Synovus Financial Corp. |
|
|
93,700 |
|
|
|
317,643 |
|
| Texas Capital Bancshares, Inc. † |
|
|
10,200 |
|
|
|
662,388 |
|
| THL Credit, Inc. |
|
|
10,700 |
|
|
|
147,660 |
|
| TICC Capital Corp. (2) |
|
|
21,800 |
|
|
|
213,204 |
|
| Tompkins Financial Corp. |
|
|
1,500 |
|
|
|
73,440 |
|
| Tree.com, Inc. † |
|
|
7,500 |
|
|
|
232,800 |
|
| Triangle Capital Corp. |
|
|
10,100 |
|
|
|
261,489 |
|
| Trico Bancshares |
|
|
3,900 |
|
|
|
101,127 |
|
| Umpqua Holdings Corp. |
|
|
38,100 |
|
|
|
710,184 |
|
| United Community Banks, Inc. † |
|
|
24,900 |
|
|
|
483,309 |
|
| United Insurance Holdings Corp. |
|
|
20,000 |
|
|
|
292,200 |
|
| Universal Health Realty Income Trust REIT |
|
|
1,800 |
|
|
|
76,032 |
|
| Universal Insurance Holdings, Inc. |
|
|
23,800 |
|
|
|
302,260 |
|
| ViewPoint Financial Group, Inc. |
|
|
14,400 |
|
|
|
415,440 |
|
| Virtus Investment Partners, Inc. † |
|
|
3,400 |
|
|
|
588,778 |
|
| Walker & Dunlop, Inc. † |
|
|
7,900 |
|
|
|
129,165 |
|
| Washington Trust Bancorp, Inc. |
|
|
2,400 |
|
|
|
89,928 |
|
| WesBanco, Inc. |
|
|
9,200 |
|
|
|
292,836 |
|
| Western Alliance Bancorp † |
|
|
36,800 |
|
|
|
905,280 |
|
| Wilshire Bancorp, Inc. |
|
|
28,100 |
|
|
|
311,910 |
|
| WisdomTree Investments, Inc. † |
|
|
65,500 |
|
|
|
859,360 |
|
| World Acceptance Corp. † |
|
|
400 |
|
|
|
30,032 |
|
| WSFS Financial Corp. |
|
|
2,000 |
|
|
|
142,860 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
43,178,701 |
|
|
|
|
|
|
|
|
|
|
| Health Care - 19.0% |
|
| Abaxis, Inc. † |
|
|
6,100 |
|
|
|
237,168 |
|
| ABIOMED, Inc. † |
|
|
20,700 |
|
|
|
539,028 |
|
| Acadia Healthcare Co., Inc. † |
|
|
24,700 |
|
|
|
1,114,464 |
|
| ACADIA Pharmaceuticals, Inc. † |
|
|
16,400 |
|
|
|
399,012 |
|
| Accelerate Diagnostics, Inc. † |
|
|
22,100 |
|
|
|
482,001 |
|
| Accuray, Inc. † |
|
|
39,800 |
|
|
|
382,080 |
|
| AcelRx Pharmaceuticals, Inc. † |
|
|
44,900 |
|
|
|
539,249 |
|
| Addus HomeCare Corp. † |
|
|
19,900 |
|
|
|
458,695 |
|
| Aegerion Pharmaceuticals, Inc. † |
|
|
17,800 |
|
|
|
820,936 |
|
| Affymetrix, Inc. † |
|
|
34,000 |
|
|
|
242,420 |
|
| Air Methods Corp. † |
|
|
500 |
|
|
|
26,715 |
|
| Akorn, Inc. † |
|
|
49,600 |
|
|
|
1,091,200 |
|
| Albany Molecular Research, Inc. † |
|
|
26,900 |
|
|
|
500,071 |
|
| Alimera Sciences, Inc. † |
|
|
22,100 |
|
|
|
174,369 |
|
| Alliance HealthCare Services, Inc. † |
|
|
10,700 |
|
|
|
358,771 |
|
| Alnylam Pharmaceuticals, Inc. † |
|
|
1,600 |
|
|
|
107,424 |
|
| AMAG Pharmaceuticals, Inc. † |
|
|
5,900 |
|
|
|
114,165 |
|
| AMN Healthcare Services, Inc. † |
|
|
18,700 |
|
|
|
256,938 |
|
| Ampio Pharmaceuticals, Inc. † |
|
|
41,600 |
|
|
|
264,160 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Health Care - 19.0% (continued) |
|
| Amsurg Corp. † |
|
|
4,500 |
|
|
$
|
211,860 |
|
| Anacor Pharmaceuticals, Inc. † |
|
|
29,800 |
|
|
|
596,298 |
|
| Analogic Corp. |
|
|
2,300 |
|
|
|
188,853 |
|
| AngioDynamics, Inc. † |
|
|
3,100 |
|
|
|
48,825 |
|
| Anika Therapeutics, Inc. † |
|
|
15,000 |
|
|
|
616,500 |
|
| Antares Pharma, Inc. † |
|
|
62,000 |
|
|
|
217,000 |
|
| Array BioPharma, Inc. † |
|
|
4,800 |
|
|
|
22,560 |
|
| Arrowhead Research Corp. † |
|
|
43,500 |
|
|
|
714,270 |
|
| AtriCure, Inc. † |
|
|
18,100 |
|
|
|
340,461 |
|
| AVANIR Pharmaceuticals, Inc., Class A † |
|
|
43,800 |
|
|
|
160,746 |
|
| BioCryst Pharmaceuticals, Inc. † |
|
|
74,000 |
|
|
|
782,920 |
|
| BioDelivery Sciences International, Inc. † |
|
|
18,400 |
|
|
|
155,296 |
|
| Biolase, Inc. (2)† |
|
|
30,374 |
|
|
|
73,202 |
|
| Bio-Reference Labs, Inc. † |
|
|
2,500 |
|
|
|
69,200 |
|
| BioTelemetry, Inc. † |
|
|
41,000 |
|
|
|
413,690 |
|
| Cambrex Corp. † |
|
|
8,300 |
|
|
|
156,621 |
|
| Cantel Medical Corp. |
|
|
14,923 |
|
|
|
503,204 |
|
| Capital Senior Living Corp. † |
|
|
16,500 |
|
|
|
428,835 |
|
| Cardiovascular Systems, Inc. † |
|
|
14,500 |
|
|
|
460,955 |
|
| Catalyst Pharmaceutical Partners, Inc. † |
|
|
126,300 |
|
|
|
285,438 |
|
| Cell Therapeutics, Inc. † |
|
|
77,000 |
|
|
|
261,800 |
|
| Celldex Therapeutics, Inc. † |
|
|
12,500 |
|
|
|
220,875 |
|
| Celsion Corp. † |
|
|
14,066 |
|
|
|
47,402 |
|
| Cempra, Inc. † |
|
|
26,000 |
|
|
|
300,300 |
|
| Cerus Corp. † |
|
|
35,000 |
|
|
|
168,000 |
|
| Chelsea Therapeutics International Ltd. † |
|
|
80,500 |
|
|
|
444,360 |
|
| Clovis Oncology, Inc. † |
|
|
20,200 |
|
|
|
1,399,254 |
|
| CONMED Corp. |
|
|
3,700 |
|
|
|
160,765 |
|
| Corcept Therapeutics, Inc. † |
|
|
36,600 |
|
|
|
159,576 |
|
| Corvel Corp. † |
|
|
6,300 |
|
|
|
313,488 |
|
| Cross Country Healthcare, Inc. † |
|
|
11,400 |
|
|
|
91,998 |
|
| CryoLife, Inc. |
|
|
5,100 |
|
|
|
50,796 |
|
| Curis, Inc. † |
|
|
40,700 |
|
|
|
114,774 |
|
| Cyberonics, Inc. † |
|
|
4,600 |
|
|
|
300,150 |
|
| Cynosure, Inc., Class A † |
|
|
8,100 |
|
|
|
237,330 |
|
| Cytokinetics, Inc. † |
|
|
16,400 |
|
|
|
155,800 |
|
| CytRx Corp. † |
|
|
49,700 |
|
|
|
173,453 |
|
| Depomed, Inc. † |
|
|
24,200 |
|
|
|
350,900 |
|
| DexCom, Inc. † |
|
|
17,000 |
|
|
|
703,120 |
|
| Durata Therapeutics, Inc. † |
|
|
11,700 |
|
|
|
157,552 |
|
| Durect Corp. † |
|
|
79,200 |
|
|
|
105,336 |
|
| Dyax Corp. † |
|
|
56,300 |
|
|
|
505,574 |
|
| Endocyte, Inc. † |
|
|
15,900 |
|
|
|
378,579 |
|
| Endologix, Inc. † |
|
|
6,400 |
|
|
|
82,368 |
|
| Ensign Group, Inc./The |
|
|
3,500 |
|
|
|
152,740 |
|
| Exact Sciences Corp. † |
|
|
6,200 |
|
|
|
87,854 |
|
| ExamWorks Group, Inc. † |
|
|
13,300 |
|
|
|
465,633 |
|
| Five Star Quality Care, Inc. † |
|
|
27,400 |
|
|
|
133,164 |
|
| Fluidigm Corp. † |
|
|
15,500 |
|
|
|
683,085 |
|
| Fonar Corp. † |
|
|
15,100 |
|
|
|
265,458 |
|
| Furiex Pharmaceuticals, Inc. † |
|
|
9,100 |
|
|
|
791,700 |
|
| Galena Biopharma, Inc. † |
|
|
77,900 |
|
|
|
194,750 |
|
| GenMark Diagnostics, Inc. † |
|
|
6,900 |
|
|
|
68,586 |
|
| Gentiva Health Services, Inc. † |
|
|
18,200 |
|
|
|
165,984 |
|
| Geron Corp. † |
|
|
110,600 |
|
|
|
230,048 |
|
| Globus Medical, Inc., Class A † |
|
|
36,200 |
|
|
|
962,558 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 38 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR SMALL CAP MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Health Care - 19.0% (continued) |
|
| Greatbatch, Inc. † |
|
|
4,500 |
|
|
$
|
206,640 |
|
| GTx, Inc. (2)† |
|
|
25,100 |
|
|
|
38,403 |
|
| Halozyme Therapeutics, Inc. † |
|
|
53,600 |
|
|
|
680,720 |
|
| Hanger, Inc. † |
|
|
4,800 |
|
|
|
161,664 |
|
| HealthStream, Inc. † |
|
|
10,500 |
|
|
|
280,350 |
|
| Healthways, Inc. † |
|
|
10,700 |
|
|
|
183,398 |
|
| Hyperion Therapeutics, Inc. † |
|
|
11,900 |
|
|
|
307,020 |
|
| Icad, Inc. † |
|
|
12,500 |
|
|
|
114,500 |
|
| Idenix Pharmaceuticals, Inc. † |
|
|
48,100 |
|
|
|
290,043 |
|
| Idera Pharmaceuticals, Inc. † |
|
|
89,900 |
|
|
|
366,792 |
|
| Immunomedics, Inc. † |
|
|
45,200 |
|
|
|
190,292 |
|
| Inovio Pharmaceuticals, Inc. † |
|
|
181,200 |
|
|
|
603,396 |
|
| Insmed, Inc. † |
|
|
34,700 |
|
|
|
660,688 |
|
| Insulet Corp. † |
|
|
23,300 |
|
|
|
1,104,886 |
|
| Insys Therapeutics, Inc. † |
|
|
23,400 |
|
|
|
969,462 |
|
| Intercept Pharmaceuticals, Inc. † |
|
|
900 |
|
|
|
296,811 |
|
| InterMune, Inc. † |
|
|
6,600 |
|
|
|
220,902 |
|
| Iridex Corp. † |
|
|
2,000 |
|
|
|
17,860 |
|
| Jazz Pharmaceuticals PLC (Ireland) † |
|
|
400 |
|
|
|
55,472 |
|
| Keryx Biopharmaceuticals, Inc. † |
|
|
54,100 |
|
|
|
921,864 |
|
| Kindred Healthcare, Inc. |
|
|
14,600 |
|
|
|
341,932 |
|
| KYTHERA Biopharmaceuticals, Inc. † |
|
|
13,000 |
|
|
|
516,880 |
|
| Lannett Co., Inc. † |
|
|
26,300 |
|
|
|
939,436 |
|
| Ligand Pharmaceuticals, Inc. † |
|
|
13,500 |
|
|
|
908,010 |
|
| MannKind Corp. † |
|
|
221,500 |
|
|
|
890,430 |
|
| MedCath Corp. (3)†(a) |
|
|
10,300 |
|
|
|
14,729 |
|
| Medidata Solutions, Inc. † |
|
|
4,900 |
|
|
|
266,266 |
|
| Merge Healthcare, Inc. † |
|
|
30,200 |
|
|
|
73,688 |
|
| Merit Medical Systems, Inc. † |
|
|
7,600 |
|
|
|
108,680 |
|
| MiMedx Group, Inc. † |
|
|
64,400 |
|
|
|
394,772 |
|
| Momenta Pharmaceuticals, Inc. † |
|
|
17,400 |
|
|
|
202,710 |
|
| MWI Veterinary Supply, Inc. † |
|
|
3,500 |
|
|
|
544,670 |
|
| NanoViricides, Inc. † |
|
|
57,800 |
|
|
|
184,960 |
|
| National Research Corp., Class B † |
|
|
2,200 |
|
|
|
96,536 |
|
| Natus Medical, Inc. † |
|
|
17,500 |
|
|
|
451,500 |
|
| Navidea Biopharmaceuticals, Inc. † |
|
|
46,100 |
|
|
|
85,285 |
|
| Nektar Therapeutics † |
|
|
18,900 |
|
|
|
229,068 |
|
| Neogen Corp. † |
|
|
8,850 |
|
|
|
397,807 |
|
| Neuralstem, Inc. † |
|
|
109,700 |
|
|
|
459,643 |
|
| Neurocrine Biosciences, Inc. † |
|
|
23,200 |
|
|
|
373,520 |
|
| NewLink Genetics Corp. † |
|
|
19,900 |
|
|
|
565,160 |
|
| Novavax, Inc. † |
|
|
124,100 |
|
|
|
562,173 |
|
| NuVasive, Inc. † |
|
|
17,000 |
|
|
|
652,970 |
|
| Ohr Pharmaceutical, Inc. † |
|
|
7,600 |
|
|
|
103,436 |
|
| Omeros Corp. † |
|
|
21,100 |
|
|
|
254,677 |
|
| Omnicell, Inc. † |
|
|
16,100 |
|
|
|
460,782 |
|
| Organovo Holdings, Inc. † |
|
|
37,800 |
|
|
|
288,792 |
|
| Osiris Therapeutics, Inc. † |
|
|
14,400 |
|
|
|
189,072 |
|
| Pacific Biosciences of California, Inc. † |
|
|
59,300 |
|
|
|
317,255 |
|
| Pacira Pharmaceuticals, Inc. † |
|
|
10,900 |
|
|
|
762,891 |
|
| Pain Therapeutics, Inc. † |
|
|
26,100 |
|
|
|
143,550 |
|
| Peregrine Pharmaceuticals, Inc. † |
|
|
181,400 |
|
|
|
344,660 |
|
| Pharmacyclics, Inc. † |
|
|
1,000 |
|
|
|
100,220 |
|
| Pozen, Inc. † |
|
|
10,800 |
|
|
|
86,400 |
|
| Prestige Brands Holdings, Inc. † |
|
|
12,900 |
|
|
|
351,525 |
|
| Progenics Pharmaceuticals, Inc. † |
|
|
38,200 |
|
|
|
156,238 |
|
| Providence Service Corp./The † |
|
|
12,000 |
|
|
|
339,360 |
|
| pSivida Corp. † |
|
|
26,700 |
|
|
|
109,470 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Health Care - 19.0% (continued) |
|
| Puma Biotechnology, Inc. † |
|
|
4,700 |
|
|
$
|
489,458 |
|
| Questcor Pharmaceuticals, Inc. |
|
|
3,200 |
|
|
|
207,776 |
|
| Quidel Corp. † |
|
|
9,600 |
|
|
|
262,080 |
|
| Raptor Pharmaceutical Corp. † |
|
|
52,200 |
|
|
|
522,000 |
|
| Regulus Therapeutics, Inc. † |
|
|
5,300 |
|
|
|
47,806 |
|
| Repligen Corp. † |
|
|
17,800 |
|
|
|
228,908 |
|
| Repros Therapeutics, Inc. † |
|
|
21,900 |
|
|
|
388,506 |
|
| Rexahn Pharmaceuticals, Inc. † |
|
|
244,700 |
|
|
|
264,276 |
|
| Rockwell Medical, Inc. † |
|
|
40,300 |
|
|
|
510,198 |
|
| RTI Surgical, Inc. † |
|
|
21,000 |
|
|
|
85,680 |
|
| Sangamo BioSciences, Inc. † |
|
|
31,800 |
|
|
|
574,944 |
|
| SciClone Pharmaceuticals, Inc. † |
|
|
20,600 |
|
|
|
93,730 |
|
| Spectranetics Corp. † |
|
|
17,500 |
|
|
|
530,425 |
|
| Staar Surgical Co. † |
|
|
31,800 |
|
|
|
597,840 |
|
| Stemline Therapeutics, Inc. † |
|
|
7,700 |
|
|
|
156,772 |
|
| Stereotaxis, Inc. † |
|
|
47,500 |
|
|
|
201,875 |
|
| Sucampo Pharmaceuticals, Inc., Class A † |
|
|
11,500 |
|
|
|
82,225 |
|
| Sunesis Pharmaceuticals, Inc. † |
|
|
42,400 |
|
|
|
280,264 |
|
| Sunshine Heart, Inc. (Australia) † |
|
|
5,900 |
|
|
|
34,456 |
|
| Synageva BioPharma Corp. † |
|
|
3,200 |
|
|
|
265,504 |
|
| Synergy Pharmaceuticals, Inc. † |
|
|
14,000 |
|
|
|
74,340 |
|
| TearLab Corp. † |
|
|
40,800 |
|
|
|
275,808 |
|
| TESARO, Inc. † |
|
|
18,600 |
|
|
|
548,328 |
|
| TG Therapeutics, Inc. † |
|
|
27,900 |
|
|
|
192,510 |
|
| TherapeuticsMD, Inc. † |
|
|
56,500 |
|
|
|
356,515 |
|
| Threshold Pharmaceuticals, Inc. † |
|
|
35,800 |
|
|
|
170,408 |
|
| Unilife Corp. † |
|
|
51,600 |
|
|
|
210,012 |
|
| Universal American Corp. |
|
|
19,100 |
|
|
|
135,037 |
|
| US Physical Therapy, Inc. |
|
|
3,000 |
|
|
|
103,710 |
|
| Vanda Pharmaceuticals, Inc. † |
|
|
45,100 |
|
|
|
732,875 |
|
| Vascular Solutions, Inc. † |
|
|
2,200 |
|
|
|
57,618 |
|
| Verastem, Inc. † |
|
|
7,900 |
|
|
|
85,241 |
|
| Vical, Inc. † |
|
|
32,800 |
|
|
|
42,312 |
|
| XOMA Corp. † |
|
|
75,100 |
|
|
|
391,271 |
|
| Zeltiq Aesthetics, Inc. † |
|
|
30,900 |
|
|
|
605,949 |
|
| ZIOPHARM Oncology, Inc. † |
|
|
15,300 |
|
|
|
70,074 |
|
| Zogenix, Inc. † |
|
|
77,400 |
|
|
|
220,203 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
56,677,960 |
|
|
|
|
|
|
|
|
|
|
| Industrials - 16.6% |
|
| AAON, Inc. |
|
|
15,149 |
|
|
|
422,202 |
|
| AAR Corp. |
|
|
17,200 |
|
|
|
446,340 |
|
| Aceto Corp. |
|
|
7,400 |
|
|
|
148,666 |
|
| Adept Technology, Inc. † |
|
|
24,700 |
|
|
|
469,300 |
|
| Advisory Board Co./The † |
|
|
4,100 |
|
|
|
263,425 |
|
| Air Transport Services Group, Inc. † |
|
|
24,800 |
|
|
|
194,680 |
|
| Aircastle Ltd. |
|
|
31,800 |
|
|
|
616,284 |
|
| Alamo Group, Inc. |
|
|
1,900 |
|
|
|
103,227 |
|
| Albany International Corp., Class A |
|
|
6,000 |
|
|
|
213,240 |
|
| Altra Industrial Motion Corp. |
|
|
6,500 |
|
|
|
232,050 |
|
| AMERCO |
|
|
1,100 |
|
|
|
255,332 |
|
| American Railcar Industries, Inc. |
|
|
4,700 |
|
|
|
329,141 |
|
| American Woodmark Corp. † |
|
|
7,600 |
|
|
|
255,816 |
|
| Apogee Enterprises, Inc. |
|
|
15,600 |
|
|
|
518,388 |
|
| ARC Document Solutions, Inc. † |
|
|
35,700 |
|
|
|
265,608 |
|
| ARC Group Worldwide, Inc. † |
|
|
10,200 |
|
|
|
350,268 |
|
| Argan, Inc. |
|
|
4,300 |
|
|
|
127,839 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
39 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR SMALL CAP MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Industrials - 16.6% (continued) |
|
| Arkansas Best Corp. |
|
|
19,200 |
|
|
$
|
709,440 |
|
| Arotech Corp. † |
|
|
23,400 |
|
|
|
145,548 |
|
| Astec Industries, Inc. |
|
|
4,900 |
|
|
|
215,159 |
|
| Astronics Corp. † |
|
|
14,000 |
|
|
|
887,740 |
|
| Baltic Trading Ltd. |
|
|
24,900 |
|
|
|
157,119 |
|
| Barnes Group, Inc. |
|
|
7,400 |
|
|
|
284,678 |
|
| Barrett Business Services, Inc. |
|
|
7,300 |
|
|
|
434,861 |
|
| Broadwind Energy, Inc. † |
|
|
20,000 |
|
|
|
244,400 |
|
| Builders FirstSource, Inc. † |
|
|
37,900 |
|
|
|
345,269 |
|
| CAI International, Inc. † |
|
|
6,100 |
|
|
|
150,487 |
|
| Capstone Turbine Corp. † |
|
|
136,000 |
|
|
|
289,680 |
|
| CBIZ, Inc. † |
|
|
10,400 |
|
|
|
95,264 |
|
| Ceco Environmental Corp. |
|
|
3,000 |
|
|
|
49,770 |
|
| Celadon Group, Inc. |
|
|
3,900 |
|
|
|
93,756 |
|
| Chart Industries, Inc. † |
|
|
2,400 |
|
|
|
190,920 |
|
| CIRCOR International, Inc. |
|
|
5,800 |
|
|
|
425,314 |
|
| Columbus McKinnon Corp. † |
|
|
1,800 |
|
|
|
48,222 |
|
| Corporate Executive Board Co./The |
|
|
9,400 |
|
|
|
697,762 |
|
| Curtiss-Wright Corp. |
|
|
7,300 |
|
|
|
463,842 |
|
| Deluxe Corp. |
|
|
11,200 |
|
|
|
587,664 |
|
| DigitalGlobe, Inc. † |
|
|
10,800 |
|
|
|
313,308 |
|
| Douglas Dynamics, Inc. |
|
|
6,500 |
|
|
|
113,230 |
|
| Ducommun, Inc. † |
|
|
8,400 |
|
|
|
210,504 |
|
| DXP Enterprises, Inc. † |
|
|
6,600 |
|
|
|
626,538 |
|
| Dycom Industries, Inc. † |
|
|
4,500 |
|
|
|
142,245 |
|
| Dynamic Materials Corp. |
|
|
2,700 |
|
|
|
51,408 |
|
| Eagle Bulk Shipping, Inc. † |
|
|
35,300 |
|
|
|
140,847 |
|
| Echo Global Logistics, Inc. † |
|
|
4,100 |
|
|
|
75,112 |
|
| Encore Wire Corp. |
|
|
2,900 |
|
|
|
140,679 |
|
| Energy Recovery, Inc. † |
|
|
33,300 |
|
|
|
177,156 |
|
| EnerNOC, Inc. † |
|
|
10,100 |
|
|
|
225,028 |
|
| EnerSys, Inc. |
|
|
6,000 |
|
|
|
415,740 |
|
| Engility Holdings, Inc. † |
|
|
8,900 |
|
|
|
400,945 |
|
| Enphase Energy, Inc. † |
|
|
36,000 |
|
|
|
264,960 |
|
| EnPro Industries, Inc. † |
|
|
3,100 |
|
|
|
225,277 |
|
| Erickson Air-Crane, Inc. † |
|
|
14,300 |
|
|
|
276,133 |
|
| ExOne Co./The † |
|
|
8,000 |
|
|
|
286,640 |
|
| Exponent, Inc. |
|
|
4,900 |
|
|
|
367,794 |
|
| Federal Signal Corp. † |
|
|
33,100 |
|
|
|
493,190 |
|
| Forward Air Corp. |
|
|
2,500 |
|
|
|
115,275 |
|
| Franklin Electric Co., Inc. |
|
|
5,300 |
|
|
|
225,356 |
|
| FuelCell Energy, Inc. † |
|
|
119,700 |
|
|
|
296,856 |
|
| Furmanite Corp. † |
|
|
12,300 |
|
|
|
120,786 |
|
| G&K Services, Inc., Class A |
|
|
8,000 |
|
|
|
489,360 |
|
| GenCorp, Inc. † |
|
|
36,200 |
|
|
|
661,374 |
|
| Gibraltar Industries, Inc. † |
|
|
14,000 |
|
|
|
264,180 |
|
| Global Power Equipment Group, Inc. |
|
|
2,400 |
|
|
|
47,736 |
|
| Gorman-Rupp Co./The |
|
|
2,000 |
|
|
|
63,580 |
|
| GP Strategies Corp. † |
|
|
5,000 |
|
|
|
136,150 |
|
| Great Lakes Dredge & Dock Corp. † |
|
|
33,500 |
|
|
|
305,855 |
|
| Greenbrier Cos., Inc./The † |
|
|
8,000 |
|
|
|
364,800 |
|
| H&E Equipment Services, Inc. † |
|
|
18,900 |
|
|
|
764,505 |
|
| Healthcare Services Group, Inc. |
|
|
13,300 |
|
|
|
386,498 |
|
| Heartland Express, Inc. |
|
|
14,900 |
|
|
|
338,081 |
|
| Heidrick & Struggles International, Inc. |
|
|
1,800 |
|
|
|
36,126 |
|
| Herman Miller, Inc. |
|
|
5,100 |
|
|
|
163,863 |
|
| HNI Corp. |
|
|
5,300 |
|
|
|
193,768 |
|
| Huron Consulting Group, Inc. † |
|
|
7,400 |
|
|
|
469,012 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Industrials - 16.6% (continued) |
|
| Hyster-Yale Materials Handling, Inc. |
|
|
8,100 |
|
|
$
|
789,750 |
|
| ICF International, Inc. † |
|
|
3,600 |
|
|
|
143,316 |
|
| InnerWorkings, Inc. † |
|
|
12,900 |
|
|
|
98,814 |
|
| Insperity, Inc. |
|
|
2,100 |
|
|
|
65,058 |
|
| Insteel Industries, Inc. |
|
|
3,700 |
|
|
|
72,779 |
|
| Interface, Inc. |
|
|
9,500 |
|
|
|
195,225 |
|
| JetBlue Airways Corp. † |
|
|
54,400 |
|
|
|
472,736 |
|
| John Bean Technologies Corp. |
|
|
3,300 |
|
|
|
101,970 |
|
| Kadant, Inc. |
|
|
3,300 |
|
|
|
120,351 |
|
| Kaman Corp. |
|
|
5,100 |
|
|
|
207,468 |
|
| Kelly Services, Inc., Class A |
|
|
10,400 |
|
|
|
246,792 |
|
| KEYW Holding Corp./The † |
|
|
17,500 |
|
|
|
327,425 |
|
| Kforce, Inc. |
|
|
12,400 |
|
|
|
264,368 |
|
| Kimball International, Inc., Class B |
|
|
4,700 |
|
|
|
85,117 |
|
| Korn/Ferry International † |
|
|
11,800 |
|
|
|
351,286 |
|
| Kratos Defense & Security Solutions, Inc. † |
|
|
19,300 |
|
|
|
145,522 |
|
| Lydall, Inc. † |
|
|
6,000 |
|
|
|
137,220 |
|
| Manitex International, Inc. † |
|
|
13,400 |
|
|
|
218,420 |
|
| McGrath RentCorp. |
|
|
4,400 |
|
|
|
153,824 |
|
| Meritor, Inc. † |
|
|
58,500 |
|
|
|
716,625 |
|
| Middleby Corp./The † |
|
|
1,100 |
|
|
|
290,631 |
|
| Mistras Group, Inc. † |
|
|
8,900 |
|
|
|
202,653 |
|
| Mobile Mini, Inc. |
|
|
25,000 |
|
|
|
1,084,000 |
|
| Moog, Inc., Class A † |
|
|
1,800 |
|
|
|
117,918 |
|
| Mueller Water Products, Inc., Class A |
|
|
76,900 |
|
|
|
730,550 |
|
| Multi-Color Corp. |
|
|
6,200 |
|
|
|
217,000 |
|
| Navigant Consulting, Inc. † |
|
|
7,300 |
|
|
|
136,218 |
|
| NN, Inc. |
|
|
14,700 |
|
|
|
289,590 |
|
| Odyssey Marine Exploration, Inc. † |
|
|
26,100 |
|
|
|
59,769 |
|
| On Assignment, Inc. † |
|
|
18,800 |
|
|
|
725,492 |
|
| Orbital Sciences Corp. † |
|
|
11,700 |
|
|
|
326,430 |
|
| Orion Energy Systems, Inc. † |
|
|
29,100 |
|
|
|
210,975 |
|
| Orion Marine Group, Inc. † |
|
|
4,800 |
|
|
|
60,336 |
|
| Park-Ohio Holdings Corp. † |
|
|
7,000 |
|
|
|
393,050 |
|
| Patrick Industries, Inc. † |
|
|
19,800 |
|
|
|
877,734 |
|
| Pendrell Corp. † |
|
|
109,800 |
|
|
|
200,934 |
|
| PGT, Inc. † |
|
|
50,400 |
|
|
|
580,104 |
|
| Pike Corp. † |
|
|
11,800 |
|
|
|
126,968 |
|
| Plug Power, Inc. † |
|
|
111,300 |
|
|
|
790,230 |
|
| Powell Industries, Inc. |
|
|
1,200 |
|
|
|
77,760 |
|
| PowerSecure International, Inc. † |
|
|
31,900 |
|
|
|
747,736 |
|
| Primoris Services Corp. |
|
|
13,000 |
|
|
|
389,740 |
|
| Proto Labs, Inc. † |
|
|
19,200 |
|
|
|
1,299,264 |
|
| Quad/Graphics, Inc. |
|
|
7,400 |
|
|
|
173,530 |
|
| Quality Distribution, Inc. † |
|
|
18,000 |
|
|
|
233,820 |
|
| Raven Industries, Inc. |
|
|
6,400 |
|
|
|
209,600 |
|
| RBC Bearings, Inc. † |
|
|
2,800 |
|
|
|
178,360 |
|
| Real Goods Solar, Inc., Class A † |
|
|
130,900 |
|
|
|
532,763 |
|
| Republic Airways Holdings, Inc. † |
|
|
35,800 |
|
|
|
327,212 |
|
| Revolution Lighting Technologies, Inc. † |
|
|
158,400 |
|
|
|
498,960 |
|
| Roadrunner Transportation Systems, Inc. † |
|
|
13,100 |
|
|
|
330,644 |
|
| RPX Corp. † |
|
|
10,200 |
|
|
|
166,056 |
|
| Rush Enterprises, Inc., Class A † |
|
|
5,900 |
|
|
|
191,632 |
|
| Saia, Inc. † |
|
|
15,300 |
|
|
|
584,613 |
|
| Seaspan Corp. (Hong Kong) |
|
|
3,700 |
|
|
|
81,659 |
|
| Sparton Corp. † |
|
|
9,400 |
|
|
|
275,232 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 40 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR SMALL CAP MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Industrials - 16.6% (continued) |
|
| Spirit Airlines, Inc. † |
|
|
4,500 |
|
|
$
|
267,300 |
|
| Standex International Corp. |
|
|
3,500 |
|
|
|
187,530 |
|
| Steelcase, Inc., Class A |
|
|
28,600 |
|
|
|
475,046 |
|
| Sun Hydraulics Corp. |
|
|
6,700 |
|
|
|
290,177 |
|
| Swift Transportation Co. † |
|
|
1,300 |
|
|
|
32,175 |
|
| Taser International, Inc. † |
|
|
43,800 |
|
|
|
801,102 |
|
| Team, Inc. † |
|
|
6,600 |
|
|
|
282,876 |
|
| Tecumseh Products Co., Class A † |
|
|
3,000 |
|
|
|
20,700 |
|
| Tennant Co. |
|
|
5,000 |
|
|
|
328,100 |
|
| Thermon Group Holdings, Inc. † |
|
|
7,300 |
|
|
|
169,214 |
|
| Trex Co., Inc. † |
|
|
6,000 |
|
|
|
438,960 |
|
| TriMas Corp. † |
|
|
8,500 |
|
|
|
282,200 |
|
| TrueBlue, Inc. † |
|
|
20,200 |
|
|
|
591,052 |
|
| Tutor Perini Corp. † |
|
|
10,900 |
|
|
|
312,503 |
|
| UniFirst Corp. |
|
|
2,900 |
|
|
|
318,826 |
|
| Universal Forest Products, Inc. |
|
|
3,400 |
|
|
|
188,156 |
|
| Universal Truckload Services, Inc. |
|
|
1,800 |
|
|
|
52,020 |
|
| US Ecology, Inc. |
|
|
5,300 |
|
|
|
196,736 |
|
| Viad Corp. |
|
|
5,800 |
|
|
|
139,432 |
|
| Vicor Corp. † |
|
|
2,900 |
|
|
|
29,580 |
|
| Wabash National Corp. † |
|
|
23,600 |
|
|
|
324,736 |
|
| WageWorks, Inc. † |
|
|
19,900 |
|
|
|
1,116,589 |
|
| Wesco Aircraft Holdings, Inc. † |
|
|
26,300 |
|
|
|
578,863 |
|
| Xerium Technologies, Inc. † |
|
|
16,400 |
|
|
|
263,220 |
|
| XPO Logistics, Inc. † |
|
|
22,300 |
|
|
|
655,843 |
|
| YRC Worldwide, Inc. † |
|
|
20,600 |
|
|
|
463,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
49,558,261 |
|
|
|
|
|
|
|
|
|
|
| Information Technology - 19.7% |
|
| 3D Systems Corp. † |
|
|
600 |
|
|
|
35,490 |
|
| ACI Worldwide, Inc. † |
|
|
2,700 |
|
|
|
159,813 |
|
| Actuate Corp. † |
|
|
14,700 |
|
|
|
88,494 |
|
| Acxiom Corp. † |
|
|
19,100 |
|
|
|
656,944 |
|
| Advanced Energy Industries, Inc. † |
|
|
18,300 |
|
|
|
448,350 |
|
| Advent Software, Inc. |
|
|
24,800 |
|
|
|
728,128 |
|
| Alliance Fiber Optic Products, Inc. |
|
|
28,600 |
|
|
|
413,842 |
|
| Ambarella, Inc. † |
|
|
29,900 |
|
|
|
798,629 |
|
| ANADIGICS, Inc. † |
|
|
16,000 |
|
|
|
27,200 |
|
| Angie’s List, Inc. † |
|
|
2,200 |
|
|
|
26,796 |
|
| Applied Micro Circuits Corp. † |
|
|
10,200 |
|
|
|
100,980 |
|
| Audience, Inc. † |
|
|
3,300 |
|
|
|
41,250 |
|
| Autobytel, Inc. † |
|
|
22,900 |
|
|
|
284,647 |
|
| Axcelis Technologies, Inc. † |
|
|
138,100 |
|
|
|
296,915 |
|
| Badger Meter, Inc. |
|
|
3,300 |
|
|
|
181,830 |
|
| Bankrate, Inc. † |
|
|
15,300 |
|
|
|
259,182 |
|
| Blackbaud, Inc. |
|
|
7,700 |
|
|
|
241,010 |
|
| Blucora, Inc. † |
|
|
19,000 |
|
|
|
374,110 |
|
| Booz Allen Hamilton Holding Corp. |
|
|
2,100 |
|
|
|
46,200 |
|
| Brightcove, Inc. † |
|
|
14,300 |
|
|
|
140,569 |
|
| BroadSoft, Inc. † |
|
|
5,700 |
|
|
|
152,361 |
|
| Brooks Automation, Inc. |
|
|
11,100 |
|
|
|
121,323 |
|
| CalAmp Corp. † |
|
|
31,400 |
|
|
|
875,118 |
|
| Calix, Inc. † |
|
|
27,100 |
|
|
|
228,453 |
|
| Callidus Software, Inc. † |
|
|
35,900 |
|
|
|
449,468 |
|
| Carbonite, Inc. † |
|
|
8,200 |
|
|
|
83,558 |
|
| Cardtronics, Inc. † |
|
|
23,200 |
|
|
|
901,320 |
|
| CEVA, Inc. † |
|
|
3,300 |
|
|
|
57,948 |
|
| Checkpoint Systems, Inc. † |
|
|
12,500 |
|
|
|
167,750 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Information Technology - 19.7% (continued) |
|
| CIBER, Inc. † |
|
|
10,100 |
|
|
$
|
46,258 |
|
| Ciena Corp. † |
|
|
31,400 |
|
|
|
714,036 |
|
| Cinedigm Corp., Class A † |
|
|
35,600 |
|
|
|
91,136 |
|
| Clearfield, Inc. † |
|
|
20,000 |
|
|
|
461,800 |
|
| ClearSign Combustion Corp. † |
|
|
6,700 |
|
|
|
73,097 |
|
| Cognex Corp. † |
|
|
6,900 |
|
|
|
233,634 |
|
| Computer Task Group, Inc. |
|
|
4,100 |
|
|
|
69,659 |
|
| comScore, Inc. † |
|
|
20,000 |
|
|
|
655,800 |
|
| Comtech Telecommunications Corp. |
|
|
4,000 |
|
|
|
127,440 |
|
| Constant Contact, Inc. † |
|
|
20,700 |
|
|
|
506,322 |
|
| Convergys Corp. |
|
|
4,800 |
|
|
|
105,168 |
|
| Cornerstone OnDemand, Inc. † |
|
|
500 |
|
|
|
23,935 |
|
| Cray, Inc. † |
|
|
19,600 |
|
|
|
731,472 |
|
| CSG Systems International, Inc. |
|
|
7,000 |
|
|
|
182,280 |
|
| CTS Corp. |
|
|
11,800 |
|
|
|
246,384 |
|
| CUI Global, Inc. † |
|
|
4,100 |
|
|
|
45,100 |
|
| Datalink Corp. † |
|
|
12,900 |
|
|
|
179,697 |
|
| Datawatch Corp. † |
|
|
9,800 |
|
|
|
265,776 |
|
| Dealertrack Technologies, Inc. † |
|
|
18,500 |
|
|
|
910,015 |
|
| Demandware, Inc. † |
|
|
18,400 |
|
|
|
1,178,704 |
|
| Diodes, Inc. † |
|
|
9,000 |
|
|
|
235,080 |
|
| Dot Hill Systems Corp. † |
|
|
73,400 |
|
|
|
284,058 |
|
| E2open, Inc. † |
|
|
3,400 |
|
|
|
80,138 |
|
| eGain Corp. † |
|
|
30,300 |
|
|
|
213,918 |
|
| Electronics For Imaging, Inc. † |
|
|
19,300 |
|
|
|
835,883 |
|
| Ellie Mae, Inc. † |
|
|
5,600 |
|
|
|
161,504 |
|
| Envestnet, Inc. † |
|
|
22,100 |
|
|
|
887,978 |
|
| EPAM Systems, Inc. † |
|
|
24,700 |
|
|
|
812,630 |
|
| Epiq Systems, Inc. |
|
|
4,100 |
|
|
|
55,883 |
|
| ePlus, Inc. † |
|
|
4,100 |
|
|
|
228,616 |
|
| Euronet Worldwide, Inc. † |
|
|
21,600 |
|
|
|
898,344 |
|
| Exar Corp. † |
|
|
22,000 |
|
|
|
262,900 |
|
| ExlService Holdings, Inc. † |
|
|
4,000 |
|
|
|
123,640 |
|
| Extreme Networks, Inc. † |
|
|
42,800 |
|
|
|
248,240 |
|
| Fair Isaac Corp. |
|
|
1,700 |
|
|
|
94,044 |
|
| FARO Technologies, Inc. † |
|
|
5,300 |
|
|
|
280,900 |
|
| Finisar Corp. † |
|
|
47,100 |
|
|
|
1,248,621 |
|
| Forrester Research, Inc. |
|
|
3,800 |
|
|
|
136,230 |
|
| Global Cash Access Holdings, Inc. † |
|
|
29,900 |
|
|
|
205,114 |
|
| Global Eagle Entertainment, Inc. † |
|
|
36,200 |
|
|
|
571,236 |
|
| Glu Mobile, Inc. † |
|
|
101,300 |
|
|
|
480,162 |
|
| GT Advanced Technologies, Inc. † |
|
|
90,800 |
|
|
|
1,548,140 |
|
| Guidewire Software, Inc. † |
|
|
2,400 |
|
|
|
117,720 |
|
| Hackett Group, Inc./The |
|
|
4,500 |
|
|
|
26,910 |
|
| Harmonic, Inc. † |
|
|
30,200 |
|
|
|
215,628 |
|
| Heartland Payment Systems, Inc. |
|
|
7,600 |
|
|
|
315,020 |
|
| Hutchinson Technology, Inc. † |
|
|
18,800 |
|
|
|
53,204 |
|
| iGATE Corp. † |
|
|
29,500 |
|
|
|
930,430 |
|
| Immersion Corp. † |
|
|
33,900 |
|
|
|
357,645 |
|
| Imperva, Inc. † |
|
|
5,100 |
|
|
|
284,070 |
|
| Infinera Corp. † |
|
|
23,600 |
|
|
|
214,288 |
|
| Infoblox, Inc. † |
|
|
25,800 |
|
|
|
517,548 |
|
| Information Services Group, Inc. † |
|
|
61,000 |
|
|
|
299,510 |
|
| Insight Enterprises, Inc. † |
|
|
4,700 |
|
|
|
118,017 |
|
| Integrated Device Technology, Inc. † |
|
|
34,600 |
|
|
|
423,158 |
|
| Integrated Silicon Solution, Inc. † |
|
|
7,500 |
|
|
|
116,625 |
|
| Interactive Intelligence Group, Inc. † |
|
|
10,600 |
|
|
|
768,500 |
|
| Internap Network Services Corp. † |
|
|
7,800 |
|
|
|
55,224 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
41 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR SMALL CAP MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Information Technology - 19.7% (continued) |
|
| Intralinks Holdings, Inc. † |
|
|
19,800 |
|
|
$
|
202,554 |
|
| InvenSense, Inc. † |
|
|
25,400 |
|
|
|
601,218 |
|
| j2 Global, Inc. |
|
|
16,600 |
|
|
|
830,830 |
|
| Lexmark International, Inc., Class A |
|
|
9,000 |
|
|
|
416,610 |
|
| Lionbridge Technologies, Inc. † |
|
|
12,700 |
|
|
|
85,217 |
|
| Littelfuse, Inc. |
|
|
2,900 |
|
|
|
271,556 |
|
| LiveDeal, Inc. † |
|
|
34,100 |
|
|
|
233,244 |
|
| LivePerson, Inc. † |
|
|
20,251 |
|
|
|
244,430 |
|
| LogMeIn, Inc. † |
|
|
6,600 |
|
|
|
296,274 |
|
| Manhattan Associates, Inc. † |
|
|
19,000 |
|
|
|
665,570 |
|
| Marchex, Inc., Class B |
|
|
35,100 |
|
|
|
368,901 |
|
| Mattson Technology, Inc. † |
|
|
93,000 |
|
|
|
215,760 |
|
| MAXIMUS, Inc. |
|
|
2,100 |
|
|
|
94,206 |
|
| MaxLinear, Inc., Class A † |
|
|
15,100 |
|
|
|
143,148 |
|
| Measurement Specialties, Inc. † |
|
|
6,100 |
|
|
|
413,885 |
|
| Mercury Systems, Inc. † |
|
|
4,500 |
|
|
|
59,445 |
|
| Mesa Laboratories, Inc. |
|
|
600 |
|
|
|
54,150 |
|
| Methode Electronics, Inc. |
|
|
21,400 |
|
|
|
656,124 |
|
| Mitek Systems, Inc. † |
|
|
43,400 |
|
|
|
167,958 |
|
| ModusLink Global Solutions, Inc. † |
|
|
15,600 |
|
|
|
65,988 |
|
| MoneyGram International, Inc. † |
|
|
3,500 |
|
|
|
61,775 |
|
| Monolithic Power Systems, Inc. † |
|
|
12,700 |
|
|
|
492,379 |
|
| Monotype Imaging Holdings, Inc. |
|
|
15,000 |
|
|
|
452,100 |
|
| Move, Inc. (2)† |
|
|
29,600 |
|
|
|
342,176 |
|
| MTS Systems Corp. |
|
|
2,200 |
|
|
|
150,678 |
|
| Nanometrics, Inc. † |
|
|
8,800 |
|
|
|
158,136 |
|
| Netlist, Inc. † |
|
|
13,900 |
|
|
|
26,410 |
|
| Netscout Systems, Inc. † |
|
|
6,800 |
|
|
|
255,544 |
|
| NetSol Technologies, Inc. † |
|
|
14,600 |
|
|
|
67,160 |
|
| NIC, Inc. |
|
|
25,600 |
|
|
|
494,336 |
|
| Oclaro, Inc. † |
|
|
31,800 |
|
|
|
98,580 |
|
| OpenTable, Inc. † |
|
|
6,200 |
|
|
|
476,966 |
|
| Park City Group, Inc. † |
|
|
6,900 |
|
|
|
62,583 |
|
| Parkervision, Inc. † |
|
|
91,700 |
|
|
|
440,160 |
|
| PC Connection, Inc. |
|
|
8,200 |
|
|
|
166,624 |
|
| PDF Solutions, Inc. † |
|
|
17,700 |
|
|
|
321,609 |
|
| Pegasystems, Inc. |
|
|
20,000 |
|
|
|
706,400 |
|
| Perceptron, Inc. |
|
|
9,000 |
|
|
|
109,170 |
|
| Perficient, Inc. † |
|
|
14,700 |
|
|
|
266,364 |
|
| Photronics, Inc. † |
|
|
18,100 |
|
|
|
154,393 |
|
| Pixelworks, Inc. † |
|
|
48,600 |
|
|
|
269,244 |
|
| Plexus Corp. † |
|
|
10,400 |
|
|
|
416,728 |
|
| Power Integrations, Inc. |
|
|
14,400 |
|
|
|
947,232 |
|
| Procera Networks, Inc. † |
|
|
9,600 |
|
|
|
99,744 |
|
| Proofpoint, Inc. † |
|
|
22,400 |
|
|
|
830,592 |
|
| PROS Holdings, Inc. † |
|
|
12,600 |
|
|
|
397,026 |
|
| Qualys, Inc. † |
|
|
19,700 |
|
|
|
500,971 |
|
| QuickLogic Corp. † |
|
|
36,800 |
|
|
|
191,728 |
|
| Rambus, Inc. † |
|
|
70,200 |
|
|
|
754,650 |
|
| Research Frontiers, Inc. † |
|
|
8,000 |
|
|
|
41,520 |
|
| RF Industries Ltd. |
|
|
12,400 |
|
|
|
80,848 |
|
| Rogers Corp. † |
|
|
3,100 |
|
|
|
193,502 |
|
| Rubicon Technology, Inc. † |
|
|
20,900 |
|
|
|
235,961 |
|
| Rudolph Technologies, Inc. † |
|
|
15,000 |
|
|
|
171,150 |
|
| Sanmina Corp. † |
|
|
48,400 |
|
|
|
844,580 |
|
| SciQuest, Inc. † |
|
|
9,600 |
|
|
|
259,344 |
|
| Seachange International, Inc. † |
|
|
4,300 |
|
|
|
44,892 |
|
| ServiceSource International, Inc. † |
|
|
28,000 |
|
|
|
236,320 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Information Technology - 19.7% (continued) |
|
| ShoreTel, Inc. † |
|
|
31,200 |
|
|
$
|
268,320 |
|
| Shutterstock, Inc. † |
|
|
7,900 |
|
|
|
573,619 |
|
| Silicon Graphics International Corp. † |
|
|
27,200 |
|
|
|
334,016 |
|
| Sonus Networks, Inc. † |
|
|
123,400 |
|
|
|
415,858 |
|
| Speed Commerce, Inc. † |
|
|
25,500 |
|
|
|
92,820 |
|
| SPS Commerce, Inc. † |
|
|
8,300 |
|
|
|
510,035 |
|
| SS&C Technologies Holdings, Inc. † |
|
|
8,500 |
|
|
|
340,170 |
|
| Stamps.com, Inc. † |
|
|
8,700 |
|
|
|
291,972 |
|
| Stratasys Ltd. † |
|
|
400 |
|
|
|
42,436 |
|
| SunEdison, Inc. † |
|
|
5,900 |
|
|
|
111,156 |
|
| Super Micro Computer, Inc. † |
|
|
9,400 |
|
|
|
163,278 |
|
| support.com, Inc. † |
|
|
22,100 |
|
|
|
56,355 |
|
| Synaptics, Inc. † |
|
|
13,200 |
|
|
|
792,264 |
|
| Synchronoss Technologies, Inc. † |
|
|
8,200 |
|
|
|
281,178 |
|
| SYNNEX Corp. † |
|
|
15,700 |
|
|
|
951,577 |
|
| Tangoe, Inc. † |
|
|
13,700 |
|
|
|
254,683 |
|
| Telenav, Inc. † |
|
|
9,300 |
|
|
|
55,428 |
|
| TeleTech Holdings, Inc. † |
|
|
2,500 |
|
|
|
61,275 |
|
| Tessco Technologies, Inc. |
|
|
3,700 |
|
|
|
138,232 |
|
| Trulia, Inc. † |
|
|
14,400 |
|
|
|
478,080 |
|
| Tyler Technologies, Inc. † |
|
|
3,900 |
|
|
|
326,352 |
|
| Ubiquiti Networks, Inc. † |
|
|
1,100 |
|
|
|
50,017 |
|
| Ultimate Software Group, Inc./The † |
|
|
800 |
|
|
|
109,600 |
|
| Ultra Clean Holdings, Inc. † |
|
|
19,000 |
|
|
|
249,850 |
|
| Uni-Pixel, Inc. † |
|
|
14,600 |
|
|
|
111,836 |
|
| Unisys Corp. † |
|
|
16,900 |
|
|
|
514,774 |
|
| Virtusa Corp. † |
|
|
10,000 |
|
|
|
335,100 |
|
| Vitesse Semiconductor Corp. † |
|
|
12,700 |
|
|
|
53,340 |
|
| Web.com Group, Inc. † |
|
|
22,300 |
|
|
|
758,869 |
|
| WebMD Health Corp. † |
|
|
25,823 |
|
|
|
1,069,072 |
|
| Westell Technologies, Inc., Class A † |
|
|
43,800 |
|
|
|
161,622 |
|
| WidePoint Corp. † |
|
|
156,400 |
|
|
|
250,240 |
|
| XO Group, Inc. † |
|
|
4,400 |
|
|
|
44,616 |
|
| Yelp, Inc. † |
|
|
300 |
|
|
|
23,079 |
|
| Zhone Technologies, Inc. † |
|
|
72,400 |
|
|
|
305,528 |
|
| Zillow, Inc., Class A † |
|
|
2,200 |
|
|
|
193,820 |
|
| Zix Corp. † |
|
|
25,400 |
|
|
|
105,156 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
58,724,413 |
|
|
|
|
|
|
|
|
|
|
| Materials - 3.3% |
|
| A Schulman, Inc. |
|
|
5,200 |
|
|
|
188,552 |
|
| A.M. Castle & Co. † |
|
|
11,100 |
|
|
|
163,059 |
|
| Advanced Emissions Solutions, Inc. † |
|
|
16,000 |
|
|
|
392,640 |
|
| AEP Industries, Inc. † |
|
|
2,400 |
|
|
|
89,040 |
|
| AK Steel Holding Corp. † |
|
|
89,500 |
|
|
|
646,190 |
|
| Balchem Corp. |
|
|
4,800 |
|
|
|
250,176 |
|
| Clearwater Paper Corp. † |
|
|
7,300 |
|
|
|
457,491 |
|
| Deltic Timber Corp. |
|
|
1,100 |
|
|
|
71,753 |
|
| Ferro Corp. † |
|
|
45,100 |
|
|
|
616,066 |
|
| Flotek Industries, Inc. † |
|
|
29,200 |
|
|
|
813,220 |
|
| FutureFuel Corp. |
|
|
3,800 |
|
|
|
77,140 |
|
| Hawkins, Inc. |
|
|
600 |
|
|
|
22,044 |
|
| Haynes International, Inc. |
|
|
1,400 |
|
|
|
75,600 |
|
| Headwaters, Inc. † |
|
|
22,300 |
|
|
|
294,583 |
|
| Horsehead Holding Corp. † |
|
|
10,900 |
|
|
|
183,338 |
|
| Innospec, Inc. |
|
|
6,700 |
|
|
|
303,041 |
|
| KapStone Paper and Packaging Corp. † |
|
|
23,900 |
|
|
|
689,276 |
|
| Landec Corp. † |
|
|
2,900 |
|
|
|
32,364 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 42 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR SMALL CAP MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Materials - 3.3% (continued) |
|
| Minerals Technologies, Inc. |
|
|
3,300 |
|
|
$ |
213,048 |
|
| Myers Industries, Inc. |
|
|
10,900 |
|
|
|
217,128 |
|
| Neenah Paper, Inc. |
|
|
4,000 |
|
|
|
206,880 |
|
| Olympic Steel, Inc. |
|
|
2,400 |
|
|
|
68,880 |
|
| OM Group, Inc. |
|
|
10,200 |
|
|
|
338,844 |
|
| PH Glatfelter Co. |
|
|
5,400 |
|
|
|
146,988 |
|
| PolyOne Corp. |
|
|
6,000 |
|
|
|
219,960 |
|
| Quaker Chemical Corp. |
|
|
5,200 |
|
|
|
409,916 |
|
| RTI International Metals, Inc. † |
|
|
5,500 |
|
|
|
152,790 |
|
| Senomyx, Inc. † |
|
|
30,800 |
|
|
|
328,636 |
|
| Stepan Co. |
|
|
4,500 |
|
|
|
290,520 |
|
| Tredegar Corp. |
|
|
12,200 |
|
|
|
280,722 |
|
| US Concrete, Inc. † |
|
|
15,000 |
|
|
|
352,500 |
|
| US Silica Holdings, Inc. |
|
|
20,900 |
|
|
|
797,753 |
|
| Worthington Industries, Inc. |
|
|
9,600 |
|
|
|
367,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,757,338 |
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services - 1.2% |
|
| 8x8, Inc. † |
|
|
64,800 |
|
|
|
700,488 |
|
| Atlantic Tele-Network, Inc. |
|
|
2,200 |
|
|
|
145,024 |
|
| Cogent Communications Group, Inc. |
|
|
19,100 |
|
|
|
678,623 |
|
| General Communication, Inc., Class A † |
|
|
4,600 |
|
|
|
52,486 |
|
| IDT Corp., Class B |
|
|
20,400 |
|
|
|
339,864 |
|
| inContact, Inc. † |
|
|
14,500 |
|
|
|
139,200 |
|
| Inteliquent, Inc. |
|
|
35,100 |
|
|
|
510,003 |
|
| Lumos Networks Corp. |
|
|
18,400 |
|
|
|
246,008 |
|
| NTELOS Holdings Corp. |
|
|
6,450 |
|
|
|
87,075 |
|
| ORBCOMM, Inc. † |
|
|
20,000 |
|
|
|
137,000 |
|
| Premiere Global Services, Inc. † |
|
|
10,600 |
|
|
|
127,836 |
|
| Shenandoah Telecommunications Co. |
|
|
4,100 |
|
|
|
132,389 |
|
| Vonage Holdings Corp. † |
|
|
70,600 |
|
|
|
301,462 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,597,458 |
|
|
|
|
|
|
|
|
|
|
| Utilities - 0.4% |
|
| American States Water Co. |
|
|
7,200 |
|
|
|
232,488 |
|
| Chesapeake Utilities Corp. |
|
|
7,400 |
|
|
|
467,384 |
|
| Connecticut Water Service, Inc. |
|
|
2,900 |
|
|
|
99,093 |
|
| Consolidated Water Co., Ltd. (Cayman Islands) |
|
|
5,800 |
|
|
|
76,444 |
|
| Middlesex Water Co. |
|
|
1,200 |
|
|
|
26,184 |
|
| Otter Tail Corp. |
|
|
5,700 |
|
|
|
175,503 |
|
| Unitil Corp. |
|
|
4,200 |
|
|
|
137,928 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,215,024 |
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCKS
(cost $239,260,176) |
|
|
|
|
|
|
296,753,002 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| PREFERRED STOCKS - 0.1% |
|
SHARES |
|
|
VALUE (Note 2) |
|
|
|
|
| Utilities - 0.1% |
|
|
|
|
|
|
|
|
Genie Energy Ltd., Perpetual Preferred Stock, Series 12-A,
7.50%, 11/15/16 †(b)(c) |
|
|
|
|
|
|
|
|
| (cost $51,541) |
|
|
5,900 |
|
|
$
|
46,610 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| RIGHTS - 0.0% (d) |
|
|
|
|
|
|
|
|
|
|
|
| Information Technology - 0.0% (d) |
|
|
|
|
|
|
|
|
| Gerber Scientific, Inc. (3)†(a) |
|
|
|
|
|
|
|
|
| (cost $—) |
|
|
4,000 |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
| MONEY MARKET FUNDS - 1.3% |
|
|
|
|
|
|
|
|
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(e) |
|
|
|
|
|
|
|
|
| (cost $3,989,780) |
|
|
3,989,780 |
|
|
|
3,989,780 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS - 101.0%
(cost $243,301,497) |
|
|
|
|
|
|
300,789,392 |
|
|
|
|
|
|
|
|
|
|
| LIABILITIES IN EXCESS OF OTHER ASSETS - (1.0%) (f) |
|
|
|
|
|
|
(2,890,871) |
|
|
|
|
|
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
|
|
|
$ |
297,898,521 |
|
|
|
|
|
|
|
|
|
|
All securities are United States companies, unless noted otherwise in parentheses.
| † |
Non income-producing security. |
| (a) |
Security fair valued as of March 31, 2014 using procedures approved by the Board of Trustees. The total value of positions fair valued was $14,729 or 0.0% of total net
assets. |
| (b) |
Indicates a variable rate security. The interest rate shown represents the discount rate at March 31, 2014. |
| (c) |
Security is perpetual and, thus, does not have a predetermined maturity date. The coupon rate for this security is fixed for a period of time and may be structured to adjust
thereafter. The date shown, if applicable, reflects the next call date. The coupon rate shown is the rate in effect as of March 31, 2014. |
| (d) |
Represents less than 0.05 percent of net assets. |
| (e) |
Represents annualized seven-day yield as of March 31, 2014. |
| (f) |
Includes depreciation on futures contracts. |
All securities are
Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
| (2) |
Level 2 security (See Note 4). |
| (3) |
Level 3 security (See Note 4). |
The following abbreviations are
used in portfolio descriptions:
REIT - Real Estate Investment Trust
Open futures contracts outstanding at March 31, 2014:
Exchange Traded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
CONTRACTS |
|
|
COUNTERPARTY |
|
DESCRIPTION |
|
EXPIRATION DATE |
|
|
VALUE AT
TRADE DATE |
|
|
VALUE AT
MARCH 31,
2014 |
|
|
UNREALIZED
DEPRECIATION |
|
| |
Long Contracts: |
|
|
|
|
|
| |
11 |
|
|
Barclays Capital |
|
E-Mini Russell 2000 Futures |
|
|
June 20, 2014 |
|
|
|
$1,314,997 |
|
|
|
$1,287,550 |
|
|
|
$(27,447) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash held as collateral at Barclays Capital for futures contracts was $110,105 at March 31, 2014.
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
43 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR INTERNATIONAL MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCKS - 98.2% |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Australia - 3.4% |
|
|
|
|
|
|
|
|
| Amcor Ltd. |
|
|
130,557 |
|
|
$ |
1,261,437 |
|
| Aurizon Holdings Ltd. |
|
|
27,946 |
|
|
|
133,487 |
|
| Brambles Ltd. |
|
|
40,768 |
|
|
|
350,769 |
|
| Caltex Australia Ltd. |
|
|
4,085 |
|
|
|
83,587 |
|
| CFS Retail Property Trust Group REIT |
|
|
41,469 |
|
|
|
72,760 |
|
| Coca-Cola Amatil Ltd. |
|
|
10,216 |
|
|
|
104,689 |
|
| Cochlear Ltd. |
|
|
3,817 |
|
|
|
202,038 |
|
| Crown Resorts Ltd. |
|
|
42,866 |
|
|
|
662,973 |
|
| CSL Ltd. |
|
|
36,923 |
|
|
|
2,384,918 |
|
| Goodman Group REIT |
|
|
53,923 |
|
|
|
237,162 |
|
| GPT Group REIT |
|
|
38,389 |
|
|
|
130,476 |
|
| Insurance Australia Group Ltd. |
|
|
90,009 |
|
|
|
465,533 |
|
| Macquarie Group Ltd. |
|
|
13,445 |
|
|
|
724,980 |
|
| Mesoblast Ltd. † |
|
|
10,394 |
|
|
|
52,858 |
|
| Mirvac Group REIT |
|
|
60,599 |
|
|
|
95,764 |
|
| Orora Ltd. |
|
|
130,557 |
|
|
|
166,435 |
|
| Ramsay Health Care Ltd. |
|
|
44,927 |
|
|
|
2,007,525 |
|
| Recall Holdings Ltd. † |
|
|
15,462 |
|
|
|
66,666 |
|
| Shopping Centres Australasia Property Group REIT |
|
|
3,776 |
|
|
|
5,821 |
|
| Sonic Healthcare Ltd. |
|
|
6,491 |
|
|
|
103,993 |
|
| Suncorp Group Ltd. |
|
|
37,949 |
|
|
|
454,151 |
|
| Telstra Corp. Ltd. |
|
|
92,634 |
|
|
|
436,810 |
|
| Westfield Group REIT |
|
|
17,295 |
|
|
|
164,739 |
|
| Woolworths Ltd. |
|
|
7,526 |
|
|
|
249,577 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,619,148 |
|
|
|
|
|
|
|
|
|
|
| Austria - 0.4% |
|
|
|
|
|
|
|
|
| Andritz AG |
|
|
3,800 |
|
|
|
234,959 |
|
| Erste Group Bank AG |
|
|
14,518 |
|
|
|
496,654 |
|
| Immofinanz AG NPV † |
|
|
63,665 |
|
|
|
298,416 |
|
| OMV AG |
|
|
4,423 |
|
|
|
200,767 |
|
| Raiffeisen Bank International AG |
|
|
3,673 |
|
|
|
122,567 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,353,363 |
|
|
|
|
|
|
|
|
|
|
| Belgium - 0.6% |
|
|
|
|
|
|
|
|
| Belgacom SA |
|
|
2,566 |
|
|
|
80,399 |
|
| KBC Groep NV |
|
|
22,541 |
|
|
|
1,388,211 |
|
| UCB SA |
|
|
6,382 |
|
|
|
512,002 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,980,612 |
|
|
|
|
|
|
|
|
|
|
| Canada - 10.6% |
|
|
|
|
|
|
|
|
| Alimentation Couche Tard, Inc., Class B (1) |
|
|
21,900 |
|
|
|
1,771,216 |
|
| Atco Ltd., Class I (1) |
|
|
2,000 |
|
|
|
96,083 |
|
| Boardwalk Real Estate Investment Trust REIT (1) |
|
|
1,500 |
|
|
|
82,280 |
|
| Calloway Real Estate Investment Trust REIT (1) |
|
|
3,200 |
|
|
|
74,565 |
|
| Canadian National Railway Co. (1) |
|
|
4,500 |
|
|
|
252,822 |
|
| Canadian Pacific Railway Ltd. (1) |
|
|
21,100 |
|
|
|
3,161,660 |
|
| Canadian Tire Corp. Ltd., Class A (1) |
|
|
6,000 |
|
|
|
565,699 |
|
| Canadian Utilities Ltd., Class A (1) |
|
|
3,400 |
|
|
|
126,497 |
|
| CGI Group, Inc., Class A (1) † |
|
|
45,300 |
|
|
|
1,398,543 |
|
| CI Financial Corp. (1) |
|
|
23,100 |
|
|
|
728,627 |
|
| Constellation Software, Inc. (1) |
|
|
4,700 |
|
|
|
1,139,394 |
|
| Dollarama, Inc. (1) |
|
|
10,100 |
|
|
|
769,445 |
|
| Domtar Corp. (1) |
|
|
900 |
|
|
|
101,047 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Canada - 10.6% (continued) |
|
|
|
|
|
|
|
|
| Emera, Inc. (1) |
|
|
2,100 |
|
|
$
|
65,365 |
|
| Enerplus Corp. (1) |
|
|
18,500 |
|
|
|
369,833 |
|
| First Capital Realty, Inc. (1) |
|
|
3,800 |
|
|
|
60,326 |
|
| Genworth MI Canada, Inc. (1) |
|
|
5,000 |
|
|
|
170,602 |
|
| Gildan Activewear, Inc. (1) |
|
|
25,100 |
|
|
|
1,264,877 |
|
| Husky Energy, Inc. (1) |
|
|
8,100 |
|
|
|
242,963 |
|
| Industrial Alliance Insurance & Financial Services, Inc. (1) |
|
|
15,300 |
|
|
|
629,161 |
|
| Keyera Corp. (1) |
|
|
1,700 |
|
|
|
107,782 |
|
| Loblaw Cos., Ltd. (1) |
|
|
62,400 |
|
|
|
2,647,273 |
|
| MacDonald Dettwiler & Associates Ltd. (1) |
|
|
1,000 |
|
|
|
78,987 |
|
| Magna International, Inc. (1) |
|
|
43,200 |
|
|
|
4,153,140 |
|
| Manulife Financial Corp. (1) |
|
|
71,400 |
|
|
|
1,376,977 |
|
| Methanex Corp. (1) |
|
|
7,100 |
|
|
|
454,323 |
|
| Metro, Inc. (1) |
|
|
4,200 |
|
|
|
246,567 |
|
| Onex Corp. (1) |
|
|
2,400 |
|
|
|
133,254 |
|
| Open Text Corp. (1) |
|
|
16,200 |
|
|
|
774,024 |
|
| Paramount Resources Ltd., Class A (1) † |
|
|
2,400 |
|
|
|
103,533 |
|
| Pembina Pipeline Corp. (1) |
|
|
8,500 |
|
|
|
322,777 |
|
| Pengrowth Energy Corp. (1) |
|
|
11,500 |
|
|
|
69,593 |
|
| Peyto Exploration & Development Corp. (1) |
|
|
6,900 |
|
|
|
235,430 |
|
| Rogers Communications, Inc., Class B (1) |
|
|
23,100 |
|
|
|
957,224 |
|
| Stantec, Inc. (1) |
|
|
2,100 |
|
|
|
128,355 |
|
| Sun Life Financial, Inc. (1) |
|
|
88,600 |
|
|
|
3,067,940 |
|
| Tourmaline Oil Corp. (1) † |
|
|
23,100 |
|
|
|
1,092,000 |
|
| Valeant Pharmaceuticals International, Inc. (1) † |
|
|
32,700 |
|
|
|
4,302,024 |
|
| West Fraser Timber Co., Ltd. (1) |
|
|
4,600 |
|
|
|
210,131 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,532,339 |
|
|
|
|
|
|
|
|
|
|
| China - 0.1% |
|
|
|
|
|
|
|
|
| FIH Mobile Ltd. † |
|
|
256,000 |
|
|
|
141,459 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Denmark - 2.2% |
|
|
|
|
|
|
|
|
| AP Moeller - Maersk A/S, Class B |
|
|
82 |
|
|
|
981,438 |
|
| Carlsberg A/S, Class B |
|
|
3,117 |
|
|
|
309,854 |
|
| Coloplast A/S, Class B |
|
|
33,945 |
|
|
|
2,744,492 |
|
| Danske Bank A/S |
|
|
11,758 |
|
|
|
327,164 |
|
| DSV A/S |
|
|
2,710 |
|
|
|
87,385 |
|
| Novo Nordisk A/S, Class B |
|
|
5,010 |
|
|
|
228,117 |
|
| Pandora A/S |
|
|
9,545 |
|
|
|
629,954 |
|
| Tryg A/S |
|
|
5,116 |
|
|
|
506,061 |
|
| Vestas Wind Systems A/S † |
|
|
27,288 |
|
|
|
1,094,086 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,908,551 |
|
|
|
|
|
|
|
|
|
|
| Finland - 1.6% |
|
|
|
|
|
|
|
|
| Kone OYJ, Class B |
|
|
8,002 |
|
|
|
335,991 |
|
| Nokia OYJ † |
|
|
301,054 |
|
|
|
2,214,980 |
|
| Orion OYJ, Class B |
|
|
4,687 |
|
|
|
141,500 |
|
| Sampo, A Shares |
|
|
38,512 |
|
|
|
1,999,147 |
|
| Wartsila OYJ |
|
|
8,465 |
|
|
|
460,128 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,151,746 |
|
|
|
|
|
|
|
|
|
|
| France - 5.9% |
|
|
|
|
|
|
|
|
| Air Liquide SA |
|
|
3,601 |
|
|
|
487,648 |
|
| Airbus Group NV |
|
|
32,688 |
|
|
|
2,341,147 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 44 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR INTERNATIONAL MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| France - 5.9% (continued) |
|
|
|
|
|
|
|
|
| Alcatel-Lucent † |
|
|
177,661 |
|
|
$
|
699,674 |
|
| AXA SA |
|
|
12,302 |
|
|
|
319,591 |
|
| BNP Paribas SA |
|
|
1,097 |
|
|
|
84,578 |
|
| Bollore SA |
|
|
145 |
|
|
|
91,887 |
|
| Bureau Veritas SA |
|
|
2,364 |
|
|
|
72,507 |
|
| Carrefour SA |
|
|
7,343 |
|
|
|
284,059 |
|
| Christian Dior SA |
|
|
1,623 |
|
|
|
311,724 |
|
| Credit Agricole SA † |
|
|
52,876 |
|
|
|
833,339 |
|
| Dassault Systemes |
|
|
1,844 |
|
|
|
215,777 |
|
| Edenred |
|
|
3,620 |
|
|
|
113,558 |
|
| Electricite de France |
|
|
24,032 |
|
|
|
950,240 |
|
| Essilor International SA |
|
|
3,545 |
|
|
|
357,755 |
|
| Eutelsat Communications SA |
|
|
3,108 |
|
|
|
105,472 |
|
| Hermes International |
|
|
1,274 |
|
|
|
423,735 |
|
| Iliad SA |
|
|
7,084 |
|
|
|
2,044,193 |
|
| Kering |
|
|
2,717 |
|
|
|
553,983 |
|
| Lafarge SA |
|
|
1,378 |
|
|
|
107,553 |
|
| L’Oreal SA |
|
|
7,307 |
|
|
|
1,205,512 |
|
| LVMH Moet Hennessy Louis Vuitton SA |
|
|
971 |
|
|
|
175,957 |
|
| Natixis |
|
|
99,537 |
|
|
|
731,020 |
|
| Pernod Ricard SA |
|
|
4,394 |
|
|
|
511,352 |
|
| Publicis Groupe SA |
|
|
5,534 |
|
|
|
499,616 |
|
| Rexel SA |
|
|
4,367 |
|
|
|
114,539 |
|
| Safran SA |
|
|
2,192 |
|
|
|
151,861 |
|
| Sanofi |
|
|
27,404 |
|
|
|
2,863,695 |
|
| Schneider Electric SA |
|
|
4,553 |
|
|
|
403,516 |
|
| SCOR SE |
|
|
2,421 |
|
|
|
84,796 |
|
| SEB SA |
|
|
592 |
|
|
|
51,086 |
|
| Societe Generale SA |
|
|
10,384 |
|
|
|
639,193 |
|
| Sodexo |
|
|
1,964 |
|
|
|
205,850 |
|
| Total SA |
|
|
6,227 |
|
|
|
409,890 |
|
| Zodiac Aerospace |
|
|
8,360 |
|
|
|
295,368 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,741,671 |
|
|
|
|
|
|
|
|
|
|
| Germany - 9.2% |
|
|
|
|
|
|
|
|
| Bayer AG |
|
|
28,585 |
|
|
|
3,871,088 |
|
| Beiersdorf AG |
|
|
9,186 |
|
|
|
895,946 |
|
| Commerzbank AG † |
|
|
38,794 |
|
|
|
713,581 |
|
| Continental AG |
|
|
8,532 |
|
|
|
2,046,123 |
|
| Daimler AG |
|
|
72,289 |
|
|
|
6,838,461 |
|
| Deutsche Lufthansa AG † |
|
|
26,823 |
|
|
|
703,285 |
|
| Deutsche Post AG |
|
|
124,148 |
|
|
|
4,615,509 |
|
| Deutsche Telekom AG |
|
|
269,547 |
|
|
|
4,373,556 |
|
| GEA Group AG |
|
|
2,796 |
|
|
|
127,741 |
|
| Hannover Rueck SE |
|
|
4,457 |
|
|
|
398,682 |
|
| Merck KGaA |
|
|
8,876 |
|
|
|
1,494,774 |
|
| Metro AG |
|
|
24,797 |
|
|
|
1,011,503 |
|
| Muenchener Rueckversicherungs AG |
|
|
6,099 |
|
|
|
1,332,736 |
|
| ProSiebenSat.1 Media AG |
|
|
15,693 |
|
|
|
719,826 |
|
| Suedzucker AG |
|
|
6,605 |
|
|
|
188,376 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
29,331,187 |
|
|
|
|
|
|
|
|
|
|
| Hong Kong - 4.2% |
|
|
|
|
|
|
|
|
| AIA Group Ltd. |
|
|
19,400 |
|
|
|
92,269 |
|
| ASM Pacific Technology Ltd. |
|
|
9,700 |
|
|
|
94,229 |
|
| BOC Hong Kong Holdings Ltd. |
|
|
123,000 |
|
|
|
351,217 |
|
| Cheung Kong Holdings Ltd. |
|
|
13,000 |
|
|
|
216,160 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Hong Kong - 4.2% (continued) |
|
|
|
|
|
|
|
|
| Cheung Kong Infrastructure Holdings Ltd. |
|
|
10,000 |
|
|
$
|
63,954 |
|
| CLP Holdings Ltd. |
|
|
1,500 |
|
|
|
11,320 |
|
| First Pacific Co., Ltd. |
|
|
72,000 |
|
|
|
71,765 |
|
| Galaxy Entertainment Group Ltd. † |
|
|
290,000 |
|
|
|
2,531,166 |
|
| Giordano International Ltd. |
|
|
64,000 |
|
|
|
41,319 |
|
| Hang Seng Bank Ltd. |
|
|
22,500 |
|
|
|
358,940 |
|
| Henderson Land Development Co., Ltd. |
|
|
64,900 |
|
|
|
379,788 |
|
| Hong Kong & China Gas Co., Ltd. |
|
|
193,600 |
|
|
|
422,970 |
|
| Hongkong Land Holdings Ltd. |
|
|
84,000 |
|
|
|
544,072 |
|
| Hopewell Holdings Ltd. |
|
|
32,000 |
|
|
|
110,111 |
|
| Hutchison Whampoa Ltd. |
|
|
11,000 |
|
|
|
145,990 |
|
| Hysan Development Co., Ltd. |
|
|
25,000 |
|
|
|
109,093 |
|
| Lifestyle International Holdings Ltd. |
|
|
33,500 |
|
|
|
68,217 |
|
| Lifestyle Properties Development Ltd. † |
|
|
1,675 |
|
|
|
271 |
|
| Link REIT/The REIT |
|
|
59,500 |
|
|
|
293,401 |
|
| Melco International Development Ltd. |
|
|
290,000 |
|
|
|
975,025 |
|
| MGM China Holdings Ltd. |
|
|
276,000 |
|
|
|
975,121 |
|
| MTR Corp. Ltd. |
|
|
60,500 |
|
|
|
224,180 |
|
| New World Development Co., Ltd. |
|
|
196,000 |
|
|
|
197,719 |
|
| NWS Holdings Ltd. |
|
|
61,000 |
|
|
|
102,946 |
|
| Orient Overseas International Ltd. |
|
|
19,000 |
|
|
|
87,465 |
|
| Samsonite International SA |
|
|
103,800 |
|
|
|
321,595 |
|
| Sands China Ltd. |
|
|
316,000 |
|
|
|
2,369,981 |
|
| Shangri-La Asia Ltd. |
|
|
24,000 |
|
|
|
39,353 |
|
| Sino Land Co., Ltd. |
|
|
168,000 |
|
|
|
247,620 |
|
| SJM Holdings Ltd. |
|
|
79,000 |
|
|
|
222,562 |
|
| SmarTone Telecommunications Holdings Ltd. |
|
|
31,500 |
|
|
|
35,140 |
|
| Stella International Holdings Ltd. |
|
|
26,000 |
|
|
|
62,235 |
|
| Swire Properties Ltd. |
|
|
50 |
|
|
|
143 |
|
| Techtronic Industries Co. |
|
|
70,000 |
|
|
|
195,445 |
|
| Television Broadcasts Ltd. |
|
|
10,000 |
|
|
|
59,959 |
|
| Wharf Holdings Ltd. |
|
|
136,000 |
|
|
|
872,261 |
|
| Wheelock & Co., Ltd. |
|
|
41,000 |
|
|
|
160,685 |
|
| Xinyi Glass Holdings Ltd. |
|
|
264,000 |
|
|
|
215,363 |
|
| Xinyi Solar Holdings Ltd. † |
|
|
264,000 |
|
|
|
79,228 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,350,278 |
|
|
|
|
|
|
|
|
|
|
| Israel - 0.2% |
|
|
|
|
|
|
|
|
| Bezeq The Israeli Telecommunication Corp. Ltd. |
|
|
331,983 |
|
|
|
591,794 |
|
| Harel Insurance Investments & Financial Services Ltd. |
|
|
5,408 |
|
|
|
32,778 |
|
| Osem Investments Ltd. |
|
|
737 |
|
|
|
17,319 |
|
| Shikun & Binui Ltd. |
|
|
27,483 |
|
|
|
67,656 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
709,547 |
|
|
|
|
|
|
|
|
|
|
| Italy - 2.9% |
|
|
|
|
|
|
|
|
| Davide Campari-Milano SpA |
|
|
11,007 |
|
|
|
90,183 |
|
| Exor SpA |
|
|
4,986 |
|
|
|
223,766 |
|
| Fiat SpA † |
|
|
39,697 |
|
|
|
462,799 |
|
| Gtech Spa |
|
|
13,558 |
|
|
|
411,912 |
|
| Intesa Sanpaolo SpA |
|
|
712,974 |
|
|
|
2,419,261 |
|
| Luxottica Group SpA |
|
|
15,970 |
|
|
|
922,761 |
|
| Pirelli & C. SpA |
|
|
20,366 |
|
|
|
320,371 |
|
| Prysmian SpA |
|
|
14,955 |
|
|
|
372,160 |
|
| Salvatore Ferragamo SpA |
|
|
5,363 |
|
|
|
157,780 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
45 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR INTERNATIONAL MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Italy - 2.9% (continued) |
|
|
|
|
|
|
|
|
| UniCredit SpA |
|
|
346,057 |
|
|
$
|
3,163,320 |
|
| Unione di Banche Italiane SCpA |
|
|
80,365 |
|
|
|
758,230 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,302,543 |
|
|
|
|
|
|
|
|
|
|
| Japan - 32.2% |
|
|
|
|
|
|
|
|
| 77 Bank Ltd./The |
|
|
35,000 |
|
|
|
157,210 |
|
| Acom Co., Ltd. † |
|
|
504,000 |
|
|
|
1,610,356 |
|
| Aeon Mall Co., Ltd. |
|
|
90 |
|
|
|
2,306 |
|
| Aiful Corp. † |
|
|
379,600 |
|
|
|
1,159,305 |
|
| Alps Electric Co., Ltd. |
|
|
52,300 |
|
|
|
622,528 |
|
| Bank of Yokohama Ltd./The |
|
|
34,000 |
|
|
|
169,597 |
|
| Bridgestone Corp. |
|
|
25,400 |
|
|
|
900,193 |
|
| Calsonic Kansei Corp. |
|
|
14,000 |
|
|
|
64,915 |
|
| Casio Computer Co., Ltd. |
|
|
20,700 |
|
|
|
244,756 |
|
| Century Tokyo Leasing Corp. |
|
|
4,800 |
|
|
|
134,583 |
|
| Chiba Bank Ltd./The |
|
|
27,000 |
|
|
|
166,191 |
|
| COLOPL, Inc. † |
|
|
21,700 |
|
|
|
573,303 |
|
| Credit Saison Co., Ltd. |
|
|
3,800 |
|
|
|
75,572 |
|
| CyberAgent, Inc. |
|
|
7,000 |
|
|
|
267,961 |
|
| Dai-ichi Life Insurance Co., Ltd./The |
|
|
111,300 |
|
|
|
1,619,088 |
|
| Daikin Industries Ltd. |
|
|
20,300 |
|
|
|
1,138,413 |
|
| Daiwa Securities Group, Inc. |
|
|
244,000 |
|
|
|
2,119,933 |
|
| Denso Corp. |
|
|
34,700 |
|
|
|
1,664,085 |
|
| Dentsu, Inc. |
|
|
8,400 |
|
|
|
318,091 |
|
| Fast Retailing Co., Ltd. |
|
|
4,700 |
|
|
|
1,699,944 |
|
| Fuji Heavy Industries Ltd. |
|
|
70,700 |
|
|
|
1,914,547 |
|
| FUJIFILM Holdings Corp. |
|
|
11,600 |
|
|
|
311,367 |
|
| Fujitsu Ltd. |
|
|
49,000 |
|
|
|
296,182 |
|
| Fukuoka Financial Group, Inc. |
|
|
41,000 |
|
|
|
168,412 |
|
| GungHo Online Entertainment, Inc. |
|
|
145,600 |
|
|
|
791,477 |
|
| Haseko Corp. |
|
|
80,300 |
|
|
|
502,160 |
|
| Hino Motors Ltd. |
|
|
89,000 |
|
|
|
1,318,108 |
|
| Hitachi Capital Corp. |
|
|
8,600 |
|
|
|
183,693 |
|
| Hitachi Ltd. |
|
|
309,660 |
|
|
|
2,292,122 |
|
| Hokuhoku Financial Group, Inc. |
|
|
91,000 |
|
|
|
174,482 |
|
| Honda Motor Co., Ltd. |
|
|
4,500 |
|
|
|
158,340 |
|
| Hoya Corp. |
|
|
13,000 |
|
|
|
406,653 |
|
| Hulic Co., Ltd. |
|
|
73,700 |
|
|
|
1,011,672 |
|
| Ichigo Group Holdings Co., Ltd. |
|
|
324,100 |
|
|
|
1,141,121 |
|
| Isuzu Motors Ltd. |
|
|
65,000 |
|
|
|
373,214 |
|
| J Trust Co., Ltd. |
|
|
21,100 |
|
|
|
266,206 |
|
| Jafco Co., Ltd. |
|
|
18,000 |
|
|
|
806,447 |
|
| JGC Corp. |
|
|
9,000 |
|
|
|
312,655 |
|
| Joyo Bank Ltd./The |
|
|
53,000 |
|
|
|
264,170 |
|
| JTEKT Corp. |
|
|
58,300 |
|
|
|
865,459 |
|
| Kansai Electric Power Co., Inc./The † |
|
|
91,000 |
|
|
|
932,790 |
|
| Kawasaki Heavy Industries Ltd. |
|
|
102,000 |
|
|
|
375,790 |
|
| KDDI Corp. |
|
|
47,600 |
|
|
|
2,763,894 |
|
| Keyence Corp. |
|
|
3,040 |
|
|
|
1,252,379 |
|
| Kubota Corp. |
|
|
100,000 |
|
|
|
1,329,054 |
|
| Kyushu Electric Power Co., Inc. |
|
|
29,000 |
|
|
|
354,567 |
|
| LIXIL Group Corp. |
|
|
11,500 |
|
|
|
317,338 |
|
| Matsui Securities Co., Ltd. |
|
|
206,100 |
|
|
|
2,092,695 |
|
| Mazda Motor Corp. |
|
|
534,000 |
|
|
|
2,372,351 |
|
| Minebea Co., Ltd. |
|
|
57,000 |
|
|
|
507,544 |
|
| Mitsubishi Electric Corp. |
|
|
183,000 |
|
|
|
2,059,994 |
|
| Mitsubishi Estate Co., Ltd. |
|
|
90,000 |
|
|
|
2,137,109 |
|
| Mitsubishi Heavy Industries, Ltd. |
|
|
54,000 |
|
|
|
312,464 |
|
| Mitsubishi Logistics Corp. |
|
|
21,000 |
|
|
|
291,761 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Japan - 32.2% (continued) |
|
|
|
|
|
|
|
|
| Mitsubishi UFJ Financial Group, Inc. |
|
|
206,900 |
|
|
$
|
1,139,354 |
|
| Mitsui Fudosan Co., Ltd. |
|
|
65,000 |
|
|
|
1,983,034 |
|
| MS&AD Insurance Group Holdings |
|
|
9,300 |
|
|
|
212,888 |
|
| Murata Manufacturing Co., Ltd. |
|
|
7,700 |
|
|
|
727,812 |
|
| NGK Insulators Ltd. |
|
|
15,000 |
|
|
|
312,926 |
|
| NHK Spring Co., Ltd. |
|
|
12,500 |
|
|
|
116,245 |
|
| Nidec Corp. |
|
|
13,400 |
|
|
|
821,654 |
|
| Nintendo Co., Ltd. |
|
|
7,600 |
|
|
|
908,502 |
|
| Nippon Telegraph & Telephone Corp. |
|
|
21,200 |
|
|
|
1,152,043 |
|
| Nishi-Nippon City Bank Ltd./The |
|
|
21,000 |
|
|
|
47,203 |
|
| Nitto Denko Corp. |
|
|
2,800 |
|
|
|
134,271 |
|
| NKSJ Holdings, Inc. |
|
|
10,400 |
|
|
|
267,014 |
|
| Nomura Holdings, Inc. |
|
|
62,000 |
|
|
|
397,723 |
|
| NSK Ltd. |
|
|
86,000 |
|
|
|
882,140 |
|
| NTN Corp. |
|
|
132,000 |
|
|
|
446,691 |
|
| NTT Urban Development Corp. |
|
|
34,000 |
|
|
|
320,017 |
|
| Oji Holdings Corp. |
|
|
65,000 |
|
|
|
290,738 |
|
| Okasan Securities Group, Inc. |
|
|
158,000 |
|
|
|
1,331,165 |
|
| Olympus Corp. † |
|
|
14,400 |
|
|
|
459,802 |
|
| Omron Corp. |
|
|
26,300 |
|
|
|
1,088,208 |
|
| Ono Pharmaceutical Co., Ltd. |
|
|
6,700 |
|
|
|
582,444 |
|
| Orient Corp. † |
|
|
188,500 |
|
|
|
379,277 |
|
| ORIX Corp. |
|
|
250,000 |
|
|
|
3,523,495 |
|
| Panasonic Corp. |
|
|
195,600 |
|
|
|
2,224,577 |
|
| Rakuten, Inc. |
|
|
55,300 |
|
|
|
738,677 |
|
| Renesas Electronics Corp. † |
|
|
88,800 |
|
|
|
677,914 |
|
| Seiko Epson Corp. |
|
|
65,500 |
|
|
|
2,046,662 |
|
| Seino Holdings Co., Ltd. |
|
|
15,000 |
|
|
|
143,112 |
|
| Seven & I Holdings Co., Ltd. |
|
|
19,000 |
|
|
|
723,985 |
|
| Seven Bank Ltd. |
|
|
104,900 |
|
|
|
411,669 |
|
| Sharp Corp. † |
|
|
30,000 |
|
|
|
91,362 |
|
| Shinsei Bank Ltd. |
|
|
540,000 |
|
|
|
1,060,147 |
|
| SMC Corp. |
|
|
2,200 |
|
|
|
580,213 |
|
| SoftBank Corp. |
|
|
81,800 |
|
|
|
6,181,483 |
|
| Sony Corp. |
|
|
28,200 |
|
|
|
537,131 |
|
| Square Enix Holdings Co., Ltd. |
|
|
27,800 |
|
|
|
572,182 |
|
| Sumitomo Mitsui Financial Group, Inc. |
|
|
46,700 |
|
|
|
2,001,746 |
|
| Sumitomo Mitsui Trust Holdings, Inc. |
|
|
67,000 |
|
|
|
303,145 |
|
| Sumitomo Realty & Development Co., Ltd. |
|
|
28,000 |
|
|
|
1,095,887 |
|
| Suruga Bank Ltd. |
|
|
60,000 |
|
|
|
1,056,934 |
|
| Tohoku Electric Power Co., Inc. |
|
|
57,000 |
|
|
|
586,182 |
|
| Tokai Tokyo Financial Holdings, Inc. |
|
|
163,100 |
|
|
|
1,367,863 |
|
| Tokio Marine Holdings, Inc. |
|
|
11,400 |
|
|
|
341,890 |
|
| Tokyo Electric Power Co., Inc. † |
|
|
592,900 |
|
|
|
2,385,477 |
|
| Tokyo Tatemono Co., Ltd. |
|
|
172,000 |
|
|
|
1,473,757 |
|
| Tokyu Fudosan Holdings Corp. |
|
|
39,600 |
|
|
|
295,294 |
|
| Toshiba TEC Corp. |
|
|
15,000 |
|
|
|
85,422 |
|
| Tosoh Corp. |
|
|
114,000 |
|
|
|
439,125 |
|
| Toyo Seikan Group Holdings Ltd. |
|
|
17,600 |
|
|
|
285,624 |
|
| Toyota Motor Corp. |
|
|
168,800 |
|
|
|
9,519,281 |
|
| TS Tech Co., Ltd. |
|
|
3,800 |
|
|
|
115,049 |
|
| Yahoo Japan Corp. |
|
|
233,600 |
|
|
|
1,144,392 |
|
| Yamaha Motor Co., Ltd. |
|
|
7,000 |
|
|
|
111,677 |
|
| Yaskawa Electric Corp. |
|
|
24,000 |
|
|
|
331,576 |
|
| Yokogawa Electric Corp. |
|
|
8,300 |
|
|
|
134,184 |
|
| Yokohama Rubber Co., Ltd./The |
|
|
30,000 |
|
|
|
282,145 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
102,236,957 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 46 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR INTERNATIONAL MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Netherlands - 1.6% |
|
|
|
|
|
|
|
|
| Aegon NV |
|
|
94,891 |
|
|
$
|
874,052 |
|
| ASML Holding NV |
|
|
12,415 |
|
|
|
1,155,631 |
|
| CNH Industrial NV † |
|
|
11,479 |
|
|
|
132,111 |
|
| Gemalto NV |
|
|
3,241 |
|
|
|
377,753 |
|
| Heineken Holding NV |
|
|
9,229 |
|
|
|
595,919 |
|
| Heineken NV |
|
|
1,000 |
|
|
|
69,587 |
|
| Koninklijke Philips NV |
|
|
9,699 |
|
|
|
341,203 |
|
| Koninklijke Vopak NV |
|
|
762 |
|
|
|
42,533 |
|
| Reed Elsevier NV |
|
|
67,621 |
|
|
|
1,463,085 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,051,874 |
|
|
|
|
|
|
|
|
|
|
| Norway - 0.1% |
|
|
|
|
|
|
|
|
| Golar LNG Ltd. |
|
|
2,009 |
|
|
|
88,206 |
|
| Telenor ASA |
|
|
10,790 |
|
|
|
238,813 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
327,019 |
|
|
|
|
|
|
|
|
|
|
| Portugal - 0.0% (a) |
|
|
|
|
|
|
|
|
| Jeronimo Martins SGPS SA |
|
|
6,068 |
|
|
|
101,825 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Singapore - 1.2% |
|
|
|
|
|
|
|
|
| Ascendas Real Estate Investment Trust REIT |
|
|
206,000 |
|
|
|
370,800 |
|
| CapitaCommercial Trust REIT |
|
|
117,000 |
|
|
|
138,513 |
|
| CapitaMall Trust REIT |
|
|
149,000 |
|
|
|
224,189 |
|
| CapitaMalls Asia Ltd. |
|
|
92,000 |
|
|
|
131,163 |
|
| Dairy Farm International Holdings, Ltd. |
|
|
6,300 |
|
|
|
61,341 |
|
| Jardine Cycle & Carriage Ltd. |
|
|
6,000 |
|
|
|
216,554 |
|
| Jardine Matheson Holdings Ltd. |
|
|
18,000 |
|
|
|
1,136,992 |
|
| Jardine Strategic Holdings Ltd. |
|
|
7,000 |
|
|
|
251,325 |
|
| Keppel REIT |
|
|
200 |
|
|
|
182 |
|
| Noble Group Ltd. |
|
|
19,363 |
|
|
|
18,306 |
|
| Sembcorp Industries Ltd. |
|
|
13,000 |
|
|
|
56,865 |
|
| Singapore Technologies Engineering Ltd. |
|
|
155,000 |
|
|
|
471,579 |
|
| StarHub Ltd. |
|
|
33,000 |
|
|
|
110,406 |
|
| Suntec Real Estate Investment Trust REIT |
|
|
92,000 |
|
|
|
121,617 |
|
| Super Group Ltd. |
|
|
57,000 |
|
|
|
157,965 |
|
| Thai Beverage PCL |
|
|
446,000 |
|
|
|
215,003 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,682,800 |
|
|
|
|
|
|
|
|
|
|
| Spain - 6.9% |
|
|
|
|
|
|
|
|
| Abertis Infraestructuras SA |
|
|
70,867 |
|
|
|
1,619,673 |
|
| Amadeus IT Holding SA, A Shares |
|
|
93,521 |
|
|
|
3,886,276 |
|
| Banco Bilbao Vizcaya Argentaria SA |
|
|
247,068 |
|
|
|
2,970,798 |
|
| Banco de Sabadell SA |
|
|
197,881 |
|
|
|
611,764 |
|
| Banco Popular Espanol SA |
|
|
122,950 |
|
|
|
929,690 |
|
| Banco Santander SA |
|
|
304,338 |
|
|
|
2,905,260 |
|
| CaixaBank SA |
|
|
219,383 |
|
|
|
1,412,180 |
|
| Ferrovial SA |
|
|
109,535 |
|
|
|
2,374,475 |
|
| Gas Natural SDG SA |
|
|
130,591 |
|
|
|
3,673,975 |
|
| Grifols SA |
|
|
14,812 |
|
|
|
811,736 |
|
| Inditex SA |
|
|
5,053 |
|
|
|
758,098 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
21,953,925 |
|
|
|
|
|
|
|
|
|
|
| Sweden - 0.5% |
|
|
|
|
|
|
|
|
| ICA Gruppen AB † |
|
|
8,456 |
|
|
|
306,987 |
|
| Investment AB Kinnevik, B Shares |
|
|
8,219 |
|
|
|
303,619 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Sweden - 0.5% (continued) |
|
|
|
|
|
|
|
|
| Skandinaviska Enskilda Banken AB, Class A |
|
|
70,488 |
|
|
$
|
968,314 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,578,920 |
|
|
|
|
|
|
|
|
|
|
| Switzerland - 4.8% |
|
|
|
|
|
|
|
|
| Actelion Ltd. † |
|
|
13,065 |
|
|
|
1,238,149 |
|
| Adecco SA † |
|
|
9,238 |
|
|
|
768,844 |
|
| Cie Financiere Richemont SA |
|
|
7,788 |
|
|
|
744,051 |
|
| Credit Suisse Group AG † |
|
|
38,168 |
|
|
|
1,235,425 |
|
| EMS-Chemie Holding AG |
|
|
2,370 |
|
|
|
895,655 |
|
| Geberit AG |
|
|
236 |
|
|
|
77,332 |
|
| Givaudan SA † |
|
|
1,411 |
|
|
|
2,182,467 |
|
| Novartis AG |
|
|
9,870 |
|
|
|
838,041 |
|
| Partners Group Holding AG |
|
|
5,304 |
|
|
|
1,489,826 |
|
| Schindler Holding AG |
|
|
1,395 |
|
|
|
205,655 |
|
| SGS SA |
|
|
404 |
|
|
|
996,375 |
|
| Swatch Group AG/The |
|
|
1,785 |
|
|
|
1,119,790 |
|
| Swiss Re AG † |
|
|
14,143 |
|
|
|
1,312,671 |
|
| UBS AG † |
|
|
79,180 |
|
|
|
1,638,500 |
|
| Wolseley PLC |
|
|
4,707 |
|
|
|
268,192 |
|
| Zurich Insurance Group AG † |
|
|
146 |
|
|
|
44,839 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,055,812 |
|
|
|
|
|
|
|
|
|
|
| United Kingdom - 9.6% |
|
|
|
|
|
|
|
|
| Aberdeen Asset Management PLC |
|
|
54,480 |
|
|
|
355,078 |
|
| Aggreko PLC |
|
|
7,624 |
|
|
|
190,997 |
|
| ARM Holdings PLC |
|
|
49,237 |
|
|
|
831,528 |
|
| ASOS PLC † |
|
|
6,100 |
|
|
|
527,286 |
|
| Associated British Foods PLC |
|
|
38,037 |
|
|
|
1,765,002 |
|
| BG Group PLC |
|
|
2,230 |
|
|
|
41,633 |
|
| Booker Group PLC |
|
|
95,443 |
|
|
|
262,907 |
|
| British American Tobacco PLC |
|
|
482 |
|
|
|
26,889 |
|
| BT Group PLC |
|
|
598,327 |
|
|
|
3,805,199 |
|
| Bunzl PLC |
|
|
7,883 |
|
|
|
210,183 |
|
| Carnival PLC |
|
|
6,836 |
|
|
|
261,167 |
|
| Compass Group PLC |
|
|
41,470 |
|
|
|
633,197 |
|
| Croda International PLC |
|
|
3,164 |
|
|
|
134,555 |
|
| Daily Mail & General Trust PLC, Class A |
|
|
8,278 |
|
|
|
119,986 |
|
| Diageo PLC |
|
|
46,529 |
|
|
|
1,445,149 |
|
| easyJet PLC |
|
|
20,601 |
|
|
|
589,580 |
|
| Experian PLC |
|
|
34,548 |
|
|
|
623,444 |
|
| G4S PLC |
|
|
22,026 |
|
|
|
88,872 |
|
| GlaxoSmithKline PLC |
|
|
913 |
|
|
|
24,345 |
|
| Hargreaves Lansdown PLC |
|
|
13,845 |
|
|
|
336,798 |
|
| HSBC Holdings PLC |
|
|
401,189 |
|
|
|
4,062,207 |
|
| IMI PLC |
|
|
3,733 |
|
|
|
90,838 |
|
| Imperial Tobacco Group PLC |
|
|
8,078 |
|
|
|
326,655 |
|
| InterContinental Hotels Group PLC |
|
|
11,899 |
|
|
|
383,030 |
|
| Intertek Group PLC |
|
|
2,171 |
|
|
|
111,462 |
|
| ITV PLC |
|
|
212,597 |
|
|
|
679,252 |
|
| Johnson Matthey PLC |
|
|
2,582 |
|
|
|
140,974 |
|
| Kingfisher PLC |
|
|
42,770 |
|
|
|
300,706 |
|
| Legal & General Group PLC |
|
|
62,913 |
|
|
|
214,793 |
|
| Meggitt PLC |
|
|
17,966 |
|
|
|
144,086 |
|
| Mondi PLC |
|
|
7,018 |
|
|
|
122,981 |
|
| National Grid PLC |
|
|
13,628 |
|
|
|
187,270 |
|
| Next PLC |
|
|
14,657 |
|
|
|
1,613,014 |
|
| Old Mutual PLC |
|
|
139,415 |
|
|
|
468,024 |
|
| Pearson PLC |
|
|
15,946 |
|
|
|
283,099 |
|
| Petrofac Ltd. |
|
|
14,632 |
|
|
|
351,212 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
47 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR INTERNATIONAL MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| United Kingdom - 9.6% (continued) |
|
|
|
|
|
|
|
|
| Prudential PLC |
|
|
52,638 |
|
|
$ |
1,114,581 |
|
| Reckitt Benckiser Group PLC |
|
|
3,848 |
|
|
|
314,016 |
|
| Reed Elsevier PLC |
|
|
9,377 |
|
|
|
143,295 |
|
| Rexam PLC |
|
|
11,373 |
|
|
|
92,419 |
|
| Rolls-Royce Holdings PLC † |
|
|
35,118 |
|
|
|
628,660 |
|
| SABMiller PLC |
|
|
32,301 |
|
|
|
1,615,123 |
|
| Sage Group PLC/The |
|
|
13,549 |
|
|
|
94,502 |
|
| Severn Trent PLC |
|
|
3,568 |
|
|
|
108,565 |
|
| Shire PLC |
|
|
14,609 |
|
|
|
723,223 |
|
| Smith & Nephew PLC |
|
|
5,401 |
|
|
|
82,030 |
|
| Sports Direct International PLC † |
|
|
36,611 |
|
|
|
520,196 |
|
| SSE PLC |
|
|
8,866 |
|
|
|
217,164 |
|
| Standard Life PLC |
|
|
68,289 |
|
|
|
430,237 |
|
| Tate & Lyle PLC |
|
|
14,485 |
|
|
|
161,327 |
|
| Tullow Oil PLC |
|
|
11,125 |
|
|
|
139,028 |
|
| United Utilities Group PLC |
|
|
13,217 |
|
|
|
173,859 |
|
| Whitbread PLC |
|
|
10,735 |
|
|
|
745,132 |
|
| WPP PLC |
|
|
74,106 |
|
|
|
1,531,187 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,587,942 |
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCKS
(cost $278,713,793) |
|
|
|
|
|
|
311,699,518 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| RIGHTS - 0.0% (a) |
|
|
|
|
|
|
|
|
|
|
|
| Hong Kong - 0.0% (a) |
|
|
|
|
|
|
|
|
| New World Development Co.,
Ltd. (3)†(b) |
|
|
65,333 |
|
|
|
13,684 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Spain - 0.0% (a) |
|
|
|
|
|
|
|
|
| Banco Bilbao Vizcaya Argentaria SA † |
|
|
247,068 |
|
|
|
57,863 |
|
|
|
|
|
|
|
|
|
|
| TOTAL RIGHTS
(cost $—) |
|
|
|
|
|
|
71,547 |
|
|
|
|
|
|
|
|
|
|
|
|
| MONEY MARKET FUNDS - 2.2% |
|
|
|
|
|
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares,
0.000% (c)
(cost $6,830,980) |
|
|
6,830,980 |
|
|
|
6,830,980 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS - 100.4%
(cost $285,544,773) |
|
|
|
|
|
|
318,602,045 |
|
|
|
|
|
|
|
|
|
|
| LIABILITIES IN EXCESS OF OTHER ASSETS - (0.4%) (d) |
|
|
|
|
|
|
(1,300,882) |
|
|
|
|
|
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
|
|
|
$ |
317,301,163 |
|
|
|
|
|
|
|
|
|
|
| † |
Non income-producing security. |
| (a) |
Represents less than 0.05 percent of net assets. |
| (b) |
Security fair valued at as of March 31, 2014 using procedures approved by the Board of Trustees. The total value of positions fair valued was $13,684 or 0.0% of total net
assets. |
| (c) |
Represents annualized seven-day yield as of March 31, 2014. |
| (d) |
Includes appreciation on futures contracts. |
All securities are
Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) |
Level 1 security (See Note 4). |
| (3) |
Level 3 security (See Note 4). |
The following abbreviations are
used in portfolio descriptions:
REIT - Real Estate Investment Trust
|
|
|
|
|
|
|
|
|
| SECTOR |
|
VALUE |
|
|
% OF NET
ASSETS |
|
| Consumer Discretionary |
|
$ |
66,589,710 |
|
|
|
21.0 |
% |
| Consumer Staples |
|
|
17,683,108 |
|
|
|
5.6 |
|
| Energy |
|
|
3,900,767 |
|
|
|
1.2 |
|
| Financials |
|
|
88,649,930 |
|
|
|
27.8 |
|
| Health Care |
|
|
26,026,549 |
|
|
|
8.2 |
|
| Industrials |
|
|
40,853,856 |
|
|
|
12.9 |
|
| Information Technology |
|
|
27,432,528 |
|
|
|
8.6 |
|
| Materials |
|
|
7,507,383 |
|
|
|
2.4 |
|
| Telecommunication Services |
|
|
22,770,956 |
|
|
|
7.2 |
|
| Utilities |
|
|
10,356,278 |
|
|
|
3.3 |
|
| Money Market Funds |
|
|
6,830,980 |
|
|
|
2.2 |
|
|
|
|
|
|
|
|
|
|
| Total Investments |
|
|
318,602,045 |
|
|
|
100.4 |
|
| Liabilities in Excess of Other Assets (d) |
|
|
(1,300,882) |
|
|
|
(0.4) |
|
|
|
|
|
|
|
|
|
|
| Net Assets |
|
$ |
317,301,163 |
|
|
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
Open futures contracts outstanding at March 31, 2014:
Exchange Traded
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF
CONTRACTS |
|
COUNTERPARTY |
|
DESCRIPTION |
|
EXPIRATION
DATE |
|
|
VALUE AT
TRADE DATE |
|
|
VALUE AT
MARCH 31,
2014 |
|
|
UNREALIZED
APPRECIATION
(DEPRECIATION) |
|
| Long Contracts: |
|
|
|
|
|
| 43 |
|
Barclays Capital |
|
MSCI EAFE Mini Index Futures |
|
|
June 20, 2014 |
|
|
|
$4,059,251 |
|
|
|
$4,074,250 |
|
|
|
$14,999 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cash held as collateral at Barclays Capital for futures contracts was $37,163 at March 31, 2014.
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 48 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR TAX-MANAGED MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCKS - 97.3% |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Consumer Discretionary - 20.9% |
|
|
|
|
|
|
|
|
| Amazon.com, Inc. † |
|
|
4,459 |
|
|
$ |
1,500,543 |
|
| Apollo Education Group, Inc. † |
|
|
1,771 |
|
|
|
60,639 |
|
| AutoNation, Inc. † |
|
|
274 |
|
|
|
14,585 |
|
| Bed Bath & Beyond, Inc. † |
|
|
101 |
|
|
|
6,949 |
|
| Best Buy Co., Inc. |
|
|
4,648 |
|
|
|
122,754 |
|
| BorgWarner, Inc. |
|
|
3,788 |
|
|
|
232,848 |
|
| Brunswick Corp. |
|
|
1,969 |
|
|
|
89,176 |
|
| Caesars Entertainment Corp. † |
|
|
1,988 |
|
|
|
37,792 |
|
| Carter’s, Inc. |
|
|
616 |
|
|
|
47,832 |
|
| CBS Corp., Class B |
|
|
8,044 |
|
|
|
497,119 |
|
| Charter Communications, Inc., Class A † |
|
|
500 |
|
|
|
61,600 |
|
| Chipotle Mexican Grill, Inc. † |
|
|
642 |
|
|
|
364,688 |
|
| Cinemark Holdings, Inc. |
|
|
322 |
|
|
|
9,341 |
|
| Coach, Inc. |
|
|
66 |
|
|
|
3,278 |
|
| Comcast Corp., Class A |
|
|
6,651 |
|
|
|
332,683 |
|
| Conn’s, Inc. † |
|
|
553 |
|
|
|
21,484 |
|
| Dana Holding Corp. |
|
|
2,784 |
|
|
|
64,784 |
|
| Dillard’s, Inc., Class A |
|
|
148 |
|
|
|
13,675 |
|
| DIRECTV † |
|
|
3,486 |
|
|
|
266,400 |
|
| DISH Network Corp., Class A † |
|
|
5,430 |
|
|
|
337,800 |
|
| Dollar Tree, Inc. † |
|
|
941 |
|
|
|
49,101 |
|
| DSW, Inc., Class A |
|
|
330 |
|
|
|
11,834 |
|
| Expedia, Inc. |
|
|
167 |
|
|
|
12,108 |
|
| Family Dollar Stores, Inc. |
|
|
63 |
|
|
|
3,655 |
|
| Ford Motor Co. |
|
|
13,021 |
|
|
|
203,128 |
|
| GameStop Corp., Class A |
|
|
1,048 |
|
|
|
43,073 |
|
| Gannett Co., Inc. |
|
|
2,894 |
|
|
|
79,874 |
|
| Gap, Inc./The |
|
|
868 |
|
|
|
34,772 |
|
| General Motors Co. |
|
|
13,779 |
|
|
|
474,273 |
|
| Genuine Parts Co. |
|
|
74 |
|
|
|
6,427 |
|
| GNC Holdings, Inc., Class A |
|
|
2,197 |
|
|
|
96,712 |
|
| Goodyear Tire & Rubber Co./The |
|
|
2,568 |
|
|
|
67,102 |
|
| Groupon, Inc. † |
|
|
12,576 |
|
|
|
98,596 |
|
| H&R Block, Inc. |
|
|
1,923 |
|
|
|
58,055 |
|
| Harman International Industries, Inc. |
|
|
900 |
|
|
|
95,760 |
|
| Home Depot, Inc./The |
|
|
4,286 |
|
|
|
339,151 |
|
| HSN, Inc. |
|
|
187 |
|
|
|
11,170 |
|
| Johnson Controls, Inc. |
|
|
6,935 |
|
|
|
328,164 |
|
| Kate Spade & Co. † |
|
|
1,231 |
|
|
|
45,658 |
|
| L Brands, Inc. |
|
|
139 |
|
|
|
7,891 |
|
| Las Vegas Sands Corp. |
|
|
10,082 |
|
|
|
814,424 |
|
| Liberty Global PLC, Class A (United Kingdom) † |
|
|
258 |
|
|
|
10,733 |
|
| LKQ Corp. † |
|
|
2,515 |
|
|
|
66,270 |
|
| Lowe’s Cos., Inc. |
|
|
6,604 |
|
|
|
322,936 |
|
| Macy’s, Inc. |
|
|
1,624 |
|
|
|
96,287 |
|
| Madison Square Garden Co./The, Class A † |
|
|
948 |
|
|
|
53,827 |
|
| MGM Resorts International † |
|
|
8,767 |
|
|
|
226,715 |
|
| Mohawk Industries, Inc. † |
|
|
936 |
|
|
|
127,277 |
|
| Netflix, Inc. † |
|
|
1,039 |
|
|
|
365,759 |
|
| NIKE, Inc., Class B |
|
|
248 |
|
|
|
18,317 |
|
| Panera Bread Co., Class A † |
|
|
24 |
|
|
|
4,235 |
|
| PetSmart, Inc. |
|
|
64 |
|
|
|
4,409 |
|
| Polaris Industries, Inc. |
|
|
508 |
|
|
|
70,973 |
|
| priceline.com, Inc. † |
|
|
679 |
|
|
|
809,293 |
|
| PulteGroup, Inc. |
|
|
2,843 |
|
|
|
54,557 |
|
| Ralph Lauren Corp. |
|
|
40 |
|
|
|
6,437 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Consumer Discretionary - 20.9% (continued) |
|
| Rent-A-Center, Inc. |
|
|
182 |
|
|
$ |
4,841 |
|
| Sally Beauty Holdings, Inc. † |
|
|
147 |
|
|
|
4,028 |
|
| Service Corp. International |
|
|
1,360 |
|
|
|
27,037 |
|
| Standard Pacific Corp. † |
|
|
4,289 |
|
|
|
35,642 |
|
| Starbucks Corp. |
|
|
10,251 |
|
|
|
752,218 |
|
| Tesla Motors, Inc. † |
|
|
2,306 |
|
|
|
480,686 |
|
| Time Warner, Inc. |
|
|
3,492 |
|
|
|
228,132 |
|
| TJX Cos., Inc./The |
|
|
6,403 |
|
|
|
388,342 |
|
| Tractor Supply Co. |
|
|
512 |
|
|
|
36,163 |
|
| TripAdvisor, Inc. † |
|
|
2,429 |
|
|
|
220,043 |
|
| TRW Automotive Holdings Corp. † |
|
|
739 |
|
|
|
60,317 |
|
| Twenty-First Century Fox, Inc., Class A |
|
|
14,384 |
|
|
|
459,856 |
|
| Ulta Salon Cosmetics & Fragrance, Inc. † |
|
|
50 |
|
|
|
4,874 |
|
| Under Armour, Inc., Class A † |
|
|
1,845 |
|
|
|
211,511 |
|
| VF Corp. |
|
|
5,956 |
|
|
|
368,557 |
|
| Viacom, Inc., Class B |
|
|
3,706 |
|
|
|
314,973 |
|
| Visteon Corp. † |
|
|
548 |
|
|
|
48,465 |
|
| Walt Disney Co./The |
|
|
14,358 |
|
|
|
1,149,645 |
|
| Weight Watchers International, Inc. |
|
|
51 |
|
|
|
1,048 |
|
| Whirlpool Corp. |
|
|
872 |
|
|
|
130,329 |
|
| Wynn Resorts Ltd. |
|
|
1,455 |
|
|
|
323,228 |
|
| Yum! Brands, Inc. |
|
|
243 |
|
|
|
18,320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,473,178 |
|
|
|
|
|
|
|
|
|
|
| Consumer Staples - 3.4% |
|
|
|
|
|
|
|
|
| Archer-Daniels-Midland Co. |
|
|
2,109 |
|
|
|
91,510 |
|
| Church & Dwight Co., Inc. |
|
|
85 |
|
|
|
5,871 |
|
| Coca-Cola Co./The |
|
|
102 |
|
|
|
3,943 |
|
| Colgate-Palmolive Co. |
|
|
310 |
|
|
|
20,110 |
|
| ConAgra Foods, Inc. |
|
|
549 |
|
|
|
17,035 |
|
| Constellation Brands, Inc., Class A † |
|
|
2,163 |
|
|
|
183,790 |
|
| CVS Caremark Corp. |
|
|
3,800 |
|
|
|
284,468 |
|
| Estee Lauder Cos., Inc./The, Class A |
|
|
151 |
|
|
|
10,099 |
|
| Flowers Foods, Inc. |
|
|
1,538 |
|
|
|
32,990 |
|
| General Mills, Inc. |
|
|
150 |
|
|
|
7,773 |
|
| Herbalife Ltd. |
|
|
1,711 |
|
|
|
97,989 |
|
| Hershey Co./The |
|
|
95 |
|
|
|
9,918 |
|
| JM Smucker Co./The |
|
|
179 |
|
|
|
17,406 |
|
| Keurig Green Mountain, Inc. |
|
|
2,227 |
|
|
|
235,149 |
|
| Kroger Co./The |
|
|
1,500 |
|
|
|
65,475 |
|
| Lorillard, Inc. |
|
|
183 |
|
|
|
9,897 |
|
| Mead Johnson Nutrition Co. |
|
|
82 |
|
|
|
6,817 |
|
| Mondelez International, Inc., Class A |
|
|
535 |
|
|
|
18,484 |
|
| Nu Skin Enterprises, Inc., Class A |
|
|
1,053 |
|
|
|
87,241 |
|
| Philip Morris International, Inc. |
|
|
37 |
|
|
|
3,029 |
|
| Pilgrim’s Pride Corp. † |
|
|
3,191 |
|
|
|
66,756 |
|
| PriceSmart, Inc. |
|
|
417 |
|
|
|
42,088 |
|
| Reynolds American, Inc. |
|
|
232 |
|
|
|
12,393 |
|
| Rite Aid Corp. † |
|
|
28,118 |
|
|
|
176,300 |
|
| TreeHouse Foods, Inc. † |
|
|
39 |
|
|
|
2,808 |
|
| Tyson Foods, Inc., Class A |
|
|
1,489 |
|
|
|
65,531 |
|
| Walgreen Co. |
|
|
11,235 |
|
|
|
741,847 |
|
| Whole Foods Market, Inc. |
|
|
270 |
|
|
|
13,692 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,330,409 |
|
|
|
|
|
|
|
|
|
|
| Energy - 4.6% |
|
|
|
|
|
|
|
|
| Anadarko Petroleum Corp. |
|
|
60 |
|
|
|
5,086 |
|
| Baker Hughes, Inc. |
|
|
1,300 |
|
|
|
84,526 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
49 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR TAX-MANAGED MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Energy - 4.6% (continued) |
|
|
|
|
|
|
|
|
| Cabot Oil & Gas Corp. |
|
|
1,849 |
|
|
$ |
62,644 |
|
| Cameron International Corp. † |
|
|
587 |
|
|
|
36,259 |
|
| Cheniere Energy, Inc. † |
|
|
3,310 |
|
|
|
183,209 |
|
| Chesapeake Energy Corp. |
|
|
5,715 |
|
|
|
146,418 |
|
| Chevron Corp. |
|
|
66 |
|
|
|
7,848 |
|
| Cimarex Energy Co. |
|
|
373 |
|
|
|
44,428 |
|
| ConocoPhillips (2) |
|
|
135 |
|
|
|
9,497 |
|
| Continental Resources, Inc. † |
|
|
2,095 |
|
|
|
260,346 |
|
| EOG Resources, Inc. |
|
|
1,992 |
|
|
|
390,771 |
|
| FMC Technologies, Inc. † |
|
|
64 |
|
|
|
3,347 |
|
| Golar LNG Ltd. (Norway) |
|
|
71 |
|
|
|
2,960 |
|
| Gulfport Energy Corp. † |
|
|
1,449 |
|
|
|
103,140 |
|
| Halliburton Co. |
|
|
6,283 |
|
|
|
370,006 |
|
| Helix Energy Solutions Group, Inc. † |
|
|
1,805 |
|
|
|
41,479 |
|
| Hess Corp. |
|
|
2,963 |
|
|
|
245,573 |
|
| HollyFrontier Corp. |
|
|
304 |
|
|
|
14,464 |
|
| Key Energy Services, Inc. (2)† |
|
|
134 |
|
|
|
1,238 |
|
| Kodiak Oil & Gas Corp. † |
|
|
7,203 |
|
|
|
87,444 |
|
| Laredo Petroleum, Inc. † |
|
|
1,913 |
|
|
|
49,470 |
|
| Marathon Petroleum Corp. |
|
|
722 |
|
|
|
62,843 |
|
| Noble Energy, Inc. |
|
|
3,530 |
|
|
|
250,771 |
|
| Oasis Petroleum, Inc. † |
|
|
1,413 |
|
|
|
58,965 |
|
| Oceaneering International, Inc. |
|
|
607 |
|
|
|
43,619 |
|
| Phillips 66 |
|
|
1,510 |
|
|
|
116,361 |
|
| Pioneer Natural Resources Co. |
|
|
1,956 |
|
|
|
366,046 |
|
| Range Resources Corp. |
|
|
261 |
|
|
|
21,655 |
|
| Rosetta Resources, Inc. † |
|
|
40 |
|
|
|
1,863 |
|
| Targa Resources Corp. |
|
|
398 |
|
|
|
39,505 |
|
| Tesoro Corp. |
|
|
112 |
|
|
|
5,666 |
|
| Valero Energy Corp. |
|
|
1,350 |
|
|
|
71,685 |
|
| Williams Cos., Inc./The |
|
|
269 |
|
|
|
10,916 |
|
| World Fuel Services Corp. |
|
|
52 |
|
|
|
2,293 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,202,341 |
|
|
|
|
|
|
|
|
|
|
| Financials - 13.0% |
|
|
|
|
|
|
|
|
| American Campus Communities, Inc. REIT |
|
|
63 |
|
|
|
2,353 |
|
| American Express Co. |
|
|
9,497 |
|
|
|
855,015 |
|
| American Financial Group, Inc. |
|
|
1,065 |
|
|
|
61,461 |
|
| American International Group, Inc. |
|
|
8,805 |
|
|
|
440,338 |
|
| Ameriprise Financial, Inc. |
|
|
1,200 |
|
|
|
132,084 |
|
| Arch Capital Group Ltd. † |
|
|
267 |
|
|
|
15,363 |
|
| AvalonBay Communities, Inc. REIT |
|
|
37 |
|
|
|
4,859 |
|
| Bank of America Corp. |
|
|
69,353 |
|
|
|
1,192,872 |
|
| BB&T Corp. |
|
|
375 |
|
|
|
15,064 |
|
| Berkshire Hathaway, Inc., Class B † |
|
|
223 |
|
|
|
27,868 |
|
| Boston Properties, Inc. REIT |
|
|
39 |
|
|
|
4,467 |
|
| Capital One Financial Corp. |
|
|
3,817 |
|
|
|
294,520 |
|
| CBOE Holdings, Inc. |
|
|
1,623 |
|
|
|
91,862 |
|
| Charles Schwab Corp./The |
|
|
19,932 |
|
|
|
544,742 |
|
| Chubb Corp./The |
|
|
190 |
|
|
|
16,967 |
|
| Citigroup, Inc. |
|
|
5,757 |
|
|
|
274,033 |
|
| CME Group, Inc. |
|
|
3,213 |
|
|
|
237,794 |
|
| Crown Castle International Corp. REIT |
|
|
380 |
|
|
|
28,036 |
|
| Digital Realty Trust, Inc. REIT |
|
|
55 |
|
|
|
2,919 |
|
| Discover Financial Services |
|
|
3,539 |
|
|
|
205,934 |
|
| Equity Lifestyle Properties, Inc. REIT |
|
|
62 |
|
|
|
2,520 |
|
| Erie Indemnity Co., Class A |
|
|
32 |
|
|
|
2,232 |
|
| Essex Property Trust, Inc. REIT |
|
|
22 |
|
|
|
3,741 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Financials - 13.0% (continued) |
|
|
|
|
|
|
|
|
| Extra Space Storage, Inc. REIT |
|
|
331 |
|
|
$ |
16,057 |
|
| Federal Realty Investment Trust REIT |
|
|
34 |
|
|
|
3,900 |
|
| Fidelity National Financial, Inc., Class A |
|
|
450 |
|
|
|
14,148 |
|
| Fifth Third Bancorp |
|
|
8,900 |
|
|
|
204,255 |
|
| General Growth Properties, Inc. REIT |
|
|
1,839 |
|
|
|
40,458 |
|
| Genworth Financial, Inc., Class A † |
|
|
7,173 |
|
|
|
127,177 |
|
| Goldman Sachs Group, Inc./The |
|
|
2,687 |
|
|
|
440,265 |
|
| Hartford Financial Services Group, Inc./The |
|
|
3,282 |
|
|
|
115,756 |
|
| Howard Hughes Corp./The † |
|
|
460 |
|
|
|
65,647 |
|
| IntercontinentalExchange Group, Inc. |
|
|
600 |
|
|
|
118,698 |
|
| JPMorgan Chase & Co. |
|
|
4,321 |
|
|
|
262,328 |
|
| KeyCorp |
|
|
8,100 |
|
|
|
115,344 |
|
| Lincoln National Corp. |
|
|
2,367 |
|
|
|
119,936 |
|
| Marsh & McLennan Cos., Inc. |
|
|
196 |
|
|
|
9,663 |
|
| McGraw Hill Financial, Inc. |
|
|
2,820 |
|
|
|
215,166 |
|
| MetLife, Inc. |
|
|
16,244 |
|
|
|
857,683 |
|
| MGIC Investment Corp. † |
|
|
4,362 |
|
|
|
37,164 |
|
| Moody’s Corp. |
|
|
1,413 |
|
|
|
112,079 |
|
| Morgan Stanley |
|
|
24,292 |
|
|
|
757,182 |
|
| Ocwen Financial Corp. † |
|
|
1,081 |
|
|
|
42,354 |
|
| ProAssurance Corp. |
|
|
66 |
|
|
|
2,939 |
|
| Prudential Financial, Inc. |
|
|
6,093 |
|
|
|
515,772 |
|
| Public Storage REIT |
|
|
117 |
|
|
|
19,713 |
|
| Regions Financial Corp. |
|
|
4,459 |
|
|
|
49,540 |
|
| Simon Property Group, Inc. REIT |
|
|
94 |
|
|
|
15,416 |
|
| State Street Corp. |
|
|
3,050 |
|
|
|
212,128 |
|
| Tanger Factory Outlet Centers, Inc. REIT |
|
|
263 |
|
|
|
9,205 |
|
| Taubman Centers, Inc. REIT |
|
|
130 |
|
|
|
9,203 |
|
| Travelers Cos., Inc./The |
|
|
301 |
|
|
|
25,615 |
|
| Ventas, Inc. REIT |
|
|
229 |
|
|
|
13,871 |
|
| Wells Fargo & Co. |
|
|
110 |
|
|
|
5,471 |
|
| Weyerhaeuser Co. REIT |
|
|
768 |
|
|
|
22,541 |
|
| WR Berkley Corp. |
|
|
97 |
|
|
|
4,037 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,037,755 |
|
|
|
|
|
|
|
|
|
|
| Health Care - 15.7% |
|
|
|
|
|
|
|
|
| AbbVie, Inc. |
|
|
10,047 |
|
|
|
516,416 |
|
| Actavis PLC (Ireland) † |
|
|
1,185 |
|
|
|
243,932 |
|
| Aegerion Pharmaceuticals, Inc. † |
|
|
1,013 |
|
|
|
46,720 |
|
| Aetna, Inc. |
|
|
3,281 |
|
|
|
245,977 |
|
| Alexion Pharmaceuticals, Inc. † |
|
|
2,280 |
|
|
|
346,856 |
|
| Allergan, Inc. |
|
|
105 |
|
|
|
13,031 |
|
| Alnylam Pharmaceuticals, Inc. † |
|
|
669 |
|
|
|
44,917 |
|
| AmerisourceBergen Corp. |
|
|
990 |
|
|
|
64,934 |
|
| Amgen, Inc. |
|
|
3,377 |
|
|
|
416,519 |
|
| Arena Pharmaceuticals, Inc. † |
|
|
1,886 |
|
|
|
11,882 |
|
| athenahealth, Inc. † |
|
|
417 |
|
|
|
66,820 |
|
| Biogen Idec, Inc. † |
|
|
3,098 |
|
|
|
947,585 |
|
| BioMarin Pharmaceutical, Inc. † |
|
|
771 |
|
|
|
52,590 |
|
| Boston Scientific Corp. † |
|
|
13,971 |
|
|
|
188,888 |
|
| Bristol-Myers Squibb Co. |
|
|
15,879 |
|
|
|
824,914 |
|
| Cardinal Health, Inc. |
|
|
2,461 |
|
|
|
172,221 |
|
| Celgene Corp. † |
|
|
4,515 |
|
|
|
630,294 |
|
| Cepheid, Inc. † |
|
|
1,365 |
|
|
|
70,407 |
|
| Cerner Corp. † |
|
|
787 |
|
|
|
44,269 |
|
| Cigna Corp. |
|
|
2,422 |
|
|
|
202,794 |
|
| Endo International PLC (Ireland) † |
|
|
1,372 |
|
|
|
94,188 |
|
| Gilead Sciences, Inc. † |
|
|
17,287 |
|
|
|
1,224,957 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 50 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR TAX-MANAGED MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Health Care - 15.7% (continued) |
|
|
|
|
|
|
|
|
| HCA Holdings, Inc. † |
|
|
3,740 |
|
|
$ |
196,350 |
|
| Humana, Inc. |
|
|
1,200 |
|
|
|
135,264 |
|
| Illumina, Inc. † |
|
|
2,631 |
|
|
|
391,124 |
|
| Incyte Corp. Ltd. † |
|
|
2,791 |
|
|
|
149,374 |
|
| Intercept Pharmaceuticals, Inc. † |
|
|
200 |
|
|
|
65,958 |
|
| Intuitive Surgical, Inc. † |
|
|
26 |
|
|
|
11,388 |
|
| Isis Pharmaceuticals, Inc. † |
|
|
1,247 |
|
|
|
53,883 |
|
| Jazz Pharmaceuticals PLC (Ireland) † |
|
|
22 |
|
|
|
3,051 |
|
| McKesson Corp. |
|
|
2,504 |
|
|
|
442,131 |
|
| Medidata Solutions, Inc. † |
|
|
1,510 |
|
|
|
82,053 |
|
| Medtronic, Inc. |
|
|
1,610 |
|
|
|
99,079 |
|
| Mylan, Inc. (2)† |
|
|
4,773 |
|
|
|
233,066 |
|
| NPS Pharmaceuticals, Inc. † |
|
|
1,900 |
|
|
|
56,867 |
|
| Omnicare, Inc. |
|
|
627 |
|
|
|
37,413 |
|
| OPKO Health, Inc. † |
|
|
4,485 |
|
|
|
41,800 |
|
| Perrigo Co. PLC (Ireland) |
|
|
47 |
|
|
|
7,269 |
|
| Pfizer, Inc. |
|
|
759 |
|
|
|
24,379 |
|
| Pharmacyclics, Inc. † |
|
|
1,859 |
|
|
|
186,309 |
|
| Questcor Pharmaceuticals, Inc. |
|
|
1,147 |
|
|
|
74,475 |
|
| Regeneron Pharmaceuticals, Inc. † |
|
|
1,439 |
|
|
|
432,103 |
|
| Salix Pharmaceuticals Ltd. † |
|
|
486 |
|
|
|
50,354 |
|
| St. Jude Medical, Inc. |
|
|
1,365 |
|
|
|
89,257 |
|
| Tenet Healthcare Corp. † |
|
|
1,805 |
|
|
|
77,272 |
|
| Thermo Fisher Scientific, Inc. |
|
|
5,346 |
|
|
|
642,803 |
|
| UnitedHealth Group, Inc. |
|
|
3,930 |
|
|
|
322,221 |
|
| Vertex Pharmaceuticals, Inc. † |
|
|
2,688 |
|
|
|
190,095 |
|
| WellPoint, Inc. |
|
|
3,564 |
|
|
|
354,796 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,921,245 |
|
|
|
|
|
|
|
|
|
|
| Industrials - 14.0% |
|
|
|
|
|
|
|
|
| 3M Co. |
|
|
4,700 |
|
|
|
637,602 |
|
| A. O. Smith Corp. |
|
|
2,198 |
|
|
|
101,152 |
|
| Alaska Air Group, Inc. |
|
|
706 |
|
|
|
65,877 |
|
| Avis Budget Group, Inc. † |
|
|
1,191 |
|
|
|
58,002 |
|
| B/E Aerospace, Inc. † |
|
|
1,072 |
|
|
|
93,039 |
|
| Boeing Co./The |
|
|
9,111 |
|
|
|
1,143,339 |
|
| Chart Industries, Inc. † |
|
|
899 |
|
|
|
71,515 |
|
| CLARCOR, Inc. |
|
|
41 |
|
|
|
2,351 |
|
| Clean Harbors, Inc. † |
|
|
45 |
|
|
|
2,466 |
|
| Copart, Inc. † |
|
|
321 |
|
|
|
11,681 |
|
| Cummins, Inc. |
|
|
1,872 |
|
|
|
278,909 |
|
| Delta Air Lines, Inc. |
|
|
17,005 |
|
|
|
589,223 |
|
| Donaldson Co., Inc. |
|
|
84 |
|
|
|
3,562 |
|
| Dover Corp. |
|
|
1,493 |
|
|
|
122,053 |
|
| Fastenal Co. |
|
|
131 |
|
|
|
6,461 |
|
| FedEx Corp. |
|
|
3,537 |
|
|
|
468,865 |
|
| Flowserve Corp. |
|
|
1,586 |
|
|
|
124,247 |
|
| Fortune Brands Home & Security, Inc. |
|
|
3,256 |
|
|
|
137,013 |
|
| Generac Holdings, Inc. |
|
|
2,125 |
|
|
|
125,311 |
|
| General Dynamics Corp. |
|
|
3,500 |
|
|
|
381,220 |
|
| Hertz Global Holdings, Inc. † |
|
|
5,422 |
|
|
|
144,442 |
|
| Honeywell International, Inc. |
|
|
6,045 |
|
|
|
560,734 |
|
| Illinois Tool Works, Inc. |
|
|
571 |
|
|
|
46,439 |
|
| Kirby Corp. † |
|
|
499 |
|
|
|
50,524 |
|
| Lincoln Electric Holdings, Inc. |
|
|
638 |
|
|
|
45,942 |
|
| Lockheed Martin Corp. |
|
|
5,691 |
|
|
|
928,999 |
|
| Manitowoc Co., Inc./The |
|
|
2,743 |
|
|
|
86,267 |
|
| Masco Corp. |
|
|
1,831 |
|
|
|
40,667 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Industrials - 14.0% (continued) |
|
|
|
|
|
|
|
|
| Nielsen Holdings NV |
|
|
2,443 |
|
|
$ |
109,031 |
|
| Norfolk Southern Corp. |
|
|
1,351 |
|
|
|
131,277 |
|
| Northrop Grumman Corp. |
|
|
3,246 |
|
|
|
400,492 |
|
| Old Dominion Freight Line, Inc. † |
|
|
756 |
|
|
|
42,895 |
|
| Owens Corning |
|
|
565 |
|
|
|
24,391 |
|
| Parker Hannifin Corp. |
|
|
600 |
|
|
|
71,826 |
|
| Precision Castparts Corp. |
|
|
1,628 |
|
|
|
411,493 |
|
| Raytheon Co. |
|
|
5,276 |
|
|
|
521,216 |
|
| Rockwell Automation, Inc. |
|
|
1,200 |
|
|
|
149,460 |
|
| Rollins, Inc. |
|
|
380 |
|
|
|
11,491 |
|
| Ryder System, Inc. |
|
|
532 |
|
|
|
42,517 |
|
| SolarCity Corp. † |
|
|
3,291 |
|
|
|
206,082 |
|
| Southwest Airlines Co. |
|
|
12,618 |
|
|
|
297,911 |
|
| Spirit Airlines, Inc. † |
|
|
2,236 |
|
|
|
132,818 |
|
| Swift Transportation Co. † |
|
|
5,294 |
|
|
|
131,027 |
|
| Teledyne Technologies, Inc. † |
|
|
41 |
|
|
|
3,991 |
|
| Terex Corp. |
|
|
1,248 |
|
|
|
55,286 |
|
| Towers Watson & Co., Class A |
|
|
702 |
|
|
|
80,063 |
|
| Triumph Group, Inc. |
|
|
44 |
|
|
|
2,842 |
|
| Union Pacific Corp. |
|
|
258 |
|
|
|
48,416 |
|
| United Continental Holdings, Inc. † |
|
|
5,142 |
|
|
|
229,488 |
|
| United Parcel Service, Inc., Class B |
|
|
166 |
|
|
|
16,165 |
|
| United Rentals, Inc. † |
|
|
1,343 |
|
|
|
127,504 |
|
| USG Corp. † |
|
|
586 |
|
|
|
19,174 |
|
| Wabtec Corp. |
|
|
785 |
|
|
|
60,838 |
|
| Waste Connections, Inc. |
|
|
1,237 |
|
|
|
54,255 |
|
| WESCO International, Inc. † |
|
|
423 |
|
|
|
35,202 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,745,053 |
|
|
|
|
|
|
|
|
|
|
| Information Technology - 23.2% |
|
|
|
|
|
|
|
|
| 3D Systems Corp. † |
|
|
2,271 |
|
|
|
134,330 |
|
| Activision Blizzard, Inc. |
|
|
7,063 |
|
|
|
144,368 |
|
| Adobe Systems, Inc. † |
|
|
8,721 |
|
|
|
573,319 |
|
| Alliance Data Systems Corp. † |
|
|
603 |
|
|
|
164,287 |
|
| Apple, Inc. |
|
|
22 |
|
|
|
11,808 |
|
| Applied Materials, Inc. |
|
|
13,057 |
|
|
|
266,624 |
|
| Automatic Data Processing, Inc. |
|
|
159 |
|
|
|
12,284 |
|
| CA, Inc. |
|
|
2,700 |
|
|
|
83,619 |
|
| Cadence Design Systems, Inc. † |
|
|
803 |
|
|
|
12,479 |
|
| Cisco Systems, Inc. |
|
|
8,479 |
|
|
|
190,014 |
|
| Cognizant Technology Solutions Corp., Class A † |
|
|
2,100 |
|
|
|
106,281 |
|
| CommVault Systems, Inc. † |
|
|
325 |
|
|
|
21,109 |
|
| Corning, Inc. |
|
|
14,400 |
|
|
|
299,808 |
|
| Cree, Inc. † |
|
|
1,478 |
|
|
|
83,596 |
|
| eBay, Inc. † |
|
|
698 |
|
|
|
38,558 |
|
| Electronic Arts, Inc. † |
|
|
1,898 |
|
|
|
55,061 |
|
| Facebook, Inc., Class A † |
|
|
25,559 |
|
|
|
1,539,674 |
|
| First Solar, Inc. † |
|
|
2,346 |
|
|
|
163,727 |
|
| FleetCor Technologies, Inc. † |
|
|
1,395 |
|
|
|
160,564 |
|
| Fortinet, Inc. † |
|
|
124 |
|
|
|
2,732 |
|
| Freescale Semiconductor Ltd. † |
|
|
4,203 |
|
|
|
102,595 |
|
| Fusion-io, Inc. † |
|
|
135 |
|
|
|
1,420 |
|
| Google, Inc., Class A † |
|
|
3,034 |
|
|
|
3,381,423 |
|
| Guidewire Software, Inc. † |
|
|
1,984 |
|
|
|
97,315 |
|
| Hewlett-Packard Co. |
|
|
22,780 |
|
|
|
737,161 |
|
| IAC/InterActiveCorp |
|
|
882 |
|
|
|
62,966 |
|
| Intel Corp. |
|
|
648 |
|
|
|
16,725 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
51 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR TAX-MANAGED MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Information Technology - 23.2% (continued) |
|
| International Business Machines Corp. |
|
|
24 |
|
|
$ |
4,620 |
|
| Intuit, Inc. |
|
|
74 |
|
|
|
5,752 |
|
| IPG Photonics Corp. † |
|
|
133 |
|
|
|
9,454 |
|
| Jack Henry & Associates, Inc. |
|
|
963 |
|
|
|
53,697 |
|
| KLA-Tencor Corp. |
|
|
80 |
|
|
|
5,531 |
|
| Knowles Corp. † |
|
|
746 |
|
|
|
23,551 |
|
| LinkedIn Corp., Class A † |
|
|
1,735 |
|
|
|
320,871 |
|
| MasterCard, Inc., Class A |
|
|
10,690 |
|
|
|
798,543 |
|
| Micron Technology, Inc. † |
|
|
17,173 |
|
|
|
406,313 |
|
| Microsoft Corp. |
|
|
34,650 |
|
|
|
1,420,303 |
|
| Motorola Solutions, Inc. |
|
|
138 |
|
|
|
8,872 |
|
| NCR Corp. † |
|
|
1,190 |
|
|
|
43,495 |
|
| NetSuite, Inc. † |
|
|
656 |
|
|
|
62,208 |
|
| NeuStar, Inc., Class A † |
|
|
661 |
|
|
|
21,489 |
|
| Nuance Communications, Inc. (2)† |
|
|
155 |
|
|
|
2,661 |
|
| Oracle Corp. |
|
|
621 |
|
|
|
25,405 |
|
| Pandora Media, Inc. † |
|
|
6,361 |
|
|
|
192,866 |
|
| Qlik Technologies, Inc. † |
|
|
1,202 |
|
|
|
31,961 |
|
| QUALCOMM, Inc. |
|
|
171 |
|
|
|
13,485 |
|
| Rackspace Hosting, Inc. † |
|
|
257 |
|
|
|
8,435 |
|
| Salesforce.com, Inc. † |
|
|
5,215 |
|
|
|
297,724 |
|
| SanDisk Corp. |
|
|
3,397 |
|
|
|
275,802 |
|
| ServiceNow, Inc. † |
|
|
3,195 |
|
|
|
191,444 |
|
| SolarWinds, Inc. † |
|
|
320 |
|
|
|
13,642 |
|
| Splunk, Inc. † |
|
|
3,112 |
|
|
|
222,477 |
|
| SS&C Technologies Holdings, Inc. † |
|
|
1,261 |
|
|
|
50,465 |
|
| SunEdison, Inc. † |
|
|
7,281 |
|
|
|
137,174 |
|
| SunPower Corp. † |
|
|
2,973 |
|
|
|
95,909 |
|
| Symantec Corp. |
|
|
1,519 |
|
|
|
30,334 |
|
| Teradata Corp. † |
|
|
80 |
|
|
|
3,935 |
|
| Texas Instruments, Inc. |
|
|
7,495 |
|
|
|
353,389 |
|
| TIBCO Software, Inc. † |
|
|
93 |
|
|
|
1,890 |
|
| Total System Services, Inc. |
|
|
2,043 |
|
|
|
62,128 |
|
| Ubiquiti Networks, Inc. † |
|
|
2,113 |
|
|
|
96,078 |
|
| Universal Display Corp. † |
|
|
41 |
|
|
|
1,308 |
|
| Visa, Inc., Class A |
|
|
3,910 |
|
|
|
844,013 |
|
| VMware, Inc., Class A † |
|
|
140 |
|
|
|
15,123 |
|
| Western Digital Corp. |
|
|
4,533 |
|
|
|
416,220 |
|
| Workday, Inc., Class A † |
|
|
2,278 |
|
|
|
208,278 |
|
| Xerox Corp. |
|
|
11,832 |
|
|
|
133,702 |
|
| Xilinx, Inc. |
|
|
1,240 |
|
|
|
67,295 |
|
| Yahoo!, Inc. (2)† |
|
|
11,628 |
|
|
|
417,445 |
|
| Yelp, Inc. † |
|
|
2,560 |
|
|
|
196,941 |
|
| Zillow, Inc., Class A † |
|
|
835 |
|
|
|
73,564 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
16,129,639 |
|
|
|
|
|
|
|
|
|
|
| Materials - 2.3% |
|
|
|
|
|
|
|
|
| Airgas, Inc. |
|
|
30 |
|
|
|
3,195 |
|
| Axiall Corp. |
|
|
400 |
|
|
|
17,968 |
|
| Carpenter Technology Corp. |
|
|
51 |
|
|
|
3,368 |
|
| Celanese Corp., Series A |
|
|
24 |
|
|
|
1,332 |
|
| Dow Chemical Co./The |
|
|
8,100 |
|
|
|
393,579 |
|
| Ecolab, Inc. |
|
|
2,147 |
|
|
|
231,855 |
|
| EI du Pont de Nemours & Co. |
|
|
8,500 |
|
|
|
570,350 |
|
| NewMarket Corp. |
|
|
142 |
|
|
|
55,491 |
|
| Newmont Mining Corp. |
|
|
60 |
|
|
|
1,406 |
|
| PPG Industries, Inc. |
|
|
913 |
|
|
|
176,629 |
|
| Praxair, Inc. |
|
|
34 |
|
|
|
4,453 |
|
| Royal Gold, Inc. |
|
|
48 |
|
|
|
3,006 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Materials - 2.3% (continued) |
|
|
|
|
|
|
|
|
| Sherwin-Williams Co./The |
|
|
270 |
|
|
$ |
53,225 |
|
| WR Grace & Co. † |
|
|
480 |
|
|
|
47,602 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,563,459 |
|
|
|
|
|
|
|
|
|
|
| Utilities - 0.2% |
|
|
|
|
|
|
|
|
| AGL Resources, Inc. |
|
|
62 |
|
|
|
3,036 |
|
| Ameren Corp. |
|
|
110 |
|
|
|
4,532 |
|
| American Water Works Co., Inc. |
|
|
122 |
|
|
|
5,539 |
|
| Calpine Corp. † |
|
|
225 |
|
|
|
4,705 |
|
| CenterPoint Energy, Inc. |
|
|
247 |
|
|
|
5,851 |
|
| Cleco Corp. |
|
|
70 |
|
|
|
3,541 |
|
| Consolidated Edison, Inc. |
|
|
120 |
|
|
|
6,438 |
|
| Dominion Resources, Inc. |
|
|
205 |
|
|
|
14,553 |
|
| DTE Energy Co. |
|
|
87 |
|
|
|
6,463 |
|
| FirstEnergy Corp. |
|
|
177 |
|
|
|
6,023 |
|
| ITC Holdings Corp. |
|
|
111 |
|
|
|
4,146 |
|
| NextEra Energy, Inc. |
|
|
56 |
|
|
|
5,355 |
|
| NiSource, Inc. |
|
|
195 |
|
|
|
6,928 |
|
| Pinnacle West Capital Corp. |
|
|
73 |
|
|
|
3,990 |
|
| Portland General Electric Co. |
|
|
345 |
|
|
|
11,157 |
|
| PPL Corp. |
|
|
242 |
|
|
|
8,020 |
|
| Questar Corp. |
|
|
410 |
|
|
|
9,750 |
|
| UIL Holdings Corp. |
|
|
72 |
|
|
|
2,650 |
|
| WGL Holdings, Inc. |
|
|
68 |
|
|
|
2,724 |
|
| Wisconsin Energy Corp. |
|
|
89 |
|
|
|
4,143 |
|
| Xcel Energy, Inc. |
|
|
158 |
|
|
|
4,797 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
124,341 |
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCKS
(cost $62,022,686) |
|
|
|
|
|
|
67,527,420 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| EXCHANGE-TRADED FUNDS - 1.9% |
|
|
|
|
|
|
|
|
| SPDR S&P 500 ETF Trust
(cost $1,293,737) |
|
|
7,121 |
|
|
|
1,331,912 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| MONEY MARKET FUNDS - 1.4% |
|
|
|
|
|
|
|
|
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(a) |
|
|
|
|
|
|
|
|
| (cost $967,107) |
|
|
967,107 |
|
|
|
967,107 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS - 100.6%
(cost $64,283,530) |
|
|
|
|
|
|
69,826,439 |
|
|
|
|
|
|
|
|
|
|
| LIABILITIES IN EXCESS OF OTHER ASSETS - (0.6%) |
|
|
|
|
|
|
(384,650) |
|
|
|
|
|
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
|
|
|
$ |
69,441,789 |
|
|
|
|
|
|
|
|
|
|
All securities are United States companies, unless noted otherwise in parentheses.
| † |
Non income-producing security. |
| (a) |
Represents annualized seven-day yield as of March 31, 2014. |
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. |
|
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|
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|
|
| 52 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCKS - 98.3% |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Consumer Discretionary - 16.2% |
|
| American Axle & Manufacturing Holdings, Inc. † |
|
|
2,038 |
|
|
$ |
37,744 |
|
| American Public Education, Inc. † |
|
|
58 |
|
|
|
2,035 |
|
| America’s Car-Mart, Inc. † |
|
|
61 |
|
|
|
2,240 |
|
| ANN, Inc. † |
|
|
88 |
|
|
|
3,650 |
|
| Arctic Cat, Inc. |
|
|
166 |
|
|
|
7,933 |
|
| Asbury Automotive Group, Inc. † |
|
|
376 |
|
|
|
20,797 |
|
| Ascent Capital Group, Inc., Class A † |
|
|
63 |
|
|
|
4,760 |
|
| Bally Technologies, Inc. † |
|
|
180 |
|
|
|
11,929 |
|
| Beazer Homes USA, Inc. † |
|
|
314 |
|
|
|
6,305 |
|
| bebe stores, Inc. |
|
|
1,766 |
|
|
|
10,808 |
|
| Big 5 Sporting Goods Corp. |
|
|
448 |
|
|
|
7,190 |
|
| BJ’s Restaurants, Inc. † |
|
|
57 |
|
|
|
1,864 |
|
| Black Diamond, Inc. † |
|
|
1,082 |
|
|
|
13,233 |
|
| Bob Evans Farms, Inc. |
|
|
192 |
|
|
|
9,606 |
|
| Bon-Ton Stores, Inc./The |
|
|
543 |
|
|
|
5,962 |
|
| Boyd Gaming Corp. † |
|
|
1,567 |
|
|
|
20,684 |
|
| Bridgepoint Education, Inc. † |
|
|
457 |
|
|
|
6,805 |
|
| Brown Shoe Co., Inc. |
|
|
531 |
|
|
|
14,093 |
|
| Brunswick Corp. |
|
|
116 |
|
|
|
5,254 |
|
| Buffalo Wild Wings, Inc. † |
|
|
266 |
|
|
|
39,607 |
|
| Cabela’s, Inc. † |
|
|
102 |
|
|
|
6,682 |
|
| Capella Education Co. |
|
|
200 |
|
|
|
12,630 |
|
| Career Education Corp. † |
|
|
1,100 |
|
|
|
8,206 |
|
| Carmike Cinemas, Inc. † |
|
|
200 |
|
|
|
5,972 |
|
| Carriage Services, Inc. |
|
|
352 |
|
|
|
6,420 |
|
| Children’s Place Retail Stores, Inc./The |
|
|
73 |
|
|
|
3,636 |
|
| Christopher & Banks Corp. † |
|
|
1,379 |
|
|
|
9,115 |
|
| Churchill Downs, Inc. |
|
|
75 |
|
|
|
6,847 |
|
| Chuy’s Holdings, Inc. † |
|
|
676 |
|
|
|
29,163 |
|
| Conn’s, Inc. † |
|
|
527 |
|
|
|
20,474 |
|
| Cracker Barrel Old Country Store, Inc. |
|
|
363 |
|
|
|
35,298 |
|
| Cumulus Media, Inc., Class A † |
|
|
2,624 |
|
|
|
18,132 |
|
| Deckers Outdoor Corp. † |
|
|
263 |
|
|
|
20,969 |
|
| Del Frisco’s Restaurant Group, Inc. † |
|
|
500 |
|
|
|
13,950 |
|
| Dex Media, Inc. † |
|
|
2,706 |
|
|
|
24,895 |
|
| DineEquity, Inc. |
|
|
99 |
|
|
|
7,729 |
|
| Dixie Group, Inc./The † |
|
|
902 |
|
|
|
14,811 |
|
| Domino’s Pizza, Inc. |
|
|
176 |
|
|
|
13,547 |
|
| Dorman Products, Inc. † |
|
|
316 |
|
|
|
18,663 |
|
| Drew Industries, Inc. |
|
|
234 |
|
|
|
12,683 |
|
| Education Management Corp. † |
|
|
3,356 |
|
|
|
16,344 |
|
| Entravision Communications Corp., Class A |
|
|
2,467 |
|
|
|
16,529 |
|
| EW Scripps Co., Class A † |
|
|
758 |
|
|
|
13,432 |
|
| Express, Inc. † |
|
|
300 |
|
|
|
4,764 |
|
| Federal-Mogul Corp. † |
|
|
1,063 |
|
|
|
19,889 |
|
| Fiesta Restaurant Group, Inc. † |
|
|
882 |
|
|
|
40,210 |
|
| Finish Line, Inc./The, Class A |
|
|
838 |
|
|
|
22,701 |
|
| Five Below, Inc. † |
|
|
100 |
|
|
|
4,248 |
|
| FTD Cos., Inc. † |
|
|
264 |
|
|
|
8,398 |
|
| Genesco, Inc. † |
|
|
38 |
|
|
|
2,834 |
|
| Gentherm, Inc. † |
|
|
1,057 |
|
|
|
36,699 |
|
| G-III Apparel Group Ltd. † |
|
|
439 |
|
|
|
31,424 |
|
| Grand Canyon Education, Inc. † |
|
|
938 |
|
|
|
43,805 |
|
| Gray Television, Inc. † |
|
|
2,635 |
|
|
|
27,325 |
|
| Group 1 Automotive, Inc. |
|
|
93 |
|
|
|
6,106 |
|
| Helen of Troy Ltd. † |
|
|
300 |
|
|
|
20,769 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Consumer Discretionary - 16.2% (continued) |
|
|
|
|
|
| hhgregg, Inc. † |
|
|
828 |
|
|
$
|
7,957 |
|
| Hibbett Sports, Inc. † |
|
|
72 |
|
|
|
3,807 |
|
| Hillenbrand, Inc. |
|
|
264 |
|
|
|
8,535 |
|
| Hovnanian Enterprises, Inc., Class A † |
|
|
770 |
|
|
|
3,642 |
|
| Iconix Brand Group, Inc. † |
|
|
1,030 |
|
|
|
40,448 |
|
| iRobot Corp. † |
|
|
394 |
|
|
|
16,174 |
|
| ITT Educational Services, Inc. † |
|
|
500 |
|
|
|
14,340 |
|
| Jack in the Box, Inc. † |
|
|
705 |
|
|
|
41,553 |
|
| Journal Communications, Inc., Class A † |
|
|
1,008 |
|
|
|
8,931 |
|
| Kate Spade & Co. † |
|
|
513 |
|
|
|
19,027 |
|
| KB Home |
|
|
411 |
|
|
|
6,983 |
|
| Kirkland’s, Inc. † |
|
|
900 |
|
|
|
16,641 |
|
| Krispy Kreme Doughnuts, Inc. † |
|
|
925 |
|
|
|
16,400 |
|
| La-Z-Boy, Inc. |
|
|
1,030 |
|
|
|
27,913 |
|
| Lee Enterprises, Inc. (2)† |
|
|
3,351 |
|
|
|
14,979 |
|
| LifeLock, Inc. † |
|
|
1,564 |
|
|
|
26,760 |
|
| Lions Gate Entertainment Corp. |
|
|
298 |
|
|
|
7,965 |
|
| Lithia Motors, Inc., Class A |
|
|
369 |
|
|
|
24,524 |
|
| Loral Space & Communications, Inc. † |
|
|
167 |
|
|
|
11,812 |
|
| Lumber Liquidators Holdings, Inc. † |
|
|
61 |
|
|
|
5,722 |
|
| M/I Homes, Inc. † |
|
|
386 |
|
|
|
8,654 |
|
| Marriott Vacations Worldwide Corp. † |
|
|
209 |
|
|
|
11,685 |
|
| Mattress Firm Holding Corp. † |
|
|
200 |
|
|
|
9,566 |
|
| MDC Holdings, Inc. |
|
|
97 |
|
|
|
2,743 |
|
| MDC Partners, Inc., Class A |
|
|
1,310 |
|
|
|
29,894 |
|
| Men’s Wearhouse, Inc./The |
|
|
700 |
|
|
|
34,286 |
|
| Meritage Homes Corp. † |
|
|
248 |
|
|
|
10,386 |
|
| Modine Manufacturing Co. † |
|
|
900 |
|
|
|
13,185 |
|
| Monro Muffler Brake, Inc. |
|
|
414 |
|
|
|
23,548 |
|
| Motorcar Parts of America, Inc. † |
|
|
806 |
|
|
|
21,415 |
|
| Movado Group, Inc. |
|
|
246 |
|
|
|
11,205 |
|
| Multimedia Games Holding Co., Inc. † |
|
|
490 |
|
|
|
14,230 |
|
| NACCO Industries, Inc., Class A |
|
|
143 |
|
|
|
7,752 |
|
| Nautilus, Inc. † |
|
|
1,157 |
|
|
|
11,142 |
|
| New York Times Co./The, Class A |
|
|
1,852 |
|
|
|
31,706 |
|
| Nexstar Broadcasting Group, Inc., Class A |
|
|
656 |
|
|
|
24,613 |
|
| Nutrisystem, Inc. |
|
|
1,800 |
|
|
|
27,126 |
|
| Orbitz Worldwide, Inc. † |
|
|
1,814 |
|
|
|
14,222 |
|
| Orient-Express Hotels Ltd., Class A † |
|
|
546 |
|
|
|
7,868 |
|
| Outerwall, Inc. † |
|
|
52 |
|
|
|
3,770 |
|
| Overstock.com, Inc. † |
|
|
485 |
|
|
|
9,554 |
|
| Papa John’s International, Inc. |
|
|
224 |
|
|
|
11,673 |
|
| Penske Automotive Group, Inc. |
|
|
131 |
|
|
|
5,602 |
|
| Pier 1 Imports, Inc. |
|
|
221 |
|
|
|
4,172 |
|
| Pinnacle Entertainment, Inc. † |
|
|
500 |
|
|
|
11,850 |
|
| Pool Corp. |
|
|
199 |
|
|
|
12,203 |
|
| Popeyes Louisiana Kitchen, Inc. † |
|
|
273 |
|
|
|
11,095 |
|
| Quiksilver, Inc. † |
|
|
2,126 |
|
|
|
15,966 |
|
| Red Robin Gourmet Burgers, Inc. † |
|
|
219 |
|
|
|
15,698 |
|
| Rentrak Corp. † |
|
|
300 |
|
|
|
18,084 |
|
| Restoration Hardware Holdings, Inc. † |
|
|
600 |
|
|
|
44,154 |
|
| Ruth’s Hospitality Group, Inc. |
|
|
972 |
|
|
|
11,751 |
|
| Ryland Group, Inc./The |
|
|
377 |
|
|
|
15,054 |
|
| Scientific Games Corp., Class A † |
|
|
1,955 |
|
|
|
26,842 |
|
| Shutterfly, Inc. † |
|
|
289 |
|
|
|
12,334 |
|
| Sinclair Broadcast Group, Inc., Class A |
|
|
303 |
|
|
|
8,208 |
|
| Skechers U.S.A., Inc., Class A † |
|
|
572 |
|
|
|
20,901 |
|
| Smith & Wesson Holding Corp. † |
|
|
1,136 |
|
|
|
16,608 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
53 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Consumer Discretionary - 16.2% (continued) |
|
| Sonic Automotive, Inc., Class A |
|
|
237 |
|
|
$
|
5,328 |
|
| Sonic Corp. † |
|
|
727 |
|
|
|
16,568 |
|
| Stage Stores, Inc. |
|
|
411 |
|
|
|
10,049 |
|
| Standard Motor Products, Inc. |
|
|
641 |
|
|
|
22,929 |
|
| Standard Pacific Corp. † |
|
|
722 |
|
|
|
6,000 |
|
| Stein Mart, Inc. |
|
|
647 |
|
|
|
9,064 |
|
| Steven Madden Ltd. † |
|
|
163 |
|
|
|
5,865 |
|
| Stoneridge, Inc. † |
|
|
664 |
|
|
|
7,457 |
|
| Sturm, Ruger & Co., Inc. |
|
|
220 |
|
|
|
13,156 |
|
| Tempur Sealy International, Inc. † |
|
|
200 |
|
|
|
10,134 |
|
| Texas Roadhouse, Inc. |
|
|
1,100 |
|
|
|
28,688 |
|
| Thor Industries, Inc. |
|
|
190 |
|
|
|
11,601 |
|
| Tower International, Inc. † |
|
|
953 |
|
|
|
25,941 |
|
| Tuesday Morning Corp. † |
|
|
1,155 |
|
|
|
16,343 |
|
| Universal Electronics, Inc. † |
|
|
400 |
|
|
|
15,356 |
|
| ValueVision Media, Inc., Class A † |
|
|
1,892 |
|
|
|
9,195 |
|
| VOXX International Corp. † |
|
|
901 |
|
|
|
12,326 |
|
| Winnebago Industries, Inc. † |
|
|
504 |
|
|
|
13,805 |
|
| World Wrestling Entertainment, Inc., Class A |
|
|
1,900 |
|
|
|
54,872 |
|
| You On Demand Holdings, Inc. † |
|
|
1,700 |
|
|
|
8,347 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,055,680 |
|
|
|
|
|
|
|
|
|
|
| Consumer Staples - 3.0% |
|
|
|
|
|
|
|
|
| Andersons, Inc./The |
|
|
466 |
|
|
|
27,606 |
|
| B&G Foods, Inc. |
|
|
336 |
|
|
|
10,117 |
|
| Boston Beer Co., Inc./The, Class A † |
|
|
72 |
|
|
|
17,621 |
|
| Boulder Brands, Inc. † |
|
|
962 |
|
|
|
16,950 |
|
| Calavo Growers, Inc. |
|
|
67 |
|
|
|
2,384 |
|
| Cal-Maine Foods, Inc. |
|
|
101 |
|
|
|
6,341 |
|
| Chefs’ Warehouse, Inc./The † |
|
|
600 |
|
|
|
12,840 |
|
| Chiquita Brands International, Inc. (2)† |
|
|
1,000 |
|
|
|
12,450 |
|
| Coca-Cola Bottling Co. Consolidated |
|
|
37 |
|
|
|
3,144 |
|
| Craft Brew Alliance, Inc. † |
|
|
906 |
|
|
|
13,835 |
|
| Diamond Foods, Inc. † |
|
|
500 |
|
|
|
17,465 |
|
| Elizabeth Arden, Inc. † |
|
|
131 |
|
|
|
3,866 |
|
| Fresh Del Monte Produce, Inc. |
|
|
157 |
|
|
|
4,328 |
|
| Hain Celestial Group, Inc./The † |
|
|
80 |
|
|
|
7,318 |
|
| Harbinger Group, Inc. † |
|
|
476 |
|
|
|
5,821 |
|
| J&J Snack Foods Corp. |
|
|
84 |
|
|
|
8,061 |
|
| Lancaster Colony Corp. |
|
|
40 |
|
|
|
3,977 |
|
| Liberator Medical Holdings, Inc. |
|
|
4,500 |
|
|
|
17,685 |
|
| Lifevantage Corp. † |
|
|
3,107 |
|
|
|
4,070 |
|
| Medifast, Inc. † |
|
|
203 |
|
|
|
5,905 |
|
| Natural Grocers by Vitamin Cottage, Inc. † |
|
|
519 |
|
|
|
22,660 |
|
| Omega Protein Corp. † |
|
|
797 |
|
|
|
9,620 |
|
| Revlon, Inc., Class A † |
|
|
830 |
|
|
|
21,206 |
|
| Rite Aid Corp. † |
|
|
1,984 |
|
|
|
12,440 |
|
| Sanderson Farms, Inc. |
|
|
200 |
|
|
|
15,698 |
|
| Snyder’s-Lance, Inc. |
|
|
152 |
|
|
|
4,285 |
|
| Spartan Stores, Inc. |
|
|
455 |
|
|
|
10,561 |
|
| Spectrum Brands Holdings, Inc. |
|
|
123 |
|
|
|
9,803 |
|
| SUPERVALU, Inc. † |
|
|
3,929 |
|
|
|
26,874 |
|
| Susser Holdings Corp. † |
|
|
195 |
|
|
|
12,182 |
|
| Universal Corp. |
|
|
72 |
|
|
|
4,024 |
|
| USANA Health Sciences, Inc. † |
|
|
400 |
|
|
|
30,136 |
|
| Weis Markets, Inc. |
|
|
80 |
|
|
|
3,940 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
385,213 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Energy - 5.6% |
|
|
|
|
|
|
|
|
| Abraxas Petroleum Corp. † |
|
|
4,300 |
|
|
$
|
17,028 |
|
| Alon USA Energy, Inc. |
|
|
541 |
|
|
|
8,083 |
|
| Bill Barrett Corp. † |
|
|
700 |
|
|
|
17,920 |
|
| Bonanza Creek Energy, Inc. † |
|
|
106 |
|
|
|
4,706 |
|
| Bristow Group, Inc. |
|
|
51 |
|
|
|
3,852 |
|
| Callon Petroleum Co. † |
|
|
900 |
|
|
|
7,533 |
|
| Carrizo Oil & Gas, Inc. † |
|
|
874 |
|
|
|
46,724 |
|
| Cheniere Energy, Inc. † |
|
|
188 |
|
|
|
10,406 |
|
| Clayton Williams Energy, Inc. † |
|
|
253 |
|
|
|
28,592 |
|
| Dawson Geophysical Co. |
|
|
173 |
|
|
|
4,846 |
|
| Delek US Holdings, Inc. |
|
|
184 |
|
|
|
5,343 |
|
| Diamondback Energy, Inc. † |
|
|
50 |
|
|
|
3,365 |
|
| Enbridge Energy Management LLC † |
|
|
113 |
|
|
|
3,131 |
|
| EnLink Midstream LLC |
|
|
555 |
|
|
|
18,837 |
|
| Exterran Holdings, Inc. |
|
|
523 |
|
|
|
22,949 |
|
| Frontline Ltd. (Norway) † |
|
|
2,000 |
|
|
|
7,860 |
|
| Gastar Exploration, Inc. † |
|
|
2,297 |
|
|
|
12,565 |
|
| Geospace Technologies Corp. † |
|
|
120 |
|
|
|
7,940 |
|
| Green Plains Renewable Energy, Inc. |
|
|
916 |
|
|
|
27,443 |
|
| Gulf Island Fabrication, Inc. |
|
|
61 |
|
|
|
1,318 |
|
| Knightsbridge Tankers Ltd. |
|
|
700 |
|
|
|
9,485 |
|
| Kodiak Oil & Gas Corp. † |
|
|
259 |
|
|
|
3,144 |
|
| Magnum Hunter Resources Corp. † |
|
|
2,627 |
|
|
|
22,329 |
|
| Matador Resources Co. † |
|
|
1,693 |
|
|
|
41,462 |
|
| Matrix Service Co. † |
|
|
600 |
|
|
|
20,268 |
|
| Miller Energy Resources, Inc. † |
|
|
2,141 |
|
|
|
12,589 |
|
| Natural Gas Services Group, Inc. † |
|
|
400 |
|
|
|
12,056 |
|
| Newpark Resources, Inc. † |
|
|
1,331 |
|
|
|
15,240 |
|
| Pacific Ethanol, Inc. † |
|
|
900 |
|
|
|
14,004 |
|
| Parker Drilling Co. † |
|
|
2,200 |
|
|
|
15,598 |
|
| PDC Energy, Inc. † |
|
|
72 |
|
|
|
4,483 |
|
| Penn Virginia Corp. † |
|
|
2,205 |
|
|
|
38,565 |
|
| PHI, Inc. † |
|
|
89 |
|
|
|
3,937 |
|
| Renewable Energy Group, Inc. † |
|
|
2,581 |
|
|
|
30,920 |
|
| Rentech, Inc. † |
|
|
1,324 |
|
|
|
2,516 |
|
| REX American Resources Corp. † |
|
|
300 |
|
|
|
17,115 |
|
| Rex Energy Corp. † |
|
|
968 |
|
|
|
18,111 |
|
| RigNet, Inc. † |
|
|
551 |
|
|
|
29,660 |
|
| Sanchez Energy Corp. † |
|
|
700 |
|
|
|
20,741 |
|
| SemGroup Corp., Class A |
|
|
138 |
|
|
|
9,064 |
|
| Ship Finance International Ltd. (Norway) |
|
|
197 |
|
|
|
3,540 |
|
| Stone Energy Corp. † |
|
|
734 |
|
|
|
30,806 |
|
| Synergy Resources Corp. † |
|
|
1,262 |
|
|
|
13,567 |
|
| Tesco Corp. † |
|
|
1,231 |
|
|
|
22,774 |
|
| TETRA Technologies, Inc. † |
|
|
1,000 |
|
|
|
12,800 |
|
| Triangle Petroleum Corp. † |
|
|
1,600 |
|
|
|
13,184 |
|
| Western Refining, Inc. |
|
|
170 |
|
|
|
6,562 |
|
| Willbros Group, Inc. † |
|
|
758 |
|
|
|
9,566 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
714,527 |
|
|
|
|
|
|
|
|
|
|
| Financials - 15.1% |
|
|
|
|
|
|
|
|
| Acadia Realty Trust REIT |
|
|
188 |
|
|
|
4,959 |
|
| Alexander & Baldwin, Inc. |
|
|
121 |
|
|
|
5,150 |
|
| American Equity Investment Life Holding Co. |
|
|
641 |
|
|
|
15,140 |
|
| Ameris Bancorp † |
|
|
631 |
|
|
|
14,702 |
|
| AMERISAFE, Inc. |
|
|
315 |
|
|
|
13,832 |
|
| AmTrust Financial Services, Inc. |
|
|
242 |
|
|
|
9,102 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 54 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Financials - 15.1% (continued) |
|
| Associated Estates Realty Corp. REIT |
|
|
200 |
|
|
$
|
3,388 |
|
| Bancorp, Inc. † |
|
|
800 |
|
|
|
15,048 |
|
| BancorpSouth, Inc. |
|
|
1,900 |
|
|
|
47,424 |
|
| Bank of the Ozarks, Inc. |
|
|
913 |
|
|
|
62,139 |
|
| Banner Corp. |
|
|
212 |
|
|
|
8,737 |
|
| BBCN Bancorp, Inc. |
|
|
497 |
|
|
|
8,519 |
|
| BGC Partners, Inc., Class A |
|
|
4,567 |
|
|
|
29,868 |
|
| BofI Holding, Inc. † |
|
|
288 |
|
|
|
24,696 |
|
| Boston Private Financial Holdings, Inc. |
|
|
425 |
|
|
|
5,750 |
|
| Cash America International, Inc. |
|
|
26 |
|
|
|
1,007 |
|
| Cedar Realty Trust, Inc. REIT |
|
|
989 |
|
|
|
6,043 |
|
| Chatham Lodging Trust REIT |
|
|
230 |
|
|
|
4,651 |
|
| CNO Financial Group, Inc. |
|
|
725 |
|
|
|
13,122 |
|
| Cohen & Steers, Inc. |
|
|
106 |
|
|
|
4,224 |
|
| Community Trust Bancorp, Inc. |
|
|
85 |
|
|
|
3,526 |
|
| CoreSite Realty Corp. REIT |
|
|
334 |
|
|
|
10,354 |
|
| CubeSmart REIT |
|
|
492 |
|
|
|
8,443 |
|
| CVB Financial Corp. |
|
|
1,082 |
|
|
|
17,204 |
|
| DFC Global Corp. † |
|
|
70 |
|
|
|
618 |
|
| Eagle Bancorp, Inc. † |
|
|
480 |
|
|
|
17,328 |
|
| EastGroup Properties, Inc. REIT |
|
|
4 |
|
|
|
252 |
|
| Education Realty Trust, Inc. REIT |
|
|
244 |
|
|
|
2,408 |
|
| eHealth, Inc. † |
|
|
349 |
|
|
|
17,729 |
|
| Encore Capital Group, Inc. † |
|
|
866 |
|
|
|
39,576 |
|
| Enstar Group Ltd. † |
|
|
55 |
|
|
|
7,497 |
|
| Evercore Partners, Inc., Class A |
|
|
850 |
|
|
|
46,962 |
|
| FBL Financial Group, Inc., Class A |
|
|
141 |
|
|
|
6,108 |
|
| FBR & Co. † |
|
|
566 |
|
|
|
14,620 |
|
| Federal Agricultural Mortgage Corp., Class C |
|
|
183 |
|
|
|
6,085 |
|
| FelCor Lodging Trust, Inc. REIT |
|
|
1,903 |
|
|
|
17,203 |
|
| Fidelity Southern Corp. |
|
|
456 |
|
|
|
6,370 |
|
| Fidus Investment Corp. |
|
|
866 |
|
|
|
16,722 |
|
| Financial Engines, Inc. |
|
|
138 |
|
|
|
7,008 |
|
| First Cash Financial Services, Inc. † |
|
|
128 |
|
|
|
6,459 |
|
| First Financial Bankshares, Inc. |
|
|
591 |
|
|
|
36,518 |
|
| First Industrial Realty Trust, Inc. REIT |
|
|
254 |
|
|
|
4,907 |
|
| First Interstate Bancsystem, Inc. |
|
|
3,525 |
|
|
|
99,475 |
|
| Flagstar Bancorp, Inc. † |
|
|
387 |
|
|
|
8,599 |
|
| FXCM, Inc., Class A |
|
|
1,557 |
|
|
|
22,997 |
|
| Gain Capital Holdings, Inc. |
|
|
1,783 |
|
|
|
19,274 |
|
| GAMCO Investors, Inc., Class A |
|
|
144 |
|
|
|
11,182 |
|
| Geo Group, Inc./The REIT |
|
|
357 |
|
|
|
11,510 |
|
| Glacier Bancorp, Inc. |
|
|
1,974 |
|
|
|
57,384 |
|
| Gladstone Investment Corp. |
|
|
220 |
|
|
|
1,819 |
|
| Green Dot Corp., Class A † |
|
|
1,349 |
|
|
|
26,346 |
|
| GSV Capital Corp. † |
|
|
1,136 |
|
|
|
11,519 |
|
| Hanmi Financial Corp. |
|
|
300 |
|
|
|
6,990 |
|
| Hanover Insurance Group, Inc./The |
|
|
200 |
|
|
|
12,288 |
|
| HCI Group, Inc. |
|
|
913 |
|
|
|
33,233 |
|
| HFF, Inc., Class A |
|
|
479 |
|
|
|
16,099 |
|
| Hilltop Holdings, Inc. † |
|
|
800 |
|
|
|
19,032 |
|
| Home BancShares, Inc. |
|
|
997 |
|
|
|
34,317 |
|
| HomeStreet, Inc. |
|
|
265 |
|
|
|
5,181 |
|
| Independent Bank Corp. † |
|
|
1,043 |
|
|
|
13,538 |
|
| Interactive Brokers Group, Inc., Class A |
|
|
2,000 |
|
|
|
43,340 |
|
| International Bancshares Corp. |
|
|
362 |
|
|
|
9,079 |
|
| Investment Technology Group, Inc. † |
|
|
400 |
|
|
|
8,080 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Financials - 15.1% (continued) |
|
| Investors Bancorp, Inc. |
|
|
291 |
|
|
$
|
8,043 |
|
| Kemper Corp. |
|
|
236 |
|
|
|
9,244 |
|
| LTC Properties, Inc. REIT |
|
|
138 |
|
|
|
5,193 |
|
| Maiden Holdings Ltd. |
|
|
1,054 |
|
|
|
13,154 |
|
| Main Street Capital Corp. |
|
|
317 |
|
|
|
10,417 |
|
| MarketAxess Holdings, Inc. |
|
|
670 |
|
|
|
39,677 |
|
| MB Financial, Inc. |
|
|
485 |
|
|
|
15,016 |
|
| Meadowbrook Insurance Group, Inc. |
|
|
279 |
|
|
|
1,627 |
|
| Meta Financial Group, Inc. |
|
|
318 |
|
|
|
14,262 |
|
| MGIC Investment Corp. † |
|
|
785 |
|
|
|
6,688 |
|
| National Penn Bancshares, Inc. |
|
|
380 |
|
|
|
3,971 |
|
| Nelnet, Inc., Class A |
|
|
400 |
|
|
|
16,360 |
|
| Old National Bancorp/IN |
|
|
280 |
|
|
|
4,175 |
|
| OneBeacon Insurance Group Ltd., Class A |
|
|
661 |
|
|
|
10,219 |
|
| Oritani Financial Corp. |
|
|
260 |
|
|
|
4,111 |
|
| Pacific Premier Bancorp, Inc. † |
|
|
458 |
|
|
|
7,392 |
|
| PacWest Bancorp |
|
|
1,103 |
|
|
|
47,440 |
|
| Pennsylvania Real Estate Investment Trust REIT |
|
|
303 |
|
|
|
5,469 |
|
| PHH Corp. † |
|
|
493 |
|
|
|
12,739 |
|
| Pinnacle Financial Partners, Inc. |
|
|
481 |
|
|
|
18,033 |
|
| Platinum Underwriters Holdings Ltd. |
|
|
224 |
|
|
|
13,462 |
|
| Portfolio Recovery Associates, Inc. † |
|
|
36 |
|
|
|
2,083 |
|
| Primerica, Inc. |
|
|
257 |
|
|
|
12,107 |
|
| PrivateBancorp, Inc. |
|
|
1,781 |
|
|
|
54,338 |
|
| PS Business Parks, Inc. REIT |
|
|
43 |
|
|
|
3,596 |
|
| Radian Group, Inc. |
|
|
902 |
|
|
|
13,557 |
|
| RAIT Financial Trust REIT |
|
|
853 |
|
|
|
7,242 |
|
| Ramco-Gershenson Properties Trust REIT |
|
|
567 |
|
|
|
9,242 |
|
| Regional Management Corp. † |
|
|
600 |
|
|
|
14,796 |
|
| Rockville Financial, Inc. |
|
|
141 |
|
|
|
1,916 |
|
| Sabra Health Care REIT, Inc. REIT |
|
|
393 |
|
|
|
10,961 |
|
| Selective Insurance Group, Inc. |
|
|
315 |
|
|
|
7,346 |
|
| Sovran Self Storage, Inc. REIT |
|
|
110 |
|
|
|
8,079 |
|
| STAG Industrial, Inc. REIT |
|
|
199 |
|
|
|
4,796 |
|
| StanCorp Financial Group, Inc. |
|
|
586 |
|
|
|
39,145 |
|
| Stewart Information Services Corp. |
|
|
227 |
|
|
|
7,975 |
|
| Strategic Hotels & Resorts, Inc. REIT † |
|
|
1,142 |
|
|
|
11,637 |
|
| Sunstone Hotel Investors, Inc. REIT |
|
|
238 |
|
|
|
3,268 |
|
| Susquehanna Bancshares, Inc. |
|
|
548 |
|
|
|
6,242 |
|
| Symetra Financial Corp. |
|
|
2,328 |
|
|
|
46,141 |
|
| Synovus Financial Corp. |
|
|
2,522 |
|
|
|
8,550 |
|
| Texas Capital Bancshares, Inc. † |
|
|
546 |
|
|
|
35,457 |
|
| THL Credit, Inc. |
|
|
680 |
|
|
|
9,384 |
|
| Tree.com, Inc. † |
|
|
452 |
|
|
|
14,030 |
|
| Triangle Capital Corp. |
|
|
324 |
|
|
|
8,388 |
|
| Trustmark Corp. |
|
|
208 |
|
|
|
5,273 |
|
| UMB Financial Corp. |
|
|
34 |
|
|
|
2,200 |
|
| Umpqua Holdings Corp. |
|
|
1,978 |
|
|
|
36,870 |
|
| United Bankshares, Inc. |
|
|
73 |
|
|
|
2,235 |
|
| United Community Banks, Inc. † |
|
|
1,800 |
|
|
|
34,938 |
|
| Universal Health Realty Income Trust REIT |
|
|
73 |
|
|
|
3,084 |
|
| Universal Insurance Holdings, Inc. |
|
|
1,100 |
|
|
|
13,970 |
|
| ViewPoint Financial Group, Inc. |
|
|
492 |
|
|
|
14,194 |
|
| Virtus Investment Partners, Inc. † |
|
|
149 |
|
|
|
25,802 |
|
| Webster Financial Corp. |
|
|
223 |
|
|
|
6,926 |
|
| WesBanco, Inc. |
|
|
152 |
|
|
|
4,838 |
|
| Western Alliance Bancorp † |
|
|
1,323 |
|
|
|
32,546 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
55 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Financials - 15.1% (continued) |
|
| Wilshire Bancorp, Inc. |
|
|
1,800 |
|
|
$
|
19,980 |
|
| WisdomTree Investments, Inc. † |
|
|
3,438 |
|
|
|
45,107 |
|
| World Acceptance Corp. † |
|
|
66 |
|
|
|
4,955 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,922,566 |
|
|
|
|
|
|
|
|
|
|
| Health Care - 19.1% |
|
|
|
|
|
|
|
|
| Abaxis, Inc. † |
|
|
257 |
|
|
|
9,992 |
|
| ABIOMED, Inc. † |
|
|
1,135 |
|
|
|
29,555 |
|
| Acadia Healthcare Co., Inc. † |
|
|
1,120 |
|
|
|
50,534 |
|
| ACADIA Pharmaceuticals, Inc. † |
|
|
674 |
|
|
|
16,398 |
|
| Accelerate Diagnostics, Inc. † |
|
|
1,439 |
|
|
|
31,385 |
|
| Accuray, Inc. † |
|
|
1,300 |
|
|
|
12,480 |
|
| AcelRx Pharmaceuticals, Inc. † |
|
|
1,155 |
|
|
|
13,872 |
|
| Acorda Therapeutics, Inc. † |
|
|
209 |
|
|
|
7,923 |
|
| Addus HomeCare Corp. † |
|
|
1,000 |
|
|
|
23,050 |
|
| Aegerion Pharmaceuticals, Inc. † |
|
|
573 |
|
|
|
26,427 |
|
| Affymetrix, Inc. † |
|
|
1,156 |
|
|
|
8,242 |
|
| Akorn, Inc. † |
|
|
1,366 |
|
|
|
30,052 |
|
| Albany Molecular Research, Inc. † |
|
|
622 |
|
|
|
11,563 |
|
| Align Technology, Inc. † |
|
|
105 |
|
|
|
5,438 |
|
| Alkermes PLC (Ireland) † |
|
|
155 |
|
|
|
6,834 |
|
| Alliance HealthCare Services, Inc. † |
|
|
453 |
|
|
|
15,189 |
|
| Alnylam Pharmaceuticals, Inc. † |
|
|
236 |
|
|
|
15,845 |
|
| AMN Healthcare Services, Inc. † |
|
|
743 |
|
|
|
10,209 |
|
| Ampio Pharmaceuticals, Inc. † |
|
|
2,300 |
|
|
|
14,605 |
|
| Amsurg Corp. † |
|
|
151 |
|
|
|
7,109 |
|
| Anacor Pharmaceuticals, Inc. † |
|
|
1,230 |
|
|
|
24,612 |
|
| Analogic Corp. |
|
|
62 |
|
|
|
5,091 |
|
| Anika Therapeutics, Inc. † |
|
|
394 |
|
|
|
16,193 |
|
| Antares Pharma, Inc. † |
|
|
931 |
|
|
|
3,258 |
|
| Arena Pharmaceuticals, Inc. † |
|
|
475 |
|
|
|
2,992 |
|
| ARIAD Pharmaceuticals, Inc. † |
|
|
118 |
|
|
|
951 |
|
| Array BioPharma, Inc. † |
|
|
1,518 |
|
|
|
7,135 |
|
| Arrowhead Research Corp. † |
|
|
1,292 |
|
|
|
21,215 |
|
| AtriCure, Inc. † |
|
|
800 |
|
|
|
15,048 |
|
| AVANIR Pharmaceuticals, Inc., Class A † |
|
|
2,100 |
|
|
|
7,707 |
|
| BioCryst Pharmaceuticals, Inc. † |
|
|
1,462 |
|
|
|
15,468 |
|
| BioDelivery Sciences International, Inc. † |
|
|
800 |
|
|
|
6,752 |
|
| Bio-Reference Labs, Inc. † |
|
|
414 |
|
|
|
11,460 |
|
| BioScrip, Inc. † |
|
|
757 |
|
|
|
5,284 |
|
| BioTelemetry, Inc. † |
|
|
1,700 |
|
|
|
17,153 |
|
| Cambrex Corp. † |
|
|
1,200 |
|
|
|
22,644 |
|
| Cantel Medical Corp. |
|
|
420 |
|
|
|
14,162 |
|
| Capital Senior Living Corp. † |
|
|
432 |
|
|
|
11,228 |
|
| Cardiovascular Systems, Inc. † |
|
|
380 |
|
|
|
12,080 |
|
| Catalyst Pharmaceutical Partners, Inc. † |
|
|
8,082 |
|
|
|
18,265 |
|
| Cell Therapeutics, Inc. † |
|
|
3,700 |
|
|
|
12,580 |
|
| Celldex Therapeutics, Inc. † |
|
|
444 |
|
|
|
7,845 |
|
| Celsion Corp. † |
|
|
732 |
|
|
|
2,467 |
|
| Cempra, Inc. † |
|
|
1,359 |
|
|
|
15,696 |
|
| Centene Corp. † |
|
|
61 |
|
|
|
3,797 |
|
| Cerus Corp. † |
|
|
3,201 |
|
|
|
15,365 |
|
| Chelsea Therapeutics International Ltd. † |
|
|
2,911 |
|
|
|
16,069 |
|
| Clovis Oncology, Inc. † |
|
|
766 |
|
|
|
53,061 |
|
| Corvel Corp. † |
|
|
404 |
|
|
|
20,103 |
|
| Cross Country Healthcare, Inc. † |
|
|
1,400 |
|
|
|
11,298 |
|
| CryoLife, Inc. |
|
|
700 |
|
|
|
6,972 |
|
| Curis, Inc. † |
|
|
447 |
|
|
|
1,261 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Health Care - 19.1% (continued) |
|
| Cynosure, Inc., Class A † |
|
|
245 |
|
|
$
|
7,179 |
|
| Cytokinetics, Inc. † |
|
|
1,893 |
|
|
|
17,984 |
|
| CytRx Corp. † |
|
|
3,000 |
|
|
|
10,470 |
|
| Depomed, Inc. † |
|
|
1,300 |
|
|
|
18,850 |
|
| DexCom, Inc. † |
|
|
532 |
|
|
|
22,004 |
|
| Durata Therapeutics, Inc. † |
|
|
500 |
|
|
|
6,733 |
|
| Dyax Corp. † |
|
|
3,287 |
|
|
|
29,517 |
|
| Emergent Biosolutions, Inc. † |
|
|
500 |
|
|
|
12,635 |
|
| Endocyte, Inc. † |
|
|
780 |
|
|
|
18,572 |
|
| Endologix, Inc. † |
|
|
490 |
|
|
|
6,306 |
|
| Exact Sciences Corp. † |
|
|
307 |
|
|
|
4,350 |
|
| ExamWorks Group, Inc. † |
|
|
961 |
|
|
|
33,645 |
|
| Fluidigm Corp. † |
|
|
870 |
|
|
|
38,341 |
|
| Fonar Corp. † |
|
|
853 |
|
|
|
14,996 |
|
| Furiex Pharmaceuticals, Inc. † |
|
|
416 |
|
|
|
36,192 |
|
| Galena Biopharma, Inc. † |
|
|
3,400 |
|
|
|
8,500 |
|
| GenMark Diagnostics, Inc. † |
|
|
694 |
|
|
|
6,898 |
|
| Genomic Health, Inc. † |
|
|
224 |
|
|
|
5,900 |
|
| Gentiva Health Services, Inc. † |
|
|
402 |
|
|
|
3,666 |
|
| Geron Corp. † |
|
|
3,470 |
|
|
|
7,218 |
|
| Globus Medical, Inc., Class A † |
|
|
1,400 |
|
|
|
37,226 |
|
| Halozyme Therapeutics, Inc. † |
|
|
1,655 |
|
|
|
21,019 |
|
| Hanger, Inc. † |
|
|
261 |
|
|
|
8,790 |
|
| HealthStream, Inc. † |
|
|
255 |
|
|
|
6,809 |
|
| Hyperion Therapeutics, Inc. † |
|
|
509 |
|
|
|
13,132 |
|
| ICU Medical, Inc. † |
|
|
259 |
|
|
|
15,509 |
|
| Idenix Pharmaceuticals, Inc. † |
|
|
2,400 |
|
|
|
14,472 |
|
| Idera Pharmaceuticals, Inc. † |
|
|
4,015 |
|
|
|
16,381 |
|
| ImmunoGen, Inc. † |
|
|
127 |
|
|
|
1,896 |
|
| Immunomedics, Inc. † |
|
|
1,400 |
|
|
|
5,894 |
|
| Infinity Pharmaceuticals, Inc. † |
|
|
209 |
|
|
|
2,485 |
|
| Inovio Pharmaceuticals, Inc. † |
|
|
7,900 |
|
|
|
26,307 |
|
| Insmed, Inc. † |
|
|
690 |
|
|
|
13,138 |
|
| Insulet Corp. † |
|
|
1,148 |
|
|
|
54,438 |
|
| Insys Therapeutics, Inc. † |
|
|
1,059 |
|
|
|
43,874 |
|
| Intercept Pharmaceuticals, Inc. † |
|
|
43 |
|
|
|
14,181 |
|
| InterMune, Inc. † |
|
|
226 |
|
|
|
7,564 |
|
| Isis Pharmaceuticals, Inc. † |
|
|
272 |
|
|
|
11,753 |
|
| Jazz Pharmaceuticals PLC (Ireland) † |
|
|
72 |
|
|
|
9,985 |
|
| Keryx Biopharmaceuticals, Inc. † |
|
|
1,979 |
|
|
|
33,722 |
|
| Kindred Healthcare, Inc. |
|
|
600 |
|
|
|
14,052 |
|
| KYTHERA Biopharmaceuticals, Inc. † |
|
|
700 |
|
|
|
27,832 |
|
| Lannett Co., Inc. † |
|
|
1,002 |
|
|
|
35,791 |
|
| Lexicon Pharmaceuticals, Inc. † |
|
|
4,198 |
|
|
|
7,263 |
|
| Ligand Pharmaceuticals, Inc. † |
|
|
377 |
|
|
|
25,357 |
|
| Luminex Corp. † |
|
|
195 |
|
|
|
3,531 |
|
| Magellan Health Services, Inc. † |
|
|
46 |
|
|
|
2,730 |
|
| MannKind Corp. † |
|
|
7,053 |
|
|
|
28,353 |
|
| MedAssets, Inc. † |
|
|
339 |
|
|
|
8,377 |
|
| Medidata Solutions, Inc. † |
|
|
298 |
|
|
|
16,193 |
|
| Merge Healthcare, Inc. † |
|
|
546 |
|
|
|
1,332 |
|
| Merit Medical Systems, Inc. † |
|
|
161 |
|
|
|
2,302 |
|
| MiMedx Group, Inc. † |
|
|
2,091 |
|
|
|
12,818 |
|
| MWI Veterinary Supply, Inc. † |
|
|
155 |
|
|
|
24,121 |
|
| Nanosphere, Inc. † |
|
|
1,970 |
|
|
|
4,236 |
|
| Natus Medical, Inc. † |
|
|
1,100 |
|
|
|
28,380 |
|
| Nektar Therapeutics † |
|
|
500 |
|
|
|
6,060 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 56 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Health Care - 19.1% (continued) |
|
| Neuralstem, Inc. † |
|
|
4,100 |
|
|
$
|
17,179 |
|
| Neurocrine Biosciences, Inc. † |
|
|
500 |
|
|
|
8,050 |
|
| NewLink Genetics Corp. † |
|
|
909 |
|
|
|
25,816 |
|
| Northwest Biotherapeutics, Inc. † |
|
|
1,300 |
|
|
|
9,412 |
|
| Novavax, Inc. † |
|
|
5,605 |
|
|
|
25,391 |
|
| NPS Pharmaceuticals, Inc. † |
|
|
229 |
|
|
|
6,854 |
|
| NuVasive, Inc. † |
|
|
499 |
|
|
|
19,167 |
|
| Omeros Corp. † |
|
|
1,600 |
|
|
|
19,312 |
|
| Omnicell, Inc. † |
|
|
488 |
|
|
|
13,967 |
|
| OPKO Health, Inc. † |
|
|
744 |
|
|
|
6,934 |
|
| Orexigen Therapeutics, Inc. † |
|
|
1,467 |
|
|
|
9,536 |
|
| Organovo Holdings, Inc. † |
|
|
2,400 |
|
|
|
18,336 |
|
| Osiris Therapeutics, Inc. † |
|
|
672 |
|
|
|
8,823 |
|
| Pacific Biosciences of California, Inc. † |
|
|
3,294 |
|
|
|
17,623 |
|
| Pacira Pharmaceuticals, Inc. † |
|
|
401 |
|
|
|
28,066 |
|
| PAREXEL International Corp. † |
|
|
228 |
|
|
|
12,333 |
|
| Peregrine Pharmaceuticals, Inc. † |
|
|
9,591 |
|
|
|
18,223 |
|
| Pharmacyclics, Inc. † |
|
|
104 |
|
|
|
10,423 |
|
| PharMerica Corp. † |
|
|
400 |
|
|
|
11,192 |
|
| Pozen, Inc. † |
|
|
1,300 |
|
|
|
10,400 |
|
| Prestige Brands Holdings, Inc. † |
|
|
333 |
|
|
|
9,074 |
|
| Progenics Pharmaceuticals, Inc. † |
|
|
3,200 |
|
|
|
13,088 |
|
| Providence Service Corp./The † |
|
|
400 |
|
|
|
11,312 |
|
| Puma Biotechnology, Inc. † |
|
|
189 |
|
|
|
19,682 |
|
| Questcor Pharmaceuticals, Inc. |
|
|
77 |
|
|
|
5,000 |
|
| Quidel Corp. † |
|
|
203 |
|
|
|
5,542 |
|
| Raptor Pharmaceutical Corp. † |
|
|
1,791 |
|
|
|
17,910 |
|
| Regulus Therapeutics, Inc. † |
|
|
800 |
|
|
|
7,216 |
|
| Repligen Corp. † |
|
|
1,200 |
|
|
|
15,432 |
|
| Repros Therapeutics, Inc. † |
|
|
959 |
|
|
|
17,013 |
|
| Rexahn Pharmaceuticals, Inc. † |
|
|
12,100 |
|
|
|
13,068 |
|
| Rockwell Medical, Inc. † |
|
|
924 |
|
|
|
11,698 |
|
| RTI Surgical, Inc. † |
|
|
1,546 |
|
|
|
6,308 |
|
| Sangamo BioSciences, Inc. † |
|
|
1,442 |
|
|
|
26,071 |
|
| Spectranetics Corp. † |
|
|
556 |
|
|
|
16,852 |
|
| Spectrum Pharmaceuticals, Inc. † |
|
|
151 |
|
|
|
1,184 |
|
| Staar Surgical Co. † |
|
|
1,349 |
|
|
|
25,361 |
|
| Stemline Therapeutics, Inc. † |
|
|
300 |
|
|
|
6,108 |
|
| Stereotaxis, Inc. † |
|
|
2,200 |
|
|
|
9,350 |
|
| Sunesis Pharmaceuticals, Inc. † |
|
|
1,476 |
|
|
|
9,756 |
|
| Supernus Pharmaceuticals, Inc. † |
|
|
800 |
|
|
|
7,152 |
|
| Synageva BioPharma Corp. † |
|
|
300 |
|
|
|
24,891 |
|
| Synergy Pharmaceuticals, Inc. † |
|
|
711 |
|
|
|
3,775 |
|
| TearLab Corp. † |
|
|
1,163 |
|
|
|
7,862 |
|
| TESARO, Inc. † |
|
|
756 |
|
|
|
22,287 |
|
| TherapeuticsMD, Inc. † |
|
|
3,000 |
|
|
|
18,930 |
|
| Threshold Pharmaceuticals, Inc. † |
|
|
1,495 |
|
|
|
7,116 |
|
| Unilife Corp. † |
|
|
4,300 |
|
|
|
17,501 |
|
| Universal American Corp. |
|
|
417 |
|
|
|
2,948 |
|
| Vanda Pharmaceuticals, Inc. † |
|
|
1,413 |
|
|
|
22,961 |
|
| Vivus, Inc. † |
|
|
199 |
|
|
|
1,182 |
|
| Wright Medical Group, Inc. † |
|
|
352 |
|
|
|
10,937 |
|
| XenoPort, Inc. † |
|
|
1,277 |
|
|
|
6,602 |
|
| XOMA Corp. † |
|
|
1,344 |
|
|
|
7,002 |
|
| Zeltiq Aesthetics, Inc. † |
|
|
1,631 |
|
|
|
31,984 |
|
| Zogenix, Inc. † |
|
|
5,400 |
|
|
|
15,363 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,421,728 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Industrials - 15.0% |
|
|
|
|
|
|
|
|
| AAR Corp. |
|
|
688 |
|
|
$
|
17,854 |
|
| Aceto Corp. |
|
|
1,044 |
|
|
|
20,974 |
|
| Adept Technology, Inc. † |
|
|
1,183 |
|
|
|
22,477 |
|
| Advisory Board Co./The † |
|
|
101 |
|
|
|
6,489 |
|
| Aerovironment, Inc. † |
|
|
800 |
|
|
|
32,200 |
|
| Air Transport Services Group, Inc. † |
|
|
1,277 |
|
|
|
10,024 |
|
| Aircastle Ltd. |
|
|
713 |
|
|
|
13,818 |
|
| Albany International Corp., Class A |
|
|
329 |
|
|
|
11,693 |
|
| Allegiant Travel Co. |
|
|
229 |
|
|
|
25,632 |
|
| AMERCO |
|
|
85 |
|
|
|
19,730 |
|
| American Railcar Industries, Inc. |
|
|
113 |
|
|
|
7,913 |
|
| American Woodmark Corp. † |
|
|
270 |
|
|
|
9,088 |
|
| Apogee Enterprises, Inc. |
|
|
271 |
|
|
|
9,005 |
|
| Applied Industrial Technologies, Inc. |
|
|
164 |
|
|
|
7,911 |
|
| ARC Document Solutions, Inc. † |
|
|
1,784 |
|
|
|
13,273 |
|
| Argan, Inc. |
|
|
430 |
|
|
|
12,784 |
|
| Arkansas Best Corp. |
|
|
599 |
|
|
|
22,133 |
|
| Astec Industries, Inc. |
|
|
103 |
|
|
|
4,523 |
|
| Astronics Corp. † |
|
|
515 |
|
|
|
32,656 |
|
| Avis Budget Group, Inc. † |
|
|
469 |
|
|
|
22,840 |
|
| AZZ, Inc. |
|
|
116 |
|
|
|
5,183 |
|
| Baltic Trading Ltd. |
|
|
2,800 |
|
|
|
17,668 |
|
| Barnes Group, Inc. |
|
|
224 |
|
|
|
8,617 |
|
| Barrett Business Services, Inc. |
|
|
211 |
|
|
|
12,569 |
|
| Beacon Roofing Supply, Inc. † |
|
|
267 |
|
|
|
10,322 |
|
| Brink’s Co./The |
|
|
68 |
|
|
|
1,941 |
|
| Broadwind Energy, Inc. † |
|
|
1,211 |
|
|
|
14,798 |
|
| Builders FirstSource, Inc. † |
|
|
1,259 |
|
|
|
11,470 |
|
| Capstone Turbine Corp. † |
|
|
7,793 |
|
|
|
16,599 |
|
| Chart Industries, Inc. † |
|
|
43 |
|
|
|
3,421 |
|
| CIRCOR International, Inc. |
|
|
191 |
|
|
|
14,006 |
|
| Colfax Corp. † |
|
|
113 |
|
|
|
8,060 |
|
| Corporate Executive Board Co./The |
|
|
589 |
|
|
|
43,721 |
|
| Curtiss-Wright Corp. |
|
|
182 |
|
|
|
11,564 |
|
| Deluxe Corp. |
|
|
667 |
|
|
|
34,998 |
|
| DigitalGlobe, Inc. † |
|
|
275 |
|
|
|
7,978 |
|
| Douglas Dynamics, Inc. |
|
|
179 |
|
|
|
3,118 |
|
| Ducommun, Inc. † |
|
|
394 |
|
|
|
9,874 |
|
| DXP Enterprises, Inc. † |
|
|
198 |
|
|
|
18,796 |
|
| Echo Global Logistics, Inc. † |
|
|
134 |
|
|
|
2,455 |
|
| Energy Recovery, Inc. † |
|
|
1,600 |
|
|
|
8,512 |
|
| EnerNOC, Inc. † |
|
|
398 |
|
|
|
8,867 |
|
| EnerSys, Inc. |
|
|
213 |
|
|
|
14,759 |
|
| Engility Holdings, Inc. † |
|
|
1,265 |
|
|
|
56,988 |
|
| Enphase Energy, Inc. † |
|
|
1,764 |
|
|
|
12,983 |
|
| Erickson Air-Crane, Inc. † |
|
|
537 |
|
|
|
10,369 |
|
| ExOne Co./The † |
|
|
400 |
|
|
|
14,332 |
|
| Federal Signal Corp. † |
|
|
900 |
|
|
|
13,410 |
|
| Forward Air Corp. |
|
|
130 |
|
|
|
5,994 |
|
| Franklin Electric Co., Inc. |
|
|
202 |
|
|
|
8,589 |
|
| FTI Consulting, Inc. † |
|
|
53 |
|
|
|
1,767 |
|
| FuelCell Energy, Inc. † |
|
|
7,700 |
|
|
|
19,096 |
|
| G&K Services, Inc., Class A |
|
|
300 |
|
|
|
18,351 |
|
| GATX Corp. |
|
|
58 |
|
|
|
3,937 |
|
| GenCorp, Inc. † |
|
|
588 |
|
|
|
10,743 |
|
| Generac Holdings, Inc. |
|
|
97 |
|
|
|
5,720 |
|
| Gibraltar Industries, Inc. † |
|
|
498 |
|
|
|
9,397 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
57 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Industrials - 15.0% (continued) |
|
| GP Strategies Corp. † |
|
|
152 |
|
|
$
|
4,139 |
|
| Greenbrier Cos., Inc./The † |
|
|
500 |
|
|
|
22,800 |
|
| H&E Equipment Services, Inc. † |
|
|
589 |
|
|
|
23,825 |
|
| Healthcare Services Group, Inc. |
|
|
518 |
|
|
|
15,053 |
|
| Heartland Express, Inc. |
|
|
700 |
|
|
|
15,883 |
|
| Huron Consulting Group, Inc. † |
|
|
102 |
|
|
|
6,465 |
|
| Hyster-Yale Materials Handling, Inc. |
|
|
631 |
|
|
|
61,523 |
|
| InnerWorkings, Inc. † |
|
|
264 |
|
|
|
2,022 |
|
| John Bean Technologies Corp. |
|
|
200 |
|
|
|
6,180 |
|
| Kaman Corp. |
|
|
93 |
|
|
|
3,783 |
|
| KEYW Holding Corp./The † |
|
|
419 |
|
|
|
7,840 |
|
| Kforce, Inc. |
|
|
539 |
|
|
|
11,492 |
|
| Kimball International, Inc., Class B |
|
|
371 |
|
|
|
6,719 |
|
| Korn/Ferry International † |
|
|
520 |
|
|
|
15,480 |
|
| Kratos Defense & Security Solutions, Inc. † |
|
|
900 |
|
|
|
6,786 |
|
| Lydall, Inc. † |
|
|
499 |
|
|
|
11,412 |
|
| Macquarie Infrastructure Co. LLC |
|
|
173 |
|
|
|
9,908 |
|
| Manitex International, Inc. † |
|
|
1,095 |
|
|
|
17,849 |
|
| Manitowoc Co., Inc./The |
|
|
444 |
|
|
|
13,964 |
|
| MasTec, Inc. † |
|
|
395 |
|
|
|
17,159 |
|
| McGrath RentCorp. |
|
|
83 |
|
|
|
2,902 |
|
| Meritor, Inc. † |
|
|
2,600 |
|
|
|
31,850 |
|
| Middleby Corp./The † |
|
|
56 |
|
|
|
14,796 |
|
| Mobile Mini, Inc. |
|
|
427 |
|
|
|
18,515 |
|
| Moog, Inc., Class A † |
|
|
68 |
|
|
|
4,455 |
|
| MSA Safety, Inc. |
|
|
161 |
|
|
|
9,177 |
|
| Mueller Industries, Inc. |
|
|
332 |
|
|
|
9,957 |
|
| Mueller Water Products, Inc., Class A |
|
|
2,456 |
|
|
|
23,332 |
|
| Multi-Color Corp. |
|
|
244 |
|
|
|
8,540 |
|
| Navigant Consulting, Inc. † |
|
|
656 |
|
|
|
12,241 |
|
| NN, Inc. |
|
|
627 |
|
|
|
12,352 |
|
| Nortek, Inc. † |
|
|
91 |
|
|
|
7,481 |
|
| On Assignment, Inc. † |
|
|
426 |
|
|
|
16,439 |
|
| Orbital Sciences Corp. † |
|
|
669 |
|
|
|
18,665 |
|
| Park-Ohio Holdings Corp. † |
|
|
224 |
|
|
|
12,578 |
|
| Patrick Industries, Inc. † |
|
|
922 |
|
|
|
40,872 |
|
| Pendrell Corp. † |
|
|
2,856 |
|
|
|
5,227 |
|
| PGT, Inc. † |
|
|
1,816 |
|
|
|
20,902 |
|
| Plug Power, Inc. † |
|
|
5,500 |
|
|
|
39,050 |
|
| PowerSecure International, Inc. † |
|
|
946 |
|
|
|
22,174 |
|
| Primoris Services Corp. |
|
|
239 |
|
|
|
7,165 |
|
| Proto Labs, Inc. † |
|
|
568 |
|
|
|
38,437 |
|
| Quad/Graphics, Inc. |
|
|
287 |
|
|
|
6,730 |
|
| Quality Distribution, Inc. † |
|
|
885 |
|
|
|
11,496 |
|
| RBC Bearings, Inc. † |
|
|
66 |
|
|
|
4,204 |
|
| Real Goods Solar, Inc., Class A † |
|
|
3,706 |
|
|
|
15,083 |
|
| Republic Airways Holdings, Inc. † |
|
|
642 |
|
|
|
5,868 |
|
| Revolution Lighting Technologies, Inc. † |
|
|
6,644 |
|
|
|
20,929 |
|
| RPX Corp. † |
|
|
2,218 |
|
|
|
36,109 |
|
| Saia, Inc. † |
|
|
643 |
|
|
|
24,569 |
|
| Simpson Manufacturing Co., Inc. |
|
|
89 |
|
|
|
3,144 |
|
| Sparton Corp. † |
|
|
366 |
|
|
|
10,716 |
|
| Spirit Airlines, Inc. † |
|
|
221 |
|
|
|
13,127 |
|
| Standex International Corp. |
|
|
60 |
|
|
|
3,215 |
|
| Steelcase, Inc., Class A |
|
|
547 |
|
|
|
9,086 |
|
| Taser International, Inc. † |
|
|
964 |
|
|
|
17,632 |
|
| Team, Inc. † |
|
|
99 |
|
|
|
4,243 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Industrials - 15.0% (continued) |
|
| Tennant Co. |
|
|
197 |
|
|
$
|
12,927 |
|
| Textainer Group Holdings Ltd. |
|
|
231 |
|
|
|
8,840 |
|
| Thermon Group Holdings, Inc. † |
|
|
117 |
|
|
|
2,712 |
|
| Titan International, Inc. |
|
|
137 |
|
|
|
2,602 |
|
| Trex Co., Inc. † |
|
|
201 |
|
|
|
14,705 |
|
| TriMas Corp. † |
|
|
313 |
|
|
|
10,392 |
|
| TrueBlue, Inc. † |
|
|
500 |
|
|
|
14,630 |
|
| UniFirst Corp. |
|
|
100 |
|
|
|
10,994 |
|
| United Rentals, Inc. † |
|
|
89 |
|
|
|
8,450 |
|
| United Stationers, Inc. |
|
|
120 |
|
|
|
4,928 |
|
| US Ecology, Inc. |
|
|
349 |
|
|
|
12,955 |
|
| USG Corp. † |
|
|
223 |
|
|
|
7,297 |
|
| Wabash National Corp. † |
|
|
826 |
|
|
|
11,366 |
|
| WageWorks, Inc. † |
|
|
1,051 |
|
|
|
58,972 |
|
| Werner Enterprises, Inc. |
|
|
267 |
|
|
|
6,811 |
|
| Wesco Aircraft Holdings, Inc. † |
|
|
1,339 |
|
|
|
29,471 |
|
| XPO Logistics, Inc. † |
|
|
1,026 |
|
|
|
30,175 |
|
| YRC Worldwide, Inc. † |
|
|
600 |
|
|
|
13,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,909,256 |
|
|
|
|
|
|
|
|
|
|
| Information Technology - 19.8% |
|
|
|
|
|
|
|
|
| 3D Systems Corp. † |
|
|
133 |
|
|
|
7,867 |
|
| ACI Worldwide, Inc. † |
|
|
147 |
|
|
|
8,701 |
|
| Actuate Corp. † |
|
|
330 |
|
|
|
1,987 |
|
| Acxiom Corp. † |
|
|
1,053 |
|
|
|
36,218 |
|
| Advanced Energy Industries, Inc. † |
|
|
716 |
|
|
|
17,542 |
|
| Advent Software, Inc. |
|
|
602 |
|
|
|
17,675 |
|
| Alliance Fiber Optic Products, Inc. |
|
|
1,541 |
|
|
|
22,298 |
|
| Ambarella, Inc. † |
|
|
1,122 |
|
|
|
29,969 |
|
| ARRIS Group, Inc. † |
|
|
436 |
|
|
|
12,286 |
|
| Aspen Technology, Inc. † |
|
|
281 |
|
|
|
11,903 |
|
| Autobytel, Inc. † |
|
|
1,376 |
|
|
|
17,104 |
|
| Axcelis Technologies, Inc. † |
|
|
7,009 |
|
|
|
15,069 |
|
| Bankrate, Inc. † |
|
|
1,001 |
|
|
|
16,957 |
|
| Blucora, Inc. † |
|
|
397 |
|
|
|
7,817 |
|
| Brightcove, Inc. † |
|
|
600 |
|
|
|
5,898 |
|
| Brooks Automation, Inc. |
|
|
216 |
|
|
|
2,361 |
|
| CalAmp Corp. † |
|
|
1,096 |
|
|
|
30,546 |
|
| Callidus Software, Inc. † |
|
|
2,014 |
|
|
|
25,215 |
|
| Carbonite, Inc. † |
|
|
500 |
|
|
|
5,095 |
|
| Cardtronics, Inc. † |
|
|
738 |
|
|
|
28,671 |
|
| Cass Information Systems, Inc. |
|
|
159 |
|
|
|
8,198 |
|
| Checkpoint Systems, Inc. † |
|
|
800 |
|
|
|
10,736 |
|
| Ciena Corp. † |
|
|
1,465 |
|
|
|
33,314 |
|
| Cirrus Logic, Inc. † |
|
|
157 |
|
|
|
3,120 |
|
| Clearfield, Inc. † |
|
|
1,161 |
|
|
|
26,808 |
|
| Cognex Corp. † |
|
|
218 |
|
|
|
7,381 |
|
| Coherent, Inc. † |
|
|
68 |
|
|
|
4,444 |
|
| CommVault Systems, Inc. † |
|
|
72 |
|
|
|
4,676 |
|
| comScore, Inc. † |
|
|
500 |
|
|
|
16,395 |
|
| Comtech Telecommunications Corp. |
|
|
107 |
|
|
|
3,409 |
|
| Constant Contact, Inc. † |
|
|
446 |
|
|
|
10,909 |
|
| Conversant, Inc. † |
|
|
344 |
|
|
|
9,684 |
|
| Cornerstone OnDemand, Inc. † |
|
|
216 |
|
|
|
10,340 |
|
| CoStar Group, Inc. † |
|
|
108 |
|
|
|
20,168 |
|
| Cray, Inc. † |
|
|
1,006 |
|
|
|
37,544 |
|
| CTS Corp. |
|
|
722 |
|
|
|
15,075 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 58 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Information Technology - 19.8% (continued) |
|
| Datalink Corp. † |
|
|
600 |
|
|
$
|
8,358 |
|
| Datawatch Corp. † |
|
|
810 |
|
|
|
21,967 |
|
| Dealertrack Technologies, Inc. † |
|
|
771 |
|
|
|
37,925 |
|
| Demandware, Inc. † |
|
|
826 |
|
|
|
52,914 |
|
| Diodes, Inc. † |
|
|
696 |
|
|
|
18,180 |
|
| Dot Hill Systems Corp. † |
|
|
3,200 |
|
|
|
12,384 |
|
| E2open, Inc. † |
|
|
400 |
|
|
|
9,428 |
|
| eGain Corp. † |
|
|
1,377 |
|
|
|
9,722 |
|
| Electronics For Imaging, Inc. † |
|
|
583 |
|
|
|
25,250 |
|
| Ellie Mae, Inc. † |
|
|
597 |
|
|
|
17,217 |
|
| Entegris, Inc. † |
|
|
550 |
|
|
|
6,661 |
|
| Envestnet, Inc. † |
|
|
992 |
|
|
|
39,859 |
|
| EPAM Systems, Inc. † |
|
|
1,134 |
|
|
|
37,309 |
|
| ePlus, Inc. † |
|
|
90 |
|
|
|
5,018 |
|
| Euronet Worldwide, Inc. † |
|
|
1,140 |
|
|
|
47,413 |
|
| Exar Corp. † |
|
|
1,200 |
|
|
|
14,340 |
|
| ExlService Holdings, Inc. † |
|
|
162 |
|
|
|
5,007 |
|
| Extreme Networks, Inc. † |
|
|
4,089 |
|
|
|
23,716 |
|
| Fabrinet (Cayman Islands) † |
|
|
400 |
|
|
|
8,308 |
|
| Fair Isaac Corp. |
|
|
165 |
|
|
|
9,128 |
|
| FARO Technologies, Inc. † |
|
|
279 |
|
|
|
14,787 |
|
| FEI Co. |
|
|
87 |
|
|
|
8,963 |
|
| Finisar Corp. † |
|
|
1,724 |
|
|
|
45,703 |
|
| Global Cash Access Holdings, Inc. † |
|
|
470 |
|
|
|
3,224 |
|
| Global Eagle Entertainment, Inc. † |
|
|
1,600 |
|
|
|
25,248 |
|
| Glu Mobile, Inc. † |
|
|
5,554 |
|
|
|
26,326 |
|
| GT Advanced Technologies, Inc. † |
|
|
3,376 |
|
|
|
57,561 |
|
| Heartland Payment Systems, Inc. |
|
|
574 |
|
|
|
23,792 |
|
| iGATE Corp. † |
|
|
695 |
|
|
|
21,920 |
|
| Immersion Corp. † |
|
|
870 |
|
|
|
9,179 |
|
| Imperva, Inc. † |
|
|
193 |
|
|
|
10,750 |
|
| Infinera Corp. † |
|
|
1,581 |
|
|
|
14,355 |
|
| Infoblox, Inc. † |
|
|
714 |
|
|
|
14,323 |
|
| Information Services Group, Inc. † |
|
|
2,600 |
|
|
|
12,766 |
|
| Insight Enterprises, Inc. † |
|
|
194 |
|
|
|
4,871 |
|
| Integrated Device Technology, Inc. † |
|
|
1,700 |
|
|
|
20,791 |
|
| Integrated Silicon Solution, Inc. † |
|
|
174 |
|
|
|
2,706 |
|
| Interactive Intelligence Group, Inc. † |
|
|
216 |
|
|
|
15,660 |
|
| Intralinks Holdings, Inc. † |
|
|
1,561 |
|
|
|
15,969 |
|
| InvenSense, Inc. † |
|
|
954 |
|
|
|
22,581 |
|
| Ixia † |
|
|
225 |
|
|
|
2,813 |
|
| j2 Global, Inc. |
|
|
549 |
|
|
|
27,477 |
|
| Kulicke & Soffa Industries, Inc. (Singapore) † |
|
|
235 |
|
|
|
2,963 |
|
| Lexmark International, Inc., Class A |
|
|
200 |
|
|
|
9,258 |
|
| Lionbridge Technologies, Inc. † |
|
|
1,400 |
|
|
|
9,394 |
|
| Liquidity Services, Inc. † |
|
|
81 |
|
|
|
2,110 |
|
| LiveDeal, Inc. † |
|
|
1,500 |
|
|
|
10,260 |
|
| LivePerson, Inc. † |
|
|
246 |
|
|
|
2,969 |
|
| LogMeIn, Inc. † |
|
|
700 |
|
|
|
31,423 |
|
| Manhattan Associates, Inc. † |
|
|
652 |
|
|
|
22,840 |
|
| Marchex, Inc., Class B |
|
|
1,747 |
|
|
|
18,361 |
|
| Mattson Technology, Inc. † |
|
|
5,468 |
|
|
|
12,686 |
|
| MAXIMUS, Inc. |
|
|
274 |
|
|
|
12,292 |
|
| Maxwell Technologies, Inc. † |
|
|
900 |
|
|
|
11,628 |
|
| Measurement Specialties, Inc. † |
|
|
278 |
|
|
|
18,862 |
|
| Mentor Graphics Corp. |
|
|
559 |
|
|
|
12,309 |
|
| Methode Electronics, Inc. |
|
|
1,112 |
|
|
|
34,094 |
|
| MicroStrategy, Inc., Class A † |
|
|
10 |
|
|
|
1,154 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Information Technology - 19.8% (continued) |
|
| Mitek Systems, Inc. † |
|
|
3,003 |
|
|
$
|
11,622 |
|
| MKS Instruments, Inc. |
|
|
143 |
|
|
|
4,274 |
|
| Monolithic Power Systems, Inc. † |
|
|
543 |
|
|
|
21,052 |
|
| Monotype Imaging Holdings, Inc. |
|
|
488 |
|
|
|
14,708 |
|
| Move, Inc. (2)† |
|
|
700 |
|
|
|
8,092 |
|
| MTS Systems Corp. |
|
|
53 |
|
|
|
3,630 |
|
| Nanometrics, Inc. † |
|
|
125 |
|
|
|
2,246 |
|
| Netscout Systems, Inc. † |
|
|
276 |
|
|
|
10,372 |
|
| NIC, Inc. |
|
|
574 |
|
|
|
11,084 |
|
| OpenTable, Inc. † |
|
|
200 |
|
|
|
15,386 |
|
| OSI Systems, Inc. † |
|
|
155 |
|
|
|
9,278 |
|
| Parkervision, Inc. † |
|
|
2,090 |
|
|
|
10,032 |
|
| PDF Solutions, Inc. † |
|
|
400 |
|
|
|
7,268 |
|
| Pegasystems, Inc. |
|
|
431 |
|
|
|
15,223 |
|
| Perficient, Inc. † |
|
|
546 |
|
|
|
9,894 |
|
| Photronics, Inc. † |
|
|
1,352 |
|
|
|
11,533 |
|
| Pixelworks, Inc. † |
|
|
1,500 |
|
|
|
8,310 |
|
| Plexus Corp. † |
|
|
200 |
|
|
|
8,014 |
|
| Power Integrations, Inc. |
|
|
424 |
|
|
|
27,891 |
|
| Proofpoint, Inc. † |
|
|
1,406 |
|
|
|
52,134 |
|
| Qualys, Inc. † |
|
|
1,103 |
|
|
|
28,049 |
|
| QuickLogic Corp. † |
|
|
3,000 |
|
|
|
15,630 |
|
| Rambus, Inc. † |
|
|
1,805 |
|
|
|
19,404 |
|
| RF Industries Ltd. |
|
|
1,006 |
|
|
|
6,559 |
|
| Rogers Corp. † |
|
|
60 |
|
|
|
3,745 |
|
| Rubicon Technology, Inc. † |
|
|
900 |
|
|
|
10,161 |
|
| Sanmina Corp. † |
|
|
991 |
|
|
|
17,293 |
|
| Sapient Corp. † |
|
|
796 |
|
|
|
13,580 |
|
| ScanSource, Inc. † |
|
|
78 |
|
|
|
3,180 |
|
| SciQuest, Inc. † |
|
|
682 |
|
|
|
18,424 |
|
| Semtech Corp. † |
|
|
117 |
|
|
|
2,965 |
|
| ServiceSource International, Inc. † |
|
|
892 |
|
|
|
7,528 |
|
| ShoreTel, Inc. † |
|
|
1,600 |
|
|
|
13,760 |
|
| Shutterstock, Inc. † |
|
|
741 |
|
|
|
53,804 |
|
| Silicon Graphics International Corp. † |
|
|
1,344 |
|
|
|
16,504 |
|
| Sonus Networks, Inc. † |
|
|
4,001 |
|
|
|
13,483 |
|
| SPS Commerce, Inc. † |
|
|
677 |
|
|
|
41,602 |
|
| SS&C Technologies Holdings, Inc. † |
|
|
177 |
|
|
|
7,084 |
|
| Stamps.com, Inc. † |
|
|
380 |
|
|
|
12,753 |
|
| Stratasys Ltd. † |
|
|
59 |
|
|
|
6,259 |
|
| SunEdison, Inc. † |
|
|
809 |
|
|
|
15,242 |
|
| SunPower Corp. † |
|
|
486 |
|
|
|
15,678 |
|
| Super Micro Computer, Inc. † |
|
|
770 |
|
|
|
13,375 |
|
| Synaptics, Inc. † |
|
|
743 |
|
|
|
44,595 |
|
| Synchronoss Technologies, Inc. † |
|
|
477 |
|
|
|
16,356 |
|
| SYNNEX Corp. † |
|
|
700 |
|
|
|
42,427 |
|
| Take-Two Interactive Software, Inc. † |
|
|
633 |
|
|
|
13,882 |
|
| Tangoe, Inc. † |
|
|
500 |
|
|
|
9,295 |
|
| TiVo, Inc. † |
|
|
368 |
|
|
|
4,869 |
|
| Trulia, Inc. † |
|
|
268 |
|
|
|
8,898 |
|
| Tyler Technologies, Inc. † |
|
|
137 |
|
|
|
11,464 |
|
| Ultimate Software Group, Inc./The † |
|
|
83 |
|
|
|
11,371 |
|
| Ultra Clean Holdings, Inc. † |
|
|
1,500 |
|
|
|
19,725 |
|
| Ultratech, Inc. † |
|
|
112 |
|
|
|
3,269 |
|
| Uni-Pixel, Inc. † |
|
|
229 |
|
|
|
1,754 |
|
| Unisys Corp. † |
|
|
500 |
|
|
|
15,230 |
|
| United Online, Inc. |
|
|
856 |
|
|
|
9,895 |
|
| VirnetX Holding Corp. † |
|
|
80 |
|
|
|
1,134 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
59 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Information Technology - 19.8% (continued) |
|
| Virtusa Corp. † |
|
|
479 |
|
|
$
|
16,051 |
|
| Vishay Intertechnology, Inc. |
|
|
607 |
|
|
|
9,032 |
|
| Web.com Group, Inc. † |
|
|
741 |
|
|
|
25,216 |
|
| WebMD Health Corp. † |
|
|
774 |
|
|
|
32,044 |
|
| Westell Technologies, Inc., Class A † |
|
|
2,169 |
|
|
|
8,004 |
|
| Yelp, Inc. † |
|
|
71 |
|
|
|
5,462 |
|
| Zhone Technologies, Inc. † |
|
|
3,600 |
|
|
|
15,192 |
|
| Zillow, Inc., Class A † |
|
|
133 |
|
|
|
11,717 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,522,839 |
|
|
|
|
|
|
|
|
|
|
| Materials - 3.3% |
|
|
|
|
|
|
|
|
| Advanced Emissions Solutions, Inc. † |
|
|
950 |
|
|
|
23,313 |
|
| AEP Industries, Inc. † |
|
|
90 |
|
|
|
3,339 |
|
| AK Steel Holding Corp. † |
|
|
3,500 |
|
|
|
25,270 |
|
| American Vanguard Corp. |
|
|
323 |
|
|
|
6,993 |
|
| Balchem Corp. |
|
|
182 |
|
|
|
9,486 |
|
| Calgon Carbon Corp. † |
|
|
582 |
|
|
|
12,705 |
|
| Century Aluminum Co. † |
|
|
800 |
|
|
|
10,568 |
|
| Deltic Timber Corp. |
|
|
41 |
|
|
|
2,674 |
|
| Eagle Materials, Inc. |
|
|
154 |
|
|
|
13,654 |
|
| Ferro Corp. † |
|
|
2,400 |
|
|
|
32,784 |
|
| Flotek Industries, Inc. † |
|
|
1,574 |
|
|
|
43,836 |
|
| FutureFuel Corp. |
|
|
387 |
|
|
|
7,856 |
|
| Graphic Packaging Holding Co. † |
|
|
551 |
|
|
|
5,598 |
|
| H.B. Fuller Co. |
|
|
215 |
|
|
|
10,380 |
|
| Haynes International, Inc. |
|
|
62 |
|
|
|
3,348 |
|
| Headwaters, Inc. † |
|
|
1,216 |
|
|
|
16,063 |
|
| Horsehead Holding Corp. † |
|
|
500 |
|
|
|
8,410 |
|
| Innophos Holdings, Inc. |
|
|
147 |
|
|
|
8,335 |
|
| Innospec, Inc. |
|
|
119 |
|
|
|
5,382 |
|
| KapStone Paper and Packaging Corp. † |
|
|
726 |
|
|
|
20,938 |
|
| Louisiana-Pacific Corp. † |
|
|
209 |
|
|
|
3,526 |
|
| LSB Industries, Inc. † |
|
|
79 |
|
|
|
2,956 |
|
| Olin Corp. |
|
|
256 |
|
|
|
7,068 |
|
| OM Group, Inc. |
|
|
200 |
|
|
|
6,644 |
|
| PH Glatfelter Co. |
|
|
228 |
|
|
|
6,206 |
|
| PolyOne Corp. |
|
|
556 |
|
|
|
20,383 |
|
| RTI International Metals, Inc. † |
|
|
181 |
|
|
|
5,028 |
|
| Senomyx, Inc. † |
|
|
1,300 |
|
|
|
13,871 |
|
| Tredegar Corp. |
|
|
403 |
|
|
|
9,273 |
|
| US Concrete, Inc. † |
|
|
1,011 |
|
|
|
23,759 |
|
| US Silica Holdings, Inc. |
|
|
1,144 |
|
|
|
43,667 |
|
| Worthington Industries, Inc. |
|
|
286 |
|
|
|
10,940 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
424,253 |
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services - 0.9% |
|
|
|
|
|
|
|
|
| 8x8, Inc. † |
|
|
1,152 |
|
|
|
12,453 |
|
| Atlantic Tele-Network, Inc. |
|
|
181 |
|
|
|
11,932 |
|
| Cincinnati Bell, Inc. (2)† |
|
|
883 |
|
|
|
3,055 |
|
| Cogent Communications Group, Inc. |
|
|
519 |
|
|
|
18,440 |
|
| Consolidated Communications Holdings, Inc. |
|
|
147 |
|
|
|
2,942 |
|
| IDT Corp., Class B |
|
|
555 |
|
|
|
9,246 |
|
| Inteliquent, Inc. |
|
|
1,436 |
|
|
|
20,865 |
|
| Lumos Networks Corp. |
|
|
1,293 |
|
|
|
17,287 |
|
| Premiere Global Services, Inc. † |
|
|
278 |
|
|
|
3,353 |
|
| Vonage Holdings Corp. † |
|
|
2,700 |
|
|
|
11,529 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
111,102 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE (Note 2) |
|
| Utilities - 0.3% |
|
|
|
|
|
|
|
|
| ALLETE, Inc. |
|
|
35 |
|
|
$
|
1,835 |
|
| Black Hills Corp. |
|
|
78 |
|
|
|
4,497 |
|
| Chesapeake Utilities Corp. |
|
|
72 |
|
|
|
4,547 |
|
| El Paso Electric Co. |
|
|
44 |
|
|
|
1,572 |
|
| MGE Energy, Inc. |
|
|
117 |
|
|
|
4,590 |
|
| Otter Tail Corp. |
|
|
366 |
|
|
|
11,269 |
|
| South Jersey Industries, Inc. |
|
|
37 |
|
|
|
2,075 |
|
| Unitil Corp. |
|
|
94 |
|
|
|
3,087 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,472 |
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCKS
(cost $10,488,792) |
|
|
|
|
|
|
12,500,636 |
|
|
|
|
|
|
|
|
|
|
|
|
| EXCHANGE-TRADED FUNDS - 1.2% |
|
|
|
|
|
| iShares Russell 2000 Index Fund
(cost $151,616) |
|
|
1,389 |
|
|
|
161,596 |
|
|
|
|
|
|
|
|
|
|
|
|
| MONEY MARKET FUNDS - 0.4% |
|
|
|
|
|
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares,
0.000% (2)(a)
(cost $45,476) |
|
|
45,476 |
|
|
|
45,476 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS - 99.9%
(cost $10,685,884) |
|
|
|
|
|
|
12,707,708 |
|
|
|
|
|
|
|
|
|
|
| OTHER ASSETS IN EXCESS OF LIABILITIES - 0.1% |
|
|
|
|
|
|
11,645 |
|
|
|
|
|
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
|
|
|
$ |
12,719,353 |
|
|
|
|
|
|
|
|
|
|
All securities are United States companies, unless noted otherwise in parentheses.
| † |
Non income-producing security. |
| (a) |
Represents annualized seven-day yield as of March 31, 2014. |
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. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 60 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCKS - 96.8% |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Australia - 4.4% |
|
|
|
|
|
|
|
|
| ALS Ltd. |
|
|
295 |
|
|
$ |
2,014 |
|
| Amcor Ltd. |
|
|
28,362 |
|
|
|
274,033 |
|
| Australia & New Zealand Banking Group Ltd. |
|
|
1,377 |
|
|
|
42,361 |
|
| Brambles Ltd. |
|
|
11,872 |
|
|
|
102,147 |
|
| Coca-Cola Amatil Ltd. |
|
|
386 |
|
|
|
3,956 |
|
| Commonwealth Bank of Australia |
|
|
815 |
|
|
|
58,671 |
|
| Crown Resorts Ltd. |
|
|
11,649 |
|
|
|
180,165 |
|
| CSL Ltd. |
|
|
8,556 |
|
|
|
552,646 |
|
| Federation Centres Ltd. REIT |
|
|
6,256 |
|
|
|
13,713 |
|
| GPT Group REIT |
|
|
1,253 |
|
|
|
4,259 |
|
| Insurance Australia Group Ltd. |
|
|
28,183 |
|
|
|
145,764 |
|
| National Australia Bank Ltd. |
|
|
11,223 |
|
|
|
370,024 |
|
| Orica Ltd. |
|
|
113 |
|
|
|
2,299 |
|
| Orora Ltd. |
|
|
28,362 |
|
|
|
36,156 |
|
| Ramsay Health Care Ltd. |
|
|
11,496 |
|
|
|
513,689 |
|
| Recall Holdings Ltd. † |
|
|
2,374 |
|
|
|
10,236 |
|
| Santos Ltd. |
|
|
278 |
|
|
|
3,485 |
|
| Suncorp Group Ltd. |
|
|
11,005 |
|
|
|
131,701 |
|
| Telstra Corp. Ltd. |
|
|
16,142 |
|
|
|
76,117 |
|
| Wesfarmers Ltd. |
|
|
1,157 |
|
|
|
44,331 |
|
| Westpac Banking Corp. |
|
|
3,086 |
|
|
|
99,223 |
|
| Woolworths Ltd. |
|
|
1,566 |
|
|
|
51,932 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,718,922 |
|
|
|
|
|
|
|
|
|
|
| Austria - 0.1% |
|
|
|
|
|
|
|
|
| Andritz AG |
|
|
416 |
|
|
|
25,722 |
|
| Erste Group Bank AG |
|
|
785 |
|
|
|
26,854 |
|
| Raiffeisen Bank International AG |
|
|
448 |
|
|
|
14,950 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
67,526 |
|
|
|
|
|
|
|
|
|
|
| Belgium - 1.0% |
|
|
|
|
|
|
|
|
| Ageas |
|
|
900 |
|
|
|
40,131 |
|
| Anheuser-Busch InBev NV |
|
|
318 |
|
|
|
33,490 |
|
| Belgacom SA |
|
|
94 |
|
|
|
2,945 |
|
| Delhaize Group SA |
|
|
1,994 |
|
|
|
145,826 |
|
| KBC Groep NV |
|
|
6,428 |
|
|
|
395,875 |
|
| UCB SA |
|
|
98 |
|
|
|
7,862 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
626,129 |
|
|
|
|
|
|
|
|
|
|
| Canada - 12.3% |
|
|
|
|
|
|
|
|
| Alimentation Couche Tard, Inc., Class B (1) |
|
|
4,241 |
|
|
|
343,001 |
|
| AltaGas Ltd. (1) |
|
|
100 |
|
|
|
4,098 |
|
| Bank of Montreal (1) |
|
|
100 |
|
|
|
6,690 |
|
| BCE, Inc. (1) |
|
|
136 |
|
|
|
5,858 |
|
| Boardwalk Real Estate Investment Trust REIT (1) |
|
|
100 |
|
|
|
5,485 |
|
| Brookfield Asset Management, Inc., Class A (1) |
|
|
509 |
|
|
|
20,733 |
|
| Calloway Real Estate Investment Trust REIT (1) |
|
|
100 |
|
|
|
2,330 |
|
| Canadian Pacific Railway Ltd. (1) |
|
|
4,366 |
|
|
|
654,209 |
|
| Canadian Tire Corp. Ltd., Class A (1) |
|
|
2,137 |
|
|
|
201,483 |
|
| CGI Group, Inc., Class A (1) † |
|
|
7,810 |
|
|
|
241,117 |
|
| CI Financial Corp. (1) |
|
|
20,147 |
|
|
|
635,483 |
|
| Constellation Software, Inc. (1) |
|
|
1,783 |
|
|
|
432,242 |
|
| Dollarama, Inc. (1) |
|
|
2,822 |
|
|
|
214,988 |
|
| Empire Co., Ltd., Class A (1) |
|
|
100 |
|
|
|
6,121 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Canada - 12.3% (continued) |
|
|
|
|
|
|
|
|
| Enerplus Corp. (1) |
|
|
5,420 |
|
|
$ |
108,351 |
|
| Ensign Energy Services, Inc. (1) |
|
|
100 |
|
|
|
1,478 |
|
| Fortis, Inc. (1) |
|
|
100 |
|
|
|
2,851 |
|
| Genworth MI Canada, Inc. (1) |
|
|
1,147 |
|
|
|
39,136 |
|
| Gildan Activewear, Inc. (1) |
|
|
7,387 |
|
|
|
372,257 |
|
| IGM Financial, Inc. (1) |
|
|
100 |
|
|
|
4,716 |
|
| Industrial Alliance Insurance & Financial Services, Inc. (1) |
|
|
4,487 |
|
|
|
184,513 |
|
| Intact Financial Corp. (1) |
|
|
100 |
|
|
|
6,223 |
|
| Jean Coutu Group PJC, Inc./The, Class A (1) |
|
|
2,000 |
|
|
|
39,530 |
|
| Loblaw Cos., Ltd. (1) |
|
|
12,778 |
|
|
|
542,097 |
|
| MacDonald Dettwiler & Associates Ltd. (1) |
|
|
463 |
|
|
|
36,571 |
|
| Magna International, Inc. (1) |
|
|
9,139 |
|
|
|
878,601 |
|
| Manulife Financial Corp. (1) |
|
|
18,852 |
|
|
|
363,568 |
|
| Metro, Inc. (1) |
|
|
100 |
|
|
|
5,871 |
|
| National Bank of Canada (1) |
|
|
200 |
|
|
|
8,015 |
|
| Onex Corp. (1) |
|
|
100 |
|
|
|
5,552 |
|
| Open Text Corp. (1) |
|
|
5,160 |
|
|
|
246,541 |
|
| Paramount Resources Ltd., Class A (1) † |
|
|
100 |
|
|
|
4,314 |
|
| Pembina Pipeline Corp. (1) |
|
|
4,500 |
|
|
|
170,882 |
|
| Peyto Exploration & Development Corp. (1) |
|
|
1,500 |
|
|
|
51,180 |
|
| RioCan Real Estate Investment Trust REIT (1) |
|
|
242 |
|
|
|
5,829 |
|
| Rogers Communications, Inc., Class B (1) |
|
|
3,763 |
|
|
|
155,932 |
|
| Royal Bank of Canada (1) |
|
|
79 |
|
|
|
5,209 |
|
| Shaw Communications, Inc., Class B (1) |
|
|
100 |
|
|
|
2,388 |
|
| Sun Life Financial, Inc. (1) |
|
|
16,330 |
|
|
|
565,457 |
|
| Tim Hortons, Inc. (1) |
|
|
100 |
|
|
|
5,531 |
|
| Tourmaline Oil Corp. (1) † |
|
|
5,818 |
|
|
|
275,033 |
|
| TransAlta Corp. (1) |
|
|
100 |
|
|
|
1,162 |
|
| Trilogy Energy Corp. (1) |
|
|
100 |
|
|
|
2,452 |
|
| Valeant Pharmaceuticals International Inc. (1) † |
|
|
5,994 |
|
|
|
788,573 |
|
| Vermilion Energy, Inc. (1) |
|
|
100 |
|
|
|
6,246 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,659,897 |
|
|
|
|
|
|
|
|
|
|
| China - 0.1% |
|
|
|
|
|
|
|
|
| FIH Mobile Ltd. † |
|
|
62,000 |
|
|
|
34,260 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Denmark - 3.0% |
|
|
|
|
|
|
|
|
| AP Moeller-Maersk A/S, Class B |
|
|
25 |
|
|
|
299,219 |
|
| Coloplast A/S, Class B |
|
|
8,614 |
|
|
|
696,452 |
|
| Danske Bank A/S |
|
|
6,449 |
|
|
|
179,442 |
|
| Novo Nordisk A/S, Class B |
|
|
1,030 |
|
|
|
46,898 |
|
| Novozymes A/S, B Shares |
|
|
153 |
|
|
|
6,726 |
|
| Pandora A/S |
|
|
2,756 |
|
|
|
181,891 |
|
| Tryg A/S |
|
|
2,393 |
|
|
|
236,709 |
|
| Vestas Wind Systems A/S † |
|
|
5,815 |
|
|
|
233,147 |
|
| William Demant Holding A/S † |
|
|
39 |
|
|
|
3,333 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,883,817 |
|
|
|
|
|
|
|
|
|
|
| Finland - 1.5% |
|
|
|
|
|
|
|
|
| Kone OYJ, Class B |
|
|
610 |
|
|
|
25,613 |
|
| Metso OYJ |
|
|
434 |
|
|
|
14,211 |
|
| Nokia OYJ † |
|
|
56,268 |
|
|
|
413,987 |
|
| Sampo, A Shares |
|
|
8,956 |
|
|
|
464,903 |
|
| Valmet Corp. |
|
|
434 |
|
|
|
4,655 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
923,369 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
61 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| France - 3.0% |
|
|
|
|
|
|
|
|
| Air Liquide SA |
|
|
161 |
|
|
$ |
21,803 |
|
| Airbus Group NV |
|
|
4,372 |
|
|
|
313,127 |
|
| Alcatel-Lucent † |
|
|
16,043 |
|
|
|
63,181 |
|
| AXA SA |
|
|
1,176 |
|
|
|
30,551 |
|
| BNP Paribas SA |
|
|
957 |
|
|
|
73,784 |
|
| Danone SA |
|
|
363 |
|
|
|
25,645 |
|
| Dassault Systemes |
|
|
53 |
|
|
|
6,202 |
|
| Edenred |
|
|
323 |
|
|
|
10,132 |
|
| Electricite de France |
|
|
6,733 |
|
|
|
266,227 |
|
| Essilor International SA |
|
|
243 |
|
|
|
24,523 |
|
| Eutelsat Communications SA |
|
|
106 |
|
|
|
3,597 |
|
| Hermes International |
|
|
35 |
|
|
|
11,641 |
|
| Iliad SA |
|
|
2,127 |
|
|
|
613,777 |
|
| L’Oreal SA |
|
|
257 |
|
|
|
42,400 |
|
| LVMH Moet Hennessy Louis Vuitton SA |
|
|
196 |
|
|
|
35,518 |
|
| Pernod Ricard SA |
|
|
92 |
|
|
|
10,706 |
|
| Sanofi |
|
|
811 |
|
|
|
84,749 |
|
| Societe Generale SA |
|
|
493 |
|
|
|
30,347 |
|
| Sodexo |
|
|
65 |
|
|
|
6,813 |
|
| Technip SA |
|
|
46 |
|
|
|
4,742 |
|
| Unibail-Rodamco SE REIT |
|
|
698 |
|
|
|
181,151 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,860,616 |
|
|
|
|
|
|
|
|
|
|
| Germany - 11.5% |
|
|
|
|
|
|
|
|
| Adidas AG |
|
|
160 |
|
|
|
17,301 |
|
| BASF SE |
|
|
106 |
|
|
|
11,795 |
|
| Bayer AG |
|
|
11,822 |
|
|
|
1,600,980 |
|
| Beiersdorf AG |
|
|
64 |
|
|
|
6,242 |
|
| Commerzbank AG † |
|
|
11,797 |
|
|
|
216,995 |
|
| Continental AG |
|
|
2,022 |
|
|
|
484,911 |
|
| Daimler AG |
|
|
18,810 |
|
|
|
1,779,406 |
|
| Deutsche Bank AG |
|
|
67 |
|
|
|
3,003 |
|
| Deutsche Lufthansa AG † |
|
|
5,142 |
|
|
|
134,821 |
|
| Deutsche Post AG |
|
|
38,113 |
|
|
|
1,416,945 |
|
| Deutsche Telekom AG |
|
|
62,055 |
|
|
|
1,006,878 |
|
| Fresenius Medical Care AG & Co. KGaA |
|
|
109 |
|
|
|
7,626 |
|
| Fresenius SE & Co. KGaA |
|
|
61 |
|
|
|
9,575 |
|
| Hannover Rueck SE |
|
|
53 |
|
|
|
4,741 |
|
| Merck KGaA |
|
|
699 |
|
|
|
117,716 |
|
| Metro AG |
|
|
3,474 |
|
|
|
141,709 |
|
| Muenchener Rueckversicherungs AG |
|
|
264 |
|
|
|
57,688 |
|
| ProSiebenSat.1 Media AG |
|
|
1,943 |
|
|
|
89,124 |
|
| RWE AG |
|
|
83 |
|
|
|
3,368 |
|
| SAP AG |
|
|
171 |
|
|
|
13,871 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,124,695 |
|
|
|
|
|
|
|
|
|
|
| Hong Kong - 2.7% |
|
|
|
|
|
|
|
|
| AIA Group Ltd. |
|
|
3,800 |
|
|
|
18,073 |
|
| BOC Hong Kong Holdings Ltd. |
|
|
10,500 |
|
|
|
29,982 |
|
| Cheung Kong Infrastructure Holdings Ltd. |
|
|
1,000 |
|
|
|
6,395 |
|
| CLP Holdings Ltd. |
|
|
1,000 |
|
|
|
7,547 |
|
| First Pacific Co., Ltd. |
|
|
12,000 |
|
|
|
11,961 |
|
| Galaxy Entertainment Group Ltd. † |
|
|
46,000 |
|
|
|
401,495 |
|
| Giordano International Ltd. |
|
|
2,000 |
|
|
|
1,291 |
|
| Hang Seng Bank Ltd. |
|
|
1,200 |
|
|
|
19,144 |
|
| Henderson Land Development Co., Ltd. |
|
|
3,300 |
|
|
|
19,311 |
|
| Hong Kong & China Gas Co., Ltd. |
|
|
2,420 |
|
|
|
5,287 |
|
| Link REIT/The REIT |
|
|
3,500 |
|
|
|
17,259 |
|
| Luk Fook Holdings International Ltd. |
|
|
1,000 |
|
|
|
3,161 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Hong Kong - 2.7% (continued) |
|
|
|
|
|
|
|
|
| Melco International Development Ltd. |
|
|
38,000 |
|
|
$ |
127,762 |
|
| MGM China Holdings Ltd. |
|
|
57,600 |
|
|
|
203,503 |
|
| New World Development Co., Ltd. |
|
|
9,000 |
|
|
|
9,079 |
|
| Power Assets Holdings Ltd. |
|
|
1,000 |
|
|
|
8,680 |
|
| Samsonite International SA |
|
|
29,100 |
|
|
|
90,158 |
|
| Sands China Ltd. |
|
|
66,800 |
|
|
|
500,996 |
|
| SmarTone Telecommunications Holdings Ltd. |
|
|
1,500 |
|
|
|
1,673 |
|
| Wharf Holdings Ltd. |
|
|
18,000 |
|
|
|
115,446 |
|
| Wheelock & Co., Ltd. |
|
|
3,000 |
|
|
|
11,758 |
|
| Wynn Macau Ltd. |
|
|
24,400 |
|
|
|
101,557 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,711,518 |
|
|
|
|
|
|
|
|
|
|
| Israel - 0.6% |
|
|
|
|
|
|
|
|
| Bezeq The Israeli Telecommunication Corp. Ltd. |
|
|
54,255 |
|
|
|
96,715 |
|
| Frutarom Industries Ltd. |
|
|
1,197 |
|
|
|
28,766 |
|
| Israel Discount Bank Ltd., Class A † |
|
|
22,619 |
|
|
|
41,517 |
|
| Osem Investments Ltd. |
|
|
3,378 |
|
|
|
79,382 |
|
| Shikun & Binui Ltd. |
|
|
27,611 |
|
|
|
67,970 |
|
| Strauss Group Ltd. |
|
|
3,882 |
|
|
|
70,222 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
384,572 |
|
|
|
|
|
|
|
|
|
|
| Italy - 2.1% |
|
|
|
|
|
|
|
|
| Davide Campari-Milano SpA |
|
|
430 |
|
|
|
3,523 |
|
| Intesa Sanpaolo SpA |
|
|
169,665 |
|
|
|
575,707 |
|
| Luxottica Group SpA |
|
|
512 |
|
|
|
29,584 |
|
| Saipem SpA |
|
|
71 |
|
|
|
1,734 |
|
| Tenaris SA |
|
|
152 |
|
|
|
3,359 |
|
| UniCredit SpA |
|
|
75,260 |
|
|
|
687,954 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,301,861 |
|
|
|
|
|
|
|
|
|
|
| Japan - 31.6% |
|
|
|
|
|
|
|
|
| Acom Co., Ltd. † |
|
|
91,000 |
|
|
|
290,759 |
|
| Aiful Corp. † |
|
|
97,500 |
|
|
|
297,767 |
|
| Alps Electric Co., Ltd. |
|
|
8,700 |
|
|
|
103,556 |
|
| Bank of Yokohama Ltd./The |
|
|
12,000 |
|
|
|
59,858 |
|
| Bridgestone Corp. |
|
|
2,800 |
|
|
|
99,234 |
|
| COLOPL, Inc. † |
|
|
5,400 |
|
|
|
142,665 |
|
| Credit Saison Co., Ltd. |
|
|
2,900 |
|
|
|
57,673 |
|
| CyberAgent, Inc. |
|
|
1,100 |
|
|
|
42,108 |
|
| Dai-ichi Life Insurance Co., Ltd./The |
|
|
17,600 |
|
|
|
256,028 |
|
| Daikin Industries Ltd. |
|
|
4,500 |
|
|
|
252,358 |
|
| Daiwa Securities Group, Inc. |
|
|
39,000 |
|
|
|
338,842 |
|
| Denso Corp. |
|
|
4,200 |
|
|
|
201,417 |
|
| Fast Retailing Co., Ltd. |
|
|
500 |
|
|
|
180,845 |
|
| Fuji Heavy Industries Ltd. |
|
|
9,100 |
|
|
|
246,427 |
|
| FUJIFILM Holdings Corp. |
|
|
5,600 |
|
|
|
150,315 |
|
| GungHo Online Entertainment, Inc. |
|
|
22,100 |
|
|
|
120,135 |
|
| Haseko Corp. |
|
|
16,900 |
|
|
|
105,685 |
|
| Hino Motors Ltd. |
|
|
11,000 |
|
|
|
162,912 |
|
| Hiroshima Bank Ltd./The |
|
|
6,000 |
|
|
|
25,051 |
|
| Hitachi Ltd. |
|
|
62,000 |
|
|
|
458,928 |
|
| Hitachi Transport System Ltd. |
|
|
200 |
|
|
|
3,253 |
|
| Hokuhoku Financial Group, Inc. |
|
|
64,000 |
|
|
|
122,713 |
|
| Honda Motor Co., Ltd. |
|
|
9,800 |
|
|
|
344,829 |
|
| House Foods Corp. |
|
|
100 |
|
|
|
1,660 |
|
| Hoya Corp. |
|
|
4,900 |
|
|
|
153,277 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 62 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Japan - 31.6% (continued) |
|
|
|
|
|
|
|
|
| Hulic Co., Ltd. |
|
|
18,700 |
|
|
$ |
256,693 |
|
| Ichigo Group Holdings Co., Ltd. |
|
|
34,000 |
|
|
|
119,710 |
|
| Isuzu Motors Ltd. |
|
|
28,000 |
|
|
|
160,769 |
|
| Jafco Co., Ltd. |
|
|
3,600 |
|
|
|
161,290 |
|
| Japan Exchange Group, Inc. |
|
|
11,700 |
|
|
|
285,992 |
|
| JGC Corp. |
|
|
4,000 |
|
|
|
138,958 |
|
| JTEKT Corp. |
|
|
11,400 |
|
|
|
169,232 |
|
| Kansai Electric Power Co., Inc./The † |
|
|
16,200 |
|
|
|
166,057 |
|
| Kawasaki Heavy Industries Ltd. |
|
|
38,000 |
|
|
|
140,000 |
|
| KDDI Corp. |
|
|
9,700 |
|
|
|
563,231 |
|
| Keyence Corp. |
|
|
600 |
|
|
|
247,180 |
|
| Komeri Co., Ltd. |
|
|
100 |
|
|
|
2,728 |
|
| Kubota Corp. |
|
|
13,000 |
|
|
|
172,777 |
|
| LIXIL Group Corp. |
|
|
5,600 |
|
|
|
154,530 |
|
| Matsui Securities Co., Ltd. |
|
|
41,200 |
|
|
|
418,336 |
|
| Mazda Motor Corp. |
|
|
67,000 |
|
|
|
297,655 |
|
| Minebea Co., Ltd. |
|
|
8,000 |
|
|
|
71,234 |
|
| Mitsubishi Electric Corp. |
|
|
31,000 |
|
|
|
348,961 |
|
| Mitsubishi Estate Co., Ltd. |
|
|
17,000 |
|
|
|
403,676 |
|
| Mitsubishi Motors Corp. |
|
|
11,400 |
|
|
|
119,060 |
|
| Mitsubishi UFJ Financial Group, Inc. |
|
|
76,500 |
|
|
|
421,269 |
|
| Mitsui Fudosan Co., Ltd. |
|
|
10,000 |
|
|
|
305,082 |
|
| Murata Manufacturing Co., Ltd. |
|
|
2,000 |
|
|
|
189,042 |
|
| NGK Insulators Ltd. |
|
|
7,000 |
|
|
|
146,032 |
|
| Nidec Corp. |
|
|
2,600 |
|
|
|
159,426 |
|
| Nintendo Co., Ltd. |
|
|
1,500 |
|
|
|
179,310 |
|
| Nippon Telegraph & Telephone Corp. |
|
|
5,500 |
|
|
|
298,879 |
|
| Nitto Denko Corp. |
|
|
3,000 |
|
|
|
143,862 |
|
| Nomura Holdings, Inc. |
|
|
17,300 |
|
|
|
110,977 |
|
| NSK Ltd. |
|
|
5,000 |
|
|
|
51,287 |
|
| NTN Corp. |
|
|
37,000 |
|
|
|
125,209 |
|
| Okasan Securities Group, Inc. |
|
|
31,000 |
|
|
|
261,178 |
|
| Olympus Corp. † |
|
|
5,500 |
|
|
|
175,619 |
|
| Omron Corp. |
|
|
3,900 |
|
|
|
161,369 |
|
| Ono Pharmaceutical Co., Ltd. |
|
|
2,200 |
|
|
|
191,250 |
|
| Orient Corp. † |
|
|
42,300 |
|
|
|
85,111 |
|
| ORIX Corp. |
|
|
33,400 |
|
|
|
470,739 |
|
| Panasonic Corp. |
|
|
44,000 |
|
|
|
500,416 |
|
| Rakuten, Inc. |
|
|
9,000 |
|
|
|
120,219 |
|
| Renesas Electronics Corp. † |
|
|
17,900 |
|
|
|
136,652 |
|
| Seiko Epson Corp. |
|
|
11,100 |
|
|
|
346,839 |
|
| Seino Holdings Co., Ltd. |
|
|
6,000 |
|
|
|
57,245 |
|
| Seven & I Holdings Co., Ltd. |
|
|
4,100 |
|
|
|
156,228 |
|
| Sharp Corp. † |
|
|
37,000 |
|
|
|
112,680 |
|
| Shikoku Electric Power Co., Inc. † |
|
|
2,700 |
|
|
|
36,609 |
|
| Shinsei Bank Ltd. |
|
|
116,000 |
|
|
|
227,735 |
|
| SMC Corp. |
|
|
700 |
|
|
|
184,613 |
|
| SoftBank Corp. |
|
|
15,600 |
|
|
|
1,178,865 |
|
| Square Enix Holdings Co., Ltd. |
|
|
8,900 |
|
|
|
183,181 |
|
| Start Today Co., Ltd. |
|
|
1,500 |
|
|
|
38,373 |
|
| Sumitomo Mitsui Financial Group, Inc. |
|
|
11,900 |
|
|
|
510,081 |
|
| Sumitomo Mitsui Trust Holdings, Inc. |
|
|
8,000 |
|
|
|
36,196 |
|
| Sumitomo Realty & Development Co., Ltd. |
|
|
3,000 |
|
|
|
117,416 |
|
| Suruga Bank Ltd. |
|
|
11,000 |
|
|
|
193,771 |
|
| Tohoku Electric Power Co., Inc. |
|
|
13,100 |
|
|
|
134,719 |
|
| Tokai Tokyo Financial Holdings, Inc. |
|
|
28,700 |
|
|
|
240,697 |
|
| Tokyo Electric Power Co., Inc. † |
|
|
91,100 |
|
|
|
366,532 |
|
| Tokyo Tatemono Co., Ltd. |
|
|
28,000 |
|
|
|
239,914 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Japan - 31.6% (continued) |
|
|
|
|
|
|
|
|
| Toyo Seikan Group Holdings Ltd. |
|
|
3,000 |
|
|
$ |
48,686 |
|
| Toyota Motor Corp. |
|
|
37,200 |
|
|
|
2,097,851 |
|
| Yahoo Japan Corp. |
|
|
45,600 |
|
|
|
223,392 |
|
| Yamada Denki Co., Ltd. |
|
|
400 |
|
|
|
1,333 |
|
| Yaskawa Electric Corp. |
|
|
3,000 |
|
|
|
41,447 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,623,695 |
|
|
|
|
|
|
|
|
|
|
| Netherlands - 2.1% |
|
|
|
|
|
|
|
|
| Aegon NV |
|
|
39,458 |
|
|
|
363,452 |
|
| Akzo Nobel NV |
|
|
301 |
|
|
|
24,550 |
|
| ASML Holding NV |
|
|
3,908 |
|
|
|
363,770 |
|
| CNH Industrial NV † |
|
|
878 |
|
|
|
10,105 |
|
| Heineken NV |
|
|
422 |
|
|
|
29,366 |
|
| Koninklijke Ahold NV |
|
|
607 |
|
|
|
12,199 |
|
| Koninklijke Philips NV |
|
|
1,024 |
|
|
|
36,023 |
|
| Reed Elsevier NV |
|
|
22,655 |
|
|
|
490,176 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,329,641 |
|
|
|
|
|
|
|
|
|
|
| Norway - 0.0% (a) |
|
|
|
|
|
|
|
|
| Golar LNG Ltd. |
|
|
70 |
|
|
|
3,073 |
|
| Seadrill Ltd. |
|
|
77 |
|
|
|
2,711 |
|
| Telenor ASA |
|
|
565 |
|
|
|
12,505 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
18,289 |
|
|
|
|
|
|
|
|
|
|
| Portugal - 0.0% (a) |
|
|
|
|
|
|
|
|
| Galp Energia SGPS SA |
|
|
140 |
|
|
|
2,417 |
|
| Jeronimo Martins SGPS SA |
|
|
313 |
|
|
|
5,252 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,669 |
|
|
|
|
|
|
|
|
|
|
| Singapore - 0.6% |
|
|
|
|
|
|
|
|
| Blumont Group Ltd. † |
|
|
23,000 |
|
|
|
1,100 |
|
| CapitaLand Ltd. |
|
|
9,000 |
|
|
|
20,729 |
|
| CapitaMalls Asia Ltd. |
|
|
8,000 |
|
|
|
11,405 |
|
| DBS Group Holdings Ltd. |
|
|
2,000 |
|
|
|
25,768 |
|
| Jardine Matheson Holdings Ltd. |
|
|
400 |
|
|
|
25,266 |
|
| Jardine Strategic Holdings Ltd. |
|
|
500 |
|
|
|
17,952 |
|
| Keppel Corp. Ltd. |
|
|
3,000 |
|
|
|
26,027 |
|
| Keppel REIT |
|
|
840 |
|
|
|
763 |
|
| Mapletree Commercial Trust REIT |
|
|
20,000 |
|
|
|
19,442 |
|
| Singapore Telecommunications Ltd. |
|
|
10,000 |
|
|
|
29,067 |
|
| Super Group Ltd. |
|
|
51,000 |
|
|
|
141,338 |
|
| Thai Beverage PCL |
|
|
59,000 |
|
|
|
28,442 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
347,299 |
|
|
|
|
|
|
|
|
|
|
| Spain - 8.0% |
|
|
|
|
|
|
|
|
| Abertis Infraestructuras SA |
|
|
21,456 |
|
|
|
490,379 |
|
| Amadeus IT Holding SA, A Shares |
|
|
24,720 |
|
|
|
1,027,243 |
|
| Banco Bilbao Vizcaya Argentaria SA |
|
|
59,725 |
|
|
|
718,146 |
|
| Banco de Sabadell SA |
|
|
30,592 |
|
|
|
94,578 |
|
| Banco Popular Espanol SA |
|
|
21,403 |
|
|
|
161,839 |
|
| Banco Santander SA |
|
|
87,754 |
|
|
|
837,714 |
|
| CaixaBank SA |
|
|
28,041 |
|
|
|
180,501 |
|
| Ferrovial SA |
|
|
30,158 |
|
|
|
653,758 |
|
| Gas Natural SDG SA |
|
|
19,415 |
|
|
|
546,211 |
|
| Inditex SA |
|
|
505 |
|
|
|
75,765 |
|
| Mapfre SA |
|
|
38,752 |
|
|
|
163,514 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,949,648 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
63 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Sweden - 1.0% |
|
|
|
|
|
|
|
|
| Getinge AB, B Shares |
|
|
138 |
|
|
$ |
3,896 |
|
| Hennes & Mauritz AB, B Shares |
|
|
383 |
|
|
|
16,335 |
|
| ICA Gruppen AB † |
|
|
1,035 |
|
|
|
37,575 |
|
| Investor AB, B Shares |
|
|
780 |
|
|
|
28,253 |
|
| Skandinaviska Enskilda Banken AB, Class A |
|
|
36,919 |
|
|
|
507,167 |
|
| Svenska Handelsbanken AB, A Shares |
|
|
392 |
|
|
|
19,699 |
|
| Swedish Match AB |
|
|
114 |
|
|
|
3,732 |
|
| Tele2 AB, B Shares |
|
|
227 |
|
|
|
2,818 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
619,475 |
|
|
|
|
|
|
|
|
|
|
| Switzerland - 6.5% |
|
|
|
|
|
|
|
|
| Actelion Ltd. † |
|
|
3,829 |
|
|
|
362,868 |
|
| Adecco SA † |
|
|
4,264 |
|
|
|
354,877 |
|
| Cie Financiere Richemont SA |
|
|
3,958 |
|
|
|
378,140 |
|
| Credit Suisse Group AG † |
|
|
1,941 |
|
|
|
62,826 |
|
| EMS-Chemie Holding AG |
|
|
718 |
|
|
|
271,342 |
|
| Givaudan SA † |
|
|
671 |
|
|
|
1,037,871 |
|
| Lindt & Spruengli AG |
|
|
1 |
|
|
|
4,959 |
|
| Novartis AG |
|
|
584 |
|
|
|
49,586 |
|
| Partners Group Holding AG |
|
|
1,813 |
|
|
|
509,249 |
|
| Schindler Holding AG |
|
|
32 |
|
|
|
4,717 |
|
| SGS SA |
|
|
12 |
|
|
|
29,595 |
|
| Swatch Group AG/The |
|
|
474 |
|
|
|
297,356 |
|
| Swiss Re AG † |
|
|
841 |
|
|
|
78,057 |
|
| Syngenta AG |
|
|
94 |
|
|
|
35,685 |
|
| UBS AG † |
|
|
26,579 |
|
|
|
550,009 |
|
| Wolseley PLC |
|
|
75 |
|
|
|
4,273 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,031,410 |
|
|
|
|
|
|
|
|
|
|
| United Kingdom - 4.7% |
|
|
|
|
|
|
|
|
| Aggreko PLC |
|
|
133 |
|
|
|
3,332 |
|
| ARM Holdings PLC |
|
|
1,727 |
|
|
|
29,166 |
|
| ASOS PLC † |
|
|
898 |
|
|
|
77,623 |
|
| Associated British Foods PLC |
|
|
11,411 |
|
|
|
529,496 |
|
| Barclays PLC |
|
|
13,606 |
|
|
|
52,948 |
|
| BG Group PLC |
|
|
687 |
|
|
|
12,826 |
|
| Booker Group PLC |
|
|
21,103 |
|
|
|
58,130 |
|
| BP PLC |
|
|
740 |
|
|
|
5,946 |
|
| British American Tobacco PLC |
|
|
941 |
|
|
|
52,494 |
|
| British Sky Broadcasting Group PLC |
|
|
451 |
|
|
|
6,861 |
|
| BT Group PLC |
|
|
78,218 |
|
|
|
497,446 |
|
| Bunzl PLC |
|
|
221 |
|
|
|
5,892 |
|
| Burberry Group PLC |
|
|
203 |
|
|
|
4,720 |
|
| Capita PLC |
|
|
4,384 |
|
|
|
80,161 |
|
| Compass Group PLC |
|
|
1,417 |
|
|
|
21,636 |
|
| Croda International PLC |
|
|
111 |
|
|
|
4,720 |
|
| Diageo PLC |
|
|
1,887 |
|
|
|
58,609 |
|
| Experian PLC |
|
|
1,092 |
|
|
|
19,706 |
|
| Fresnillo PLC |
|
|
272 |
|
|
|
3,834 |
|
| G4S PLC |
|
|
681 |
|
|
|
2,748 |
|
| GlaxoSmithKline PLC |
|
|
126 |
|
|
|
3,360 |
|
| Gulf Keystone Petroleum Ltd. † |
|
|
2,240 |
|
|
|
3,224 |
|
| Hargreaves Lansdown PLC |
|
|
2,172 |
|
|
|
52,837 |
|
| HSBC Holdings PLC |
|
|
10,509 |
|
|
|
106,408 |
|
| Imperial Tobacco Group PLC |
|
|
538 |
|
|
|
21,755 |
|
| Intertek Group PLC |
|
|
94 |
|
|
|
4,826 |
|
| Kingfisher PLC |
|
|
13,199 |
|
|
|
92,799 |
|
| Meggitt PLC |
|
|
501 |
|
|
|
4,018 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| United Kingdom - 4.7% (continued) |
|
|
|
|
|
|
|
|
| National Grid PLC |
|
|
2,270 |
|
|
$ |
31,193 |
|
| Next PLC |
|
|
1,489 |
|
|
|
163,866 |
|
| Pearson PLC |
|
|
343 |
|
|
|
6,089 |
|
| Randgold Resources Ltd. |
|
|
40 |
|
|
|
3,003 |
|
| Reckitt Benckiser Group PLC |
|
|
500 |
|
|
|
40,803 |
|
| Rexam PLC |
|
|
474 |
|
|
|
3,852 |
|
| Royal Bank of Scotland Group PLC † |
|
|
6,019 |
|
|
|
31,228 |
|
| SABMiller PLC |
|
|
977 |
|
|
|
48,852 |
|
| Sage Group PLC/The |
|
|
662 |
|
|
|
4,617 |
|
| Severn Trent PLC |
|
|
173 |
|
|
|
5,264 |
|
| Shire PLC |
|
|
2,295 |
|
|
|
113,615 |
|
| Sports Direct International PLC † |
|
|
6,364 |
|
|
|
90,424 |
|
| SSE PLC |
|
|
372 |
|
|
|
9,112 |
|
| Standard Life PLC |
|
|
4,679 |
|
|
|
29,479 |
|
| Tate & Lyle PLC |
|
|
322 |
|
|
|
3,586 |
|
| Tesco PLC |
|
|
1,089 |
|
|
|
5,371 |
|
| TUI Travel PLC |
|
|
6,896 |
|
|
|
50,392 |
|
| Tullow Oil PLC |
|
|
321 |
|
|
|
4,012 |
|
| United Utilities Group PLC |
|
|
372 |
|
|
|
4,893 |
|
| Weir Group PLC/The |
|
|
778 |
|
|
|
32,906 |
|
| Whitbread PLC |
|
|
1,309 |
|
|
|
90,860 |
|
| WM Morrison Supermarkets PLC |
|
|
1,127 |
|
|
|
4,007 |
|
| WPP PLC |
|
|
16,425 |
|
|
|
339,375 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,934,320 |
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCKS
(cost $57,618,639) |
|
|
|
|
|
|
60,158,628 |
|
|
|
|
|
|
|
|
|
|
|
|
| EXCHANGE-TRADED FUNDS - 2.2% |
|
|
|
|
|
| iShares MSCI EAFE ETF (1)
(cost $1,329,075) |
|
|
20,052 |
|
|
|
1,346,893 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| RIGHTS - 0.0% (a) |
|
|
|
|
|
|
|
|
|
|
|
| Hong Kong - 0.0% (a) |
|
|
|
|
|
|
|
|
| New World Development Co., Ltd. (3)†(b) |
|
|
3,000 |
|
|
|
628 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Spain - 0.0% (a) |
|
|
|
|
|
|
|
|
| Banco Bilbao Vizcaya Argentaria SA † |
|
|
59,725 |
|
|
|
13,988 |
|
|
|
|
|
|
|
|
|
|
| TOTAL RIGHTS
(cost $—) |
|
|
|
|
|
|
14,616 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| MONEY MARKET FUNDS - 0.2% |
|
|
|
|
|
|
|
|
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (c) (cost $155,244) |
|
|
155,244 |
|
|
|
155,244 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS - 99.2%
(cost $59,102,958) |
|
|
|
|
|
|
61,675,381 |
|
|
|
|
|
|
|
|
|
|
OTHER ASSETS IN EXCESS OF
LIABILITIES - 0.8% |
|
|
|
|
|
|
482,129 |
|
|
|
|
|
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
|
|
|
$ |
62,157,510 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 64 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
|
|
| † |
Non income-producing security. |
| (a) |
Represents less than 0.05 percent of net assets. |
| (b) |
Security fair valued at as of March 31, 2014 using procedures approved by the Board of Trustees. The total value of positions fair valued was $628 or 0.0% of total net
assets. |
| (c) |
Represents annualized seven-day yield as of March 31, 2014. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) |
Level 1 security (See Note 4). |
| (3) |
Level 3 security (See Note 4). |
The following abbreviations are
used in portfolio descriptions:
REIT - Real Estate Investment Trust
|
|
|
|
|
|
|
|
|
| SECTOR |
|
VALUE |
|
|
% OF NET
ASSETS |
|
| Consumer Discretionary |
|
$ |
12,799,168 |
|
|
|
20.6 |
% |
| Consumer Staples |
|
|
2,839,838 |
|
|
|
4.6 |
|
| Energy |
|
|
671,562 |
|
|
|
1.1 |
|
| Financials |
|
|
17,194,152 |
|
|
|
27.7 |
|
| Health Care |
|
|
5,361,542 |
|
|
|
8.6 |
|
| Industrials |
|
|
7,485,092 |
|
|
|
12.0 |
|
| Information Technology |
|
|
5,724,820 |
|
|
|
9.2 |
|
| Materials |
|
|
1,952,255 |
|
|
|
3.1 |
|
| Mutual Fund |
|
|
1,346,893 |
|
|
|
2.2 |
|
| Telecommunication Services |
|
|
4,542,707 |
|
|
|
7.3 |
|
| Utilities |
|
|
1,602,108 |
|
|
|
2.6 |
|
| Money Market Funds |
|
|
155,244 |
|
|
|
0.2 |
|
|
|
|
|
|
|
|
|
|
| Total Investments |
|
|
61,675,381 |
|
|
|
99.2 |
|
| Other Assets in Excess of Liabilities |
|
|
482,129 |
|
|
|
0.8 |
|
|
|
|
|
|
|
|
|
|
| Net Assets |
|
$ |
62,157,510 |
|
|
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
65 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
| COMMON STOCKS - 97.8% |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Consumer Discretionary - 15.2% |
|
|
|
|
|
|
|
|
| Abercrombie & Fitch Co., Class A |
|
|
1,126 |
|
|
$ |
43,351 |
|
| Advance Auto Parts, Inc. |
|
|
1,143 |
|
|
|
144,590 |
|
| AMC Networks, Inc., Class A † |
|
|
262 |
|
|
|
19,150 |
|
| Apollo Education Group, Inc. † |
|
|
4,410 |
|
|
|
150,998 |
|
| Ascena Retail Group, Inc. † |
|
|
4,800 |
|
|
|
82,944 |
|
| Autoliv, Inc. (Sweden) |
|
|
538 |
|
|
|
53,988 |
|
| AutoZone, Inc. † |
|
|
347 |
|
|
|
186,374 |
|
| Bally Technologies, Inc. † |
|
|
757 |
|
|
|
50,166 |
|
| Bed Bath & Beyond, Inc. † |
|
|
2,402 |
|
|
|
165,258 |
|
| Best Buy Co., Inc. |
|
|
4,893 |
|
|
|
129,224 |
|
| Bloomin’ Brands, Inc. † |
|
|
2,226 |
|
|
|
53,647 |
|
| BorgWarner, Inc. |
|
|
2,000 |
|
|
|
122,940 |
|
| Brunswick Corp. |
|
|
1,501 |
|
|
|
67,980 |
|
| Buckle, Inc./The |
|
|
827 |
|
|
|
37,877 |
|
| Caesars Entertainment Corp. † |
|
|
6,428 |
|
|
|
122,196 |
|
| Chico’s FAS, Inc. |
|
|
1,086 |
|
|
|
17,409 |
|
| Choice Hotels International, Inc. |
|
|
183 |
|
|
|
8,418 |
|
| Cinemark Holdings, Inc. |
|
|
404 |
|
|
|
11,720 |
|
| Cracker Barrel Old Country Store, Inc. |
|
|
375 |
|
|
|
36,465 |
|
| Dana Holding Corp. |
|
|
2,602 |
|
|
|
60,549 |
|
| Deckers Outdoor Corp. † |
|
|
1,626 |
|
|
|
129,641 |
|
| Dillard’s, Inc., Class A |
|
|
481 |
|
|
|
44,444 |
|
| DIRECTV † |
|
|
4,663 |
|
|
|
356,346 |
|
| DISH Network Corp., Class A † |
|
|
1,488 |
|
|
|
92,569 |
|
| Dollar General Corp. † |
|
|
2,100 |
|
|
|
116,508 |
|
| Dollar Tree, Inc. † |
|
|
2,085 |
|
|
|
108,795 |
|
| Domino’s Pizza, Inc. |
|
|
549 |
|
|
|
42,257 |
|
| Expedia, Inc. |
|
|
363 |
|
|
|
26,318 |
|
| Foot Locker, Inc. |
|
|
1,785 |
|
|
|
83,859 |
|
| Fossil Group, Inc. † |
|
|
474 |
|
|
|
55,273 |
|
| GameStop Corp., Class A |
|
|
2,990 |
|
|
|
122,889 |
|
| Gannett Co., Inc. |
|
|
5,468 |
|
|
|
150,917 |
|
| Gap, Inc./The |
|
|
4,665 |
|
|
|
186,880 |
|
| General Motors Co. |
|
|
11,102 |
|
|
|
382,131 |
|
| Gentex Corp. |
|
|
4,620 |
|
|
|
145,669 |
|
| Genuine Parts Co. |
|
|
692 |
|
|
|
60,100 |
|
| GNC Holdings, Inc., Class A |
|
|
994 |
|
|
|
43,756 |
|
| Goodyear Tire & Rubber Co./The |
|
|
6,095 |
|
|
|
159,262 |
|
| Graham Holdings Co., Class B |
|
|
171 |
|
|
|
120,341 |
|
| Groupon, Inc. † |
|
|
8,400 |
|
|
|
65,856 |
|
| Guess?, Inc. |
|
|
1,083 |
|
|
|
29,891 |
|
| H&R Block, Inc. |
|
|
3,621 |
|
|
|
109,318 |
|
| Hanesbrands, Inc. |
|
|
2,479 |
|
|
|
189,594 |
|
| Harman International Industries, Inc. |
|
|
500 |
|
|
|
53,200 |
|
| Hasbro, Inc. |
|
|
1,217 |
|
|
|
67,690 |
|
| HSN, Inc. |
|
|
156 |
|
|
|
9,318 |
|
| International Game Technology |
|
|
5,503 |
|
|
|
77,372 |
|
| Jarden Corp. † |
|
|
1,506 |
|
|
|
90,104 |
|
| John Wiley & Sons, Inc. |
|
|
3,000 |
|
|
|
172,920 |
|
| Johnson Controls, Inc. |
|
|
6,022 |
|
|
|
284,961 |
|
| Kate Spade & Co. † |
|
|
2,348 |
|
|
|
87,087 |
|
| Kohl’s Corp. |
|
|
2,484 |
|
|
|
141,091 |
|
| L Brands, Inc. |
|
|
2,307 |
|
|
|
130,968 |
|
| Lear Corp. |
|
|
1,654 |
|
|
|
138,473 |
|
| Leggett & Platt, Inc. |
|
|
536 |
|
|
|
17,495 |
|
| Lennar Corp., Class A |
|
|
419 |
|
|
|
16,601 |
|
| Live Nation Entertainment, Inc. † |
|
|
2,882 |
|
|
|
62,684 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Consumer Discretionary - 15.2% (continued) |
|
|
|
|
|
| Lowe’s Cos., Inc. |
|
|
4,880 |
|
|
$ |
238,632 |
|
| Macy’s, Inc. |
|
|
4,766 |
|
|
|
282,576 |
|
| Mattel, Inc. |
|
|
1,248 |
|
|
|
50,057 |
|
| Mohawk Industries, Inc. † |
|
|
298 |
|
|
|
40,522 |
|
| Netflix, Inc. † |
|
|
233 |
|
|
|
82,023 |
|
| Newell Rubbermaid, Inc. |
|
|
1,454 |
|
|
|
43,475 |
|
| O’Reilly Automotive, Inc. † |
|
|
200 |
|
|
|
29,678 |
|
| Penske Automotive Group, Inc. |
|
|
1,484 |
|
|
|
63,456 |
|
| PetSmart, Inc. |
|
|
73 |
|
|
|
5,029 |
|
| Pier 1 Imports, Inc. |
|
|
1,290 |
|
|
|
24,355 |
|
| Polaris Industries, Inc. |
|
|
409 |
|
|
|
57,141 |
|
| priceline.com, Inc. † |
|
|
100 |
|
|
|
119,189 |
|
| PulteGroup, Inc. |
|
|
1,523 |
|
|
|
29,226 |
|
| PVH Corp. |
|
|
147 |
|
|
|
18,341 |
|
| Regal Entertainment Group, Class A |
|
|
1,753 |
|
|
|
32,746 |
|
| Royal Caribbean Cruises Ltd. |
|
|
1,200 |
|
|
|
65,472 |
|
| Scripps Networks Interactive, Inc., Class A |
|
|
751 |
|
|
|
57,008 |
|
| Signet Jewelers Ltd. |
|
|
560 |
|
|
|
59,282 |
|
| Sinclair Broadcast Group, Inc., Class A |
|
|
1,283 |
|
|
|
34,756 |
|
| Staples, Inc. |
|
|
3,722 |
|
|
|
42,207 |
|
| Tenneco, Inc. † |
|
|
1,077 |
|
|
|
62,541 |
|
| Thor Industries, Inc. |
|
|
1,034 |
|
|
|
63,136 |
|
| Time Warner, Inc. |
|
|
1,951 |
|
|
|
127,459 |
|
| TJX Cos., Inc./The |
|
|
5,525 |
|
|
|
335,091 |
|
| TripAdvisor, Inc. † |
|
|
725 |
|
|
|
65,678 |
|
| TRW Automotive Holdings Corp. † |
|
|
2,125 |
|
|
|
173,443 |
|
| Tupperware Brands Corp. |
|
|
495 |
|
|
|
41,461 |
|
| Urban Outfitters, Inc. † |
|
|
429 |
|
|
|
15,646 |
|
| VF Corp. |
|
|
4,862 |
|
|
|
300,861 |
|
| Viacom, Inc., Class B |
|
|
4,085 |
|
|
|
347,184 |
|
| Visteon Corp. † |
|
|
607 |
|
|
|
53,683 |
|
| Whirlpool Corp. |
|
|
955 |
|
|
|
142,734 |
|
| Williams-Sonoma, Inc. |
|
|
1,247 |
|
|
|
83,100 |
|
| Wynn Resorts Ltd. |
|
|
300 |
|
|
|
66,645 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,991,655 |
|
|
|
|
|
|
|
|
|
|
| Consumer Staples - 5.6% |
|
|
|
|
|
|
|
|
| Archer-Daniels-Midland Co. |
|
|
7,344 |
|
|
|
318,656 |
|
| Coca-Cola Enterprises, Inc. |
|
|
813 |
|
|
|
38,829 |
|
| ConAgra Foods, Inc. |
|
|
438 |
|
|
|
13,591 |
|
| Constellation Brands, Inc., Class A † |
|
|
979 |
|
|
|
83,186 |
|
| CVS Caremark Corp. |
|
|
7,063 |
|
|
|
528,736 |
|
| Dean Foods Co. |
|
|
1,045 |
|
|
|
16,156 |
|
| Energizer Holdings, Inc. |
|
|
608 |
|
|
|
61,250 |
|
| Flowers Foods, Inc. |
|
|
2,172 |
|
|
|
46,589 |
|
| Herbalife Ltd. |
|
|
2,533 |
|
|
|
145,065 |
|
| Ingredion, Inc. |
|
|
267 |
|
|
|
18,177 |
|
| Keurig Green Mountain, Inc. |
|
|
2,487 |
|
|
|
262,602 |
|
| Kroger Co./The |
|
|
6,348 |
|
|
|
277,090 |
|
| Lorillard, Inc. |
|
|
4,491 |
|
|
|
242,873 |
|
| Nu Skin Enterprises, Inc., Class A |
|
|
1,644 |
|
|
|
136,205 |
|
| Pilgrim’s Pride Corp. † |
|
|
5,452 |
|
|
|
114,056 |
|
| Rite Aid Corp. † |
|
|
30,833 |
|
|
|
193,323 |
|
| Tyson Foods, Inc., Class A |
|
|
6,329 |
|
|
|
278,539 |
|
| Walgreen Co. |
|
|
7,848 |
|
|
|
518,204 |
|
| WhiteWave Foods Co./The, Class A † |
|
|
53 |
|
|
|
1,513 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,294,640 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 66 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Energy - 4.0% |
|
|
|
|
|
|
|
|
| Bristow Group, Inc. |
|
|
949 |
|
|
$ |
71,668 |
|
| Chesapeake Energy Corp. |
|
|
2,430 |
|
|
|
62,257 |
|
| Cimarex Energy Co. |
|
|
1,262 |
|
|
|
150,317 |
|
| Continental Resources, Inc. † |
|
|
462 |
|
|
|
57,413 |
|
| CVR Energy, Inc. |
|
|
1,226 |
|
|
|
51,799 |
|
| Delek US Holdings, Inc. |
|
|
545 |
|
|
|
15,827 |
|
| Energen Corp. |
|
|
798 |
|
|
|
64,486 |
|
| EOG Resources, Inc. |
|
|
1,114 |
|
|
|
218,533 |
|
| Halliburton Co. |
|
|
753 |
|
|
|
44,344 |
|
| Helmerich & Payne, Inc. |
|
|
1,695 |
|
|
|
182,314 |
|
| Hess Corp. |
|
|
2,090 |
|
|
|
173,219 |
|
| HollyFrontier Corp. |
|
|
1,262 |
|
|
|
60,046 |
|
| Marathon Petroleum Corp. |
|
|
1,218 |
|
|
|
106,015 |
|
| Oasis Petroleum, Inc. † |
|
|
1,061 |
|
|
|
44,276 |
|
| Oil States International, Inc. † |
|
|
1,143 |
|
|
|
112,700 |
|
| Patterson-UTI Energy, Inc. |
|
|
2,082 |
|
|
|
65,958 |
|
| Phillips 66 |
|
|
2,266 |
|
|
|
174,618 |
|
| RPC, Inc. |
|
|
4,486 |
|
|
|
91,604 |
|
| SM Energy Co. |
|
|
656 |
|
|
|
46,766 |
|
| Superior Energy Services, Inc. |
|
|
1,912 |
|
|
|
58,813 |
|
| Valero Energy Corp. |
|
|
4,952 |
|
|
|
262,951 |
|
| Western Refining, Inc. |
|
|
2,822 |
|
|
|
108,929 |
|
| Whiting Petroleum Corp. † |
|
|
2,095 |
|
|
|
145,372 |
|
| WPX Energy, Inc. † |
|
|
1,361 |
|
|
|
24,539 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,394,764 |
|
|
|
|
|
|
|
|
|
|
| Financials - 26.5% |
|
|
|
|
|
|
|
|
| Aflac, Inc. |
|
|
5,384 |
|
|
|
339,407 |
|
| Alleghany Corp. † |
|
|
26 |
|
|
|
10,592 |
|
| Allstate Corp./The |
|
|
5,635 |
|
|
|
318,828 |
|
| American Capital Ltd. † |
|
|
1,510 |
|
|
|
23,843 |
|
| American Express Co. |
|
|
3,800 |
|
|
|
342,114 |
|
| American Financial Group, Inc. |
|
|
697 |
|
|
|
40,224 |
|
| American International Group, Inc. |
|
|
11,378 |
|
|
|
569,014 |
|
| American National Insurance Co. |
|
|
672 |
|
|
|
75,970 |
|
| Ameriprise Financial, Inc. |
|
|
1,776 |
|
|
|
195,484 |
|
| AmTrust Financial Services, Inc. |
|
|
4,979 |
|
|
|
187,260 |
|
| Arch Capital Group Ltd. † |
|
|
955 |
|
|
|
54,951 |
|
| Ares Capital Corp. |
|
|
1,032 |
|
|
|
18,184 |
|
| Aspen Insurance Holdings Ltd. |
|
|
687 |
|
|
|
27,274 |
|
| Assurant, Inc. |
|
|
1,832 |
|
|
|
119,007 |
|
| Assured Guaranty Ltd. |
|
|
3,941 |
|
|
|
99,786 |
|
| Axis Capital Holdings Ltd. |
|
|
1,378 |
|
|
|
63,181 |
|
| Bank of America Corp. |
|
|
64,525 |
|
|
|
1,109,830 |
|
| Bank of New York Mellon Corp./The |
|
|
7,529 |
|
|
|
265,698 |
|
| BB&T Corp. |
|
|
3,066 |
|
|
|
123,161 |
|
| Berkshire Hathaway, Inc., Class B † |
|
|
522 |
|
|
|
65,234 |
|
| Capital One Financial Corp. |
|
|
4,758 |
|
|
|
367,127 |
|
| Cincinnati Financial Corp. |
|
|
372 |
|
|
|
18,102 |
|
| CIT Group, Inc. |
|
|
2,187 |
|
|
|
107,207 |
|
| Citigroup, Inc. |
|
|
16,940 |
|
|
|
806,344 |
|
| CNA Financial Corp. |
|
|
1,237 |
|
|
|
52,845 |
|
| CNO Financial Group, Inc. |
|
|
6,141 |
|
|
|
111,152 |
|
| Comerica, Inc. |
|
|
2,645 |
|
|
|
137,011 |
|
| Credit Acceptance Corp. † |
|
|
134 |
|
|
|
19,048 |
|
| Discover Financial Services |
|
|
4,482 |
|
|
|
260,808 |
|
| E*TRADE Financial Corp. † |
|
|
4,206 |
|
|
|
96,822 |
|
| East West Bancorp, Inc. |
|
|
1,496 |
|
|
|
54,604 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Financials - 26.5% (continued) |
|
|
|
|
|
|
|
|
| Everest Re Group Ltd. |
|
|
788 |
|
|
$ |
120,603 |
|
| Federated Investors, Inc., Class B |
|
|
174 |
|
|
|
5,314 |
|
| Fidelity National Financial, Inc., Class A |
|
|
1,408 |
|
|
|
44,268 |
|
| Fifth Third Bancorp |
|
|
11,710 |
|
|
|
268,744 |
|
| First American Financial Corp. |
|
|
793 |
|
|
|
21,054 |
|
| First Niagara Financial Group, Inc. |
|
|
4,660 |
|
|
|
44,037 |
|
| Franklin Resources, Inc. |
|
|
350 |
|
|
|
18,963 |
|
| Fulton Financial Corp. |
|
|
2,815 |
|
|
|
35,413 |
|
| Genworth Financial, Inc., Class A † |
|
|
13,149 |
|
|
|
233,132 |
|
| Goldman Sachs Group, Inc./The |
|
|
2,487 |
|
|
|
407,495 |
|
| Hartford Financial Services Group, Inc./The |
|
|
7,682 |
|
|
|
270,944 |
|
| HCC Insurance Holdings, Inc. |
|
|
1,737 |
|
|
|
79,016 |
|
| Huntington Bancshares, Inc. |
|
|
13,413 |
|
|
|
133,728 |
|
| JPMorgan Chase & Co. |
|
|
22,969 |
|
|
|
1,394,448 |
|
| KeyCorp |
|
|
12,293 |
|
|
|
175,052 |
|
| Legg Mason, Inc. |
|
|
2,568 |
|
|
|
125,935 |
|
| Leucadia National Corp. |
|
|
2,429 |
|
|
|
68,012 |
|
| Lincoln National Corp. |
|
|
5,322 |
|
|
|
269,666 |
|
| M&T Bank Corp. |
|
|
616 |
|
|
|
74,721 |
|
| MBIA, Inc. † |
|
|
2,070 |
|
|
|
28,959 |
|
| Medical Properties Trust, Inc. REIT |
|
|
789 |
|
|
|
10,091 |
|
| MetLife, Inc. |
|
|
10,402 |
|
|
|
549,226 |
|
| MGIC Investment Corp. † |
|
|
9,083 |
|
|
|
77,387 |
|
| Morgan Stanley |
|
|
13,665 |
|
|
|
425,938 |
|
| NASDAQ OMX Group, Inc./The |
|
|
1,512 |
|
|
|
55,853 |
|
| Nationstar Mortgage Holdings, Inc. † |
|
|
1,574 |
|
|
|
51,092 |
|
| Ocwen Financial Corp. † |
|
|
449 |
|
|
|
17,592 |
|
| Old Republic International Corp. |
|
|
4,646 |
|
|
|
76,194 |
|
| PartnerRe Ltd. |
|
|
348 |
|
|
|
36,018 |
|
| PNC Financial Services Group, Inc./The |
|
|
6,011 |
|
|
|
522,957 |
|
| Principal Financial Group, Inc. |
|
|
3,494 |
|
|
|
160,689 |
|
| Progressive Corp./The |
|
|
2,200 |
|
|
|
53,284 |
|
| Protective Life Corp. |
|
|
1,746 |
|
|
|
91,822 |
|
| Prudential Financial, Inc. |
|
|
4,195 |
|
|
|
355,107 |
|
| Raymond James Financial, Inc. |
|
|
224 |
|
|
|
12,528 |
|
| Regions Financial Corp. |
|
|
18,063 |
|
|
|
200,680 |
|
| Reinsurance Group of America, Inc. |
|
|
844 |
|
|
|
67,208 |
|
| SLM Corp. |
|
|
8,050 |
|
|
|
197,064 |
|
| State Street Corp. |
|
|
2,823 |
|
|
|
196,340 |
|
| SunTrust Banks, Inc. |
|
|
4,459 |
|
|
|
177,424 |
|
| Susquehanna Bancshares, Inc. |
|
|
3,020 |
|
|
|
34,398 |
|
| Synovus Financial Corp. |
|
|
11,872 |
|
|
|
40,246 |
|
| Torchmark Corp. |
|
|
2,532 |
|
|
|
199,268 |
|
| Travelers Cos., Inc./The |
|
|
3,055 |
|
|
|
259,980 |
|
| Unum Group |
|
|
4,546 |
|
|
|
160,519 |
|
| Wells Fargo & Co. |
|
|
34,263 |
|
|
|
1,704,242 |
|
| White Mountains Insurance Group Ltd. |
|
|
19 |
|
|
|
11,398 |
|
| WR Berkley Corp. |
|
|
245 |
|
|
|
10,197 |
|
| Zions Bancorp. |
|
|
1,434 |
|
|
|
44,425 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,698,783 |
|
|
|
|
|
|
|
|
|
|
| Health Care - 10.4% |
|
|
|
|
|
|
|
|
| Abbott Laboratories |
|
|
651 |
|
|
|
25,070 |
|
| AbbVie, Inc. |
|
|
10,203 |
|
|
|
524,434 |
|
| Aetna, Inc. |
|
|
4,159 |
|
|
|
311,800 |
|
| Alere, Inc. † |
|
|
3,536 |
|
|
|
121,462 |
|
| Align Technology, Inc. † |
|
|
1,700 |
|
|
|
88,043 |
|
| AmerisourceBergen Corp. |
|
|
238 |
|
|
|
15,610 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
67 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Health Care - 10.4% (continued) |
|
|
|
|
|
|
|
|
| Amgen, Inc. |
|
|
128 |
|
|
$ |
15,788 |
|
| Baxter International, Inc. |
|
|
246 |
|
|
|
18,101 |
|
| Becton Dickinson and Co. |
|
|
165 |
|
|
|
19,318 |
|
| Boston Scientific Corp. † |
|
|
13,740 |
|
|
|
185,765 |
|
| Cardinal Health, Inc. |
|
|
2,935 |
|
|
|
205,391 |
|
| CareFusion Corp. † |
|
|
1,054 |
|
|
|
42,392 |
|
| Centene Corp. † |
|
|
509 |
|
|
|
31,685 |
|
| Cigna Corp. |
|
|
2,276 |
|
|
|
190,569 |
|
| Community Health Systems, Inc. † |
|
|
1,792 |
|
|
|
70,193 |
|
| Cooper Cos., Inc./The |
|
|
128 |
|
|
|
17,582 |
|
| CR Bard, Inc. |
|
|
400 |
|
|
|
59,192 |
|
| Endo International PLC (Ireland) † |
|
|
482 |
|
|
|
33,089 |
|
| Gilead Sciences, Inc. † |
|
|
2,838 |
|
|
|
201,101 |
|
| HCA Holdings, Inc. † |
|
|
4,888 |
|
|
|
256,620 |
|
| Health Net, Inc. † |
|
|
1,266 |
|
|
|
43,057 |
|
| Humana, Inc. |
|
|
2,129 |
|
|
|
239,981 |
|
| Johnson & Johnson |
|
|
6,000 |
|
|
|
589,380 |
|
| LifePoint Hospitals, Inc. † |
|
|
288 |
|
|
|
15,710 |
|
| McKesson Corp. |
|
|
1,349 |
|
|
|
238,193 |
|
| Medtronic, Inc. |
|
|
8,355 |
|
|
|
514,167 |
|
| Mylan, Inc. (2)† |
|
|
1,140 |
|
|
|
55,666 |
|
| Omnicare, Inc. |
|
|
1,193 |
|
|
|
71,186 |
|
| Questcor Pharmaceuticals, Inc. |
|
|
2,593 |
|
|
|
168,363 |
|
| ResMed, Inc. |
|
|
188 |
|
|
|
8,402 |
|
| St. Jude Medical, Inc. |
|
|
3,283 |
|
|
|
214,675 |
|
| Stryker Corp. |
|
|
348 |
|
|
|
28,352 |
|
| Team Health Holdings, Inc. † |
|
|
204 |
|
|
|
9,129 |
|
| Tenet Healthcare Corp. † |
|
|
1,191 |
|
|
|
50,987 |
|
| Thermo Fisher Scientific, Inc. |
|
|
134 |
|
|
|
16,112 |
|
| United Therapeutics Corp. † |
|
|
1,344 |
|
|
|
126,376 |
|
| UnitedHealth Group, Inc. |
|
|
8,115 |
|
|
|
665,349 |
|
| Universal Health Services, Inc., Class B |
|
|
1,462 |
|
|
|
119,986 |
|
| WellCare Health Plans, Inc. † |
|
|
788 |
|
|
|
50,054 |
|
| WellPoint, Inc. |
|
|
3,950 |
|
|
|
393,223 |
|
| West Pharmaceutical Services, Inc. |
|
|
312 |
|
|
|
13,744 |
|
| Zimmer Holdings, Inc. |
|
|
878 |
|
|
|
83,041 |
|
| Zoetis, Inc. |
|
|
806 |
|
|
|
23,326 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,171,664 |
|
|
|
|
|
|
|
|
|
|
| Industrials - 12.9% |
|
|
|
|
|
|
|
|
| 3M Co. |
|
|
549 |
|
|
|
74,477 |
|
| AECOM Technology Corp. † |
|
|
1,744 |
|
|
|
56,104 |
|
| AGCO Corp. |
|
|
1,852 |
|
|
|
102,156 |
|
| Alaska Air Group, Inc. |
|
|
2,062 |
|
|
|
192,405 |
|
| Alliant Techsystems, Inc. |
|
|
778 |
|
|
|
110,593 |
|
| AMERCO |
|
|
297 |
|
|
|
68,940 |
|
| Avis Budget Group, Inc. † |
|
|
3,741 |
|
|
|
182,187 |
|
| Boeing Co./The |
|
|
2,553 |
|
|
|
320,376 |
|
| Carlisle Cos., Inc. |
|
|
289 |
|
|
|
22,929 |
|
| Cintas Corp. |
|
|
1,162 |
|
|
|
69,267 |
|
| Copa Holdings SA, Class A (Panama) |
|
|
493 |
|
|
|
71,579 |
|
| Crane Co. |
|
|
652 |
|
|
|
46,390 |
|
| Cummins, Inc. |
|
|
1,306 |
|
|
|
194,581 |
|
| Delta Air Lines, Inc. |
|
|
9,517 |
|
|
|
329,764 |
|
| Deluxe Corp. |
|
|
516 |
|
|
|
27,075 |
|
| Dover Corp. |
|
|
2,270 |
|
|
|
185,572 |
|
| Dun & Bradstreet Corp./The |
|
|
700 |
|
|
|
69,545 |
|
| EMCOR Group, Inc. |
|
|
734 |
|
|
|
34,344 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Industrials - 12.9% (continued) |
|
|
|
|
|
|
|
|
| EnerSys, Inc. |
|
|
879 |
|
|
$ |
60,906 |
|
| Esterline Technologies Corp. † |
|
|
541 |
|
|
|
57,638 |
|
| Exelis, Inc. |
|
|
3,912 |
|
|
|
74,367 |
|
| FedEx Corp. |
|
|
2,498 |
|
|
|
331,135 |
|
| Generac Holdings, Inc. |
|
|
938 |
|
|
|
55,314 |
|
| General Dynamics Corp. |
|
|
2,993 |
|
|
|
325,998 |
|
| Hertz Global Holdings, Inc. † |
|
|
4,090 |
|
|
|
108,958 |
|
| Huntington Ingalls Industries, Inc. |
|
|
688 |
|
|
|
70,355 |
|
| ITT Corp. |
|
|
1,396 |
|
|
|
59,693 |
|
| Jacobs Engineering Group, Inc. † |
|
|
1,730 |
|
|
|
109,855 |
|
| L-3 Communications Holdings, Inc. |
|
|
1,030 |
|
|
|
121,694 |
|
| Lennox International, Inc. |
|
|
183 |
|
|
|
16,637 |
|
| Lincoln Electric Holdings, Inc. |
|
|
801 |
|
|
|
57,680 |
|
| Lockheed Martin Corp. |
|
|
2,906 |
|
|
|
474,375 |
|
| Manitowoc Co., Inc./The |
|
|
1,500 |
|
|
|
47,175 |
|
| Manpowergroup, Inc. |
|
|
1,443 |
|
|
|
113,752 |
|
| MasTec, Inc. † |
|
|
1,256 |
|
|
|
54,561 |
|
| MRC Global, Inc. † |
|
|
705 |
|
|
|
19,007 |
|
| Navistar International Corp. † |
|
|
1,297 |
|
|
|
43,929 |
|
| Norfolk Southern Corp. |
|
|
1,200 |
|
|
|
116,604 |
|
| Northrop Grumman Corp. |
|
|
3,081 |
|
|
|
380,134 |
|
| Oshkosh Corp. |
|
|
1,797 |
|
|
|
105,789 |
|
| Parker Hannifin Corp. |
|
|
1,403 |
|
|
|
167,953 |
|
| Pitney Bowes, Inc. |
|
|
5,939 |
|
|
|
154,355 |
|
| Raytheon Co. |
|
|
3,689 |
|
|
|
364,436 |
|
| Regal-Beloit Corp. |
|
|
121 |
|
|
|
8,798 |
|
| Robert Half International, Inc. |
|
|
600 |
|
|
|
25,170 |
|
| Rockwell Automation, Inc. |
|
|
880 |
|
|
|
109,604 |
|
| RR Donnelley & Sons Co. |
|
|
7,170 |
|
|
|
128,343 |
|
| Ryder System, Inc. |
|
|
989 |
|
|
|
79,041 |
|
| Snap-on, Inc. |
|
|
722 |
|
|
|
81,933 |
|
| Southwest Airlines Co. |
|
|
12,010 |
|
|
|
283,556 |
|
| Spirit AeroSystems Holdings, Inc., Class A † |
|
|
3,937 |
|
|
|
110,984 |
|
| Spirit Airlines, Inc. † |
|
|
3,096 |
|
|
|
183,902 |
|
| Swift Transportation Co. † |
|
|
3,834 |
|
|
|
94,891 |
|
| Terex Corp. |
|
|
1,095 |
|
|
|
48,509 |
|
| Textainer Group Holdings Ltd. |
|
|
298 |
|
|
|
11,404 |
|
| Timken Co./The |
|
|
889 |
|
|
|
52,255 |
|
| Towers Watson & Co., Class A |
|
|
500 |
|
|
|
57,025 |
|
| Trinity Industries, Inc. |
|
|
2,213 |
|
|
|
159,491 |
|
| Triumph Group, Inc. |
|
|
183 |
|
|
|
11,818 |
|
| United Continental Holdings, Inc. † |
|
|
3,964 |
|
|
|
176,913 |
|
| United Rentals, Inc. † |
|
|
1,908 |
|
|
|
181,146 |
|
| URS Corp. |
|
|
1,140 |
|
|
|
53,648 |
|
| Valmont Industries, Inc. |
|
|
109 |
|
|
|
16,224 |
|
| WABCO Holdings, Inc. † |
|
|
780 |
|
|
|
82,337 |
|
| WESCO International, Inc. † |
|
|
747 |
|
|
|
62,165 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,669,741 |
|
|
|
|
|
|
|
|
|
|
| Information Technology - 20.3% |
|
|
|
|
|
|
|
|
| Activision Blizzard, Inc. |
|
|
11,443 |
|
|
|
233,895 |
|
| Advanced Micro Devices, Inc. † |
|
|
14,871 |
|
|
|
59,633 |
|
| Amdocs Ltd. |
|
|
2,572 |
|
|
|
119,495 |
|
| Anixter International, Inc. |
|
|
1,400 |
|
|
|
142,128 |
|
| Apple, Inc. |
|
|
3,000 |
|
|
|
1,610,220 |
|
| ARRIS Group, Inc. † |
|
|
3,900 |
|
|
|
109,902 |
|
| Arrow Electronics, Inc. † |
|
|
1,175 |
|
|
|
69,748 |
|
| Aruba Networks, Inc. † |
|
|
536 |
|
|
|
10,050 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 68 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Information Technology - 20.3% (continued) |
|
| Atmel Corp. † |
|
|
7,466 |
|
|
$ |
62,416 |
|
| Avnet, Inc. |
|
|
1,665 |
|
|
|
77,472 |
|
| Broadridge Financial Solutions, Inc. |
|
|
4,200 |
|
|
|
155,988 |
|
| Brocade Communications Systems, Inc. † |
|
|
16,763 |
|
|
|
177,855 |
|
| CA, Inc. |
|
|
7,566 |
|
|
|
234,319 |
|
| Cadence Design Systems, Inc. † |
|
|
1,184 |
|
|
|
18,399 |
|
| Cisco Systems, Inc. |
|
|
17,912 |
|
|
|
401,408 |
|
| Computer Sciences Corp. |
|
|
1,732 |
|
|
|
105,340 |
|
| Corning, Inc. |
|
|
14,913 |
|
|
|
310,489 |
|
| EchoStar Corp., Class A † |
|
|
803 |
|
|
|
38,191 |
|
| Electronic Arts, Inc. † |
|
|
4,880 |
|
|
|
141,569 |
|
| EMC Corp. |
|
|
2,100 |
|
|
|
57,561 |
|
| Facebook, Inc., Class A † |
|
|
9,700 |
|
|
|
584,328 |
|
| First Solar, Inc. † |
|
|
2,911 |
|
|
|
203,159 |
|
| FLIR Systems, Inc. |
|
|
2,138 |
|
|
|
76,968 |
|
| Freescale Semiconductor Ltd. † |
|
|
3,526 |
|
|
|
86,070 |
|
| Harris Corp. |
|
|
1,473 |
|
|
|
107,765 |
|
| Hewlett-Packard Co. |
|
|
16,007 |
|
|
|
517,987 |
|
| IAC/InterActiveCorp |
|
|
1,754 |
|
|
|
125,218 |
|
| Ingram Micro, Inc., Class A † |
|
|
4,666 |
|
|
|
137,927 |
|
| Intel Corp. |
|
|
27,888 |
|
|
|
719,789 |
|
| Jabil Circuit, Inc. |
|
|
2,817 |
|
|
|
50,706 |
|
| KLA-Tencor Corp. |
|
|
2,860 |
|
|
|
197,740 |
|
| Knowles Corp. † |
|
|
1,135 |
|
|
|
35,832 |
|
| Lam Research Corp. † |
|
|
1,756 |
|
|
|
96,580 |
|
| Leidos Holdings, Inc. |
|
|
1,428 |
|
|
|
50,508 |
|
| Lexmark International, Inc., Class A |
|
|
4,800 |
|
|
|
222,192 |
|
| Marvell Technology Group Ltd. |
|
|
11,156 |
|
|
|
175,707 |
|
| Mentor Graphics Corp. |
|
|
3,560 |
|
|
|
78,391 |
|
| Micron Technology, Inc. † |
|
|
13,217 |
|
|
|
312,714 |
|
| Microsoft Corp. |
|
|
49,689 |
|
|
|
2,036,752 |
|
| Motorola Solutions, Inc. |
|
|
108 |
|
|
|
6,943 |
|
| NCR Corp. † |
|
|
1,808 |
|
|
|
66,082 |
|
| NetApp, Inc. |
|
|
4,377 |
|
|
|
161,511 |
|
| NeuStar, Inc., Class A † |
|
|
1,147 |
|
|
|
37,289 |
|
| NVIDIA Corp. |
|
|
8,383 |
|
|
|
150,140 |
|
| Oracle Corp. |
|
|
264 |
|
|
|
10,800 |
|
| PTC, Inc. † |
|
|
3,500 |
|
|
|
124,005 |
|
| Rovi Corp. † |
|
|
2,459 |
|
|
|
56,016 |
|
| SanDisk Corp. |
|
|
3,072 |
|
|
|
249,416 |
|
| Skyworks Solutions, Inc. † |
|
|
3,242 |
|
|
|
121,640 |
|
| SunPower Corp. † |
|
|
3,307 |
|
|
|
106,684 |
|
| Symantec Corp. |
|
|
2,317 |
|
|
|
46,271 |
|
| Synopsys, Inc. † |
|
|
2,300 |
|
|
|
88,343 |
|
| Ubiquiti Networks, Inc. † |
|
|
1,509 |
|
|
|
68,614 |
|
| VeriSign, Inc. † |
|
|
1,300 |
|
|
|
70,083 |
|
| Western Digital Corp. |
|
|
3,691 |
|
|
|
338,908 |
|
| Western Union Co./The |
|
|
3,320 |
|
|
|
54,315 |
|
| Xerox Corp. |
|
|
19,723 |
|
|
|
222,870 |
|
| Yahoo!, Inc. (2)† |
|
|
2,266 |
|
|
|
81,349 |
|
| Yelp, Inc. † |
|
|
673 |
|
|
|
51,774 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
12,065,464 |
|
|
|
|
|
|
|
|
|
|
| Materials - 2.4% |
|
|
|
|
|
|
|
|
| Avery Dennison Corp. |
|
|
1,487 |
|
|
|
75,346 |
|
| Axiall Corp. |
|
|
502 |
|
|
|
22,550 |
|
| CF Industries Holdings, Inc. |
|
|
131 |
|
|
|
34,144 |
|
| Chemtura Corp. † |
|
|
1,357 |
|
|
|
34,319 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Materials - 2.4% (continued) |
|
|
|
|
|
|
|
|
| Dow Chemical Co./The |
|
|
6,172 |
|
|
$ |
299,897 |
|
| Eastman Chemical Co. |
|
|
466 |
|
|
|
40,174 |
|
| Huntsman Corp. |
|
|
1,049 |
|
|
|
25,617 |
|
| International Paper Co. |
|
|
2,134 |
|
|
|
97,908 |
|
| Louisiana-Pacific Corp. † |
|
|
2,210 |
|
|
|
37,283 |
|
| NewMarket Corp. |
|
|
40 |
|
|
|
15,631 |
|
| Owens-Illinois, Inc. † |
|
|
1,023 |
|
|
|
34,608 |
|
| Packaging Corp. of America |
|
|
880 |
|
|
|
61,926 |
|
| PPG Industries, Inc. |
|
|
668 |
|
|
|
129,231 |
|
| Reliance Steel & Aluminum Co. |
|
|
782 |
|
|
|
55,256 |
|
| Rock-Tenn Co., Class A |
|
|
1,257 |
|
|
|
132,701 |
|
| Sealed Air Corp. |
|
|
1,498 |
|
|
|
49,239 |
|
| Sherwin-Williams Co./The |
|
|
94 |
|
|
|
18,530 |
|
| Steel Dynamics, Inc. |
|
|
1,671 |
|
|
|
29,727 |
|
| Valspar Corp./The |
|
|
188 |
|
|
|
13,559 |
|
| Westlake Chemical Corp. |
|
|
2,490 |
|
|
|
164,788 |
|
| Worthington Industries, Inc. |
|
|
1,059 |
|
|
|
40,507 |
|
| WR Grace & Co. † |
|
|
428 |
|
|
|
42,445 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,455,386 |
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services - 0.4% |
|
|
|
|
|
|
|
|
| Telephone & Data Systems, Inc. |
|
|
2,148 |
|
|
|
56,299 |
|
| Verizon Communications, Inc. |
|
|
3,300 |
|
|
|
156,981 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
213,280 |
|
|
|
|
|
|
|
|
|
|
| Utilities - 0.1% |
|
|
|
|
|
|
|
|
| Portland General Electric Co. |
|
|
195 |
|
|
|
6,306 |
|
| UGI Corp. |
|
|
720 |
|
|
|
32,839 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
39,145 |
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCKS
(cost $52,455,533) |
|
|
|
|
|
|
57,994,522 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| EXCHANGE-TRADED FUNDS - 1.3% |
|
|
|
|
|
|
|
|
| SPDR S&P 500 ETF Trust
(cost $710,673) |
|
|
3,967 |
|
|
|
741,988 |
|
|
|
|
|
|
|
|
|
|
| MONEY MARKET FUNDS - 1.0% |
|
|
|
|
|
|
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (2)(a) |
|
|
|
|
|
|
|
|
| (cost $592,982) |
|
|
592,982 |
|
|
|
592,982 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS - 100.1%
(cost $53,759,188) |
|
|
|
|
|
|
59,329,492 |
|
|
|
|
|
|
|
|
|
|
| LIABILITIES IN EXCESS OF OTHER ASSETS - (0.1%) |
|
|
|
|
|
|
(54,251) |
|
|
|
|
|
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
|
|
|
$ |
59,275,241 |
|
|
|
|
|
|
|
|
|
|
All securities are United States companies, unless noted otherwise in parentheses.
| † |
Non income-producing security. |
| (a) |
Represents annualized seven-day yield as of March 31, 2014. |
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 |
|
|
|
|
|
March 2014 |
|
69 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR SMALL CAP CORE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCKS - 99.1% |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Consumer Discretionary - 20.8% |
|
|
|
|
|
|
|
|
| 1-800-Flowers.com, Inc., Class A † |
|
|
977 |
|
|
$ |
5,500 |
|
| A. H. Belo Corp., Class A |
|
|
600 |
|
|
|
6,948 |
|
| American Axle & Manufacturing Holdings, Inc. † |
|
|
994 |
|
|
|
18,409 |
|
| American Public Education, Inc. † |
|
|
208 |
|
|
|
7,297 |
|
| ANN, Inc. † |
|
|
579 |
|
|
|
24,017 |
|
| Apollo Education Group, Inc. † |
|
|
195 |
|
|
|
6,677 |
|
| Arctic Cat, Inc. |
|
|
165 |
|
|
|
7,885 |
|
| Asbury Automotive Group, Inc. † |
|
|
332 |
|
|
|
18,363 |
|
| Ascent Capital Group, Inc., Class A † |
|
|
88 |
|
|
|
6,648 |
|
| bebe stores, Inc. |
|
|
842 |
|
|
|
5,153 |
|
| Big 5 Sporting Goods Corp. |
|
|
735 |
|
|
|
11,797 |
|
| Big Lots, Inc. † |
|
|
344 |
|
|
|
13,027 |
|
| Biglari Holdings, Inc. † |
|
|
20 |
|
|
|
9,750 |
|
| Bon-Ton Stores, Inc./The |
|
|
362 |
|
|
|
3,975 |
|
| Bridgepoint Education, Inc. † |
|
|
882 |
|
|
|
13,133 |
|
| Brown Shoe Co., Inc. |
|
|
755 |
|
|
|
20,038 |
|
| Buckle, Inc./The |
|
|
200 |
|
|
|
9,160 |
|
| Caesars Entertainment Corp. † |
|
|
257 |
|
|
|
4,886 |
|
| Callaway Golf Co. |
|
|
740 |
|
|
|
7,563 |
|
| Capella Education Co. |
|
|
265 |
|
|
|
16,735 |
|
| Career Education Corp. † |
|
|
1,400 |
|
|
|
10,444 |
|
| Carmike Cinemas, Inc. † |
|
|
269 |
|
|
|
8,032 |
|
| Cato Corp./The, Class A |
|
|
439 |
|
|
|
11,871 |
|
| Century Casinos, Inc. † |
|
|
1,689 |
|
|
|
12,110 |
|
| Children’s Place Retail Stores, Inc./The |
|
|
317 |
|
|
|
15,790 |
|
| Christopher & Banks Corp. † |
|
|
928 |
|
|
|
6,134 |
|
| Citi Trends, Inc. † |
|
|
562 |
|
|
|
9,155 |
|
| Collectors Universe, Inc. |
|
|
400 |
|
|
|
7,528 |
|
| Columbia Sportswear Co. |
|
|
177 |
|
|
|
14,629 |
|
| Core-Mark Holding Co., Inc. |
|
|
164 |
|
|
|
11,906 |
|
| Cracker Barrel Old Country Store, Inc. |
|
|
244 |
|
|
|
23,727 |
|
| CSS Industries, Inc. |
|
|
240 |
|
|
|
6,480 |
|
| Cumulus Media, Inc., Class A † |
|
|
1,100 |
|
|
|
7,601 |
|
| Deckers Outdoor Corp. † |
|
|
124 |
|
|
|
9,886 |
|
| Denny’s Corp. † |
|
|
799 |
|
|
|
5,138 |
|
| Destination Maternity Corp. |
|
|
619 |
|
|
|
16,961 |
|
| Destination XL Group, Inc. † |
|
|
934 |
|
|
|
5,268 |
|
| DeVry Education Group, Inc. |
|
|
207 |
|
|
|
8,775 |
|
| Dex Media, Inc. † |
|
|
1,912 |
|
|
|
17,590 |
|
| Dixie Group, Inc./The † |
|
|
353 |
|
|
|
5,796 |
|
| Drew Industries, Inc. |
|
|
266 |
|
|
|
14,417 |
|
| Education Management Corp. † |
|
|
2,000 |
|
|
|
9,740 |
|
| Einstein Noah Restaurant Group, Inc. |
|
|
302 |
|
|
|
4,971 |
|
| Entercom Communications Corp., Class A † |
|
|
458 |
|
|
|
4,612 |
|
| Entravision Communications Corp., Class A |
|
|
1,913 |
|
|
|
12,817 |
|
| EW Scripps Co., Class A † |
|
|
621 |
|
|
|
11,004 |
|
| Express, Inc. † |
|
|
344 |
|
|
|
5,463 |
|
| Finish Line, Inc./The, Class A |
|
|
909 |
|
|
|
24,625 |
|
| Fred’s, Inc., Class A |
|
|
630 |
|
|
|
11,346 |
|
| FTD Cos., Inc. † |
|
|
213 |
|
|
|
6,776 |
|
| Genesco, Inc. † |
|
|
260 |
|
|
|
19,388 |
|
| G-III Apparel Group Ltd. † |
|
|
337 |
|
|
|
24,122 |
|
| Grand Canyon Education, Inc. † |
|
|
524 |
|
|
|
24,471 |
|
| Gray Television, Inc. † |
|
|
1,154 |
|
|
|
11,967 |
|
| Group 1 Automotive, Inc. |
|
|
31 |
|
|
|
2,035 |
|
| Guess?, Inc. |
|
|
200 |
|
|
|
5,520 |
|
| Harte-Hanks, Inc. |
|
|
569 |
|
|
|
5,030 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Consumer Discretionary - 20.8% (continued) |
|
|
|
|
|
| Haverty Furniture Cos., Inc. |
|
|
443 |
|
|
$ |
13,157 |
|
| Helen of Troy Ltd. † |
|
|
400 |
|
|
|
27,692 |
|
| hhgregg, Inc. † |
|
|
803 |
|
|
|
7,717 |
|
| Iconix Brand Group, Inc. † |
|
|
598 |
|
|
|
23,483 |
|
| ITT Educational Services, Inc. † |
|
|
572 |
|
|
|
16,405 |
|
| Jack in the Box, Inc. † |
|
|
100 |
|
|
|
5,894 |
|
| Journal Communications, Inc., Class A † |
|
|
1,151 |
|
|
|
10,198 |
|
| K12, Inc. † |
|
|
312 |
|
|
|
7,067 |
|
| Kirkland’s, Inc. † |
|
|
527 |
|
|
|
9,744 |
|
| La-Z-Boy, Inc. |
|
|
755 |
|
|
|
20,460 |
|
| Lee Enterprises, Inc. (2)† |
|
|
3,380 |
|
|
|
15,109 |
|
| LifeLock, Inc. † |
|
|
600 |
|
|
|
10,266 |
|
| Lithia Motors, Inc., Class A |
|
|
226 |
|
|
|
15,020 |
|
| Lumber Liquidators Holdings, Inc. † |
|
|
76 |
|
|
|
7,129 |
|
| Marcus Corp./The |
|
|
301 |
|
|
|
5,027 |
|
| Mattress Firm Holding Corp. † |
|
|
100 |
|
|
|
4,783 |
|
| McClatchy Co./The, Class A † |
|
|
1,190 |
|
|
|
7,640 |
|
| MDC Partners, Inc., Class A |
|
|
885 |
|
|
|
20,196 |
|
| Men’s Wearhouse, Inc./The |
|
|
600 |
|
|
|
29,388 |
|
| Meredith Corp. |
|
|
550 |
|
|
|
25,536 |
|
| Modine Manufacturing Co. † |
|
|
580 |
|
|
|
8,497 |
|
| Monarch Casino & Resort, Inc. † |
|
|
549 |
|
|
|
10,173 |
|
| Motorcar Parts of America, Inc. † |
|
|
691 |
|
|
|
18,360 |
|
| Movado Group, Inc. |
|
|
192 |
|
|
|
8,746 |
|
| Multimedia Games Holding Co., Inc. † |
|
|
571 |
|
|
|
16,582 |
|
| NACCO Industries, Inc., Class A |
|
|
85 |
|
|
|
4,608 |
|
| Nautilus, Inc. † |
|
|
1,611 |
|
|
|
15,514 |
|
| New York Times Co./The, Class A |
|
|
260 |
|
|
|
4,451 |
|
| Nexstar Broadcasting Group, Inc., Class A |
|
|
546 |
|
|
|
20,486 |
|
| Nutrisystem, Inc. |
|
|
706 |
|
|
|
10,639 |
|
| Orbitz Worldwide, Inc. † |
|
|
2,099 |
|
|
|
16,456 |
|
| Outerwall, Inc. † |
|
|
358 |
|
|
|
25,955 |
|
| Overstock.com, Inc. † |
|
|
596 |
|
|
|
11,741 |
|
| Penn National Gaming, Inc. † |
|
|
496 |
|
|
|
6,111 |
|
| PetMed Express, Inc. |
|
|
329 |
|
|
|
4,412 |
|
| Quiksilver, Inc. † |
|
|
941 |
|
|
|
7,067 |
|
| Red Robin Gourmet Burgers, Inc. † |
|
|
200 |
|
|
|
14,336 |
|
| Rick’s Cabaret International, Inc. † |
|
|
977 |
|
|
|
11,011 |
|
| Ruth’s Hospitality Group, Inc. |
|
|
879 |
|
|
|
10,627 |
|
| Ryland Group, Inc./The |
|
|
106 |
|
|
|
4,233 |
|
| Scholastic Corp. |
|
|
248 |
|
|
|
8,551 |
|
| Shiloh Industries, Inc. † |
|
|
786 |
|
|
|
13,944 |
|
| Shoe Carnival, Inc. |
|
|
536 |
|
|
|
12,349 |
|
| Sinclair Broadcast Group, Inc., Class A |
|
|
239 |
|
|
|
6,474 |
|
| Sizmek, Inc. † |
|
|
1,000 |
|
|
|
10,630 |
|
| Skechers U.S.A., Inc., Class A † |
|
|
762 |
|
|
|
27,843 |
|
| Smith & Wesson Holding Corp. † |
|
|
1,229 |
|
|
|
17,968 |
|
| Sonic Corp. † |
|
|
404 |
|
|
|
9,207 |
|
| Standard Motor Products, Inc. |
|
|
311 |
|
|
|
11,124 |
|
| Stein Mart, Inc. |
|
|
942 |
|
|
|
13,197 |
|
| Steiner Leisure Ltd. (Bahamas) † |
|
|
200 |
|
|
|
9,250 |
|
| Steven Madden Ltd. † |
|
|
400 |
|
|
|
14,392 |
|
| Stoneridge, Inc. † |
|
|
1,218 |
|
|
|
13,678 |
|
| Strayer Education, Inc. † |
|
|
246 |
|
|
|
11,422 |
|
| Sturm, Ruger & Co., Inc. |
|
|
270 |
|
|
|
16,146 |
|
| Superior Industries International, Inc. |
|
|
254 |
|
|
|
5,204 |
|
| Tower International, Inc. † |
|
|
526 |
|
|
|
14,318 |
|
| Tuesday Morning Corp. † |
|
|
567 |
|
|
|
8,023 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 70 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR SMALL CAP CORE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Consumer Discretionary - 20.8% (continued) |
|
|
|
|
|
| Unifi, Inc. † |
|
|
281 |
|
|
$ |
6,483 |
|
| Universal Electronics, Inc. † |
|
|
259 |
|
|
|
9,943 |
|
| ValueVision Media, Inc., Class A † |
|
|
1,131 |
|
|
|
5,497 |
|
| VOXX International Corp. † |
|
|
877 |
|
|
|
11,997 |
|
| Winnebago Industries, Inc. † |
|
|
332 |
|
|
|
9,093 |
|
| Zumiez, Inc. † |
|
|
537 |
|
|
|
13,017 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,421,752 |
|
|
|
|
|
|
|
|
|
|
| Consumer Staples - 3.8% |
|
|
|
|
|
|
|
|
| Andersons, Inc./The |
|
|
400 |
|
|
|
23,696 |
|
| Chiquita Brands International, Inc. (2)† |
|
|
1,040 |
|
|
|
12,948 |
|
| Farmer Bros Co. † |
|
|
525 |
|
|
|
10,342 |
|
| Female Health Co./The |
|
|
431 |
|
|
|
3,344 |
|
| Fresh Del Monte Produce, Inc. |
|
|
96 |
|
|
|
2,647 |
|
| Harbinger Group, Inc. † |
|
|
281 |
|
|
|
3,437 |
|
| Ingles Markets, Inc., Class A |
|
|
610 |
|
|
|
14,530 |
|
| Inter Parfums, Inc. |
|
|
370 |
|
|
|
13,398 |
|
| John B. Sanfilippo & Son, Inc. |
|
|
531 |
|
|
|
12,224 |
|
| Liberator Medical Holdings, Inc. |
|
|
1,600 |
|
|
|
6,288 |
|
| Medifast, Inc. † |
|
|
238 |
|
|
|
6,923 |
|
| Omega Protein Corp. † |
|
|
1,237 |
|
|
|
14,931 |
|
| Revlon, Inc., Class A † |
|
|
413 |
|
|
|
10,552 |
|
| Rite Aid Corp. † |
|
|
1,247 |
|
|
|
7,819 |
|
| Roundy’s, Inc. |
|
|
868 |
|
|
|
5,972 |
|
| Sanderson Farms, Inc. |
|
|
361 |
|
|
|
28,335 |
|
| Spartan Stores, Inc. |
|
|
748 |
|
|
|
17,361 |
|
| SUPERVALU, Inc. † |
|
|
3,307 |
|
|
|
22,620 |
|
| Synutra International, Inc. † |
|
|
1,200 |
|
|
|
8,028 |
|
| USANA Health Sciences, Inc. † |
|
|
257 |
|
|
|
19,362 |
|
| Weis Markets, Inc. |
|
|
296 |
|
|
|
14,578 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
259,335 |
|
|
|
|
|
|
|
|
|
|
| Energy - 4.4% |
|
|
|
|
|
|
|
|
| Abraxas Petroleum Corp. † |
|
|
3,386 |
|
|
|
13,409 |
|
| Adams Resources & Energy, Inc. |
|
|
100 |
|
|
|
5,792 |
|
| Alon USA Energy, Inc. |
|
|
200 |
|
|
|
2,988 |
|
| Basic Energy Services, Inc. † |
|
|
314 |
|
|
|
8,607 |
|
| Bonanza Creek Energy, Inc. † |
|
|
117 |
|
|
|
5,195 |
|
| Carrizo Oil & Gas, Inc. † |
|
|
136 |
|
|
|
7,271 |
|
| Delek US Holdings, Inc. |
|
|
120 |
|
|
|
3,485 |
|
| Exterran Holdings, Inc. |
|
|
80 |
|
|
|
3,510 |
|
| Geospace Technologies Corp. † |
|
|
67 |
|
|
|
4,433 |
|
| Green Plains Renewable Energy, Inc. |
|
|
886 |
|
|
|
26,545 |
|
| Matador Resources Co. † |
|
|
280 |
|
|
|
6,857 |
|
| Matrix Service Co. † |
|
|
631 |
|
|
|
21,315 |
|
| Natural Gas Services Group, Inc. † |
|
|
265 |
|
|
|
7,987 |
|
| Newpark Resources, Inc. † |
|
|
900 |
|
|
|
10,305 |
|
| Parker Drilling Co. † |
|
|
2,121 |
|
|
|
15,038 |
|
| Penn Virginia Corp. † |
|
|
1,708 |
|
|
|
29,873 |
|
| PHI, Inc. † |
|
|
100 |
|
|
|
4,424 |
|
| Renewable Energy Group, Inc. † |
|
|
1,529 |
|
|
|
18,317 |
|
| REX American Resources Corp. † |
|
|
301 |
|
|
|
17,172 |
|
| Sanchez Energy Corp. † |
|
|
195 |
|
|
|
5,778 |
|
| Stone Energy Corp. † |
|
|
641 |
|
|
|
26,903 |
|
| Tesco Corp. † |
|
|
571 |
|
|
|
10,563 |
|
| Warren Resources, Inc. † |
|
|
3,603 |
|
|
|
17,294 |
|
| Westmoreland Coal Co. † |
|
|
500 |
|
|
|
14,890 |
|
| Willbros Group, Inc. † |
|
|
964 |
|
|
|
12,166 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
300,117 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Financials - 22.1% |
|
|
|
|
|
|
|
|
| 1st Source Corp. |
|
|
498 |
|
|
$
|
15,981 |
|
| American Equity Investment Life Holding Co. |
|
|
1,074 |
|
|
|
25,368 |
|
| Ameris Bancorp † |
|
|
517 |
|
|
|
12,046 |
|
| Argo Group International Holdings Ltd. |
|
|
534 |
|
|
|
24,511 |
|
| Arlington Asset Investment Corp., Class A |
|
|
505 |
|
|
|
13,372 |
|
| Ashford Hospitality Trust, Inc. REIT |
|
|
1,146 |
|
|
|
12,916 |
|
| BancFirst Corp. |
|
|
100 |
|
|
|
5,663 |
|
| Banco Latinoamericano de Comercio Exterior SA, Class E (Panama) |
|
|
116 |
|
|
|
3,064 |
|
| BancorpSouth, Inc. |
|
|
300 |
|
|
|
7,488 |
|
| Bank of Kentucky Financial Corp. |
|
|
158 |
|
|
|
5,931 |
|
| Banner Corp. |
|
|
272 |
|
|
|
11,209 |
|
| BBCN Bancorp, Inc. |
|
|
501 |
|
|
|
8,587 |
|
| BGC Partners, Inc., Class A |
|
|
3,177 |
|
|
|
20,778 |
|
| BNC Bancorp |
|
|
400 |
|
|
|
6,932 |
|
| BofI Holding, Inc. † |
|
|
149 |
|
|
|
12,777 |
|
| Bryn Mawr Bank Corp. |
|
|
200 |
|
|
|
5,746 |
|
| Capital Southwest Corp. |
|
|
200 |
|
|
|
6,944 |
|
| Center Bancorp, Inc. |
|
|
400 |
|
|
|
7,600 |
|
| Chemical Financial Corp. |
|
|
178 |
|
|
|
5,776 |
|
| CoBiz Financial, Inc. |
|
|
304 |
|
|
|
3,502 |
|
| Community Trust Bancorp, Inc. |
|
|
334 |
|
|
|
13,854 |
|
| Cowen Group, Inc., Class A † |
|
|
1,505 |
|
|
|
6,637 |
|
| Eagle Bancorp, Inc. † |
|
|
220 |
|
|
|
7,942 |
|
| EMC Insurance Group, Inc. |
|
|
425 |
|
|
|
15,100 |
|
| Employers Holdings, Inc. |
|
|
638 |
|
|
|
12,907 |
|
| Encore Capital Group, Inc. † |
|
|
400 |
|
|
|
18,280 |
|
| Endurance Specialty Holdings Ltd. |
|
|
576 |
|
|
|
31,006 |
|
| Enterprise Financial Services Corp. |
|
|
906 |
|
|
|
18,183 |
|
| EverBank Financial Corp. |
|
|
222 |
|
|
|
4,380 |
|
| FBL Financial Group, Inc., Class A |
|
|
351 |
|
|
|
15,205 |
|
| FBR & Co. † |
|
|
469 |
|
|
|
12,114 |
|
| Federal Agricultural Mortgage Corp., Class C |
|
|
148 |
|
|
|
4,921 |
|
| Fidelity Southern Corp. |
|
|
525 |
|
|
|
7,334 |
|
| Financial Institutions, Inc. |
|
|
274 |
|
|
|
6,308 |
|
| First Bancorp |
|
|
400 |
|
|
|
7,600 |
|
| First Citizens BancShares, Inc., Class A |
|
|
73 |
|
|
|
17,575 |
|
| First Defiance Financial Corp. |
|
|
251 |
|
|
|
6,807 |
|
| First Interstate Bancsystem, Inc. |
|
|
1,064 |
|
|
|
30,026 |
|
| First Merchants Corp. |
|
|
727 |
|
|
|
15,732 |
|
| First Midwest Bancorp, Inc. |
|
|
746 |
|
|
|
12,742 |
|
| Firsthand Technology Value Fund, Inc. |
|
|
237 |
|
|
|
5,060 |
|
| Flagstar Bancorp, Inc. † |
|
|
717 |
|
|
|
15,932 |
|
| Flushing Financial Corp. |
|
|
290 |
|
|
|
6,110 |
|
| Fulton Financial Corp. |
|
|
266 |
|
|
|
3,346 |
|
| GFI Group, Inc. (2) |
|
|
1,077 |
|
|
|
3,823 |
|
| Gladstone Capital Corp. |
|
|
640 |
|
|
|
6,451 |
|
| Gladstone Investment Corp. |
|
|
822 |
|
|
|
6,798 |
|
| Great Southern Bancorp, Inc. |
|
|
200 |
|
|
|
6,006 |
|
| Greenlight Capital Re Ltd., Class A (Cayman Islands) † |
|
|
543 |
|
|
|
17,810 |
|
| GSV Capital Corp. † |
|
|
600 |
|
|
|
6,084 |
|
| Hanmi Financial Corp. |
|
|
480 |
|
|
|
11,184 |
|
| Hanover Insurance Group, Inc./The |
|
|
517 |
|
|
|
31,765 |
|
| HCI Group, Inc. |
|
|
310 |
|
|
|
11,284 |
|
| Heartland Financial USA, Inc. |
|
|
197 |
|
|
|
5,317 |
|
| Hercules Technology Growth Capital, Inc. |
|
|
1,170 |
|
|
|
16,462 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
71 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR SMALL CAP CORE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Financials - 22.1% (continued) |
|
|
|
|
|
|
|
|
| Hilltop Holdings, Inc. † |
|
|
999 |
|
|
$
|
23,766 |
|
| Horace Mann Educators Corp. |
|
|
805 |
|
|
|
23,345 |
|
| Independent Bank Corp. † |
|
|
995 |
|
|
|
12,915 |
|
| International Bancshares Corp. |
|
|
854 |
|
|
|
21,418 |
|
| Investment Technology Group, Inc. † |
|
|
699 |
|
|
|
14,120 |
|
| Kansas City Life Insurance Co. |
|
|
100 |
|
|
|
4,820 |
|
| Kemper Corp. |
|
|
710 |
|
|
|
27,811 |
|
| Ladenburg Thalmann Financial Services, Inc. † |
|
|
2,345 |
|
|
|
7,082 |
|
| Lakeland Bancorp, Inc. |
|
|
338 |
|
|
|
3,803 |
|
| Lakeland Financial Corp. |
|
|
356 |
|
|
|
14,318 |
|
| Maiden Holdings Ltd. |
|
|
1,302 |
|
|
|
16,249 |
|
| MainSource Financial Group, Inc. |
|
|
400 |
|
|
|
6,840 |
|
| MB Financial, Inc. |
|
|
652 |
|
|
|
20,186 |
|
| MBIA, Inc. † |
|
|
349 |
|
|
|
4,883 |
|
| Medallion Financial Corp. |
|
|
295 |
|
|
|
3,897 |
|
| Meta Financial Group, Inc. |
|
|
436 |
|
|
|
19,555 |
|
| MGIC Investment Corp. † |
|
|
627 |
|
|
|
5,342 |
|
| Montpelier Re Holdings Ltd. |
|
|
460 |
|
|
|
13,690 |
|
| MVC Capital, Inc. |
|
|
500 |
|
|
|
6,775 |
|
| National Western Life Insurance Co., Class A |
|
|
61 |
|
|
|
14,915 |
|
| Navigators Group, Inc./The † |
|
|
220 |
|
|
|
13,506 |
|
| Nelnet, Inc., Class A |
|
|
608 |
|
|
|
24,867 |
|
| New Mountain Finance Corp. |
|
|
380 |
|
|
|
5,529 |
|
| NGP Capital Resources Co. |
|
|
487 |
|
|
|
3,292 |
|
| OneBeacon Insurance Group Ltd., Class A |
|
|
800 |
|
|
|
12,368 |
|
| Oppenheimer Holdings, Inc., Class A |
|
|
400 |
|
|
|
11,220 |
|
| Pacific Continental Corp. |
|
|
500 |
|
|
|
6,880 |
|
| PHH Corp. † |
|
|
315 |
|
|
|
8,140 |
|
| Phoenix Cos., Inc./The † |
|
|
257 |
|
|
|
13,300 |
|
| Piper Jaffray Cos. † |
|
|
250 |
|
|
|
11,450 |
|
| Platinum Underwriters Holdings Ltd. |
|
|
381 |
|
|
|
22,898 |
|
| Primerica, Inc. |
|
|
730 |
|
|
|
34,390 |
|
| PrivateBancorp, Inc. |
|
|
900 |
|
|
|
27,459 |
|
| Provident Financial Holdings, Inc. |
|
|
289 |
|
|
|
4,456 |
|
| Radian Group, Inc. |
|
|
372 |
|
|
|
5,591 |
|
| Regional Management Corp. † |
|
|
353 |
|
|
|
8,705 |
|
| Renasant Corp. |
|
|
209 |
|
|
|
6,072 |
|
| S&T Bancorp, Inc. |
|
|
606 |
|
|
|
14,362 |
|
| Safety Insurance Group, Inc. |
|
|
329 |
|
|
|
17,717 |
|
| Sandy Spring Bancorp, Inc. |
|
|
342 |
|
|
|
8,543 |
|
| Selective Insurance Group, Inc. |
|
|
647 |
|
|
|
15,088 |
|
| Southside Bancshares, Inc. |
|
|
300 |
|
|
|
9,414 |
|
| StanCorp Financial Group, Inc. |
|
|
319 |
|
|
|
21,309 |
|
| State Auto Financial Corp. |
|
|
400 |
|
|
|
8,524 |
|
| Stewart Information Services Corp. |
|
|
539 |
|
|
|
18,935 |
|
| SY Bancorp, Inc. |
|
|
300 |
|
|
|
9,492 |
|
| Symetra Financial Corp. |
|
|
1,785 |
|
|
|
35,379 |
|
| Synovus Financial Corp. |
|
|
970 |
|
|
|
3,288 |
|
| Texas Capital Bancshares, Inc. † |
|
|
162 |
|
|
|
10,520 |
|
| THL Credit, Inc. |
|
|
300 |
|
|
|
4,140 |
|
| TICC Capital Corp. (2) |
|
|
559 |
|
|
|
5,467 |
|
| Tompkins Financial Corp. |
|
|
100 |
|
|
|
4,896 |
|
| Trico Bancshares |
|
|
541 |
|
|
|
14,028 |
|
| TrustCo Bank Corp. |
|
|
1,000 |
|
|
|
7,040 |
|
| Umpqua Holdings Corp. |
|
|
735 |
|
|
|
13,700 |
|
| Union First Market Bankshares Corp. |
|
|
369 |
|
|
|
9,380 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Financials - 22.1% (continued) |
|
|
|
|
|
|
|
|
| United Community Banks, Inc. † |
|
|
1,071 |
|
|
$
|
20,788 |
|
| United Fire Group, Inc. |
|
|
424 |
|
|
|
12,868 |
|
| Universal Insurance Holdings, Inc. |
|
|
945 |
|
|
|
12,002 |
|
| Univest Corp. of Pennsylvania |
|
|
400 |
|
|
|
8,208 |
|
| Washington Federal, Inc. |
|
|
962 |
|
|
|
22,415 |
|
| Webster Financial Corp. |
|
|
80 |
|
|
|
2,485 |
|
| WesBanco, Inc. |
|
|
647 |
|
|
|
20,594 |
|
| Western Alliance Bancorp † |
|
|
1,049 |
|
|
|
25,805 |
|
| Wilshire Bancorp, Inc. |
|
|
833 |
|
|
|
9,246 |
|
| Wintrust Financial Corp. |
|
|
100 |
|
|
|
4,866 |
|
| World Acceptance Corp. † |
|
|
117 |
|
|
|
8,784 |
|
| WSFS Financial Corp. |
|
|
188 |
|
|
|
13,429 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,512,841 |
|
|
|
|
|
|
|
|
|
|
| Health Care - 7.0% |
|
|
|
|
|
|
|
|
| Addus HomeCare Corp. † |
|
|
601 |
|
|
|
13,853 |
|
| Affymetrix, Inc. † |
|
|
1,200 |
|
|
|
8,556 |
|
| Albany Molecular Research, Inc. † |
|
|
598 |
|
|
|
11,117 |
|
| Alere, Inc. † |
|
|
221 |
|
|
|
7,591 |
|
| Alliance HealthCare Services, Inc. † |
|
|
364 |
|
|
|
12,205 |
|
| Almost Family, Inc. † |
|
|
505 |
|
|
|
11,665 |
|
| Amedisys, Inc. † |
|
|
676 |
|
|
|
10,066 |
|
| AMN Healthcare Services, Inc. † |
|
|
191 |
|
|
|
2,624 |
|
| Amsurg Corp. † |
|
|
400 |
|
|
|
18,832 |
|
| Anika Therapeutics, Inc. † |
|
|
429 |
|
|
|
17,632 |
|
| BioTelemetry, Inc. † |
|
|
871 |
|
|
|
8,788 |
|
| Cambrex Corp. † |
|
|
412 |
|
|
|
7,774 |
|
| Cardiovascular Systems, Inc. † |
|
|
131 |
|
|
|
4,164 |
|
| Corvel Corp. † |
|
|
224 |
|
|
|
11,146 |
|
| Cross Country Healthcare, Inc. † |
|
|
800 |
|
|
|
6,456 |
|
| CryoLife, Inc. |
|
|
563 |
|
|
|
5,607 |
|
| Depomed, Inc. † |
|
|
500 |
|
|
|
7,250 |
|
| Emergent Biosolutions, Inc. † |
|
|
435 |
|
|
|
10,992 |
|
| Exactech, Inc. † |
|
|
300 |
|
|
|
6,768 |
|
| Fonar Corp. † |
|
|
584 |
|
|
|
10,267 |
|
| Gentiva Health Services, Inc. † |
|
|
713 |
|
|
|
6,503 |
|
| Globus Medical, Inc., Class A † |
|
|
800 |
|
|
|
21,272 |
|
| Greatbatch, Inc. † |
|
|
81 |
|
|
|
3,720 |
|
| Healthways, Inc. † |
|
|
319 |
|
|
|
5,468 |
|
| Hill-Rom Holdings, Inc. |
|
|
303 |
|
|
|
11,678 |
|
| ICU Medical, Inc. † |
|
|
100 |
|
|
|
5,988 |
|
| Impax Laboratories, Inc. † |
|
|
600 |
|
|
|
15,852 |
|
| Insys Therapeutics, Inc. † |
|
|
194 |
|
|
|
8,017 |
|
| Invacare Corp. |
|
|
526 |
|
|
|
10,031 |
|
| Kindred Healthcare, Inc. |
|
|
992 |
|
|
|
23,233 |
|
| LHC Group, Inc. † |
|
|
437 |
|
|
|
9,640 |
|
| Magellan Health Services, Inc. † |
|
|
128 |
|
|
|
7,597 |
|
| MedAssets, Inc. † |
|
|
132 |
|
|
|
3,262 |
|
| Molina Healthcare, Inc. † |
|
|
258 |
|
|
|
9,690 |
|
| Myriad Genetics, Inc. † |
|
|
220 |
|
|
|
7,522 |
|
| Natus Medical, Inc. † |
|
|
500 |
|
|
|
12,900 |
|
| NuVasive, Inc. † |
|
|
586 |
|
|
|
22,508 |
|
| Omnicell, Inc. † |
|
|
200 |
|
|
|
5,724 |
|
| PDL BioPharma, Inc. |
|
|
2,234 |
|
|
|
18,565 |
|
| PharMerica Corp. † |
|
|
511 |
|
|
|
14,298 |
|
| PhotoMedex, Inc. † |
|
|
422 |
|
|
|
6,680 |
|
| Prestige Brands Holdings, Inc. † |
|
|
209 |
|
|
|
5,695 |
|
| Providence Service Corp./The † |
|
|
519 |
|
|
|
14,677 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 72 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR SMALL CAP CORE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Health Care - 7.0% (continued) |
|
|
|
|
|
|
|
|
| Repligen Corp. † |
|
|
1,025 |
|
|
$
|
13,182 |
|
| SciClone Pharmaceuticals, Inc. † |
|
|
680 |
|
|
|
3,094 |
|
| Select Medical Holdings Corp. |
|
|
600 |
|
|
|
7,470 |
|
| Sucampo Pharmaceuticals, Inc., Class A † |
|
|
800 |
|
|
|
5,720 |
|
| Vascular Solutions, Inc. † |
|
|
227 |
|
|
|
5,945 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
479,284 |
|
|
|
|
|
|
|
|
|
|
| Industrials - 15.9% |
|
|
|
|
|
|
|
|
| AAR Corp. |
|
|
534 |
|
|
|
13,857 |
|
| Aceto Corp. |
|
|
566 |
|
|
|
11,371 |
|
| Aegion Corp. † |
|
|
137 |
|
|
|
3,467 |
|
| Air Transport Services Group, Inc. † |
|
|
525 |
|
|
|
4,121 |
|
| Aircastle Ltd. |
|
|
327 |
|
|
|
6,337 |
|
| Alamo Group, Inc. |
|
|
124 |
|
|
|
6,737 |
|
| Albany International Corp., Class A |
|
|
81 |
|
|
|
2,879 |
|
| Allegiant Travel Co. |
|
|
76 |
|
|
|
8,507 |
|
| Altra Industrial Motion Corp. |
|
|
169 |
|
|
|
6,033 |
|
| American Railcar Industries, Inc. |
|
|
166 |
|
|
|
11,625 |
|
| ARC Document Solutions, Inc. † |
|
|
1,473 |
|
|
|
10,959 |
|
| ARC Group Worldwide, Inc. † |
|
|
300 |
|
|
|
10,302 |
|
| Argan, Inc. |
|
|
206 |
|
|
|
6,124 |
|
| Arkansas Best Corp. |
|
|
541 |
|
|
|
19,990 |
|
| Arotech Corp. † |
|
|
1,200 |
|
|
|
7,464 |
|
| Barrett Business Services, Inc. |
|
|
136 |
|
|
|
8,102 |
|
| Brink’s Co./The |
|
|
365 |
|
|
|
10,421 |
|
| Broadwind Energy, Inc. † |
|
|
1,264 |
|
|
|
15,446 |
|
| CBIZ, Inc. † |
|
|
713 |
|
|
|
6,531 |
|
| Ceco Environmental Corp. |
|
|
400 |
|
|
|
6,636 |
|
| Celadon Group, Inc. |
|
|
184 |
|
|
|
4,423 |
|
| Cenveo, Inc. (2)† |
|
|
1,304 |
|
|
|
3,964 |
|
| CIRCOR International, Inc. |
|
|
223 |
|
|
|
16,353 |
|
| Columbus McKinnon Corp. † |
|
|
368 |
|
|
|
9,859 |
|
| Comfort Systems USA, Inc. |
|
|
375 |
|
|
|
5,715 |
|
| Curtiss-Wright Corp. |
|
|
99 |
|
|
|
6,290 |
|
| Deluxe Corp. |
|
|
625 |
|
|
|
32,794 |
|
| Ducommun, Inc. † |
|
|
528 |
|
|
|
13,232 |
|
| DXP Enterprises, Inc. † |
|
|
139 |
|
|
|
13,195 |
|
| Dycom Industries, Inc. † |
|
|
174 |
|
|
|
5,500 |
|
| Dynamic Materials Corp. |
|
|
195 |
|
|
|
3,713 |
|
| Eagle Bulk Shipping, Inc. † |
|
|
2,213 |
|
|
|
8,830 |
|
| EnerNOC, Inc. † |
|
|
238 |
|
|
|
5,303 |
|
| EnerSys, Inc. |
|
|
259 |
|
|
|
17,946 |
|
| Engility Holdings, Inc. † |
|
|
480 |
|
|
|
21,624 |
|
| Ennis, Inc. |
|
|
300 |
|
|
|
4,971 |
|
| Erickson Air-Crane, Inc. † |
|
|
509 |
|
|
|
9,829 |
|
| Federal Signal Corp. † |
|
|
1,240 |
|
|
|
18,476 |
|
| Franklin Covey Co. † |
|
|
300 |
|
|
|
5,931 |
|
| FTI Consulting, Inc. † |
|
|
167 |
|
|
|
5,568 |
|
| G&K Services, Inc., Class A |
|
|
196 |
|
|
|
11,989 |
|
| GenCorp, Inc. † |
|
|
480 |
|
|
|
8,770 |
|
| Gibraltar Industries, Inc. † |
|
|
390 |
|
|
|
7,359 |
|
| Greenbrier Cos., Inc./The † |
|
|
300 |
|
|
|
13,680 |
|
| H&E Equipment Services, Inc. † |
|
|
258 |
|
|
|
10,436 |
|
| Hardinge, Inc. |
|
|
179 |
|
|
|
2,578 |
|
| Hawaiian Holdings, Inc. † |
|
|
1,293 |
|
|
|
18,050 |
|
| Heidrick & Struggles International, Inc. |
|
|
300 |
|
|
|
6,021 |
|
| Herman Miller, Inc. |
|
|
412 |
|
|
|
13,238 |
|
| HNI Corp. |
|
|
113 |
|
|
|
4,131 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Industrials - 15.9% (continued) |
|
|
|
|
|
|
|
|
| Huron Consulting Group, Inc. † |
|
|
333 |
|
|
$
|
21,106 |
|
| Hyster-Yale Materials Handling, Inc. |
|
|
233 |
|
|
|
22,718 |
|
| ICF International, Inc. † |
|
|
426 |
|
|
|
16,959 |
|
| International Shipholding Corp. |
|
|
227 |
|
|
|
6,683 |
|
| JetBlue Airways Corp. † |
|
|
2,810 |
|
|
|
24,419 |
|
| John Bean Technologies Corp. |
|
|
230 |
|
|
|
7,107 |
|
| Kadant, Inc. |
|
|
170 |
|
|
|
6,200 |
|
| Kelly Services, Inc., Class A |
|
|
567 |
|
|
|
13,455 |
|
| Kforce, Inc. |
|
|
364 |
|
|
|
7,760 |
|
| Kimball International, Inc., Class B |
|
|
964 |
|
|
|
17,458 |
|
| Korn/Ferry International † |
|
|
700 |
|
|
|
20,839 |
|
| Kratos Defense & Security Solutions, Inc. † |
|
|
1,128 |
|
|
|
8,505 |
|
| LB Foster Co., Class A |
|
|
116 |
|
|
|
5,435 |
|
| Lydall, Inc. † |
|
|
307 |
|
|
|
7,021 |
|
| Manitex International, Inc. † |
|
|
683 |
|
|
|
11,133 |
|
| Marten Transport Ltd. |
|
|
300 |
|
|
|
6,456 |
|
| Meritor, Inc. † |
|
|
663 |
|
|
|
8,122 |
|
| Multi-Color Corp. |
|
|
300 |
|
|
|
10,500 |
|
| MYR Group, Inc. † |
|
|
222 |
|
|
|
5,621 |
|
| Navigant Consulting, Inc. † |
|
|
1,002 |
|
|
|
18,697 |
|
| NN, Inc. |
|
|
763 |
|
|
|
15,031 |
|
| Northwest Pipe Co. † |
|
|
230 |
|
|
|
8,317 |
|
| Orbital Sciences Corp. † |
|
|
379 |
|
|
|
10,574 |
|
| Orion Energy Systems, Inc. † |
|
|
1,100 |
|
|
|
7,975 |
|
| Orion Marine Group, Inc. † |
|
|
341 |
|
|
|
4,286 |
|
| Park-Ohio Holdings Corp. † |
|
|
326 |
|
|
|
18,305 |
|
| Patrick Industries, Inc. † |
|
|
306 |
|
|
|
13,565 |
|
| PGT, Inc. † |
|
|
1,115 |
|
|
|
12,834 |
|
| Powell Industries, Inc. |
|
|
103 |
|
|
|
6,674 |
|
| Quad/Graphics, Inc. |
|
|
361 |
|
|
|
8,465 |
|
| Quality Distribution, Inc. † |
|
|
801 |
|
|
|
10,405 |
|
| RPX Corp. † |
|
|
1,276 |
|
|
|
20,773 |
|
| RR Donnelley & Sons Co. |
|
|
425 |
|
|
|
7,607 |
|
| Rush Enterprises, Inc., Class A † |
|
|
246 |
|
|
|
7,990 |
|
| Saia, Inc. † |
|
|
394 |
|
|
|
15,055 |
|
| Sparton Corp. † |
|
|
200 |
|
|
|
5,856 |
|
| Spirit Airlines, Inc. † |
|
|
296 |
|
|
|
17,582 |
|
| Standex International Corp. |
|
|
106 |
|
|
|
5,679 |
|
| Steelcase, Inc., Class A |
|
|
607 |
|
|
|
10,082 |
|
| Swift Transportation Co. † |
|
|
404 |
|
|
|
9,999 |
|
| Taser International, Inc. † |
|
|
539 |
|
|
|
9,858 |
|
| TrueBlue, Inc. † |
|
|
483 |
|
|
|
14,133 |
|
| Tutor Perini Corp. † |
|
|
746 |
|
|
|
21,388 |
|
| UniFirst Corp. |
|
|
189 |
|
|
|
20,779 |
|
| United Stationers, Inc. |
|
|
204 |
|
|
|
8,378 |
|
| Universal Truckload Services, Inc. |
|
|
220 |
|
|
|
6,358 |
|
| VSE Corp. |
|
|
100 |
|
|
|
5,270 |
|
| Wabash National Corp. † |
|
|
731 |
|
|
|
10,059 |
|
| West Corp. |
|
|
500 |
|
|
|
11,965 |
|
| Xerium Technologies, Inc. † |
|
|
853 |
|
|
|
13,691 |
|
| YRC Worldwide, Inc. † |
|
|
722 |
|
|
|
16,245 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,088,049 |
|
|
|
|
|
|
|
|
|
|
| Information Technology - 19.6% |
|
|
|
|
|
|
|
|
| Advanced Energy Industries, Inc. † |
|
|
346 |
|
|
|
8,477 |
|
| Advent Software, Inc. |
|
|
200 |
|
|
|
5,872 |
|
| Alliance Fiber Optic Products, Inc. |
|
|
685 |
|
|
|
9,912 |
|
| Ambarella, Inc. † |
|
|
400 |
|
|
|
10,684 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
73 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR SMALL CAP CORE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Information Technology - 19.6% (continued) |
|
|
|
|
|
| Amkor Technology, Inc. † |
|
|
3,416 |
|
|
$
|
23,434 |
|
| Audience, Inc. † |
|
|
638 |
|
|
|
7,975 |
|
| Autobytel, Inc. † |
|
|
500 |
|
|
|
6,215 |
|
| AVX Corp. |
|
|
765 |
|
|
|
10,083 |
|
| Axcelis Technologies, Inc. † |
|
|
5,223 |
|
|
|
11,229 |
|
| Bankrate, Inc. † |
|
|
400 |
|
|
|
6,776 |
|
| Benchmark Electronics, Inc. † |
|
|
712 |
|
|
|
16,127 |
|
| Black Box Corp. |
|
|
400 |
|
|
|
9,736 |
|
| Blucora, Inc. † |
|
|
715 |
|
|
|
14,078 |
|
| Booz Allen Hamilton Holding Corp. |
|
|
613 |
|
|
|
13,486 |
|
| Brightcove, Inc. † |
|
|
700 |
|
|
|
6,881 |
|
| CACI International, Inc., Class A † |
|
|
252 |
|
|
|
18,598 |
|
| CalAmp Corp. † |
|
|
412 |
|
|
|
11,482 |
|
| Calix, Inc. † |
|
|
447 |
|
|
|
3,768 |
|
| Callidus Software, Inc. † |
|
|
500 |
|
|
|
6,260 |
|
| Cascade Microtech, Inc. † |
|
|
550 |
|
|
|
5,555 |
|
| Checkpoint Systems, Inc. † |
|
|
664 |
|
|
|
8,911 |
|
| CIBER, Inc. † |
|
|
1,400 |
|
|
|
6,412 |
|
| Ciena Corp. † |
|
|
300 |
|
|
|
6,822 |
|
| Clearfield, Inc. † |
|
|
253 |
|
|
|
5,842 |
|
| comScore, Inc. † |
|
|
400 |
|
|
|
13,116 |
|
| Comtech Telecommunications Corp. |
|
|
200 |
|
|
|
6,372 |
|
| Constant Contact, Inc. † |
|
|
400 |
|
|
|
9,784 |
|
| Convergys Corp. |
|
|
1,134 |
|
|
|
24,846 |
|
| Conversant, Inc. † |
|
|
163 |
|
|
|
4,588 |
|
| CSG Systems International, Inc. |
|
|
649 |
|
|
|
16,900 |
|
| CTS Corp. |
|
|
300 |
|
|
|
6,264 |
|
| Daktronic, Inc. |
|
|
420 |
|
|
|
6,044 |
|
| eGain Corp. † |
|
|
593 |
|
|
|
4,187 |
|
| Electronics For Imaging, Inc. † |
|
|
511 |
|
|
|
22,131 |
|
| Emulex Corp. † |
|
|
1,443 |
|
|
|
10,664 |
|
| Entegris, Inc. † |
|
|
780 |
|
|
|
9,446 |
|
| EPAM Systems, Inc. † |
|
|
200 |
|
|
|
6,580 |
|
| ePlus, Inc. † |
|
|
277 |
|
|
|
15,446 |
|
| Euronet Worldwide, Inc. † |
|
|
500 |
|
|
|
20,795 |
|
| Extreme Networks, Inc. † |
|
|
1,630 |
|
|
|
9,454 |
|
| Fabrinet (Cayman Islands) † |
|
|
559 |
|
|
|
11,610 |
|
| Finisar Corp. † |
|
|
1,358 |
|
|
|
36,001 |
|
| FormFactor, Inc. † |
|
|
763 |
|
|
|
4,876 |
|
| Global Cash Access Holdings, Inc. † |
|
|
593 |
|
|
|
4,068 |
|
| GSI Group, Inc. † |
|
|
476 |
|
|
|
6,217 |
|
| Hackett Group, Inc./The |
|
|
1,923 |
|
|
|
11,500 |
|
| Harmonic, Inc. † |
|
|
1,413 |
|
|
|
10,089 |
|
| Heartland Payment Systems, Inc. |
|
|
136 |
|
|
|
5,637 |
|
| iGATE Corp. † |
|
|
856 |
|
|
|
26,998 |
|
| Imation Corp. † |
|
|
1,400 |
|
|
|
8,078 |
|
| Information Services Group, Inc. † |
|
|
2,761 |
|
|
|
13,556 |
|
| Insight Enterprises, Inc. † |
|
|
551 |
|
|
|
13,836 |
|
| Integrated Device Technology, Inc. † |
|
|
900 |
|
|
|
11,007 |
|
| Integrated Silicon Solution, Inc. † |
|
|
783 |
|
|
|
12,176 |
|
| International Rectifier Corp. † |
|
|
797 |
|
|
|
21,838 |
|
| Intersil Corp., Class A |
|
|
1,512 |
|
|
|
19,535 |
|
| Intralinks Holdings, Inc. † |
|
|
1,147 |
|
|
|
11,734 |
|
| j2 Global, Inc. |
|
|
561 |
|
|
|
28,078 |
|
| Lattice Semiconductor Corp. † |
|
|
900 |
|
|
|
7,056 |
|
| Lexmark International, Inc., Class A |
|
|
393 |
|
|
|
18,192 |
|
| LogMeIn, Inc. † |
|
|
200 |
|
|
|
8,978 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Information Technology - 19.6% (continued) |
|
|
|
|
|
| ManTech International Corp., Class A |
|
|
211 |
|
|
$
|
6,205 |
|
| Mattson Technology, Inc. † |
|
|
3,790 |
|
|
|
8,793 |
|
| MaxLinear, Inc., Class A † |
|
|
700 |
|
|
|
6,636 |
|
| Mentor Graphics Corp. |
|
|
1,310 |
|
|
|
28,846 |
|
| Mercury Systems, Inc. † |
|
|
600 |
|
|
|
7,926 |
|
| Methode Electronics, Inc. |
|
|
388 |
|
|
|
11,896 |
|
| ModusLink Global Solutions, Inc. † |
|
|
1,300 |
|
|
|
5,499 |
|
| MoneyGram International, Inc. † |
|
|
756 |
|
|
|
13,343 |
|
| Monotype Imaging Holdings, Inc. |
|
|
91 |
|
|
|
2,743 |
|
| Netscout Systems, Inc. † |
|
|
255 |
|
|
|
9,583 |
|
| Newport Corp. † |
|
|
267 |
|
|
|
5,522 |
|
| OmniVision Technologies, Inc. † |
|
|
800 |
|
|
|
14,160 |
|
| PC Connection, Inc. |
|
|
633 |
|
|
|
12,863 |
|
| Pegasystems, Inc. |
|
|
492 |
|
|
|
17,377 |
|
| Perceptron, Inc. |
|
|
500 |
|
|
|
6,065 |
|
| Perficient, Inc. † |
|
|
600 |
|
|
|
10,872 |
|
| Photronics, Inc. † |
|
|
1,112 |
|
|
|
9,485 |
|
| Plantronics, Inc. |
|
|
212 |
|
|
|
9,423 |
|
| Plexus Corp. † |
|
|
593 |
|
|
|
23,762 |
|
| Polycom, Inc. † |
|
|
900 |
|
|
|
12,348 |
|
| Power Integrations, Inc. |
|
|
80 |
|
|
|
5,262 |
|
| QLogic Corp. † |
|
|
1,017 |
|
|
|
12,967 |
|
| QuinStreet, Inc. † |
|
|
1,592 |
|
|
|
10,571 |
|
| RF Industries Ltd. |
|
|
1,207 |
|
|
|
7,870 |
|
| RF Micro Devices, Inc. † |
|
|
1,000 |
|
|
|
7,880 |
|
| Sanmina Corp. † |
|
|
1,160 |
|
|
|
20,242 |
|
| ScanSource, Inc. † |
|
|
479 |
|
|
|
19,529 |
|
| Seachange International, Inc. † |
|
|
228 |
|
|
|
2,380 |
|
| ShoreTel, Inc. † |
|
|
1,300 |
|
|
|
11,180 |
|
| Sigma Designs, Inc. † |
|
|
1,729 |
|
|
|
8,230 |
|
| Silicon Image, Inc. † |
|
|
2,000 |
|
|
|
13,800 |
|
| Spansion, Inc., Class A † |
|
|
500 |
|
|
|
8,710 |
|
| Stamps.com, Inc. † |
|
|
326 |
|
|
|
10,941 |
|
| SunPower Corp. † |
|
|
189 |
|
|
|
6,097 |
|
| Super Micro Computer, Inc. † |
|
|
857 |
|
|
|
14,886 |
|
| Sykes Enterprises, Inc. † |
|
|
920 |
|
|
|
18,280 |
|
| Synaptics, Inc. † |
|
|
479 |
|
|
|
28,750 |
|
| SYNNEX Corp. † |
|
|
445 |
|
|
|
26,971 |
|
| Take-Two Interactive Software, Inc. † |
|
|
964 |
|
|
|
21,141 |
|
| TeleTech Holdings, Inc. † |
|
|
614 |
|
|
|
15,049 |
|
| Tessco Technologies, Inc. |
|
|
197 |
|
|
|
7,360 |
|
| TiVo, Inc. † |
|
|
688 |
|
|
|
9,102 |
|
| Travelzoo, Inc. † |
|
|
411 |
|
|
|
9,412 |
|
| Ubiquiti Networks, Inc. † |
|
|
171 |
|
|
|
7,775 |
|
| Ultra Clean Holdings, Inc. † |
|
|
956 |
|
|
|
12,571 |
|
| Unisys Corp. † |
|
|
627 |
|
|
|
19,098 |
|
| United Online, Inc. |
|
|
1,108 |
|
|
|
12,808 |
|
| Vishay Intertechnology, Inc. |
|
|
522 |
|
|
|
7,767 |
|
| Web.com Group, Inc. † |
|
|
600 |
|
|
|
20,418 |
|
| WebMD Health Corp. † |
|
|
100 |
|
|
|
4,140 |
|
| XO Group, Inc. † |
|
|
526 |
|
|
|
5,334 |
|
| Zebra Technologies Corp., Class A † |
|
|
100 |
|
|
|
6,941 |
|
| Zhone Technologies, Inc. † |
|
|
1,597 |
|
|
|
6,739 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,335,840 |
|
|
|
|
|
|
|
|
|
|
| Materials - 3.1% |
|
|
|
|
|
|
|
|
| A Schulman, Inc. |
|
|
96 |
|
|
|
3,481 |
|
| A.M. Castle & Co. † |
|
|
360 |
|
|
|
5,288 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 74 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR SMALL CAP CORE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Materials - 3.1% (continued) |
|
|
|
|
|
|
|
|
| AK Steel Holding Corp. † |
|
|
872 |
|
|
$
|
6,296 |
|
| Clearwater Paper Corp. † |
|
|
155 |
|
|
|
9,714 |
|
| Ferro Corp. † |
|
|
800 |
|
|
|
10,928 |
|
| Flotek Industries, Inc. † |
|
|
194 |
|
|
|
5,403 |
|
| FutureFuel Corp. |
|
|
454 |
|
|
|
9,216 |
|
| Innospec, Inc. |
|
|
159 |
|
|
|
7,192 |
|
| KapStone Paper and Packaging Corp. † |
|
|
530 |
|
|
|
15,285 |
|
| Koppers Holdings, Inc. |
|
|
71 |
|
|
|
2,927 |
|
| Materion Corp. |
|
|
151 |
|
|
|
5,123 |
|
| Minerals Technologies, Inc. |
|
|
259 |
|
|
|
16,721 |
|
| Myers Industries, Inc. |
|
|
430 |
|
|
|
8,566 |
|
| Neenah Paper, Inc. |
|
|
208 |
|
|
|
10,758 |
|
| Olin Corp. |
|
|
348 |
|
|
|
9,608 |
|
| Olympic Steel, Inc. |
|
|
350 |
|
|
|
10,045 |
|
| OM Group, Inc. |
|
|
391 |
|
|
|
12,989 |
|
| OMNOVA Solutions, Inc. † |
|
|
557 |
|
|
|
5,782 |
|
| PH Glatfelter Co. |
|
|
386 |
|
|
|
10,507 |
|
| Quaker Chemical Corp. |
|
|
141 |
|
|
|
11,115 |
|
| Schweitzer-Mauduit International, Inc. |
|
|
169 |
|
|
|
7,198 |
|
| US Concrete, Inc. † |
|
|
273 |
|
|
|
6,415 |
|
| US Silica Holdings, Inc. |
|
|
263 |
|
|
|
10,039 |
|
| Worthington Industries, Inc. |
|
|
229 |
|
|
|
8,759 |
|
| Zep, Inc. |
|
|
280 |
|
|
|
4,956 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
214,311 |
|
|
|
|
|
|
|
|
|
|
| Telecommunication Services - 2.3% |
|
|
|
|
|
|
|
|
| 8x8, Inc. † |
|
|
750 |
|
|
|
8,107 |
|
| Alaska Communications Systems Group, Inc. † |
|
|
4,000 |
|
|
|
7,720 |
|
| Atlantic Tele-Network, Inc. |
|
|
216 |
|
|
|
14,239 |
|
| FairPoint Communications, Inc. † |
|
|
600 |
|
|
|
8,160 |
|
| Hawaiian Telcom Holdco, Inc. † |
|
|
300 |
|
|
|
8,547 |
|
| IDT Corp., Class B |
|
|
795 |
|
|
|
13,245 |
|
| Inteliquent, Inc. |
|
|
1,175 |
|
|
|
17,073 |
|
| Lumos Networks Corp. |
|
|
500 |
|
|
|
6,685 |
|
| NTELOS Holdings Corp. |
|
|
267 |
|
|
|
3,604 |
|
| Premiere Global Services, Inc. † |
|
|
532 |
|
|
|
6,416 |
|
| Shenandoah Telecommunications Co. |
|
|
504 |
|
|
|
16,274 |
|
| Straight Path Communications, Inc., Class B † |
|
|
200 |
|
|
|
1,472 |
|
| Telephone & Data Systems, Inc. |
|
|
300 |
|
|
|
7,863 |
|
| USA Mobility, Inc. |
|
|
946 |
|
|
|
17,189 |
|
| Vonage Holdings Corp. † |
|
|
4,964 |
|
|
|
21,196 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
157,790 |
|
|
|
|
|
|
|
|
|
|
| Utilities - 0.1% |
|
|
|
|
|
|
|
|
Consolidated Water Co., Ltd.
(Cayman Islands) |
|
|
600 |
|
|
|
7,908 |
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCKS
(cost $5,883,655) |
|
|
|
|
|
|
6,777,227 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| EXCHANGE-TRADED FUNDS - 0.5% |
|
|
|
|
|
|
|
|
| iShares Russell 2000 ETF
(cost $28,018) |
|
|
261 |
|
|
|
30,365 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| MONEY MARKET FUNDS - 0.6% |
|
|
|
|
|
|
|
|
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares,
0.000% (2)(a) |
|
|
|
|
|
|
|
|
| (cost $41,330) |
|
|
41,330 |
|
|
$ |
41,330 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS - 100.2%
(cost $5,953,003) |
|
|
|
|
|
|
6,848,922 |
|
|
|
|
|
|
|
|
|
|
| LIABILITIES IN EXCESS OF OTHER ASSETS - (0.2%) |
|
|
|
|
|
|
(11,496) |
|
|
|
|
|
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
|
|
|
$ |
6,837,426 |
|
|
|
|
|
|
|
|
|
|
All securities are United States companies, unless noted otherwise in parentheses.
| † |
Non income-producing security. |
| (a) |
Represents annualized seven-day yield as of March 31, 2014. |
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 |
|
|
|
|
|
March 2014 |
|
75 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR INTERNATIONAL CORE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| COMMON STOCKS - 97.7% |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Australia - 2.1% |
|
|
|
|
|
|
|
|
| Insurance Australia Group Ltd. |
|
|
10,056 |
|
|
$ |
52,010 |
|
| Macquarie Group Ltd. |
|
|
1,150 |
|
|
|
62,010 |
|
| National Australia Bank Ltd. |
|
|
714 |
|
|
|
23,541 |
|
| Suncorp Group Ltd. |
|
|
3,725 |
|
|
|
44,579 |
|
| Tatts Group Ltd. |
|
|
823 |
|
|
|
2,216 |
|
| Telstra Corp. Ltd. |
|
|
60,905 |
|
|
|
287,194 |
|
| Wesfarmers Ltd. |
|
|
416 |
|
|
|
15,939 |
|
| Westpac Banking Corp. |
|
|
419 |
|
|
|
13,472 |
|
| Woolworths Ltd. |
|
|
511 |
|
|
|
16,946 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
517,907 |
|
|
|
|
|
|
|
|
|
|
| Austria - 1.8% |
|
|
|
|
|
|
|
|
| Andritz AG |
|
|
484 |
|
|
|
29,926 |
|
| Erste Group Bank AG |
|
|
1,258 |
|
|
|
43,036 |
|
| Flughafen Wien AG |
|
|
378 |
|
|
|
37,459 |
|
| Oesterreichische Post AG |
|
|
282 |
|
|
|
14,212 |
|
| OMV AG |
|
|
2,665 |
|
|
|
120,969 |
|
| Raiffeisen Bank International AG |
|
|
1,585 |
|
|
|
52,891 |
|
| Strabag SE |
|
|
723 |
|
|
|
18,733 |
|
| Vienna Insurance Group AG Wiener Versicherung Gruppe |
|
|
892 |
|
|
|
44,078 |
|
| Voestalpine AG |
|
|
967 |
|
|
|
42,556 |
|
| Wienerberger AG |
|
|
3,230 |
|
|
|
61,881 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
465,741 |
|
|
|
|
|
|
|
|
|
|
| Belgium - 1.3% |
|
|
|
|
|
|
|
|
| Belgacom SA |
|
|
3,860 |
|
|
|
120,944 |
|
| Colruyt SA |
|
|
241 |
|
|
|
13,285 |
|
| Delhaize Group SA |
|
|
982 |
|
|
|
71,816 |
|
| KBC Groep NV |
|
|
1,995 |
|
|
|
122,864 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
328,909 |
|
|
|
|
|
|
|
|
|
|
| Canada - 9.9% |
|
|
|
|
|
|
|
|
| Alimentation Couche Tard, Inc., Class B (1) |
|
|
3,394 |
|
|
|
274,498 |
|
| Canadian Tire Corp. Ltd., Class A (1) |
|
|
3,390 |
|
|
|
319,620 |
|
| Empire Co., Ltd., Class A (1) |
|
|
3,904 |
|
|
|
238,972 |
|
| Genworth MI Canada, Inc. (1) |
|
|
3,400 |
|
|
|
116,009 |
|
| Gildan Activewear, Inc. (1) |
|
|
90 |
|
|
|
4,536 |
|
| Industrial Alliance Insurance & Financial Services, Inc. (1) |
|
|
2,438 |
|
|
|
100,255 |
|
| Loblaw Cos., Ltd. (1) |
|
|
3,949 |
|
|
|
167,533 |
|
| Magna International, Inc. (1) |
|
|
2,854 |
|
|
|
274,376 |
|
| Manulife Financial Corp. (1) |
|
|
5,802 |
|
|
|
111,894 |
|
| National Bank of Canada (1) |
|
|
5,500 |
|
|
|
220,398 |
|
| Pengrowth Energy Corp. (1) |
|
|
9,500 |
|
|
|
57,490 |
|
| Rogers Communications, Inc., Class B (1) |
|
|
565 |
|
|
|
23,413 |
|
| Stantec, Inc. (1) |
|
|
1,900 |
|
|
|
116,131 |
|
| Sun Life Financial, Inc. (1) |
|
|
8,155 |
|
|
|
282,382 |
|
| Suncor Energy, Inc. (1) |
|
|
3,600 |
|
|
|
125,731 |
|
| West Fraser Timber Co., Ltd. (1) |
|
|
952 |
|
|
|
43,488 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,476,726 |
|
|
|
|
|
|
|
|
|
|
| China - 0.2% |
|
|
|
|
|
|
|
|
| FIH Mobile Ltd. † |
|
|
96,000 |
|
|
|
53,047 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Denmark - 3.2% |
|
|
|
|
|
|
|
|
| AP Moeller - Maersk A/S, Class B |
|
|
22 |
|
|
|
263,313 |
|
| Carlsberg A/S, Class B |
|
|
119 |
|
|
|
11,830 |
|
| Pandora A/S |
|
|
920 |
|
|
|
60,718 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Denmark - 3.2% (continued) |
|
|
|
|
|
|
|
|
| TDC A/S |
|
|
36,241 |
|
|
$ |
335,206 |
|
| Tryg A/S |
|
|
676 |
|
|
|
66,868 |
|
| Vestas Wind Systems A/S † |
|
|
1,625 |
|
|
|
65,153 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
803,088 |
|
|
|
|
|
|
|
|
|
|
| Finland - 0.5% |
|
|
|
|
|
|
|
|
| Huhtamaki OYJ |
|
|
1,511 |
|
|
|
41,432 |
|
| Orion OYJ, Class B |
|
|
162 |
|
|
|
4,891 |
|
| Sampo, A Shares |
|
|
1,584 |
|
|
|
82,225 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
128,548 |
|
|
|
|
|
|
|
|
|
|
| France - 6.4% |
|
|
|
|
|
|
|
|
| BNP Paribas SA |
|
|
4,474 |
|
|
|
344,942 |
|
| Bouygues SA |
|
|
1,362 |
|
|
|
56,754 |
|
| Cap Gemini SA |
|
|
1,530 |
|
|
|
115,831 |
|
| Cie Generale des Etablissements Michelin |
|
|
481 |
|
|
|
60,132 |
|
| Credit Agricole SA † |
|
|
5,900 |
|
|
|
92,986 |
|
| Electricite de France |
|
|
4,079 |
|
|
|
161,286 |
|
| Natixis |
|
|
22,361 |
|
|
|
164,224 |
|
| Orange SA |
|
|
4,263 |
|
|
|
62,972 |
|
| Safran SA |
|
|
1,893 |
|
|
|
131,146 |
|
| Sanofi |
|
|
391 |
|
|
|
40,859 |
|
| Societe Generale SA |
|
|
1,265 |
|
|
|
77,868 |
|
| Suez Environnement Co. |
|
|
5,495 |
|
|
|
111,580 |
|
| Total SA |
|
|
1,334 |
|
|
|
87,810 |
|
| Zodiac Aerospace |
|
|
3,181 |
|
|
|
112,388 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,620,778 |
|
|
|
|
|
|
|
|
|
|
| Germany - 8.3% |
|
|
|
|
|
|
|
|
| Allianz SE |
|
|
928 |
|
|
|
156,849 |
|
| Bayerische Motoren Werke AG |
|
|
424 |
|
|
|
53,579 |
|
| Commerzbank AG † |
|
|
3,474 |
|
|
|
63,901 |
|
| Continental AG |
|
|
876 |
|
|
|
210,080 |
|
| Daimler AG |
|
|
3,115 |
|
|
|
294,676 |
|
| Deutsche Lufthansa AG † |
|
|
4,391 |
|
|
|
115,130 |
|
| Deutsche Post AG |
|
|
4,330 |
|
|
|
160,978 |
|
| Deutsche Telekom AG |
|
|
20,209 |
|
|
|
327,903 |
|
| Hannover Rueck SE |
|
|
1,033 |
|
|
|
92,403 |
|
| Merck KGaA |
|
|
306 |
|
|
|
51,532 |
|
| Metro AG |
|
|
1,535 |
|
|
|
62,615 |
|
| Muenchener Rueckversicherungs AG |
|
|
1,368 |
|
|
|
298,932 |
|
| ProSiebenSat.1 Media AG |
|
|
1,324 |
|
|
|
60,731 |
|
| Suedzucker AG |
|
|
310 |
|
|
|
8,841 |
|
| Talanx AG |
|
|
3,356 |
|
|
|
120,720 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,078,870 |
|
|
|
|
|
|
|
|
|
|
| Hong Kong - 2.6% |
|
|
|
|
|
|
|
|
| Cheung Kong Holdings Ltd. |
|
|
1,000 |
|
|
|
16,628 |
|
| Galaxy Entertainment Group Ltd. † |
|
|
4,000 |
|
|
|
34,913 |
|
| Henderson Land Development Co., Ltd. |
|
|
1,100 |
|
|
|
6,437 |
|
| Hongkong Land Holdings Ltd. |
|
|
2,000 |
|
|
|
12,954 |
|
| Hutchison Whampoa Ltd. |
|
|
6,000 |
|
|
|
79,631 |
|
| Hysan Development Co., Ltd. |
|
|
1,000 |
|
|
|
4,364 |
|
| Johnson Electric Holdings Ltd. |
|
|
62,000 |
|
|
|
57,347 |
|
| Kerry Properties Ltd. |
|
|
1,000 |
|
|
|
3,335 |
|
| Link REIT/The REIT |
|
|
1,500 |
|
|
|
7,397 |
|
| MGM China Holdings Ltd. |
|
|
13,600 |
|
|
|
48,049 |
|
| NWS Holdings Ltd. |
|
|
18,000 |
|
|
|
30,377 |
|
| PCCW Ltd. |
|
|
81,000 |
|
|
|
40,690 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 76 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR INTERNATIONAL CORE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Hong Kong - 2.6% (continued) |
|
|
|
|
|
|
|
|
| SJM Holdings Ltd. |
|
|
32,000 |
|
|
$ |
90,151 |
|
| Swire Properties Ltd. |
|
|
2,600 |
|
|
|
7,422 |
|
| Techtronic Industries Co. |
|
|
16,500 |
|
|
|
46,069 |
|
| Wharf Holdings Ltd. |
|
|
19,000 |
|
|
|
121,860 |
|
| Wheelock & Co., Ltd. |
|
|
9,000 |
|
|
|
35,272 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
642,896 |
|
|
|
|
|
|
|
|
|
|
| Israel - 0.1% |
|
|
|
|
|
|
|
|
| Azrieli Group |
|
|
695 |
|
|
|
24,319 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| Italy - 1.8% |
|
|
|
|
|
|
|
|
| Gtech Spa |
|
|
2,437 |
|
|
|
74,040 |
|
| Intesa Sanpaolo SpA |
|
|
19,509 |
|
|
|
66,198 |
|
| Parmalat SpA |
|
|
28,460 |
|
|
|
98,061 |
|
| UniCredit SpA |
|
|
6,798 |
|
|
|
62,141 |
|
| Unione di Banche Italiane SCpA |
|
|
9,228 |
|
|
|
87,064 |
|
| UnipolSai SpA † |
|
|
15,458 |
|
|
|
59,266 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
446,770 |
|
|
|
|
|
|
|
|
|
|
| Japan - 32.4% |
|
|
|
|
|
|
|
|
| 77 Bank Ltd./The |
|
|
12,000 |
|
|
|
53,901 |
|
| Acom Co., Ltd. † |
|
|
26,400 |
|
|
|
84,352 |
|
| Aiful Corp. † |
|
|
28,300 |
|
|
|
86,429 |
|
| Aisin Seiki Co., Ltd. |
|
|
1,200 |
|
|
|
43,316 |
|
| Alps Electric Co., Ltd. |
|
|
8,900 |
|
|
|
105,937 |
|
| Bank of Yokohama Ltd./The |
|
|
10,000 |
|
|
|
49,881 |
|
| Bridgestone Corp. |
|
|
2,300 |
|
|
|
81,514 |
|
| Brother Industries Ltd. |
|
|
8,300 |
|
|
|
116,052 |
|
| Casio Computer Co., Ltd. |
|
|
4,900 |
|
|
|
57,937 |
|
| Chiba Bank Ltd./The |
|
|
7,000 |
|
|
|
43,087 |
|
| Chugoku Bank Ltd./The |
|
|
3,000 |
|
|
|
39,980 |
|
| Credit Saison Co., Ltd. |
|
|
1,300 |
|
|
|
25,853 |
|
| Dai-ichi Life Insurance Co., Ltd./The |
|
|
3,000 |
|
|
|
43,641 |
|
| Daikin Industries Ltd. |
|
|
1,300 |
|
|
|
72,903 |
|
| Daiwa Securities Group, Inc. |
|
|
22,000 |
|
|
|
191,141 |
|
| Denso Corp. |
|
|
3,400 |
|
|
|
163,052 |
|
| DIC Corp. |
|
|
17,000 |
|
|
|
44,616 |
|
| Fuji Electric Co., Ltd. |
|
|
11,000 |
|
|
|
49,178 |
|
| Fuji Heavy Industries Ltd. |
|
|
4,000 |
|
|
|
108,319 |
|
| FUJIFILM Holdings Corp. |
|
|
600 |
|
|
|
16,105 |
|
| Fukuoka Financial Group, Inc. |
|
|
10,000 |
|
|
|
41,076 |
|
| GungHo Online Entertainment, Inc. |
|
|
15,800 |
|
|
|
85,888 |
|
| Gunma Bank Ltd./The |
|
|
7,000 |
|
|
|
38,073 |
|
| Hachijuni Bank Ltd./The |
|
|
7,000 |
|
|
|
39,779 |
|
| Haseko Corp. |
|
|
15,600 |
|
|
|
97,555 |
|
| Hino Motors Ltd. |
|
|
7,000 |
|
|
|
103,671 |
|
| Hiroshima Bank Ltd./The |
|
|
11,000 |
|
|
|
45,928 |
|
| Hitachi Capital Corp. |
|
|
3,100 |
|
|
|
66,215 |
|
| Hitachi Ltd. |
|
|
11,000 |
|
|
|
81,423 |
|
| Hokuhoku Financial Group, Inc. |
|
|
72,000 |
|
|
|
138,052 |
|
| Isuzu Motors Ltd. |
|
|
7,000 |
|
|
|
40,192 |
|
| Iyo Bank Ltd./The |
|
|
4,000 |
|
|
|
38,182 |
|
| Joyo Bank Ltd./The |
|
|
6,000 |
|
|
|
29,906 |
|
| JTEKT Corp. |
|
|
3,200 |
|
|
|
47,504 |
|
| Juroku Bank Ltd./The |
|
|
6,000 |
|
|
|
20,922 |
|
| Kansai Electric Power Co., Inc./The † |
|
|
4,200 |
|
|
|
43,052 |
|
| KDDI Corp. |
|
|
4,200 |
|
|
|
243,873 |
|
| Keiyo Bank Ltd./The |
|
|
5,000 |
|
|
|
21,295 |
|
| Kobe Steel Ltd. |
|
|
49,000 |
|
|
|
65,025 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Japan - 32.4% (continued) |
|
|
|
|
|
|
|
|
| Koito Manufacturing Co., Ltd. |
|
|
2,000 |
|
|
$ |
33,917 |
|
| Mazda Motor Corp. |
|
|
12,000 |
|
|
|
53,311 |
|
| Minebea Co., Ltd. |
|
|
7,000 |
|
|
|
62,330 |
|
| Mitsubishi Electric Corp. |
|
|
17,000 |
|
|
|
191,366 |
|
| Mitsubishi Motors Corp. |
|
|
3,700 |
|
|
|
38,642 |
|
| Mitsubishi UFJ Financial Group, Inc. |
|
|
20,200 |
|
|
|
111,237 |
|
| Mitsubishi UFJ Lease & Finance Co., Ltd. |
|
|
24,800 |
|
|
|
121,745 |
|
| Mitsui OSK Lines Ltd. |
|
|
12,000 |
|
|
|
46,677 |
|
| MS&AD Insurance Group Holdings |
|
|
2,500 |
|
|
|
57,228 |
|
| Namco Bandai Holdings, Inc. |
|
|
2,400 |
|
|
|
56,927 |
|
| Nippon Paint Co., Ltd. |
|
|
13,000 |
|
|
|
196,839 |
|
| Nippon Paper Industries Co., Ltd. |
|
|
4,100 |
|
|
|
77,300 |
|
| Nishi-Nippon City Bank Ltd./The |
|
|
27,000 |
|
|
|
60,690 |
|
| Nissan Shatai Co., Ltd. |
|
|
1,000 |
|
|
|
16,771 |
|
| Nomura Holdings, Inc. |
|
|
17,100 |
|
|
|
109,694 |
|
| NSK Ltd. |
|
|
9,000 |
|
|
|
92,317 |
|
| NTN Corp. |
|
|
30,000 |
|
|
|
101,521 |
|
| Oji Holdings Corp. |
|
|
20,000 |
|
|
|
89,458 |
|
| Okasan Securities Group, Inc. |
|
|
21,000 |
|
|
|
176,927 |
|
| Omron Corp. |
|
|
4,100 |
|
|
|
169,645 |
|
| ORIX Corp. |
|
|
17,500 |
|
|
|
246,645 |
|
| Panasonic Corp. |
|
|
17,200 |
|
|
|
195,617 |
|
| Renesas Electronics Corp. † |
|
|
4,400 |
|
|
|
33,590 |
|
| Seiko Epson Corp. |
|
|
4,900 |
|
|
|
153,109 |
|
| Seino Holdings Co., Ltd. |
|
|
11,000 |
|
|
|
104,949 |
|
| Sekisui Chemical Co., Ltd. |
|
|
5,000 |
|
|
|
51,931 |
|
| Seven & I Holdings Co., Ltd. |
|
|
2,200 |
|
|
|
83,830 |
|
| Shiga Bank Ltd./The |
|
|
5,000 |
|
|
|
27,134 |
|
| Shinsei Bank Ltd. |
|
|
79,000 |
|
|
|
155,096 |
|
| Shionogi & Co., Ltd. |
|
|
1,000 |
|
|
|
18,487 |
|
| Sony Corp. |
|
|
600 |
|
|
|
11,428 |
|
| Square Enix Holdings Co., Ltd. |
|
|
4,700 |
|
|
|
96,736 |
|
| Sumitomo Mitsui Financial Group, Inc. |
|
|
5,500 |
|
|
|
235,752 |
|
| Sumitomo Mitsui Trust Holdings, Inc. |
|
|
8,000 |
|
|
|
36,196 |
|
| Suzuki Motor Corp. |
|
|
1,400 |
|
|
|
36,502 |
|
| T&D Holdings, Inc. |
|
|
16,200 |
|
|
|
192,806 |
|
| Takashimaya Co., Ltd. |
|
|
5,000 |
|
|
|
46,800 |
|
| Tokai Tokyo Financial Holdings, Inc. |
|
|
23,900 |
|
|
|
200,441 |
|
| Tokyo Electric Power Co., Inc † |
|
|
45,700 |
|
|
|
183,870 |
|
| Tokyo Tatemono Co., Ltd. |
|
|
11,000 |
|
|
|
94,252 |
|
| Tosoh Corp. |
|
|
25,000 |
|
|
|
96,299 |
|
| TOTO Ltd. |
|
|
6,000 |
|
|
|
83,171 |
|
| Toyo Seikan Group Holdings Ltd. |
|
|
6,800 |
|
|
|
110,355 |
|
| Toyo Tire & Rubber Co., Ltd. |
|
|
17,000 |
|
|
|
120,542 |
|
| Toyota Motor Corp. |
|
|
11,500 |
|
|
|
648,529 |
|
| TS Tech Co., Ltd. |
|
|
1,300 |
|
|
|
39,359 |
|
| Yamaguchi Financial Group, Inc. |
|
|
5,000 |
|
|
|
45,081 |
|
| Yamaha Corp. |
|
|
8,400 |
|
|
|
108,039 |
|
| Yokohama Rubber Co., Ltd./The |
|
|
4,000 |
|
|
|
37,619 |
|
| Zeon Corp. |
|
|
3,000 |
|
|
|
27,126 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
8,150,638 |
|
|
|
|
|
|
|
|
|
|
| Netherlands - 2.5% |
|
|
|
|
|
|
|
|
| Aegon NV |
|
|
6,656 |
|
|
|
61,309 |
|
| Heineken Holding NV |
|
|
2,008 |
|
|
|
129,657 |
|
| Koninklijke Ahold NV |
|
|
19,494 |
|
|
|
391,503 |
|
| Koninklijke Philips NV |
|
|
1,615 |
|
|
|
56,815 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
639,284 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
77 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR INTERNATIONAL CORE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| Norway - 0.5% |
|
|
|
|
|
|
|
|
| DNB ASA |
|
|
3,344 |
|
|
$ |
58,107 |
|
| Telenor ASA |
|
|
2,578 |
|
|
|
57,058 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
115,165 |
|
|
|
|
|
|
|
|
|
|
| Portugal - 0.8% |
|
|
|
|
|
|
|
|
| EDP - Energias de Portugal SA |
|
|
29,292 |
|
|
|
135,992 |
|
| Sonae |
|
|
33,946 |
|
|
|
63,732 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
199,724 |
|
|
|
|
|
|
|
|
|
|
| Singapore - 1.0% |
|
|
|
|
|
|
|
|
| CapitaCommercial Trust REIT |
|
|
3,000 |
|
|
|
3,552 |
|
| ComfortDelGro Corp. Ltd. |
|
|
8,000 |
|
|
|
12,654 |
|
| Keppel Land Ltd. |
|
|
20,000 |
|
|
|
53,538 |
|
| Mapletree Commercial Trust REIT |
|
|
51,000 |
|
|
|
49,577 |
|
| StarHub Ltd. |
|
|
4,000 |
|
|
|
13,383 |
|
| Suntec Real Estate Investment Trust REIT |
|
|
31,000 |
|
|
|
40,980 |
|
| Yangzijiang Shipbuilding Holdings Ltd. |
|
|
60,000 |
|
|
|
51,626 |
|
| Yanlord Land Group Ltd. |
|
|
31,000 |
|
|
|
26,430 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
251,740 |
|
|
|
|
|
|
|
|
|
|
| Spain - 5.7% |
|
|
|
|
|
|
|
|
| ACS Actividades de Construccion y Servicios SA |
|
|
1,608 |
|
|
|
63,224 |
|
| Amadeus IT Holding SA, A Shares |
|
|
513 |
|
|
|
21,318 |
|
| Banco Bilbao Vizcaya Argentaria SA |
|
|
5,169 |
|
|
|
62,153 |
|
| Banco de Sabadell SA |
|
|
20,606 |
|
|
|
63,705 |
|
| Banco Popular Espanol SA |
|
|
15,836 |
|
|
|
119,744 |
|
| Banco Santander SA |
|
|
14,150 |
|
|
|
135,078 |
|
| CaixaBank SA |
|
|
9,807 |
|
|
|
63,128 |
|
| Endesa SA |
|
|
7,819 |
|
|
|
281,496 |
|
| Ferrovial SA |
|
|
6,840 |
|
|
|
148,276 |
|
| Gas Natural SDG SA |
|
|
7,094 |
|
|
|
199,579 |
|
| Iberdrola SA |
|
|
38,789 |
|
|
|
271,425 |
|
| Repsol SA |
|
|
490 |
|
|
|
12,514 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,441,640 |
|
|
|
|
|
|
|
|
|
|
| Sweden - 1.5% |
|
|
|
|
|
|
|
|
| Investor AB, B Shares |
|
|
1,700 |
|
|
|
61,578 |
|
| Skandinaviska Enskilda Banken AB, Class A |
|
|
6,114 |
|
|
|
83,990 |
|
| Telefonaktiebolaget LM Ericsson, B Shares |
|
|
4,762 |
|
|
|
63,513 |
|
| TeliaSonera AB |
|
|
22,200 |
|
|
|
167,663 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
376,744 |
|
|
|
|
|
|
|
|
|
|
| Switzerland - 5.3% |
|
|
|
|
|
|
|
|
| Actelion Ltd. † |
|
|
1,327 |
|
|
|
125,758 |
|
| Credit Suisse Group AG † |
|
|
7,037 |
|
|
|
227,774 |
|
| STMicroelectronics NV |
|
|
3,816 |
|
|
|
35,355 |
|
| Swiss Life Holding AG † |
|
|
488 |
|
|
|
120,007 |
|
| Swiss Re AG † |
|
|
4,789 |
|
|
|
444,487 |
|
| Zurich Insurance Group AG † |
|
|
1,254 |
|
|
|
385,122 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,338,503 |
|
|
|
|
|
|
|
|
|
|
| United Kingdom - 9.8% |
|
|
|
|
|
|
|
|
| AstraZeneca PLC |
|
|
5,053 |
|
|
|
327,571 |
|
| BAE Systems PLC |
|
|
15,044 |
|
|
|
104,511 |
|
| British Sky Broadcasting Group PLC |
|
|
12,241 |
|
|
|
186,230 |
|
| BT Group PLC |
|
|
38,021 |
|
|
|
241,803 |
|
| Direct Line Insurance Group PLC |
|
|
21,118 |
|
|
|
83,653 |
|
|
|
|
|
|
|
|
|
|
| |
|
SHARES |
|
|
VALUE
(Note 2) |
|
| United Kingdom - 9.8% (continued) |
|
|
|
|
|
|
|
|
| easyJet PLC |
|
|
2,185 |
|
|
$ |
62,533 |
|
| GKN PLC |
|
|
3,403 |
|
|
|
22,173 |
|
| HSBC Holdings PLC |
|
|
15,916 |
|
|
|
161,156 |
|
| ITV PLC |
|
|
15,886 |
|
|
|
50,756 |
|
| J Sainsbury PLC |
|
|
31,011 |
|
|
|
163,534 |
|
| Legal & General Group PLC |
|
|
16,108 |
|
|
|
54,995 |
|
| London Stock Exchange Group PLC |
|
|
218 |
|
|
|
7,166 |
|
| Marks & Spencer Group PLC |
|
|
6,666 |
|
|
|
50,181 |
|
| Mondi PLC |
|
|
3,791 |
|
|
|
66,432 |
|
| Next PLC |
|
|
942 |
|
|
|
103,668 |
|
| Old Mutual PLC |
|
|
2,260 |
|
|
|
7,587 |
|
| Prudential PLC |
|
|
2,999 |
|
|
|
63,502 |
|
| Rexam PLC |
|
|
10,747 |
|
|
|
87,332 |
|
| RSA Insurance Group PLC |
|
|
28,432 |
|
|
|
42,513 |
|
| Travis Perkins PLC |
|
|
1,527 |
|
|
|
48,082 |
|
| TUI Travel PLC |
|
|
7,587 |
|
|
|
55,441 |
|
| Vodafone Group PLC |
|
|
110,092 |
|
|
|
404,844 |
|
| Whitbread PLC |
|
|
166 |
|
|
|
11,522 |
|
| William Hill PLC |
|
|
7,569 |
|
|
|
43,063 |
|
| WPP PLC |
|
|
572 |
|
|
|
11,819 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,462,067 |
|
|
|
|
|
|
|
|
|
|
| TOTAL COMMON STOCKS
(cost $23,033,129) |
|
|
|
|
|
|
24,563,104 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| EXCHANGE-TRADED FUNDS - 1.0% |
|
|
|
|
|
|
|
|
| iShares MSCI EAFE ETF (1)
(cost $224,661) |
|
|
3,490 |
|
|
|
234,424 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| RIGHTS - 0.0% (a) |
|
|
|
|
|
|
|
|
|
|
|
| Spain - 0.0% (a) |
|
|
|
|
|
|
|
|
| Banco Bilbao Vizcaya Argentaria SA † |
|
|
5,169 |
|
|
|
1,210 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| United Kingdom - 0.0% (a) |
|
|
|
|
|
|
|
|
| RSA Insurance Group PLC † |
|
|
10,662 |
|
|
|
5,955 |
|
|
|
|
|
|
|
|
|
|
| TOTAL RIGHTS
(cost $—) |
|
|
|
|
|
|
7,165 |
|
|
|
|
|
|
|
|
|
|
|
|
|
| MONEY MARKET FUNDS - 1.9% |
|
|
|
|
|
|
|
|
| J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (b) |
|
|
|
|
|
|
|
|
| (cost $478,357) |
|
|
478,357 |
|
|
|
478,357 |
|
|
|
|
|
|
|
|
|
|
| TOTAL INVESTMENTS - 100.6%
(cost $23,736,147) |
|
|
|
|
|
|
25,283,050 |
|
|
|
|
|
|
|
|
|
|
| LIABILITIES IN EXCESS OF OTHER ASSETS - (0.6%) |
|
|
|
|
|
|
(149,503) |
|
|
|
|
|
|
|
|
|
|
| NET ASSETS - 100.0% |
|
|
|
|
|
$ |
25,133,547 |
|
|
|
|
|
|
|
|
|
|
| † |
Non income-producing security. |
| (a) |
Represents less than 0.05 percent of net assets. |
| (b) |
Represents annualized seven-day yield as of March 31, 2014. |
All securities are Level 2 with respect to ASC 820, unless otherwise noted in parentheses.
| (1) |
Level 1 security (See Note 4). |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
(Continued) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 78 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Schedule of Investments |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
| AQR INTERNATIONAL CORE EQUITY FUND |
|
|
The following abbreviations are used in portfolio descriptions:
REIT - Real Estate Investment Trust
|
|
|
|
|
|
|
|
|
| SECTOR |
|
VALUE |
|
|
% OF NET
ASSETS |
|
| Consumer Discretionary |
|
$ |
4,256,561 |
|
|
|
16.9 |
% |
| Consumer Staples |
|
|
1,812,592 |
|
|
|
7.2 |
|
| Energy |
|
|
404,514 |
|
|
|
1.6 |
|
| Financials |
|
|
8,822,605 |
|
|
|
35.1 |
|
| Health Care |
|
|
569,098 |
|
|
|
2.3 |
|
| Industrials |
|
|
2,853,867 |
|
|
|
11.4 |
|
| Information Technology |
|
|
1,147,548 |
|
|
|
4.6 |
|
| Materials |
|
|
988,259 |
|
|
|
3.9 |
|
| Mutual Fund |
|
|
234,424 |
|
|
|
0.9 |
|
| Telecommunication Services |
|
|
2,326,946 |
|
|
|
9.3 |
|
| Utilities |
|
|
1,388,279 |
|
|
|
5.5 |
|
| Money Market Funds |
|
|
478,357 |
|
|
|
1.9 |
|
|
|
|
|
|
|
|
|
|
| Total Investments |
|
|
25,283,050 |
|
|
|
100.6 |
|
| Liabilities in Excess of Other Assets |
|
|
(149,503) |
|
|
|
(0.6) |
|
|
|
|
|
|
|
|
|
|
| Net Assets |
|
$ |
25,133,547 |
|
|
|
100.0 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
79 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Assets and Liabilities |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR
GLOBAL
EQUITY
FUND |
|
|
AQR
INTERNATIONAL
EQUITY
FUND |
|
|
AQR
EMERGING
DEFENSIVE
EQUITY
FUND |
|
| ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in securities, at cost |
|
|
$221,406,435 |
|
|
|
$686,995,055 |
|
|
|
$49,054,350 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in securities, at value |
|
|
$284,145,840 |
|
|
|
$831,219,663 |
|
|
|
$49,570,305 |
|
| Cash |
|
|
2,064 |
|
|
|
— |
|
|
|
— |
|
| Foreign currency, at value |
|
|
695,817 |
|
|
|
3,377,857 |
|
|
|
142,551 |
|
| Due from brokers |
|
|
3,622,938 |
|
|
|
13,299,558 |
|
|
|
— |
|
| Unrealized appreciation on forward foreign currency exchange contracts |
|
|
262,320 |
|
|
|
1,499,759 |
|
|
|
— |
|
| Unrealized appreciation on futures contracts |
|
|
606,283 |
|
|
|
1,881,315 |
|
|
|
— |
|
| Receivables: |
|
|
|
|
|
|
|
|
|
|
|
|
| Securities sold |
|
|
— |
|
|
|
1,235,149 |
|
|
|
289,521 |
|
| Foreign tax reclaim |
|
|
704,883 |
|
|
|
1,641,992 |
|
|
|
— |
|
| Dividends and interest |
|
|
504,529 |
|
|
|
3,094,682 |
|
|
|
128,578 |
|
| Capital shares sold |
|
|
6,928 |
|
|
|
105,534 |
|
|
|
25,295 |
|
| Prepaid expenses |
|
|
43,627 |
|
|
|
86,512 |
|
|
|
11,058 |
|
| Total Assets |
|
|
290,595,229 |
|
|
|
857,442,021 |
|
|
|
50,167,308 |
|
| LIABILITIES: |
|
|
|
|
|
|
|
|
|
|
|
|
| Due to brokers |
|
|
320,000 |
|
|
|
1,560,000 |
|
|
|
— |
|
| Swaps, at value |
|
|
475,650 |
|
|
|
1,404,768 |
|
|
|
— |
|
| Payables: |
|
|
|
|
|
|
|
|
|
|
|
|
| Securities purchased |
|
|
— |
|
|
|
— |
|
|
|
1,395,581 |
|
| Accrued Investment advisory fees |
|
|
94,136 |
|
|
|
324,982 |
|
|
|
11,136 |
|
| Accrued Shareholder servicing fees |
|
|
13,599 |
|
|
|
90,954 |
|
|
|
5,698 |
|
| Accrued Distribution fees—Class N |
|
|
262 |
|
|
|
7,693 |
|
|
|
408 |
|
| Capital shares redeemed |
|
|
— |
|
|
|
26,855 |
|
|
|
9,357 |
|
| Other accrued expenses and liabilities |
|
|
152,108 |
|
|
|
262,342 |
|
|
|
61,276 |
|
| Total Liabilities |
|
|
1,055,755 |
|
|
|
3,677,594 |
|
|
|
1,483,456 |
|
| Net Assets |
|
|
$289,539,474 |
|
|
|
$853,764,427 |
|
|
|
$48,683,852 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS CONSIST OF: |
|
|
|
|
|
|
|
|
|
|
|
|
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) |
|
|
$215,631,516 |
|
|
|
$683,320,487 |
|
|
|
$48,777,714 |
|
| Undistributed (accumulated) net investment income (loss) |
|
|
301,568 |
|
|
|
3,747,707 |
|
|
|
62,969 |
|
| Undistributed (accumulated) net realized gain (loss) |
|
|
10,142,809 |
|
|
|
20,399,401 |
|
|
|
(676,612) |
|
| Net unrealized appreciation (depreciation) |
|
|
63,463,581 |
|
|
|
146,296,832 |
|
|
|
519,781 |
|
| Net Assets |
|
|
$289,539,474 |
|
|
|
$853,764,427 |
|
|
|
$48,683,852 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
|
$2,189,062 |
|
|
|
$243,897,731 |
|
|
|
$46,733,596 |
|
| Class N |
|
|
1,224,583 |
|
|
|
36,641,612 |
|
|
|
1,950,256 |
|
| Class R6 |
|
|
75,479,591 |
|
|
|
121,074,080 |
|
|
|
— |
|
| Class Y |
|
|
210,646,238 |
|
|
|
452,151,004 |
|
|
|
— |
|
| SHARES OUTSTANDING: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
|
247,446 |
|
|
|
21,046,426 |
|
|
|
4,604,114 |
|
| Class N |
|
|
139,145 |
|
|
|
3,110,471 |
|
|
|
192,098 |
|
| Class R6 |
|
|
8,500,956 |
|
|
|
9,937,843 |
|
|
|
— |
|
| Class Y |
|
|
23,708,830 |
|
|
|
37,080,983 |
|
|
|
— |
|
| NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
|
$8.85 |
|
|
|
$11.59 |
|
|
|
$10.15 |
|
| Class N |
|
|
$8.80 |
|
|
|
$11.78 |
|
|
|
$10.15 |
|
| Class R6 |
|
|
$8.88 |
|
|
|
$12.18 |
|
|
|
— |
|
| Class Y |
|
|
$8.88 |
|
|
|
$12.19 |
|
|
|
— |
|
| |
|
Foreign currency at cost of $691,043, $3,363,345 and $140,057, respectively. |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 80 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Assets and Liabilities |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
| |
|
AQR
INTERNATIONAL
DEFENSIVE
EQUITY
FUND |
|
|
AQR
U.S. DEFENSIVE
EQUITY
FUND |
|
| ASSETS: |
|
|
|
|
|
|
|
|
| Investments in securities, at cost |
|
|
$24,395,738 |
|
|
|
$208,685,715 |
|
| |
|
|
|
|
|
|
|
|
| Investments in securities, at value |
|
|
$26,191,864 |
|
|
|
$228,109,144 |
|
| Foreign currency, at value |
|
|
116,032 |
|
|
|
— |
|
| Due from brokers |
|
|
— |
|
|
|
290,023 |
|
| Unrealized appreciation on futures contracts |
|
|
— |
|
|
|
2,874 |
|
| Receivables: |
|
|
|
|
|
|
|
|
| Securities sold |
|
|
173,663 |
|
|
|
— |
|
| Foreign tax reclaim |
|
|
11,688 |
|
|
|
— |
|
| Dividends and interest |
|
|
114,903 |
|
|
|
315,186 |
|
| Capital shares sold |
|
|
45,168 |
|
|
|
139,098 |
|
| Due from Investment Advisor |
|
|
718 |
|
|
|
— |
|
| Prepaid expenses |
|
|
9,150 |
|
|
|
15,057 |
|
| Total Assets |
|
|
26,663,186 |
|
|
|
228,871,382 |
|
| LIABILITIES: |
|
|
|
|
|
|
|
|
| Payables: |
|
|
|
|
|
|
|
|
| Securities purchased |
|
|
277,864 |
|
|
|
— |
|
| Accrued Investment advisory fees |
|
|
— |
|
|
|
25,132 |
|
| Accrued Shareholder servicing fees |
|
|
— |
|
|
|
28,858 |
|
| Accrued Distribution fees—Class N |
|
|
340 |
|
|
|
5,371 |
|
| Capital shares redeemed |
|
|
61,910 |
|
|
|
100,282 |
|
| Other accrued expenses and liabilities |
|
|
67,101 |
|
|
|
138,787 |
|
| Total Liabilities |
|
|
407,215 |
|
|
|
298,430 |
|
| Net Assets |
|
|
$26,255,971 |
|
|
|
$228,572,952 |
|
| |
|
|
|
|
|
|
|
|
| NET ASSETS CONSIST OF: |
|
|
|
|
|
|
|
|
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) |
|
|
$24,281,965 |
|
|
|
$206,628,888 |
|
| Undistributed (accumulated) net investment income (loss) |
|
|
180,792 |
|
|
|
818,088 |
|
| Undistributed (accumulated) net realized gain (loss) |
|
|
(4,944) |
|
|
|
1,699,673 |
|
| Net unrealized appreciation (depreciation) |
|
|
1,798,158 |
|
|
|
19,426,303 |
|
| Net Assets |
|
|
$26,255,971 |
|
|
|
$228,572,952 |
|
| |
|
|
|
|
|
|
|
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
| Class I |
|
|
$24,942,022 |
|
|
|
$203,009,719 |
|
| Class N |
|
|
1,313,949 |
|
|
|
25,563,233 |
|
| SHARES OUTSTANDING: |
|
|
|
|
|
|
|
|
| Class I |
|
|
2,048,231 |
|
|
|
15,123,321 |
|
| Class N |
|
|
107,903 |
|
|
|
1,905,132 |
|
| NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: |
|
|
|
|
|
|
|
|
| Class I |
|
|
$12.18 |
|
|
|
$13.42 |
|
| Class N |
|
|
$12.18 |
|
|
|
$13.42 |
|
| |
|
Foreign currency at cost of $115,090 and $—, respectively. |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
81 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Assets and Liabilities |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR
MOMENTUM
FUND |
|
|
AQR
SMALL CAP
MOMENTUM
FUND |
|
|
AQR
INTERNATIONAL
MOMENTUM
FUND |
|
| ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in securities, at cost |
|
|
$791,656,803 |
|
|
|
$243,301,497 |
|
|
|
$285,544,773 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in securities, at value |
|
|
$975,280,286 |
|
|
|
$300,789,392 |
|
|
|
$318,602,045 |
|
| Foreign currency, at value |
|
|
482 |
|
|
|
— |
|
|
|
858,131 |
|
| Due from brokers |
|
|
179,924 |
|
|
|
110,105 |
|
|
|
37,163 |
|
| Unrealized appreciation on futures contracts |
|
|
— |
|
|
|
— |
|
|
|
14,999 |
|
| Receivables: |
|
|
|
|
|
|
|
|
|
|
|
|
| Securities sold |
|
|
52,940,330 |
|
|
|
18,072,201 |
|
|
|
18,046,856 |
|
| Foreign tax reclaim |
|
|
— |
|
|
|
— |
|
|
|
220,144 |
|
| Dividends and interest |
|
|
559,846 |
|
|
|
82,846 |
|
|
|
1,163,294 |
|
| Capital shares sold |
|
|
787,232 |
|
|
|
132,724 |
|
|
|
162,030 |
|
| Prepaid expenses |
|
|
59,469 |
|
|
|
33,917 |
|
|
|
36,645 |
|
| Total Assets |
|
|
1,029,807,569 |
|
|
|
319,221,185 |
|
|
|
339,141,307 |
|
| LIABILITIES: |
|
|
|
|
|
|
|
|
|
|
|
|
| Due to custodian |
|
|
— |
|
|
|
— |
|
|
|
1,776 |
|
| Unrealized depreciation on futures contracts |
|
|
8,453 |
|
|
|
27,447 |
|
|
|
— |
|
| Payables: |
|
|
|
|
|
|
|
|
|
|
|
|
| Securities purchased |
|
|
62,454,916 |
|
|
|
20,871,838 |
|
|
|
21,390,625 |
|
| Accrued Investment advisory fees |
|
|
167,006 |
|
|
|
87,426 |
|
|
|
81,612 |
|
| Accrued Shareholder servicing fees |
|
|
124,833 |
|
|
|
38,596 |
|
|
|
39,668 |
|
| Accrued Distribution fees—Class N |
|
|
16,479 |
|
|
|
1,362 |
|
|
|
8,655 |
|
| Capital shares redeemed |
|
|
536,066 |
|
|
|
167,188 |
|
|
|
112,226 |
|
| Other accrued expenses and liabilities |
|
|
332,287 |
|
|
|
128,807 |
|
|
|
205,582 |
|
| Total Liabilities |
|
|
63,640,040 |
|
|
|
21,322,664 |
|
|
|
21,840,144 |
|
| Net Assets |
|
|
$966,167,529 |
|
|
|
$297,898,521 |
|
|
|
$317,301,163 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS CONSIST OF: |
|
|
|
|
|
|
|
|
|
|
|
|
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) |
|
|
$727,372,637 |
|
|
|
$214,618,873 |
|
|
|
$282,216,082 |
|
| Undistributed (accumulated) net investment income (loss) |
|
|
1,145,857 |
|
|
|
(96,111) |
|
|
|
509,738 |
|
| Undistributed (accumulated) net realized gain (loss) |
|
|
54,033,948 |
|
|
|
25,915,311 |
|
|
|
1,502,541 |
|
| Net unrealized appreciation (depreciation) |
|
|
183,615,087 |
|
|
|
57,460,448 |
|
|
|
33,072,802 |
|
| Net Assets |
|
|
$966,167,529 |
|
|
|
$297,898,521 |
|
|
|
$317,301,163 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
$890,240,121 |
|
|
|
$291,517,285 |
|
|
|
$276,450,303 |
|
| Class N |
|
|
75,927,408 |
|
|
|
6,381,236 |
|
|
|
40,850,860 |
|
| SHARES OUTSTANDING: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
42,344,359 |
|
|
|
12,908,316 |
|
|
|
17,979,814 |
|
| Class N |
|
|
3,614,055 |
|
|
|
283,442 |
|
|
|
2,663,568 |
|
| NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
$21.02 |
|
|
|
$22.58 |
|
|
|
$15.38 |
|
| Class N |
|
|
$21.01 |
|
|
|
$22.51 |
|
|
|
$15.34 |
|
| |
|
Foreign currency at cost of $425, $— and $853,861, respectively. |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 82 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Assets and Liabilities |
|
|
March 31, 2014 (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 |
|
|
$64,283,530 |
|
|
|
$10,685,884 |
|
|
|
$59,102,958 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in securities, at value |
|
|
$69,826,439 |
|
|
|
$12,707,708 |
|
|
|
$61,675,381 |
|
| Foreign currency, at value |
|
|
— |
|
|
|
— |
|
|
|
151,187 |
|
| Receivables: |
|
|
|
|
|
|
|
|
|
|
|
|
| Securities sold |
|
|
8,629,803 |
|
|
|
1,498,931 |
|
|
|
7,598,720 |
|
| Foreign tax reclaim |
|
|
— |
|
|
|
— |
|
|
|
8,240 |
|
| Dividends and interest |
|
|
49,100 |
|
|
|
3,060 |
|
|
|
209,779 |
|
| Capital shares sold |
|
|
439,108 |
|
|
|
33,423 |
|
|
|
388,444 |
|
| Due from Investment Advisor |
|
|
— |
|
|
|
1,496 |
|
|
|
— |
|
| Prepaid expenses |
|
|
16,495 |
|
|
|
15,596 |
|
|
|
16,452 |
|
| Total Assets |
|
|
78,960,945 |
|
|
|
14,260,214 |
|
|
|
70,048,203 |
|
| LIABILITIES: |
|
|
|
|
|
|
|
|
|
|
|
|
| Payables: |
|
|
|
|
|
|
|
|
|
|
|
|
| Securities purchased |
|
|
9,453,454 |
|
|
|
1,497,629 |
|
|
|
7,805,195 |
|
| Accrued Investment advisory fees |
|
|
10,534 |
|
|
|
— |
|
|
|
13,755 |
|
| Accrued Shareholder servicing fees |
|
|
8,681 |
|
|
|
— |
|
|
|
7,570 |
|
| Accrued Distribution fees—Class N |
|
|
28 |
|
|
|
29 |
|
|
|
24 |
|
| Capital shares redeemed |
|
|
815 |
|
|
|
— |
|
|
|
404 |
|
| Other accrued expenses and liabilities |
|
|
45,644 |
|
|
|
43,203 |
|
|
|
63,745 |
|
| Total Liabilities |
|
|
9,519,156 |
|
|
|
1,540,861 |
|
|
|
7,890,693 |
|
| Net Assets |
|
|
$69,441,789 |
|
|
|
$12,719,353 |
|
|
|
$62,157,510 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS CONSIST OF: |
|
|
|
|
|
|
|
|
|
|
|
|
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) |
|
|
$63,549,772 |
|
|
|
$10,480,775 |
|
|
|
$59,696,058 |
|
| Undistributed (accumulated) net investment income (loss) |
|
|
83,704 |
|
|
|
(1,308) |
|
|
|
209,203 |
|
| Undistributed (accumulated) net realized gain (loss) |
|
|
265,404 |
|
|
|
218,062 |
|
|
|
(318,743) |
|
| Net unrealized appreciation (depreciation) |
|
|
5,542,909 |
|
|
|
2,021,824 |
|
|
|
2,570,992 |
|
| Net Assets |
|
|
$69,441,789 |
|
|
|
$12,719,353 |
|
|
|
$62,157,510 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
$69,312,739 |
|
|
|
$12,586,405 |
|
|
|
$62,041,955 |
|
| Class N |
|
|
129,050 |
|
|
|
132,948 |
|
|
|
115,555 |
|
| SHARES OUTSTANDING: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
4,591,149 |
|
|
|
792,586 |
|
|
|
4,605,591 |
|
| Class N |
|
|
8,557 |
|
|
|
8,387 |
|
|
|
8,584 |
|
| NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
$15.10 |
|
|
|
$15.88 |
|
|
|
$13.47 |
|
| Class N |
|
|
$15.08 |
|
|
|
$15.85 |
|
|
|
$13.46 |
|
| |
|
Foreign currency at cost of $—, $— and $150,406, respectively. |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
83 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Assets and Liabilities |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR
CORE
EQUITY
FUND |
|
|
AQR
SMALL CAP
CORE
EQUITY
FUND |
|
|
AQR
INTERNATIONAL
CORE
EQUITY
FUND |
|
| ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in securities, at cost |
|
|
$53,759,188 |
|
|
|
$5,953,003 |
|
|
|
$23,736,147 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in securities, at value |
|
|
$59,329,492 |
|
|
|
$6,848,922 |
|
|
|
$25,283,050 |
|
| Cash |
|
|
— |
|
|
|
— |
|
|
|
135 |
|
| Foreign currency, at value |
|
|
— |
|
|
|
— |
|
|
|
63,205 |
|
| Receivables: |
|
|
|
|
|
|
|
|
|
|
|
|
| Securities sold |
|
|
3,694,971 |
|
|
|
508,412 |
|
|
|
1,690,568 |
|
| Foreign tax reclaim |
|
|
— |
|
|
|
— |
|
|
|
6,281 |
|
| Dividends and interest |
|
|
50,189 |
|
|
|
3,387 |
|
|
|
128,228 |
|
| Capital shares sold |
|
|
508,840 |
|
|
|
10,436 |
|
|
|
220,851 |
|
| Due from Investment Advisor |
|
|
— |
|
|
|
7,537 |
|
|
|
5,170 |
|
| Prepaid expenses |
|
|
26,675 |
|
|
|
24,412 |
|
|
|
24,636 |
|
| Total Assets |
|
|
63,610,167 |
|
|
|
7,403,106 |
|
|
|
27,422,124 |
|
| LIABILITIES: |
|
|
|
|
|
|
|
|
|
|
|
|
| Payables: |
|
|
|
|
|
|
|
|
|
|
|
|
| Securities purchased |
|
|
4,121,678 |
|
|
|
505,483 |
|
|
|
2,223,139 |
|
| Accrued Investment advisory fees |
|
|
402 |
|
|
|
— |
|
|
|
— |
|
| Accrued Shareholder servicing fees |
|
|
7,379 |
|
|
|
— |
|
|
|
— |
|
| Accrued Distribution fees—Class N |
|
|
1,006 |
|
|
|
486 |
|
|
|
545 |
|
| Capital shares redeemed |
|
|
132,230 |
|
|
|
— |
|
|
|
— |
|
| Other accrued expenses and liabilities |
|
|
72,231 |
|
|
|
59,711 |
|
|
|
64,893 |
|
| Total Liabilities |
|
|
4,334,926 |
|
|
|
565,680 |
|
|
|
2,288,577 |
|
| Net Assets |
|
|
$59,275,241 |
|
|
|
$6,837,426 |
|
|
|
$25,133,547 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS CONSIST OF: |
|
|
|
|
|
|
|
|
|
|
|
|
| Paid-in capital ($0.001 par value common stock, unlimited authorized shares) |
|
|
$53,634,839 |
|
|
|
$5,921,051 |
|
|
|
$23,173,375 |
|
| Undistributed (accumulated) net investment income (loss) |
|
|
145,771 |
|
|
|
2,365 |
|
|
|
118,894 |
|
| Undistributed (accumulated) net realized gain (loss) |
|
|
(75,673) |
|
|
|
18,091 |
|
|
|
294,934 |
|
| Net unrealized appreciation (depreciation) |
|
|
5,570,304 |
|
|
|
895,919 |
|
|
|
1,546,344 |
|
| Net Assets |
|
|
$59,275,241 |
|
|
|
$6,837,426 |
|
|
|
$25,133,547 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
$55,430,899 |
|
|
|
$4,560,901 |
|
|
|
$22,540,690 |
|
| Class N |
|
|
3,844,342 |
|
|
|
2,276,525 |
|
|
|
2,592,857 |
|
| SHARES OUTSTANDING: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
4,369,044 |
|
|
|
350,921 |
|
|
|
1,942,021 |
|
| Class N |
|
|
303,367 |
|
|
|
175,435 |
|
|
|
223,547 |
|
| NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
$12.69 |
|
|
|
$13.00 |
|
|
|
$11.61 |
|
| Class N |
|
|
$12.67 |
|
|
|
$12.98 |
|
|
|
$11.60 |
|
| |
|
Foreign currency at cost of $—, $— and $63,146, respectively. |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 84 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Operations |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR
GLOBAL
EQUITY FUND |
|
|
AQR
INTERNATIONAL
EQUITY FUND |
|
|
AQR
EMERGING
DEFENSIVE
EQUITY FUND |
|
| |
|
FOR THE SIX
MONTHS ENDED
MARCH 31,
2014 |
|
|
FOR THE SIX
MONTHS ENDED
MARCH 31,
2014 |
|
|
FOR THE SIX
MONTHS ENDED
MARCH 31,
2014 |
|
| INVESTMENT INCOME: |
|
|
|
|
|
|
|
|
|
|
|
|
| Dividend income† |
|
|
$2,798,267 |
|
|
|
$10,454,573 |
|
|
|
$420,572 |
|
| Total Income |
|
|
2,798,267 |
|
|
|
10,454,573 |
|
|
|
420,572 |
|
|
|
|
|
| EXPENSES: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investment advisory fees |
|
|
539,813 |
|
|
|
1,878,326 |
|
|
|
120,126 |
|
| Shareholder servicing fees |
|
|
24,095 |
|
|
|
450,276 |
|
|
|
44,241 |
|
| Custody, administration & accounting fees |
|
|
90,454 |
|
|
|
182,023 |
|
|
|
25,237 |
|
| Legal fees |
|
|
17,636 |
|
|
|
23,632 |
|
|
|
4,379 |
|
| Audit & tax fees |
|
|
30,429 |
|
|
|
29,604 |
|
|
|
26,423 |
|
| Shareholder reporting fees |
|
|
11,886 |
|
|
|
36,622 |
|
|
|
1,879 |
|
| Transfer agent fees |
|
|
9,293 |
|
|
|
94,791 |
|
|
|
16,777 |
|
| Trustee fees |
|
|
6,800 |
|
|
|
17,594 |
|
|
|
692 |
|
| Distribution fees—Class N |
|
|
1,232 |
|
|
|
43,402 |
|
|
|
3,916 |
|
| Interest expense |
|
|
2,245 |
|
|
|
— |
|
|
|
— |
|
| Recoupment of waiver |
|
|
— |
|
|
|
21,363 |
|
|
|
— |
|
| Registration fees |
|
|
13,526 |
|
|
|
14,154 |
|
|
|
14,924 |
|
| Pricing fee |
|
|
10,643 |
|
|
|
9,457 |
|
|
|
7,523 |
|
| Other fees |
|
|
13,152 |
|
|
|
26,082 |
|
|
|
4,000 |
|
| Total Expenses |
|
|
771,204 |
|
|
|
2,827,326 |
|
|
|
270,117 |
|
|
|
|
|
| Less fee waivers and/or reimbursements |
|
|
(12,769) |
|
|
|
— |
|
|
|
(80,125) |
|
| Net Expenses |
|
|
758,435 |
|
|
|
2,827,326 |
|
|
|
189,992 |
|
| Net Investment Income (Loss) |
|
|
2,039,832 |
|
|
|
7,627,247 |
|
|
|
230,580 |
|
|
|
|
|
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): |
|
|
|
|
|
|
|
|
|
|
|
|
| Net realized gain (loss) from: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in securities |
|
|
21,042,465 |
|
|
|
32,102,310 |
|
|
|
(305,496) |
|
| Foreign currency and foreign currency transactions |
|
|
3 |
|
|
|
(55,341) |
|
|
|
(16,871) |
|
| Forward foreign currency exchange contracts |
|
|
1,357,849 |
|
|
|
(736,811) |
|
|
|
— |
|
| Futures contracts |
|
|
457,629 |
|
|
|
(3,148,668) |
|
|
|
— |
|
| Swap contracts |
|
|
(32,660) |
|
|
|
(886,720) |
|
|
|
— |
|
| Net realized gain (loss) |
|
|
22,825,286 |
|
|
|
27,274,770 |
|
|
|
(322,367) |
|
|
|
|
|
| Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in securities |
|
|
4,315,551 |
|
|
|
19,584,153 |
|
|
|
21,960 |
|
| Foreign currency and foreign currency translations |
|
|
(24,014) |
|
|
|
(9,459) |
|
|
|
3,054 |
|
| Forward foreign currency exchange contracts |
|
|
460,502 |
|
|
|
2,416,270 |
|
|
|
— |
|
| Futures contracts |
|
|
437,840 |
|
|
|
1,291,034 |
|
|
|
— |
|
| Swap contracts |
|
|
(486,545) |
|
|
|
(1,450,548) |
|
|
|
— |
|
| Net change in unrealized appreciation (depreciation) |
|
|
4,703,334 |
|
|
|
21,831,450 |
|
|
|
25,014 |
|
| Net realized gain (loss) and change in unrealized appreciation (depreciation) |
|
|
27,528,620 |
|
|
|
49,106,220 |
|
|
|
(297,353) |
|
| Net increase (decrease) in net assets resulting from operations |
|
|
$29,568,452 |
|
|
|
$56,733,467 |
|
|
|
($66,773) |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| † Net of foreign taxes withheld of |
|
|
$89,979 |
|
|
|
$624,312 |
|
|
|
$33,187 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
85 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Operations |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
| |
|
AQR
INTERNATIONAL
DEFENSIVE
EQUITY
FUND |
|
|
AQR
U.S. DEFENSIVE
EQUITY
FUND |
|
| |
|
FOR THE SIX
MONTHS ENDED
MARCH 31,
2014 |
|
|
FOR THE SIX
MONTHS ENDED
MARCH 31,
2014 |
|
| INVESTMENT INCOME: |
|
|
|
|
|
|
|
|
| Dividend income† |
|
|
$320,524 |
|
|
|
$2,043,067 |
|
| Total Income |
|
|
320,524 |
|
|
|
2,043,067 |
|
|
|
|
| EXPENSES: |
|
|
|
|
|
|
|
|
| Investment advisory fees |
|
|
43,570 |
|
|
|
290,605 |
|
| Shareholder servicing fees |
|
|
24,291 |
|
|
|
220,268 |
|
| Custody, administration & accounting fees |
|
|
17,218 |
|
|
|
36,967 |
|
| Legal fees |
|
|
911 |
|
|
|
594 |
|
| Audit & tax fees |
|
|
26,423 |
|
|
|
19,603 |
|
| Shareholder reporting fees |
|
|
1,680 |
|
|
|
7,273 |
|
| Transfer agent fees |
|
|
19,382 |
|
|
|
111,595 |
|
| Trustee fees |
|
|
408 |
|
|
|
3,552 |
|
| Distribution fees—Class N |
|
|
1,833 |
|
|
|
29,237 |
|
| Registration fees |
|
|
14,866 |
|
|
|
15,803 |
|
| Pricing fee |
|
|
7,584 |
|
|
|
800 |
|
| Other fees |
|
|
2,101 |
|
|
|
13,121 |
|
| Total Expenses |
|
|
160,267 |
|
|
|
749,418 |
|
|
|
|
| Less fee waivers and/or reimbursements |
|
|
(84,149) |
|
|
|
(212,195) |
|
| Net Expenses |
|
|
76,118 |
|
|
|
537,223 |
|
| Net Investment Income (Loss) |
|
|
244,406 |
|
|
|
1,505,844 |
|
|
|
|
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): |
|
|
|
|
|
|
|
|
| Net realized gain (loss) from: |
|
|
|
|
|
|
|
|
| Investments in securities |
|
|
57,830 |
|
|
|
859,271 |
|
| Foreign currency and foreign currency transactions |
|
|
1,220 |
|
|
|
— |
|
| Futures contracts |
|
|
— |
|
|
|
1,136,034 |
|
| Net realized gain (loss) |
|
|
59,050 |
|
|
|
1,995,305 |
|
|
|
|
| Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
| Investments in securities |
|
|
816,081 |
|
|
|
17,648,258 |
|
| Foreign currency and foreign currency translations |
|
|
627 |
|
|
|
— |
|
| Futures contracts |
|
|
— |
|
|
|
73,938 |
|
| Net change in unrealized appreciation (depreciation) |
|
|
816,708 |
|
|
|
17,722,196 |
|
| Net realized gain (loss) and change in unrealized appreciation (depreciation) |
|
|
875,758 |
|
|
|
19,717,501 |
|
| Net increase (decrease) in net assets resulting from operations |
|
|
$1,120,164 |
|
|
|
$21,223,345 |
|
| |
|
|
|
|
|
|
|
|
| † Net of foreign taxes withheld of |
|
|
$21,352 |
|
|
|
$— |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 86 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Operations |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR
MOMENTUM
FUND |
|
|
AQR
SMALL CAP
MOMENTUM
FUND |
|
|
AQR
INTERNATIONAL
MOMENTUM
FUND |
|
| |
|
FOR THE SIX
MONTHS ENDED
MARCH 31,
2014 |
|
|
FOR THE SIX
MONTHS ENDED
MARCH 31,
2014 |
|
|
FOR THE SIX
MONTHS ENDED
MARCH 31,
2014 |
|
| INVESTMENT INCOME: |
|
|
|
|
|
|
|
|
|
|
|
|
| Dividend income† |
|
|
$4,563,424 |
|
|
|
$1,099,446 |
|
|
|
$2,856,421 |
|
| Total Income |
|
|
4,563,424 |
|
|
|
1,099,446 |
|
|
|
2,856,421 |
|
|
|
|
|
| EXPENSES: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investment advisory fees |
|
|
1,128,780 |
|
|
|
487,950 |
|
|
|
510,577 |
|
| Shareholder servicing fees |
|
|
677,271 |
|
|
|
209,122 |
|
|
|
218,820 |
|
| Custody, administration & accounting fees |
|
|
135,668 |
|
|
|
50,893 |
|
|
|
68,153 |
|
| Legal fees |
|
|
19,872 |
|
|
|
6,321 |
|
|
|
6,045 |
|
| Audit & tax fees |
|
|
20,761 |
|
|
|
20,850 |
|
|
|
28,197 |
|
| Shareholder reporting fees |
|
|
60,041 |
|
|
|
12,209 |
|
|
|
33,993 |
|
| Transfer agent fees |
|
|
378,745 |
|
|
|
105,133 |
|
|
|
146,544 |
|
| Trustee fees |
|
|
17,764 |
|
|
|
5,430 |
|
|
|
5,534 |
|
| Distribution fees—Class N |
|
|
93,728 |
|
|
|
4,846 |
|
|
|
51,673 |
|
| Pricing fee |
|
|
2,126 |
|
|
|
6,137 |
|
|
|
9,855 |
|
| Other fees |
|
|
58,745 |
|
|
|
30,114 |
|
|
|
32,420 |
|
| Total Expenses |
|
|
2,593,501 |
|
|
|
939,005 |
|
|
|
1,111,811 |
|
|
|
|
|
| Less fee waivers and/or reimbursements |
|
|
(275,674) |
|
|
|
(24,517) |
|
|
|
(108,597) |
|
| Net Expenses |
|
|
2,317,827 |
|
|
|
914,488 |
|
|
|
1,003,214 |
|
| Net Investment Income (Loss) |
|
|
2,245,597 |
|
|
|
184,958 |
|
|
|
1,853,207 |
|
|
|
|
|
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): |
|
|
|
|
|
|
|
|
|
|
|
|
| Net realized gain (loss) from: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in securities |
|
|
62,698,999 |
|
|
|
25,947,084 |
|
|
|
5,348,224 |
|
| Foreign currency and foreign currency transactions |
|
|
— |
|
|
|
— |
|
|
|
(32,636) |
|
| Futures contracts |
|
|
1,476,841 |
|
|
|
(57,989) |
|
|
|
415,486 |
|
| Net realized gain (loss) |
|
|
64,175,840 |
|
|
|
25,889,095 |
|
|
|
5,731,074 |
|
|
|
|
|
| Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in securities |
|
|
33,873,000 |
|
|
|
803,094 |
|
|
|
(1,658,507) |
|
| Foreign currency and foreign currency translations |
|
|
9 |
|
|
|
— |
|
|
|
(15,838) |
|
| Futures contracts |
|
|
190,224 |
|
|
|
(40,503) |
|
|
|
35,356 |
|
| Net change in unrealized appreciation (depreciation) |
|
|
34,063,233 |
|
|
|
762,591 |
|
|
|
(1,638,989) |
|
| Net realized gain (loss) and change in unrealized appreciation (depreciation) |
|
|
98,239,073 |
|
|
|
26,651,686 |
|
|
|
4,092,085 |
|
| Net increase (decrease) in net assets resulting from operations |
|
|
$100,484,670 |
|
|
|
$26,836,644 |
|
|
|
$5,945,292 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| † Net of foreign taxes withheld of |
|
|
$— |
|
|
|
$1,255 |
|
|
|
$220,203 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
87 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Operations |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR
TAX-MANAGED
MOMENTUM
FUND |
|
|
AQR
TAX-MANAGED
SMALL CAP
MOMENTUM
FUND |
|
|
AQR
TAX-MANAGED
INTERNATIONAL
MOMENTUM
FUND |
|
| |
|
FOR THE SIX
MONTHS ENDED
MARCH 31,
2014 |
|
|
FOR THE SIX
MONTHS ENDED
MARCH 31,
2014 |
|
|
FOR THE SIX
MONTHS ENDED
MARCH 31,
2014 |
|
| INVESTMENT INCOME: |
|
|
|
|
|
|
|
|
|
|
|
|
| Dividend income† |
|
|
$261,728 |
|
|
|
$38,368 |
|
|
|
$424,635 |
|
| Total Income |
|
|
261,728 |
|
|
|
38,368 |
|
|
|
424,635 |
|
|
|
|
|
| EXPENSES: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investment advisory fees |
|
|
70,043 |
|
|
|
19,351 |
|
|
|
86,627 |
|
| Shareholder servicing fees |
|
|
35,021 |
|
|
|
7,257 |
|
|
|
32,485 |
|
| Custody, administration & accounting fees |
|
|
8,595 |
|
|
|
5,889 |
|
|
|
15,257 |
|
| Legal fees |
|
|
259 |
|
|
|
141 |
|
|
|
580 |
|
| Audit & tax fees |
|
|
20,761 |
|
|
|
20,850 |
|
|
|
28,197 |
|
| Shareholder reporting fees |
|
|
2,350 |
|
|
|
2,511 |
|
|
|
3,144 |
|
| Transfer agent fees |
|
|
15,132 |
|
|
|
9,046 |
|
|
|
10,567 |
|
| Trustee fees |
|
|
702 |
|
|
|
168 |
|
|
|
630 |
|
| Distribution fees—Class N |
|
|
156 |
|
|
|
161 |
|
|
|
142 |
|
| Registration fees |
|
|
8,512 |
|
|
|
8,476 |
|
|
|
8,503 |
|
| Pricing fee |
|
|
1,583 |
|
|
|
5,523 |
|
|
|
9,832 |
|
| Other fees |
|
|
3,066 |
|
|
|
1,116 |
|
|
|
3,138 |
|
| Total Expenses |
|
|
166,180 |
|
|
|
80,489 |
|
|
|
199,102 |
|
|
|
|
|
| Less fee waivers and/or reimbursements |
|
|
(39,494) |
|
|
|
(46,459) |
|
|
|
(46,974) |
|
| Net Expenses |
|
|
126,686 |
|
|
|
34,030 |
|
|
|
152,128 |
|
| Net Investment Income (Loss) |
|
|
135,042 |
|
|
|
4,338 |
|
|
|
272,507 |
|
|
|
|
|
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): |
|
|
|
|
|
|
|
|
|
|
|
|
| Net realized gain (loss) from: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in securities |
|
|
396,457 |
|
|
|
234,548 |
|
|
|
(143,961) |
|
| Foreign currency and foreign currency transactions |
|
|
— |
|
|
|
— |
|
|
|
(11,349) |
|
| Net realized gain (loss) |
|
|
396,457 |
|
|
|
234,548 |
|
|
|
(155,310) |
|
|
|
|
|
| Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in securities |
|
|
3,777,687 |
|
|
|
533,412 |
|
|
|
1,283,471 |
|
| Foreign currency and foreign currency translations |
|
|
— |
|
|
|
— |
|
|
|
(2,203) |
|
| Net change in unrealized appreciation (depreciation) |
|
|
3,777,687 |
|
|
|
533,412 |
|
|
|
1,281,268 |
|
| Net realized gain (loss) and change in unrealized appreciation (depreciation) |
|
|
4,174,144 |
|
|
|
767,960 |
|
|
|
1,125,958 |
|
| Net increase (decrease) in net assets resulting from operations |
|
|
$4,309,186 |
|
|
|
$772,298 |
|
|
|
$1,398,465 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| † Net of foreign taxes withheld of |
|
|
$73 |
|
|
|
$92 |
|
|
|
$40,895 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 88 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Operations |
|
|
March 31, 2014 (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR
CORE
EQUITY FUND |
|
|
AQR
SMALL CAP
CORE
EQUITY FUND |
|
|
AQR
INTERNATIONAL
CORE
EQUITY FUND |
|
| |
|
FOR THE SIX
MONTHS ENDED
MARCH 31,
2014 |
|
|
FOR THE SIX
MONTHS ENDED
MARCH 31,
2014 |
|
|
FOR THE SIX
MONTHS ENDED
MARCH 31,
2014 |
|
| INVESTMENT INCOME: |
|
|
|
|
|
|
|
|
|
|
|
|
| Dividend income† |
|
|
$342,805 |
|
|
|
$31,389 |
|
|
|
$243,008 |
|
| Total Income |
|
|
342,805 |
|
|
|
31,389 |
|
|
|
243,008 |
|
|
|
|
|
| EXPENSES: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investment advisory fees |
|
|
62,323 |
|
|
|
11,640 |
|
|
|
41,567 |
|
| Shareholder servicing fees |
|
|
31,161 |
|
|
|
3,879 |
|
|
|
15,588 |
|
| Custody, administration & accounting fees |
|
|
12,312 |
|
|
|
5,027 |
|
|
|
19,049 |
|
| Legal fees |
|
|
420 |
|
|
|
1,844 |
|
|
|
71 |
|
| Audit & tax fees |
|
|
19,219 |
|
|
|
19,219 |
|
|
|
25,315 |
|
| Shareholder reporting fees |
|
|
11,782 |
|
|
|
11,352 |
|
|
|
10,873 |
|
| Transfer agent fees |
|
|
26,971 |
|
|
|
10,317 |
|
|
|
17,124 |
|
| Trustee fees |
|
|
631 |
|
|
|
83 |
|
|
|
363 |
|
| Distribution fees—Class N |
|
|
5,199 |
|
|
|
2,569 |
|
|
|
3,044 |
|
| Registration fees |
|
|
20,699 |
|
|
|
20,642 |
|
|
|
20,484 |
|
| Pricing fee |
|
|
1,080 |
|
|
|
2,921 |
|
|
|
6,971 |
|
| Other fees |
|
|
3,729 |
|
|
|
2,043 |
|
|
|
2,943 |
|
| Total Expenses |
|
|
195,526 |
|
|
|
91,536 |
|
|
|
163,392 |
|
|
|
|
|
| Less fee waivers and/or reimbursements |
|
|
(77,803) |
|
|
|
(69,560) |
|
|
|
(87,597) |
|
| Net Expenses |
|
|
117,723 |
|
|
|
21,976 |
|
|
|
75,795 |
|
| Net Investment Income (Loss) |
|
|
225,082 |
|
|
|
9,413 |
|
|
|
167,213 |
|
|
|
|
|
| REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): |
|
|
|
|
|
|
|
|
|
|
|
|
| Net realized gain (loss) from: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in securities |
|
|
16,461 |
|
|
|
42,960 |
|
|
|
371,109 |
|
| Foreign currency and foreign currency transactions |
|
|
— |
|
|
|
— |
|
|
|
(4,020) |
|
| Net realized gain (loss) |
|
|
16,461 |
|
|
|
42,960 |
|
|
|
367,089 |
|
|
|
|
|
| Net change in unrealized appreciation (depreciation) on: |
|
|
|
|
|
|
|
|
|
|
|
|
| Investments in securities |
|
|
5,000,463 |
|
|
|
456,739 |
|
|
|
184,850 |
|
| Foreign currency and foreign currency translations |
|
|
— |
|
|
|
— |
|
|
|
(1,228) |
|
| Net change in unrealized appreciation (depreciation) |
|
|
5,000,463 |
|
|
|
456,739 |
|
|
|
183,622 |
|
| Net realized gain (loss) and change in unrealized appreciation (depreciation) |
|
|
5,016,924 |
|
|
|
499,699 |
|
|
|
550,711 |
|
| Net increase (decrease) in net assets resulting from operations |
|
|
$5,242,006 |
|
|
|
$509,112 |
|
|
|
$717,924 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| † Net of foreign taxes withheld of |
|
|
$— |
|
|
|
$47 |
|
|
|
$22,762 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
89 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Changes in Net Assets |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR GLOBAL EQUITY FUND |
|
| |
|
FOR THE SIX
MONTHS ENDED
MARCH 31, 2014
(Unaudited) |
|
|
FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 |
|
|
FOR THE
YEAR ENDED
DECEMBER 31,
2012 |
|
| OPERATIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
$2,039,832 |
|
|
|
$6,479,138 |
|
|
|
$9,761,325 |
|
| Net realized gain (loss) |
|
|
22,825,286 |
|
|
|
87,934,210 |
|
|
|
25,951,075 |
|
| Net change in unrealized appreciation (depreciation) |
|
|
4,703,334 |
|
|
|
(13,593,493) |
|
|
|
42,326,765 |
|
| Net increase (decrease) in net assets resulting from operations |
|
|
29,568,452 |
|
|
|
80,819,855 |
|
|
|
78,039,165 |
|
|
|
|
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
|
|
|
|
|
| Net investment income: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
|
(36,899) |
|
|
|
— |
|
|
|
(44,921) |
|
| Class N |
|
|
(18,310) |
|
|
|
— |
|
|
|
(39,465) |
|
| Class Y |
|
|
(7,647,702) |
|
|
|
— |
|
|
|
(13,830,600) |
|
| Total |
|
|
(7,702,911) |
|
|
|
— |
|
|
|
(13,914,986) |
|
| Net realized gain: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
|
(501,061) |
|
|
|
— |
|
|
|
(36,801) |
|
| Class N |
|
|
(279,116) |
|
|
|
— |
|
|
|
(34,857) |
|
| Class Y |
|
|
(95,565,434) |
|
|
|
— |
|
|
|
(9,350,410) |
|
| Total |
|
|
(96,345,611) |
|
|
|
— |
|
|
|
(9,422,068) |
|
| Total distributions |
|
|
(104,048,522) |
|
|
|
— |
|
|
|
(23,337,054) |
|
|
|
|
| CAPITAL TRANSACTIONS: |
|
|
|
|
|
|
|
|
|
| CLASS I |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
866,962 |
|
|
|
556,237 |
|
|
|
289,737 |
|
| Reinvestment of distributions |
|
|
537,960 |
|
|
|
— |
|
|
|
81,722 |
|
| Cost of shares redeemed |
|
|
(109,556) |
|
|
|
(62,999) |
|
|
|
(2,120,396) |
|
| Net increase (decrease) from capital transactions |
|
|
1,295,366 |
|
|
|
493,238 |
|
|
|
(1,748,937) |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
652,052 |
|
|
|
920,019 |
|
|
|
73,666 |
|
| Reinvestment of distributions |
|
|
297,426 |
|
|
|
— |
|
|
|
74,323 |
|
| Cost of shares redeemed |
|
|
(227,240) |
|
|
|
(804,396) |
|
|
|
(1,850,280) |
|
| Net increase (decrease) from capital transactions |
|
|
722,238 |
|
|
|
115,623 |
|
|
|
(1,702,291) |
|
| CLASS R6 |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
72,600,000 |
(a) |
|
|
— |
|
|
|
— |
|
| Net increase (decrease) from capital transactions |
|
|
72,600,000 |
|
|
|
— |
|
|
|
— |
|
| CLASS Y |
|
|
|
|
|
|
|
|
|
|
|
|
| Reinvestment of distributions |
|
|
103,213,136 |
|
|
|
— |
|
|
|
23,181,009 |
|
| Cost of shares redeemed |
|
|
(70,579,444) |
|
|
|
(300,588,116) |
|
|
|
(659,771) |
|
| Redemption fees |
|
|
70,534 |
|
|
|
300,588 |
|
|
|
4 |
|
| Net increase (decrease) from capital transactions |
|
|
32,704,226 |
|
|
|
(300,287,528) |
|
|
|
22,521,242 |
|
| Net increase (decrease) in net assets resulting from capital transactions |
|
|
107,321,830 |
|
|
|
(299,678,667) |
|
|
|
19,070,014 |
|
| Total increase (decrease) in net assets |
|
|
32,841,760 |
|
|
|
(218,858,812) |
|
|
|
73,772,125 |
|
|
|
|
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
256,697,714 |
|
|
|
475,556,526 |
|
|
|
401,784,401 |
|
| End of period |
|
|
$289,539,474 |
|
|
|
$256,697,714 |
|
|
|
$475,556,526 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Undistributed accumulated net investment income (loss) |
|
|
$301,568 |
|
|
|
$5,964,647 |
|
|
|
$(575,224) |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 90 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Changes in Net Assets |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR GLOBAL EQUITY FUND |
|
| |
|
FOR THE SIX
MONTHS ENDED
MARCH 31, 2014
(Unaudited) |
|
|
FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 |
|
|
FOR THE
YEAR ENDED
DECEMBER 31,
2012 |
|
| CHANGES IN SHARES OUTSTANDING: |
|
|
|
|
|
|
|
|
|
| CLASS I |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
94,701 |
|
|
|
55,196 |
|
|
|
210,532 |
|
| Shares sold |
|
|
101,129 |
|
|
|
44,377 |
|
|
|
25,557 |
|
| Shares issued on reinvestment of distributions |
|
|
63,067 |
|
|
|
— |
|
|
|
7,336 |
|
| Shares redeemed |
|
|
(11,451) |
|
|
|
(4,872) |
|
|
|
(188,229) |
|
| Shares outstanding, end of period |
|
|
247,446 |
|
|
|
94,701 |
|
|
|
55,196 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
53,682 |
|
|
|
45,729 |
|
|
|
202,461 |
|
| Shares sold |
|
|
72,940 |
|
|
|
71,457 |
|
|
|
6,817 |
|
| Shares issued on reinvestment of distributions |
|
|
35,033 |
|
|
|
— |
|
|
|
6,690 |
|
| Shares redeemed |
|
|
(22,510) |
|
|
|
(63,504) |
|
|
|
(170,239) |
|
| Shares outstanding, end of period |
|
|
139,145 |
|
|
|
53,682 |
|
|
|
45,729 |
|
| CLASS R6 |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
— |
(a) |
|
|
— |
|
|
|
— |
|
| Shares sold |
|
|
8,500,956 |
|
|
|
— |
|
|
|
— |
|
| Shares outstanding, end of period |
|
|
8,500,956 |
|
|
|
— |
|
|
|
— |
|
| CLASS Y |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
19,044,183 |
|
|
|
41,798,875 |
|
|
|
39,780,661 |
|
| Shares issued on reinvestment of distributions |
|
|
12,057,609 |
|
|
|
— |
|
|
|
2,080,881 |
|
| Shares redeemed |
|
|
(7,392,962) |
|
|
|
(22,754,692) |
|
|
|
(62,667) |
|
| Shares outstanding, end of period |
|
|
23,708,830 |
|
|
|
19,044,183 |
|
|
|
41,798,875 |
|
| |
(a) |
Commencement of offering class of shares effective January 8, 2014. |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
91 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Changes in Net Assets |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR INTERNATIONAL EQUITY FUND |
|
| |
|
FOR THE SIX
MONTHS ENDED
MARCH 31, 2014
(Unaudited) |
|
|
FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 |
|
|
FOR THE
YEAR ENDED
DECEMBER 31,
2012 |
|
| OPERATIONS: |
|
| Net investment income (loss) |
|
|
$7,627,247 |
|
|
|
$13,227,742 |
|
|
|
$14,157,497 |
|
| Net realized gain (loss) |
|
|
27,274,770 |
|
|
|
66,228,657 |
|
|
|
14,380,448 |
|
| Net change in unrealized appreciation (depreciation) |
|
|
21,831,450 |
|
|
|
35,002,292 |
|
|
|
96,501,940 |
|
| Net increase (decrease) in net assets resulting from operations |
|
|
56,733,467 |
|
|
|
114,458,691 |
|
|
|
125,039,885 |
|
|
|
|
|
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
|
(4,237,446) |
|
|
|
— |
|
|
|
(6,044,927) |
|
| Class N |
|
|
(546,390) |
|
|
|
— |
|
|
|
(442,708) |
|
| Class Y |
|
|
(10,825,380) |
|
|
|
— |
|
|
|
(14,968,277) |
|
| Total |
|
|
(15,609,216) |
|
|
|
— |
|
|
|
(21,455,912) |
|
| Net realized gain: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
|
(16,832,213) |
|
|
|
— |
|
|
|
— |
|
| Class N |
|
|
(2,380,187) |
|
|
|
— |
|
|
|
— |
|
| Class Y |
|
|
(37,157,362) |
|
|
|
— |
|
|
|
— |
|
| Total |
|
|
(56,369,762) |
|
|
|
— |
|
|
|
— |
|
| Total distributions |
|
|
(71,978,978) |
|
|
|
— |
|
|
|
(21,455,912) |
|
|
|
|
|
| CAPITAL TRANSACTIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
| CLASS I |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
33,674,130 |
|
|
|
47,657,715 |
|
|
|
56,017,676 |
|
| Reinvestment of distributions |
|
|
18,517,233 |
|
|
|
— |
|
|
|
5,225,139 |
|
| Cost of shares redeemed |
|
|
(45,168,201) |
|
|
|
(35,227,017) |
|
|
|
(33,350,378) |
|
| Net increase (decrease) from capital transactions |
|
|
7,023,162 |
|
|
|
12,430,698 |
|
|
|
27,892,437 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
5,232,359 |
|
|
|
17,853,305 |
|
|
|
15,872,803 |
|
| Reinvestment of distributions |
|
|
2,900,390 |
|
|
|
— |
|
|
|
442,505 |
|
| Cost of shares redeemed |
|
|
(2,787,453) |
|
|
|
(5,035,043) |
|
|
|
(3,715,733) |
|
| Net increase (decrease) from capital transactions |
|
|
5,345,296 |
|
|
|
12,818,262 |
|
|
|
12,599,575 |
|
| CLASS R6 |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
118,825,038 |
(a) |
|
|
— |
|
|
|
— |
|
| Net increase (decrease) from capital transactions |
|
|
118,825,038 |
|
|
|
— |
|
|
|
— |
|
| CLASS Y |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
— |
|
|
|
19,000,000 |
|
|
|
45,779,910 |
|
| Reinvestment of distributions |
|
|
47,982,742 |
|
|
|
— |
|
|
|
14,968,276 |
|
| Cost of shares redeemed |
|
|
(127,350,038) |
|
|
|
(28,692,000) |
|
|
|
(5,836,872) |
|
| Redemption fees |
|
|
23,625 |
|
|
|
47,504 |
|
|
|
32,284 |
|
| Net increase (decrease) from capital transactions |
|
|
(79,343,671) |
|
|
|
(9,644,496) |
|
|
|
54,943,598 |
|
| Net increase (decrease) in net assets resulting from capital transactions |
|
|
51,849,825 |
|
|
|
15,604,464 |
|
|
|
95,435,610 |
|
| Total increase (decrease) in net assets |
|
|
36,604,314 |
|
|
|
130,063,155 |
|
|
|
199,019,583 |
|
|
|
|
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
817,160,113 |
|
|
|
687,096,958 |
|
|
|
488,077,375 |
|
| End of period |
|
|
$853,764,427 |
|
|
|
$817,160,113 |
|
|
|
$687,096,958 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Undistributed accumulated net investment income (loss) |
|
|
$3,747,707 |
|
|
|
$11,729,676 |
|
|
|
$(1,607,306) |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 92 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Changes in Net Assets |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR INTERNATIONAL EQUITY FUND |
|
| |
|
FOR THE
SIX
MONTHS ENDED
MARCH 31, 2014
(Unaudited) |
|
|
FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 |
|
|
FOR THE
YEAR ENDED
DECEMBER 31,
2012 |
|
| CHANGES IN SHARES OUTSTANDING: |
|
|
|
|
|
|
|
|
|
|
|
|
| CLASS I |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
20,333,041 |
|
|
|
19,233,566 |
|
|
|
16,066,790 |
|
| Shares sold |
|
|
2,850,964 |
|
|
|
4,223,416 |
|
|
|
6,218,133 |
|
| Shares issued on reinvestment of distributions |
|
|
1,641,599 |
|
|
|
— |
|
|
|
524,610 |
|
| Shares redeemed |
|
|
(3,779,178) |
|
|
|
(3,123,941) |
|
|
|
(3,575,967) |
|
| Shares outstanding, end of period |
|
|
21,046,426 |
|
|
|
20,333,041 |
|
|
|
19,233,566 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
2,654,916 |
|
|
|
1,492,563 |
|
|
|
133,174 |
|
| Shares sold |
|
|
436,516 |
|
|
|
1,609,233 |
|
|
|
1,698,841 |
|
| Shares issued on reinvestment of distributions |
|
|
252,647 |
|
|
|
— |
|
|
|
43,639 |
|
| Shares redeemed |
|
|
(233,608) |
|
|
|
(446,880) |
|
|
|
(383,091) |
|
| Shares outstanding, end of period |
|
|
3,110,471 |
|
|
|
2,654,916 |
|
|
|
1,492,563 |
|
| CLASS R6 |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
— |
(a) |
|
|
— |
|
|
|
— |
|
| Shares sold |
|
|
9,937,843 |
|
|
|
— |
|
|
|
— |
|
| Shares outstanding, end of period |
|
|
9,937,843 |
|
|
|
— |
|
|
|
— |
|
| CLASS Y |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
43,655,846 |
|
|
|
44,308,341 |
|
|
|
38,834,729 |
|
| Shares sold |
|
|
— |
|
|
|
1,693,405 |
|
|
|
4,631,152 |
|
| Shares issued on reinvestment of distributions |
|
|
4,045,762 |
|
|
|
— |
|
|
|
1,436,495 |
|
| Shares redeemed |
|
|
(10,620,625) |
|
|
|
(2,345,900) |
|
|
|
(594,035) |
|
| Shares outstanding, end of period |
|
|
37,080,983 |
|
|
|
43,655,846 |
|
|
|
44,308,341 |
|
| |
(a) |
Commencement of offering class of shares effective January 8, 2014. |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
93 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Changes in Net Assets |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR EMERGING DEFENSIVE EQUITY FUND |
|
| |
|
FOR THE SIX
MONTHS ENDED
MARCH 31, 2014
(Unaudited) |
|
|
FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 |
|
|
FOR THE PERIOD
7/09/12*-12/31/12 |
|
| OPERATIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
$230,580 |
|
|
|
$240,274 |
|
|
|
$49,290 |
|
| Net realized gain (loss) |
|
|
(322,367) |
|
|
|
(381,061) |
|
|
|
3,764 |
|
| Net change in unrealized appreciation (depreciation) |
|
|
25,014 |
|
|
|
(16,957) |
|
|
|
511,724 |
|
| Net increase (decrease) in net assets resulting from operations |
|
|
(66,773) |
|
|
|
(157,744) |
|
|
|
564,778 |
|
|
|
|
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
|
|
|
|
|
| Net investment income: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
|
(351,636) |
|
|
|
— |
|
|
|
(34,222) |
|
| Class N |
|
|
(27,047) |
|
|
|
— |
|
|
|
(9,990) |
|
| Total |
|
|
(378,683) |
|
|
|
— |
|
|
|
(44,212) |
|
| Net realized gain: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
|
(270) |
|
|
|
— |
|
|
|
(11,427) |
|
| Class N |
|
|
(26) |
|
|
|
— |
|
|
|
(4,811) |
|
| Total |
|
|
(296) |
|
|
|
— |
|
|
|
(16,238) |
|
| Total distributions |
|
|
(378,979) |
|
|
|
— |
|
|
|
(60,450) |
|
|
|
|
| CAPITAL TRANSACTIONS: |
|
|
|
|
|
|
|
|
|
| CLASS I |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
25,318,071 |
|
|
|
28,306,131 |
|
|
|
5,666,656 |
|
| Reinvestment of distributions |
|
|
351,906 |
|
|
|
— |
|
|
|
45,649 |
|
| Cost of shares redeemed |
|
|
(8,199,503) |
|
|
|
(4,122,651) |
|
|
|
(689,457) |
|
| Net increase (decrease) from capital transactions |
|
|
17,470,474 |
|
|
|
24,183,480 |
|
|
|
5,022,848 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
1,669,496 |
|
|
|
1,889,158 |
|
|
|
1,857,059 |
|
| Reinvestment of distributions |
|
|
27,073 |
|
|
|
— |
|
|
|
14,801 |
|
| Cost of shares redeemed |
|
|
(2,102,687) |
|
|
|
(1,056,166) |
|
|
|
(192,516) |
|
| Net increase (decrease) from capital transactions |
|
|
(406,118) |
|
|
|
832,992 |
|
|
|
1,679,344 |
|
| Net increase (decrease) in net assets resulting from capital transactions |
|
|
17,064,356 |
|
|
|
25,016,472 |
|
|
|
6,702,192 |
|
| Total increase (decrease) in net assets |
|
|
16,618,604 |
|
|
|
24,858,728 |
|
|
|
7,206,520 |
|
|
|
|
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
32,065,248 |
|
|
|
7,206,520 |
|
|
|
— |
|
| End of period |
|
|
$48,683,852 |
|
|
|
$32,065,248 |
|
|
|
$7,206,520 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Undistributed accumulated net investment income (loss) |
|
|
$62,969 |
|
|
|
$211,072 |
|
|
|
$4,259 |
|
|
|
|
| CHANGES IN SHARES OUTSTANDING: |
|
|
|
|
|
|
|
|
|
| CLASS I |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
2,870,660 |
|
|
|
494,839 |
|
|
|
— |
|
| Shares sold |
|
|
2,534,080 |
|
|
|
2,752,761 |
|
|
|
556,121 |
|
| Shares issued on reinvestment of distributions |
|
|
35,261 |
|
|
|
— |
|
|
|
4,278 |
|
| Shares redeemed |
|
|
(835,887) |
|
|
|
(376,940) |
|
|
|
(65,560) |
|
| Shares outstanding, end of period |
|
|
4,604,114 |
|
|
|
2,870,660 |
|
|
|
494,839 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
252,784 |
|
|
|
165,019 |
|
|
|
— |
|
| Shares sold |
|
|
162,824 |
|
|
|
184,245 |
|
|
|
181,889 |
|
| Shares issued on reinvestment of distributions |
|
|
2,710 |
|
|
|
— |
|
|
|
1,386 |
|
| Shares redeemed |
|
|
(226,220) |
|
|
|
(96,480) |
|
|
|
(18,256) |
|
| Shares outstanding, end of period |
|
|
192,098 |
|
|
|
252,784 |
|
|
|
165,019 |
|
| |
* |
Commencement of operations. |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 94 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Changes in Net Assets |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR INTERNATIONAL DEFENSIVE EQUITY FUND |
|
| |
|
FOR THE SIX
MONTHS ENDED
MARCH 31, 2014
(Unaudited) |
|
|
FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 |
|
|
FOR THE PERIOD
7/09/12*-12/31/12 |
|
| OPERATIONS: |
|
| Net investment income (loss) |
|
|
$244,406 |
|
|
|
$237,520 |
|
|
|
$33,252 |
|
| Net realized gain (loss) |
|
|
59,050 |
|
|
|
170,189 |
|
|
|
16,279 |
|
| Net change in unrealized appreciation (depreciation) |
|
|
816,708 |
|
|
|
737,068 |
|
|
|
244,382 |
|
| Net increase (decrease) in net assets resulting from operations |
|
|
1,120,164 |
|
|
|
1,144,777 |
|
|
|
293,913 |
|
|
|
|
|
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
|
(298,045) |
|
|
|
— |
|
|
|
(26,339) |
|
| Class N |
|
|
(20,141) |
|
|
|
— |
|
|
|
(3,918) |
|
| Total |
|
|
(318,186) |
|
|
|
— |
|
|
|
(30,257) |
|
| Net realized gain: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
|
(203,528) |
|
|
|
— |
|
|
|
(16,369) |
|
| Class N |
|
|
(15,609) |
|
|
|
— |
|
|
|
(4,353) |
|
| Total |
|
|
(219,137) |
|
|
|
— |
|
|
|
(20,722) |
|
| Total distributions |
|
|
(537,323) |
|
|
|
— |
|
|
|
(50,979) |
|
|
|
|
|
| CAPITAL TRANSACTIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
| CLASS I |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
8,167,795 |
|
|
|
11,923,132 |
|
|
|
7,216,220 |
|
| Reinvestment of distributions |
|
|
501,573 |
|
|
|
— |
|
|
|
42,708 |
|
| Cost of shares redeemed |
|
|
(1,910,398) |
|
|
|
(701,166) |
|
|
|
(2,065,477) |
|
| Net increase (decrease) from capital transactions |
|
|
6,758,970 |
|
|
|
11,221,966 |
|
|
|
5,193,451 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
570,636 |
|
|
|
349,021 |
|
|
|
1,791,100 |
|
| Reinvestment of distributions |
|
|
35,750 |
|
|
|
— |
|
|
|
8,271 |
|
| Cost of shares redeemed |
|
|
(475,720) |
|
|
|
(148,571) |
|
|
|
(1,019,455) |
|
| Net increase (decrease) from capital transactions |
|
|
130,666 |
|
|
|
200,450 |
|
|
|
779,916 |
|
| Net increase (decrease) in net assets resulting from capital transactions |
|
|
6,889,636 |
|
|
|
11,422,416 |
|
|
|
5,973,367 |
|
| Total increase (decrease) in net assets |
|
|
7,472,477 |
|
|
|
12,567,193 |
|
|
|
6,216,301 |
|
|
|
|
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
18,783,494 |
|
|
|
6,216,301 |
|
|
|
— |
|
| End of period |
|
|
$26,255,971 |
|
|
|
$18,783,494 |
|
|
|
$6,216,301 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Undistributed accumulated net investment income (loss) |
|
|
$180,792 |
|
|
|
$254,572 |
|
|
|
$(143) |
|
|
|
|
|
| CHANGES IN SHARES OUTSTANDING: |
|
|
|
|
|
|
|
|
|
|
|
|
| CLASS I |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
1,483,573 |
|
|
|
502,748 |
|
|
|
— |
|
| Shares sold |
|
|
682,535 |
|
|
|
1,042,623 |
|
|
|
693,168 |
|
| Shares issued on reinvestment of distributions |
|
|
42,833 |
|
|
|
— |
|
|
|
4,014 |
|
| Shares redeemed |
|
|
(160,710) |
|
|
|
(61,798) |
|
|
|
(194,434) |
|
| Shares outstanding, end of period |
|
|
2,048,231 |
|
|
|
1,483,573 |
|
|
|
502,748 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
97,048 |
|
|
|
79,543 |
|
|
|
— |
|
| Shares sold |
|
|
47,607 |
|
|
|
31,111 |
|
|
|
174,715 |
|
| Shares issued on reinvestment of distributions |
|
|
3,053 |
|
|
|
— |
|
|
|
776 |
|
| Shares redeemed |
|
|
(39,805) |
|
|
|
(13,606) |
|
|
|
(95,948) |
|
| Shares outstanding, end of period |
|
|
107,903 |
|
|
|
97,048 |
|
|
|
79,543 |
|
| |
* |
Commencement of operations. |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
95 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Changes in Net Assets |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR U.S. DEFENSIVE EQUITY FUND |
|
| |
|
FOR THE SIX
MONTHS ENDED
MARCH 31, 2014
(Unaudited) |
|
|
FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 |
|
|
FOR THE PERIOD
7/09/12*-12/31/12 |
|
| OPERATIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
$1,505,844 |
|
|
|
$597,018 |
|
|
|
$44,795 |
|
| Net realized gain (loss) |
|
|
1,995,305 |
|
|
|
377,383 |
|
|
|
(2,179) |
|
| Net change in unrealized appreciation (depreciation) |
|
|
17,722,196 |
|
|
|
1,670,664 |
|
|
|
33,443 |
|
| Net increase (decrease) in net assets resulting from operations |
|
|
21,223,345 |
|
|
|
2,645,065 |
|
|
|
76,059 |
|
|
|
|
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
|
|
|
|
|
| Net investment income: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
|
(1,166,110) |
|
|
|
— |
|
|
|
(40,855) |
|
| Class N |
|
|
(124,307) |
|
|
|
— |
|
|
|
(1,691) |
|
| Total |
|
|
(1,290,417) |
|
|
|
— |
|
|
|
(42,546) |
|
| Net realized gain: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
|
(590,291) |
|
|
|
— |
|
|
|
(4,695) |
|
| Class N |
|
|
(75,618) |
|
|
|
— |
|
|
|
(316) |
|
| Total |
|
|
(665,909) |
|
|
|
— |
|
|
|
(5,011) |
|
| Total distributions |
|
|
(1,956,326) |
|
|
|
— |
|
|
|
(47,557) |
|
|
|
|
| CAPITAL TRANSACTIONS: |
|
|
|
|
|
|
|
|
|
| CLASS I |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
37,129,798 |
|
|
|
147,844,332 |
|
|
|
8,863,968 |
|
| Reinvestment of distributions |
|
|
1,756,401 |
|
|
|
— |
|
|
|
45,549 |
|
| Cost of shares redeemed |
|
|
(8,616,426) |
|
|
|
(2,400,295) |
|
|
|
(1,076,018) |
|
| Net increase (decrease) from capital transactions |
|
|
30,269,773 |
|
|
|
145,444,037 |
|
|
|
7,833,499 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
3,749,516 |
|
|
|
23,011,456 |
|
|
|
1,421,979 |
|
| Reinvestment of distributions |
|
|
199,925 |
|
|
|
— |
|
|
|
2,007 |
|
| Cost of shares redeemed |
|
|
(1,309,548) |
|
|
|
(2,967,021) |
|
|
|
(1,023,257) |
|
| Net increase (decrease) from capital transactions |
|
|
2,639,893 |
|
|
|
20,044,435 |
|
|
|
400,729 |
|
| Net increase (decrease) in net assets resulting from capital transactions |
|
|
32,909,666 |
|
|
|
165,488,472 |
|
|
|
8,234,228 |
|
| Total increase (decrease) in net assets |
|
|
52,176,685 |
|
|
|
168,133,537 |
|
|
|
8,262,730 |
|
|
|
|
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
176,396,267 |
|
|
|
8,262,730 |
|
|
|
— |
|
| End of period |
|
|
$228,572,952 |
|
|
|
$176,396,267 |
|
|
|
$8,262,730 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Undistributed accumulated net investment income (loss) |
|
|
$818,088 |
|
|
|
$602,661 |
|
|
|
$5,727 |
|
|
|
|
| CHANGES IN SHARES OUTSTANDING: |
|
|
|
|
|
|
|
|
|
| CLASS I |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
12,763,386 |
|
|
|
771,572 |
|
|
|
— |
|
| Shares sold |
|
|
2,887,424 |
|
|
|
12,202,553 |
|
|
|
872,439 |
|
| Shares issued on reinvestment of distributions |
|
|
135,525 |
|
|
|
— |
|
|
|
4,479 |
|
| Shares redeemed |
|
|
(663,014) |
|
|
|
(210,739) |
|
|
|
(105,346) |
|
| Shares outstanding, end of period |
|
|
15,123,321 |
|
|
|
12,763,386 |
|
|
|
771,572 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
1,700,634 |
|
|
|
41,347 |
|
|
|
— |
|
| Shares sold |
|
|
290,131 |
|
|
|
1,912,085 |
|
|
|
141,350 |
|
| Shares issued on reinvestment of distributions |
|
|
15,426 |
|
|
|
— |
|
|
|
197 |
|
| Shares redeemed |
|
|
(101,059) |
|
|
|
(252,798) |
|
|
|
(100,200) |
|
| Shares outstanding, end of period |
|
|
1,905,132 |
|
|
|
1,700,634 |
|
|
|
41,347 |
|
| |
* |
Commencement of operations. |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 96 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Changes in Net Assets |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR MOMENTUM FUND |
|
| |
|
FOR THE SIX
MONTHS ENDED
MARCH 31, 2014
(Unaudited) |
|
|
FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 |
|
|
FOR THE
YEAR ENDED
DECEMBER 31,
2012 |
|
| OPERATIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
$2,245,597 |
|
|
|
$4,308,786 |
|
|
|
$7,340,127 |
|
| Net realized gain (loss) |
|
|
64,175,840 |
|
|
|
34,824,237 |
|
|
|
13,466,529 |
|
| Net change in unrealized appreciation (depreciation) |
|
|
34,063,233 |
|
|
|
92,812,642 |
|
|
|
39,530,778 |
|
| Net increase (decrease) in net assets resulting from operations |
|
|
100,484,670 |
|
|
|
131,945,665 |
|
|
|
60,337,434 |
|
|
|
|
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
|
|
|
|
|
| Net investment income: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
(5,167,616) |
|
|
|
— |
|
|
|
(7,610,158) |
|
| Class N |
|
|
(276,437) |
|
|
|
— |
|
|
|
— |
|
| Total |
|
|
(5,444,053) |
|
|
|
— |
|
|
|
(7,610,158) |
|
| Net realized gain: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
(33,760,873) |
|
|
|
— |
|
|
|
— |
|
| Class N |
|
|
(3,094,983) |
|
|
|
— |
|
|
|
— |
|
| Total |
|
|
(36,855,856) |
|
|
|
— |
|
|
|
— |
|
| Total distributions |
|
|
(42,299,909) |
|
|
|
— |
|
|
|
(7,610,158) |
|
|
|
|
| CAPITAL TRANSACTIONS: |
|
|
|
|
|
|
|
|
|
| CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
155,425,384 |
|
|
|
213,770,610 |
|
|
|
231,326,342 |
|
| Reinvestment of distributions |
|
|
38,899,012 |
|
|
|
— |
|
|
|
7,604,346 |
|
| Cost of shares redeemed |
|
|
(76,556,718) |
|
|
|
(103,081,407) |
|
|
|
(104,299,857) |
|
| Net increase (decrease) from capital transactions |
|
|
117,767,678 |
|
|
|
110,689,203 |
|
|
|
134,630,831 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
8,593,586 |
|
|
|
22,798,786 |
|
|
|
58,966,793 |
(a) |
| Reinvestment of distributions |
|
|
3,371,420 |
|
|
|
— |
|
|
|
— |
|
| Cost of shares redeemed |
|
|
(11,403,361) |
|
|
|
(24,643,522) |
|
|
|
(216,871) |
(a) |
| Net increase (decrease) from capital transactions |
|
|
561,645 |
|
|
|
(1,844,736) |
|
|
|
58,749,922 |
|
| Net increase (decrease) in net assets resulting from capital transactions |
|
|
118,329,323 |
|
|
|
108,844,467 |
|
|
|
193,380,753 |
|
| Total increase (decrease) in net assets |
|
|
176,514,084 |
|
|
|
240,790,132 |
|
|
|
246,108,029 |
|
|
|
|
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
789,653,445 |
|
|
|
548,863,313 |
|
|
|
302,755,284 |
|
| End of period |
|
|
$966,167,529 |
|
|
|
$789,653,445 |
|
|
|
$548,863,313 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Undistributed accumulated net investment income (loss) |
|
|
$1,145,857 |
|
|
|
$4,344,313 |
|
|
|
$227,113 |
|
|
|
|
| CHANGES IN SHARES OUTSTANDING: |
|
|
|
|
|
|
|
|
|
| CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
36,612,813 |
|
|
|
30,541,508 |
|
|
|
21,793,766 |
|
| Shares sold |
|
|
7,521,336 |
|
|
|
11,747,969 |
|
|
|
14,895,037 |
|
| Shares issued on reinvestment of distributions |
|
|
1,906,814 |
|
|
|
— |
|
|
|
481,898 |
|
| Shares redeemed |
|
|
(3,696,604) |
|
|
|
(5,676,664) |
|
|
|
(6,629,193) |
|
| Shares outstanding, end of period |
|
|
42,344,359 |
|
|
|
36,612,813 |
|
|
|
30,541,508 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
3,583,368 |
|
|
|
3,638,858 |
|
|
|
— |
(a) |
| Shares sold |
|
|
414,882 |
|
|
|
1,273,992 |
|
|
|
3,652,468 |
|
| Shares issued on reinvestment of distributions |
|
|
165,266 |
|
|
|
— |
|
|
|
— |
|
| Shares redeemed |
|
|
(549,461) |
|
|
|
(1,329,482) |
|
|
|
(13,610) |
|
| Shares outstanding, end of period |
|
|
3,614,055 |
|
|
|
3,583,368 |
|
|
|
3,638,858 |
|
| |
(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 |
|
|
|
|
|
March 2014 |
|
97 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Changes in Net Assets |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR SMALL CAP MOMENTUM FUND |
|
| |
|
FOR THE SIX
MONTHS ENDED
MARCH 31, 2014
(Unaudited) |
|
|
FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 |
|
|
FOR THE
YEAR ENDED
DECEMBER 31,
2012 |
|
| OPERATIONS: |
|
| Net investment income (loss) |
|
|
$184,958 |
|
|
|
$857,922 |
|
|
|
$1,800,500 |
|
| Net realized gain (loss) |
|
|
25,889,095 |
|
|
|
14,190,638 |
|
|
|
7,037,857 |
|
| Net change in unrealized appreciation (depreciation) |
|
|
762,591 |
|
|
|
37,443,636 |
|
|
|
12,331,774 |
|
| Net increase (decrease) in net assets resulting from operations |
|
|
26,836,644 |
|
|
|
52,492,196 |
|
|
|
21,170,131 |
|
|
|
|
|
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
(1,023,046) |
|
|
|
— |
|
|
|
(1,541,164) |
|
| Class N |
|
|
(10,961) |
|
|
|
— |
|
|
|
— |
|
| Total |
|
|
(1,034,007) |
|
|
|
— |
|
|
|
— |
|
| Net realized gain: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
(15,719,564) |
|
|
|
— |
|
|
|
— |
|
| Class N |
|
|
(170,339) |
|
|
|
— |
|
|
|
— |
|
| Total |
|
|
(15,889,903) |
|
|
|
— |
|
|
|
(1,541,164) |
|
| Total distributions |
|
|
(16,923,910) |
|
|
|
— |
|
|
|
(1,541,164) |
|
|
|
|
|
| CAPITAL TRANSACTIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
| CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
48,743,350 |
|
|
|
70,492,315 |
|
|
|
50,077,757 |
|
| Reinvestment of distributions |
|
|
16,540,167 |
|
|
|
— |
|
|
|
1,537,931 |
|
| Cost of shares redeemed |
|
|
(26,311,042) |
|
|
|
(26,018,808) |
|
|
|
(26,009,044) |
|
| Net increase (decrease) from capital transactions |
|
|
38,972,475 |
|
|
|
44,473,507 |
|
|
|
25,606,644 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
4,594,586 |
|
|
|
1,615,673 |
|
|
|
10,000 |
(a) |
| Reinvestment of distributions |
|
|
181,300 |
|
|
|
— |
|
|
|
— |
|
| Cost of shares redeemed |
|
|
(106,357) |
|
|
|
(17,558) |
|
|
|
— |
|
| Net increase (decrease) from capital transactions |
|
|
4,669,529 |
|
|
|
1,598,115 |
|
|
|
10,000 |
|
| Net increase (decrease) in net assets resulting from capital transactions |
|
|
43,642,004 |
|
|
|
46,071,622 |
|
|
|
25,616,644 |
|
| Total increase (decrease) in net assets |
|
|
53,554,738 |
|
|
|
98,563,818 |
|
|
|
45,245,611 |
|
|
|
|
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
244,343,783 |
|
|
|
145,779,965 |
|
|
|
100,534,354 |
|
| End of period |
|
|
$297,898,521 |
|
|
|
$244,343,783 |
|
|
|
$145,779,965 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Undistributed accumulated net investment income (loss) |
|
|
$(96,111) |
|
|
|
$752,938 |
|
|
|
$146,099 |
|
|
|
|
|
| CHANGES IN SHARES OUTSTANDING: |
|
|
|
|
|
|
|
|
|
|
|
|
| CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
11,146,293 |
|
|
|
8,871,777 |
|
|
|
7,238,497 |
|
| Shares sold |
|
|
2,185,739 |
|
|
|
3,620,280 |
|
|
|
3,211,497 |
|
| Shares issued on reinvestment of distributions |
|
|
752,852 |
|
|
|
— |
|
|
|
97,153 |
|
| Shares redeemed |
|
|
(1,176,568) |
|
|
|
(1,345,764) |
|
|
|
(1,675,370) |
|
| Shares outstanding, end of period |
|
|
12,908,316 |
|
|
|
11,146,293 |
|
|
|
8,871,777 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
76,765 |
|
|
|
622 |
|
|
|
— |
(a) |
| Shares sold |
|
|
203,204 |
|
|
|
77,081 |
|
|
|
622 |
|
| Shares issued on reinvestment of distributions |
|
|
8,271 |
|
|
|
— |
|
|
|
— |
|
| Shares redeemed |
|
|
(4,798) |
|
|
|
(938) |
|
|
|
— |
|
| Shares outstanding, end of period |
|
|
283,442 |
|
|
|
76,765 |
|
|
|
622 |
|
| |
(a) |
Commencement of offering class of shares effective December 17, 2012. |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 98 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Changes in Net Assets |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR INTERNATIONAL MOMENTUM FUND |
|
| |
|
FOR THE SIX
MONTHS ENDED
MARCH 31, 2014
(Unaudited) |
|
|
FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 |
|
|
FOR THE
YEAR ENDED
DECEMBER 31,
2012 |
|
| OPERATIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
$1,853,207 |
|
|
|
$3,054,749 |
|
|
|
$2,524,674 |
|
| Net realized gain (loss) |
|
|
5,731,074 |
|
|
|
7,761,555 |
|
|
|
1,155,067 |
|
| Net change in unrealized appreciation (depreciation) |
|
|
(1,638,989) |
|
|
|
18,220,315 |
|
|
|
13,708,882 |
|
| Net increase (decrease) in net assets resulting from operations |
|
|
5,945,292 |
|
|
|
29,036,619 |
|
|
|
17,388,623 |
|
|
|
|
|
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
(3,959,589) |
|
|
|
— |
|
|
|
(2,965,770) |
|
| Class N |
|
|
(609,999) |
|
|
|
— |
|
|
|
— |
|
| Total |
|
|
(4,569,588) |
|
|
|
— |
|
|
|
(2,965,770) |
|
| Total distributions |
|
|
(4,569,588) |
|
|
|
— |
|
|
|
(2,965,770) |
|
|
|
|
|
| CAPITAL TRANSACTIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
| CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
66,322,741 |
|
|
|
83,877,662 |
|
|
|
54,777,235 |
|
| Reinvestment of distributions |
|
|
3,958,755 |
|
|
|
— |
|
|
|
2,965,195 |
|
| Cost of shares redeemed |
|
|
(13,969,947) |
|
|
|
(18,591,284) |
|
|
|
(21,716,680) |
|
| Net increase (decrease) from capital transactions |
|
|
56,311,549 |
|
|
|
65,286,378 |
|
|
|
36,025,750 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
4,392,101 |
|
|
|
42,216,111 |
|
|
|
11,000 |
(a) |
| Reinvestment of distributions |
|
|
609,999 |
|
|
|
— |
|
|
|
— |
|
| Cost of shares redeemed |
|
|
(5,892,734) |
|
|
|
(3,719,078) |
|
|
|
— |
|
| Net increase (decrease) from capital transactions |
|
|
(890,634) |
|
|
|
38,497,033 |
|
|
|
11,000 |
|
| Net increase (decrease) in net assets resulting from capital transactions |
|
|
55,420,915 |
|
|
|
103,783,411 |
|
|
|
36,036,750 |
|
| Total increase (decrease) in net assets |
|
|
56,796,619 |
|
|
|
132,820,030 |
|
|
|
50,459,603 |
|
|
|
|
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
260,504,544 |
|
|
|
127,684,514 |
|
|
|
77,224,911 |
|
| End of period |
|
|
$317,301,163 |
|
|
|
$260,504,544 |
|
|
|
$127,684,514 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Undistributed accumulated net investment income (loss) |
|
|
$509,738 |
|
|
|
$3,226,119 |
|
|
|
$(313,735) |
|
|
|
|
|
| CHANGES IN SHARES OUTSTANDING: |
|
|
|
|
|
|
|
|
|
|
|
|
| CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
14,326,003 |
|
|
|
9,757,051 |
|
|
|
6,789,578 |
|
| Shares sold |
|
|
4,302,792 |
|
|
|
5,866,252 |
|
|
|
4,490,971 |
|
| Shares issued on reinvestment of distributions |
|
|
258,405 |
|
|
|
— |
|
|
|
229,327 |
|
| Shares redeemed |
|
|
(907,386) |
|
|
|
(1,297,300) |
|
|
|
(1,752,825) |
|
| Shares outstanding, end of period |
|
|
17,979,814 |
|
|
|
14,326,003 |
|
|
|
9,757,051 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
2,721,721 |
|
|
|
849 |
|
|
|
— |
(a) |
| Shares sold |
|
|
285,137 |
|
|
|
2,976,098 |
|
|
|
849 |
|
| Shares issued on reinvestment of distributions |
|
|
39,895 |
|
|
|
— |
|
|
|
— |
|
| Shares redeemed |
|
|
(383,185) |
|
|
|
(255,226) |
|
|
|
— |
|
| Shares outstanding, end of period |
|
|
2,663,568 |
|
|
|
2,721,721 |
|
|
|
849 |
|
| |
(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 |
|
|
|
|
|
March 2014 |
|
99 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Changes in Net Assets |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR TAX-MANAGED MOMENTUM
FUND |
|
| |
|
FOR THE SIX
MONTHS ENDED
MARCH 31, 2014
(Unaudited) |
|
|
FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 |
|
|
FOR THE PERIOD
1/27/12*-12/31/12 |
|
| OPERATIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
$135,042 |
|
|
|
$75,056 |
|
|
|
$55,098 |
|
| Net realized gain (loss) |
|
|
396,457 |
|
|
|
199,994 |
|
|
|
20,369 |
|
| Net change in unrealized appreciation (depreciation) |
|
|
3,777,687 |
|
|
|
1,474,254 |
|
|
|
290,968 |
|
| Net increase (decrease) in net assets resulting from operations |
|
|
4,309,186 |
|
|
|
1,749,304 |
|
|
|
366,435 |
|
|
|
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
|
| Net investment income: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
(128,737) |
|
|
|
— |
|
|
|
(58,114) |
|
| Class N |
|
|
(55) |
|
|
|
— |
|
|
|
— |
|
| Total |
|
|
(128,792) |
|
|
|
— |
|
|
|
(58,114) |
|
| Net realized gain: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
(317,031) |
|
|
|
— |
|
|
|
(35,669) |
|
| Class N |
|
|
(940) |
|
|
|
— |
|
|
|
— |
|
| Total |
|
|
(317,971) |
|
|
|
— |
|
|
|
(35,669) |
|
| Total distributions |
|
|
(446,763) |
|
|
|
— |
|
|
|
(93,783) |
|
|
|
| CAPITAL TRANSACTIONS: |
|
|
|
|
|
| CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
46,293,430 |
|
|
|
17,901,127 |
|
|
|
5,727,135 |
|
| Reinvestment of distributions |
|
|
445,768 |
|
|
|
— |
|
|
|
93,783 |
|
| Cost of shares redeemed |
|
|
(2,985,452) |
|
|
|
(3,966,042) |
|
|
|
(52,741) |
|
| Net increase (decrease) from capital transactions |
|
|
43,753,746 |
|
|
|
13,935,085 |
|
|
|
5,768,177 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
— |
|
|
|
100,001 |
|
|
|
10,000 |
(a) |
| Reinvestment of distributions |
|
|
995 |
|
|
|
— |
|
|
|
— |
|
| Cost of shares redeemed |
|
|
— |
|
|
|
(10,594) |
|
|
|
— |
|
| Net increase (decrease) from capital transactions |
|
|
995 |
|
|
|
89,407 |
|
|
|
10,000 |
|
| Net increase (decrease) in net assets resulting from capital transactions |
|
|
43,754,741 |
|
|
|
14,024,492 |
|
|
|
5,778,177 |
|
| Total increase (decrease) in net assets |
|
|
47,617,164 |
|
|
|
15,773,796 |
|
|
|
6,050,829 |
|
|
|
|
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
21,824,625 |
|
|
|
6,050,829 |
|
|
|
— |
|
| End of period |
|
|
$69,441,789 |
|
|
|
$21,824,625 |
|
|
|
$6,050,829 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Undistributed accumulated net investment income (loss) |
|
|
$83,704 |
|
|
|
$77,454 |
|
|
|
$3,454 |
|
|
|
| CHANGES IN SHARES OUTSTANDING: |
|
|
|
|
|
| CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
1,596,498 |
|
|
|
542,643 |
|
|
|
— |
|
| Shares sold |
|
|
3,169,135 |
|
|
|
1,359,290 |
|
|
|
538,821 |
|
| Shares issued on reinvestment of distributions |
|
|
30,365 |
|
|
|
— |
|
|
|
8,557 |
|
| Shares redeemed |
|
|
(204,849) |
|
|
|
(305,435) |
|
|
|
(4,735) |
|
| Shares outstanding, end of period |
|
|
4,591,149 |
|
|
|
1,596,498 |
|
|
|
542,643 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
8,489 |
|
|
|
899 |
|
|
|
— |
(a) |
| Shares sold |
|
|
— |
|
|
|
8,489 |
|
|
|
899 |
|
| Shares issued on reinvestment of distributions |
|
|
68 |
|
|
|
— |
|
|
|
— |
|
| Shares redeemed |
|
|
— |
|
|
|
(899) |
|
|
|
— |
|
| Shares outstanding, end of period |
|
|
8,557 |
|
|
|
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. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 100 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Changes in Net Assets |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
|
| |
|
FOR THE SIX
MONTHS ENDED
MARCH 31, 2014
(Unaudited) |
|
|
FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 |
|
|
FOR THE PERIOD
1/27/12*-12/31/12 |
|
| OPERATIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
$4,338 |
|
|
|
$17,737 |
|
|
|
$46,220 |
|
| Net realized gain (loss) |
|
|
234,548 |
|
|
|
102,409 |
|
|
|
14,572 |
|
| Net change in unrealized appreciation (depreciation) |
|
|
533,412 |
|
|
|
1,216,323 |
|
|
|
272,089 |
|
| Net increase (decrease) in net assets resulting from operations |
|
|
772,298 |
|
|
|
1,336,469 |
|
|
|
332,881 |
|
|
|
|
|
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
(21,215) |
|
|
|
— |
|
|
|
(43,740) |
|
| Class N |
|
|
(33) |
|
|
|
— |
|
|
|
— |
|
| Total |
|
|
(21,248) |
|
|
|
— |
|
|
|
(43,740) |
|
| Net realized gain: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
(139,024) |
|
|
|
— |
|
|
|
— |
|
| Class N |
|
|
(2,068) |
|
|
|
— |
|
|
|
— |
|
| Total |
|
|
(141,092) |
|
|
|
— |
|
|
|
— |
|
| Total distributions |
|
|
(162,340) |
|
|
|
— |
|
|
|
(43,740) |
|
|
|
|
|
| CAPITAL TRANSACTIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
| CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
8,741,324 |
|
|
|
2,695,469 |
|
|
|
3,103,895 |
|
| Reinvestment of distributions |
|
|
160,239 |
|
|
|
— |
|
|
|
43,740 |
|
| Cost of shares redeemed |
|
|
(3,680,488) |
|
|
|
(679,820) |
|
|
|
(1,566) |
|
| Net increase (decrease) from capital transactions |
|
|
5,221,075 |
|
|
|
2,015,649 |
|
|
|
3,146,069 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
— |
|
|
|
100,000 |
|
|
|
10,000 |
(a) |
| Reinvestment of distributions |
|
|
2,101 |
|
|
|
— |
|
|
|
— |
|
| Cost of shares redeemed |
|
|
— |
|
|
|
(11,109) |
|
|
|
— |
|
| Net increase (decrease) from capital transactions |
|
|
2,101 |
|
|
|
88,891 |
|
|
|
10,000 |
|
| Net increase (decrease) in net assets resulting from capital transactions |
|
|
5,223,176 |
|
|
|
2,104,540 |
|
|
|
3,156,069 |
|
| Total increase (decrease) in net assets |
|
|
5,833,134 |
|
|
|
3,441,009 |
|
|
|
3,445,210 |
|
|
|
|
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
6,886,219 |
|
|
|
3,445,210 |
|
|
|
— |
|
| End of period |
|
|
$12,719,353 |
|
|
|
$6,886,219 |
|
|
|
$3,445,210 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Undistributed accumulated net investment income (loss) |
|
|
$(1,308) |
|
|
|
$15,602 |
|
|
|
$3,863 |
|
|
|
|
|
| CHANGES IN SHARES OUTSTANDING: |
|
|
|
|
|
|
|
|
|
|
|
|
| CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
455,448 |
|
|
|
307,953 |
|
|
|
— |
|
| Shares sold |
|
|
570,770 |
|
|
|
196,317 |
|
|
|
304,030 |
|
| Shares issued on reinvestment of distributions |
|
|
10,358 |
|
|
|
— |
|
|
|
4,069 |
|
| Shares redeemed |
|
|
(243,990) |
|
|
|
(48,822) |
|
|
|
(146) |
|
| Shares outstanding, end of period |
|
|
792,586 |
|
|
|
455,448 |
|
|
|
307,953 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
8,251 |
|
|
|
917 |
|
|
|
— |
(a) |
| Shares sold |
|
|
— |
|
|
|
8,251 |
|
|
|
917 |
|
| Shares issued on reinvestment of distributions |
|
|
136 |
|
|
|
— |
|
|
|
— |
|
| Shares redeemed |
|
|
— |
|
|
|
(917) |
|
|
|
— |
|
| Shares outstanding, end of period |
|
|
8,387 |
|
|
|
8,251 |
|
|
|
917 |
|
| |
* |
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 |
|
|
|
|
|
March 2014 |
|
101 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Changes in Net Assets |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR TAX-MANAGED
INTERNATIONAL MOMENTUM FUND |
|
| |
|
FOR THE SIX
MONTHS ENDED
MARCH 31, 2014
(Unaudited) |
|
|
FOR THE NINE
MONTHS ENDED
SEPTEMBER 30,
2013 |
|
|
FOR THE PERIOD
1/27/12*-12/31/12 |
|
| OPERATIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
$272,507 |
|
|
|
$119,583 |
|
|
|
$80,248 |
|
| Net realized gain (loss) |
|
|
(155,310) |
|
|
|
272,476 |
|
|
|
24,701 |
|
| Net change in unrealized appreciation (depreciation) |
|
|
1,281,268 |
|
|
|
777,272 |
|
|
|
512,452 |
|
| Net increase (decrease) in net assets resulting from operations |
|
|
1,398,465 |
|
|
|
1,169,331 |
|
|
|
617,401 |
|
|
|
|
|
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
(171,579) |
|
|
|
— |
|
|
|
(91,118) |
|
| Class N |
|
|
(189) |
|
|
|
— |
|
|
|
— |
|
| Total |
|
|
(171,768) |
|
|
|
— |
|
|
|
(91,118) |
|
| Net realized gain: |
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
(457,829) |
|
|
|
— |
|
|
|
(8,768) |
|
| Class N |
|
|
(1,358) |
|
|
|
— |
|
|
|
— |
|
| Total |
|
|
(459,187) |
|
|
|
— |
|
|
|
(8,768) |
|
| Total distributions |
|
|
(630,955) |
|
|
|
— |
|
|
|
(99,886) |
|
|
|
|
|
| CAPITAL TRANSACTIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
| CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
49,063,875 |
|
|
|
13,835,282 |
|
|
|
5,127,939 |
|
| Reinvestment of distributions |
|
|
629,408 |
|
|
|
— |
|
|
|
99,886 |
|
| Cost of shares redeemed |
|
|
(5,834,091) |
|
|
|
(3,313,583) |
|
|
|
(6,508) |
|
| Net increase (decrease) from capital transactions |
|
|
43,859,192 |
|
|
|
10,521,699 |
|
|
|
5,221,317 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
— |
|
|
|
100,000 |
|
|
|
10,000 |
(a) |
| Reinvestment of distributions |
|
|
1,547 |
|
|
|
— |
|
|
|
— |
|
| Cost of shares redeemed |
|
|
— |
|
|
|
(10,601) |
|
|
|
— |
|
| Net increase (decrease) from capital transactions |
|
|
1,547 |
|
|
|
89,399 |
|
|
|
10,000 |
|
| Net increase (decrease) in net assets resulting from capital transactions |
|
|
43,860,739 |
|
|
|
10,611,098 |
|
|
|
5,231,317 |
|
| Total increase (decrease) in net assets |
|
|
44,628,249 |
|
|
|
11,780,429 |
|
|
|
5,748,832 |
|
|
|
|
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
17,529,261 |
|
|
|
5,748,832 |
|
|
|
— |
|
| End of period |
|
|
$62,157,510 |
|
|
|
$17,529,261 |
|
|
|
$5,748,832 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Undistributed accumulated net investment income (loss) |
|
|
$209,203 |
|
|
|
$108,464 |
|
|
|
$(14,184) |
|
|
|
|
|
| CHANGES IN SHARES OUTSTANDING: |
|
|
|
|
|
|
|
|
|
|
|
|
| CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
1,321,265 |
|
|
|
510,465 |
|
|
|
— |
|
| Shares sold |
|
|
3,675,997 |
|
|
|
1,076,886 |
|
|
|
502,067 |
|
| Shares issued on reinvestment of distributions |
|
|
47,538 |
|
|
|
— |
|
|
|
8,983 |
|
| Shares redeemed |
|
|
(439,209) |
|
|
|
(266,086) |
|
|
|
(585) |
|
| Shares outstanding, end of period |
|
|
4,605,591 |
|
|
|
1,321,265 |
|
|
|
510,465 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
8,468 |
|
|
|
898 |
|
|
|
— |
(a) |
| Shares sold |
|
|
— |
|
|
|
8,468 |
|
|
|
898 |
|
| Shares issued on reinvestment of distributions |
|
|
116 |
|
|
|
— |
|
|
|
— |
|
| Shares redeemed |
|
|
— |
|
|
|
(898) |
|
|
|
— |
|
| Shares outstanding, end of period |
|
|
8,584 |
|
|
|
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. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 102 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Changes in Net Assets |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR CORE EQUITY FUND |
|
|
AQR SMALL CAP CORE
EQUITY FUND |
|
| |
|
FOR THE SIX
MONTHS ENDED
MARCH 31, 2014
(Unaudited) |
|
|
FOR THE PERIOD
3/26/13*-9/30/13 |
|
|
FOR THE SIX
MONTHS ENDED
MARCH 31, 2014
(Unaudited) |
|
|
FOR THE PERIOD
3/26/13*-9/30/13 |
|
| OPERATIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
$225,082 |
|
|
|
$51,206 |
|
|
|
$9,413 |
|
|
|
$4,606 |
|
| Net realized gain (loss) |
|
|
16,461 |
|
|
|
95,056 |
|
|
|
42,960 |
|
|
|
22,660 |
|
| Net change in unrealized appreciation (depreciation) |
|
|
5,000,463 |
|
|
|
569,841 |
|
|
|
456,739 |
|
|
|
439,180 |
|
| Net increase (decrease) in net assets resulting from operations |
|
|
5,242,006 |
|
|
|
716,103 |
|
|
|
509,112 |
|
|
|
466,446 |
|
|
|
|
|
|
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Net investment income: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
(119,019) |
|
|
|
— |
|
|
|
(7,632) |
|
|
|
— |
|
| Class N |
|
|
(13,149) |
|
|
|
— |
|
|
|
(4,611) |
|
|
|
— |
|
| Total |
|
|
(132,168) |
|
|
|
— |
|
|
|
(12,243) |
|
|
|
— |
|
| Net realized gain: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
(165,118) |
|
|
|
— |
|
|
|
(25,099) |
|
|
|
— |
|
| Class N |
|
|
(22,150) |
|
|
|
— |
|
|
|
(22,781) |
|
|
|
— |
|
| Total |
|
|
(187,268) |
|
|
|
— |
|
|
|
(47,880) |
|
|
|
— |
|
| Total distributions |
|
|
(319,436) |
|
|
|
— |
|
|
|
(60,123) |
|
|
|
— |
|
|
|
|
|
|
| CAPITAL TRANSACTIONS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
33,948,822 |
|
|
|
19,426,853 |
|
|
|
2,835,762 |
|
|
|
2,654,885 |
|
| Reinvestment of distributions |
|
|
284,137 |
|
|
|
— |
|
|
|
32,731 |
|
|
|
— |
|
| Cost of shares redeemed |
|
|
(2,067,665) |
|
|
|
(1,229,610) |
|
|
|
(784,692) |
|
|
|
(743,228) |
|
| Net increase (decrease) from capital transactions |
|
|
32,165,294 |
|
|
|
18,197,243 |
|
|
|
2,083,801 |
|
|
|
1,911,657 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
5,186,760 |
|
|
|
2,212,852 |
|
|
|
1,791,933 |
|
|
|
1,186,351 |
|
| Reinvestment of distributions |
|
|
35,299 |
|
|
|
— |
|
|
|
27,392 |
|
|
|
— |
|
| Cost of shares redeemed |
|
|
(3,248,847) |
|
|
|
(912,033) |
|
|
|
(1,079,143) |
|
|
|
— |
|
| Net increase (decrease) from capital transactions |
|
|
1,973,212 |
|
|
|
1,300,819 |
|
|
|
740,182 |
|
|
|
1,186,351 |
|
| Net increase (decrease) in net assets resulting from capital transactions |
|
|
34,138,506 |
|
|
|
19,498,062 |
|
|
|
2,823,983 |
|
|
|
3,098,008 |
|
| Total increase (decrease) in net assets |
|
|
39,061,076 |
|
|
|
20,214,165 |
|
|
|
3,272,972 |
|
|
|
3,564,454 |
|
|
|
|
|
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
20,214,165 |
|
|
|
— |
|
|
|
3,564,454 |
|
|
|
— |
|
| End of period |
|
|
$59,275,241 |
|
|
|
$20,214,165 |
|
|
|
$6,837,426 |
|
|
|
$3,564,454 |
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Undistributed accumulated net investment income (loss) |
|
|
$145,771 |
|
|
|
$52,857 |
|
|
|
$2,365 |
|
|
|
$5,195 |
|
|
|
|
|
|
| CHANGES IN SHARES OUTSTANDING: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
1,695,462 |
|
|
|
— |
|
|
|
183,811 |
|
|
|
— |
|
| Shares sold |
|
|
2,818,520 |
|
|
|
1,811,050 |
|
|
|
226,350 |
|
|
|
253,687 |
|
| Shares issued on reinvestment of distributions |
|
|
23,482 |
|
|
|
— |
|
|
|
2,580 |
|
|
|
— |
|
| Shares redeemed |
|
|
(168,420) |
|
|
|
(115,588) |
|
|
|
(61,820) |
|
|
|
(69,876) |
|
| Shares outstanding, end of period |
|
|
4,369,044 |
|
|
|
1,695,462 |
|
|
|
350,921 |
|
|
|
183,811 |
|
| CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
126,521 |
|
|
|
— |
|
|
|
116,378 |
|
|
|
— |
|
| Shares sold |
|
|
434,700 |
|
|
|
212,977 |
|
|
|
142,230 |
|
|
|
116,378 |
|
| Shares issued on reinvestment of distributions |
|
|
2,920 |
|
|
|
— |
|
|
|
2,160 |
|
|
|
— |
|
| Shares redeemed |
|
|
(260,774) |
|
|
|
(86,456) |
|
|
|
(85,333) |
|
|
|
— |
|
| Shares outstanding, end of period |
|
|
303,367 |
|
|
|
126,521 |
|
|
|
175,435 |
|
|
|
116,378 |
|
| |
* |
Commencement of operations. |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
103 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Statements of Changes in Net Assets |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
| |
|
AQR INTERNATIONAL CORE
EQUITY FUND |
|
| |
|
FOR THE SIX
MONTHS ENDED
MARCH 31, 2014
(Unaudited) |
|
|
FOR THE PERIOD
3/26/13*-9/30/13 |
|
| OPERATIONS: |
|
|
|
|
|
|
|
|
| Net investment income (loss) |
|
|
$167,213 |
|
|
|
$111,414 |
|
| Net realized gain (loss) |
|
|
367,089 |
|
|
|
(76,611) |
|
| Net change in unrealized appreciation (depreciation) |
|
|
183,622 |
|
|
|
1,362,722 |
|
| Net increase (decrease) in net assets resulting from operations |
|
|
717,924 |
|
|
|
1,397,525 |
|
|
|
|
| DISTRIBUTIONS TO SHAREHOLDERS: |
|
|
|
|
|
|
|
|
| Net investment income: |
|
|
|
|
|
|
|
|
| Class L |
|
|
(141,411) |
|
|
|
— |
|
| Class N |
|
|
(15,916) |
|
|
|
— |
|
| Total |
|
|
(157,327) |
|
|
|
— |
|
| Total distributions |
|
|
(157,327) |
|
|
|
— |
|
|
|
|
| CAPITAL TRANSACTIONS: |
|
|
|
|
|
|
|
|
| CLASS L |
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
7,437,166 |
|
|
|
15,815,757 |
|
| Reinvestment of distributions |
|
|
141,411 |
|
|
|
— |
|
| Cost of shares redeemed |
|
|
(1,342,628) |
|
|
|
(1,223,357) |
|
| Net increase (decrease) from capital transactions |
|
|
6,235,949 |
|
|
|
14,592,400 |
|
| CLASS N |
|
|
|
|
|
|
|
|
| Proceeds from shares sold |
|
|
635,993 |
|
|
|
2,846,422 |
|
| Reinvestment of distributions |
|
|
15,916 |
|
|
|
— |
|
| Cost of shares redeemed |
|
|
(279,255) |
|
|
|
(872,000) |
|
| Net increase (decrease) from capital transactions |
|
|
372,654 |
|
|
|
1,974,422 |
|
| Net increase (decrease) in net assets resulting from capital transactions |
|
|
6,608,603 |
|
|
|
16,566,822 |
|
| Total increase (decrease) in net assets |
|
|
7,169,200 |
|
|
|
17,964,347 |
|
|
|
|
| NET ASSETS: |
|
|
|
|
|
|
|
|
| Beginning of period |
|
|
17,964,347 |
|
|
|
— |
|
| End of period |
|
|
$25,133,547 |
|
|
|
$17,964,347 |
|
| |
|
|
|
|
|
|
|
|
| Undistributed accumulated net investment income (loss) |
|
|
$118,894 |
|
|
|
$109,008 |
|
|
|
|
| CHANGES IN SHARES OUTSTANDING: |
|
|
|
|
|
|
|
|
| CLASS L |
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
1,401,327 |
|
|
|
— |
|
| Shares sold |
|
|
644,433 |
|
|
|
1,518,548 |
|
| Shares issued on reinvestment of distributions |
|
|
12,372 |
|
|
|
— |
|
| Shares redeemed |
|
|
(116,111) |
|
|
|
(117,221) |
|
| Shares outstanding, end of period |
|
|
1,942,021 |
|
|
|
1,401,327 |
|
| CLASS N |
|
|
|
|
|
|
|
|
| Shares outstanding, beginning of period |
|
|
191,136 |
|
|
|
— |
|
| Shares sold |
|
|
55,394 |
|
|
|
275,225 |
|
| Shares issued on reinvestment of distributions |
|
|
1,392 |
|
|
|
— |
|
| Shares redeemed |
|
|
(24,375) |
|
|
|
(84,089) |
|
| Shares outstanding, end of period |
|
|
223,547 |
|
|
|
191,136 |
|
| |
* |
Commencement of operations. |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 104 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
[Intentionally Left Blank]
|
|
|
|
|
| Financial Highlights |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
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 MARCH 31, 2014 (Unaudited)6 |
|
|
$13.33 |
|
|
|
0.06 |
|
|
|
1.16 |
|
|
|
1.22 |
|
|
|
(0.39) |
|
|
|
(5.31) |
|
|
|
(5.70) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$11.35 |
|
|
|
0.14 |
|
|
|
1.84 |
|
|
|
1.98 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE YEAR ENDED DECEMBER 31, 20126 |
|
|
$9.99 |
|
|
|
0.20 |
|
|
|
1.69 |
|
|
|
1.89 |
|
|
|
(0.29) |
|
|
|
(0.24) |
|
|
|
(0.53) |
|
| FOR THE YEAR ENDED DECEMBER 31, 20116 |
|
|
$10.97 |
|
|
|
0.21 |
|
|
|
(0.95) |
|
|
|
(0.74) |
|
|
|
(0.11) |
|
|
|
(0.13) |
|
|
|
(0.24) |
|
| FOR THE YEAR ENDED DECEMBER 31, 20106 |
|
|
$10.00 |
|
|
|
0.16 |
|
|
|
1.25 |
|
|
|
1.41 |
|
|
|
(0.36) |
|
|
|
(0.08) |
|
|
|
(0.44) |
|
| AQR GLOBAL EQUITY FUND CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$13.27 |
|
|
|
0.04 |
|
|
|
1.15 |
|
|
|
1.19 |
|
|
|
(0.35) |
|
|
|
(5.31) |
|
|
|
(5.66) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$11.32 |
|
|
|
0.11 |
|
|
|
1.84 |
|
|
|
1.95 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE YEAR ENDED DECEMBER 31, 20126 |
|
|
$9.97 |
|
|
|
0.16 |
|
|
|
1.70 |
|
|
|
1.86 |
|
|
|
(0.27) |
|
|
|
(0.24) |
|
|
|
(0.51) |
|
| FOR THE YEAR ENDED DECEMBER 31, 20116 |
|
|
$10.97 |
|
|
|
0.16 |
|
|
|
(0.94) |
|
|
|
(0.78) |
|
|
|
(0.09) |
|
|
|
(0.13) |
|
|
|
(0.22) |
|
| FOR THE YEAR ENDED DECEMBER 31, 2010†,6 |
|
|
$10.00 |
|
|
|
0.13 |
|
|
|
1.25 |
|
|
|
1.38 |
|
|
|
(0.33) |
|
|
|
(0.08) |
|
|
|
(0.41) |
|
| AQR GLOBAL EQUITY FUND CLASS R6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| FOR THE PERIOD 1/8/148—3/31/14 (Unaudited)6 |
|
|
$8.70 |
|
|
|
0.06 |
|
|
|
0.12 |
|
|
|
0.18 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| AQR GLOBAL EQUITY FUND CLASS Y |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SIX MONTHS ENDED MARCH 31, 2014
(Unaudited)†,6 |
|
|
$13.38 |
|
|
|
0.07 |
|
|
|
1.17 |
|
|
|
1.24 |
|
|
|
(0.43) |
|
|
|
(5.31) |
|
|
|
(5.74) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 2013†,6 |
|
|
$11.35 |
|
|
|
0.18 |
|
|
|
1.85 |
|
|
|
2.03 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE YEAR ENDED DECEMBER 31, 2012†,6 |
|
|
$10.00 |
|
|
|
0.24 |
|
|
|
1.70 |
|
|
|
1.94 |
|
|
|
(0.35) |
|
|
|
(0.24) |
|
|
|
(0.59) |
|
| FOR THE YEAR ENDED DECEMBER 31, 20116 |
|
|
$10.99 |
|
|
|
0.24 |
|
|
|
(0.94) |
|
|
|
(0.70) |
|
|
|
(0.16) |
|
|
|
(0.13) |
|
|
|
(0.29) |
|
| FOR THE YEAR ENDED DECEMBER 31, 20106 |
|
|
$10.00 |
|
|
|
0.18 |
|
|
|
1.27 |
|
|
|
1.45 |
|
|
|
(0.38) |
|
|
|
(0.08) |
|
|
|
(0.46) |
|
| * |
Annualized for periods less than one year. |
| † |
Redemption fees of less than $0.005 per share were incurred by the share class. |
| 1 |
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. |
| 2 |
Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions
at net asset value during the period and redemption on the last day of the period and is not annualized. |
| 3 |
Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
| 4 |
Certain expenses incurred by the Funds were not annualized for the period ended September 30, 2013. |
| 5 |
Portfolio turnover is not annualized. |
| 6 |
Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
| 7 |
Ratios are disproportionate between classes due to size of net assets and fixed expenses. |
| 8 |
Commencement of offering of shares. |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 106 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Highlights |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
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 Waivers3,4 |
|
|
Net Investment
Income (Loss) |
|
|
Portfolio
Turnover
Rate5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$8.85 |
|
|
|
10.80 |
% |
|
|
$2,189,062 |
|
|
|
0.93 |
% |
|
|
0.93 |
% |
|
|
1.51 |
% |
|
|
1.27 |
% |
|
|
54 |
% |
|
|
| |
$13.33 |
|
|
|
17.44 |
% |
|
|
$1,262,602 |
|
|
|
0.95 |
% |
|
|
0.95 |
% |
|
|
2.27 |
%7 |
|
|
1.46 |
% |
|
|
71 |
% |
|
|
| |
$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 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$8.80 |
|
|
|
10.52 |
% |
|
|
$1,224,583 |
|
|
|
1.23 |
% |
|
|
1.23 |
% |
|
|
2.12 |
% |
|
|
0.87 |
% |
|
|
54 |
% |
|
|
| |
$13.27 |
|
|
|
17.23 |
% |
|
|
$712,114 |
|
|
|
1.25 |
% |
|
|
1.25 |
% |
|
|
3.06 |
%7 |
|
|
1.14 |
% |
|
|
71 |
% |
|
|
| |
$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 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$8.88 |
|
|
|
2.07 |
% |
|
|
$75,479,591 |
|
|
|
0.70 |
% |
|
|
0.70 |
% |
|
|
0.74 |
% |
|
|
2.89 |
% |
|
|
54 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$8.88 |
|
|
|
10.86 |
% |
|
|
$210,646,238 |
|
|
|
0.55 |
% |
|
|
0.55 |
% |
|
|
0.55 |
% |
|
|
1.41 |
% |
|
|
54 |
% |
|
|
| |
$13.38 |
|
|
|
17.89 |
% |
|
|
$254,722,998 |
|
|
|
0.51 |
% |
|
|
0.51 |
% |
|
|
0.51 |
%7 |
|
|
1.88 |
% |
|
|
71 |
% |
|
|
| |
$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 |
% |
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
107 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Highlights |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
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 INTERNATIONAL EQUITY FUND CLASS I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$11.88 |
|
|
|
0.09 |
|
|
|
0.70 |
|
|
|
0.79 |
|
|
|
(0.22) |
|
|
|
(0.86) |
|
|
|
(1.08) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$10.24 |
|
|
|
0.17 |
|
|
|
1.47 |
|
|
|
1.64 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE YEAR ENDED DECEMBER 31, 20126 |
|
|
$8.60 |
|
|
|
0.20 |
|
|
|
1.76 |
|
|
|
1.96 |
|
|
|
(0.32) |
|
|
|
— |
|
|
|
(0.32) |
|
| FOR THE YEAR ENDED DECEMBER 31, 2011†,6 |
|
|
$10.45 |
|
|
|
0.21 |
|
|
|
(1.78) |
|
|
|
(1.57) |
|
|
|
(0.21) |
|
|
|
(0.07) |
|
|
|
(0.28) |
|
| FOR THE YEAR ENDED DECEMBER 31, 2010†,6 |
|
|
$9.78 |
|
|
|
0.16 |
|
|
|
0.84 |
|
|
|
1.00 |
|
|
|
(0.24) |
|
|
|
(0.09) |
|
|
|
(0.33) |
|
| FOR THE PERIOD 9/30/097—12/31/09 †,6 |
|
|
$10.00 |
|
|
|
(0.01) |
|
|
|
0.22 |
|
|
|
0.21 |
|
|
|
(0.14) |
|
|
|
(0.29) |
|
|
|
(0.43) |
|
| AQR INTERNATIONAL EQUITY FUND CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$12.06 |
|
|
|
0.08 |
|
|
|
0.70 |
|
|
|
0.78 |
|
|
|
(0.20) |
|
|
|
(0.86) |
|
|
|
(1.06) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$10.43 |
|
|
|
0.13 |
|
|
|
1.50 |
|
|
|
1.63 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE YEAR ENDED DECEMBER 31, 20126 |
|
|
$8.76 |
|
|
|
0.19 |
|
|
|
1.76 |
|
|
|
1.95 |
|
|
|
(0.28) |
|
|
|
— |
|
|
|
(0.28) |
|
| FOR THE YEAR ENDED DECEMBER 31, 20116 |
|
|
$10.61 |
|
|
|
0.20 |
|
|
|
(1.83) |
|
|
|
(1.63) |
|
|
|
(0.15) |
|
|
|
(0.07) |
|
|
|
(0.22) |
|
| FOR THE YEAR ENDED DECEMBER 31, 20106 |
|
|
$9.91 |
|
|
|
0.14 |
|
|
|
0.88 |
|
|
|
1.02 |
|
|
|
(0.23) |
|
|
|
(0.09) |
|
|
|
(0.32) |
|
| FOR THE PERIOD 9/30/097—12/31/096 |
|
|
$10.00 |
|
|
|
— |
|
|
|
0.20 |
|
|
|
0.20 |
|
|
|
— |
|
|
|
(0.29) |
|
|
|
(0.29) |
|
| AQR INTERNATIONAL EQUITY FUND CLASS R6 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| FOR THE PERIOD 1/08/147—3/31/14 (Unaudited)†,6 |
|
|
$12.08 |
|
|
|
0.16 |
|
|
|
(0.06) |
|
|
|
0.10 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| AQR INTERNATIONAL EQUITY FUND CLASS Y |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SIX MONTHS ENDED MARCH 31, 2014
(Unaudited)†,6 |
|
|
$12.45 |
|
|
|
0.11 |
|
|
|
0.74 |
|
|
|
0.85 |
|
|
|
(0.25) |
|
|
|
(0.86) |
|
|
|
(1.11) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 2013†,6 |
|
|
$10.71 |
|
|
|
0.21 |
|
|
|
1.53 |
|
|
|
1.74 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE YEAR ENDED DECEMBER 31, 2012†,6 |
|
|
$8.98 |
|
|
|
0.25 |
|
|
|
1.83 |
|
|
|
2.08 |
|
|
|
(0.35) |
|
|
|
— |
|
|
|
(0.35) |
|
| FOR THE YEAR ENDED DECEMBER 31, 2011†,6 |
|
|
$10.89 |
|
|
|
0.28 |
|
|
|
(1.88) |
|
|
|
(1.60) |
|
|
|
(0.24) |
|
|
|
(0.07) |
|
|
|
(0.31) |
|
| FOR THE YEAR ENDED DECEMBER 31, 2010†,6 |
|
|
$10.16 |
|
|
|
0.20 |
|
|
|
0.89 |
|
|
|
1.09 |
|
|
|
(0.27) |
|
|
|
(0.09) |
|
|
|
(0.36) |
|
| FOR THE PERIOD 8/28/099—12/31/09†,6 |
|
|
$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 |
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. |
| 2 |
Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions
at net asset value during the period and redemption on the last day of the period and is not annualized. |
| 3 |
Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
| 4 |
Certain expenses incurred by the Funds were not annualized for the period ended September 30, 2013. |
| 5 |
Portfolio turnover is not annualized. |
| 6 |
Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
| 7 |
Commencement of offering of shares. |
| 8 |
The ratio is not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain expenses incurred by the Fund were not annualized
for the period ended December 31, 2009. |
| 9 |
Commencement of operations. |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 108 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Highlights |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
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 Waivers3,4 |
|
|
Net Investment
Income (Loss) |
|
|
Portfolio
Turnover
Rate5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$11.59 |
|
|
|
6.86 |
% |
|
|
$243,897,731 |
|
|
|
0.89 |
% |
|
|
0.89 |
% |
|
|
0.89 |
% |
|
|
1.60 |
% |
|
|
30 |
% |
|
|
| |
$11.88 |
|
|
|
16.02 |
% |
|
|
$241,467,180 |
|
|
|
0.90 |
% |
|
|
0.90 |
% |
|
|
0.90 |
% |
|
|
2.11 |
% |
|
|
59 |
% |
|
|
| |
$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 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$11.78 |
|
|
|
6.66 |
% |
|
|
$36,641,612 |
|
|
|
1.25 |
% |
|
|
1.25 |
% |
|
|
1.25 |
% |
|
|
1.29 |
% |
|
|
30 |
% |
|
|
| |
$12.06 |
|
|
|
15.63 |
% |
|
|
$32,010,505 |
|
|
|
1.29 |
% |
|
|
1.29 |
% |
|
|
1.29 |
% |
|
|
1.52 |
% |
|
|
59 |
% |
|
|
| |
$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 |
%8 |
|
|
(0.07 |
)% |
|
|
29 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$12.18 |
|
|
|
0.83 |
% |
|
|
$121,074,080 |
|
|
|
0.73 |
% |
|
|
0.73 |
% |
|
|
0.73 |
% |
|
|
6.06 |
% |
|
|
30 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$12.19 |
|
|
|
7.07 |
% |
|
|
$452,151,004 |
|
|
|
0.54 |
% |
|
|
0.54 |
% |
|
|
0.54 |
% |
|
|
1.72 |
% |
|
|
30 |
% |
|
|
| |
$12.45 |
|
|
|
16.25 |
% |
|
|
$543,667,428 |
|
|
|
0.55 |
% |
|
|
0.55 |
% |
|
|
0.55 |
% |
|
|
2.45 |
% |
|
|
59 |
% |
|
|
| |
$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 |
|
|
|
|
|
March 2014 |
|
109 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Highlights |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
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 MARCH 31, 2014 (Unaudited)6 |
|
|
$10.27 |
|
|
|
0.06 |
11 |
|
|
(0.09) |
|
|
|
(0.03) |
|
|
|
(0.09) |
|
|
|
(0.00) |
7 |
|
|
(0.09) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$10.92 |
|
|
|
0.20 |
|
|
|
(0.85) |
|
|
|
(0.65) |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE PERIOD 7/9/128—12/31/126 |
|
|
$10.00 |
|
|
|
0.10 |
|
|
|
0.94 |
|
|
|
1.04 |
|
|
|
(0.09) |
|
|
|
(0.03) |
|
|
|
(0.12) |
|
| AQR EMERGING DEFENSIVE EQUITY FUND CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$10.26 |
|
|
|
0.04 |
11 |
|
|
(0.08) |
|
|
|
(0.04) |
|
|
|
(0.07) |
|
|
|
(0.00) |
7 |
|
|
(0.07) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$10.93 |
|
|
|
0.16 |
|
|
|
(0.83) |
|
|
|
(0.67) |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE PERIOD 7/9/128—12/31/126 |
|
|
$10.00 |
|
|
|
0.08 |
|
|
|
0.94 |
|
|
|
1.02 |
|
|
|
(0.06) |
|
|
|
(0.03) |
|
|
|
(0.09) |
|
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND CLASS I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$11.88 |
|
|
|
0.13 |
|
|
|
0.46 |
|
|
|
0.59 |
|
|
|
(0.17) |
|
|
|
(0.12) |
|
|
|
(0.29) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$10.67 |
|
|
|
0.23 |
|
|
|
0.98 |
|
|
|
1.21 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE PERIOD 7/9/128—12/31/126 |
|
|
$10.00 |
|
|
|
0.10 |
|
|
|
0.67 |
|
|
|
0.77 |
|
|
|
(0.06) |
|
|
|
(0.04) |
|
|
|
(0.10) |
|
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$11.88 |
|
|
|
0.11 |
|
|
|
0.46 |
|
|
|
0.57 |
|
|
|
(0.15) |
|
|
|
(0.12) |
|
|
|
(0.27) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$10.69 |
|
|
|
0.20 |
|
|
|
0.99 |
|
|
|
1.19 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE PERIOD 7/9/128—12/31/126 |
|
|
$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 MARCH 31, 2014 (Unaudited)6 |
|
|
$12.20 |
|
|
|
0.10 |
|
|
|
1.24 |
|
|
|
1.34 |
|
|
|
(0.08) |
|
|
|
(0.04) |
|
|
|
(0.12) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$10.16 |
|
|
|
0.15 |
|
|
|
1.89 |
|
|
|
2.04 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE PERIOD 7/9/128—12/31/126 |
|
|
$10.00 |
|
|
|
0.14 |
10 |
|
|
0.10 |
|
|
|
0.24 |
|
|
|
(0.07) |
|
|
|
(0.01) |
|
|
|
(0.08) |
|
| AQR U.S. DEFENSIVE EQUITY FUND CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$12.19 |
|
|
|
0.08 |
|
|
|
1.26 |
|
|
|
1.34 |
|
|
|
(0.07) |
|
|
|
(0.04) |
|
|
|
(0.11) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$10.18 |
|
|
|
0.13 |
|
|
|
1.88 |
|
|
|
2.01 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE PERIOD 7/9/128—12/31/126 |
|
|
$10.00 |
|
|
|
0.08 |
10 |
|
|
0.15 |
|
|
|
0.23 |
|
|
|
(0.04) |
|
|
|
(0.01) |
|
|
|
(0.05) |
|
| * |
Annualized for periods less than one year. |
| 1 |
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. |
| 2 |
Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions
at net asset value during the period and redemption on the last day of the period and is not annualized. |
| 3 |
Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
| 4 |
Certain expenses incurred by the Funds were not annualized for the period ended September 30, 2013. |
| 5 |
Portfolio turnover is not annualized. |
| 6 |
Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
| 7 |
Amount is less than $.005 per share. |
| 8 |
Commencement of operations. |
| 9 |
Ratios are disproportionate between classes due to size of net assets and fixed expenses. |
| 10 |
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 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 110 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Highlights |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
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 Waivers3,4 |
|
|
Net Investment
Income (Loss) |
|
|
Portfolio
Turnover
Rate5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$10.15 |
|
|
|
(0.27 |
)% |
|
|
$46,733,596 |
|
|
|
0.90 |
% |
|
|
0.90 |
% |
|
|
1.26 |
% |
|
|
1.15 |
%11 |
|
|
70 |
% |
|
|
| |
$10.27 |
|
|
|
(5.95 |
)% |
|
|
$29,471,066 |
|
|
|
0.96 |
% |
|
|
0.96 |
% |
|
|
2.08 |
% |
|
|
2.55 |
% |
|
|
181 |
% |
|
|
| |
$10.92 |
|
|
|
10.39 |
% |
|
|
$5,402,251 |
|
|
|
1.15 |
% |
|
|
1.15 |
% |
|
|
4.14 |
% |
|
|
1.92 |
% |
|
|
38 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$10.15 |
|
|
|
(0.35 |
)% |
|
|
$1,950,256 |
|
|
|
1.15 |
% |
|
|
1.15 |
% |
|
|
1.87 |
% |
|
|
0.74 |
%11 |
|
|
70 |
% |
|
|
| |
$10.26 |
|
|
|
(6.13 |
)% |
|
|
$2,594,182 |
|
|
|
1.25 |
% |
|
|
1.25 |
% |
|
|
3.50 |
% |
|
|
2.06 |
% |
|
|
181 |
% |
|
|
| |
$10.93 |
|
|
|
10.22 |
% |
|
|
$1,804,269 |
|
|
|
1.40 |
% |
|
|
1.40 |
% |
|
|
5.41 |
% |
|
|
1.67 |
% |
|
|
38 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$12.18 |
|
|
|
5.04 |
% |
|
|
$24,942,022 |
|
|
|
0.65 |
% |
|
|
0.65 |
% |
|
|
1.34 |
% |
|
|
2.16 |
% |
|
|
34 |
% |
|
|
| |
$11.88 |
|
|
|
11.34 |
% |
|
|
$17,630,701 |
|
|
|
0.73 |
% |
|
|
0.73 |
% |
|
|
2.01 |
%9 |
|
|
2.68 |
% |
|
|
115 |
% |
|
|
| |
$10.67 |
|
|
|
7.69 |
% |
|
|
$5,366,031 |
|
|
|
0.90 |
% |
|
|
0.90 |
% |
|
|
5.00 |
% |
|
|
1.91 |
% |
|
|
81 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$12.18 |
|
|
|
4.86 |
% |
|
|
$1,313,949 |
|
|
|
0.90 |
% |
|
|
0.90 |
% |
|
|
2.25 |
% |
|
|
1.89 |
% |
|
|
34 |
% |
|
|
| |
$11.88 |
|
|
|
11.13 |
% |
|
|
$1,152,793 |
|
|
|
1.00 |
% |
|
|
1.00 |
% |
|
|
4.15 |
%9 |
|
|
2.34 |
% |
|
|
115 |
% |
|
|
| |
$10.69 |
|
|
|
7.62 |
% |
|
|
$850,270 |
|
|
|
1.15 |
% |
|
|
1.15 |
% |
|
|
6.96 |
% |
|
|
1.61 |
% |
|
|
81 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$13.42 |
|
|
|
11.06 |
% |
|
|
$203,009,719 |
|
|
|
0.49 |
% |
|
|
0.49 |
% |
|
|
0.69 |
% |
|
|
1.49 |
% |
|
|
6 |
% |
|
|
| |
$12.20 |
|
|
|
20.08 |
% |
|
|
$155,660,499 |
|
|
|
0.52 |
% |
|
|
0.52 |
% |
|
|
0.93 |
% |
|
|
1.69 |
% |
|
|
106 |
% |
|
|
| |
$10.16 |
|
|
|
2.34 |
% |
|
|
$7,841,840 |
|
|
|
0.75 |
% |
|
|
0.75 |
% |
|
|
3.90 |
% |
|
|
2.90 |
%10 |
|
|
141 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$13.42 |
|
|
|
11.03 |
% |
|
|
$25,563,233 |
|
|
|
0.74 |
% |
|
|
0.74 |
% |
|
|
0.98 |
% |
|
|
1.24 |
% |
|
|
6 |
% |
|
|
| |
$12.19 |
|
|
|
19.74 |
% |
|
|
$20,735,768 |
|
|
|
0.77 |
% |
|
|
0.77 |
% |
|
|
1.48 |
% |
|
|
1.44 |
% |
|
|
106 |
% |
|
|
| |
$10.18 |
|
|
|
2.29 |
% |
|
|
$420,890 |
|
|
|
1.00 |
% |
|
|
1.00 |
% |
|
|
9.36 |
% |
|
|
1.70 |
%10 |
|
|
141 |
% |
|
|
| 11 |
For the six months ended March 31, 2014 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 Emerging Defensive Equity Fund—Class L |
|
|
$0.04 |
|
|
|
0.93 |
% |
| AQR Emerging Defensive Equity Fund—Class N |
|
|
0.02 |
|
|
|
0.52 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
111 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Highlights |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
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 MARCH 31, 2014 (Unaudited)6 |
|
|
$19.65 |
|
|
|
0.05 |
|
|
|
2.32 |
|
|
|
2.37 |
|
|
|
(0.13) |
|
|
|
(0.87) |
|
|
|
(1.00) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$16.06 |
|
|
|
0.12 |
7 |
|
|
3.47 |
|
|
|
3.59 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE YEAR ENDED DECEMBER 31, 20126 |
|
|
$13.89 |
|
|
|
0.26 |
8 |
|
|
2.16 |
|
|
|
2.42 |
|
|
|
(0.25) |
|
|
|
— |
|
|
|
(0.25) |
|
| FOR THE YEAR ENDED DECEMBER 31, 2011†,6 |
|
|
$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 7/9/099—12/31/09†,6 |
|
|
$10.00 |
|
|
|
0.07 |
|
|
|
2.48 |
|
|
|
2.55 |
|
|
|
(0.05) |
|
|
|
(0.31) |
|
|
|
(0.36) |
|
| AQR MOMENTUM FUND CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$19.61 |
|
|
|
0.03 |
|
|
|
2.32 |
|
|
|
2.35 |
|
|
|
(0.08) |
|
|
|
(0.87) |
|
|
|
(0.95) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$16.05 |
|
|
|
0.09 |
7 |
|
|
3.47 |
|
|
|
3.56 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE PERIOD 12/17/1210—12/31/126 |
|
|
$16.02 |
|
|
|
0.01 |
8 |
|
|
0.02 |
|
|
|
0.03 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| * |
Annualized for periods less than one year. |
| † |
Redemption fees of less than $0.005 per share were incurred by the share class. |
| 1 |
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. |
| 2 |
Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions
at net asset value during the period and redemption on the last day of the period and is not annualized. |
| 3 |
Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
| 4 |
Certain expenses incurred by the Funds were not annualized for the period ended September 30, 2013. |
| 5 |
Portfolio turnover is not annualized. |
| 6 |
Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
| 7 |
For the period ended September 30, 2013 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 |
|
$ |
0.11 |
|
|
|
0.80 |
% |
| AQR Momentum Fund—Class N |
|
|
0.08 |
|
|
|
0.56 |
|
| 8 |
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 |
|
| 9 |
Commencement of operations. |
| 10 |
Commencement of offering of shares. |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 112 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Highlights |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
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 Waivers3,4 |
|
|
Net Investment
Income (Loss) |
|
|
Portfolio
Turnover
Rate5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$21.02 |
|
|
|
12.22 |
% |
|
|
$890,240,121 |
|
|
|
0.49 |
% |
|
|
0.49 |
% |
|
|
0.55 |
% |
|
|
0.52 |
% |
|
|
40 |
% |
|
|
| |
$19.65 |
|
|
|
22.35 |
% |
|
|
$719,388,829 |
|
|
|
0.49 |
% |
|
|
0.49 |
% |
|
|
0.55 |
% |
|
|
0.88 |
%7 |
|
|
62 |
% |
|
|
| |
$16.06 |
|
|
|
17.49 |
% |
|
|
$490,441,577 |
|
|
|
0.50 |
% |
|
|
0.49 |
% |
|
|
0.58 |
% |
|
|
1.69 |
%8 |
|
|
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 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$21.01 |
|
|
|
12.10 |
% |
|
|
$75,927,408 |
|
|
|
0.74 |
% |
|
|
0.74 |
% |
|
|
0.83 |
% |
|
|
0.27 |
% |
|
|
40 |
% |
|
|
| |
$19.61 |
|
|
|
22.18 |
% |
|
|
$70,264,616 |
|
|
|
0.74 |
% |
|
|
0.74 |
% |
|
|
0.83 |
% |
|
|
0.64 |
%7 |
|
|
62 |
% |
|
|
| |
$16.05 |
|
|
|
0.19 |
% |
|
|
$58,421,736 |
|
|
|
0.75 |
% |
|
|
0.74 |
% |
|
|
0.82 |
% |
|
|
1.19 |
%8 |
|
|
68 |
% |
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
113 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Highlights |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
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 SMALL CAP MOMENTUM FUND CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$21.77 |
|
|
|
0.02 |
13 |
|
|
2.20 |
|
|
|
2.22 |
|
|
|
(0.09) |
|
|
|
(1.32) |
|
|
|
(1.41) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$16.43 |
|
|
|
0.09 |
7 |
|
|
5.25 |
|
|
|
5.34 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE YEAR ENDED DECEMBER 31, 20126 |
|
|
$13.89 |
|
|
|
0.22 |
9 |
|
|
2.50 |
|
|
|
2.72 |
|
|
|
(0.18) |
|
|
|
— |
|
|
|
(0.18) |
|
| FOR THE YEAR ENDED DECEMBER 31, 2011†,6 |
|
|
$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 7/9/0910—12/31/09†,6 |
|
|
$10.00 |
|
|
|
0.04 |
|
|
|
2.06 |
|
|
|
2.10 |
|
|
|
(0.03) |
|
|
|
(0.67) |
|
|
|
(0.70) |
|
| AQR SMALL CAP MOMENTUM FUND CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$21.73 |
|
|
|
(0.02) |
13 |
|
|
2.20 |
|
|
|
2.18 |
|
|
|
(0.08) |
|
|
|
(1.32) |
|
|
|
(1.40) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$16.43 |
|
|
|
0.03 |
7 |
|
|
5.27 |
|
|
|
5.30 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE PERIOD 12/17/1211—12/31/126 |
|
|
$16.09 |
|
|
|
0.02 |
9 |
|
|
0.32 |
|
|
|
0.34 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| * |
Annualized for periods less than one year. |
| † |
Redemption fees of less than $0.005 per share were incurred by the share class. |
| 1 |
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. |
| 2 |
Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions
at net asset value during the period and redemption on the last day of the period and is not annualized. |
| 3 |
Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
| 4 |
Certain expenses incurred by the Funds were not annualized for the period ended September 30, 2013. |
| 5 |
Portfolio turnover is not annualized. |
| 6 |
Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
| 7 |
For the period ended September 30, 2013 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 Small Cap Momentum Fund—Class L |
|
$ |
0.07 |
|
|
|
0.52 |
% |
| AQR Small Cap Momentum Fund—Class N |
|
|
0.01 |
|
|
|
0.10 |
|
| 8 |
Ratios are disproportionate between classes due to size of net assets and fixed expenses. |
| 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 Small Cap Momentum Fund—Class L |
|
|
$0.15 |
|
|
|
1.01 |
% |
| AQR Small Cap Momentum Fund—Class N |
|
|
0.02 |
|
|
|
2.93 |
|
| 10 |
Commencement of operations. |
| 11 |
Commencement of offering of shares. |
| 12 |
The ratio is not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain expenses incurred by the Fund were not annualized
for the period ended December 31, 2012. |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 114 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Highlights |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
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 Waivers3,4 |
|
|
Net Investment
Income (Loss) |
|
|
Portfolio
Turnover
Rate5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$22.58 |
|
|
|
10.35 |
% |
|
|
$291,517,285 |
|
|
|
0.65 |
% |
|
|
0.65 |
% |
|
|
0.67 |
% |
|
|
0.14 |
%13 |
|
|
40 |
% |
|
|
| |
$21.77 |
|
|
|
32.50 |
% |
|
|
$242,675,423 |
|
|
|
0.65 |
% |
|
|
0.65 |
% |
|
|
0.68 |
%8 |
|
|
0.60 |
%7 |
|
|
49 |
% |
|
|
| |
$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 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$22.51 |
|
|
|
10.22 |
% |
|
|
$6,381,236 |
|
|
|
0.90 |
% |
|
|
0.90 |
% |
|
|
1.11 |
% |
|
|
(0.14 |
)%13 |
|
|
40 |
% |
|
|
| |
$21.73 |
|
|
|
32.26 |
% |
|
|
$1,668,360 |
|
|
|
0.90 |
% |
|
|
0.90 |
% |
|
|
4.82 |
%8 |
|
|
0.18 |
%7 |
|
|
49 |
% |
|
|
| |
$16.43 |
|
|
|
2.11 |
% |
|
|
$10,214 |
|
|
|
0.90 |
% |
|
|
0.90 |
% |
|
|
135.33 |
%12 |
|
|
3.36 |
%9 |
|
|
73 |
% |
|
|
| 13 |
For the six months ended March 31, 2014 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 Small Cap Momentum Fund—Class L |
|
|
$0.01 |
|
|
|
0.08 |
% |
| AQR Small Cap Momentum Fund—Class N |
|
|
(0.03 |
) |
|
|
(0.20 |
) |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
115 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Highlights |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
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 INTERNATIONAL MOMENTUM FUND CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$15.29 |
|
|
|
0.10 |
13 |
|
|
0.24 |
|
|
|
0.34 |
|
|
|
(0.25) |
|
|
|
— |
|
|
|
(0.25) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$13.09 |
|
|
|
0.22 |
7 |
|
|
1.98 |
|
|
|
2.20 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE YEAR ENDED DECEMBER 31, 20126 |
|
|
$11.37 |
|
|
|
0.29 |
|
|
|
1.74 |
|
|
|
2.03 |
|
|
|
(0.31) |
|
|
|
— |
|
|
|
(0.31) |
|
| FOR THE YEAR ENDED DECEMBER 31, 2011†,6 |
|
|
$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 7/9/098—12/31/09†,6 |
|
|
$10.00 |
|
|
|
0.04 |
|
|
|
2.26 |
|
|
|
2.30 |
|
|
|
(0.09) |
|
|
|
(0.23) |
|
|
|
(0.32) |
|
| AQR INTERNATIONAL MOMENTUM FUND CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$15.25 |
|
|
|
0.08 |
13 |
|
|
0.24 |
|
|
|
0.32 |
|
|
|
(0.23) |
|
|
|
— |
|
|
|
(0.23) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$13.08 |
|
|
|
0.25 |
7 |
|
|
1.92 |
|
|
|
2.17 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE PERIOD 12/17/129—12/31/126 |
|
|
$12.95 |
|
|
|
— |
|
|
|
0.13 |
|
|
|
0.13 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| AQR TAX-MANAGED MOMENTUM FUND CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$13.60 |
|
|
|
0.04 |
|
|
|
1.61 |
|
|
|
1.65 |
|
|
|
(0.04) |
|
|
|
(0.11) |
|
|
|
(0.15) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$11.13 |
|
|
|
0.09 |
7 |
|
|
2.38 |
|
|
|
2.47 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE PERIOD 1/27/128—12/31/126 |
|
|
$10.00 |
|
|
|
0.19 |
12 |
|
|
1.17 |
|
|
|
1.36 |
|
|
|
(0.14) |
|
|
|
(0.09) |
|
|
|
(0.23) |
|
| AQR TAX-MANAGED MOMENTUM FUND CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$13.57 |
|
|
|
0.02 |
|
|
|
1.61 |
|
|
|
1.63 |
|
|
|
(0.01) |
|
|
|
(0.11) |
|
|
|
(0.12) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$11.13 |
|
|
|
0.07 |
7 |
|
|
2.37 |
|
|
|
2.44 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE PERIOD 12/17/129—12/31/126 |
|
|
$11.12 |
|
|
|
0.01 |
12 |
|
|
— |
|
|
|
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 |
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. |
| 2 |
Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions
at net asset value during the period and redemption on the last day of the period and is not annualized. |
| 3 |
Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
| 4 |
Certain expenses incurred by the Funds were not annualized for the period ended September 30, 2013. |
| 5 |
Portfolio turnover is not annualized. |
| 6 |
Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
| 7 |
For the period ended September 30, 2013 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 International Momentum Fund—Class L |
|
$ |
0.21 |
|
|
|
1.97 |
% |
| AQR International Momentum Fund—Class N |
|
|
0.23 |
|
|
|
2.16 |
|
| AQR Tax-Managed Momentum Fund—Class L |
|
|
0.09 |
|
|
|
0.92 |
|
| AQR Tax-Managed Momentum Fund—Class N |
|
|
0.07 |
|
|
|
0.63 |
|
| 8 |
Commencement of operations. |
| 9 |
Commencement of offering of shares. |
| 10 |
The ratio is not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain expenses incurred by the Fund were not annualized
for the period ended December 31, 2012. |
| 11 |
Ratios are disproportionate between classes due to size of net assets and fixed expenses. |
| 12 |
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 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. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 116 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Highlights |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
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 Waivers3,4 |
|
|
Net Investment
Income (Loss) |
|
|
Portfolio
Turnover
Rate5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$15.38 |
|
|
|
2.22 |
% |
|
|
$276,450,303 |
|
|
|
0.65 |
% |
|
|
0.65 |
% |
|
|
0.72 |
% |
|
|
1.32 |
%13 |
|
|
35 |
% |
|
|
| |
$15.29 |
|
|
|
16.81 |
% |
|
|
$219,002,000 |
|
|
|
0.65 |
% |
|
|
0.65 |
% |
|
|
0.73 |
% |
|
|
2.09 |
%7 |
|
|
76 |
% |
|
|
| |
$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 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$15.34 |
|
|
|
2.09 |
% |
|
|
$40,850,860 |
|
|
|
0.90 |
% |
|
|
0.90 |
% |
|
|
1.02 |
% |
|
|
0.98 |
%13 |
|
|
35 |
% |
|
|
| |
$15.25 |
|
|
|
16.59 |
% |
|
|
$41,502,544 |
|
|
|
0.90 |
% |
|
|
0.90 |
% |
|
|
1.03 |
% |
|
|
2.28 |
%7 |
|
|
76 |
% |
|
|
| |
$13.08 |
|
|
|
1.00 |
% |
|
|
$11,102 |
|
|
|
0.90 |
% |
|
|
0.90 |
% |
|
|
132.42 |
%10 |
|
|
0.25 |
% |
|
|
116 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$15.10 |
|
|
|
12.21 |
% |
|
|
$69,312,739 |
|
|
|
0.54 |
% |
|
|
0.54 |
% |
|
|
0.71 |
%11 |
|
|
0.58 |
% |
|
|
111 |
% |
|
|
| |
$13.60 |
|
|
|
22.19 |
% |
|
|
$21,709,464 |
|
|
|
0.54 |
% |
|
|
0.54 |
% |
|
|
1.41 |
%11 |
|
|
1.00 |
%7 |
|
|
178 |
% |
|
|
| |
$11.13 |
|
|
|
13.67 |
% |
|
|
$6,040,821 |
|
|
|
0.55 |
% |
|
|
0.54 |
% |
|
|
4.57 |
% |
|
|
1.89 |
%12 |
|
|
93 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$15.08 |
|
|
|
12.02 |
% |
|
|
$129,050 |
|
|
|
0.79 |
% |
|
|
0.79 |
% |
|
|
2.36 |
%11 |
|
|
0.30 |
% |
|
|
111 |
% |
|
|
| |
$13.57 |
|
|
|
21.92 |
% |
|
|
$115,161 |
|
|
|
0.79 |
% |
|
|
0.79 |
% |
|
|
4.11 |
%11 |
|
|
0.71 |
%7 |
|
|
178 |
% |
|
|
| |
$11.13 |
|
|
|
0.09 |
% |
|
|
$10,008 |
|
|
|
0.79 |
% |
|
|
0.79 |
% |
|
|
15.32 |
%10 |
|
|
2.41 |
%12 |
|
|
93 |
% |
|
|
| 13 |
For the six months ended March 31, 2014 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 International Momentum Fund—Class L |
|
|
$0.09 |
|
|
|
1.24 |
% |
| AQR International Momentum Fund—Class N |
|
|
0.07 |
|
|
|
0.90 |
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
117 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Highlights |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
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 MARCH 31, 2014 (Unaudited)6 |
|
|
$14.85 |
|
|
|
0.01 |
14 |
|
|
1.31 |
|
|
|
1.32 |
|
|
|
(0.04) |
|
|
|
(0.25) |
|
|
|
(0.29) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$11.15 |
|
|
|
0.05 |
7 |
|
|
3.65 |
|
|
|
3.70 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE PERIOD 1/27/129—12/31/126 |
|
|
$10.00 |
|
|
|
0.19 |
10 |
|
|
1.11 |
|
|
|
1.30 |
|
|
|
(0.15) |
|
|
|
— |
|
|
|
(0.15) |
|
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$14.81 |
|
|
|
(0.01) |
14 |
|
|
1.30 |
|
|
|
1.29 |
|
|
|
(0.00) |
11 |
|
|
(0.25) |
|
|
|
(0.25) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$11.15 |
|
|
|
0.03 |
7 |
|
|
3.63 |
|
|
|
3.66 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE PERIOD 12/17/1212—12/31/126 |
|
|
$10.91 |
|
|
|
0.02 |
10 |
|
|
0.22 |
|
|
|
0.24 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$13.18 |
|
|
|
0.08 |
|
|
|
0.43 |
|
|
|
0.51 |
|
|
|
(0.06) |
|
|
|
(0.16) |
|
|
|
(0.22) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$11.24 |
|
|
|
0.20 |
|
|
|
1.74 |
|
|
|
1.94 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE PERIOD 1/27/129—12/31/126 |
|
|
$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 MARCH 31, 2014 (Unaudited)6 |
|
|
$13.15 |
|
|
|
0.05 |
|
|
|
0.44 |
|
|
|
0.49 |
|
|
|
(0.02) |
|
|
|
(0.16) |
|
|
|
(0.18) |
|
| NINE MONTHS ENDED SEPTEMBER 30, 20136 |
|
|
$11.24 |
|
|
|
0.20 |
|
|
|
1.71 |
|
|
|
1.91 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| FOR THE PERIOD 12/17/1212—12/31/126 |
|
|
$11.14 |
|
|
|
— |
|
|
|
0.10 |
|
|
|
0.10 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| * |
Annualized for periods less than one year. |
| † |
Redemption fees of less than $0.005 per share were incurred by the share class. |
| 1 |
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. |
| 2 |
Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions
at net asset value during the period and redemption on the last day of the period and is not annualized. |
| 3 |
Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
| 4 |
Certain expenses incurred by the Funds were not annualized for the period ended September 30, 2013. |
| 5 |
Portfolio turnover is not annualized. |
| 6 |
Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
| 7 |
For the period ended September 30, 2013 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 |
|
$ |
0.04 |
|
|
|
0.37 |
% |
| AQR Tax-Managed Small Cap Momentum Fund—Class N |
|
|
0.01 |
|
|
|
0.14 |
|
| 8 |
Ratios are disproportionate between classes due to size of net assets and fixed expenses. |
| 9 |
Commencement of operations. |
| 10 |
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 |
|
| 11 |
Amount is less than $.005 per share. |
| 12 |
Commencement of offering of shares. |
| 13 |
The ratio is not representative of what the ratio would be if the Fund class had operated for a longer period of time. Certain expenses incurred by the Fund were not annualized
for the period ended December 31, 2012. |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 118 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Highlights |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
|
|
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 Waivers3,4 |
|
|
Net Investment
Income (Loss) |
|
|
Portfolio
Turnover
Rate5 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$15.88 |
|
|
|
8.93 |
% |
|
|
$12,586,405 |
|
|
|
0.70 |
% |
|
|
0.70 |
% |
|
|
1.64 |
% |
|
|
0.09 |
%14 |
|
|
95 |
% |
|
|
| |
$14.85 |
|
|
|
33.18 |
% |
|
|
$6,764,002 |
|
|
|
0.70 |
% |
|
|
0.70 |
% |
|
|
2.67 |
%8 |
|
|
0.49 |
%7 |
|
|
81 |
% |
|
|
| |
$11.15 |
|
|
|
13.01 |
% |
|
|
$3,434,992 |
|
|
|
0.71 |
% |
|
|
0.70 |
% |
|
|
5.77 |
% |
|
|
1.91 |
%10 |
|
|
93 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$15.85 |
|
|
|
8.79 |
% |
|
|
$132,948 |
|
|
|
0.95 |
% |
|
|
0.95 |
% |
|
|
3.17 |
% |
|
|
(0.17 |
)%14 |
|
|
95 |
% |
|
|
| |
$14.81 |
|
|
|
32.83 |
% |
|
|
$122,217 |
|
|
|
0.95 |
% |
|
|
0.95 |
% |
|
|
5.05 |
%8 |
|
|
0.26 |
%7 |
|
|
81 |
% |
|
|
| |
$11.15 |
|
|
|
2.20 |
% |
|
|
$10,218 |
|
|
|
0.95 |
% |
|
|
0.95 |
% |
|
|
12.32 |
%13 |
|
|
4.19 |
%10 |
|
|
93 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$13.47 |
|
|
|
3.90 |
% |
|
|
$62,041,955 |
|
|
|
0.70 |
% |
|
|
0.70 |
% |
|
|
0.91 |
%8 |
|
|
1.26 |
% |
|
|
132 |
% |
|
|
| |
$13.18 |
|
|
|
17.26 |
% |
|
|
$17,417,880 |
|
|
|
0.70 |
% |
|
|
0.70 |
% |
|
|
2.31 |
%8 |
|
|
2.14 |
% |
|
|
154 |
% |
|
|
| |
$11.24 |
|
|
|
14.46 |
% |
|
|
$5,738,743 |
|
|
|
0.71 |
% |
|
|
0.70 |
% |
|
|
5.28 |
% |
|
|
2.38 |
% |
|
|
131 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$13.46 |
|
|
|
3.77 |
% |
|
|
$115,555 |
|
|
|
0.95 |
% |
|
|
0.95 |
% |
|
|
2.74 |
%8 |
|
|
0.68 |
% |
|
|
132 |
% |
|
|
| |
$13.15 |
|
|
|
16.99 |
% |
|
|
$111,381 |
|
|
|
0.95 |
% |
|
|
0.95 |
% |
|
|
5.00 |
%8 |
|
|
2.19 |
% |
|
|
154 |
% |
|
|
| |
$11.24 |
|
|
|
0.90 |
% |
|
|
$10,089 |
|
|
|
0.95 |
% |
|
|
0.95 |
% |
|
|
15.82 |
%13 |
|
|
0.15 |
% |
|
|
131 |
% |
|
|
| 14 |
For the six months ended March 31, 2014 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 |
|
|
$0.01 |
|
|
|
0.04 |
% |
| AQR Tax-Managed Small Cap Momentum Fund—Class N |
|
|
(0.01 |
) |
|
|
(0.22 |
) |
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
119 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Financial Highlights |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
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 CORE EQUITY FUND CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$11.09 |
|
|
|
0.07 |
|
|
|
1.62 |
|
|
|
1.69 |
|
|
|
(0.04) |
|
|
|
(0.05) |
|
|
|
(0.09) |
|
| FOR THE PERIOD 3/26/137—9/30/136 |
|
|
$10.00 |
|
|
|
0.06 |
8 |
|
|
1.03 |
|
|
|
1.09 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| AQR CORE EQUITY FUND CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$11.09 |
|
|
|
0.05 |
|
|
|
1.61 |
|
|
|
1.66 |
|
|
|
(0.03) |
|
|
|
(0.05) |
|
|
|
(0.08) |
|
| FOR THE PERIOD 3/26/137—9/30/136 |
|
|
$10.00 |
|
|
|
0.04 |
8 |
|
|
1.05 |
|
|
|
1.09 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| AQR SMALL CAP CORE EQUITY FUND CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$11.88 |
|
|
|
0.03 |
10 |
|
|
1.25 |
|
|
|
1.28 |
|
|
|
(0.04) |
|
|
|
(0.12) |
|
|
|
(0.16) |
|
| FOR THE PERIOD 3/26/137—9/30/136 |
|
|
$10.00 |
|
|
|
0.03 |
8 |
|
|
1.85 |
|
|
|
1.88 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| AQR SMALL CAP CORE EQUITY FUND CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$11.87 |
|
|
|
0.01 |
10 |
|
|
1.24 |
|
|
|
1.25 |
|
|
|
(0.02) |
|
|
|
(0.12) |
|
|
|
(0.14) |
|
| FOR THE PERIOD 3/26/137—9/30/136 |
|
|
$10.00 |
|
|
|
0.01 |
8 |
|
|
1.86 |
|
|
|
1.87 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| AQR INTERNATIONAL CORE EQUITY FUND CLASS L |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$11.28 |
|
|
|
0.10 |
|
|
|
0.33 |
|
|
|
0.43 |
|
|
|
(0.10) |
|
|
|
— |
|
|
|
(0.10) |
|
| FOR THE PERIOD 3/26/137—9/30/136 |
|
|
$10.00 |
|
|
|
0.13 |
8 |
|
|
1.15 |
|
|
|
1.28 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| AQR INTERNATIONAL CORE EQUITY FUND CLASS N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| SIX MONTHS ENDED MARCH 31, 2014 (Unaudited)6 |
|
|
$11.27 |
|
|
|
0.07 |
|
|
|
0.34 |
|
|
|
0.41 |
|
|
|
(0.08) |
|
|
|
— |
|
|
|
(0.08) |
|
| FOR THE PERIOD 3/26/137—9/30/136 |
|
|
$10.00 |
|
|
|
0.15 |
8 |
|
|
1.12 |
|
|
|
1.27 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| * |
Annualized for periods less than one year. |
| 1 |
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. |
| 2 |
Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions
at net asset value during the period and redemption on the last day of the period and is not annualized. |
| 3 |
Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
| 4 |
Certain expenses incurred by the Funds were not annualized for the period ended September 30, 2013. |
| 5 |
Portfolio turnover is not annualized. |
| 6 |
Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
| 7 |
Commencement of operations. |
| 8 |
For the period ended September 30, 2013 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 Core Equity Fund—Class L |
|
$ |
0.06 |
|
|
|
0.98 |
% |
| AQR Core Equity Fund—Class N |
|
|
0.04 |
|
|
|
0.61 |
|
| AQR Small Cap Core Equity Fund—Class L |
|
|
0.03 |
|
|
|
0.38 |
|
| AQR Small Cap Core Equity Fund—Class N |
|
|
0.01 |
|
|
|
0.10 |
|
| AQR International Core Equity Fund—Class L |
|
|
0.13 |
|
|
|
2.08 |
|
| AQR International Core Equity Fund—Class N |
|
|
0.15 |
|
|
|
2.48 |
|
| 9 |
Ratios are disproportionate between classes due to size of net assets and fixed expenses. |
| 10 |
For the six months ended March 31, 2014 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: |
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|
| FUND |
|
NET INVESTMENT
INCOME PER SHARE |
|
|
NET INVESTMENT
INCOME RATIO |
|
| AQR Small Cap Core Equity Fund—Class L |
|
|
$0.03 |
|
|
|
0.40 |
% |
| AQR Small Cap Core Equity Fund—Class N |
|
|
0.01 |
|
|
|
0.16 |
|
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|
|
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|
The accompanying notes are an integral part of these financial statements. |
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| 120 |
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AQR Funds |
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|
Semi-Annual Report |
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March 2014 |
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| |
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|
| Financial Highlights |
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|
March 31, 2014 |
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|
RATIOS/SUPPLEMENTAL DATA |
|
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| |
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|
|
Ratios to Average Net Assets of:* |
|
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|
|
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 Waivers3,4 |
|
|
Net Investment
Income (Loss) |
|
|
Portfolio
Turnover
Rate5 |
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|
|
|
|
|
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|
|
|
|
|
|
| |
$12.69 |
|
|
|
15.30 |
% |
|
|
$55,430,899 |
|
|
|
0.54 |
% |
|
|
0.54 |
% |
|
|
0.88 |
% |
|
|
1.11 |
% |
|
|
109 |
% |
|
|
| |
$11.09 |
|
|
|
10.90 |
% |
|
|
$18,810,952 |
|
|
|
0.54 |
% |
|
|
0.54 |
% |
|
|
1.80 |
%9 |
|
|
1.09 |
%8 |
|
|
223 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$12.67 |
|
|
|
15.06 |
% |
|
|
$3,844,342 |
|
|
|
0.79 |
% |
|
|
0.79 |
% |
|
|
1.46 |
% |
|
|
0.86 |
% |
|
|
109 |
% |
|
|
| |
$11.09 |
|
|
|
10.90 |
% |
|
|
$1,403,213 |
|
|
|
0.79 |
% |
|
|
0.79 |
% |
|
|
4.30 |
%9 |
|
|
0.72 |
%8 |
|
|
223 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$13.00 |
|
|
|
10.75 |
% |
|
|
$4,560,901 |
|
|
|
0.75 |
% |
|
|
0.75 |
% |
|
|
3.33 |
% |
|
|
0.46 |
%10 |
|
|
92 |
% |
|
|
| |
$11.88 |
|
|
|
18.80 |
% |
|
|
$2,183,541 |
|
|
|
0.75 |
% |
|
|
0.75 |
% |
|
|
5.84 |
% |
|
|
0.45 |
%8 |
|
|
70 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$12.98 |
|
|
|
10.57 |
% |
|
|
$2,276,525 |
|
|
|
1.00 |
% |
|
|
1.00 |
% |
|
|
3.85 |
% |
|
|
0.22 |
%10 |
|
|
92 |
% |
|
|
| |
$11.87 |
|
|
|
18.70 |
% |
|
|
$1,380,913 |
|
|
|
1.00 |
% |
|
|
1.00 |
% |
|
|
6.40 |
% |
|
|
0.17 |
%8 |
|
|
70 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$11.61 |
|
|
|
3.78 |
% |
|
|
$22,540,690 |
|
|
|
0.70 |
% |
|
|
0.70 |
% |
|
|
1.48 |
% |
|
|
1.66 |
% |
|
|
67 |
% |
|
|
| |
$11.28 |
|
|
|
12.80 |
% |
|
|
$15,810,091 |
|
|
|
0.70 |
% |
|
|
0.70 |
% |
|
|
2.16 |
% |
|
|
2.25 |
%8 |
|
|
218 |
% |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
$11.60 |
|
|
|
3.62 |
% |
|
|
$2,592,857 |
|
|
|
0.95 |
% |
|
|
0.95 |
% |
|
|
2.27 |
% |
|
|
1.26 |
% |
|
|
67 |
% |
|
|
| |
$11.27 |
|
|
|
12.70 |
% |
|
|
$2,154,256 |
|
|
|
0.95 |
% |
|
|
0.95 |
% |
|
|
4.10 |
% |
|
|
2.65 |
%8 |
|
|
218 |
% |
|
|
|
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. |
|
|
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|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
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|
|
March 2014 |
|
121 |
| |
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|
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|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
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 March 31, 2014, the Trust consists of twenty-four
active series, fourteen of which are presented in this 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 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. The remaining ten active series are reported in a separate book. AQR Capital Management, LLC (“the Advisor”) serves as the investment
advisor of each Fund.
The investment objective for the AQR Global Equity Fund, AQR International Equity Fund, AQR Momentum Fund, AQR Small Cap Momentum
Fund, AQR International Momentum Fund, AQR Core Equity Fund, AQR Small Cap Core Equity Fund and the AQR International Core Equity Fund is to seek long-term capital appreciation. The investment objective for the AQR Emerging Defensive Equity Fund,
AQR International Defensive Equity Fund, and the AQR U.S. Defensive Equity Fund is to seek total return. The investment objective for the AQR Tax-Managed Momentum Fund, AQR Tax-Managed Small Cap Momentum Fund and the AQR Tax-Managed International
Momentum Fund is to seek long-term after-tax capital appreciation.
The Funds offer the following classes of shares:
|
|
|
| FUND |
|
CLASSES OFFERED |
| AQR Global Equity Fund |
|
Class I, Class N, Class Y and Class R6* |
| AQR International Equity Fund |
|
Class I, Class N, Class Y and Class R6* |
| AQR Emerging Defensive Equity Fund |
|
Class I and Class N |
| AQR International Defensive Equity Fund |
|
Class I and Class N |
| AQR U.S. Defensive Equity Fund |
|
Class I and Class N |
| AQR Momentum Fund |
|
Class L and Class N |
| AQR Small Cap Momentum Fund |
|
Class L and Class N |
| AQR International Momentum Fund |
|
Class L and Class N |
| AQR Tax-Managed Momentum Fund |
|
Class L and Class N |
| AQR Tax-Managed Small Cap Momentum Fund |
|
Class L and Class N |
| AQR Tax-Managed International Momentum Fund |
|
Class L and Class N |
| AQR Core Equity Fund |
|
Class L and Class N |
| AQR Small Cap Core Equity Fund |
|
Class L and Class N |
| AQR International Core Equity Fund |
|
Class L and Class N |
| |
* |
The Class R6 Shares of the AQR Global Equity and AQR International Equity Funds commenced operations on January 8, 2014. |
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 the Advisor 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.
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| 122 |
|
AQR Funds |
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|
Semi-Annual Report |
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|
March 2014 |
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| |
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|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
Valuation of Investments: Each Fund’s portfolio securities are valued as of the close of business of the regular session of trading on the New York
Stock Exchange (“NYSE”) (normally 4:00 p.m. Eastern time). The Funds’ Board of Trustees has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation
determinations under those procedures to the Advisor. Equity securities, including securities sold short, rights 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 factors
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. 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. 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.
The Funds 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.
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 (including Total Return, Credit Default and Interest Rate Swaps) and foreign exchange contracts entered into by the Funds. The Master Agreements may contain
provisions regarding, among other things, the parties’ general
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|
AQR Funds |
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|
Semi-Annual Report |
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March 2014 |
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123 |
| |
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|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
obligations, representations, agreements, collateral requirements, events of default and early termination. 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. Collateral and margin requirements differ between exchange traded
derivatives and over-the-counter (“OTC”) derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (futures contracts, options and centrally cleared swaps)
pursuant to the governing agreements for those investment types. For OTC derivatives traded under an ISDA Master Agreement, posting of collateral is required by either the fund or the applicable counterparty if the total net exposure of all OTC
derivatives with the applicable counterparty exceeds the minimum transfer amount and can vary depending on the counterparty and the type of the agreement. 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. Generally, collateral is determined at the close of fund business each day. 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, debt securities issued by the U.S. Government and related agencies, other securities or 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. The Funds’ derivative assets and liabilities on the Statements of Assets and Liabilities are
presented net only within a derivative type when a legally enforceable master netting agreement exists between the Funds and a derivative counterparty.
Futures Contracts: Certain Funds invest in futures contracts as part of their investment strategy and to equitize their cash flows. Investments in futures
may increase or decrease exposure to a particular market. In the event of a bankruptcy or insolvency of a futures commission merchant that holds margin on behalf of the Funds, the Funds may not 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 or expired, and are
reported in the Statements of Operations. Securities deposited as initial margin are designated in the Schedules of Investments and cash pledged/received is presented as Due to/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 an independent pricing 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 unrealized appreciation or depreciation. When the contract is closed, the Funds
record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if the value of the currency
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| 124 |
|
AQR Funds |
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|
Semi-Annual Report |
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|
March 2014 |
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| |
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|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
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 U.S. dollars without the delivery of foreign currency. Forward foreign currency exchange
contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments.
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, 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 unrealized appreciation/depreciation on the Statements of Operations. Total return swaps normally do not involve the delivery of securities or
other underlying assets. If the other party to a 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. To the extent that the Advisor does 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.
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 or when the Fund first learns of the ex-date dividend notification.
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 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.
Organization and Offering Cost: 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.
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AQR Funds |
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|
Semi-Annual Report |
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|
March 2014 |
|
125 |
| |
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|
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|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
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 deposited 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.
Federal Income Taxes: Each Fund is
treated as a separate taxable entity for federal income tax purposes. Each Fund intends to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”). If so
qualified, each Fund will not be subject to federal income tax to the extent it distributes substantially all of its net investment income and capital gains to shareholders.
The Advisor 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 March 31, 2014, 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.
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.
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| 126 |
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AQR Funds |
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|
Semi-Annual Report |
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March 2014 |
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| |
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|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
3. Federal Income Tax Matters
At March 31, 2014, the
cost of long security positions and aggregate gross unrealized appreciation (depreciation) of investments for federal income tax purposes were as follows:
|
|
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|
|
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|
|
|
|
|
|
|
|
|
|
|
| FUND |
|
COST OF
INVESTMENTS |
|
|
GROSS
UNREALIZED
APPRECIATION |
|
|
GROSS
UNREALIZED
DEPRECIATION |
|
|
NET
UNREALIZED
APPRECIATION
(DEPRECIATION) |
|
| AQR Global Equity Fund |
|
$ |
224,027,133 |
|
|
$ |
62,141,376 |
|
|
$ |
(2,022,669 |
) |
|
$ |
60,118,707 |
|
| AQR International Equity Fund |
|
|
688,793,871 |
|
|
|
150,130,460 |
|
|
|
(7,704,668 |
) |
|
|
142,425,792 |
|
| AQR Emerging Defensive Equity Fund |
|
|
49,338,364 |
|
|
|
2,444,971 |
|
|
|
(2,213,030 |
) |
|
|
231,941 |
|
| AQR International Defensive Equity Fund |
|
|
24,414,024 |
|
|
|
2,403,475 |
|
|
|
(625,635 |
) |
|
|
1,777,840 |
|
| AQR U.S. Defensive Equity Fund |
|
|
208,739,719 |
|
|
|
20,715,974 |
|
|
|
(1,346,549 |
) |
|
|
19,369,425 |
|
| AQR Momentum Fund |
|
|
791,857,708 |
|
|
|
193,513,054 |
|
|
|
(10,090,476 |
) |
|
|
183,422,578 |
|
| AQR Small Cap Momentum Fund |
|
|
243,608,711 |
|
|
|
67,810,246 |
|
|
|
(10,629,565 |
) |
|
|
57,180,681 |
|
| AQR International Momentum Fund |
|
|
285,724,742 |
|
|
|
40,176,661 |
|
|
|
(7,299,358 |
) |
|
|
32,877,303 |
|
| AQR Tax-Managed Momentum Fund |
|
|
64,309,137 |
|
|
|
6,192,153 |
|
|
|
(674,851 |
) |
|
|
5,517,302 |
|
| AQR Tax-Managed Small Cap Momentum Fund |
|
|
10,720,221 |
|
|
|
2,344,748 |
|
|
|
(357,261 |
) |
|
|
1,987,487 |
|
| AQR Tax-Managed International Momentum Fund |
|
|
59,126,645 |
|
|
|
4,193,010 |
|
|
|
(1,644,274 |
) |
|
|
2,548,736 |
|
| AQR Core Equity Fund |
|
|
53,800,094 |
|
|
|
6,056,469 |
|
|
|
(527,071 |
) |
|
|
5,529,398 |
|
| AQR Small Cap Core Equity Fund |
|
|
5,981,353 |
|
|
|
960,141 |
|
|
|
(92,572 |
) |
|
|
867,569 |
|
| AQR International Core Equity Fund |
|
|
23,741,771 |
|
|
|
2,222,971 |
|
|
|
(681,692 |
) |
|
|
1,541,279 |
|
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale
loss deferrals.
As of September 30, 2013, for federal income tax purposes, the following Funds had capital loss carryforwards available to offset
capital gains, if any, to the extent provided by the U.S. Treasury regulations.
|
|
|
|
|
|
|
|
|
|
|
|
|
| FUND |
|
SHORT-TERM |
|
|
LONG-TERM |
|
|
YEAR OF EXPIRATION |
|
| AQR Emerging Defensive Equity Fund |
|
$ |
292,230 |
|
|
$ |
— |
|
|
|
N/A |
|
| AQR International Momentum Fund |
|
|
107,993 |
|
|
|
— |
|
|
|
2018 |
|
| AQR International Momentum Fund |
|
|
4,061,666 |
|
|
|
— |
|
|
|
N/A |
|
| AQR International Core Equity Fund |
|
|
28,884 |
|
|
|
— |
|
|
|
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)
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|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
127 |
| |
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|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
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 inputs and techniques may be used by the Funds 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. 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 Advisor 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 futures, forwards and 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.
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
|
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|
|
|
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|
|
|
|
|
|
| 128 |
|
AQR Funds |
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|
|
Semi-Annual Report |
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|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
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 execution prices to the prior night’s valuation price for all positions which were traded and held the previous day. On a monthly basis, third party model prices are reviewed against internal
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.
The following summarizes
inputs used as of March 31, 2014 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† |
|
$ |
152,266,984 |
|
|
$ |
108,445,323 |
|
|
$ |
— |
(a) |
|
$ |
260,712,307 |
|
| Preferred Stocks† |
|
|
— |
|
|
|
2,361,019 |
|
|
|
— |
|
|
|
2,361,019 |
|
| Rights† |
|
|
— |
|
|
|
— |
|
|
|
2,106 |
|
|
|
2,106 |
|
| Money Market Funds |
|
|
— |
|
|
|
21,070,408 |
|
|
|
— |
|
|
|
21,070,408 |
|
| Futures Contracts* |
|
|
606,283 |
|
|
|
— |
|
|
|
— |
|
|
|
606,283 |
|
| Forward Foreign Currency Exchange Contracts* |
|
|
— |
|
|
|
262,320 |
|
|
|
— |
|
|
|
262,320 |
|
|
|
|
|
|
| Total Assets |
|
$ |
152,873,267 |
|
|
$ |
132,139,070 |
|
|
$ |
2,106 |
|
|
$ |
285,014,443 |
|
|
|
|
|
|
| LIABILITIES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return Swap Contracts* |
|
$ |
— |
|
|
$ |
(475,650 |
) |
|
$ |
— |
|
|
$ |
(475,650 |
) |
|
|
|
|
|
| Total Liabilities |
|
$ |
— |
|
|
$ |
(475,650 |
) |
|
$ |
— |
|
|
$ |
(475,650 |
) |
| |
(a) |
Security has zero value. |
| |
* |
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 |
|
|
|
|
|
March 2014 |
|
129 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
There were three immaterial positions which transferred between Levels 1 and 2 during the period. Securities listed in the Schedule of Investments with a total
market value of $2,106 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 March 31, 2014 is $2,106.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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† |
|
$ |
— |
|
|
$ |
745,372,689 |
|
|
$ |
— |
(a) |
|
$ |
745,372,689 |
|
| Preferred Stocks† |
|
|
— |
|
|
|
14,358,397 |
|
|
|
— |
|
|
|
14,358,397 |
|
| Rights† |
|
|
— |
|
|
|
— |
|
|
|
15,491 |
|
|
|
15,491 |
|
| Money Market Funds |
|
|
— |
|
|
|
71,473,086 |
|
|
|
— |
|
|
|
71,473,086 |
|
| Futures Contracts* |
|
|
1,881,315 |
|
|
|
— |
|
|
|
— |
|
|
|
1,881,315 |
|
| Forward Foreign Currency Exchange Contracts* |
|
|
— |
|
|
|
1,499,759 |
|
|
|
— |
|
|
|
1,499,759 |
|
|
|
|
|
|
| Total Assets |
|
$ |
1,881,315 |
|
|
$ |
832,703,931 |
|
|
$ |
15,491 |
|
|
$ |
834,600,737 |
|
|
|
|
|
|
| LIABILITIES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Total Return Swap Contracts* |
|
$ |
— |
|
|
$ |
(1,404,768 |
) |
|
$ |
— |
|
|
$ |
(1,404,768 |
) |
|
|
|
|
|
| Total Liabilities |
|
$ |
— |
|
|
$ |
(1,404,768 |
) |
|
$ |
— |
|
|
$ |
(1,404,768 |
) |
| |
(a) |
Security has zero value. |
| |
* |
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. Securities listed in the Schedule of Investments with a total market value of $15,491 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 March 31, 2014 is $15,491.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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† |
|
$ |
14,716,242 |
|
|
$ |
28,987,455 |
|
|
$ |
— |
|
|
$ |
43,703,697 |
|
| Exchange-Traded Funds |
|
|
4,503,530 |
|
|
|
— |
|
|
|
— |
|
|
|
4,503,530 |
|
| Preferred Stocks† |
|
|
22,830 |
|
|
|
— |
|
|
|
— |
|
|
|
22,830 |
|
| Money Market Funds |
|
|
— |
|
|
|
1,340,248 |
|
|
|
— |
|
|
|
1,340,248 |
|
|
|
|
|
|
| Total Assets |
|
$ |
19,242,602 |
|
|
$ |
30,327,703 |
|
|
$ |
— |
|
|
$ |
49,570,305 |
|
| |
† |
Please refer to the Schedule of Investments to view securities segregated by country. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 130 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held at period end.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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† |
|
$ |
4,577,235 |
|
|
$ |
20,054,112 |
|
|
$ |
— |
|
|
$ |
24,631,347 |
|
| Exchange-Traded Funds |
|
|
1,233,308 |
|
|
|
— |
|
|
|
— |
|
|
|
1,233,308 |
|
| Preferred Stocks† |
|
|
— |
|
|
|
155,435 |
|
|
|
— |
|
|
|
155,435 |
|
| Money Market Funds |
|
|
— |
|
|
|
171,774 |
|
|
|
— |
|
|
|
171,774 |
|
|
|
|
|
|
| Total Assets |
|
$ |
5,810,543 |
|
|
$ |
20,381,321 |
|
|
$ |
— |
|
|
$ |
26,191,864 |
|
| |
† |
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 at period end.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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† |
|
$ |
218,803,716 |
|
|
$ |
1,352,439 |
|
|
$ |
— |
|
|
$ |
220,156,155 |
|
| Money Market Funds |
|
|
— |
|
|
|
7,952,989 |
|
|
|
— |
|
|
|
7,952,989 |
|
| Futures Contracts* |
|
|
2,874 |
|
|
|
— |
|
|
|
— |
|
|
|
2,874 |
|
|
|
|
|
|
| Total Assets |
|
$ |
218,806,590 |
|
|
$ |
9,305,428 |
|
|
$ |
— |
|
|
$ |
228,112,018 |
|
| |
* |
Derivative instruments, including futures contracts, are valued at the unrealized appreciation (depreciation) of the instrument. |
| |
† |
Please refer to the Schedule of Investments to view securities segregated by industry type. |
There were no transfers between Levels 1 and 2 during the period. There were no Level 3 securities held at period end.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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† |
|
$ |
953,021,526 |
|
|
$ |
8,825,858 |
|
|
$ |
— |
|
|
$ |
961,847,384 |
|
| Money Market Funds |
|
|
— |
|
|
|
13,432,902 |
|
|
|
— |
|
|
|
13,432,902 |
|
|
|
|
|
|
| Total Assets |
|
$ |
953,021,526 |
|
|
$ |
22,258,760 |
|
|
$ |
— |
|
|
$ |
975,280,286 |
|
|
|
|
|
|
| LIABILITIES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts* |
|
$ |
(8,453 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(8,453 |
) |
|
|
|
|
|
| Total Liabilities |
|
$ |
(8,453 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(8,453 |
) |
| |
* |
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 |
|
|
|
|
|
March 2014 |
|
131 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
There were two immaterial positions which transferred between Levels 1 and 2 during the period. There were no Level 3 securities held at period end.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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† |
|
$ |
295,440,796 |
|
|
$ |
1,297,477 |
|
|
$ |
14,729 |
|
|
$ |
296,753,002 |
|
| Preferred Stocks† |
|
|
46,610 |
|
|
|
— |
|
|
|
— |
|
|
|
46,610 |
|
| Rights† |
|
|
— |
|
|
|
— |
|
|
|
— |
(a) |
|
|
— |
(a) |
| Money Market Funds |
|
|
— |
|
|
|
3,989,780 |
|
|
|
— |
|
|
|
3,989,780 |
|
|
|
|
|
|
| Total Assets |
|
$ |
295,487,406 |
|
|
$ |
5,287,257 |
|
|
$ |
14,729 |
|
|
$ |
300,789,392 |
|
|
|
|
|
|
| LIABILITIES |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Futures Contracts* |
|
$ |
(27,447 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(27,447 |
) |
|
|
|
|
|
| Total Liabilities |
|
$ |
(27,447 |
) |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(27,447 |
) |
| |
(a) |
Security has zero value. |
| |
* |
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 seven immaterial positions which transferred 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 March 31, 2014 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† |
|
$ |
33,532,340 |
|
|
$ |
278,167,178 |
|
|
$ |
— |
|
|
$ |
311,699,518 |
|
| Rights† |
|
|
— |
|
|
|
57,863 |
|
|
|
13,684 |
|
|
|
71,547 |
|
| Money Market Funds |
|
|
— |
|
|
|
6,830,980 |
|
|
|
— |
|
|
|
6,830,980 |
|
| Futures Contracts* |
|
|
14,999 |
|
|
|
— |
|
|
|
— |
|
|
|
14,999 |
|
|
|
|
|
|
| Total Assets |
|
$ |
33,547,339 |
|
|
$ |
285,056,021 |
|
|
$ |
13,684 |
|
|
$ |
318,617,044 |
|
| |
* |
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. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 132 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
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 $13,684 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 March 31,
2014 is $13,684.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR TAX-MANAGED MOMENTUM
FUND |
|
QUOTED PRICES
IN ACTIVE
MARKET
(LEVEL 1) |
|
|
OTHER SIGNIFICANT
OBSERVABLE
INPUTS
(LEVEL 2) |
|
|
SIGNIFICANT
UNOBSERVABLE
INPUTS
(LEVEL 3) |
|
|
TOTALS |
|
| ASSETS |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Common Stocks† |
|
$ |
66,863,513 |
|
|
$ |
663,907 |
|
|
$ |
— |
|
|
$ |
67,527,420 |
|
| Exchange-Traded Funds |
|
|
1,331,912 |
|
|
|
— |
|
|
|
— |
|
|
|
1,331,912 |
|
| Money Market Funds |
|
|
— |
|
|
|
967,107 |
|
|
|
— |
|
|
|
967,107 |
|
|
|
|
|
|
| Total Assets |
|
$ |
68,195,425 |
|
|
$ |
1,631,014 |
|
|
$ |
— |
|
|
$ |
69,826,439 |
|
| |
† |
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 at period end.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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† |
|
$ |
12,462,060 |
|
|
$ |
38,576 |
|
|
$ |
— |
|
|
$ |
12,500,636 |
|
| Exchange-Traded Funds |
|
|
161,596 |
|
|
|
— |
|
|
|
— |
|
|
|
161,596 |
|
| Money Market Funds |
|
|
— |
|
|
|
45,476 |
|
|
|
— |
|
|
|
45,476 |
|
|
|
|
|
|
| Total Assets |
|
$ |
12,623,656 |
|
|
$ |
84,052 |
|
|
$ |
— |
|
|
$ |
12,707,708 |
|
| |
† |
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 at period end.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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† |
|
$ |
7,659,897 |
|
|
$ |
52,498,731 |
|
|
$ |
— |
|
|
$ |
60,158,628 |
|
| Exchange-Traded Funds |
|
|
1,346,893 |
|
|
|
— |
|
|
|
— |
|
|
|
1,346,893 |
|
| Rights† |
|
|
— |
|
|
|
13,988 |
|
|
|
628 |
|
|
|
14,616 |
|
| Money Market Funds |
|
|
— |
|
|
|
155,244 |
|
|
|
— |
|
|
|
155,244 |
|
|
|
|
|
|
| Total Assets |
|
$ |
9,006,790 |
|
|
$ |
52,667,963 |
|
|
$ |
628 |
|
|
$ |
61,675,381 |
|
| |
† |
Please refer to the Schedule of Investments to view securities segregated by country. |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
133 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
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 $628 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 March 31, 2014 is
$628.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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† |
|
$ |
57,857,507 |
|
|
$ |
137,015 |
|
|
$ |
— |
|
|
$ |
57,994,522 |
|
| Exchange-Traded Funds |
|
|
741,988 |
|
|
|
— |
|
|
|
— |
|
|
|
741,988 |
|
| Money Market Funds |
|
|
— |
|
|
|
592,982 |
|
|
|
— |
|
|
|
592,982 |
|
|
|
|
|
|
| Total Assets |
|
$ |
58,599,495 |
|
|
$ |
729,997 |
|
|
$ |
— |
|
|
$ |
59,329,492 |
|
| |
† |
Please refer to the Schedule of Investments to view securities segregated by industry type. |
There were two immaterial positions which transferred between Levels 1 and 2 during the period. There were no Level 3 securities held at period end.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 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† |
|
$ |
6,735,916 |
|
|
$ |
41,311 |
|
|
$ |
— |
|
|
$ |
6,777,227 |
|
| Exchange-Traded Funds |
|
|
30,365 |
|
|
|
— |
|
|
|
— |
|
|
|
30,365 |
|
| Money Market Funds |
|
|
— |
|
|
|
41,330 |
|
|
|
— |
|
|
|
41,330 |
|
|
|
|
|
|
| Total Assets |
|
$ |
6,766,281 |
|
|
$ |
82,641 |
|
|
$ |
— |
|
|
$ |
6,848,922 |
|
| |
† |
Please refer to the Schedule of Investments to view securities segregated by industry type. |
There were four immaterial positions which transferred between Levels 1 and 2 during the period. There were no Level 3 securities held at period end.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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† |
|
$ |
2,476,726 |
|
|
$ |
22,086,378 |
|
|
$ |
— |
|
|
$ |
24,563,104 |
|
| Exchange-Traded Funds |
|
|
234,424 |
|
|
|
— |
|
|
|
— |
|
|
|
234,424 |
|
| Rights† |
|
|
— |
|
|
|
7,165 |
|
|
|
— |
|
|
|
7,165 |
|
| Money Market Funds |
|
|
— |
|
|
|
478,357 |
|
|
|
— |
|
|
|
478,357 |
|
|
|
|
|
|
| Total Assets |
|
$ |
2,711,150 |
|
|
$ |
22,571,900 |
|
|
$ |
— |
|
|
$ |
25,283,050 |
|
| |
† |
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 at period end.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 134 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
5. Investment Transactions
During the period ended
March 31, 2014, 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 |
|
| AQR Global Equity Fund |
|
$ |
139,353,562 |
|
|
$ |
134,378,556 |
|
| AQR International Equity Fund |
|
|
225,703,643 |
|
|
|
267,070,928 |
|
| AQR Emerging Defensive Equity Fund |
|
|
45,880,669 |
|
|
|
28,814,160 |
|
| AQR International Defensive Equity Fund |
|
|
14,239,748 |
|
|
|
7,637,676 |
|
| AQR U.S. Defensive Equity Fund |
|
|
54,564,889 |
|
|
|
10,943,520 |
|
| AQR Momentum Fund |
|
|
452,484,613 |
|
|
|
360,239,318 |
|
| AQR Small Cap Momentum Fund |
|
|
137,384,581 |
|
|
|
110,169,330 |
|
| AQR International Momentum Fund |
|
|
152,327,374 |
|
|
|
99,895,089 |
|
| AQR Tax-Managed Momentum Fund |
|
|
95,521,839 |
|
|
|
51,783,716 |
|
| AQR Tax-Managed Small Cap Momentum Fund |
|
|
14,251,451 |
|
|
|
9,208,131 |
|
| AQR Tax-Managed International Momentum Fund |
|
|
100,913,763 |
|
|
|
56,638,708 |
|
| AQR Core Equity Fund |
|
|
79,023,621 |
|
|
|
44,526,434 |
|
| AQR Small Cap Core Equity Fund |
|
|
7,524,832 |
|
|
|
4,761,663 |
|
| AQR International Core Equity Fund |
|
|
20,300,658 |
|
|
|
13,919,214 |
|
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 March 31, 2014 are as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
ASSETS |
|
|
|
LIABILITIES |
|
| FUND |
|
|
UNREALIZED
APPRECIATION
ON FUTURES
CONTRACTS |
|
|
|
UNREALIZED
APPRECIATION
ON FORWARD
FOREIGN
CURRENCY
EXCHANGE
CONTRACTS |
|
|
|
UNREALIZED
DEPRECIATION
ON FUTURES
CONTRACTS |
|
|
|
SWAPS
AT VALUE |
|
|
|
UNREALIZED
DEPRECIATION
ON FORWARD
FOREIGN
CURRENCY
EXCHANGE
CONTRACTS |
|
| Equity Risk Exposure: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AQR Global Equity Fund |
|
|
$900,185 |
|
|
|
$— |
|
|
|
$293,902 |
|
|
|
$475,650 |
|
|
|
$— |
|
| AQR International Equity Fund |
|
|
3,146,321 |
|
|
|
— |
|
|
|
1,265,006 |
|
|
|
1,404,768 |
|
|
|
— |
|
| AQR U.S. Defensive Equity Fund |
|
|
2,874 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| AQR Momentum Fund |
|
|
— |
|
|
|
— |
|
|
|
8,453 |
|
|
|
— |
|
|
|
— |
|
| AQR Small Cap Momentum Fund |
|
|
— |
|
|
|
— |
|
|
|
27,447 |
|
|
|
— |
|
|
|
— |
|
| AQR International Momentum Fund |
|
|
14,999 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
| Foreign Exchange Rate Risk Exposure: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AQR Global Equity Fund |
|
|
— |
|
|
|
1,220,410 |
|
|
|
— |
|
|
|
— |
|
|
|
958,090 |
|
| AQR International Equity Fund |
|
|
— |
|
|
|
5,487,912 |
|
|
|
— |
|
|
|
— |
|
|
|
3,988,153 |
|
|
|
|
|
|
|
| Netting: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AQR Global Equity Fund |
|
|
(293,902) |
|
|
|
(958,090) |
|
|
|
(293,902) |
|
|
|
— |
|
|
|
(958,090) |
|
| AQR International Equity Fund |
|
|
(1,265,006) |
|
|
|
(3,988,153) |
|
|
|
(1,265,006) |
|
|
|
— |
|
|
|
(3,988,153) |
|
|
|
|
|
|
|
| Net Fair Value of Derivative Contracts: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AQR Global Equity Fund |
|
|
606,283 |
|
|
|
262,320 |
|
|
|
— |
|
|
|
475,650 |
|
|
|
— |
|
| AQR International Equity Fund |
|
|
1,881,315 |
|
|
|
1,499,759 |
|
|
|
— |
|
|
|
1,404,768 |
|
|
|
— |
|
| AQR U.S. Defensive Equity Fund |
|
|
2,874 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| AQR Momentum Fund |
|
|
— |
|
|
|
— |
|
|
|
8,453 |
|
|
|
— |
|
|
|
— |
|
| AQR Small Cap Momentum Fund |
|
|
— |
|
|
|
— |
|
|
|
27,447 |
|
|
|
— |
|
|
|
— |
|
| AQR International Momentum Fund |
|
|
14,999 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
135 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
The following is the effect of Derivative Instruments on the Statements of Operations for the period ended March 31, 2014:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
|
SWAP
CONTRACTS |
|
|
|
FORWARD
FOREIGN
CURRENCY
EXCHANGE
CONTRACTS |
|
|
|
FUTURES
CONTRACTS |
|
|
|
SWAP
CONTRACTS |
|
|
|
FORWARD
FOREIGN
CURRENCY
EXCHANGE
CONTRACTS |
|
| Equity Risk Exposure: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AQR Global Equity Fund |
|
|
$457,629 |
|
|
|
$(32,660) |
|
|
|
$— |
|
|
|
$437,840 |
|
|
|
$(486,545) |
|
|
|
$— |
|
| AQR International Equity Fund |
|
|
(3,148,668) |
|
|
|
(886,720) |
|
|
|
— |
|
|
|
1,291,034 |
|
|
|
(1,450,548) |
|
|
|
— |
|
| AQR U.S. Defensive Equity Fund |
|
|
1,136,034 |
|
|
|
— |
|
|
|
— |
|
|
|
73,938 |
|
|
|
— |
|
|
|
— |
|
| AQR Momentum Fund |
|
|
1,476,841 |
|
|
|
— |
|
|
|
— |
|
|
|
190,224 |
|
|
|
— |
|
|
|
— |
|
| AQR Small Cap Momentum Fund |
|
|
(57,989) |
|
|
|
— |
|
|
|
— |
|
|
|
(40,503) |
|
|
|
— |
|
|
|
— |
|
| AQR International Momentum Fund |
|
|
415,486 |
|
|
|
— |
|
|
|
— |
|
|
|
35,356 |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
| Foreign Exchange Rate Risk Exposure: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| AQR Global Equity Fund |
|
|
— |
|
|
|
— |
|
|
|
1,357,849 |
|
|
|
— |
|
|
|
— |
|
|
|
460,502 |
|
| AQR International Equity Fund |
|
|
— |
|
|
|
— |
|
|
|
(736,811) |
|
|
|
— |
|
|
|
— |
|
|
|
2,416,270 |
|
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 Statements of Assets and Liabilities.
The following tables present, by
counterparty and contract type, the Funds’ derivative assets and liabilities as of March 31, 2014.
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 |
|
|
$900,185 |
|
|
|
$(293,902) |
|
|
|
$606,283 |
|
|
|
$ — |
|
|
|
$ — |
|
|
|
$606,283 |
|
| Credit Suisse International |
|
Forward Foreign Currency Exchange Contracts |
|
|
586,147 |
|
|
|
(478,923) |
|
|
|
107,224 |
|
|
|
— |
|
|
|
(107,224) |
|
|
|
— |
|
| The Royal Bank of Scotland |
|
Forward Foreign Currency Exchange Contracts |
|
|
634,263 |
|
|
|
(479,167) |
|
|
|
155,096 |
|
|
|
— |
|
|
|
(155,096) |
|
|
|
— |
|
| Total financial instruments subject to a master netting agreement or similar arrangement |
|
|
2,120,595 |
|
|
|
(1,251,992) |
|
|
|
868,603 |
|
|
|
— |
|
|
|
(262,320) |
|
|
|
606,283 |
|
| Total financial instruments not subject to a master netting agreement or similar arrangement |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
| Total financial instruments |
|
|
$2,120,595 |
|
|
|
$(1,251,992) |
|
|
|
$868,603 |
|
|
|
$ — |
|
|
|
$(262,320) |
|
|
|
$606,283 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 136 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
$293,902 |
|
|
|
$(293,902) |
|
|
|
$ — |
|
|
|
$ — |
|
|
|
$ — |
|
|
|
$ — |
|
| Credit Suisse International |
|
Forward Foreign
Currency Exchange
Contracts |
|
|
478,923 |
|
|
|
(478,923) |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Goldman Sachs |
|
Total Return Swap
Contracts |
|
|
475,650 |
|
|
|
— |
|
|
|
475,650 |
|
|
|
— |
|
|
|
(300,000) |
|
|
|
175,650 |
|
| The Royal Bank of Scotland |
|
Forward Foreign
Currency Exchange
Contracts |
|
|
479,167 |
|
|
|
(479,167) |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Total financial instruments subject to a master
netting agreement or similar arrangement |
|
|
1,727,642 |
|
|
|
(1,251,992) |
|
|
|
475,650 |
|
|
|
— |
|
|
|
(300,000) |
|
|
|
175,650 |
|
Total financial instruments not subject to a
master netting agreement or similar arrangement |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
| Total financial instruments |
|
|
$1,727,642 |
|
|
|
$(1,251,992) |
|
|
|
$475,650 |
|
|
|
$ — |
|
|
|
$(300,000) |
|
|
|
$175,650 |
|
| |
(a) |
Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $57,680.
|
| |
(b) |
Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $3,623,039.
|
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 |
|
|
$3,146,321 |
|
|
|
$(1,265,006) |
|
|
|
$1,881,315 |
|
|
|
$ — |
|
|
|
$ — |
|
|
|
$1,881,315 |
|
| Credit Suisse International |
|
Forward Foreign Currency Exchange Contracts |
|
|
2,709,877 |
|
|
|
(1,972,125) |
|
|
|
737,752 |
|
|
|
— |
|
|
|
(737,752) |
|
|
|
— |
|
| The Royal Bank of Scotland |
|
Forward Foreign Currency Exchange Contracts |
|
|
2,778,035 |
|
|
|
(2,016,028) |
|
|
|
762,007 |
|
|
|
— |
|
|
|
(700,000) |
|
|
|
62,007 |
|
| Total financial instruments subject to a master netting agreement or similar arrangement |
|
|
8,634,233 |
|
|
|
(5,253,159) |
|
|
|
3,381,074 |
|
|
|
— |
|
|
|
(1,437,752) |
|
|
|
1,943,322 |
|
| Total financial instruments not subject to a master netting agreement or similar arrangement |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
| Total financial instruments |
|
|
$8,634,233 |
|
|
|
$(5,253,159) |
|
|
|
$3,381,074 |
|
|
|
$ — |
|
|
|
$(1,437,752) |
|
|
|
$1,943,322 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
137 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 |
|
|
$1,265,006 |
|
|
|
$(1,265,006) |
|
|
|
$ — |
|
|
|
$ — |
|
|
|
$ — |
|
|
|
$ — |
|
| Credit Suisse International |
|
Forward Foreign
Currency Exchange
Contracts |
|
|
1,972,125 |
|
|
|
(1,972,125) |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Goldman Sachs |
|
Total Return Swap
Contracts |
|
|
1,404,768 |
|
|
|
— |
|
|
|
1,404,768 |
|
|
|
— |
|
|
|
(1,404,768) |
|
|
|
— |
|
| The Royal Bank of Scotland |
|
Forward Foreign
Currency Exchange
Contracts |
|
|
2,016,028 |
|
|
|
(2,016,028) |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
Total financial instruments subject to a master
netting agreement or similar arrangement |
|
|
6,657,927 |
|
|
|
(5,253,159) |
|
|
|
1,404,768 |
|
|
|
— |
|
|
|
(1,404,768) |
|
|
|
— |
|
Total financial instruments not subject to a master
netting agreement or similar arrangement |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
| Total financial instruments |
|
|
$6,657,927 |
|
|
|
$(5,253,159) |
|
|
|
$1,404,768 |
|
|
|
$ — |
|
|
|
$(1,404,768) |
|
|
|
$ — |
|
| |
(a) |
Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $122,248.
|
| |
(b) |
Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $23,214,861.
|
AQR U.S. DEFENSIVE 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 |
|
| Goldman Sachs |
|
Futures Contracts |
|
|
$2,874 |
|
|
|
$ — |
|
|
|
$2,874 |
|
|
|
$ — |
|
|
|
$ — |
|
|
|
$2,874 |
|
| Total financial instruments subject to a master netting agreement or similar arrangement |
|
|
2,874 |
|
|
|
— |
|
|
|
2,874 |
|
|
|
— |
|
|
|
— |
|
|
|
2,874 |
|
| Total financial instruments not subject to a master netting agreement or similar arrangement |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
| Total financial instruments |
|
|
$2,874 |
|
|
|
$ — |
|
|
|
$2,874 |
|
|
|
$ — |
|
|
|
$ — |
|
|
|
$2,874 |
|
| |
(a) |
Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $290,023.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 138 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
AQR MOMENTUM FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 (a) |
|
|
|
NET
AMOUNT |
|
| Barclays Capital |
|
Futures Contracts |
|
|
$8,453 |
|
|
|
$ — |
|
|
|
$8,453 |
|
|
|
$ — |
|
|
|
$(8,453) |
|
|
|
$ — |
|
| Total financial instruments subject to a master netting agreement or similar arrangement |
|
|
8,453 |
|
|
|
— |
|
|
|
8,453 |
|
|
|
— |
|
|
|
(8,453) |
|
|
|
— |
|
| Total financial instruments not subject to a master netting agreement or similar arrangement |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
| Total financial instruments |
|
|
$8,453 |
|
|
|
$ — |
|
|
|
$8,453 |
|
|
|
$ — |
|
|
|
$(8,453) |
|
|
|
$ — |
|
| |
(a) |
Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $171,471.
|
AQR SMALL CAP MOMENTUM FUND
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 (a) |
|
|
|
NET
AMOUNT |
|
| Barclays Capital |
|
Futures Contracts |
|
|
$27,447 |
|
|
|
$ — |
|
|
|
$27,447 |
|
|
|
$ — |
|
|
|
$(27,447) |
|
|
|
$ — |
|
| Total financial instruments subject to a master netting agreement or similar arrangement |
|
|
27,447 |
|
|
|
— |
|
|
|
27,447 |
|
|
|
— |
|
|
|
(27,447) |
|
|
|
— |
|
| Total financial instruments not subject to a master netting agreement or similar arrangement |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
| Total financial instruments |
|
|
$27,447 |
|
|
|
$ — |
|
|
|
$27,447 |
|
|
|
$ — |
|
|
|
$(27,447) |
|
|
|
$ — |
|
| |
(a) |
Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $82,658.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
139 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
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 |
|
|
$14,999 |
|
|
|
$ — |
|
|
|
$14,999 |
|
|
|
$ — |
|
|
|
$ — |
|
|
|
$14,999 |
|
| Total financial instruments subject to a master netting agreement or similar arrangement |
|
|
14,999 |
|
|
|
— |
|
|
|
14,999 |
|
|
|
— |
|
|
|
— |
|
|
|
14,999 |
|
| Total financial instruments not subject to a master netting agreement or similar arrangement |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
| Total financial instruments |
|
|
$14,999 |
|
|
|
$ — |
|
|
|
$14,999 |
|
|
|
$ — |
|
|
|
$ — |
|
|
|
$14,999 |
|
| (a) |
Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $37,163.
|
For the period ended March 31, 2014, the quarterly average values of the derivatives held by the Funds were as follows:
Derivatives Volume Disclosure*
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR
GLOBAL
EQUITY
FUND |
|
|
AQR
INTERNATIONAL
EQUITY FUND |
|
|
AQR U.S.
DEFENSIVE
EQUITY FUND |
|
|
AQR
MOMENTUM
FUND |
|
|
AQR
SMALL CAP
MOMENTUM
FUND |
|
|
AQR
INTERNATIONAL
MOMENTUM
FUND |
|
| Futures Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Average Notional Balance Long |
|
|
$50,037,451 |
|
|
|
$182,975,320 |
|
|
|
$8,370,192 |
|
|
|
$8,916,637 |
|
|
|
$1,429,443 |
|
|
|
$2,864,437 |
|
| Average Notional Balance Short |
|
|
20,531,352 |
|
|
|
79,527,975 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Ending Notional Balance Long |
|
|
58,667,995 |
|
|
|
197,367,141 |
|
|
|
5,407,340 |
|
|
|
3,169,820 |
|
|
|
1,287,550 |
|
|
|
4,074,250 |
|
| Ending Notional Balance Short |
|
|
20,419,869 |
|
|
|
68,520,571 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
| Forward Foreign Currency Exchange Contracts |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Average Settlement Value Purchased |
|
|
113,635,495 |
|
|
|
363,287,461 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Average Settlement Value Sold |
|
|
97,299,966 |
|
|
|
291,218,251 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Ending Settlement Value Purchased |
|
|
125,466,032 |
|
|
|
461,115,684 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Ending Settlement Value Sold |
|
|
103,086,924 |
|
|
|
385,825,009 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
| Total Return Swaps |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Average Notional Balance — Short |
|
|
9,193,817 |
|
|
|
33,359,788 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Ending Notional Balance — Short |
|
|
17,714,227 |
|
|
|
52,316,628 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| |
* |
Values as of each quarter end are used to calculate the average represented. |
The Funds’ derivative contracts held at March 31, 2014, are not accounted for as hedging instruments under GAAP.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 140 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
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 the Funds’ Board of Trustees to serve as officers of the Funds. Pursuant to the Advisory Agreement, the Funds pay the Advisor an Advisory 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 |
|
|
0.55 |
* |
| AQR International Defensive Equity Fund |
|
|
0.35 |
** |
| AQR U.S. Defensive Equity Fund |
|
|
0.25 |
*** |
| 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 |
|
Prior to January 29, 2014, the following Funds paid the Advisor an Advisory fee calculated on the average daily net assets for
each Fund in the annual ratios below:
| |
* |
The AQR Emerging Defensive Equity Fund Advisory Fee was based on the following three tier structure. The first tier charged 0.60% on the first $1 billion of net assets; the
second tier charged 0.575% on net assets in excess of $1 billion, up to $3 billion; and the third tier charged 0.55% on net assets in excess of $3 billion. |
| |
** |
The AQR International Defensive Equity Fund Advisory Fee was based on the following three tier structure. The first tier charged 0.40% on the first $1 billion of net assets; the
second tier charged 0.375% on net assets in excess of $1 billion, up to $3 billion; and the third tier charged 0.35% on net assets in excess of $3 billion. |
| |
*** |
The AQR U.S. Defensive Equity Fund Advisory Fee was based on the following three tier structure. The first tier charged 0.30% on the first $1 billion of net assets; the second
tier charged 0.275% on net assets in excess of $1 billion, up to $3 billion; and the third tier charged 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 January 28, 2015, 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, 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 |
|
|
CLASS R6** |
|
| AQR Global Equity Fund |
|
|
0.90 |
% |
|
|
n/a |
|
|
|
1.20 |
% |
|
|
0.70 |
% |
| AQR International Equity Fund |
|
|
0.95 |
|
|
|
n/a |
|
|
|
1.25 |
|
|
|
0.75 |
|
| AQR Emerging Defensive Equity Fund |
|
|
0.90 |
|
|
|
n/a |
|
|
|
1.15 |
|
|
|
n/a |
|
| AQR International Defensive Equity Fund |
|
|
0.65 |
|
|
|
n/a |
|
|
|
0.90 |
|
|
|
n/a |
|
| AQR U.S. Defensive Equity Fund |
|
|
0.49 |
|
|
|
n/a |
|
|
|
0.74 |
|
|
|
n/a |
|
| AQR Momentum Fund |
|
|
n/a |
|
|
|
0.49 |
% |
|
|
0.74 |
|
|
|
n/a |
|
| AQR Small Cap Momentum Fund |
|
|
n/a |
|
|
|
0.65 |
|
|
|
0.90 |
|
|
|
n/a |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
141 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| FUND |
|
CLASS I |
|
|
CLASS L |
|
|
CLASS N |
|
|
CLASS R6** |
|
| AQR International Momentum Fund |
|
|
n/a |
|
|
|
0.65 |
% |
|
|
0.90 |
% |
|
|
n/a |
|
| AQR Tax-Managed Momentum Fund |
|
|
n/a |
|
|
|
0.54 |
|
|
|
0.79 |
|
|
|
n/a |
|
| AQR Tax-Managed Small Cap Momentum Fund |
|
|
n/a |
|
|
|
0.70 |
|
|
|
0.95 |
|
|
|
n/a |
|
| AQR Tax-Managed International Momentum Fund |
|
|
n/a |
|
|
|
0.70 |
|
|
|
0.95 |
|
|
|
n/a |
|
| AQR Core Equity Fund* |
|
|
n/a |
|
|
|
0.54 |
|
|
|
0.79 |
|
|
|
n/a |
|
| AQR Small Cap Core Equity Fund* |
|
|
n/a |
|
|
|
0.75 |
|
|
|
1.00 |
|
|
|
n/a |
|
| AQR International Core Equity Fund* |
|
|
n/a |
|
|
|
0.70 |
|
|
|
0.95 |
|
|
|
n/a |
|
| |
* |
This arrangement will continue at least through April 30, 2015 for Class L and N. |
| |
** |
Commencement of offering of shares was January 8, 2014. |
Prior
to January 28, 2014, the Fee Waiver and Expense Reimbursement Agreement for the AQR Global Equity and AQR International Equity Funds was as follows:
|
|
|
|
|
|
|
|
|
| FUND |
|
CLASS I |
|
|
CLASS N |
|
| AQR Global Equity Fund |
|
|
0.95 |
% |
|
|
1.25 |
% |
| AQR International Equity Fund |
|
|
n/a |
|
|
|
1.30 |
|
For the period ended March 31, 2014, the Funds’ Advisor waived fees and/or reimbursed expenses for each of the Funds as
follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR GLOBAL
EQUITY FUND |
|
|
AQR EMERGING
DEFENSIVE
EQUITY FUND |
|
|
AQR
INTERNATIONAL
DEFENSIVE
EQUITY FUND |
|
|
AQR U.S.
DEFENSIVE
EQUITY FUND |
|
| Waivers and reimbursements: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment advisory fees and shareholder servicing fees waived |
|
$ |
7,826 |
|
|
$ |
78,089 |
|
|
$ |
67,861 |
|
|
$ |
212,195 |
|
| Expense reimbursements |
|
|
4,943 |
|
|
|
2,036 |
|
|
|
16,288 |
|
|
|
— |
|
|
|
|
|
|
| Total |
|
$ |
12,769 |
|
|
$ |
80,125 |
|
|
$ |
84,149 |
|
|
$ |
212,195 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR
MOMENTUM
FUND |
|
|
AQR
SMALL CAP
MOMENTUM
FUND |
|
|
AQR
INTERNATIONAL
MOMENTUM
FUND |
|
|
AQR TAX-
MANAGED
MOMENTUM
FUND |
|
| Waivers and reimbursements: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment advisory fees and shareholder servicing fees waived |
|
$ |
275,674 |
|
|
$ |
23,717 |
|
|
$ |
108,597 |
|
|
$ |
38,714 |
|
| Expense reimbursements |
|
|
— |
|
|
|
800 |
|
|
|
— |
|
|
|
780 |
|
|
|
|
|
|
| Total |
|
$ |
275,674 |
|
|
$ |
24,517 |
|
|
$ |
108,597 |
|
|
$ |
39,494 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
AQR
TAX-MANAGED
SMALL CAP
MOMENTUM
FUND |
|
|
AQR
TAX-MANAGED
INTERNATIONAL
MOMENTUM
FUND |
|
|
AQR
CORE FUND |
|
|
AQR
SMALL CAP
CORE EQUITY
FUND |
|
| Waivers and reimbursements: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Investment advisory fees and shareholder servicing fees waived |
|
$ |
26,607 |
|
|
$ |
46,166 |
|
|
$ |
73,278 |
|
|
$ |
15,519 |
|
| Expense reimbursements |
|
|
19,852 |
|
|
|
808 |
|
|
|
4,525 |
|
|
|
54,041 |
|
|
|
|
|
|
| Total |
|
$ |
46,459 |
|
|
$ |
46,974 |
|
|
$ |
77,803 |
|
|
$ |
69,560 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 142 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
|
|
|
|
|
| |
|
AQR
INTERNATIONAL
CORE EQUITY
FUND |
|
| Waivers and reimbursements: |
|
|
|
|
| Investment advisory fees and shareholder servicing fees waived |
|
$ |
57,155 |
|
| Expense reimbursements |
|
|
30,442 |
|
|
|
| Total |
|
$ |
87,597 |
|
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
March 31, 2014, 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 March 31, 2014 are as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
FEES WAIVED/
REMIBURSED
FOR
THE
PERIOD ENDED
MARCH 31,
2014 |
|
|
TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
MARCH 31,
2014
|
|
|
POTENTIAL RECOUPMENT AMOUNTS EXPIRING
|
|
| |
|
|
|
DECEMBER 31,
2014 |
|
|
DECEMBER 31,
2015 |
|
|
SEPTEMBER 30,
2016 |
|
|
SEPTEMBER 30,
2017 |
|
|
|
|
|
|
|
|
| AQR GLOBAL EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
$ |
4,576 |
|
|
$ |
54,288 |
|
|
$ |
30,212 |
|
|
$ |
9,775 |
|
|
$ |
9,725 |
|
|
$ |
4,576 |
|
| Class N |
|
|
4,367 |
|
|
|
55,109 |
|
|
|
31,920 |
|
|
|
9,936 |
|
|
|
8,886 |
|
|
|
4,367 |
|
| Class R6 |
|
|
3,826 |
|
|
|
3,826 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
3,826 |
|
| Class Y |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
| Totals |
|
$ |
12,769 |
|
|
$ |
113,223 |
|
|
$ |
62,132 |
|
|
$ |
19,711 |
|
|
$ |
18,611 |
|
|
$ |
12,769 |
|
|
|
|
|
|
|
|
| AQR INTERNATIONAL EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
| Class N |
|
|
— |
|
|
|
11,477 |
|
|
|
11,477 |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Class R6 |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
| Class Y |
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
— |
|
|
|
|
|
|
|
|
| Totals |
|
$ |
— |
|
|
$ |
11,477 |
|
|
$ |
11,477 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
|
|
|
|
|
|
| AQR EMERGING DEFENSIVE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
$ |
68,876 |
|
|
$ |
267,688 |
|
|
$ |
— |
|
|
$ |
91,760 |
|
|
$ |
107,052 |
|
|
$ |
68,876 |
|
| Class N |
|
|
11,249 |
|
|
|
74,339 |
|
|
|
— |
|
|
|
32,715 |
|
|
|
30,375 |
|
|
|
11,249 |
|
|
|
|
|
|
|
|
| Totals |
|
$ |
80,125 |
|
|
$ |
342,027 |
|
|
$ |
— |
|
|
$ |
124,475 |
|
|
$ |
137,427 |
|
|
$ |
80,125 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
143 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
FEES WAIVED/
REMIBURSED
FOR
THE
PERIOD ENDED
MARCH 31,
2014 |
|
|
TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
MARCH 31,
2014
|
|
|
POTENTIAL RECOUPMENT AMOUNTS EXPIRING
|
|
| |
|
|
|
DECEMBER 31,
2014 |
|
|
DECEMBER 31,
2015 |
|
|
SEPTEMBER 30,
2016 |
|
|
SEPTEMBER 30,
2017 |
|
|
|
|
|
|
|
|
| AQR INTERNATIONAL DEFENSIVE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
$ |
74,273 |
|
|
$ |
274,111 |
|
|
$ |
— |
|
|
$ |
79,941 |
|
|
$ |
119,897 |
|
|
$ |
74,273 |
|
| Class N |
|
|
9,876 |
|
|
|
77,363 |
|
|
|
— |
|
|
|
43,475 |
|
|
|
24,012 |
|
|
|
9,876 |
|
|
|
|
|
|
|
|
| Totals |
|
$ |
84,149 |
|
|
$ |
351,474 |
|
|
$ |
— |
|
|
$ |
123,416 |
|
|
$ |
143,909 |
|
|
$ |
84,149 |
|
|
|
|
|
|
|
|
| AQR U.S. DEFENSIVE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
$ |
184,085 |
|
|
$ |
390,596 |
|
|
$ |
— |
|
|
$ |
65,338 |
|
|
$ |
141,173 |
|
|
$ |
184,085 |
|
| Class N |
|
|
28,110 |
|
|
|
97,863 |
|
|
|
— |
|
|
|
38,829 |
|
|
|
30,923 |
|
|
|
28,110 |
|
|
|
|
|
|
|
|
| Totals |
|
$ |
212,195 |
|
|
$ |
488,458 |
|
|
$ |
— |
|
|
$ |
104,167 |
|
|
$ |
172,096 |
|
|
$ |
212,195 |
|
|
|
|
|
|
|
|
| AQR MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
$ |
242,118 |
|
|
$ |
1,263,976 |
|
|
$ |
418,356 |
|
|
$ |
334,720 |
|
|
$ |
268,782 |
|
|
$ |
242,118 |
|
| Class N |
|
|
33,556 |
|
|
|
84,435 |
|
|
|
— |
|
|
|
1,156 |
|
|
|
49,723 |
|
|
|
33,556 |
|
|
|
|
|
|
|
|
| Totals |
|
$ |
275,674 |
|
|
$ |
1,348,411 |
|
|
$ |
418,356 |
|
|
$ |
335,876 |
|
|
$ |
318,505 |
|
|
$ |
275,674 |
|
|
|
|
|
|
|
|
| AQR SMALL CAP MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
$ |
20,519 |
|
|
$ |
314,469 |
|
|
$ |
171,630 |
|
|
$ |
74,142 |
|
|
$ |
48,178 |
|
|
$ |
20,519 |
|
| Class N |
|
|
3,998 |
|
|
|
16,491 |
|
|
|
— |
|
|
|
520 |
|
|
|
11,973 |
|
|
|
3,998 |
|
|
|
|
|
|
|
|
| Totals |
|
$ |
24,517 |
|
|
$ |
330,960 |
|
|
$ |
171,630 |
|
|
$ |
74,662 |
|
|
$ |
60,151 |
|
|
$ |
24,517 |
|
|
|
|
|
|
|
|
| AQR INTERNATIONAL MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
$ |
83,934 |
|
|
$ |
576,029 |
|
|
$ |
230,607 |
|
|
$ |
140,213 |
|
|
$ |
121,275 |
|
|
$ |
83,934 |
|
| Class N |
|
|
24,663 |
|
|
|
46,066 |
|
|
|
— |
|
|
|
520 |
|
|
|
20,883 |
|
|
|
24,663 |
|
|
|
|
|
|
|
|
| Totals |
|
$ |
108,597 |
|
|
$ |
622,095 |
|
|
$ |
230,607 |
|
|
$ |
140,733 |
|
|
$ |
142,158 |
|
|
$ |
108,597 |
|
|
|
|
|
|
|
|
| AQR TAX-MANAGED MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
$ |
38,518 |
|
|
$ |
237,140 |
|
|
$ |
— |
|
|
$ |
123,116 |
|
|
$ |
75,506 |
|
|
$ |
38,518 |
|
| Class N |
|
|
976 |
|
|
|
3,418 |
|
|
|
— |
|
|
|
61 |
|
|
|
2,381 |
|
|
|
976 |
|
|
|
|
|
|
|
|
| Totals |
|
$ |
39,494 |
|
|
$ |
240,558 |
|
|
$ |
— |
|
|
$ |
123,177 |
|
|
$ |
77,887 |
|
|
$ |
39,494 |
|
|
|
|
|
|
|
|
| AQR TAX-MANAGED SMALL CAP MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
$ |
45,029 |
|
|
$ |
253,843 |
|
|
$ |
— |
|
|
$ |
127,875 |
|
|
$ |
80,939 |
|
|
$ |
45,029 |
|
| Class N |
|
|
1,430 |
|
|
|
4,578 |
|
|
|
— |
|
|
|
52 |
|
|
|
3,096 |
|
|
|
1,430 |
|
|
|
|
|
|
|
|
| Totals |
|
$ |
46,459 |
|
|
$ |
258,421 |
|
|
$ |
— |
|
|
$ |
127,927 |
|
|
$ |
84,035 |
|
|
$ |
46,459 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 144 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
FEES WAIVED/
REMIBURSED
FOR
THE
PERIOD ENDED
MARCH 31,
2014 |
|
|
TOTAL
POTENTIAL
RECOUPMENT
AMOUNT
MARCH 31,
2014
|
|
|
POTENTIAL RECOUPMENT AMOUNTS EXPIRING
|
|
| |
|
|
|
DECEMBER 31,
2014 |
|
|
DECEMBER 31,
2015 |
|
|
SEPTEMBER 30,
2016 |
|
|
SEPTEMBER 30,
2017 |
|
|
|
|
|
|
|
|
| AQR TAX-MANAGED INTERNATIONAL MOMENTUM FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
$ |
45,960 |
|
|
$ |
308,537 |
|
|
$ |
— |
|
|
$ |
160,934 |
|
|
$ |
101,643 |
|
|
$ |
45,960 |
|
| Class N |
|
|
1,014 |
|
|
|
3,955 |
|
|
|
— |
|
|
|
63 |
|
|
|
2,878 |
|
|
|
1,014 |
|
|
|
|
|
|
|
|
| Totals |
|
$ |
46,974 |
|
|
$ |
312,492 |
|
|
$ |
— |
|
|
$ |
160,997 |
|
|
$ |
104,521 |
|
|
$ |
46,974 |
|
|
|
|
|
|
|
|
| AQR CORE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
$ |
63,920 |
|
|
$ |
145,146 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
81,226 |
|
|
$ |
63,920 |
|
| Class N |
|
|
13,883 |
|
|
|
35,293 |
|
|
|
— |
|
|
|
— |
|
|
|
21,410 |
|
|
|
13,883 |
|
|
|
|
|
|
|
|
| Totals |
|
$ |
77,803 |
|
|
$ |
180,439 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
102,636 |
|
|
$ |
77,803 |
|
|
|
|
|
|
|
|
| AQR SMALL CAP CORE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
$ |
40,222 |
|
|
$ |
99,004 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
58,782 |
|
|
$ |
40,222 |
|
| Class N |
|
|
29,338 |
|
|
|
74,556 |
|
|
|
— |
|
|
|
— |
|
|
|
45,218 |
|
|
|
29,338 |
|
|
|
|
|
|
|
|
| Totals |
|
$ |
69,560 |
|
|
$ |
173,560 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
104,000 |
|
|
$ |
69,560 |
|
|
|
|
|
|
|
|
| AQR INTERNATIONAL CORE EQUITY FUND |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
$ |
71,572 |
|
|
$ |
157,053 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
85,481 |
|
|
$ |
71,572 |
|
| Class N |
|
|
16,025 |
|
|
|
51,122 |
|
|
|
— |
|
|
|
— |
|
|
|
35,097 |
|
|
|
16,025 |
|
|
|
|
|
|
|
|
| Totals |
|
$ |
87,597 |
|
|
$ |
208,175 |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
120,578 |
|
|
$ |
87,597 |
|
During the period ended March 31, 2014, the Funds recouped amounts as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| FUND |
|
CLASS I |
|
|
CLASS N |
|
|
CLASS Y |
|
| AQR International Equity Fund |
|
|
$2,236 |
|
|
|
$3,472 |
|
|
|
$15,655 |
|
J.P. Morgan Chase Bank, N.A., serves as the Funds’ Administrator, Accounting Agent and Custodian.
ALPS Fund Services, Inc. serves as the Funds’ Transfer Agent, and ALPS Distributors, Inc. serves as the Funds’ Distributor.
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 Servicing
Arragements
Pursuant to a Shareholder Services Agreement, between the Trust 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
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
145 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
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 |
|
|
CLASS R6*** |
|
| AQR Global Equity Fund* |
|
|
0.30 |
% |
|
|
n/a |
|
|
|
0.30 |
% |
|
|
0.20 |
% |
| AQR International Equity Fund* |
|
|
0.30 |
|
|
|
n/a |
|
|
|
0.30 |
|
|
|
0.20 |
|
| AQR Emerging Defensive Equity Fund** |
|
|
0.15 |
|
|
|
n/a |
|
|
|
0.15 |
|
|
|
n/a |
|
| AQR International Defensive Equity Fund** |
|
|
0.15 |
|
|
|
n/a |
|
|
|
0.15 |
|
|
|
n/a |
|
| AQR U.S. Defensive Equity Fund** |
|
|
0.15 |
|
|
|
n/a |
|
|
|
0.15 |
|
|
|
n/a |
|
| AQR Momentum Fund |
|
|
n/a |
|
|
|
0.15 |
% |
|
|
0.15 |
|
|
|
n/a |
|
| AQR Small Cap Momentum Fund |
|
|
n/a |
|
|
|
0.15 |
|
|
|
0.15 |
|
|
|
n/a |
|
| AQR International Momentum Fund |
|
|
n/a |
|
|
|
0.15 |
|
|
|
0.15 |
|
|
|
n/a |
|
| AQR Tax-Managed Momentum Fund |
|
|
n/a |
|
|
|
0.15 |
|
|
|
0.15 |
|
|
|
n/a |
|
| AQR Tax-Managed Small Cap Momentum Fund |
|
|
n/a |
|
|
|
0.15 |
|
|
|
0.15 |
|
|
|
n/a |
|
| AQR Tax-Managed International Momentum Fund |
|
|
n/a |
|
|
|
0.15 |
|
|
|
0.15 |
|
|
|
n/a |
|
| AQR Core Equity Fund |
|
|
n/a |
|
|
|
0.15 |
|
|
|
0.15 |
|
|
|
n/a |
|
| AQR Small Cap Core Equity Fund |
|
|
n/a |
|
|
|
0.15 |
|
|
|
0.15 |
|
|
|
n/a |
|
| AQR International Core Equity Fund |
|
|
n/a |
|
|
|
0.15 |
|
|
|
0.15 |
|
|
|
n/a |
|
| |
* |
Prior to January 29, 2014, the rate was 0.35% for Class N. |
| |
** |
Prior to January 29, 2014, the rate was 0.25% for Class I and Class N, respectively. |
| |
*** |
Commencement of offering of shares was January 8, 2014. |
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 March 31, 2014 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| FUND |
|
CLASS I |
|
|
CLASS L |
|
|
CLASS N |
|
|
CLASS R6 |
|
| AQR Global Equity Fund |
|
$ |
2,380 |
|
|
|
n/a |
|
|
$ |
1,620 |
|
|
$ |
20,095 |
|
| AQR International Equity Fund |
|
|
361,819 |
|
|
|
n/a |
|
|
|
57,707 |
|
|
|
30,750 |
|
| AQR Emerging Defensive Equity Fund |
|
|
40,681 |
|
|
|
n/a |
|
|
|
3,560 |
|
|
|
n/a |
|
| AQR International Defensive Equity Fund |
|
|
22,734 |
|
|
|
n/a |
|
|
|
1,557 |
|
|
|
n/a |
|
| AQR U.S. Defensive Equity Fund |
|
|
195,227 |
|
|
|
n/a |
|
|
|
25,041 |
|
|
|
n/a |
|
| AQR Momentum Fund |
|
|
n/a |
|
|
$ |
621,034 |
|
|
|
56,237 |
|
|
|
n/a |
|
| AQR Small Cap Momentum Fund |
|
|
n/a |
|
|
|
206,215 |
|
|
|
2,907 |
|
|
|
n/a |
|
| AQR International Momentum Fund |
|
|
n/a |
|
|
|
187,816 |
|
|
|
31,004 |
|
|
|
n/a |
|
| AQR Tax-Managed Momentum Fund |
|
|
n/a |
|
|
|
34,927 |
|
|
|
94 |
|
|
|
n/a |
|
| AQR Tax-Managed Small Cap Momentum Fund |
|
|
n/a |
|
|
|
7,160 |
|
|
|
97 |
|
|
|
n/a |
|
| AQR Tax-Managed International Momentum Fund |
|
|
n/a |
|
|
|
32,400 |
|
|
|
85 |
|
|
|
n/a |
|
| AQR Core Equity Fund |
|
|
n/a |
|
|
|
28,042 |
|
|
|
3,119 |
|
|
|
n/a |
|
| AQR Small Cap Core Equity Fund |
|
|
n/a |
|
|
|
2,338 |
|
|
|
1,541 |
|
|
|
n/a |
|
| AQR International Core Equity Fund |
|
|
n/a |
|
|
|
13,761 |
|
|
|
1,827 |
|
|
|
n/a |
|
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. Except as noted below, 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.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 146 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
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 in the Funds’ best interest to do so.
The counterparties to the Funds’ currency forward, futures and swap contracts 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 their 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).
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
147 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
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.
If a Fund invests in illiquid investments, it may experience difficulty in selling the investments in a timely manner at the price that it believes the investments are worth. In addition, market conditions may
cause the Fund to experience temporary mark-to-market losses, especially in less liquid positions, even in the absence of any selling of investments by the Fund.
Each Fund is subject to market risk, which is the risk that the markets on which the Fund’s investments trade will increase or decrease in value. Market risk applies to every Fund investment. Prices may
fluctuate widely over short or extended periods in response to company, market or economic news. Markets also tend to move in cycles, with periods of rising and falling prices. If there is a general decline in the securities and other markets, your
investment in a Fund may lose value, regardless of the individual results of the securities and other instruments in which the Fund invests.
A Fund may
have investments that appreciate or decrease significantly in value over short periods of time. This volatility may cause the Fund’s net asset value per share to experience significant increases or declines in value over short periods of time.
As of March 31, 2014, 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.
12. Line of Credit
Effective February 28, 2014 and terminating on February 27, 2015, the Trust had renewed a committed $200,000,000 syndicated line of credit with Bank of America, N.A., as the Administrative Agent.
Borrowing, 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 or (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 Funds’ 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. Funds with less than $25,000,000 in assets are ineligible to draw upon the line of credit. Prior to February 28, 2014, the line of credit available was $175,000,000, subject to the same terms. The Funds did not have any
outstanding borrowings under this agreement at March 31, 2014.
Average borrowings under this agreement during the period ended March 31,
2014, were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
| FUND |
|
AVERAGE
BORROWINGS |
|
|
NUMBER OF DAYS
OUTSTANDING |
|
|
INTEREST
PAID |
|
| AQR Global Equity Fund |
|
$ |
35,000,000 |
|
|
|
1 |
|
|
$ |
2,245 |
|
Interest expense paid, if any, as a result of borrowing under this agreement is included in Interest expense in the Statements of
Operations.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 148 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Notes to Financial Statements (Unaudited) |
|
|
March 31, 2014 |
|
13. Principal Ownership
As of March 31, 2014, 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 |
|
|
|
96.26 |
% |
| AQR International Equity Fund |
|
|
4 |
|
|
|
62.01 |
|
| AQR Small Cap Core Equity Fund* |
|
|
1 |
|
|
|
6.72 |
|
Significant shareholder transactions by these shareholders, if any, may impact the Fund’s performance.
| |
* |
The percentage shown is owned by the Advisor and its affiliates. |
14. Subsequent Events
Effective April 1, 2014, the
Emerging Defensive Equity Fund’s Investment Advisory Fee was reduced from 0.55% to 0.50%. Additionally, the Class I and Class N Fee Waiver and Expense Reimbursement Agreement was reduced by 0.05% to 0.80% and 1.15%, respectively.
The Trust is in the process of registering Class R6 for the Funds listed below. The new class is expected to be effective sometime during the 2nd Quarter of 2014.
|
|
|
| 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 |
|
|
| AQR International Core Equity Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
149 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
| 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 3/31/14” 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
3/31/14 |
|
|
ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD |
|
|
EXPENSES
PAID FOR THE
PERIOD
ENDING
3/31/14 |
|
|
|
|
|
|
| AQR Global Equity Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,108.00 |
|
|
|
0.93 |
% |
|
$ |
4.89 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,020.29 |
|
|
|
0.93 |
% |
|
$ |
4.68 |
|
|
|
|
|
|
| Class N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,105.80 |
|
|
|
1.23 |
% |
|
$ |
6.46 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,018.80 |
|
|
|
1.23 |
% |
|
$ |
6.19 |
|
|
|
|
|
|
| Class R6 (1) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,020.70 |
|
|
|
0.70 |
% |
|
$ |
1.59 |
(a) |
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,021.44 |
|
|
|
0.70 |
% |
|
$ |
3.53 |
|
|
|
|
|
|
| Class Y |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,108.60 |
|
|
|
0.55 |
% |
|
$ |
2.89 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,022.19 |
|
|
|
0.55 |
% |
|
$ |
2.77 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| 150 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
|
|
| Fund Expense Examples (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
BEGINNING
ACCOUNT
DATE
VALUE |
|
|
ENDING
ACCOUNT
VALUE
3/31/14 |
|
|
ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD |
|
|
EXPENSES
PAID FOR THE
PERIOD
ENDING
3/31/14 |
|
|
|
|
|
|
| AQR International Equity Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,068.60 |
|
|
|
0.89 |
% |
|
$ |
4.59 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,020.49 |
|
|
|
0.89 |
% |
|
$ |
4.48 |
|
|
|
|
|
|
| Class N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,066.60 |
|
|
|
1.25 |
% |
|
$ |
6.44 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,018.70 |
|
|
|
1.25 |
% |
|
$ |
6.29 |
|
|
|
|
|
|
| Class R6 (1) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,008.30 |
|
|
|
0.73 |
% |
|
$ |
1.65 |
(a) |
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,021.29 |
|
|
|
0.73 |
% |
|
$ |
3.68 |
|
|
|
|
|
|
| Class Y |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,070.70 |
|
|
|
0.54 |
% |
|
$ |
2.79 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,022.24 |
|
|
|
0.54 |
% |
|
$ |
2.72 |
|
|
|
|
|
|
| AQR Emerging Defensive Equity Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
997.30 |
|
|
|
0.90 |
% |
|
$ |
4.48 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,020.44 |
|
|
|
0.90 |
% |
|
$ |
4.53 |
|
|
|
|
|
|
| Class N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
996.50 |
|
|
|
1.15 |
% |
|
$ |
5.72 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,019.20 |
|
|
|
1.15 |
% |
|
$ |
5.79 |
|
|
|
|
|
|
| AQR International Defensive Equity Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,050.40 |
|
|
|
0.65 |
% |
|
$ |
3.32 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,021.69 |
|
|
|
0.65 |
% |
|
$ |
3.28 |
|
|
|
|
|
|
| Class N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,048.60 |
|
|
|
0.90 |
% |
|
$ |
4.60 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,020.44 |
|
|
|
0.90 |
% |
|
$ |
4.53 |
|
|
|
|
|
|
| AQR U.S. Defensive Equity Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class I |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,110.60 |
|
|
|
0.49 |
% |
|
$ |
2.58 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,022.49 |
|
|
|
0.49 |
% |
|
$ |
2.47 |
|
|
|
|
|
|
| Class N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,110.30 |
|
|
|
0.74 |
% |
|
$ |
3.89 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,021.24 |
|
|
|
0.74 |
% |
|
$ |
3.73 |
|
|
|
|
|
|
| AQR Momentum Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,122.20 |
|
|
|
0.49 |
% |
|
$ |
2.59 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,022.49 |
|
|
|
0.49 |
% |
|
$ |
2.47 |
|
|
|
|
|
|
| Class N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,121.00 |
|
|
|
0.74 |
% |
|
$ |
3.91 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,021.24 |
|
|
|
0.74 |
% |
|
$ |
3.73 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
151 |
| |
|
|
|
|
|
|
|
|
|
|
| Fund Expense Examples (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
BEGINNING
ACCOUNT
DATE
VALUE |
|
|
ENDING
ACCOUNT
VALUE
3/31/14 |
|
|
ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD |
|
|
EXPENSES
PAID FOR THE
PERIOD
ENDING
3/31/14 |
|
|
|
|
|
|
| AQR Small Cap Momentum Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,103.50 |
|
|
|
0.65 |
% |
|
$ |
3.41 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,021.69 |
|
|
|
0.65 |
% |
|
$ |
3.28 |
|
|
|
|
|
|
| Class N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,102.20 |
|
|
|
0.90 |
% |
|
$ |
4.72 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,020.44 |
|
|
|
0.90 |
% |
|
$ |
4.53 |
|
|
|
|
|
|
| AQR International Momentum Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,022.20 |
|
|
|
0.65 |
% |
|
$ |
3.28 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,021.69 |
|
|
|
0.65 |
% |
|
$ |
3.28 |
|
|
|
|
|
|
| Class N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,020.90 |
|
|
|
0.90 |
% |
|
$ |
4.53 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,020.44 |
|
|
|
0.90 |
% |
|
$ |
4.53 |
|
|
|
|
|
|
| AQR Tax-Managed Momentum Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,122.10 |
|
|
|
0.54 |
% |
|
$ |
2.86 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,022.24 |
|
|
|
0.54 |
% |
|
$ |
2.72 |
|
|
|
|
|
|
| Class N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,120.20 |
|
|
|
0.79 |
% |
|
$ |
4.18 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,020.99 |
|
|
|
0.79 |
% |
|
$ |
3.98 |
|
|
|
|
|
|
| AQR Tax-Managed Small Cap Momentum Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,089.30 |
|
|
|
0.70 |
% |
|
$ |
3.65 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,021.44 |
|
|
|
0.70 |
% |
|
$ |
3.53 |
|
|
|
|
|
|
| Class N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,087.90 |
|
|
|
0.95 |
% |
|
$ |
4.95 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,020.19 |
|
|
|
0.95 |
% |
|
$ |
4.78 |
|
|
|
|
|
|
| AQR Tax-Managed International Momentum Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,039.00 |
|
|
|
0.70 |
% |
|
$ |
3.56 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,021.44 |
|
|
|
0.70 |
% |
|
$ |
3.53 |
|
|
|
|
|
|
| Class N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,037.70 |
|
|
|
0.95 |
% |
|
$ |
4.83 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,020.19 |
|
|
|
0.95 |
% |
|
$ |
4.78 |
|
|
|
|
|
|
| AQR Core Equity Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,153.00 |
|
|
|
0.54 |
% |
|
$ |
2.90 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,022.24 |
|
|
|
0.54 |
% |
|
$ |
2.72 |
|
|
|
|
|
|
| Class N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,150.60 |
|
|
|
0.79 |
% |
|
$ |
4.24 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,020.99 |
|
|
|
0.79 |
% |
|
$ |
3.98 |
|
|
|
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
| 152 |
|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
|
| |
|
|
|
|
|
|
|
|
|
|
| Fund Expense Examples (Unaudited) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
BEGINNING
ACCOUNT
DATE
VALUE |
|
|
ENDING
ACCOUNT
VALUE
3/31/14 |
|
|
ANNUALIZED
EXPENSE
RATIO FOR
THE PERIOD |
|
|
EXPENSES
PAID FOR THE
PERIOD
ENDING
3/31/14 |
|
|
|
|
|
|
| AQR Small Cap Core Equity Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,107.50 |
|
|
|
0.75 |
% |
|
$ |
3.94 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,021.19 |
|
|
|
0.75 |
% |
|
$ |
3.78 |
|
|
|
|
|
|
| Class N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,105.70 |
|
|
|
1.00 |
% |
|
$ |
5.25 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,019.95 |
|
|
|
1.00 |
% |
|
$ |
5.04 |
|
|
|
|
|
|
| AQR International Core Equity Fund |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Class L |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,037.80 |
|
|
|
0.70 |
% |
|
$ |
3.56 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,021.44 |
|
|
|
0.70 |
% |
|
$ |
3.53 |
|
|
|
|
|
|
| Class N |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| Actual Return |
|
$ |
1,000.00 |
|
|
$ |
1,036.20 |
|
|
|
0.95 |
% |
|
$ |
4.82 |
|
| Hypothetical Return |
|
$ |
1,000.00 |
|
|
$ |
1,020.19 |
|
|
|
0.95 |
% |
|
$ |
4.78 |
|
| |
Expenses are calculated using each Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 182/365 (to reflect the one-half
year period unless stated otherwise). |
| (1) |
Commencement of offering of shares was January 8, 2014. |
| (a) |
Expenses are calculated using the Class’ annualized expense ratio, multiplied by the average account value for the period, multiplied by 82/365 (to reflect the period since
commencement of shares). |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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|
AQR Funds |
|
|
|
|
|
Semi-Annual Report |
|
|
|
|
|
March 2014 |
|
153 |
| |
|
|
|
|
|
|
|
|
|
|
|
|
| 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, AQR Tax-Managed International Momentum Fund, AQR U.S. Defensive Equity Fund, AQR Emerging Defensive Equity Fund and AQR International Defensive Equity 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 December 3-4, 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, AQR Tax-Managed International Momentum Fund, AQR U.S. Defensive Equity Fund, AQR Emerging Defensive Equity Fund and AQR
International Defensive Equity Fund (each, a “Fund”), and AQR Capital Management, LLC (“AQR” or the “Adviser”) (the “Investment Advisory Agreement”). In connection with this consideration, the Board Members
also considered an amendment to the Investment Advisory Agreement to change the advisory fee structure for the AQR U.S. Defensive Equity Fund, AQR Emerging Defensive Equity Fund and AQR International Defensive Equity Fund, effective January 29,
2014 (the “Amendment”). In addition, the Board Members who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Independent Board Members”), held a
separate call in advance of the in person meeting held on December 3-4, 2013 with independent legal counsel to review the materials provided and the relevant legal considerations (together with the in person meeting held on December 3-4, 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 and to approve the Amendment. These materials included: (i) memoranda and materials provided by AQR, describing the personnel and services provided to the
Funds; (ii) performance information for the Funds relevant to the consideration of the Investment Advisory Agreement; (iii) information independently compiled and prepared by Morningstar Associates, LLC (“Morningstar”) relating
to the Funds’ fees and expenses and certain Funds’ proposed fees and expenses; (iv) a discussion of the financial information of AQR; (v) a discussion of the compliance program of AQR and AQR’s regulatory exam history; and
(vi) memoranda and materials provided by AQR, describing the proposed changes to the fee structure for certain Funds. The Investment Advisory Agreement (including the Amendment) is referred to herein as the “Advisory Agreement,” as
applicable and as the context suggests.
At the in person meeting held on December 3-4, 2013, the Board, including the Independent Board Members,
unanimously approved the continuation of the Advisory Agreement for an additional one-year period. The Board, including the Independent Board Members, also unanimously approved the Amendment for a one-year period commencing on its effective date. In
approving the continuation of the Advisory Agreement and approving the Amendment, 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 provided by the Adviser; (b) the investment performance of the Funds and the Adviser’s portfolio management; (c) the advisory fee and the cost of the services and profits to be realized by the Adviser from the relationship
with the Funds; (d) economies of scale; and (e) other factors.
The Board also considered other matters it deemed important to the approval
process, such as services related to the valuation and pricing of the Funds’ portfolio holdings, direct and indirect benefits to the Adviser and its affiliates from their relationship with the Funds and advice from independent legal counsel
with respect to the review process and materials submitted for the Board’s review. The Board did not identify any particular information as controlling, and each Board Member may have attributed different weightings to the various items
considered.
The following is a summary of the Board’s discussion and views regarding the factors it considered in evaluating the Advisory
Agreement:
The Nature, Extent and Quality of the Services Provided by the Adviser. The Board Members reviewed the services that the
Adviser provides to the Funds under the Advisory Agreement. The Board considered the size and experience of the Adviser’s staff, its use of technology, and the Funds’ stated investment objectives, strategies and processes. The Board
reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services provided to the Funds, the Board Members took into account
|
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| 154 |
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AQR Funds |
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Semi-Annual Report |
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March 2014 |
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| |
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|
| Board Approval of Investment Advisory Agreements (Unaudited) |
discussions they had with officers of the Adviser regarding the management of each Fund’s investments in accordance with the Funds’ stated investment objectives and policies and the
types of transactions that are entered into on behalf of the Funds. During these discussions, the Board Members asked questions of, and received answers from, the officers of the Adviser regarding the formulation and implementation of the
Funds’ investment strategies, their efficacy and potential risks.
In addition to the investment advisory services provided to the Funds, the Board
Members considered that AQR also provides shareholder and administrative services, provides oversight of Fund accounting, provides marketing services, and provides assistance in meeting legal and regulatory requirements and other services necessary
for the operation of the Funds. In particular, the Board Members reviewed the compliance, shareholder and administrative services provided to the Funds by AQR. The Board also reviewed a wide range of services provided to certain of the Funds’
shareholders currently provided 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 independent legal counsel to discuss and consider the Advisory Agreement. Based on the presentations and materials at the Meetings, the Board concluded that
the services provided to the Funds by AQR pursuant to the Advisory Agreement were of a high quality and benefit the Funds.
Investment Performance
of the Funds and the Adviser’s Portfolio Management. The Board considered the investment performance of each Fund. In particular, the Independent Board Members considered the investment performance of the Funds relative to their stated
objectives and the Adviser’s success in reaching such goals as well as the performance of the Funds relative to their peers. The Board also considered the Adviser’s performance in managing other registered investment companies and private
funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Funds. Based on these factors, the Board Members determined that AQR is an appropriate investment adviser for
the Funds.
The Advisory Fee and the Cost of the Services and Profits to be Realized by the Adviser from the Relationship with the Funds.
The Board, including the Independent Board Members, received and reviewed information regarding the management fees to be paid by the Funds to the Adviser pursuant to the Advisory Agreement. The Board examined this information in order to determine
the reasonableness of the fees in light of the nature and quality of services provided to the Funds.
The Board further examined the proposed changes to
the fee structure in the Amendment. The Board noted that the Amendment would remove advisory fee breakpoints totaling 0.05%, and simultaneously set the contractual advisory fee at the lowest rate under the to-be-removed breakpoint schedules, for the
AQR U.S. Defensive Equity Fund, AQR Emerging Defensive Equity Fund and AQR International Defensive Equity Fund.
To assist in this analysis, the Board
received two reports independently prepared by Morningstar (“Morningstar Report”) — one report reflecting the current contractual advisory fees and actual net expenses for the Funds and the second report reflecting the proposed
changes to the contractual advisory fees and actual net expenses for the Funds. The Morningstar Report illustrated 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 Adviser with respect to
Fund-related activities. The Board took into consideration the Adviser’s profits from the management of other private accounts. The Board also reviewed the Adviser’s methodology of determining profitability. The Board recognized that
profitability may be affected by numerous factors including, among other things, fee waivers and expense reimbursements by the Adviser, the types of funds managed, expense allocations and business mix, and therefore comparability of profitability is
somewhat limited.
The Board reviewed the Adviser’s unaudited financial information. The purpose of the review was to help the Independent Board
Members determine whether the firm has the necessary resources to continue to provide high quality services to the Funds and attract and retain high quality employees.
Based on their review of the materials presented at the Meeting, the Board concluded that the management fees under the Advisory Agreement and the Amendment are reasonable.
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AQR Funds |
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Semi-Annual Report |
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March 2014 |
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155 |
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| Board Approval of Investment Advisory Agreements (Unaudited) |
Economies of Scale. The Adviser provided to the Board with information concerning the extent to which economies of scale
were realized as the Funds grew and whether fee levels were reflective of such economies of scale. The Board noted that, under the current Advisory Agreement, none of the Funds, except for the AQR U.S. Defensive Equity Fund, AQR Emerging Defensive
Equity Fund and AQR International Defensive Equity Fund, would have breakpoints in their advisory fees that would allow investors to benefit directly in the form of lower fees as fund assets grew. However, the Adviser presented information to show
that the fees were set at a level that is competitive relative to comparable funds of similar size. The Board considered that, under the Amendment, existing breakpoints would be removed with a corresponding lowering of the overall advisory fee. The
Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit each Fund to incur lower expenses than it would otherwise as a stand-alone entity. The
Board also considered the Adviser’s overall operations and its efforts to expand the scale of, and further enhance the quality of, its operations.
Other Factors. The Board also took into account other ancillary or “fall-out” benefits that the Adviser or its affiliates may derive from
its relationship with the Funds, both tangible and intangible. The Board also received information regarding the Adviser’s brokerage and soft dollar practices. The Board considered that the Adviser is responsible for decisions to buy and sell
securities for the Funds, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firms’ various advisory clients. The Board noted that the Adviser does not presently intend to make use of soft
dollars to acquire third-party research.
Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for
approval and disclosure of 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 (under the existing Investment Advisory Agreement and under the Amendment) and total expense ratios are reasonable in relation to the services provided by the Adviser to the Funds, as
well as the costs incurred and benefits to be gained by the Adviser in providing such services, including the investment advisory and shareholder servicing components. The Board also found the investment advisory fees to be reasonable in
comparison to the fees charged by advisers to other comparable funds of similar size. 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 independent legal counsel who assisted them in their deliberations.
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| 156 |
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AQR Funds |
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Investment Advisor
AQR Capital Management, LLC
Two Greenwich Plaza, 4th Floor
Greenwich, CT 06830
Sub-Advisor
CNH Partners, LLC
Two Greenwich Plaza, 3rd Floor,
Greenwich, CT 06830
Transfer
Agent
ALPS Fund Services, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
Custodian
JPMorgan Chase
Bank, N.A.
4 Metro Tech Center
Brooklyn, NY 11245
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 policies, experienced of its management, marketability of shares and other information.
Item 2. Code of Ethics.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 3. Audit Committee Financial Expert.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 4. Principal Accountant Fees and Services.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 5. Audit Committee of Listed Registrants.
Disclosure required in Registrant’s annual Form N-CSR filing.
Item 6. Investments
| (a) |
Schedule is included as part of the report to shareholders filed under Item 1 of this Form. |
| (b) |
The Registrant made no divestments of securities in accordance with Section 13(c) of the Investment Company Act of 1940. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable.
Item 8. Portfolio Managers of
Closed-End Management Investment Companies.
Not applicable.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company & Affiliated Purchasers.
Not applicable.
Item 10. Submission of Matters to a
Vote of Security Holders.
Not applicable.
Item 11. Controls and Procedures.
| (a) |
The Registrant’s principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as conducted within 90 days of the
filing date of this report, that those disclosure controls and procedures provide reasonable assurance that the material information required to be disclosed by the Registrant on this report is recorded, processed, summarized and reported within the
time periods specified in the Securities and Exchange Commission’s rules and forms. |
| (b) |
There have not been any changes in registrant’s control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal quarter of the period
covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal 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 |
|
|
June 4, 2014 |
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 |
|
|
June 4, 2014 |
|
|
|
| By: |
|
/s/ Heather Bonner |
|
|
Heather Bonner, |
|
|
Principal Financial Officer |
|
|
June 4, 2014 |