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
AQR Capital Management, LLC
Two Greenwich Plaza
4th Floor
Greenwich, CT 06830
(Name and Address of Agent for Service)
Registrants telephone number, including area code: 203-742-3600
Date of fiscal year end: December 31
Date of reporting period: January 1, 2014 to June 30, 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.)
Schedule of Investments | ||||
2 | ||||
28 | ||||
52 | ||||
62 | ||||
74 | ||||
84 | ||||
88 | ||||
97 | ||||
103 | ||||
109 | ||||
159 | ||||
Financial Statements and Notes | 182 | |||
Fund Expense Examples | 251 | |||
Board Approval of Investment Advisory Agreements | 254 |
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
2 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 3 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
4 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
CONVERTIBLE PREFERRED STOCKS - 8.2% | SHARES | VALUE (Note 3) |
||||||||||||
Consumer Discretionary - 0.9% | ||||||||||||||
Sealy Corp., $25.00 par, 8.000% ,07/15/16 (3)(b)(d) | 299,636 | $ | 23,671,244 | |||||||||||
|
|
|||||||||||||
Consumer Staples - 1.3% | ||||||||||||||
Bunge Ltd., Perpetual Preferred Stock, $100.00 par, 4.875% , 12/31/49 (e) | 96,625 | 10,044,169 | ||||||||||||
Post Holdings, Inc., Perpetual Preferred Stock 144A, $100.00 par, 2.500%, 12/31/49 (2)(e)(f) | 62,897 | 6,380,114 | ||||||||||||
Universal Corp., Perpetual Preferred Stock, $1,000.00 par, 6.750%, 03/15/18 (2)(e) | 16,750 | 20,739,515 | ||||||||||||
|
|
|||||||||||||
37,163,798 | ||||||||||||||
|
|
|||||||||||||
Energy - 2.2% | ||||||||||||||
Chesapeake Energy Corp., Perpetual Preferred Stock 144A, $1,000.00 par, 5.750% , 05/17/15 (2)(e)(f) | 1,475 | 1,888,000 | ||||||||||||
Energy XXI Bermuda Ltd., Perpetual Preferred Stock, $250.00 par, 5.625%, 12/31/49 (2)(e) | 9,535 | 2,616,166 | ||||||||||||
McDermott International, Inc. (Panama), $25.00 par, 6.250%, 04/01/17 (2) | 156,800 | 4,312,471 | ||||||||||||
Sanchez Energy Corp., Perpetual Preferred Stock, Series A, $50.00 par, 4.875%, 12/31/49 (2)(e) | 411,250 | 37,706,484 | ||||||||||||
Sanchez Energy Corp., Perpetual Preferred Stock, Series B, $50.00 par, 6.500%, 12/31/49 (2)(e) | 140,250 | 13,438,755 | ||||||||||||
|
|
|||||||||||||
59,961,876 | ||||||||||||||
|
|
|||||||||||||
Financials - 0.6% | ||||||||||||||
Health Care REIT, Inc., Perpetual Preferred Stock, Series I, $50.00 par, 6.500% , 12/31/49 (e) | 160,975 | 9,294,696 | ||||||||||||
iStar Financial, Inc., Perpetual Preferred Stock, Series J, $50.00 par, 4.500%, 12/31/49 (e) | 50,625 | 3,252,656 | ||||||||||||
Ramco-Gershenson Properties Trust, Perpetual Preferred Stock, Series D, $50.00 par, 7.250%, 12/31/49 (2)(e) | 88,725 | 5,343,020 | ||||||||||||
|
|
|||||||||||||
17,890,372 | ||||||||||||||
|
|
|||||||||||||
Health Care - 0.5% | ||||||||||||||
Amsurg Corp., Series A-1, $100.00 par, 5.250% , 07/01/17 | 81,475 | 8,204,532 | ||||||||||||
Omnicare Capital Trust II, Series B, $50.00 par, 4.000%, 06/15/33 | 54,925 | 4,478,585 | ||||||||||||
|
|
|||||||||||||
12,683,117 | ||||||||||||||
|
|
|||||||||||||
Industrials - 0.0% (a) | ||||||||||||||
Timberjack Corp. ADR, $188,000.00 par, 8.000%, 12/31/16 (3)(b) | 188,000 | 5,106 | ||||||||||||
|
|
|||||||||||||
Utilities - 2.7% | ||||||||||||||
Dominion Resources, Inc., $50.00 par, 6.375% , 07/01/17 | 57,575 | 3,029,884 | ||||||||||||
Dominion Resources, Inc., Series A, $49.00 par, 6.125%, 04/01/16 | 233,650 | 13,469,923 | ||||||||||||
Dominion Resources, Inc., Series B, $49.00 par, 6.000%, 07/01/16 | 242,350 | 14,061,147 | ||||||||||||
Exelon Corp., $50.00 par, 6.500%, 06/01/17 | 62,150 | 3,352,781 | ||||||||||||
NextEra Energy, Inc., $50.00 par, 5.889%, 09/01/15 | 97,050 | 6,307,280 | ||||||||||||
NextEra Energy, Inc., $50.00 par, 5.799%, 09/01/16 | 241,275 | 13,769,564 | ||||||||||||
NextEra Energy, Inc., $50.00 par, 5.599%, 06/01/15 | 338,150 | 22,437,977 | ||||||||||||
|
|
|||||||||||||
76,428,556 | ||||||||||||||
|
|
|||||||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS |
227,804,069 | |||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 5 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
CORPORATE BONDS - 15.1% | INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000s) |
VALUE (Note 3) |
||||||||||||||
Communications - 0.3% | ||||||||||||||||||
Interactive Network, Inc./FriendFinder Networks, Inc. (3)(b)(g) | 14.000% | 12/20/18 | $ 849 | $ | 874,523 | |||||||||||||
WCP Wireless Site Fund 144A (2)(f) | 6.829% | 11/15/15 | 3,325 | 3,464,567 | ||||||||||||||
WCP Wireless Site Fund 144A (2)(f) | 9.247% | 11/15/15 | 3,000 | 3,154,332 | ||||||||||||||
|
|
|||||||||||||||||
7,493,422 | ||||||||||||||||||
|
|
|||||||||||||||||
Consumer Discretionary - 2.3% | ||||||||||||||||||
Baker & Taylor Acquisitions Corp. 144A (2)(c)(f) | 15.000% | 04/01/17 | 3,027 | 2,845,380 | ||||||||||||||
Brookstone Co., Inc. (3)(b)(f)(g) | 13.000% | 10/15/14 | 516 | 229,620 | ||||||||||||||
Cenveo Corp. 144A (2)(c)(f) | 6.000% | 08/01/19 | 2,500 | 2,500,000 | ||||||||||||||
Cenveo Corp. 144A (2)(c)(f) | 8.500% | 09/15/22 | 1,675 | 1,662,437 | ||||||||||||||
Cenveo Corp. (2) | 8.875% | 02/01/18 | 3,755 | 3,941,886 | ||||||||||||||
Ceridian LLC/Comdata, Inc. 144A (2)(c)(f) | 8.125% | 11/15/17 | 150 | 151,500 | ||||||||||||||
Clear Channel Communications, Inc. 144A (2)(f) | 10.000% | 01/15/18 | 5,000 | 4,831,250 | ||||||||||||||
CSC Holdings LLC 144A (2)(c)(f) | 5.250% | 06/01/24 | 2,525 | 2,483,969 | ||||||||||||||
Empire Today LLC/Empire Today Finance Corp. (3)(b)(f) | 11.375% | 02/01/17 | 3,250 | 3,347,500 | ||||||||||||||
Exide Technologies (2)(c)(g) | 8.625% | 02/01/18 | 12,425 | 7,455,000 | ||||||||||||||
Gibson Brands Escrow Corp. 144A (2)(f) | 8.875% | 08/01/18 | 4,675 | 4,809,406 | ||||||||||||||
Global Partners LP/GLP Finance Corp. 144A (2)(c)(f) | 6.250% | 07/15/22 | 300 | 300,000 | ||||||||||||||
Group 1 Automotive, Inc. (3)(b)(c)(f) | 5.000% | 06/01/22 | 1,800 | 1,800,000 | ||||||||||||||
IDQ Holdings, Inc. 144A (2)(f) | 11.500% | 04/01/17 | 4,325 | 4,768,313 | ||||||||||||||
Landrys, Inc. 144A (2)(c)(f) | 9.375% | 05/01/20 | 7,356 | 8,091,600 | ||||||||||||||
Live Nation Entertainment, Inc. 144A (2)(c)(f) | 5.375% | 06/15/22 | 300 | 303,750 | ||||||||||||||
Nielsen Finance LLC/Nielsen Finance Co. 144A (2)(f) | 5.000% | 04/15/22 | 800 | 806,000 | ||||||||||||||
Roust Trading Ltd., Series AI (Virgin Islands, British) (2)(h) | 10.000% | 05/31/16 | 819 | 695,901 | ||||||||||||||
Scientific Games International, Inc. 144A (2)(c)(f) | 6.625% | 05/15/21 | 12,600 | 12,474,000 | ||||||||||||||
WideOpenWest Finance LLC/WideOpenWest Capital Corp. 144A (2)(f) |
10.250% | 07/15/19 | 800 | 899,000 | ||||||||||||||
|
|
|||||||||||||||||
64,396,512 | ||||||||||||||||||
|
|
|||||||||||||||||
Consumer Staples - 0.8% | ||||||||||||||||||
Beam Suntory, Inc. (2)(c) | 3.250% | 05/15/22 | 2,650 | 2,619,806 | ||||||||||||||
Beam Suntory, Inc. (2)(c) | 3.250% | 06/15/23 | 1,350 | 1,327,709 | ||||||||||||||
C&S Group Enterprises LLC 144A (2)(f) | 5.375% | 07/15/22 | 1,675 | 1,683,375 | ||||||||||||||
Central Garden and Pet Co. (2)(c) | 8.250% | 03/01/18 | 7,525 | 7,807,187 | ||||||||||||||
Hearthside Group Holdings LLC/Hearthside Finance Co. 144A (2)(c)(f) |
6.500% | 05/01/22 | 150 | 149,625 | ||||||||||||||
JBS USA LLC/JBS USA Finance, Inc. 144A (2)(f) | 5.875% | 07/15/24 | 4,200 | 4,189,500 | ||||||||||||||
US Foods, Inc. (2)(c) | 8.500% | 06/30/19 | 4,572 | 4,894,326 | ||||||||||||||
|
|
|||||||||||||||||
22,671,528 | ||||||||||||||||||
|
|
|||||||||||||||||
Energy - 2.7% | ||||||||||||||||||
Athlon Holdings LP/Athlon Finance Corp. 144A (2)(c)(f) | 6.000% | 05/01/22 | 800 | 828,000 | ||||||||||||||
ATP Oil & Gas Corp. (3)(b)(g) | 11.875% | 05/01/15 | 4,025 | 60,375 | ||||||||||||||
Baytex Energy Corp. 144A (Canada) (2)(c)(f) | 5.125% | 06/01/21 | 1,250 | 1,257,812 | ||||||||||||||
Black Elk Energy Offshore Operations LLC/Black Elk Finance Corp. (3)(b)(c) | 13.750% | 12/01/15 | 5,800 | 5,742,000 | ||||||||||||||
CGG SA 144A (France) (2)(f) | 6.875% | 01/15/22 | 3,250 | 3,241,875 | ||||||||||||||
ContourGlobal Power Holdings SA 144A (Luxembourg) (2)(c)(f) | 7.125% | 06/01/19 | 200 | 199,600 | ||||||||||||||
Copano Energy LLC/Copano Energy Finance Corp. (2) | 7.125% | 04/01/21 | 373 | 422,700 | ||||||||||||||
Energy XXI Gulf Coast, Inc. 144A (2)(c)(f) | 6.875% | 03/15/24 | 3,350 | 3,417,000 | ||||||||||||||
EOAL Cyprus Holdings Ltd. (3)(b) | 0.200% | 06/30/15 | 238 | 2,385 | ||||||||||||||
EOAL Cyprus Holdings Ltd. (Cyprus) (3)(b)(g) | 15.000% | 07/15/15 | 4,100 | 41 | ||||||||||||||
EOAL Cyprus Holdings Ltd. (2) | 20.000% | 06/30/15 | 400 | 5,997 | ||||||||||||||
EPL Oil & Gas, Inc. (2) | 8.250% | 02/15/18 | 6,150 | 6,580,500 | ||||||||||||||
Forest Oil Corp. (2) | 7.250% | 06/15/19 | 12,205 | 12,082,950 | ||||||||||||||
Forest Oil Corp., Series WI (3)(b)(c) | 7.500% | 09/15/20 | 5,825 | 5,766,750 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
6 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000s) |
VALUE (Note 3) |
|||||||||||||||
Energy - 2.7% (continued) | ||||||||||||||||||
Global Geophysical Services, Inc. (2)(g) | 10.500% | 05/01/17 | $ | 150 | $ | 55,500 | ||||||||||||
Gold Point Energy Corp. (3)(b) | 4.500% | 05/01/15 | 1,140 | | ||||||||||||||
Golden Close Maritime Corp. Ltd. MTN (Liberia) (2) | 11.000% | 12/09/15 | 1,902 | 1,987,771 | ||||||||||||||
Green Field Energy Services, Inc. (3)(b)(f)(g) | 13.250% | 11/15/16 | 2,073 | 155,475 | ||||||||||||||
Hilcorp Energy I LP/Hilcorp Finance Co. 144A (2)(f) | 5.000% | 12/01/24 | 800 | 800,000 | ||||||||||||||
Ithaca Energy, Inc. 144A (Canada) (2)(f) | 8.125% | 07/01/19 | 2,075 | 2,075,000 | ||||||||||||||
Legacy Reserves LP/Legacy Reserves Finance Corp. 144A (2)(c)(f) | 6.625% | 12/01/21 | 800 | 812,000 | ||||||||||||||
Lonestar Resources America, Inc. 144A (2)(c)(f) | 8.750% | 04/15/19 | 4,175 | 4,216,750 | ||||||||||||||
Norshore Atlantic BV (Netherlands) (3)(b)(f) | 12.000% | 12/21/18 | 4,550 | 4,766,125 | ||||||||||||||
Plains Exploration & Production Co. (2) | 6.875% | 02/15/23 | 7,775 | 9,096,750 | ||||||||||||||
Prospector Finance II SA (Luxembourg) (3)(b) | 7.750% | 06/19/19 | 4,000 | 4,000,000 | ||||||||||||||
Songa Offshore (Cyprus) (2) | 7.500% | 12/11/18 | NOK | 25,500 | 3,939,002 | |||||||||||||
Songa Offshore (Cyprus) (3)(b) | 8.400% | 05/17/18 | 15,000 | 2,451,560 | ||||||||||||||
|
|
|||||||||||||||||
73,963,918 | ||||||||||||||||||
|
|
|||||||||||||||||
Financials - 2.9% | ||||||||||||||||||
AerCap Ireland Capital Ltd./AerCap Global Aviation Trust 144A (Ireland) (2)(c)(f) | 3.750% | 05/15/19 | $ | 800 | 806,000 | |||||||||||||
BPA Laboratories, Inc. (3)(b)(c)(f) | 12.250% | 04/01/17 | 5,875 | 6,345,000 | ||||||||||||||
CFG Holdings Ltd./CFG Finance LLC (Cayman Islands) (3)(b)(c)(f) | 11.500% | 11/15/19 | 6,412 | 6,957,020 | ||||||||||||||
Cogent Communications Finance, Inc. 144A (2)(c)(f) | 5.625% | 04/15/21 | 900 | 893,250 | ||||||||||||||
Global Investments Group Finance Ltd. 144A (Virgin Islands, British) (2)(f) | 11.000% | 09/24/17 | 2,200 | 2,227,500 | ||||||||||||||
Highclere Holdings Ltd. (Cayman Islands) (3)(b) | 0.000% | 02/26/15 | 1,627 | 848,200 | ||||||||||||||
ING Capital Funding Trust III, Perpetual Bond, Series 9 (3)(b)(c)(e)(i) | 3.834% | 12/31/49 | 3,875 | 3,875,000 | ||||||||||||||
Jasper Explorer PLC (Cyprus) (3)(b)(f) | 13.500% | 05/27/16 | 6,000 | 5,340,000 | ||||||||||||||
Kistefos AS (Norway) (3)(b)(i) | 11.240% | 07/03/15 | NOK | 72,500 | 12,469,738 | |||||||||||||
Lehman Brothers Holdings, Inc. MTN (3)(b)(g) | 5.625% | 01/24/16 | $ | 33,650 | 6,519,687 | |||||||||||||
MBIA Insurance Corp. 144A (2)(f)(i) | 11.486% | 01/15/33 | 3,925 | 3,061,500 | ||||||||||||||
National Money Mart Co. (Canada) (2) | 10.375% | 12/15/16 | 14,250 | 15,015,937 | ||||||||||||||
Nuveen Investments, Inc. 144A (2)(c)(f) | 9.500% | 10/15/20 | 3,175 | 3,762,375 | ||||||||||||||
Radian Group, Inc. (2) | 5.500% | 06/01/19 | 2,800 | 2,859,500 | ||||||||||||||
Synovus Financial Corp. (2) | 5.125% | 06/15/17 | 1,375 | 1,433,437 | ||||||||||||||
Washington Mutual Bank/Debt not acquired by JPMorgan, Bank Note (2)(g) | 0.000% | 05/01/09 | 27,750 | 7,527,188 | ||||||||||||||
Weyerhaeuser Real Estate Co. 144A (2)(c)(f) | 4.375% | 06/15/19 | 300 | 300,750 | ||||||||||||||
Weyerhaeuser Real Estate Co. 144A (2)(c)(f) | 5.875% | 06/15/24 | 300 | 308,625 | ||||||||||||||
|
|
|||||||||||||||||
80,550,707 | ||||||||||||||||||
|
|
|||||||||||||||||
Health Care - 1.0% | ||||||||||||||||||
Crimson Merger Sub, Inc. 144A (2)(c)(f) | 6.625% | 05/15/22 | 2,725 | 2,704,562 | ||||||||||||||
Education Management LLC/Education Management Finance Corp. (3)(b)(c)(h) | 16.000% | 07/01/18 | 9,251 | 4,625,250 | ||||||||||||||
Endo Finance LLC & Endo Finco, Inc. 144A (2)(f) | 5.375% | 01/15/23 | 1,675 | 1,672,906 | ||||||||||||||
Envision Healthcare Corp. 144A (2)(c)(f) | 5.125% | 07/01/22 | 1,250 | 1,260,938 | ||||||||||||||
Gentiva Health Services, Inc. (2) | 11.500% | 09/01/18 | 14,350 | 15,318,625 | ||||||||||||||
Tenet Healthcare Corp. 144A (2)(f) | 5.000% | 03/01/19 | 1,250 | 1,267,188 | ||||||||||||||
|
|
|||||||||||||||||
26,849,469 | ||||||||||||||||||
|
|
|||||||||||||||||
Industrials - 1.2% | ||||||||||||||||||
Allegiant Travel Co. (2)(c) | 5.500% | 07/15/19 | 300 | 304,875 | ||||||||||||||
American Airlines, Inc. (3)(b)(f) | 7.500% | 03/15/16 | 9,134 | 9,487,942 | ||||||||||||||
Ardagh Packaging Finance PLC 144A (Ireland) (2)(f) | 7.375% | 10/15/17 | 3,420 | 3,609,126 | ||||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A (Ireland) (2)(f) | 6.000% | 06/30/21 | 300 | 299,625 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 7 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000s) |
VALUE (Note 3) |
|||||||||||||||
Industrials - 1.2% (continued) | ||||||||||||||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 144A (Ireland) (2)(f) |
7.375% | 10/15/17 | $ | 2,010 | $ | 2,121,153 | ||||||||||||
Edgen Murray Corp. (3)(b)(c)(f) | 8.750% | 11/01/20 | 4,495 | 5,135,538 | ||||||||||||||
Gates Global LLC/Gates Global Co. 144A (2)(c)(f) | 6.000% | 07/15/22 | 800 | 800,000 | ||||||||||||||
Quad/Graphics, Inc. (3)(b)(c)(f) | 7.000% | 05/01/22 | 4,175 | 4,175,000 | ||||||||||||||
Tempel Steel Co. 144A (2)(c)(f) | 12.000% | 08/15/16 | 5,625 | 5,568,750 | ||||||||||||||
West Corp. 144A (2)(f) | 5.375% | 07/15/22 | 800 | 792,000 | ||||||||||||||
Western Express, Inc. 144A (2)(c)(f) | 12.500% | 04/15/15 | 2,300 | 1,863,000 | ||||||||||||||
|
|
|||||||||||||||||
34,157,009 | ||||||||||||||||||
|
|
|||||||||||||||||
Information Technology - 1.9% | ||||||||||||||||||
Advanced Micro Devices, Inc. 144A (2)(c)(f) | 7.000% | 07/01/24 | 1,250 | 1,276,563 | ||||||||||||||
Belden, Inc. 144A (2)(c)(f) | 5.250% | 07/15/24 | 150 | 151,125 | ||||||||||||||
Boxer Parent Co., Inc. 144A (2)(d)(f) | 9.750% | 10/15/19 | 3,750 | 3,656,250 | ||||||||||||||
Goodman Networks, Inc., Series WI (2)(h) | 12.125% | 07/01/18 | 30,818 | 33,822,755 | ||||||||||||||
Pegasus Solutions, Inc. (3)(b)(d)(f)(g) | 13.000% | 04/15/14 | 4,616 | 4,293,001 | ||||||||||||||
Seagate HDD Cayman 144A (Cayman Islands) (2)(c)(f) | 4.750% | 01/01/25 | 8,400 | 8,337,000 | ||||||||||||||
SouthPeak Interactive Corp. (3)(b)(g) | 29.000% | 12/31/14 | 1,091 | 104,546 | ||||||||||||||
|
|
|||||||||||||||||
51,641,240 | ||||||||||||||||||
|
|
|||||||||||||||||
Materials - 1.2% | ||||||||||||||||||
ArcelorMittal (Luxembourg) (2)(c) | 4.250% | 02/25/15 | 975 | 990,844 | ||||||||||||||
ArcelorMittal (Luxembourg) (2)(c) | 4.250% | 08/05/15 | 2,575 | 2,642,594 | ||||||||||||||
ArcelorMittal (Luxembourg) (2)(c) | 9.500% | 02/15/15 | 775 | 812,781 | ||||||||||||||
Compass Minerals International, Inc. 144A (2)(f) | 4.875% | 07/15/24 | 800 | 800,000 | ||||||||||||||
Constellium NV 144A (Netherlands) (2)(c)(f) | 5.750% | 05/15/24 | 250 | 262,500 | ||||||||||||||
Momentive Performance Materials, Inc., Series WI (2)(c) | 8.875% | 10/15/20 | 13,550 | 14,464,625 | ||||||||||||||
Momentive Performance Materials, Inc. (2)(g) | 9.000% | 01/15/21 | 14,350 | 11,910,500 | ||||||||||||||
Northland Resources AB (Sweden) (3)(b)(f) | 4.000% | 10/15/20 | 913 | 31,957 | ||||||||||||||
Texas Industries, Inc. (2)(c) | 9.250% | 08/15/20 | 2,600 | 2,944,500 | ||||||||||||||
|
|
|||||||||||||||||
34,860,301 | ||||||||||||||||||
|
|
|||||||||||||||||
Telecommunication Services - 0.6% | ||||||||||||||||||
SBA Communications Corp. 144A (2)(f) | 4.875% | 07/15/22 | 2,500 | 2,468,750 | ||||||||||||||
tw telecom holdings, Inc., Series WI (2)(c) | 5.375% | 10/01/22 | 2,450 | 2,679,687 | ||||||||||||||
Virgin Media Finance PLC (United Kingdom) (2)(c) | 4.875% | 02/15/22 | 11,400 | 10,744,500 | ||||||||||||||
Wind Acquisition Finance SA 144A (Luxembourg) (2)(f) | 4.750% | 07/15/20 | 1,675 | 1,687,563 | ||||||||||||||
|
|
|||||||||||||||||
17,580,500 | ||||||||||||||||||
|
|
|||||||||||||||||
Utilities - 0.2% | ||||||||||||||||||
Atlantic Offshore AS (Norway) (3)(b)(i) | 11.730% | 06/27/15 | NOK | 12,000 | 2,083,520 | |||||||||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc. 144A (2)(c)(f)(g) | 10.000% | 12/01/20 | $ | 25,200 | 2,394,000 | |||||||||||||
Ferrellgas LP/Ferrellgas Finance Corp. 144A (2)(f) | 6.750% | 01/15/22 | 150 | 156,750 | ||||||||||||||
Suburban Propane Partners LP/Suburban Energy Finance Corp. (2)(c) | 5.500% | 06/01/24 | 1,675 | 1,695,938 | ||||||||||||||
|
|
|||||||||||||||||
6,330,208 | ||||||||||||||||||
|
|
|||||||||||||||||
TOTAL CORPORATE BONDS |
420,494,814 | |||||||||||||||||
|
|
|||||||||||||||||
CONVERTIBLE BONDS - 40.6% | ||||||||||||||||||
Consumer Discretionary - 6.1% | ||||||||||||||||||
Carriage Services, Inc. 144A (2)(f) | 2.750% | 03/15/21 | 6,100 | 6,344,000 | ||||||||||||||
Cenveo Corp. (2) | 7.000% | 05/15/17 | 1,800 | 2,131,875 | ||||||||||||||
Exide Technologies (3)(b)(g)(i) | 0.000% | 09/18/13 | 650 | 97,500 | ||||||||||||||
JAKKS Pacific, Inc. 144A (2)(f) | 4.250% | 08/01/18 | 5,775 | 6,190,078 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
8 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000s) |
VALUE (Note 3) |
|||||||||||||||
Consumer Discretionary - 6.1% (continued) | ||||||||||||||||||
JAKKS Pacific, Inc. 144A (2)(f) | 4.500% | 11/01/14 | $ | 1,550 | $ | 1,557,750 | ||||||||||||
JAKKS Pacific, Inc. 144A (2)(c)(f) | 4.875% | 06/01/20 | 6,250 | 6,089,844 | ||||||||||||||
Lennar Corp. 144A (2)(f) | 2.750% | 12/15/20 | 9,175 | 17,518,515 | ||||||||||||||
Lennar Corp. 144A (2)(f) | 3.250% | 11/15/21 | 12,850 | 23,660,062 | ||||||||||||||
M/I Homes, Inc. (2) | 3.000% | 03/01/18 | 1,800 | 1,963,125 | ||||||||||||||
M/I Homes, Inc. (2) | 3.250% | 09/15/17 | 2,300 | 2,880,750 | ||||||||||||||
Meritage Homes Corp. (2) | 1.875% | 09/15/32 | 2,475 | 2,600,297 | ||||||||||||||
MGM Resorts International (2) | 4.250% | 04/15/15 | 10,800 | 15,855,750 | ||||||||||||||
Palm Harbor Homes, Inc. (3)(b)(g) | 3.250% | 05/15/24 | 70 | 1,796 | ||||||||||||||
Regis Corp. (2) | 5.000% | 07/15/14 | 11,075 | 11,081,922 | ||||||||||||||
Ryland Group, Inc./The (2) | 1.625% | 05/15/18 | 5,750 | 7,992,500 | ||||||||||||||
Sirius XM Radio, Inc. 144A (2)(f) | 7.000% | 12/01/14 | 5,643 | 10,718,173 | ||||||||||||||
Standard Pacific Corp. (2) | 1.250% | 08/01/32 | 11,275 | 14,171,266 | ||||||||||||||
Tesla Motors, Inc. (2) | 1.500% | 06/01/18 | 9,125 | 18,478,125 | ||||||||||||||
TRW Automotive, Inc. (2) | 3.500% | 12/01/15 | 6,650 | 20,199,375 | ||||||||||||||
|
|
|||||||||||||||||
169,532,703 | ||||||||||||||||||
|
|
|||||||||||||||||
Consumer Staples - 1.3% | ||||||||||||||||||
Herbalife Ltd. 144A (Cayman Islands) (2)(f) | 2.000% | 08/15/19 | 10,975 | 10,206,750 | ||||||||||||||
Rite Aid Corp. (2) | 8.500% | 05/15/15 | 300 | 847,875 | ||||||||||||||
Vector Group Ltd. (2)(i) | 2.500% | 01/15/19 | 10,950 | 14,634,795 | ||||||||||||||
Vector Group Ltd. (2)(i) | 3.750% | 11/15/14 | 6,504 | 10,044,615 | ||||||||||||||
|
|
|||||||||||||||||
35,734,035 | ||||||||||||||||||
|
|
|||||||||||||||||
Energy - 1.6% | ||||||||||||||||||
Alpha Natural Resources, Inc. (2) | 3.750% | 12/15/17 | 2,400 | 2,073,000 | ||||||||||||||
Alpha Natural Resources, Inc. (2) | 4.875% | 12/15/20 | 800 | 619,500 | ||||||||||||||
Amyris, Inc. 144A (2)(c)(f) | 6.500% | 05/15/19 | 6,075 | 6,052,219 | ||||||||||||||
Cal Dive International, Inc. (2) | 5.000% | 07/15/17 | 2,275 | 1,935,172 | ||||||||||||||
Emerald Oil, Inc. 144A (2)(f) | 2.000% | 04/01/19 | 3,100 | 3,398,375 | ||||||||||||||
Goodrich Petroleum Corp. (2) | 5.000% | 10/01/29 | 1,000 | 1,028,125 | ||||||||||||||
James River Coal Co. (2)(g) | 10.000% | 06/01/18 | 310 | 24,800 | ||||||||||||||
PDC Energy, Inc. 144A (2)(f) | 3.250% | 05/15/16 | 4,950 | 7,950,937 | ||||||||||||||
Polarcus Ltd. MTN 144A (Norway) (2)(f) | 2.875% | 04/27/16 | 400 | 386,400 | ||||||||||||||
Renewable Energy Group, Inc. (2) | 2.750% | 06/15/19 | 3,650 | 4,026,406 | ||||||||||||||
Scorpio Tankers, Inc. 144A (2)(f) | 2.375% | 07/01/19 | 3,500 | 3,500,000 | ||||||||||||||
USEC, Inc. (2)(g) | 3.000% | 10/01/14 | 19,875 | 5,068,125 | ||||||||||||||
Vantage Drilling Co. (Cayman Islands) (2) | 7.875% | 09/01/42 | 4,625 | 5,388,125 | ||||||||||||||
Vantage Drilling Co. 144A (Cayman Islands) (2)(f) | 5.500% | 07/15/43 | 1,775 | 1,932,531 | ||||||||||||||
ZaZa Energy Corp. 144A (2)(f) | 9.000% | 08/01/17 | 3,550 | 2,611,469 | ||||||||||||||
|
|
|||||||||||||||||
45,995,184 | ||||||||||||||||||
|
|
|||||||||||||||||
Financials - 12.4% | ||||||||||||||||||
American Equity Investment Life Holding Co. 144A (2)(f) | 5.250% | 12/06/29 | 15,875 | 41,007,109 | ||||||||||||||
American Realty Capital Properties, Inc. (2) | 3.000% | 08/01/18 | 10,700 | 10,867,187 | ||||||||||||||
American Realty Capital Properties, Inc. (2) | 3.750% | 12/15/20 | 2,125 | 2,216,641 | ||||||||||||||
Annaly Capital Management, Inc. (2) | 5.000% | 05/15/15 | 3,150 | 3,220,875 | ||||||||||||||
Ares Capital Corp. (2) | 5.750% | 02/01/16 | 4,425 | 4,701,563 | ||||||||||||||
Ares Capital Corp. 144A (2)(f) | 5.125% | 06/01/16 | 3,025 | 3,246,203 | ||||||||||||||
AV Homes, Inc. (2) | 7.500% | 02/15/16 | 8,830 | 9,403,950 | ||||||||||||||
AV Homes, Inc. (2) | 7.500% | 02/15/16 | 6,643 | 6,842,290 | ||||||||||||||
Cowen Group, Inc. 144A (2)(f) | 3.000% | 03/15/19 | 4,550 | 4,820,156 | ||||||||||||||
E*TRADE Financial Corp., Series A (2) | 0.000% | 08/31/19 | 1,775 | 3,658,719 | ||||||||||||||
Element Financial Corp. 144A (Canada) (2)(f) | 5.125% | 06/30/19 | CAD | 8,975 | 9,054,484 | |||||||||||||
Encore Capital Group, Inc. 144A (2)(f) | 3.000% | 07/01/20 | $ | 1,300 | 1,513,688 | |||||||||||||
Ezcorp, Inc. 144A (2)(f) | 2.125% | 06/15/19 | 2,475 | 2,437,875 | ||||||||||||||
Gain Capital Holdings, Inc. 144A (2)(f) | 4.125% | 12/01/18 | 3,325 | 3,262,656 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 9 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000s) |
VALUE (Note 3) |
|||||||||||||||
Financials - 12.4% (continued) | ||||||||||||||||||
Health Care REIT, Inc. (2) | 3.000% | 12/01/29 | $ | 2,400 | $ | 2,962,500 | ||||||||||||
iStar Financial, Inc. (2) | 3.000% | 11/15/16 | 2,800 | 3,967,250 | ||||||||||||||
KCAP Financial, Inc. (2) | 8.750% | 03/15/16 | 4,000 | 4,625,000 | ||||||||||||||
Kilroy Realty LP 144A (2)(f) | 4.250% | 11/15/14 | 7,390 | 12,835,506 | ||||||||||||||
Lexington Realty Trust 144A (2)(f) | 6.000% | 01/15/30 | 7,550 | 12,240,438 | ||||||||||||||
Meadowbrook Insurance Group, Inc. (2) | 5.000% | 03/15/20 | 2,575 | 2,726,281 | ||||||||||||||
MF Global Holdings Ltd. (2)(g) | 3.375% | 08/01/18 | 1,609 | 723,044 | ||||||||||||||
MGIC Investment Corp. (2) | 2.000% | 04/01/20 | 6,600 | 9,825,750 | ||||||||||||||
MGIC Investment Corp. (2) | 5.000% | 05/01/17 | 20,525 | 23,809,000 | ||||||||||||||
NorthStar Realty Finance LP 144A (2)(f) | 5.375% | 06/15/33 | 300 | 546,000 | ||||||||||||||
PHH Corp. (2) | 6.000% | 06/15/17 | 8,125 | 15,864,063 | ||||||||||||||
Prospect Capital Corp. 144A (2)(f) | 4.750% | 04/15/20 | 3,925 | 3,873,484 | ||||||||||||||
Radian Group, Inc. (2) | 2.250% | 03/01/19 | 12,800 | 19,184,000 | ||||||||||||||
Radian Group, Inc. (2) | 3.000% | 11/15/17 | 16,100 | 23,284,625 | ||||||||||||||
Resource Capital Corp. (2) | 6.000% | 12/01/18 | 1,350 | 1,360,969 | ||||||||||||||
Ryman Hospitality Properties, Inc. 144A (2)(f) | 3.750% | 10/01/14 | 17,025 | 39,114,938 | ||||||||||||||
SL Green Operating Partnership LP 144A (2)(f) | 3.000% | 10/15/17 | 5,925 | 8,154,281 | ||||||||||||||
Spirit Realty Capital, Inc. (2) | 2.875% | 05/15/19 | 1,575 | 1,575,000 | ||||||||||||||
Spirit Realty Capital, Inc. (2) | 3.750% | 05/15/21 | 775 | 778,391 | ||||||||||||||
Stewart Information Services Corp. (2) | 6.000% | 10/15/14 | 6,125 | 15,017,734 | ||||||||||||||
Tower Group International Ltd. (2)(c) | 5.000% | 09/15/14 | 12,750 | 10,996,875 | ||||||||||||||
Volkswagen International Finance NV 144A (Netherlands) (2)(f) | 5.500% | 11/09/15 | EUR | 13,500 | 21,679,853 | |||||||||||||
ZAIS Financial Corp. 144A (2)(f) | 8.000% | 11/15/16 | $ | 3,400 | 3,470,125 | |||||||||||||
|
|
|||||||||||||||||
344,868,503 | ||||||||||||||||||
|
|
|||||||||||||||||
Health Care - 3.3% | ||||||||||||||||||
Accuray, Inc. (2) | 3.750% | 08/01/16 | 700 | 797,562 | ||||||||||||||
Accuray, Inc., Series A (2) | 3.500% | 02/01/18 | 3,025 | 5,356,141 | ||||||||||||||
Acorda Therapeutics, Inc. (2) | 1.750% | 06/15/21 | 875 | 907,266 | ||||||||||||||
Affymetrix, Inc. (2) | 4.000% | 07/01/19 | 4,725 | 7,929,141 | ||||||||||||||
Albany Molecular Research, Inc. 144A (2)(f) | 2.250% | 11/15/18 | 1,525 | 2,186,469 | ||||||||||||||
ARIAD Pharmaceuticals, Inc. 144A (2)(f) | 3.625% | 06/15/19 | 1,825 | 1,771,527 | ||||||||||||||
BioMed Realty LP 144A (2)(f) | 3.750% | 01/15/30 | 2,250 | 2,881,406 | ||||||||||||||
Exelixis, Inc. (2) | 4.250% | 08/15/19 | 2,525 | 2,133,625 | ||||||||||||||
Healthways, Inc. 144A (2)(f) | 1.500% | 07/01/18 | 2,000 | 2,190,000 | ||||||||||||||
Illumina, Inc. (2) | 0.250% | 03/15/16 | 1,225 | 2,632,984 | ||||||||||||||
Illumina, Inc. 144A (2)(f) | 0.000% | 06/15/19 | 1,675 | 1,720,016 | ||||||||||||||
Molina Healthcare, Inc. (2) | 3.750% | 10/01/14 | 1,875 | 2,684,766 | ||||||||||||||
PDL BioPharma, Inc. (2) | 2.875% | 02/15/15 | 1,400 | 2,544,500 | ||||||||||||||
Regeneron Pharmaceuticals, Inc. (2) | 1.875% | 10/01/16 | 11,925 | 40,030,734 | ||||||||||||||
Sequenom, Inc. (2) | 5.000% | 10/01/17 | 7,325 | 7,865,219 | ||||||||||||||
Spectrum Pharmaceuticals, Inc. 144A (2)(f) | 2.750% | 12/15/18 | 5,600 | 5,834,500 | ||||||||||||||
Theravance, Inc. (2) | 2.125% | 01/15/23 | 1,600 | 2,307,000 | ||||||||||||||
|
|
|||||||||||||||||
91,772,856 | ||||||||||||||||||
|
|
|||||||||||||||||
Industrials - 3.2% | ||||||||||||||||||
Aegean Marine Petroleum Network, Inc. (Greece) (2) | 4.000% | 11/01/18 | 1,000 | 1,008,750 | ||||||||||||||
AGCO Corp. (3)(b) | 1.250% | 12/15/36 | 47 | 65,608 | ||||||||||||||
Alliant Techsystems, Inc. (2) | 3.000% | 08/15/24 | | | ||||||||||||||
CBIZ, Inc. 144A (2)(f) | 4.875% | 10/01/15 | 1,400 | 1,839,250 | ||||||||||||||
China Linen Textile Industry Ltd. (Cayman Islands) (3)(b)(g) | 7.500% | 12/31/14 | 1,850 | | ||||||||||||||
GenCorp, Inc. (2) | 4.063% | 12/31/39 | 3,575 | 7,612,516 | ||||||||||||||
General Cable Corp. (2)(h) | 4.500% | 11/15/29 | 1,745 | 1,727,550 | ||||||||||||||
Hawaiian Holdings, Inc. (2) | 5.000% | 03/15/16 | 300 | 542,250 | ||||||||||||||
JetBlue Airways Corp., Series A-C (2) | 6.750% | 10/15/39 | 4,000 | 8,920,000 | ||||||||||||||
Layne Christensen Co. 144A (2)(f) | 4.250% | 11/15/18 | 1,700 | 1,538,500 | ||||||||||||||
Lufthansa Malta Blues LP, Series JBLU 144A (Malta) (2)(f) | 0.750% | 04/05/17 | EUR | 2,800 | 6,396,712 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
10 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000s) |
VALUE (Note 3) |
|||||||||||||||
Industrials - 3.2% (continued) | ||||||||||||||||||
MasTec, Inc. (2) | 4.250% | 12/15/14 | $ | 2,400 | $ | 4,792,500 | ||||||||||||
Meritor, Inc. (2)(h) | 4.625% | 03/01/26 | 2,000 | 2,132,500 | ||||||||||||||
Navistar International Corp. (2) | 3.000% | 10/15/14 | 875 | 883,750 | ||||||||||||||
Terex Corp. (2) | 4.000% | 06/01/15 | 11,325 | 28,928,297 | ||||||||||||||
Titan International, Inc. 144A (2)(f) | 5.625% | 01/15/17 | 7,575 | 13,502,437 | ||||||||||||||
UTi Worldwide, Inc. 144A (Virgin Islands, British) (2)(f) | 4.500% | 03/01/19 | 8,825 | 9,387,594 | ||||||||||||||
|
|
|||||||||||||||||
89,278,214 | ||||||||||||||||||
|
|
|||||||||||||||||
Information Technology - 11.4% | ||||||||||||||||||
Blucora, Inc. 144A (2)(f) | 4.250% | 04/01/19 | 1,675 | 1,835,172 | ||||||||||||||
Ciena Corp. 144A (2)(f) | 3.750% | 10/15/18 | 14,700 | 20,184,938 | ||||||||||||||
Ciena Corp. 144A (2)(f) | 4.000% | 03/15/15 | 2,900 | 3,467,313 | ||||||||||||||
Ciena Corp., Series WI (2) | 4.000% | 12/15/20 | 13,175 | 18,255,609 | ||||||||||||||
Convergys Corp. (2) | 5.750% | 09/15/29 | 7,825 | 15,625,547 | ||||||||||||||
Finisar Corp. 144A (2)(f) | 5.000% | 10/15/29 | 400 | 748,750 | ||||||||||||||
GT Advanced Technologies, Inc. (2) | 3.000% | 10/01/17 | 3,325 | 8,266,781 | ||||||||||||||
j2 Global, Inc. (2) | 3.250% | 06/15/29 | 2,475 | 2,510,578 | ||||||||||||||
Microchip Technology, Inc. (2) | 2.125% | 12/15/37 | 10,650 | 20,348,156 | ||||||||||||||
Micron Technology, Inc. (2) | 2.375% | 05/01/32 | 6,225 | 21,421,781 | ||||||||||||||
Micron Technology, Inc. (2) | 3.125% | 05/01/32 | 11,229 | 37,813,658 | ||||||||||||||
Micron Technology, Inc., Series F (2) | 2.125% | 02/15/33 | 1,375 | 4,173,984 | ||||||||||||||
ModusLink Global Solutions, Inc. 144A (2)(f) | 5.250% | 03/01/19 | 7,600 | 7,063,250 | ||||||||||||||
Nuance Communications, Inc. (2) | 2.750% | 11/01/31 | 600 | 599,250 | ||||||||||||||
Palo Alto Networks, Inc. 144A (2)(f) | 0.000% | 07/01/19 | 1,525 | 1,573,609 | ||||||||||||||
Photronics, Inc. (2) | 5.500% | 10/01/14 | 2,200 | 3,803,250 | ||||||||||||||
Powerwave Technologies, Inc. (3)(b)(g) | 3.875% | 10/01/27 | 4,104 | 411 | ||||||||||||||
Powerwave Technologies, Inc. 144A (2)(f)(g) | 2.750% | 07/15/41 | 3,900 | 39,000 | ||||||||||||||
Quantum Corp. (2) | 4.500% | 11/15/17 | 1,650 | 1,628,344 | ||||||||||||||
Rambus, Inc. 144A (2)(f) | 1.125% | 08/15/18 | 5,600 | 7,399,000 | ||||||||||||||
SouthPeak Interactive Corp. (3)(b)(g) | 10.000% | 12/31/14 | 2,500 | 239,510 | ||||||||||||||
SunEdison, Inc. 144A (2)(f) | 0.250% | 01/15/20 | 1,675 | 1,793,297 | ||||||||||||||
SunEdison, Inc. 144A (2)(f) | 2.000% | 10/01/18 | 27,550 | 46,886,656 | ||||||||||||||
SunEdison, Inc. 144A (2)(f) | 2.750% | 01/01/21 | 6,675 | 11,522,719 | ||||||||||||||
SunPower Corp. (2) | 4.500% | 03/15/15 | 625 | 1,147,656 | ||||||||||||||
VeriSign, Inc. (2) | 3.250% | 08/15/37 | 27,135 | 41,160,403 | ||||||||||||||
Vishay Intertechnology, Inc. 144A (2)(f) | 2.250% | 11/15/40 | 3,475 | 4,189,547 | ||||||||||||||
Web.com Group, Inc. (2) | 1.000% | 08/15/18 | 7,900 | 8,477,688 | ||||||||||||||
WebMD Health Corp. (2) | 2.250% | 03/31/16 | 5,075 | 5,217,734 | ||||||||||||||
WebMD Health Corp. 144A (2)(f) | 1.500% | 12/01/20 | 17,025 | 18,950,953 | ||||||||||||||
|
|
|||||||||||||||||
316,344,544 | ||||||||||||||||||
|
|
|||||||||||||||||
Materials - 0.6% | ||||||||||||||||||
A.M. Castle & Co. 144A (2)(f) | 7.000% | 12/15/17 | 925 | 1,192,672 | ||||||||||||||
Cemex SAB de CV (Mexico) (2) | 3.750% | 03/15/18 | 1,625 | 2,464,922 | ||||||||||||||
Cereplast, Inc. (3)(b)(g) | 7.000% | 06/01/16 | 3,516 | 1 | ||||||||||||||
ShengdaTech, Inc. (3)(b)(f)(g) | 6.000% | 06/01/18 | 300 | 3,000 | ||||||||||||||
ShengdaTech, Inc. (3)(b)(f)(g) | 6.500% | 12/15/15 | 1,200 | 12,000 | ||||||||||||||
Sterlite Industries India Ltd. (India) (3)(b) | 4.000% | 10/30/14 | 5,350 | 5,350,000 | ||||||||||||||
Stillwater Mining Co. (2) | 1.750% | 10/15/32 | 4,825 | 7,020,375 | ||||||||||||||
|
|
|||||||||||||||||
16,042,970 | ||||||||||||||||||
|
|
|||||||||||||||||
Utilities - 0.7% | ||||||||||||||||||
NRG Yield, Inc. 144A (2)(f) | 3.500% | 02/01/19 | 17,600 | 20,889,000 | ||||||||||||||
|
|
|||||||||||||||||
TOTAL CONVERTIBLE BONDS |
1,130,458,009 | |||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 11 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
12 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 13 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
14 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
LOAN PARTICIPATIONS - 0.8% | INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000s) |
VALUE (Note 3) |
||||||||||||||
Consumer Discretionary - 0.2% | ||||||||||||||||||
Dex Media West, Inc. (2)(i) | 8.000% | 12/30/16 | $ | 1,451 | $ | 1,341,023 | ||||||||||||
Exide Technologies (2) | 9.000% | 10/09/14 | 3,504 | 3,521,931 | ||||||||||||||
RH Donnelley, Inc. (2)(i) | 9.750% | 12/30/16 | 3,571 | 2,546,448 | ||||||||||||||
|
|
|||||||||||||||||
7,409,402 | ||||||||||||||||||
|
|
|||||||||||||||||
Energy - 0.2% | ||||||||||||||||||
Overseas Shipholding Group, Inc. (2)(g)(i) | 0.000% | 12/31/14 | 3,975 | 4,140,837 | ||||||||||||||
|
|
|||||||||||||||||
Financials - 0.1% | ||||||||||||||||||
J.G. Wentworth LLC (2)(i) | 7.000% | 02/08/19 | 1,876 | 1,873,829 | ||||||||||||||
|
|
|||||||||||||||||
Materials - 0.1% | ||||||||||||||||||
Momentive Performance Materials, Inc. (3)(b)(i) | 4.000% | 04/15/15 | 3,000 | 3,005,640 | ||||||||||||||
|
|
|||||||||||||||||
Utilities - 0.2% | ||||||||||||||||||
Texas Competitive Electric Holdings Co. LLC/TCEH Finance, Inc. (2)(i) |
3.250% | 06/19/16 | 5,050 | 5,080,653 | ||||||||||||||
|
|
|||||||||||||||||
TOTAL LOAN PARTICIPATIONS |
21,510,361 | |||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 15 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
16 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 17 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
18 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
CONVERTIBLE BONDS - (1.0)% | INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000s) |
VALUE (Note 3) |
||||||||||||||
Consumer Discretionary - (0.4)% | ||||||||||||||||||
Ford Motor Co. (2) | 4.250 | % | 11/15/16 | $ | (4,825 | ) | $ | (9,640,953 | ) | |||||||||
|
|
|||||||||||||||||
Health Care - (0.2)% | ||||||||||||||||||
Teva Pharmaceutical Finance Co. LLC, Series C (2) | 0.250 | % | 02/01/26 | (4,075 | ) | (5,208,359 | ) | |||||||||||
|
|
|||||||||||||||||
Information Technology - (0.4)% | ||||||||||||||||||
Intel Corp. (2) | 3.250 | % | 08/01/39 | (3,775 | ) | (5,822,938 | ) | |||||||||||
ON Semiconductor Corp., Series B (2) | 2.625 | % | 12/15/26 | (4,975 | ) | (5,836,297 | ) | |||||||||||
|
|
|||||||||||||||||
(11,659,235 | ) | |||||||||||||||||
|
|
|||||||||||||||||
TOTAL CONVERTIBLE BONDS SOLD SHORT |
(26,508,547 | ) | ||||||||||||||||
|
|
|||||||||||||||||
SHARES | ||||||||||||||||||
EXCHANGE TRADED FUNDS - 0.0% (a) | ||||||||||||||||||
SPDR S&P Regional Banking ETF (proceeds $124,438) |
(3,082 | ) | (124,266 | ) | ||||||||||||||
|
|
|||||||||||||||||
PREFERRED STOCKS - (0.6)% | ||||||||||||||||||
Consumer Discretionary - (0.6)% | ||||||||||||||||||
Volkswagen AG (Germany) (2) (proceeds $12,487,648) |
(60,872 | ) | (15,943,388 | ) | ||||||||||||||
|
|
|||||||||||||||||
PRINCIPAL AMOUNT (000s) |
||||||||||||||||||
U.S. TREASURY OBLIGATIONS - (0.1)% | ||||||||||||||||||
U.S. Treasury Note (2) |
0.250 | % | 08/15/15 | $ | (2,875 | ) | (2,877,697 | ) | ||||||||||
|
|
|||||||||||||||||
TOTAL SECURITIES SOLD SHORT |
(1,575,234,564 | ) | ||||||||||||||||
|
|
|||||||||||||||||
TOTAL INVESTMENTS,
NET OF |
2,198,290,307 | |||||||||||||||||
|
|
|||||||||||||||||
OTHER ASSETS IN EXCESS OF |
587,152,483 | |||||||||||||||||
|
|
|||||||||||||||||
NET ASSETS - 100.0% |
$ | 2,785,442,790 | ||||||||||||||||
|
|
| Non income-producing security. |
(a) | Represents less than 0.05 percent of net assets. |
(b) | Security fair valued at as of June 30, 2014 using procedures approved by the Board of Trustees. The total value of positions fair valued was $144,594,999 or 5.2% of total net assets. |
(c) | All or a portion of this security has been segregated as collateral for securities sold short and can be sold or replaced subject to the brokers right to re-hypothecate. At June 30, 2014, the value of these securities was $330,407,917. In addition, $558,326,003 of cash collateral was pledged. |
(d) | Represents a Pay-in-Kind Stock. |
(e) | 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 June 30, 2014. |
(f) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Fund Adviser has deemed this security to be liquid based upon procedures approved by the Board of Trustees. |
(g) | Defaulted security. |
(h) | Represents a step bond. The rate shown reflects the yield at June 30, 2014. |
(i) | Indicates a variable rate security. The interest rate shown represents the discount rate at June 30, 2014. |
(j) | Represents annualized seven-day yield as of June 30, 2014. |
(k) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(l) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures, swap contracts and call options written. |
* | All or a portion of this security has been segregated for covered call options written. |
All bonds are denominated in US dollars, unless noted otherwise.
All securities are United States companies, unless noted otherwise in parentheses.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 19 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
All securities are Level 1 with respect to ASC 820, unless otherwise noted in parentheses.
(2) | Level 2 security (See Note 5). |
(3) | Level 3 security (See Note 5). |
The following abbreviations are used in portfolio descriptions:
144A - Restricted Security
ADR - American Depositary Receipt
CAD - Canadian Dollar
EUR - Euro
MTN - Medium Term Note
NOK - Norwegian Krone
REIT - Real Estate Investment Trust
USD - United States Dollar
Credit default swap contracts buy protection as of June 30, 2014:
COUNTERPARTY | REFERENCE ENTITY |
FIXED ANNUAL RATE RECEIVED BY FUND |
CURRENCY | CREDIT SPREAD |
NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||
Exchange Cleared | ||||||||||||||||||||||||||
CitiBank, Inc. | Markit CDX North America High Yield Index Series 22 | 5.000% | USD | 3.030% | 329,825,000 | $(23,047,100) | 06/20/2019 | $(5,835,843) | ||||||||||||||||||
CitiBank, Inc. | Markit CDX North America Investment Grade Index Series 22 |
1.000% | USD | 0.580% | 7,975,000 | (110,283) | 06/20/2019 | (50,318) | ||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||
$(23,157,383) | $(5,886,161) | |||||||||||||||||||||||||
|
|
|
|
Credit default swap contracts sell protection as of June 30, 2014:
COUNTERPARTY | REFERENCE ENTITY |
FIXED ANNUAL RATE RECEIVED BY FUND |
CURRENCY | CREDIT SPREAD |
NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||
Exchange Cleared | ||||||||||||||||||||||||||
CitiBank, Inc. | Markit CDX North America High Yield Index Series 22 |
5.000% | USD | 3.030% | 26,325,000 | $2,195,447 | 06/20/2019 | $109,846 | ||||||||||||||||||
|
|
|
|
Cash held as collateral at CitiBank for credit default swap contracts was $36,152,004 at June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
20 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
Open written options contracts outstanding at June 30, 2014:
Call options written
NUMBER OF CONTRACTS |
ISSUER | COUNTERPARTY | EXPIRATION DATE | PROCEEDS | VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
21 | Allergan, Inc. (Exercise price $155) |
J.P. Morgan | July 19, 2014 | $(30,259) | $(30,240) | $19 | ||||||||||||||
21 | Allergan, Inc. (Exercise price $160) |
J.P. Morgan | July 19, 2014 | (24,043) | (24,570) | (527) | ||||||||||||||
21 | Allergan, Inc. (Exercise price $165) |
J.P. Morgan | July 19, 2014 | (18,247) | (15,540) | 2,707 | ||||||||||||||
21 | Allergan, Inc. (Exercise price $155) |
J.P. Morgan | September 20, 2014 | (31,667) | (39,690) | (8,023) | ||||||||||||||
21 | Allergan, Inc. (Exercise price $160) |
J.P. Morgan | September 20, 2014 | (24,737) | (31,500) | (6,763) | ||||||||||||||
1,325 | CBS Corp., Class B (Exercise price $80)(2) |
J.P. Morgan | July 19, 2014 | (9,901) | (2,650) | 7,251 | ||||||||||||||
1,165 | CBS Outdoor Americas, Inc. (Exercise price $45) |
J.P. Morgan | July 19, 2014 | (6,668) | (5,825) | 843 | ||||||||||||||
1,759 | Fusion-io, Inc. (Exercise price $11)(2) |
J.P. Morgan | September 20, 2014 | (106,441) | (61,565) | 44,876 | ||||||||||||||
4,000 | General Motors Co. (Exercise price $42) |
J.P. Morgan | January 15, 2016 | (2,203,697) | (820,000) | 1,383,697 | ||||||||||||||
769 | Mallinckrodt PLC (Exercise price $95) |
J.P. Morgan | October 18, 2014 | (136,386) | (142,265) | (5,879) | ||||||||||||||
20 | OpenTable, Inc. (Exercise price $100) |
J.P. Morgan | October 18, 2014 | (8,599) | (7,200) | 1,399 | ||||||||||||||
11 | Time Warner Cable, Inc. (Exercise price $130) | J.P. Morgan | July 19, 2014 | (11,267) | (18,370) | (7,103) | ||||||||||||||
25 | Time Warner Cable, Inc. (Exercise price $130) | J.P. Morgan | January 17, 2015 | (24,098) | (47,750) | (23,652) | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$(2,636,010) | $(1,247,165) | $1,388,845 | ||||||||||||||||||
|
|
|
|
|
|
(2) | Level 2 security (See Note 5). |
Open futures contracts outstanding at June 30, 2014:
Exchange Traded
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Short Contracts: | ||||||||||||||||||||
4,316 | Barclays Capital | S&P 500 E-Mini Futures | 9/2014 | $(415,692,528) | $(421,327,920) | $(5,635,392) | ||||||||||||||
695 | Barclays Capital | U.S. Treasury 10-Year Note Futures |
9/2014 | (86,811,120) | (86,994,453) | (183,333) | ||||||||||||||
1,599 | J.P. Morgan | U.S. Treasury 2-Year Note Futures |
9/2014 | (351,315,433) | (351,130,406) | 185,027 | ||||||||||||||
499 | J.P. Morgan | U.S. Treasury 5-Year Note Futures |
9/2014 | (59,688,369) | (59,611,008) | 77,361 | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$(913,507,450) | $(919,063,787) | $(5,556,337) | ||||||||||||||||||
|
|
|
|
|
|
Cash held as collateral at Barclays Capital and J.P. Morgan for futures contracts was $25,248,876 and $542,090, respectively at June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 21 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2014:
Over the Counter
PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Canadian Dollar, Expiring 07/07/14 | The Royal Bank of Scotland | CAD | 996 | $908 | $933 | $25 | ||||||||||||||
Canadian Dollar, Expiring 09/17/14 | The Royal Bank of Scotland | CAD | 542,055 | 496,562 | 507,012 | 10,450 | ||||||||||||||
Euro, Expiring 09/17/14 | Credit Suisse International | EUR | 2,480,808 | 3,376,660 | 3,397,970 | 21,310 | ||||||||||||||
Euro, Expiring 07/09/14 | The Royal Bank of Scotland | EUR | 996,273 | 1,368,589 | 1,364,241 | (4,348) | ||||||||||||||
Euro, Expiring 08/07/14 | The Royal Bank of Scotland | EUR | 408,086 | 564,755 | 558,872 | (5,883) | ||||||||||||||
Euro, Expiring 09/17/14 | The Royal Bank of Scotland | EUR | 6,369,484 | 8,643,882 | 8,724,300 | 80,418 | ||||||||||||||
Euro, Expiring 12/31/14 | The Royal Bank of Scotland | EUR | 5,891,540 | 8,032,291 | 8,073,235 | 40,944 | ||||||||||||||
Euro, Expiring 01/07/15 | The Royal Bank of Scotland | EUR | 64,828 | 89,500 | 88,838 | (662) | ||||||||||||||
British Pound, Expiring 04/07/15 | The Royal Bank of Scotland | GBP | 393,189 | 665,618 | 670,534 | 4,916 | ||||||||||||||
Norwegian Krone, Expiring 04/27/16 | The Royal Bank of Scotland | NOK | 19,387,600 | 3,091,382 | 3,103,520 | 12,138 | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$26,330,147 | $26,489,455 | $159,308 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Canadian Dollar, Expiring 09/17/14 | Credit Suisse International | CAD | (2,800,382) | $(2,564,498) | $(2,619,340) | $(54,842) | ||||||||||||||
Canadian Dollar, Expiring 07/07/14 | The Royal Bank of Scotland | CAD | (996) | (902) | (933) | (31) | ||||||||||||||
Canadian Dollar, Expiring 09/17/14 | The Royal Bank of Scotland | CAD | (6,804,065) | (6,255,819) | (6,364,188) | (108,369) | ||||||||||||||
Canadian Dollar, Expiring 09/30/14 | The Royal Bank of Scotland | CAD | (1,553,807) | (1,447,196) | (1,452,889) | (5,693) | ||||||||||||||
Euro, Expiring 07/09/14 | The Royal Bank of Scotland | EUR | (3,390,962) | (4,599,473) | (4,643,397) | (43,924) | ||||||||||||||
Euro, Expiring 08/07/14 | The Royal Bank of Scotland | EUR | (2,021,638) | (2,780,660) | (2,768,623) | 12,037 | ||||||||||||||
Euro, Expiring 09/17/14 | The Royal Bank of Scotland | EUR | (7,748,041) | (10,506,651) | (10,612,514) | (105,863) | ||||||||||||||
Euro, Expiring 12/31/14 | The Royal Bank of Scotland | EUR | (5,891,540) | (8,141,057) | (8,073,235) | 67,822 | ||||||||||||||
Euro, Expiring 01/07/15 | The Royal Bank of Scotland | EUR | (5,117,601) | (6,971,352) | (7,012,963) | (41,611) | ||||||||||||||
Euro, Expiring 04/07/15 | The Royal Bank of Scotland | EUR | (21,000) | (27,804) | (28,792) | (988) | ||||||||||||||
Euro, Expiring 06/09/15 | The Royal Bank of Scotland | EUR | (742,500) | (956,986) | (1,018,514) | (61,528) | ||||||||||||||
Euro, Expiring 11/09/15 | The Royal Bank of Scotland | EUR | (311,240) | (401,618) | (428,190) | (26,572) | ||||||||||||||
Euro, Expiring 04/05/16 | The Royal Bank of Scotland | EUR | (21,000) | (27,886) | (28,979) | (1,093) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
22 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Euro, Expiring 04/05/17 | The Royal Bank of Scotland | EUR | (21,000) | $(28,010) | $(29,448) | $(1,438) | ||||||||||||||
British Pound, Expiring 09/17/14 | The Royal Bank of Scotland | GBP | (3,439,378) | (5,845,878) | (5,882,356) | (36,478) | ||||||||||||||
British Pound, Expiring 04/07/15 | The Royal Bank of Scotland | GBP | (5,559,115) | (9,346,356) | (9,480,370) | (134,014) | ||||||||||||||
Norwegian Krone, Expiring 09/17/14 | Credit Suisse International | NOK | (2,004,763) | (332,919) | (325,860) | 7,059 | ||||||||||||||
Norwegian Krone, Expiring 09/17/14 | The Royal Bank of Scotland | NOK | (4,058,740) | (665,891) | (659,720) | 6,171 | ||||||||||||||
Norwegian Krone, Expiring 09/29/14 | The Royal Bank of Scotland | NOK | (368,000) | (58,875) | (59,788) | (913) | ||||||||||||||
Norwegian Krone, Expiring 11/18/14 | The Royal Bank of Scotland | NOK | (17,178,750) | (2,863,290) | (2,785,917) | 77,373 | ||||||||||||||
Norwegian Krone, Expiring 12/11/14 | The Royal Bank of Scotland | NOK | (1,397,358) | (222,594) | (226,424) | (3,830) | ||||||||||||||
Norwegian Krone, Expiring 12/18/14 | The Royal Bank of Scotland | NOK | (2,066,424) | (333,692) | (334,752) | (1,060) | ||||||||||||||
Norwegian Krone, Expiring 12/29/14 | The Royal Bank of Scotland | NOK | (364,000) | (58,017) | (58,943) | (926) | ||||||||||||||
Norwegian Krone, Expiring 03/19/15 | The Royal Bank of Scotland | NOK | (2,082,751) | (334,977) | (336,342) | (1,365) | ||||||||||||||
Norwegian Krone, Expiring 03/27/15 | The Royal Bank of Scotland | NOK | (360,000) | (57,174) | (58,120) | (946) | ||||||||||||||
Norwegian Krone, Expiring 06/11/15 | The Royal Bank of Scotland | NOK | (26,889,722) | (4,251,474) | (4,332,197) | (80,723) | ||||||||||||||
Norwegian Krone, Expiring 06/18/15 | The Royal Bank of Scotland | NOK | (75,604,625) | (12,130,511) | (12,178,326) | (47,815) | ||||||||||||||
Norwegian Krone, Expiring 06/29/15 | The Royal Bank of Scotland | NOK | (12,368,000) | (1,956,652) | (1,991,661) | (35,009) | ||||||||||||||
Norwegian Krone, Expiring 04/27/16 | The Royal Bank of Scotland | NOK | (19,387,600) | (3,266,931) | (3,103,520) | 163,411 | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
(86,435,143) | (86,896,301) | (461,158) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$(60,104,996) | $(60,406,846) | $(301,850) | ||||||||||||||||||
|
|
|
|
|
|
Money Market Fund is pledged as collateral to Credit Suisse International and The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $2 and $129,438 at June 30, 2014.
CAD - Canadian Dollar
EUR - Euro
GBP - British Pound
NOK - Norwegian Krone
USD - United States Dollar
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 23 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
Total Return Basket Swaps* Outstanding at June 30, 2014
Over the Counter
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 3) |
|||||
Bank Of America | The Fund receives or pays the total return on a portfolio of short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 5.5 years maturity 08/12/2019 | $20,724 | |||||
|
|
* | See the accompanying Additional Information Total Return Basket Swap for further details. |
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Deutsche Bank | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the AUD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap. | 12 months maturity 10/16/2014 | $(257,317) | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
24 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Deutsche Bank | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (LIBOR) plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | 18 months maturity 06/22/2015 |
$(235,170) | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 25 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
COUNTERPARTY |
DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Deutsche Bank | The Fund receives or pays the total return on a portfolio of long positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 12 months maturity 04/10/2015 |
$55,687 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
26 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
JPMorgan | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swaps. | 13 months maturity ranging from 10/04/2014 - 04/20/2015 |
$537,563 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2014 | 27 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
Total return swap contract outstanding as of June 30, 2014:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
Goldman Sachs | Swiss Market Index Futures | 9/2014 | CHF | 259,218 | $(3,116) | |||||||||
|
|
Money Market Fund is pledged as collateral to Goldman Sachs for total return swap contract in the amount of $2,430,000 at June 30, 2014.
Open futures contracts outstanding at June 30, 2014:
Exchange Traded
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
Long Contracts: | ||||||||||||||||||
1 | Barclays Capital | Amsterdam Index Futures | 7/2014 | $ | 113,189 | $ | 113,173 | $ | (16 | ) | ||||||||
5 | Barclays Capital | CAC40 Index Futures | 7/2014 | 309,244 | 302,752 | (6,492 | ) | |||||||||||
1 | Barclays Capital | DAX Index Futures | 9/2014 | 338,539 | 337,515 | (1,024 | ) | |||||||||||
5 | Barclays Capital | FTSE 100 Index Futures | 9/2014 | 575,863 | 574,260 | (1,603 | ) | |||||||||||
1 | Barclays Capital | Hang Seng Index Futures | 7/2014 | 147,958 | 149,051 | 1,093 | ||||||||||||
1 | Barclays Capital | IBEX 35 Index Futures | 7/2014 | 149,654 | 148,645 | (1,009 | ) | |||||||||||
2 | Barclays Capital | MSCI Singapore Index Futures | 7/2014 | 119,100 | 118,855 | (245 | ) | |||||||||||
4 | Barclays Capital | OMXS30 Index Futures | 7/2014 | 82,946 | 82,585 | (361 | ) | |||||||||||
28 | Barclays Capital | S&P 500 E-Mini Futures | 9/2014 | 2,699,144 | 2,733,361 | 34,217 | ||||||||||||
3 | Barclays Capital | S&P/Toronto Stock Exchange 60 Index Futures | 9/2014 | 480,064 | 485,656 | 5,592 | ||||||||||||
2 | Barclays Capital | SPI 200 Index Futures | 9/2014 | 252,608 | 252,428 | (180 | ) | |||||||||||
8 | Barclays Capital | TOPIX Index Futures | 9/2014 | 982,559 | 996,989 | 14,430 | ||||||||||||
|
|
|
|
|
|
|||||||||||||
6,250,868 | 6,295,270 | 44,402 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||
Short Contracts: | ||||||||||||||||||
6 | Barclays Capital | Euro Stoxx 50 Index | 9/2014 | (267,737 | ) | (265,535 | ) | 2,202 | ||||||||||
|
|
|
|
|
|
|||||||||||||
$ | 5,983,131 | $ | 6,029,735 | $ | 46,604 | |||||||||||||
|
|
|
|
|
|
Cash held as collateral at Barclays Capital for futures contracts was $231,405 at June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
28 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2014:
Over the Counter
PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Australian Dollar, Expiring 09/17/14 | Credit Suisse International | AUD | 121,000 | $111,317 | $113,462 | $2,145 | ||||||||||||||
Australian Dollar, Expiring 09/17/14 | The Royal Bank of Scotland | AUD | 121,000 | 111,316 | 113,462 | 2,146 | ||||||||||||||
Canadian Dollar, Expiring 09/17/14 | Credit Suisse International | CAD | 156,500 | 143,316 | 146,382 | 3,066 | ||||||||||||||
Canadian Dollar, Expiring 09/17/14 | The Royal Bank of Scotland | CAD | 156,499 | 143,315 | 146,382 | 3,067 | ||||||||||||||
Swiss Franc, Expiring 09/17/14 | Credit Suisse International | CHF | 117,000 | 130,683 | 132,023 | 1,340 | ||||||||||||||
Swiss Franc, Expiring 09/17/14 | The Royal Bank of Scotland | CHF | 117,000 | 130,684 | 132,023 | 1,339 | ||||||||||||||
Danish Krone, Expiring 09/17/14 | Credit Suisse International | DKK | 102,000 | 18,622 | 18,742 | 120 | ||||||||||||||
Danish Krone, Expiring 09/17/14 | The Royal Bank of Scotland | DKK | 102,000 | 18,623 | 18,742 | 119 | ||||||||||||||
Euro, Expiring 09/17/14 | Credit Suisse International | EUR | 289,001 | 393,362 | 395,846 | 2,484 | ||||||||||||||
Euro, Expiring 09/17/14 | The Royal Bank of Scotland | EUR | 289,000 | 393,361 | 395,844 | 2,483 | ||||||||||||||
British Pound, Expiring 09/17/14 | Credit Suisse International | GBP | 198,001 | 331,782 | 338,640 | 6,858 | ||||||||||||||
British Pound, Expiring 09/17/14 | The Royal Bank of Scotland | GBP | 198,000 | 331,780 | 338,639 | 6,859 | ||||||||||||||
Hong Kong Dollar, Expiring 09/17/14 | Credit Suisse International | HKD | 323,500 | 41,733 | 41,723 | (10 | ) | |||||||||||||
Hong Kong Dollar, Expiring 09/17/14 | The Royal Bank of Scotland | HKD | 358,500 | 46,248 | 46,237 | (11 | ) | |||||||||||||
Israeli Shekel, Expiring 09/17/14 | Credit Suisse International | ILS | 25,000 | 7,212 | 7,282 | 70 | ||||||||||||||
Israeli Shekel, Expiring 09/17/14 | The Royal Bank of Scotland | ILS | 25,000 | 7,212 | 7,282 | 70 | ||||||||||||||
Japanese Yen, Expiring 09/17/14 | Credit Suisse International | JPY | 22,161,501 | 216,527 | 218,884 | 2,357 | ||||||||||||||
Japanese Yen, Expiring 09/17/14 | The Royal Bank of Scotland | JPY | 22,161,500 | 216,528 | 218,884 | 2,356 | ||||||||||||||
Norwegian Krone, Expiring 09/17/14 | Credit Suisse International | NOK | 74,500 | 12,372 | 12,109 | (263 | ) | |||||||||||||
Norwegian Krone, Expiring 09/17/14 | The Royal Bank of Scotland | NOK | 74,500 | 12,372 | 12,110 | (262 | ) | |||||||||||||
New Zealand Dollar, Expiring 09/17/14 | Credit Suisse International | NZD | 2,000 | 1,682 | 1,738 | 56 | ||||||||||||||
New Zealand Dollar, Expiring 09/17/14 | The Royal Bank of Scotland | NZD | 1,999 | 1,681 | 1,737 | 56 | ||||||||||||||
Swedish Krona, Expiring 09/17/14 | Credit Suisse International | SEK | 296,501 | 44,386 | 44,341 | (45 | ) | |||||||||||||
Swedish Krona, Expiring 09/17/14 | The Royal Bank of Scotland | SEK | 296,500 | 44,386 | 44,341 | (45 | ) | |||||||||||||
Singapore Dollar, Expiring 09/17/14 | Credit Suisse International | SGD | 26,500 | 21,089 | 21,253 | 164 | ||||||||||||||
Singapore Dollar, Expiring 09/17/14 | The Royal Bank of Scotland | SGD | 26,500 | 21,089 | 21,253 | 164 | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$2,952,678 | $2,989,361 | $36,683 | ||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 29 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Swiss Franc, Expiring 09/17/14 | The Royal Bank of Scotland | CHF | (58,000 | ) | $(64,515 | ) | $(65,448 | ) | $(933 | ) | ||||||||||
Euro, Expiring 09/17/14 |
The Royal Bank of Scotland | EUR | (50,000 | ) | (68,134 | ) | (68,485 | ) | (351 | ) | ||||||||||
British Pound, Expiring 09/17/14 | The Royal Bank of Scotland | GBP | (33,000 | ) | (55,120 | ) | (56,440 | ) | (1,320 | ) | ||||||||||
Japanese Yen, Expiring 09/17/14 | The Royal Bank of Scotland | JPY | (12,958,000 | ) | (126,744 | ) | (127,983 | ) | (1,239 | ) | ||||||||||
|
|
|
|
|
|
|||||||||||||||
(314,513 | ) | (318,356 | ) | (3,843 | ) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$2,638,165 | $2,671,005 | $32,840 | ||||||||||||||||||
|
|
|
|
|
|
Money Market Fund is pledged as collateral to The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $10,000 at June 30, 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. | (Continued) |
30 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
Total Return Basket Swaps* Outstanding at June 30, 2014
Over the Counter
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Deutsche Bank | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the CAD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap. | 13 months maturity 11/07/2014 |
$(11,877) | |||||
|
|
* | See the accompanying Additional Information Total Return Basket Swap for further details. |
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 31 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Deutsche Bank | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (LIBOR) plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | 13 months maturity 08/22/2014 | $31,052 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
32 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Deutsche Bank | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the JPY/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap. | 13 months maturity 08/18/2014 | $209,245 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 33 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
34 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 35 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Deutsche Bank | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Association of Singapore Banks Rate plus or minus a specified spread, which is denominated in SGD based on the local currencies of the positions within the swap. | 13 months maturity 08/22/2014 | $3,737 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
36 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Deutsche Bank | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the HKD/USD 1 Week Forward FX Swap Rate plus or minus a specified spread, which is denominated in HKD based on the local currencies of the positions within the swap. | 12-13 months maturity ranging from 07/22/2014 - 08/22/2014 |
$40,347 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 37 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Deutsche Bank | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the AUD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap. | 13 months maturity 08/18/2014 | $8,309 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
38 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Deutsche Bank | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR, which is denominated in USD based on the local currencies of the positions within the swap. | 12 months maturity 05/22/2015 | $408 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Goldman Sachs | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 13 months maturity 02/20/2015 | $14,857 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 39 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
40 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 41 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
42 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 43 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
44 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Money Market Fund pledged to Goldman Sachs is included in collateral for total return swap contracts.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 45 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Goldman Sachs | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap. | 13 months maturity 02/20/2015 | $90,083 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
46 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 3) |
|||||
Goldman Sachs | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 13 months maturity ranging from 07/22/2014 - 02/20/2015 | $184,410 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 47 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
48 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Goldman Sachs | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Stockholm Interbank Offered Rate plus or minus a specified spread, which is denominated in SEK based on the local currencies of the positions within the swap. | 13 months maturity 02/20/2015 | $15,159 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 49 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Goldman Sachs | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Norway Interbank Offered Rate plus or minus a specified spread, which is denominated in NOK based on the local currencies of the positions within the swap. | 13 months maturity 02/20/2015 | $10,599 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
50 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Schedule of Investments | June 30, 2014 (Unaudited) |
AQR LONG-SHORT EQUITY FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Goldman Sachs | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Copenhagen Interbank Rate plus or minus a specified spread, which is denominated in DKK based on the local currencies of the positions within the swap. | 13 months maturity 02/20/2015 | $29,878 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2014 | 51 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR GLOBAL MACRO FUND |
Interest rate swap contracts outstanding as of June 30, 2014:
COUNTERPARTY | PAYMENTS MADE BY THE FUND |
PAYMENTS RECEIVED BY THE FUND |
CURRENCY | NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
Exchange Cleared | ||||||||||||||||||||||||
CitiBank | 3 Month Australian Bank-Bill Reference Rate | 3.000% | AUD | 5,270,000 | $(10,430) | 09/08/2016 | $32,080 | |||||||||||||||||
CitiBank | 3.000% | (1) | AUD | 2,830,000 | (2,819) | 09/08/2016 | (8,807) | |||||||||||||||||
CitiBank | 3.000% | (1) | AUD | 2,240,000 | 1,161 | 09/08/2016 | (10,363) | |||||||||||||||||
CitiBank | 4.500% | (2) | AUD | 1,280,000 | 411 | 09/12/2024 | (54,761) | |||||||||||||||||
CitiBank | 6 Month Australian Bank-Bill Reference Rate | 4.500% | AUD | 560,000 | 4,659 | 09/12/2024 | 19,119 | |||||||||||||||||
CitiBank | 6 Month Australian Bank-Bill Reference Rate | 4.500% | AUD | 680,000 | 13,561 | 09/12/2024 | 15,312 | |||||||||||||||||
CitiBank | 1.500% | (3) | CAD | 32,490,000 | 28,062 | 09/19/2016 | (38,901) | |||||||||||||||||
CitiBank | 1.500% | (3) | CAD | 1,170,000 | 436 | 09/19/2016 | (826) | |||||||||||||||||
CitiBank | 3 Month London Interbank Offered Rate | 1.500% | CAD | 3,140,000 | 2,927 | 09/19/2016 | (1,879) | |||||||||||||||||
CitiBank | 3 Month London Interbank Offered Rate | 3.000% | CAD | 7,490,000 | 6,378 | 09/16/2024 | 165,589 | |||||||||||||||||
CitiBank | 3 Month London Interbank Offered Rate | 3.000% | CAD | 170,000 | 1,850 | 09/16/2024 | 2,054 | |||||||||||||||||
CitiBank | 3.000% | (3) | CAD | 790,000 | (13,193) | 09/16/2024 | (4,945) | |||||||||||||||||
CitiBank | 0.500% | (4) | EUR | 110,000 | (130) | 09/21/2016 | (362) | |||||||||||||||||
CitiBank | 0.500% | (4) | EUR | 2,230,000 | (6,513) | 09/21/2016 | (3,466) | |||||||||||||||||
CitiBank | 0.500% | (4) | EUR | 2,220,000 | (7,856) | 09/21/2016 | (2,078) | |||||||||||||||||
CitiBank | 0.500% | (4) | EUR | 20,100,000 | 30,365 | 09/21/2016 | (120,313) | |||||||||||||||||
CitiBank | 0.500% | (4) | EUR | 7,940,000 | (27,883) | 09/21/2016 | (7,649) | |||||||||||||||||
CitiBank | 2.000% | (4) | EUR | 1,010,000 | (45,974) | 09/18/2024 | (21,148) | |||||||||||||||||
CitiBank | 2.000% | (4) | EUR | 370,000 | (9,681) | 09/18/2024 | (14,909) | |||||||||||||||||
CitiBank | 2.000% | (4) | EUR | 300,000 | (5,549) | 09/18/2024 | (14,388) | |||||||||||||||||
CitiBank | 2.000% | (4) | EUR | 270,000 | (10,427) | 09/18/2024 | (7,517) | |||||||||||||||||
CitiBank | 2.000% | (4) | EUR | 320,000 | (6,786) | 09/18/2024 | (14,481) | |||||||||||||||||
CitiBank | 2.000% | (4) | EUR | 1,430,000 | (80,370) | 09/18/2024 | (14,665) | |||||||||||||||||
CitiBank | 6 Month Euro Interbank Offered Rate | 0.500% | EUR | 1,000,000 | 2,354 | 09/21/2016 | 2,121 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
52 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR GLOBAL MACRO FUND |
COUNTERPARTY | PAYMENTS MADE BY THE FUND |
PAYMENTS RECEIVED BY THE FUND |
CURRENCY | NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
CitiBank | 6 Month Euro Interbank Offered Rate | 0.500% | EUR | 1,460,000 | $(200) | 09/21/2016 | $6,734 | |||||||||||||||||
CitiBank | 6 Month Euro Interbank Offered Rate | 0.500% | EUR | 4,460,000 | 16,383 | 09/21/2016 | 3,575 | |||||||||||||||||
CitiBank | 6 Month Euro Interbank Offered Rate | 0.500% | EUR | 1,500,000 | (971) | 09/21/2016 | 7,684 | |||||||||||||||||
CitiBank | 6 Month Euro Interbank Offered Rate | 0.500% | EUR | 6,530,000 | 25,671 | 09/21/2016 | 3,551 | |||||||||||||||||
CitiBank | 6 Month Euro Interbank Offered Rate | 2.000% | EUR | 340,000 | 11,739 | 09/18/2024 | 10,857 | |||||||||||||||||
CitiBank | 6 Month Euro Interbank Offered Rate | 2.000% | EUR | 450,000 | 18,199 | 09/18/2024 | 11,707 | |||||||||||||||||
CitiBank | 6 Month Euro Interbank Offered Rate | 2.000% | EUR | 4,400,000 | 48,755 | 09/18/2024 | 243,661 | |||||||||||||||||
CitiBank | 6 Month Euro Interbank Offered Rate | 2.000% | EUR | 1,730,000 | 72,310 | 09/18/2024 | 42,663 | |||||||||||||||||
CitiBank | 6 Month Euro Interbank Offered Rate | 2.000% | EUR | 510,000 | 22,688 | 09/18/2024 | 11,206 | |||||||||||||||||
CitiBank | 1.500% | (5) | GBP | 7,080,000 | 15,388 | 09/21/2016 | (11,085) | |||||||||||||||||
CitiBank | 1.500% | (5) | GBP | 1,200,000 | (2,378) | 09/21/2016 | 3,107 | |||||||||||||||||
CitiBank | 2.500% | (5) | GBP | 3,390,000 | (71,651) | 09/18/2019 | 13,085 | |||||||||||||||||
CitiBank | 3.000% | (5) | GBP | 70,000 | (991) | 09/18/2024 | (619) | |||||||||||||||||
CitiBank | 3.000% | (5) | GBP | 940,000 | (11,977) | 09/18/2024 | (9,645) | |||||||||||||||||
CitiBank | 3.000% | (5) | GBP | 120,000 | (3,073) | 09/18/2024 | 313 | |||||||||||||||||
CitiBank | 3.000% | (5) | GBP | 30,000 | (923) | 09/18/2024 | 233 | |||||||||||||||||
CitiBank | 3.000% | (5) | GBP | 9,900,000 | (89,218) | 09/18/2024 | (138,500) | |||||||||||||||||
CitiBank | 3.000% | (5) | GBP | 920,000 | (8,860) | 09/18/2024 | (12,302) | |||||||||||||||||
CitiBank | 6 Month London Interbank Offered Rate | 1.500% | GBP | 43,200,000 | 184,494 | 09/21/2016 | (210,755) | |||||||||||||||||
CitiBank | 6 Month London Interbank Offered Rate | 1.500% | GBP | 980,000 | 4,655 | 09/21/2016 | (5,251) | |||||||||||||||||
CitiBank | 6 Month London Interbank Offered Rate | 1.500% | GBP | 190,000 | 68 | 09/21/2016 | (183) | |||||||||||||||||
CitiBank | 6 Month London Interbank Offered Rate | 2.500% | GBP | 1,690,000 | 21,148 | 09/18/2019 | 8,048 | |||||||||||||||||
CitiBank | 6 Month London Interbank Offered Rate | 2.500% | GBP | 1,700,000 | 16,939 | 09/18/2019 | 12,430 | |||||||||||||||||
CitiBank | 6 Month London Interbank Offered Rate | 3.000% | GBP | 1,590,000 | 22,160 | 09/18/2024 | 14,413 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 53 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR GLOBAL MACRO FUND |
COUNTERPARTY | PAYMENTS MADE BY THE FUND |
PAYMENTS RECEIVED BY THE FUND |
CURRENCY | NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
CitiBank | 6 Month London Interbank Offered Rate | 3.000% | GBP | 300,000 | $2,208 | 09/18/2024 | $4,692 | |||||||||||||||||
CitiBank | 6 Month London Interbank Offered Rate | 3.000% | GBP | 1,860,000 | 21,311 | 09/18/2024 | 21,473 | |||||||||||||||||
CitiBank | 0.250% | (5) | JPY | 4,011,080,000 | (37,235) | 09/21/2016 | (20,559) | |||||||||||||||||
CitiBank | 1.000% | (5) | JPY | 186,550,000 | (34,254) | 09/18/2024 | (12,949) | |||||||||||||||||
CitiBank | 1.000% | (5) | JPY | 124,180,000 | (25,921) | 09/18/2024 | (5,501) | |||||||||||||||||
CitiBank | 1.000% | (5) | JPY | 42,600,000 | (7,711) | 09/18/2024 | (3,068) | |||||||||||||||||
CitiBank | 1.000% | (5) | JPY | 186,550,000 | (33,669) | 09/18/2024 | (13,533) | |||||||||||||||||
CitiBank | 1.000% | (5) | JPY | 43,000,000 | (5,647) | 09/18/2024 | (5,233) | |||||||||||||||||
CitiBank | 1.000% | (5) | JPY | 110,630,000 | (25,429) | 09/18/2024 | (2,564) | |||||||||||||||||
CitiBank | 1.000% | (5) | JPY | 49,800,000 | (7,190) | 09/18/2024 | (5,411) | |||||||||||||||||
CitiBank | 1.000% | (5) | JPY | 43,000,000 | (6,334) | 09/18/2024 | (4,546) | |||||||||||||||||
CitiBank | 6 Month London Interbank Offered Rate | 0.250% | JPY | 886,445,000 | 8,809 | 09/21/2016 | 3,963 | |||||||||||||||||
CitiBank | 6 Month London Interbank Offered Rate | 0.250% | JPY | 220,760,000 | 1,929 | 09/21/2016 | 1,252 | |||||||||||||||||
CitiBank | 6 Month London Interbank Offered Rate | 0.250% | JPY | 206,000,000 | 1,856 | 09/21/2016 | 1,112 | |||||||||||||||||
CitiBank | 6 Month London Interbank Offered Rate | 0.250% | JPY | 595,380,000 | 7,987 | 09/21/2016 | 591 | |||||||||||||||||
CitiBank | 6 Month London Interbank Offered Rate | 0.250% | JPY | 886,445,000 | 8,658 | 09/21/2016 | 4,114 | |||||||||||||||||
CitiBank | 6 Month London Interbank Offered Rate | 0.250% | JPY | 534,270,000 | 8,135 | 09/21/2016 | (437) | |||||||||||||||||
CitiBank | 6 Month London Interbank Offered Rate | 0.250% | JPY | 208,000,000 | 1,462 | 09/21/2016 | 1,535 | |||||||||||||||||
CitiBank | 6 Month London Interbank Offered Rate | 0.250% | JPY | 202,980,000 | 1,920 | 09/21/2016 | 1,005 | |||||||||||||||||
CitiBank | 6 Month London Interbank Offered Rate | 1.000% | JPY | 841,040,000 | 106,705 | 09/18/2024 | 106,103 | |||||||||||||||||
CitiBank | 2.000% | (6) | NOK | 53,000,000 | 22,780 | 09/21/2016 | (57,041) | |||||||||||||||||
CitiBank | 2.000% | (6) | NOK | 10,000 | 2 | 09/21/2016 | (8) | |||||||||||||||||
CitiBank | 3.500% | (6) | NOK | 3,100,000 | (11,129) | 09/18/2024 | (18,505) | |||||||||||||||||
CitiBank | 6 Month Norwegian Interbank Offered Rate | 2.000% | NOK | 12,300,000 | (4,221) | 09/21/2016 | 12,172 | |||||||||||||||||
CitiBank | 6 Month Norwegian Interbank Offered Rate | 3.500% | NOK | 12,200,000 | 42,616 | 09/18/2024 | 74,007 | |||||||||||||||||
CitiBank | 3 Month Australian Bank-Bill Reference Rate | 4.000% | NZD | 2,430,000 | (16,095) | 09/14/2016 | 3,884 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
54 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR GLOBAL MACRO FUND |
COUNTERPARTY | PAYMENTS MADE BY THE FUND |
PAYMENTS RECEIVED BY THE FUND |
CURRENCY | NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
CitiBank | 3 Month Australian Bank-Bill Reference Rate | 5.000% | NZD | 180,000 | $1,223 | 09/11/2024 | $(387) | |||||||||||||||||
CitiBank | 3 Month Australian Bank-Bill Reference Rate | 5.000% | NZD | 420,000 | 2,891 | 09/11/2024 | (940) | |||||||||||||||||
CitiBank | 4.000% | (1) | NZD | 1,700,000 | 4,874 | 09/14/2016 | 3,668 | |||||||||||||||||
CitiBank | 4.000% | (1) | NZD | 720,000 | 2,135 | 09/14/2016 | 1,483 | |||||||||||||||||
CitiBank | 5.000% | (1) | NZD | 600,000 | 4,879 | 09/11/2024 | (7,666) | |||||||||||||||||
CitiBank | 1.500% | (7) | SEK | 13,380,000 | (14,721) | 09/21/2016 | (12,281) | |||||||||||||||||
CitiBank | 1.500% | (7) | SEK | 13,300,000 | (18,394) | 09/21/2016 | (8,447) | |||||||||||||||||
CitiBank | 1.500% | (7) | SEK | 13,350,000 | (18,408) | 09/21/2016 | (8,533) | |||||||||||||||||
CitiBank | 3 Month Stockholm Interbank Offered Rate | 1.500% | SEK | 172,800,000 | 141,853 | 09/21/2016 | 206,869 | |||||||||||||||||
CitiBank | 3 Month Stockholm Interbank Offered Rate | 2.500% | SEK | 3,100,000 | 4,080 | 09/18/2024 | 12,237 | |||||||||||||||||
CitiBank | 3 Month Stockholm Interbank Offered Rate | 2.500% | SEK | 4,050,000 | 5,166 | 09/18/2024 | 16,152 | |||||||||||||||||
CitiBank | 3 Month Stockholm Interbank Offered Rate | 2.500% | SEK | 3,050,000 | 426 | 09/18/2024 | 15,628 | |||||||||||||||||
CitiBank | 3.000% | (7) | SEK | 39,100,000 | (221,295) | 09/18/2024 | (253,353) | |||||||||||||||||
CitiBank | 1.000% | (3) | USD | 2,020,000 | (11,500) | 09/19/2016 | (176) | |||||||||||||||||
CitiBank | 3 Month London Interbank Offered Rate | 1.000% | USD | 4,800,000 | 12,626 | 09/19/2016 | 15,120 | |||||||||||||||||
CitiBank | 3 Month London Interbank Offered Rate | 1.000% | USD | 5,300,000 | 11,415 | 09/19/2016 | 19,221 | |||||||||||||||||
CitiBank | 3 Month London Interbank Offered Rate | 1.000% | USD | 5,760,000 | 18,288 | 09/19/2016 | 15,007 | |||||||||||||||||
CitiBank | 3 Month London Interbank Offered Rate | 3.250% | USD | 510,000 | 21,500 | 09/17/2024 | 4,346 | |||||||||||||||||
CitiBank | 3.250% | (3) | USD | 10,000 | (440) | 09/17/2024 | (67) | |||||||||||||||||
CitiBank | 3.250% | (3) | USD | 1,110,000 | (20,697) | 09/17/2024 | (35,557) | |||||||||||||||||
CitiBank | 3.250% | (3) | USD | 1,200,000 | (22,343) | 09/17/2024 | (38,472) | |||||||||||||||||
CitiBank | 3.250% | (3) | USD | 1,330,000 | (43,822) | 09/17/2024 | (23,581) | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
$36,187 | $(93,437) | |||||||||||||||||||||||
|
|
|
|
| Forward effective date swap. See Note 3 in the Notes to Financial Statements. |
(1) | 3 Month Australian Bank-Bill Reference Rate |
(2) | 6 Month Australian Bank-Bill Reference Rate |
(3) | 3 Month London Interbank Offered Rate |
(4) | 6 Month Euro Interbank Offered Rate |
(5) | 6 Month London Interbank Offered Rate |
(6) | 6 Month Norwegian Interbank Offered Rate |
(7) | 3 Month Stockholm Interbank Offered Rate |
Cash held as collateral at CitiBank for interest rate swap contracts was $517,640 at June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 55 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR GLOBAL MACRO FUND |
Total return swap contracts outstanding as of June 30, 2014:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
Bank of America | 10-Year Canadian Bond | 9/2014 | CAD | (269,625 | ) | $(2,168 | ) | |||||||
Bank of America | Bovespa Index | 8/2014 | BRL | (277,325 | ) | 4,020 | ||||||||
CitiBank | Corn Futures^ | 9/2014 | USD | (21,762 | ) | 824 | ||||||||
Bank of America | H-SHARES Index Futures | 7/2014 | HKD | 505,125 | 900 | |||||||||
Bank of America | Long Gilt Futures | 9/2014 | GBP | (219,671 | ) | (299 | ) | |||||||
Bank of America | MSCI Taiwan Stock Index Futures | 7/2014 | USD | 163,203 | 2,997 | |||||||||
Deutsche Bank | Palladium Futures^ | 9/2014 | USD | 251,111 | 1,834 | |||||||||
Bank of America | SGX S&P CNX Nifty Index Futures | 7/2014 | USD | 45,284 | 475 | |||||||||
CitiBank | Soybean Futures^ | 11/2014 | USD | (60,220 | ) | 2,358 | ||||||||
Bank of America | Swiss Market Index Futures | 9/2014 | CHF | (3,027,035 | ) | 39,478 | ||||||||
Bank of America | Taiwan Stock Exchange Futures | 7/2014 | TWD | 3,651,484 | 2,157 | |||||||||
Bank of America | Tel Aviv 25 Index Futures | 7/2014 | ILS | 140,578 | (489 | ) | ||||||||
Bank of America | U.S. Treasury 10-Year Note Futures | 9/2014 | USD | 7,850,742 | 35,086 | |||||||||
Bank of America | WIG20 Index Futures | 9/2014 | PLN | 97,374 | (873 | ) | ||||||||
|
|
|||||||||||||
$86,300 | ||||||||||||||
|
|
Money Market Fund is pledged as collateral to Bank of America for total return swap contracts in the amount of $220,000 at June 30, 2014.
^ Represents positions held in the respective Subsidiary (Note 2).
Open futures contracts outstanding at June 30, 2014:
Exchange Traded
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED (DEPRECIATION) |
||||||||||||
Long Contracts: | ||||||||||||||||||
5 | Goldman Sachs | Brent Crude Futures^ | 8/2014 | $ | 562,993 | $ | 560,350 | $ | (2,643 | ) | ||||||||
1 | Goldman Sachs | Gold 100 OZ Futures^ | 8/2014 | 131,873 | 132,200 | 327 | ||||||||||||
11 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | 501,073 | 511,569 | 10,496 | ||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | 92,558 | 93,188 | 630 | ||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | 93,952 | 93,280 | (672 | ) | |||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 44,027 | 46,981 | 2,954 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 46,151 | 47,136 | 985 | ||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 92,463 | 94,538 | 2,075 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 47,327 | 47,270 | (57 | ) | |||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 332,179 | 352,020 | 19,841 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 166,692 | 175,841 | 9,149 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 170,803 | 175,716 | 4,913 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 167,499 | 175,600 | 8,101 | ||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 7/2014 | 51,927 | 53,681 | 1,754 | ||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | 196,924 | 227,718 | 30,794 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | 109,572 | 113,935 | 4,363 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | 112,505 | 114,179 | 1,674 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | 113,312 | 114,222 | 910 | ||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 151,956 | 166,012 | 14,056 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2014 | 52,326 | 55,320 | 2,994 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2014 | 51,630 | 55,350 | 3,720 | ||||||||||||
2 | Goldman Sachs | WTI Crude Futures^ | 8/2014 | 211,253 | 210,740 | (513 | ) | |||||||||||
14 | Barclays Capital | Amsterdam Index Futures | 7/2014 | 1,592,503 | 1,584,417 | (8,086 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
56 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR GLOBAL MACRO FUND |
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED (DEPRECIATION) |
||||||||||||
Long Contracts: (continued) | ||||||||||||||||||
15 | Barclays Capital | BIST National 30 Index Futures | 8/2014 | $ | 69,871 | $ | 69,296 | $ | (575 | ) | ||||||||
102 | Barclays Capital | Euro Stoxx 50 Index | 9/2014 | 4,569,159 | 4,514,089 | (55,070 | ) | |||||||||||
6 | Barclays Capital | FTSE/JSE Top 40 Index Futures | 9/2014 | 259,230 | 259,915 | 685 | ||||||||||||
13 | Barclays Capital | IBEX 35 Index Futures | 7/2014 | 1,943,535 | 1,932,376 | (11,159 | ) | |||||||||||
3 | Barclays Capital | MSCI Taiwan Stock Index Futures | 7/2014 | 98,067 | 99,720 | 1,653 | ||||||||||||
21 | Barclays Capital | OMXS30 Index Futures | 7/2014 | 435,673 | 433,575 | (2,098 | ) | |||||||||||
9 | Barclays Capital | S&P/Toronto Stock Exchange 60 Index Futures | 9/2014 | 1,443,503 | 1,456,970 | 13,467 | ||||||||||||
1 | Barclays Capital | SET50 Index Futures | 9/2014 | 6,012 | 6,107 | 95 | ||||||||||||
1 | Barclays Capital | SGX S&P CNX Nifty Index Futures | 7/2014 | 15,236 | 15,253 | 17 | ||||||||||||
208 | J.P. Morgan | 90-Day Sterling Futures | 12/2014 | 44,171,619 | 44,113,731 | (57,888 | ) | |||||||||||
147 | J.P. Morgan | 90-Day Sterling Futures | 3/2015 | 31,156,832 | 31,102,631 | (54,201 | ) | |||||||||||
125 | J.P. Morgan | 90-Day Sterling Futures | 6/2015 | 26,428,396 | 26,382,301 | (46,095 | ) | |||||||||||
55 | J.P. Morgan | U.S. Treasury 10-Year Note Futures | 9/2014 | 6,874,694 | 6,884,453 | 9,759 | ||||||||||||
|
|
|
|
|
|
|||||||||||||
122,565,325 | 122,471,680 | (93,645 | ) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||
Short Contracts: | ||||||||||||||||||
8 | Goldman Sachs | Corn Futures^ | 9/2014 | (175,080 | ) | (167,500 | ) | 7,580 | ||||||||||
11 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | (500,919 | ) | (511,569 | ) | (10,650 | ) | |||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | (93,546 | ) | (93,188 | ) | 358 | ||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | (94,308 | ) | (93,280 | ) | 1,028 | ||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (43,948 | ) | (46,981 | ) | (3,033 | ) | |||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (45,998 | ) | (47,136 | ) | (1,138 | ) | |||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (323,335 | ) | (330,881 | ) | (7,546 | ) | |||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (47,347 | ) | (47,270 | ) | 77 | ||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (332,118 | ) | (352,020 | ) | (19,902 | ) | |||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (165,873 | ) | (175,841 | ) | (9,968 | ) | |||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (170,348 | ) | (175,716 | ) | (5,368 | ) | |||||||||
1 | J.P. Morgan | LME Lead Futures^ | 7/2014 | (51,889 | ) | (53,682 | ) | (1,793 | ) | |||||||||
1 | J.P. Morgan | LME Lead Futures^ | 9/2014 | (53,292 | ) | (54,238 | ) | (946 | ) | |||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | (197,561 | ) | (227,718 | ) | (30,157 | ) | |||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | (109,648 | ) | (113,935 | ) | (4,287 | ) | |||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | (113,248 | ) | (114,179 | ) | (931 | ) | |||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | (115,198 | ) | (114,222 | ) | 976 | ||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (151,798 | ) | (166,012 | ) | (14,214 | ) | |||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2014 | (51,798 | ) | (55,321 | ) | (3,523 | ) | |||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2014 | (51,298 | ) | (55,350 | ) | (4,052 | ) | |||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (52,273 | ) | (55,500 | ) | (3,227 | ) | |||||||||
12 | Goldman Sachs | Natural Gas Futures^ | 8/2014 | (566,525 | ) | (535,320 | ) | 31,205 | ||||||||||
1 | Goldman Sachs | Silver Futures^ | 9/2014 | (105,475 | ) | (105,280 | ) | 195 | ||||||||||
11 | Goldman Sachs | Soybean Futures^ | 11/2014 | (672,044 | ) | (636,487 | ) | 35,557 | ||||||||||
4 | Goldman Sachs | Soybean Meal Futures^ | 12/2014 | (160,814 | ) | (146,960 | ) | 13,854 | ||||||||||
14 | Goldman Sachs | Soybean Oil Futures^ | 12/2014 | (326,398 | ) | (328,860 | ) | (2,462 | ) | |||||||||
13 | Goldman Sachs | Wheat Futures^ | 9/2014 | (389,111 | ) | (375,376 | ) | 13,735 | ||||||||||
15 | Barclays Capital | CAC40 Index Futures | 7/2014 | (929,535 | ) | (908,257 | ) | 21,278 | ||||||||||
2 | Barclays Capital | DAX Index Futures | 9/2014 | (677,681 | ) | (675,031 | ) | 2,650 | ||||||||||
11 | Barclays Capital | FTSE 100 Index Futures | 9/2014 | (1,263,801 | ) | (1,263,373 | ) | 428 | ||||||||||
1 | Barclays Capital | FTSE Bursa Malaysia KLCI Index Futures | 7/2014 | (29,436 | ) | (29,329 | ) | 107 | ||||||||||
4 | Barclays Capital | FTSE/MIB Index Futures | 9/2014 | (599,417 | ) | (583,404 | ) | 16,013 | ||||||||||
1 | Barclays Capital | KOSPI Index 200 Futures | 9/2014 | (130,491 | ) | (128,780 | ) | 1,711 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 57 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR GLOBAL MACRO FUND |
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED (DEPRECIATION) |
||||||||||||
Short Contracts: (continued) | ||||||||||||||||||
1 | J.P. Morgan | MEX Index Futures | 9/2014 | $(32,930 | ) | $(33,025 | ) | $(95 | ) | |||||||||
2 | Barclays Capital | MSCI Singapore Index Futures | 7/2014 | (119,065 | ) | (118,855 | ) | 210 | ||||||||||
10 | Barclays Capital | S&P 500 E-Mini Futures | 9/2014 | (976,432 | ) | (976,200 | ) | 232 | ||||||||||
19 | Barclays Capital | SPI 200 Index Futures | 9/2014 | (2,400,895 | ) | (2,398,064 | ) | 2,831 | ||||||||||
19 | Barclays Capital | TOPIX Index Futures | 9/2014 | (2,316,047 | ) | (2,367,850 | ) | (51,803 | ) | |||||||||
88 | J.P. Morgan | 3-Month Euro Euribor Futures | 12/2014 | (30,039,692 | ) | (30,076,400 | ) | (36,708 | ) | |||||||||
72 | J.P. Morgan | 3-Month Euro Euribor Futures | 3/2015 | (24,589,438 | ) | (24,606,732 | ) | (17,294 | ) | |||||||||
24 | J.P. Morgan | 3-Month Euro Euribor Futures | 6/2015 | (8,200,068 | ) | (8,201,422 | ) | (1,354 | ) | |||||||||
120 | J.P. Morgan | 90-Day EURODollar Futures | 12/2014 | (29,912,747 | ) | (29,917,500 | ) | (4,753 | ) | |||||||||
111 | J.P. Morgan | 90-Day EURODollar Futures | 3/2015 | (27,652,841 | ) | (27,651,487 | ) | 1,354 | ||||||||||
33 | J.P. Morgan | 90-Day EURODollar Futures | 6/2015 | (8,206,803 | ) | (8,207,512 | ) | (709 | ) | |||||||||
45 | J.P. Morgan | 90-Day EURODollar Futures | 12/2017 | (10,920,342 | ) | (10,944,562 | ) | (24,220 | ) | |||||||||
90 | J.P. Morgan | Australia 10-Year Bond Futures | 9/2014 | (10,040,495 | ) | (10,223,943 | ) | (183,448 | ) | |||||||||
138 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 12/2014 | (31,914,618 | ) | (31,921,513 | ) | (6,895 | ) | |||||||||
182 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 3/2015 | (42,081,668 | ) | (42,082,329 | ) | (661 | ) | |||||||||
122 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 6/2015 | (28,196,193 | ) | (28,191,885 | ) | 4,308 | ||||||||||
15 | J.P. Morgan | Canadian 10-Year Bond Futures | 9/2014 | (1,897,267 | ) | (1,911,531 | ) | (14,264 | ) | |||||||||
16 | J.P. Morgan | Euro - Bund Futures | 9/2014 | (3,177,968 | ) | (3,220,812 | ) | (42,844 | ) | |||||||||
14 | J.P. Morgan | Euro CHF 3-Month LIFFE Futures | 12/2014 | (3,947,569 | ) | (3,947,959 | ) | (390 | ) | |||||||||
14 | J.P. Morgan | Euro CHF 3-Month LIFFE Futures | 3/2015 | (3,947,128 | ) | (3,947,959 | ) | (831 | ) | |||||||||
1 | J.P. Morgan | Euro CHF 3-Month LIFFE Futures | 6/2015 | (282,053 | ) | (281,997 | ) | 56 | ||||||||||
4 | J.P. Morgan | Long Gilt Futures | 9/2014 | (749,040 | ) | (752,468 | ) | (3,428 | ) | |||||||||
116 | J.P. Morgan | Mini Japanese 10-Year Treasury Bond | 9/2014 | (16,623,645 | ) | (16,676,610 | ) | (52,965 | ) | |||||||||
|
|
|
|
|
|
|||||||||||||
(297,016,495 | ) | (297,426,611 | ) | (410,116 | ) | |||||||||||||
|
|
|
|
|
|
|||||||||||||
$ | (174,451,170 | ) | $ | (174,954,931 | ) | $ | (503,761 | ) | ||||||||||
|
|
|
|
|
|
Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $1,148,374, $117,444 and $1,352,141 at June 30, 2014.
^ Represents positions held in the respective Subsidiary (Note 2).
The accompanying notes are an integral part of these financial statements. | (Continued) |
58 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR GLOBAL MACRO FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2014:
Over the Counter
PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Australian Dollar, Expiring 09/17/14 |
Credit Suisse International | AUD | 2,639,000 | $2,439,203 | $2,474,588 | $35,385 | ||||||||||||||
Brazilian Real, Expiring 09/17/14* |
Credit Suisse International | BRL | 543,000 | 235,287 | 240,330 | 5,043 | ||||||||||||||
Canadian Dollar, Expiring 09/17/14 |
Credit Suisse International | CAD | 3,092,000 | 2,833,338 | 2,892,105 | 58,767 | ||||||||||||||
Swiss Franc, Expiring 09/17/14 |
Credit Suisse International | CHF | 1,450,000 | 1,619,855 | 1,636,188 | 16,333 | ||||||||||||||
Chilean Peso, Expiring 09/17/14* |
Credit Suisse International | CLP | 111,000,000 | 199,610 | 199,076 | (534 | ) | |||||||||||||
Chinese Renminbi, Expiring 09/17/14* |
Credit Suisse International | CNY | 6,550,000 | 1,058,287 | 1,049,947 | (8,340 | ) | |||||||||||||
Columbian Peso, Expiring 09/17/14* |
Credit Suisse International | COP | 388,000,000 | 202,079 | 205,532 | 3,453 | ||||||||||||||
Euro, Expiring 09/17/14 |
Credit Suisse International | EUR | 1,423,000 | 1,936,116 | 1,949,087 | 12,971 | ||||||||||||||
British Pound, Expiring 09/17/14 |
Credit Suisse International | GBP | 1,239,000 | 2,094,492 | 2,119,057 | 24,565 | ||||||||||||||
Hong Kong Dollar, Expiring 09/17/14 |
Credit Suisse International | HKD | 16,000 | 2,064 | 2,064 | | ||||||||||||||
Hungarian Forint, Expiring 09/17/14 |
Credit Suisse International | HUF | 50,000,000 | 223,036 | 220,423 | (2,613 | ) | |||||||||||||
Indonesian Rupiah, Expiring 09/17/14* |
Credit Suisse International | IDR | 1,040,000,000 | 86,455 | 86,441 | (14 | ) | |||||||||||||
Indian Rupee, Expiring 09/17/14* |
Credit Suisse International | INR | 21,000,000 | 349,369 | 342,535 | (6,834 | ) | |||||||||||||
Japanese Yen, Expiring 09/17/14 |
Credit Suisse International | JPY | 163,899,000 | 1,607,993 | 1,618,793 | 10,800 | ||||||||||||||
Korean Won, Expiring 09/17/14* |
Credit Suisse International | KRW | 342,822,000 | 334,408 | 337,760 | 3,352 | ||||||||||||||
Mexican Peso, Expiring 09/17/14 |
Credit Suisse International | MXN | 1,506,000 | 116,066 | 115,463 | (603 | ) | |||||||||||||
Malaysian Ringgit, Expiring 09/17/14* |
Credit Suisse International | MYR | 1,270,000 | 392,425 | 393,094 | 669 | ||||||||||||||
Norwegian Krone, Expiring 09/17/14 |
Credit Suisse International | NOK | 7,224,000 | 1,201,885 | 1,174,212 | (27,673 | ) | |||||||||||||
New Zealand Dollar, Expiring 09/17/14 |
Credit Suisse International | NZD | 5,557,000 | 4,693,038 | 4,829,690 | 136,652 | ||||||||||||||
Poland Zloty, Expiring 09/17/14 |
Credit Suisse International | PLN | 970,000 | 317,829 | 317,848 | 19 | ||||||||||||||
Russian Ruble, Expiring 09/17/14* |
Credit Suisse International | RUB | 23,800,000 | 678,644 | 687,836 | 9,192 | ||||||||||||||
Turkish Lira, Expiring 09/17/14 |
Credit Suisse International | TRY | 813,000 | 378,547 | 377,649 | (898 | ) | |||||||||||||
Taiwanese Dollar, Expiring 09/17/14* |
Credit Suisse International | TWD | 4,694,000 | 157,135 | 157,367 | 232 | ||||||||||||||
South African Rand, Expiring 09/17/14 |
Credit Suisse International | ZAR | 447,000 | 41,589 | 41,486 | (103 | ) | |||||||||||||
|
|
|
|
|
|
|||||||||||||||
$23,198,750 | $23,468,571 | $269,821 | ||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 59 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR GLOBAL MACRO FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Australian Dollar, Expiring 09/17/14 |
Credit Suisse International | AUD | (2,912,000 | ) | $(2,682,941 | ) | $(2,730,580 | ) | $(47,639 | ) | ||||||||||
Brazilian Real, Expiring 09/17/14* |
Credit Suisse International | BRL | (767,000 | ) | (331,655 | ) | (339,472 | ) | (7,817 | ) | ||||||||||
Canadian Dollar, Expiring 09/17/14 |
Credit Suisse International | CAD | (3,010,000 | ) | (2,756,153 | ) | (2,815,406 | ) | (59,253 | ) | ||||||||||
Swiss Franc, Expiring 09/17/14 |
Credit Suisse International | CHF | (2,847,000 | ) | (3,180,561 | ) | (3,212,571 | ) | (32,010 | ) | ||||||||||
Chilean Peso, Expiring 09/17/14* |
Credit Suisse International | CLP | (130,000,000 | ) | (233,660 | ) | (233,152 | ) | 508 | |||||||||||
Czech Republic Koruna, Expiring 09/17/14 |
Credit Suisse International | CZK | (590,000 | ) | (29,250 | ) | (29,460 | ) | (210 | ) | ||||||||||
Euro, Expiring 09/17/14 |
Credit Suisse International | EUR | (1,239,000 | ) | (1,682,264 | ) | (1,697,062 | ) | (14,798 | ) | ||||||||||
British Pound, Expiring 09/17/14 |
Credit Suisse International | GBP | (345,000 | ) | (577,804 | ) | (590,052 | ) | (12,248 | ) | ||||||||||
Hong Kong Dollar, Expiring 09/17/14 |
Credit Suisse International | HKD | (26,000 | ) | (3,354 | ) | (3,353 | ) | 1 | |||||||||||
Hungarian Forint, Expiring 09/17/14 |
Credit Suisse International | HUF | (52,000,000 | ) | (230,153 | ) | (229,240 | ) | 913 | |||||||||||
Indonesian Rupiah, Expiring 09/17/14* |
Credit Suisse International | IDR | (1,610,000,000 | ) | (134,184 | ) | (133,817 | ) | 367 | |||||||||||
Israeli Shekel, Expiring 09/17/14 |
Credit Suisse International | ILS | (330,000 | ) | (95,158 | ) | (96,126 | ) | (968 | ) | ||||||||||
Japanese Yen, Expiring 09/17/14 |
Credit Suisse International | JPY | (335,379,000 | ) | (3,276,198 | ) | (3,312,462 | ) | (36,264 | ) | ||||||||||
Korean Won, Expiring 09/17/14* |
Credit Suisse International | KRW | (109,578,000 | ) | (106,969 | ) | (107,960 | ) | (991 | ) | ||||||||||
Mexican Peso, Expiring 09/17/14 |
Credit Suisse International | MXN | (10,074,000 | ) | (770,060 | ) | (772,357 | ) | (2,297 | ) | ||||||||||
Norwegian Krone, Expiring 09/17/14 |
Credit Suisse International | NOK | (5,222,000 | ) | (866,021 | ) | (848,800 | ) | 17,221 | |||||||||||
New Zealand Dollar, Expiring 09/17/14 |
Credit Suisse International | NZD | (2,138,000 | ) | (1,811,206 | ) | (1,858,175 | ) | (46,969 | ) | ||||||||||
Philippine Peso, Expiring 09/17/14* |
Credit Suisse International | PHP | (6,200,000 | ) | (141,169 | ) | (141,828 | ) | (659 | ) | ||||||||||
Poland Zloty, Expiring 09/17/14 |
Credit Suisse International | PLN | (60,000 | ) | (19,527 | ) | (19,661 | ) | (134 | ) | ||||||||||
Russian Ruble, Expiring 09/17/14* |
Credit Suisse International | RUB | (15,700,000 | ) | (443,215 | ) | (453,741 | ) | (10,526 | ) | ||||||||||
Swedish Krona, Expiring 09/17/14 |
Credit Suisse International | SEK | (15,520,000 | ) | (2,324,204 | ) | (2,320,958 | ) | 3,246 | |||||||||||
Singapore Dollar, Expiring 09/17/14 |
Credit Suisse International | SGD | (763,000 | ) | (607,545 | ) | (611,936 | ) | (4,391 | ) | ||||||||||
Turkish Lira, Expiring 09/17/14 |
Credit Suisse International | TRY | (948,000 | ) | (436,879 | ) | (440,359 | ) | (3,480 | ) | ||||||||||
Taiwanese Dollar, Expiring 09/17/14* |
Credit Suisse International | TWD | (4,294,000 | ) | (143,363 | ) | (143,957 | ) | (594 | ) | ||||||||||
South African Rand, Expiring 09/17/14 |
Credit Suisse International | ZAR | (5,400,000 | ) | (497,595 | ) | (501,168 | ) | (3,573 | ) | ||||||||||
|
|
|
|
|
|
|||||||||||||||
(23,381,088 | ) | (23,643,653 | ) | (262,565 | ) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$(182,338 | ) | $(175,082 | ) | $7,256 | ||||||||||||||||
|
|
|
|
|
|
* | Non deliverable forward. See Note 3 in the Notes to Schedule of Investments. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
60 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR GLOBAL MACRO FUND |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2014 | 61 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
Total return swap contracts outstanding as of June 30, 2014:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
Bank of America | 10-Year Japanese Government Bond | 9/2014 | JPY | 5,662,920,900 | $171,029 | |||||||||
CitiBank | Cocoa Futures^ | 9/2014 | USD | 51,124,064 | 56,170 | |||||||||
CitiBank | Cocoa Futures^ | 9/2014 | USD | 25,249,856 | 329,004 | |||||||||
CitiBank | Coffee C Futures^ | 9/2014 | USD | 76,997 | (11,332) | |||||||||
CitiBank | Coffee C Futures^ | 9/2014 | USD | (80,700) | 15,034 | |||||||||
CitiBank | Corn Futures^ | 9/2014 | USD | (126,157,138) | 5,305,888 | |||||||||
Bank of America | Euro - Bobl Futures | 9/2014 | EUR | 783,430,847 | 5,722,140 | |||||||||
Bank of America | Euro - SCHATZ Futures | 9/2014 | EUR | 334,781,054 | 253,688 | |||||||||
Barclays Capital | Gasoline RBOB Futures^ | 6/2014 | USD | 47,502,000 | 3,256,198 | |||||||||
Barclays Capital | Gasoline RBOB Futures^ | 6/2014 | USD | (49,782,915) | (975,385) | |||||||||
Barclays Capital | Gasoline RBOB Futures^ | 7/2014 | USD | 63,523,265 | 513,853 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
62 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
Barclays Capital | Gold 100 OZ Futures^ | 8/2014 | USD | 423,958,680 | $1,064,081 | |||||||||
Barclays Capital | Gold 100 OZ Futures^ | 8/2014 | USD | (419,183,720) | (16,015,083) | |||||||||
Bank of America | Hang Seng Index Futures | 7/2014 | HKD | 559,040,656 | 1,052,978 | |||||||||
CitiBank | Hard Red Winter Wheat Futures^ | 9/2014 | USD | 6,643,683 | (271,323) | |||||||||
CitiBank | Hard Red Winter Wheat Futures^ | 9/2014 | USD | (16,803,166) | 347,183 | |||||||||
Bank of America | H-SHARES Index Futures | 7/2014 | HKD | 304,573,484 | 544,799 | |||||||||
Merrill Lynch | Lean Hogs Futures^ | 7/2014 | USD | 117,824,460 | 6,547,766 | |||||||||
Merrill Lynch | Lean Hogs Futures^ | 7/2014 | USD | (116,849,224) | (7,522,940) | |||||||||
Merrill Lynch | Lean Hogs Futures^ | 8/2014 | USD | 91,216,528 | 2,185,687 | |||||||||
Merrill Lynch | Lean Hogs Futures^ | 8/2014 | USD | (64,881,240) | (2,062,254) | |||||||||
CitiBank | LME Aluminum Futures^ | 9/2014 | USD | 23,884,925 | 316,675 | |||||||||
CitiBank | LME Aluminum Futures^ | 9/2014 | USD | (24,292,025) | 232,231 | |||||||||
CitiBank | LME Copper Futures^ | 9/2014 | USD | (166,838) | (8,762) | |||||||||
CitiBank | LME Copper Futures^ | 9/2014 | USD | 37,005,893 | 406,768 | |||||||||
CitiBank | LME Copper Futures^ | 9/2014 | USD | (69,826,837) | (1,393,171) | |||||||||
CitiBank | LME Nickel Futures^ | 9/2014 | USD | 113,550 | 672 | |||||||||
CitiBank | LME Zinc Futures^ | 9/2014 | USD | 53,462 | 2,038 | |||||||||
Bank of America | MSCI Taiwan Stock Index Futures | 7/2014 | USD | 30,166,925 | 546,835 | |||||||||
Barclays Capital | Platinum Futures^ | 10/2014 | USD | 4,731,590 | 13,682 | |||||||||
Barclays Capital | Platinum Futures^ | 10/2014 | USD | (4,664,320) | (80,911) | |||||||||
Bank of America | SGX S&P CNX Nifty Index Futures | 7/2014 | USD | 46,343,307 | 346,126 | |||||||||
Barclays Capital | Silver Futures^ | 9/2014 | USD | 99,115,975 | 162,997 | |||||||||
Barclays Capital | Silver Futures^ | 9/2014 | USD | (99,100,280) | (178,685) | |||||||||
CitiBank | Soybean Futures^ | 11/2014 | USD | (98,571,884) | 5,293,350 | |||||||||
CitiBank | Soybean Futures^ | 11/2014 | USD | 307,522,621 | (14,495,465) | |||||||||
Deutsche Bank | Soybean Meal Futures^ | 12/2014 | USD | 74,550,125 | (5,625,885) | |||||||||
CitiBank | Soybean Oil Futures^ | 12/2014 | USD | (104,864,544) | (1,075,356) | |||||||||
Bank of America | Swiss Market Index Futures | 9/2014 | CHF | 239,188,268 | (3,273,161) | |||||||||
Bank of America | Taiwan Stock Exchange Futures | 7/2014 | TWD | 2,363,123,685 | 1,436,983 | |||||||||
Bank of America | U.S. Treasury 2-Year Note Futures | 9/2014 | USD | 1,298,271,186 | (691,717) | |||||||||
CitiBank | Wheat Futures^ | 9/2014 | USD | 51,844,172 | (1,918,701) | |||||||||
CitiBank | Wheat Futures^ | 9/2014 | USD | (237,561,527) | 8,435,782 | |||||||||
Deutsche Bank | WTI Crude Oil Futures^ | 7/2014 | USD | 183,256,440 | 2,721,610 | |||||||||
|
|
|||||||||||||
$(8,318,884) | ||||||||||||||
|
|
Money Market Fund is pledged as collateral to Bank of America, Barclays Capital, CitiBank, Deutsche Bank and Merrill Lynch for total return swap contracts in the amount of $19,920,679, $28,540,173, $51,460,000, $26,100,089 and $18,411,052, respectively at June 30, 2014.
^ Represents positions held in the respective Subsidiary (Note 2).
Open futures contracts outstanding at June 30, 2014:
Exchange Traded
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED (DEPRECIATION) |
||||||||||||||
Long Contracts: | ||||||||||||||||||||
2,354 | Goldman Sachs | Brent Crude Futures^ | 8/2014 | $264,944,938 | $263,812,780 | $(1,132,158) | ||||||||||||||
1,800 | Goldman Sachs | Cocoa Futures^ | 9/2014 | 57,056,282 | 57,646,791 | 590,509 | ||||||||||||||
38 | Goldman Sachs | Coffee C Futures^ | 9/2014 | 2,551,214 | 2,495,175 | (56,039) | ||||||||||||||
1,112 | Goldman Sachs | Gas Oil Futures^ | 8/2014 | 103,426,283 | 102,165,000 | (1,261,283) | ||||||||||||||
895 | Goldman Sachs | Gasoline RBOB Futures^ | 8/2014 | 114,465,101 | 114,397,647 | (67,454) | ||||||||||||||
305 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 13,613,934 | 14,261,113 | 647,179 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 63 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED (DEPRECIATION) |
||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
240 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | $10,710,499 | $11,235,960 | $525,461 | ||||||||||||||
33 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 1,459,989 | 1,545,333 | 85,344 | ||||||||||||||
231 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 10,195,899 | 10,820,040 | 624,141 | ||||||||||||||
61 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 2,706,239 | 2,860,122 | 153,883 | ||||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 312,390 | 328,293 | 15,903 | ||||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 313,265 | 328,376 | 15,111 | ||||||||||||||
155 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 6,878,447 | 7,280,272 | 401,825 | ||||||||||||||
173 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 7,649,122 | 8,127,756 | 478,634 | ||||||||||||||
63 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 2,768,981 | 2,959,819 | 190,838 | ||||||||||||||
298 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 13,717,978 | 14,020,154 | 302,176 | ||||||||||||||
485 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 22,251,167 | 22,823,494 | 572,327 | ||||||||||||||
83 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 3,835,971 | 3,909,549 | 73,578 | ||||||||||||||
93 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 4,309,054 | 4,381,602 | 72,548 | ||||||||||||||
52 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 2,373,349 | 2,450,500 | 77,151 | ||||||||||||||
199 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 9,182,700 | 9,380,064 | 197,364 | ||||||||||||||
35 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 1,655,328 | 1,651,309 | (4,019) | ||||||||||||||
30 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 1,423,224 | 1,415,737 | (7,487) | ||||||||||||||
531 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 24,730,244 | 25,099,706 | 369,462 | ||||||||||||||
10 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 473,552 | 472,697 | (855) | ||||||||||||||
48 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 2,272,685 | 2,269,043 | (3,642) | ||||||||||||||
45 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 2,119,237 | 2,127,240 | 8,003 | ||||||||||||||
15 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 715,558 | 709,088 | (6,470) | ||||||||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 190,052 | 189,092 | (960) | ||||||||||||||
30 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 5,005,375 | 5,278,500 | 273,125 | ||||||||||||||
99 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 16,426,660 | 17,416,575 | 989,915 | ||||||||||||||
8 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 1,313,802 | 1,407,200 | 93,398 | ||||||||||||||
254 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 42,040,736 | 44,665,456 | 2,624,720 | ||||||||||||||
85 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 14,168,848 | 14,946,507 | 777,659 | ||||||||||||||
39 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 6,539,967 | 6,857,545 | 317,578 | ||||||||||||||
197 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 33,363,813 | 34,636,688 | 1,272,875 | ||||||||||||||
141 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 24,230,973 | 24,787,800 | 556,827 | ||||||||||||||
153 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 26,331,331 | 26,897,400 | 566,069 | ||||||||||||||
183 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 31,563,361 | 32,171,400 | 608,039 | ||||||||||||||
16 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 2,772,546 | 2,811,800 | 39,254 | ||||||||||||||
10 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 1,716,177 | 1,756,937 | 40,760 | ||||||||||||||
198 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 34,464,520 | 34,779,740 | 315,220 | ||||||||||||||
162 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 27,920,060 | 28,455,989 | 535,929 | ||||||||||||||
79 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 13,632,447 | 13,876,508 | 244,061 | ||||||||||||||
70 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 11,921,717 | 12,295,570 | 373,853 | ||||||||||||||
347 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 59,761,134 | 60,933,200 | 1,172,066 | ||||||||||||||
19 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 3,272,881 | 3,333,141 | 60,260 | ||||||||||||||
128 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 22,233,976 | 22,452,576 | 218,600 | ||||||||||||||
51 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 8,841,646 | 8,944,125 | 102,479 | ||||||||||||||
40 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | 3,856,314 | 4,552,560 | 696,246 | ||||||||||||||
16 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | 1,559,423 | 1,821,127 | 261,704 | ||||||||||||||
20 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | 1,971,517 | 2,276,923 | 305,406 | ||||||||||||||
12 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | 1,279,402 | 1,366,694 | 87,292 | ||||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | 222,757 | 227,895 | 5,138 | ||||||||||||||
12 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | 1,342,663 | 1,367,668 | 25,005 | ||||||||||||||
27 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | 2,934,954 | 3,077,421 | 142,467 | ||||||||||||||
16 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | 1,749,841 | 1,823,756 | 73,915 | ||||||||||||||
46 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | 5,033,250 | 5,243,873 | 210,623 | ||||||||||||||
43 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | 4,785,794 | 4,903,216 | 117,422 | ||||||||||||||
8 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | 891,617 | 912,276 | 20,659 | ||||||||||||||
13 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | 1,502,161 | 1,482,530 | (19,631) | ||||||||||||||
23 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | 2,564,778 | 2,626,244 | 61,466 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
64 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED (DEPRECIATION) |
||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
15 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | $1,647,031 | $1,712,847 | $65,816 | ||||||||||||||
389 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | 44,698,184 | 44,432,358 | (265,826) | ||||||||||||||
4 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | 449,528 | 456,840 | 7,312 | ||||||||||||||
59 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 2,920,623 | 3,266,019 | 345,396 | ||||||||||||||
213 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 10,906,233 | 11,782,894 | 876,661 | ||||||||||||||
191 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 9,807,777 | 10,564,688 | 756,911 | ||||||||||||||
201 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 10,332,232 | 11,116,556 | 784,324 | ||||||||||||||
102 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 5,291,326 | 5,639,656 | 348,330 | ||||||||||||||
100 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 5,222,852 | 5,528,700 | 305,848 | ||||||||||||||
26 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 1,348,936 | 1,437,364 | 88,428 | ||||||||||||||
78 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 4,029,801 | 4,311,489 | 281,688 | ||||||||||||||
18 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 922,113 | 994,891 | 72,778 | ||||||||||||||
41 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 2,099,902 | 2,265,978 | 166,076 | ||||||||||||||
16 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 853,525 | 887,244 | 33,719 | ||||||||||||||
47 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 2,474,624 | 2,606,644 | 132,020 | ||||||||||||||
787 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 42,218,268 | 43,678,500 | 1,460,232 | ||||||||||||||
283 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 15,305,465 | 15,701,194 | 395,729 | ||||||||||||||
147 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 8,039,977 | 8,154,384 | 114,407 | ||||||||||||||
22 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 1,201,439 | 1,220,175 | 18,736 | ||||||||||||||
4 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 218,189 | 221,813 | 3,624 | ||||||||||||||
17 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 929,263 | 942,543 | 13,280 | ||||||||||||||
18 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 987,016 | 997,650 | 10,634 | ||||||||||||||
2,855 | Goldman Sachs | Natural Gas Futures^ | 8/2014 | 134,124,626 | 127,361,550 | (6,763,076) | ||||||||||||||
936 | Goldman Sachs | Heating Oil ULSD Futures^ | 8/2014 | 119,729,492 | 116,964,994 | (2,764,498) | ||||||||||||||
178 | Goldman Sachs | Platinum Futures^ | 10/2014 | 13,175,023 | 13,197,810 | 22,787 | ||||||||||||||
285 | Goldman Sachs | Silver Futures^ | 9/2014 | 30,006,700 | 30,004,800 | (1,900) | ||||||||||||||
91 | Goldman Sachs | Soybean Meal Futures^ | 12/2014 | 3,603,133 | 3,343,340 | (259,793) | ||||||||||||||
474 | Goldman Sachs | WTI Crude Futures^ | 8/2014 | 50,238,178 | 49,945,380 | (292,798) | ||||||||||||||
2,305 | Barclays Capital | Amsterdam Index Futures | 7/2014 | 262,210,752 | 260,862,948 | (1,347,804) | ||||||||||||||
3,385 | Barclays Capital | CAC40 Index Futures | 7/2014 | 209,762,133 | 204,963,261 | (4,798,872) | ||||||||||||||
590 | Barclays Capital | DAX Index Futures | 9/2014 | 200,601,044 | 199,134,048 | (1,466,996) | ||||||||||||||
3,656 | Barclays Capital | DJIA Mini E-CBOT Futures | 9/2014 | 305,110,486 | 306,007,200 | 896,714 | ||||||||||||||
1,066 | Barclays Capital | E-Mini Russell 2000 Futures | 9/2014 | 124,287,100 | 126,885,980 | 2,598,880 | ||||||||||||||
5,056 | Barclays Capital | Euro Stoxx 50 Index | 9/2014 | 226,413,431 | 223,757,205 | (2,656,226) | ||||||||||||||
2,099 | Barclays Capital | FTSE 100 Index Futures | 9/2014 | 241,523,658 | 241,074,459 | (449,199) | ||||||||||||||
3,000 | J.P. Morgan | FTSE/JSE Top 40 Index Futures | 9/2014 | 129,933,138 | 129,957,687 | 24,549 | ||||||||||||||
389 | Barclays Capital | FTSE/MIB Index Futures | 9/2014 | 58,410,008 | 56,736,035 | (1,673,973) | ||||||||||||||
64 | Barclays Capital | Hang Seng Index Futures | 7/2014 | 9,428,450 | 9,539,224 | 110,774 | ||||||||||||||
10 | Barclays Capital | H-SHARES Index Futures | 7/2014 | 653,068 | 660,740 | 7,672 | ||||||||||||||
737 | Barclays Capital | IBEX 35 Index Futures | 7/2014 | 110,192,743 | 109,550,895 | (641,848) | ||||||||||||||
285 | Barclays Capital | KOSPI Index 200 Futures | 9/2014 | 37,138,451 | 36,702,412 | (436,039) | ||||||||||||||
1,482 | Barclays Capital | MSCI Singapore Index Futures | 7/2014 | 88,222,031 | 88,071,377 | (150,654) | ||||||||||||||
370 | Barclays Capital | MSCI Taiwan Stock Index Futures | 7/2014 | 12,095,059 | 12,298,800 | 203,741 | ||||||||||||||
3,663 | Barclays Capital | NASDAQ 100 E-Mini Futures | 9/2014 | 276,598,784 | 281,355,030 | 4,756,246 | ||||||||||||||
3,145 | Barclays Capital | S&P 500 E-Mini Futures | 9/2014 | 303,109,575 | 307,014,900 | 3,905,325 | ||||||||||||||
1,402 | Barclays Capital | S&P MID 400 E-Mini Futures | 9/2014 | 196,484,612 | 200,387,860 | 3,903,248 | ||||||||||||||
2,389 | Barclays Capital | S&P/Toronto Stock Exchange 60 Index Futures | 9/2014 | 382,972,381 | 386,744,633 | 3,772,252 | ||||||||||||||
4,249 | Barclays Capital | SGX S&P CNX Nifty Index Futures | 7/2014 | 64,526,744 | 64,809,997 | 283,253 | ||||||||||||||
1,463 | Barclays Capital | SPI 200 Index Futures | 9/2014 | 184,716,524 | 184,650,869 | (65,655) | ||||||||||||||
1,246 | Barclays Capital | TOPIX Index Futures | 9/2014 | 152,685,307 | 155,281,081 | 2,595,774 | ||||||||||||||
677 | J.P. Morgan | 10-Year Japanese Government Bond | 9/2014 | 970,534,272 | 973,348,305 | 2,814,033 | ||||||||||||||
2,539 | J.P. Morgan | 3-Month Euro Euribor Futures | 12/2014 | 867,562,480 | 867,772,518 | 210,038 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 65 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED (DEPRECIATION) |
||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
3,451 | J.P. Morgan | 3-Month Euro Euribor Futures | 3/2015 | $1,178,994,024 | $1,179,414,330 | $420,306 | ||||||||||||||
3,935 | J.P. Morgan | 3-Month Euro Euribor Futures | 6/2015 | 1,343,919,181 | 1,344,691,546 | 772,365 | ||||||||||||||
5,146 | J.P. Morgan | 3-Month Euro Euribor Futures | 9/2015 | 1,756,768,258 | 1,758,257,409 | 1,489,151 | ||||||||||||||
5,592 | J.P. Morgan | 3-Month Euro Euribor Futures | 12/2015 | 1,907,200,527 | 1,910,165,704 | 2,965,177 | ||||||||||||||
5,629 | J.P. Morgan | 3-Month Euro Euribor Futures | 3/2016 | 1,917,766,472 | 1,922,130,065 | 4,363,593 | ||||||||||||||
5,697 | J.P. Morgan | 3-Month Euro Euribor Futures | 6/2016 | 1,943,183,052 | 1,944,374,858 | 1,191,806 | ||||||||||||||
266 | J.P. Morgan | 90-Day EURODollar Futures | 12/2014 | 66,317,600 | 66,317,125 | (475) | ||||||||||||||
371 | J.P. Morgan | 90-Day EURODollar Futures | 3/2015 | 92,417,167 | 92,420,737 | 3,570 | ||||||||||||||
742 | J.P. Morgan | 90-Day EURODollar Futures | 6/2015 | 184,527,793 | 184,544,675 | 16,882 | ||||||||||||||
711 | J.P. Morgan | 90-Day EURODollar Futures | 9/2015 | 176,479,718 | 176,487,975 | 8,257 | ||||||||||||||
1,128 | J.P. Morgan | 90-Day EURODollar Futures | 12/2015 | 279,315,799 | 279,363,300 | 47,501 | ||||||||||||||
1,474 | J.P. Morgan | 90-Day EURODollar Futures | 3/2016 | 364,067,870 | 364,170,125 | 102,255 | ||||||||||||||
1,890 | J.P. Morgan | 90-Day EURODollar Futures | 6/2016 | 465,539,625 | 465,696,000 | 156,375 | ||||||||||||||
2,028 | J.P. Morgan | Australia 10-Year Bond Futures | 9/2014 | 227,305,077 | 230,379,526 | 3,074,449 | ||||||||||||||
6,993 | J.P. Morgan | Australia 3-Year Bond Futures | 9/2014 | 719,011,878 | 721,908,726 | 2,896,848 | ||||||||||||||
3,710 | J.P. Morgan | Canadian 10-Year Bond Futures | 9/2014 | 469,320,108 | 472,785,530 | 3,465,422 | ||||||||||||||
2,435 | J.P. Morgan | Euro - Bund Futures | 9/2014 | 483,710,341 | 490,167,433 | 6,457,092 | ||||||||||||||
7,038 | J.P. Morgan | Euro - SCHATZ Futures | 9/2014 | 1,066,162,728 | 1,066,445,187 | 282,459 | ||||||||||||||
1,322 | J.P. Morgan | Euro - Buxl 30-Year Bond Futures | 9/2014 | 238,791,516 | 243,763,499 | 4,971,983 | ||||||||||||||
296 | J.P. Morgan | Long Gilt Futures | 9/2014 | 55,824,380 | 55,682,658 | (141,722) | ||||||||||||||
1,958 | J.P. Morgan | U.S. Long Bond Futures | 9/2014 | 266,881,920 | 268,613,125 | 1,731,205 | ||||||||||||||
2,712 | J.P. Morgan | U.S. Treasury 10-Year Note Futures | 9/2014 | 339,074,191 | 339,466,125 | 391,934 | ||||||||||||||
3,194 | J.P. Morgan | U.S. Treasury 5-Year Note Futures | 9/2014 | 381,372,164 | 381,558,234 | 186,070 | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
22,967,424,199 | 23,026,660,249 | 59,236,050 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
Short Contracts: | ||||||||||||||||||||
7,462 | Goldman Sachs | Corn Futures^ | 9/2014 | (164,030,657) | (156,235,625) | 7,795,032 | ||||||||||||||
1,639 | Goldman Sachs | Cotton No. 2 Futures^ | 12/2014 | (63,271,559) | (60,241,445) | 3,030,114 | ||||||||||||||
305 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (13,590,298) | (14,261,113) | (670,815) | ||||||||||||||
240 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (10,726,740) | (11,235,960) | (509,220) | ||||||||||||||
33 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (1,468,733) | (1,545,332) | (76,599) | ||||||||||||||
231 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (10,212,048) | (10,820,040) | (607,992) | ||||||||||||||
61 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (2,700,480) | (2,860,122) | (159,642) | ||||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (312,729) | (328,293) | (15,564) | ||||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (312,579) | (328,375) | (15,796) | ||||||||||||||
155 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (6,876,636) | (7,280,272) | (403,636) | ||||||||||||||
173 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (7,662,552) | (8,127,756) | (465,204) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
66 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED (DEPRECIATION) |
||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
63 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | $(2,770,736) | $(2,959,818) | $(189,082) | ||||||||||||||
298 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (13,707,380) | (14,020,155) | (312,775) | ||||||||||||||
485 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (22,227,254) | (22,823,494) | (596,240) | ||||||||||||||
83 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (3,848,952) | (3,909,549) | (60,597) | ||||||||||||||
93 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (4,277,806) | (4,381,601) | (103,795) | ||||||||||||||
52 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (2,365,892) | (2,450,500) | (84,608) | ||||||||||||||
199 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (9,159,336) | (9,380,064) | (220,728) | ||||||||||||||
35 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (1,662,427) | (1,651,309) | 11,118 | ||||||||||||||
30 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (1,421,938) | (1,415,738) | 6,200 | ||||||||||||||
409 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (18,816,049) | (19,332,919) | (516,870) | ||||||||||||||
10 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (473,229) | (472,697) | 532 | ||||||||||||||
48 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (2,277,800) | (2,269,044) | 8,756 | ||||||||||||||
45 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (2,126,156) | (2,127,240) | (1,084) | ||||||||||||||
15 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (716,275) | (709,087) | 7,188 | ||||||||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (189,292) | (189,092) | 200 | ||||||||||||||
30 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (4,996,438) | (5,278,500) | (282,062) | ||||||||||||||
99 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (16,186,294) | (17,416,575) | (1,230,281) | ||||||||||||||
8 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (1,330,983) | (1,407,200) | (76,217) | ||||||||||||||
254 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (42,074,572) | (44,665,456) | (2,590,884) | ||||||||||||||
85 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (14,099,198) | (14,946,506) | (847,308) | ||||||||||||||
39 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (6,548,994) | (6,857,546) | (308,552) | ||||||||||||||
197 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (33,307,365) | (34,636,688) | (1,329,323) | ||||||||||||||
141 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (24,216,457) | (24,787,800) | (571,343) | ||||||||||||||
153 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (26,411,307) | (26,897,400) | (486,093) | ||||||||||||||
183 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (31,778,019) | (32,171,400) | (393,381) | ||||||||||||||
16 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (2,743,967) | (2,811,800) | (67,833) | ||||||||||||||
10 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (1,706,479) | (1,756,937) | (50,458) | ||||||||||||||
198 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (34,501,088) | (34,779,739) | (278,651) | ||||||||||||||
162 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (27,826,663) | (28,455,989) | (629,326) | ||||||||||||||
79 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (13,568,086) | (13,876,508) | (308,422) | ||||||||||||||
70 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (11,856,104) | (12,295,570) | (439,466) | ||||||||||||||
392 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (67,305,585) | (68,835,200) | (1,529,615) | ||||||||||||||
19 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (3,267,723) | (3,333,142) | (65,419) | ||||||||||||||
128 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (22,198,871) | (22,452,576) | (253,705) | ||||||||||||||
51 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (8,842,019) | (8,944,125) | (102,106) | ||||||||||||||
40 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | (3,868,957) | (4,552,560) | (683,603) | ||||||||||||||
16 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | (1,552,767) | (1,821,127) | (268,360) | ||||||||||||||
20 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | (1,980,558) | (2,276,923) | (296,365) | ||||||||||||||
12 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | (1,289,495) | (1,366,694) | (77,199) | ||||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | (221,156) | (227,895) | (6,739) | ||||||||||||||
12 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | (1,333,919) | (1,367,668) | (33,749) | ||||||||||||||
27 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | (2,955,634) | (3,077,422) | (121,788) | ||||||||||||||
16 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | (1,753,695) | (1,823,757) | (70,062) | ||||||||||||||
46 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | (5,017,416) | (5,243,872) | (226,456) | ||||||||||||||
43 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | (4,775,878) | (4,903,216) | (127,338) | ||||||||||||||
8 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | (891,103) | (912,276) | (21,173) | ||||||||||||||
13 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | (1,517,307) | (1,482,530) | 34,777 | ||||||||||||||
23 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | (2,586,724) | (2,626,243) | (39,519) | ||||||||||||||
15 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | (1,673,527) | (1,712,848) | (39,321) | ||||||||||||||
42 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | (4,662,441) | (4,797,324) | (134,883) | ||||||||||||||
4 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | (457,216) | (456,840) | 376 | ||||||||||||||
59 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (2,917,595) | (3,266,019) | (348,424) | ||||||||||||||
213 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (10,915,807) | (11,782,894) | (867,087) | ||||||||||||||
191 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (9,778,803) | (10,564,688) | (785,885) | ||||||||||||||
201 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (10,401,332) | (11,116,556) | (715,224) | ||||||||||||||
102 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (5,324,188) | (5,639,657) | (315,469) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 67 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED (DEPRECIATION) |
||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
100 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | $(5,182,917) | $(5,528,700) | $(345,783) | ||||||||||||||
26 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (1,348,371) | (1,437,365) | (88,994) | ||||||||||||||
78 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (4,028,538) | (4,311,489) | (282,951) | ||||||||||||||
18 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (926,063) | (994,892) | (68,829) | ||||||||||||||
41 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (2,102,190) | (2,265,978) | (163,788) | ||||||||||||||
16 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (844,367) | (887,244) | (42,877) | ||||||||||||||
47 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (2,469,777) | (2,606,643) | (136,866) | ||||||||||||||
283 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (15,310,811) | (15,701,193) | (390,382) | ||||||||||||||
147 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (8,042,432) | (8,154,384) | (111,952) | ||||||||||||||
22 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (1,206,104) | (1,220,175) | (14,071) | ||||||||||||||
4 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (217,492) | (221,813) | (4,321) | ||||||||||||||
17 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (930,965) | (942,544) | (11,579) | ||||||||||||||
18 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (985,463) | (997,650) | (12,187) | ||||||||||||||
4,060 | Goldman Sachs | Sugar #11 (World Markets) Futures^ | 9/2014 | (80,101,371) | (81,895,072) | (1,793,701) | ||||||||||||||
2,555 | Goldman Sachs | Wheat Futures^ | 9/2014 | (78,247,069) | (74,892,650) | 3,354,419 | ||||||||||||||
5,521 | J.P. Morgan | 90-Day Sterling Futures | 12/2014 | (1,170,560,362) | (1,170,922,625) | (362,263) | ||||||||||||||
5,348 | J.P. Morgan | 90-Day Sterling Futures | 3/2015 | (1,131,391,049) | (1,131,543,311) | (152,262) | ||||||||||||||
5,424 | J.P. Morgan | 90-Day Sterling Futures | 6/2015 | (1,144,851,591) | (1,144,780,776) | 70,815 | ||||||||||||||
5,877 | J.P. Morgan | 90-Day Sterling Futures | 9/2015 | (1,237,859,519) | (1,237,498,587) | 360,932 | ||||||||||||||
6,197 | J.P. Morgan | 90-Day Sterling Futures | 12/2015 | (1,302,634,776) | (1,301,963,302) | 671,474 | ||||||||||||||
6,220 | J.P. Morgan | 90-Day Sterling Futures | 3/2016 | (1,304,768,125) | (1,304,267,338) | 500,787 | ||||||||||||||
6,318 | J.P. Morgan | 90-Day Sterling Futures | 6/2016 | (1,323,420,442) | (1,322,384,047) | 1,036,395 | ||||||||||||||
1,769 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 12/2014 | (409,183,870) | (409,196,781) | (12,911) | ||||||||||||||
1,279 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 3/2015 | (295,664,082) | (295,732,416) | (68,334) | ||||||||||||||
1,691 | J.P. Morgan | Euro CHF 3-Month LIFFE Futures | 12/2014 | (476,894,371) | (476,857,042) | 37,329 | ||||||||||||||
263 | J.P. Morgan | Euro CHF 3-Month LIFFE Futures | 3/2015 | (74,170,276) | (74,165,229) | 5,047 | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
(10,911,189,656) | (10,920,351,552) | (9,161,896) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$12,056,234,543 | $12,106,308,697 | $50,074,154 | ||||||||||||||||||
|
|
|
|
|
|
Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $175,752,877, $9,417,667 and $95,811,393, respectively at June 30, 2014.
^ Represents positions held in the respective Subsidiary (Note 2).
Forward foreign currency exchange contracts outstanding as of June 30, 2014:
Over the Counter
PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Australian Dollar, Expiring 09/17/14 |
Credit Suisse International | AUD | 467,466,500 | $432,844,712 | $438,343,016 | $5,498,304 | ||||||||||||||
Australian Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | AUD | 467,466,500 | 432,848,465 | 438,343,016 | 5,494,551 | ||||||||||||||
Brazilian Real, Expiring 09/17/14* |
Credit Suisse International | BRL | 146,970,000 | 63,449,866 | 65,048,534 | 1,598,668 | ||||||||||||||
Brazilian Real, Expiring 09/17/14* |
The Royal Bank of Scotland | BRL | 146,970,000 | 63,449,555 | 65,048,534 | 1,598,979 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
68 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Canadian Dollar, Expiring 09/17/14 |
Credit Suisse International | CAD | 274,433,000 | $253,629,016 | $256,691,145 | $3,062,129 | ||||||||||||||
Canadian Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | CAD | 274,433,000 | 253,631,516 | 256,691,145 | 3,059,629 | ||||||||||||||
Swiss Franc, Expiring 09/17/14 |
The Royal Bank of Scotland | CHF | 11,795,000 | 13,188,131 | 13,309,544 | 121,413 | ||||||||||||||
Chilean Peso, Expiring 09/17/14* |
Credit Suisse International | CLP | 2,650,000,000 | 4,760,048 | 4,752,706 | (7,342) | ||||||||||||||
Chilean Peso, Expiring 09/17/14* |
The Royal Bank of Scotland | CLP | 3,150,000,000 | 5,660,111 | 5,649,443 | (10,668) | ||||||||||||||
Columbian Peso, Expiring 09/17/14* |
Credit Suisse International | COP | 24,485,000,000 | 12,818,979 | 12,970,217 | 151,238 | ||||||||||||||
Columbian Peso, Expiring 09/17/14* |
The Royal Bank of Scotland | COP | 25,485,000,000 | 13,341,788 | 13,499,937 | 158,149 | ||||||||||||||
Czech Republic Koruna, Expiring 09/17/14 |
Credit Suisse International | CZK | 65,000,000 | 3,232,808 | 3,245,591 | 12,783 | ||||||||||||||
Czech Republic Koruna, Expiring 09/17/14 |
The Royal Bank of Scotland | CZK | 75,000,000 | 3,729,785 | 3,744,913 | 15,128 | ||||||||||||||
Euro, Expiring 09/17/14 |
Credit Suisse International | EUR | 360,792,986 | 491,130,038 | 494,179,175 | 3,049,137 | ||||||||||||||
Euro, Expiring 09/17/14 |
The Royal Bank of Scotland | EUR | 372,983,986 | 507,714,155 | 510,877,221 | 3,163,066 | ||||||||||||||
British Pound, Expiring 09/17/14 |
Credit Suisse International | GBP | 517,161,497 | 867,478,686 | 884,499,489 | 17,020,803 | ||||||||||||||
British Pound, Expiring 09/17/14 |
The Royal Bank of Scotland | GBP | 517,161,497 | 867,476,960 | 884,499,488 | 17,022,528 | ||||||||||||||
Hong Kong Dollar, Expiring 09/17/14 |
Credit Suisse International | HKD | 9,554,000 | 1,232,507 | 1,232,215 | (292) | ||||||||||||||
Hong Kong Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | HKD | 9,554,000 | 1,232,512 | 1,232,215 | (297) | ||||||||||||||
Hungarian Forint, Expiring 09/17/14 |
Credit Suisse International | HUF | 9,863,000,001 | 43,996,073 | 43,480,662 | (515,411) | ||||||||||||||
Hungarian Forint, Expiring 09/17/14 |
The Royal Bank of Scotland | HUF | 9,863,000,001 | 43,995,808 | 43,480,662 | (515,146) | ||||||||||||||
Israeli Shekel, Expiring 09/17/14 |
Credit Suisse International | ILS | 299,305,001 | 86,525,975 | 87,185,060 | 659,085 | ||||||||||||||
Israeli Shekel, Expiring 09/17/14 |
The Royal Bank of Scotland | ILS | 299,305,000 | 86,531,626 | 87,185,059 | 653,433 | ||||||||||||||
Indian Rupee, Expiring 09/17/14* |
Credit Suisse International | INR | 4,496,200,000 | 74,803,243 | 73,338,327 | (1,464,916) | ||||||||||||||
Indian Rupee, Expiring 09/17/14* |
The Royal Bank of Scotland | INR | 4,496,200,000 | 74,802,820 | 73,338,327 | (1,464,493) | ||||||||||||||
Japanese Yen, Expiring 09/17/14 |
Credit Suisse International | JPY | 57,923,340,001 | 569,667,598 | 572,095,565 | 2,427,967 | ||||||||||||||
Japanese Yen, Expiring 09/17/14 |
The Royal Bank of Scotland | JPY | 57,950,239,999 | 569,935,491 | 572,361,250 | 2,425,759 | ||||||||||||||
Korean Won, Expiring 09/17/14* |
Credit Suisse International | KRW | 203,466,860,000 | 198,555,655 | 200,462,672 | 1,907,017 | ||||||||||||||
Korean Won, Expiring 09/17/14* |
The Royal Bank of Scotland | KRW | 203,466,860,000 | 198,554,638 | 200,462,671 | 1,908,033 | ||||||||||||||
Mexican Peso, Expiring 09/17/14 |
Credit Suisse International | MXN | 664,500,000 | 51,057,468 | 50,946,151 | (111,317) | ||||||||||||||
Mexican Peso, Expiring 09/17/14 |
The Royal Bank of Scotland | MXN | 664,500,000 | 51,057,465 | 50,946,151 | (111,314) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 69 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Malaysian Ringgit, Expiring 09/17/14* |
Credit Suisse International | MYR | 85,000,000 | $26,313,561 | $26,309,470 | $(4,091) | ||||||||||||||
Malaysian Ringgit, Expiring 09/17/14* |
The Royal Bank of Scotland | MYR | 85,000,000 | 26,313,890 | 26,309,470 | (4,420) | ||||||||||||||
Norwegian Krone, Expiring 09/17/14 |
Credit Suisse International | NOK | 842,872,998 | 139,971,105 | 137,003,228 | (2,967,877) | ||||||||||||||
Norwegian Krone, Expiring 09/17/14 |
The Royal Bank of Scotland | NOK | 842,872,998 | 139,970,545 | 137,003,227 | (2,967,318) | ||||||||||||||
New Zealand Dollar, Expiring 09/17/14 |
Credit Suisse International | NZD | 1,299,095,002 | 1,100,474,068 | 1,129,067,186 | 28,593,118 | ||||||||||||||
New Zealand Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | NZD | 1,299,095,000 | 1,100,475,002 | 1,129,067,183 | 28,592,181 | ||||||||||||||
Philippine Peso, Expiring 09/17/14* |
Credit Suisse International | PHP | 160,000,000 | 3,666,383 | 3,660,074 | (6,309) | ||||||||||||||
Philippine Peso, Expiring 09/17/14* |
The Royal Bank of Scotland | PHP | 210,000,000 | 4,811,308 | 4,803,847 | (7,461) | ||||||||||||||
Poland Zloty, Expiring 09/17/14 |
Credit Suisse International | PLN | 445,255,000 | 145,893,584 | 145,900,443 | 6,859 | ||||||||||||||
Poland Zloty, Expiring 09/17/14 |
The Royal Bank of Scotland | PLN | 445,255,000 | 145,891,909 | 145,900,443 | 8,534 | ||||||||||||||
Russian Ruble, Expiring 09/17/14* |
Credit Suisse International | RUB | 1,764,100,000 | 50,204,878 | 50,983,678 | 778,800 | ||||||||||||||
Russian Ruble, Expiring 09/17/14* |
The Royal Bank of Scotland | RUB | 1,824,100,000 | 51,896,093 | 52,717,720 | 821,627 | ||||||||||||||
Swedish Krona, Expiring 09/17/14 |
Credit Suisse International | SEK | 165,093,500 | 24,715,274 | 24,689,115 | (26,159) | ||||||||||||||
Swedish Krona, Expiring 09/17/14 |
The Royal Bank of Scotland | SEK | 165,093,500 | 24,716,492 | 24,689,115 | (27,377) | ||||||||||||||
Singapore Dollar, Expiring 09/17/14 |
Credit Suisse International | SGD | 176,045,000 | 140,540,965 | 141,190,331 | 649,366 | ||||||||||||||
Singapore Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | SGD | 176,045,000 | 140,539,778 | 141,190,331 | 650,553 | ||||||||||||||
Turkish Lira, Expiring 09/17/14 |
Credit Suisse International | TRY | 44,955,000 | 20,939,059 | 20,882,204 | (56,855) | ||||||||||||||
Turkish Lira, Expiring 09/17/14 |
The Royal Bank of Scotland | TRY | 44,955,000 | 20,938,936 | 20,882,205 | (56,731) | ||||||||||||||
Taiwanese Dollar, Expiring 09/17/14* |
Credit Suisse International | TWD | 3,750,000,000 | 125,278,090 | 125,719,544 | 441,454 | ||||||||||||||
Taiwanese Dollar, Expiring 09/17/14* |
The Royal Bank of Scotland | TWD | 3,750,000,000 | 125,279,999 | 125,719,544 | 439,545 | ||||||||||||||
South African Rand, Expiring 09/17/14 |
Credit Suisse International | ZAR | 242,700,000 | 22,390,952 | 22,524,737 | 133,785 | ||||||||||||||
South African Rand, Expiring 09/17/14 |
The Royal Bank of Scotland | ZAR | 242,700,000 | 22,390,839 | 22,524,737 | 133,898 | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$9,945,946,208 | $10,067,877,933 | $121,931,725 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Australian Dollar, Expiring 09/17/14 |
Credit Suisse International | AUD | (152,518,000) | $(141,444,060) | $(143,016,024) | $(1,571,964) | ||||||||||||||
Australian Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | AUD | (152,518,000) | (141,442,640) | (143,016,024) | (1,573,384) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
70 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Brazilian Real, Expiring 09/17/14* |
Credit Suisse International | BRL | (6,000,000) | $(2,620,995) | $(2,655,585) | $(34,590) | ||||||||||||||
Brazilian Real, Expiring 09/17/14* |
The Royal Bank of Scotland | BRL | (6,000,000) | (2,620,950) | (2,655,585) | (34,635) | ||||||||||||||
Canadian Dollar, Expiring 09/17/14 |
Credit Suisse International | CAD | (145,853,001) | (133,367,952) | (136,423,730) | (3,055,778) | ||||||||||||||
Canadian Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | CAD | (145,853,000) | (133,367,826) | (136,423,729) | (3,055,903) | ||||||||||||||
Swiss Franc, Expiring 09/17/14 |
Credit Suisse International | CHF | (5,229,000) | (5,841,577) | (5,900,432) | (58,855) | ||||||||||||||
Swiss Franc, Expiring 09/17/14 |
The Royal Bank of Scotland | CHF | (5,422,000) | (6,059,243) | (6,118,215) | (58,972) | ||||||||||||||
Chilean Peso, Expiring 09/17/14* |
Credit Suisse International | CLP | (11,924,000,000) | (21,432,020) | (21,385,383) | 46,637 | ||||||||||||||
Chilean Peso, Expiring 09/17/14* |
The Royal Bank of Scotland | CLP | (11,924,000,000) | (21,432,118) | (21,385,383) | 46,735 | ||||||||||||||
Czech Republic Koruna, Expiring 09/17/14 |
Credit Suisse International | CZK | (1,279,916,000) | (63,581,764) | (63,908,975) | (327,211) | ||||||||||||||
Czech Republic Koruna, Expiring 09/17/14 |
The Royal Bank of Scotland | CZK | (1,279,916,000) | (63,582,035) | (63,908,975) | (326,940) | ||||||||||||||
Euro, Expiring 09/17/14 |
Credit Suisse International | EUR | (188,141,000) | (255,471,784) | (257,697,261) | (2,225,477) | ||||||||||||||
Euro, Expiring 09/17/14 |
The Royal Bank of Scotland | EUR | (188,161,000) | (255,496,781) | (257,724,655) | (2,227,874) | ||||||||||||||
British Pound, Expiring 09/17/14 |
Credit Suisse International | GBP | (6,854,000) | (11,508,430) | (11,722,373) | (213,943) | ||||||||||||||
British Pound, Expiring 09/17/14 |
The Royal Bank of Scotland | GBP | (6,854,000) | (11,508,196) | (11,722,372) | (214,176) | ||||||||||||||
Hungarian Forint, Expiring 09/17/14 |
Credit Suisse International | HUF | (6,750,000,000) | (29,733,604) | (29,757,118) | (23,514) | ||||||||||||||
Hungarian Forint, Expiring 09/17/14 |
The Royal Bank of Scotland | HUF | (6,750,000,000) | (29,731,591) | (29,757,118) | (25,527) | ||||||||||||||
Indonesian Rupiah, Expiring 09/17/14* |
Credit Suisse International | IDR | (369,050,000,000) | (30,665,917) | (30,673,960) | (8,043) | ||||||||||||||
Indonesian Rupiah, Expiring 09/17/14* |
The Royal Bank of Scotland | IDR | (369,050,000,000) | (30,665,670) | (30,673,960) | (8,290) | ||||||||||||||
Israeli Shekel, Expiring 09/17/14 |
Credit Suisse International | ILS | (43,500,000) | (12,506,373) | (12,671,187) | (164,814) | ||||||||||||||
Israeli Shekel, Expiring 09/17/14 |
The Royal Bank of Scotland | ILS | (43,500,000) | (12,505,367) | (12,671,187) | (165,820) | ||||||||||||||
Indian Rupee, Expiring 09/17/14* |
Credit Suisse International | INR | (4,460,000,000) | (73,131,355) | (72,747,863) | 383,492 | ||||||||||||||
Indian Rupee, Expiring 09/17/14* |
The Royal Bank of Scotland | INR | (4,460,000,000) | (73,131,181) | (72,747,863) | 383,318 | ||||||||||||||
Japanese Yen, Expiring 09/17/14 |
Credit Suisse International | JPY | (131,001,284,501) | (1,280,189,823) | (1,293,869,689) | (13,679,866) | ||||||||||||||
Japanese Yen, Expiring 09/17/14 |
The Royal Bank of Scotland | JPY | (131,001,284,499) | (1,280,188,723) | (1,293,869,689) | (13,680,966) | ||||||||||||||
Korean Won, Expiring 09/17/14* |
Credit Suisse International | KRW | (4,000,000,000) | (3,900,024) | (3,940,938) | (40,914) | ||||||||||||||
Korean Won, Expiring 09/17/14* |
The Royal Bank of Scotland | KRW | (7,000,000,000) | (6,844,085) | (6,896,643) | (52,558) | ||||||||||||||
Mexican Peso, Expiring 09/17/14 |
Credit Suisse International | MXN | (625,000,000) | (47,697,103) | (47,917,750) | (220,647) | ||||||||||||||
Mexican Peso, Expiring 09/17/14 |
The Royal Bank of Scotland | MXN | (625,000,000) | (47,694,575) | (47,917,750) | (223,175) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 71 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Malaysian Ringgit, Expiring 09/17/14* |
Credit Suisse International | MYR | (30,655,000) | $(9,422,217) | $(9,488,432) | $(66,215) | ||||||||||||||
Malaysian Ringgit, Expiring 09/17/14* |
The Royal Bank of Scotland | MYR | (30,655,000) | (9,422,161) | (9,488,432) | (66,271) | ||||||||||||||
Norwegian Krone, Expiring 09/17/14 |
Credit Suisse International | NOK | (3,966,039,500) | (648,547,671) | (644,652,529) | 3,895,142 | ||||||||||||||
Norwegian Krone, Expiring 09/17/14 |
The Royal Bank of Scotland | NOK | (3,966,039,500) | (648,551,804) | (644,652,529) | 3,899,275 | ||||||||||||||
New Zealand Dollar, Expiring 09/17/14 |
Credit Suisse International | NZD | (387,013,500) | (324,535,461) | (336,360,499) | (11,825,038) | ||||||||||||||
New Zealand Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | NZD | (387,013,500) | (324,544,140) | (336,360,499) | (11,816,359) | ||||||||||||||
Philippine Peso, Expiring 09/17/14* |
Credit Suisse International | PHP | (567,750,000) | (12,925,563) | (12,987,543) | (61,980) | ||||||||||||||
Philippine Peso, Expiring 09/17/14* |
The Royal Bank of Scotland | PHP | (567,750,000) | (12,925,641) | (12,987,543) | (61,902) | ||||||||||||||
Poland Zloty, Expiring 09/17/14 |
Credit Suisse International | PLN | (80,000,000) | (26,056,419) | (26,214,272) | (157,853) | ||||||||||||||
Poland Zloty, Expiring 09/17/14 |
The Royal Bank of Scotland | PLN | (80,000,000) | (26,057,623) | (26,214,272) | (156,649) | ||||||||||||||
Russian Ruble, Expiring 09/17/14* |
Credit Suisse International | RUB | (140,000,000) | (3,991,164) | (4,046,095) | (54,931) | ||||||||||||||
Russian Ruble, Expiring 09/17/14* |
The Royal Bank of Scotland | RUB | (140,000,000) | (3,991,085) | (4,046,095) | (55,010) | ||||||||||||||
Swedish Krona, Expiring 09/17/14 |
Credit Suisse International | SEK | (4,634,664,000) | (693,794,866) | (693,096,670) | 698,196 | ||||||||||||||
Swedish Krona, Expiring 09/17/14 |
The Royal Bank of Scotland | SEK | (4,634,663,999) | (693,795,640) | (693,096,669) | 698,971 | ||||||||||||||
Singapore Dollar, Expiring 09/17/14 |
Credit Suisse International | SGD | (18,000,000) | (14,375,546) | (14,436,229) | (60,683) | ||||||||||||||
Singapore Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | SGD | (18,000,000) | (14,375,684) | (14,436,229) | (60,545) | ||||||||||||||
Turkish Lira, Expiring 09/17/14 |
Credit Suisse International | TRY | (22,500,000) | (10,298,106) | (10,451,554) | (153,448) | ||||||||||||||
Turkish Lira, Expiring 09/17/14 |
The Royal Bank of Scotland | TRY | (22,500,000) | (10,296,697) | (10,451,554) | (154,857) | ||||||||||||||
Taiwanese Dollar, Expiring 09/17/14* |
Credit Suisse International | TWD | (3,506,850,001) | (117,082,862) | (117,567,890) | (485,028) | ||||||||||||||
Taiwanese Dollar, Expiring 09/17/14* |
The Royal Bank of Scotland | TWD | (3,506,850,000) | (117,082,159) | (117,567,890) | (485,731) | ||||||||||||||
South African Rand, Expiring 09/17/14 |
Credit Suisse International | ZAR | (525,000,000) | (48,223,249) | (48,724,709) | (501,460) | ||||||||||||||
South African Rand, Expiring 09/17/14 |
The Royal Bank of Scotland | ZAR | (525,000,000) | (48,222,840) | (48,724,709) | (501,869) | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
(8,047,882,360) | (8,107,830,259) | (59,947,899) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$1,898,063,848 | $1,960,047,674 | $61,983,826 | ||||||||||||||||||
|
|
|
|
|
|
Money Market Fund is pledged as collateral to The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $9,324 at June 30, 2014. Cash held as collateral for Credit Suisse International and The Royal Bank of Scotland for forward currency exchange contracts were $33,440,000 and $13,210,000, respectively at June 30, 2014.
* | Non deliverable forward. See Note 3 in the Notes to Financial Statements. |
AUD - Australian Dollar
BRL - Brazilian Real
The accompanying notes are an integral part of these financial statements. | (Continued) |
72 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY FUND |
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Columbian Peso
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Poland Zloty
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwanese Dollar
USD - United States Dollar
ZAR - South African Rand
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2014 | 73 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
Total return swap contracts outstanding as of June 30, 2014:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
CitiBank | Cocoa Futures^ | 9/2014 | USD | 2,444,531 | $4,660 | |||||||||
CitiBank | Cocoa Futures^ | 9/2014 | USD | 1,543,327 | 20,173 | |||||||||
CitiBank | Corn Futures^ | 9/2014 | USD | (8,132,384 | ) | 343,634 | ||||||||
CitiBank | Cotton No. 2 Futures^ | 12/2014 | USD | (38,655 | ) | 1,900 | ||||||||
Bank of America | Euro - Bobl Futures | 9/2014 | EUR | 10,450,843 | 76,332 | |||||||||
Bank of America | Euro - SCHATZ Futures | 9/2014 | EUR | 46,238,854 | 23,127 | |||||||||
Barclays Capital | Gasoline RBOB Futures^ | 7/2014 | USD | 3,573,087 | 5,834 | |||||||||
Barclays Capital | Gasoline RBOB Futures^ | 6/2014 | USD | 3,288,600 | 225,429 | |||||||||
Barclays Capital | Gasoline RBOB Futures^ | 6/2014 | USD | (3,372,768 | ) | (141,265 | ) | |||||||
Barclays Capital | Gold 100 OZ Futures^ | 8/2014 | USD | 26,124,950 | 182,809 | |||||||||
Barclays Capital | Gold 100 OZ Futures^ | 8/2014 | USD | (25,744,820 | ) | (959,365 | ) | |||||||
Bank of America | Hang Seng Index Futures | 7/2014 | HKD | 12,523,744 | 23,666 | |||||||||
Bank of America | H-SHARES Index Futures | 7/2014 | HKD | 14,142,885 | 25,276 | |||||||||
Deutsche Bank | Lean Hogs Futures^ | 8/2014 | USD | 3,902,350 | 82,400 | |||||||||
Deutsche Bank | Lean Hogs Futures^ | 8/2014 | USD | (2,836,029 | ) | (86,121 | ) | |||||||
Deutsche Bank | Lean Hogs Futures^ | 7/2014 | USD | 3,911,870 | 226,810 | |||||||||
Deutsche Bank | Lean Hogs Futures^ | 7/2014 | USD | (3,915,600 | ) | (223,080 | ) | |||||||
CitiBank | LME Aluminum Futures^ | 9/2014 | USD | 1,538,537 | 21,332 | |||||||||
CitiBank | LME Aluminum Futures^ | 9/2014 | USD | (1,384,025 | ) | 13,231 | ||||||||
CitiBank | LME Copper Futures^ | 9/2014 | USD | (500,513 | ) | (26,287 | ) | |||||||
CitiBank | LME Copper Futures^ | 9/2014 | USD | 1,586,092 | 16,163 | |||||||||
CitiBank | LME Copper Futures^ | 9/2014 | USD | (2,749,067 | ) | (54,870 | ) | |||||||
CitiBank | LME Nickel Futures^ | 9/2014 | USD | 227,100 | 1,344 | |||||||||
Bank of America | Mini Japanese 10-Year Treasury Bond | 9/2014 | JPY | 14,521,890 | 413 | |||||||||
Bank of America | MSCI Taiwan Stock Index Futures | 7/2014 | USD | 1,469,124 | 26,676 | |||||||||
Barclays Capital | Heating Oil ULSD Futures^ | 7/2014 | USD | 2,306,737 | (57,245 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
74 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
Barclays Capital | Heating Oil ULSD Futures^ | 7/2014 | USD | (125,748 | ) | $777 | ||||||||
Barclays Capital | Platinum Futures^ | 10/2014 | USD | (218,640 | ) | (3,793 | ) | |||||||
Barclays Capital | Platinum Futures^ | 10/2014 | USD | 221,965 | 470 | |||||||||
Bank of America | SGX S&P CNX Nifty Index Futures | 7/2014 | USD | 2,634,248 | 19,774 | |||||||||
Barclays Capital | Silver Futures^ | 9/2014 | USD | 4,204,225 | 6,972 | |||||||||
Barclays Capital | Silver Futures^ | 9/2014 | USD | (4,203,600 | ) | (7,597 | ) | |||||||
Deutsche Bank | Soybean Futures^ | 11/2014 | USD | 9,711,300 | (453,300 | ) | ||||||||
Deutsche Bank | Soybean Futures^ | 11/2014 | USD | (1,668,998 | ) | 106,711 | ||||||||
CitiBank | Soybean Meal Futures^ | 12/2014 | USD | 1,780,665 | (127,365 | ) | ||||||||
CitiBank | Soybean Oil Futures^ | 12/2014 | USD | (4,394,537 | ) | (45,073 | ) | |||||||
CitiBank | Sugar #11 (World Markets) Futures^ | 9/2014 | USD | (1,694,084 | ) | (20,468 | ) | |||||||
Bank of America | Swiss Market Index Futures | 9/2014 | CHF | 8,740,237 | (119,605 | ) | ||||||||
Bank of America | Taiwan Stock Exchange Futures | 7/2014 | TWD | 38,322,133 | 23,262 | |||||||||
Bank of America | U.S. Treasury 2-Year Note Futures | 9/2014 | USD | 53,826,699 | (26,230 | ) | ||||||||
CitiBank | Wheat Futures^ | 9/2014 | USD | 328,534 | (13,417 | ) | ||||||||
CitiBank | Wheat Futures^ | 9/2014 | USD | (999,493 | ) | 19,137 | ||||||||
CitiBank | Wheat Futures^ | 9/2014 | USD | 1,349,222 | (49,831 | ) | ||||||||
CitiBank | Wheat Futures^ | 9/2014 | USD | (11,741,806 | ) | 393,808 | ||||||||
Barclays Capital | WTI Crude Oil Futures^ | 7/2014 | USD | 7,487,750 | 98,890 | |||||||||
|
|
|||||||||||||
$(423,902) | ||||||||||||||
|
|
Money Market Fund is pledged as collateral to Bank of America, Barclays Capital, CitiBank and Deutsche Bank for total return swap contracts in the amount of $880,001, $2,560,003, $2,610,000 and $400,000, respectively at June 30, 2014.
^ Represents positions held in the respective Subsidiary (Note 2).
Open futures contracts outstanding at June 30, 2014:
Exchange Traded
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
Long Contracts: | ||||||||||||||||||
96 | Goldman Sachs | Brent Crude Futures^ | 8/2014 | $ | 10,806,098 | $ | 10,758,720 | $ | (47,378 | ) | ||||||||
33 | Goldman Sachs | Cocoa Futures^ | 9/2014 | 1,040,640 | 1,050,523 | 9,883 | ||||||||||||
1 | Goldman Sachs | Coffee C Futures^ | 9/2014 | 68,252 | 65,662 | (2,590 | ) | |||||||||||
45 | Goldman Sachs | Gas Oil Futures^ | 8/2014 | 4,189,541 | 4,134,375 | (55,166 | ) | |||||||||||
30 | Goldman Sachs | Gasoline RBOB Futures^ | 8/2014 | 3,823,193 | 3,834,558 | 11,365 | ||||||||||||
8 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 357,067 | 374,062 | 16,995 | ||||||||||||
6 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 267,762 | 280,899 | 13,137 | ||||||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 179,008 | 187,643 | 8,635 | ||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 224,423 | 234,613 | 10,190 | ||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 88,754 | 93,939 | 5,185 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 44,027 | 46,981 | 2,954 | ||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 230,167 | 235,237 | 5,070 | ||||||||||||
13 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 596,118 | 611,763 | 15,645 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 46,217 | 47,104 | 887 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 45,641 | 47,125 | 1,484 | ||||||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 184,575 | 188,544 | 3,969 | ||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 230,217 | 236,344 | 6,127 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 166,846 | 175,950 | 9,104 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 165,926 | 175,925 | 9,999 | ||||||||||||
6 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 992,262 | 1,055,212 | 62,950 | ||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 846,797 | 879,103 | 32,306 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 75 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
Long Contracts: (continued) | ||||||||||||||||||
8 | J.P. Morgan | LME Copper Futures^ | 8/2014 | $ | 1,376,802 | $ | 1,406,400 | $ | 29,598 | |||||||||
4 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 690,461 | 703,200 | 12,739 | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 346,568 | 351,475 | 4,907 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 170,803 | 175,716 | 4,913 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 174,063 | 175,655 | 1,592 | ||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 689,360 | 702,617 | 13,257 | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 344,937 | 351,306 | 6,369 | ||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 510,931 | 526,953 | 16,022 | ||||||||||||
8 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 1,375,992 | 1,404,800 | 28,808 | ||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 693,731 | 701,643 | 7,912 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 173,366 | 175,375 | 2,009 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | 97,464 | 113,821 | 16,357 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | 107,138 | 113,904 | 6,766 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | 109,212 | 113,997 | 4,785 | ||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | 222,595 | 228,056 | 5,461 | ||||||||||||
4 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | 465,888 | 456,566 | (9,322 | ) | |||||||||||
3 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | 329,406 | 342,569 | 13,163 | ||||||||||||
12 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | 1,378,453 | 1,370,664 | (7,789 | ) | |||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 49,502 | 55,356 | 5,854 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 51,450 | 55,325 | 3,875 | ||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 258,321 | 276,378 | 18,057 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 51,217 | 55,268 | 4,051 | ||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 156,748 | 166,382 | 9,634 | ||||||||||||
30 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 1,614,303 | 1,665,000 | 50,697 | ||||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 324,128 | 332,888 | 8,760 | ||||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 328,162 | 332,832 | 4,670 | ||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 273,054 | 277,312 | 4,258 | ||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 109,094 | 110,906 | 1,812 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 54,685 | 55,444 | 759 | ||||||||||||
107 | Goldman Sachs | Natural Gas Futures^ | 8/2014 | 5,032,203 | 4,773,270 | (258,933 | ) | |||||||||||
22 | Goldman Sachs | Heating Oil ULSD Futures^ | 8/2014 | 2,806,523 | 2,749,178 | (57,345 | ) | |||||||||||
7 | Goldman Sachs | Platinum Futures^ | 10/2014 | 518,028 | 519,015 | 987 | ||||||||||||
11 | Goldman Sachs | Silver Futures^ | 9/2014 | 1,157,983 | 1,158,080 | 97 | ||||||||||||
29 | Goldman Sachs | Soybean Meal Futures^ | 12/2014 | 1,157,232 | 1,065,460 | (91,772 | ) | |||||||||||
12 | Goldman Sachs | WTI Crude Futures^ | 8/2014 | 1,273,177 | 1,264,440 | (8,737 | ) | |||||||||||
87 | Barclays Capital | Amsterdam Index Futures | 7/2014 | 9,898,390 | 9,846,020 | (52,370 | ) | |||||||||||
126 | Barclays Capital | CAC40 Index Futures | 7/2014 | 7,810,129 | 7,629,356 | (180,773 | ) | |||||||||||
22 | Barclays Capital | DAX Index Futures | 9/2014 | 7,483,309 | 7,425,337 | (57,972 | ) | |||||||||||
141 | Barclays Capital | DJIA Mini E-CBOT Futures | 9/2014 | 11,768,405 | 11,801,700 | 33,295 | ||||||||||||
41 | Barclays Capital | E-Mini Russell 2000 Futures | 9/2014 | 4,776,379 | 4,880,230 | 103,851 | ||||||||||||
188 | Barclays Capital | Euro Stoxx 50 Index | 9/2014 | 8,420,065 | 8,320,086 | (99,979 | ) | |||||||||||
79 | Barclays Capital | FTSE 100 Index Futures | 9/2014 | 9,092,698 | 9,073,312 | (19,386 | ) | |||||||||||
109 | J.P. Morgan | FTSE/JSE Top 40 Index Futures | 9/2014 | 4,720,969 | 4,721,796 | 827 | ||||||||||||
14 | Barclays Capital | FTSE/MIB Index Futures | 9/2014 | 2,102,072 | 2,041,914 | (60,158 | ) | |||||||||||
29 | Barclays Capital | Hang Seng Index Futures | 7/2014 | 4,271,481 | 4,322,461 | 50,980 | ||||||||||||
29 | Barclays Capital | IBEX 35 Index Futures | 7/2014 | 4,336,976 | 4,310,687 | (26,289 | ) | |||||||||||
10 | Barclays Capital | KOSPI Index 200 Futures | 9/2014 | 1,303,712 | 1,287,804 | (15,908 | ) | |||||||||||
59 | Barclays Capital | MSCI Singapore Index Futures | 7/2014 | 3,512,248 | 3,506,215 | (6,033 | ) | |||||||||||
50 | Barclays Capital | MSCI Taiwan Stock Index Futures | 7/2014 | 1,633,857 | 1,662,000 | 28,143 | ||||||||||||
140 | Barclays Capital | NASDAQ 100 E-Mini Futures | 9/2014 | 10,567,327 | 10,753,400 | 186,073 | ||||||||||||
119 | Barclays Capital | S&P 500 E-Mini Futures | 9/2014 | 11,466,821 | 11,616,780 | 149,959 | ||||||||||||
57 | Barclays Capital | S&P MID 400 E-Mini Futures | 9/2014 | 7,986,440 | 8,147,010 | 160,570 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
76 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
Long Contracts: (continued) | ||||||||||||||||||
92 | Barclays Capital | S&P/Toronto Stock Exchange 60 Index Futures | 9/2014 | $ | 14,750,098 | $ | 14,893,473 | $ | 143,375 | |||||||||
67 | Barclays Capital | SGX S&P CNX Nifty Index Futures | 7/2014 | 1,017,500 | 1,021,951 | 4,451 | ||||||||||||
58 | Barclays Capital | SPI 200 Index Futures | 9/2014 | 7,323,625 | 7,320,404 | (3,221 | ) | |||||||||||
49 | Barclays Capital | TOPIX Index Futures | 9/2014 | 6,000,174 | 6,106,560 | 106,386 | ||||||||||||
103 | J.P. Morgan | 3-Month Euro Euribor Futures | 12/2014 | 35,194,199 | 35,203,060 | 8,861 | ||||||||||||
131 | J.P. Morgan | 3-Month Euro Euribor Futures | 3/2015 | 44,757,685 | 44,770,582 | 12,897 | ||||||||||||
148 | J.P. Morgan | 3-Month Euro Euribor Futures | 6/2015 | 50,552,983 | 50,575,438 | 22,455 | ||||||||||||
194 | J.P. Morgan | 3-Month Euro Euribor Futures | 9/2015 | 66,245,096 | 66,284,870 | 39,774 | ||||||||||||
211 | J.P. Morgan | 3-Month Euro Euribor Futures | 12/2015 | 72,006,885 | 72,075,280 | 68,395 | ||||||||||||
213 | J.P. Morgan | 3-Month Euro Euribor Futures | 3/2016 | 72,638,174 | 72,732,937 | 94,763 | ||||||||||||
215 | J.P. Morgan | 3-Month Euro Euribor Futures | 6/2016 | 73,321,400 | 73,379,076 | 57,676 | ||||||||||||
10 | J.P. Morgan | 90-Day EURODollar Futures | 12/2014 | 2,493,126 | 2,493,125 | (1 | ) | |||||||||||
14 | J.P. Morgan | 90-Day EURODollar Futures | 3/2015 | 3,487,454 | 3,487,575 | 121 | ||||||||||||
28 | J.P. Morgan | 90-Day EURODollar Futures | 6/2015 | 6,963,304 | 6,963,950 | 646 | ||||||||||||
27 | J.P. Morgan | 90-Day EURODollar Futures | 9/2015 | 6,701,764 | 6,702,075 | 311 | ||||||||||||
43 | J.P. Morgan | 90-Day EURODollar Futures | 12/2015 | 10,647,584 | 10,649,488 | 1,904 | ||||||||||||
56 | J.P. Morgan | 90-Day EURODollar Futures | 3/2016 | 13,831,692 | 13,835,500 | 3,808 | ||||||||||||
72 | J.P. Morgan | 90-Day EURODollar Futures | 6/2016 | 17,735,852 | 17,740,800 | 4,948 | ||||||||||||
84 | J.P. Morgan | Australia 10-Year Bond Futures | 9/2014 | 9,416,486 | 9,542,347 | 125,861 | ||||||||||||
288 | J.P. Morgan | Australia 3-Year Bond Futures | 9/2014 | 29,611,563 | 29,731,119 | 119,556 | ||||||||||||
149 | J.P. Morgan | Canadian 10-Year Bond Futures | 9/2014 | 18,864,118 | 18,987,882 | 123,764 | ||||||||||||
103 | J.P. Morgan | Euro - Bobl Futures | 9/2014 | 17,964,840 | 18,071,186 | 106,346 | ||||||||||||
91 | J.P. Morgan | Euro - Bund Futures | 9/2014 | 18,076,434 | 18,318,372 | 241,938 | ||||||||||||
52 | J.P. Morgan | Euro - Buxl 30-Year Bond Futures | 9/2014 | 9,387,250 | 9,588,277 | 201,027 | ||||||||||||
14 | J.P. Morgan | Long Gilt Futures | 9/2014 | 2,640,257 | 2,633,639 | (6,618 | ) | |||||||||||
284 | J.P. Morgan | Mini Japanese 10-Year Treasury Bond | 9/2014 | 40,708,407 | 40,828,943 | 120,536 | ||||||||||||
77 | J.P. Morgan | U.S. Long Bond Futures | 9/2014 | 10,501,997 | 10,563,437 | 61,440 | ||||||||||||
110 | J.P. Morgan | U.S. Treasury 10-Year Note Futures | 9/2014 | 13,748,662 | 13,768,906 | 20,244 | ||||||||||||
136 | J.P. Morgan | U.S. Treasury 5-Year Note Futures | 9/2014 | 16,246,254 | 16,246,687 | 433 | ||||||||||||
|
|
|
|
|
|
|||||||||||||
853,052,652 | 854,904,580 | 1,851,928 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||
Short Contracts: | ||||||||||||||||||
127 | Goldman Sachs | Corn Futures^ | 9/2014 | (2,799,456 | ) | (2,659,062 | ) | 140,394 | ||||||||||
61 | Goldman Sachs | Cotton No. 2 Futures^ | 12/2014 | (2,348,983 | ) | (2,242,055 | ) | 106,928 | ||||||||||
8 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (356,490 | ) | (374,062 | ) | (17,572 | ) | |||||||||
6 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (268,168 | ) | (280,899 | ) | (12,731 | ) | |||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (178,617 | ) | (187,643 | ) | (9,026 | ) | |||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (223,754 | ) | (234,612 | ) | (10,858 | ) | |||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (88,731 | ) | (93,939 | ) | (5,208 | ) | |||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (43,948 | ) | (46,981 | ) | (3,033 | ) | |||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (229,989 | ) | (235,237 | ) | (5,248 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 77 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Short Contracts: (continued) | ||||||||||||||||||||
13 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | $(595,629 | ) | $(611,764 | ) | $(16,135 | ) | |||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (46,373 | ) | (47,103 | ) | (730 | ) | |||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (45,498 | ) | (47,125 | ) | (1,627 | ) | |||||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (184,117 | ) | (188,544 | ) | (4,427 | ) | |||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (229,914 | ) | (236,343 | ) | (6,429 | ) | |||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (166,548 | ) | (175,950 | ) | (9,402 | ) | |||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (163,498 | ) | (175,925 | ) | (12,427 | ) | |||||||||||
6 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (994,850 | ) | (1,055,213 | ) | (60,363 | ) | |||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (845,364 | ) | (879,103 | ) | (33,739 | ) | |||||||||||
8 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (1,380,983 | ) | (1,406,400 | ) | (25,417 | ) | |||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (693,767 | ) | (703,200 | ) | (9,433 | ) | |||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (342,996 | ) | (351,475 | ) | (8,479 | ) | |||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (170,348 | ) | (175,716 | ) | (5,368 | ) | |||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (174,248 | ) | (175,655 | ) | (1,407 | ) | |||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (686,917 | ) | (702,617 | ) | (15,700 | ) | |||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (345,996 | ) | (351,307 | ) | (5,311 | ) | |||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (508,119 | ) | (526,953 | ) | (18,834 | ) | |||||||||||
8 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (1,373,583 | ) | (1,404,800 | ) | (31,217 | ) | |||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (693,667 | ) | (701,643 | ) | (7,976 | ) | |||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (173,373 | ) | (175,375 | ) | (2,002 | ) | |||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | (97,048 | ) | (113,821 | ) | (16,773 | ) | |||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | (107,800 | ) | (113,904 | ) | (6,104 | ) | |||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | (108,505 | ) | (113,997 | ) | (5,492 | ) | |||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | (222,134 | ) | (228,057 | ) | (5,923 | ) | |||||||||||
4 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | (468,952 | ) | (456,567 | ) | 12,385 | ||||||||||||
3 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | (334,705 | ) | (342,569 | ) | (7,864 | ) | |||||||||||
3 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | (329,502 | ) | (342,666 | ) | (13,164 | ) | |||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (49,451 | ) | (55,357 | ) | (5,906 | ) | |||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (51,323 | ) | (55,325 | ) | (4,002 | ) | |||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (258,239 | ) | (276,377 | ) | (18,138 | ) | |||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (51,273 | ) | (55,268 | ) | (3,995 | ) | |||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (156,369 | ) | (166,382 | ) | (10,013 | ) | |||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (324,387 | ) | (332,887 | ) | (8,500 | ) | |||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (328,262 | ) | (332,832 | ) | (4,570 | ) | |||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (274,115 | ) | (277,313 | ) | (3,198 | ) | |||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (108,746 | ) | (110,907 | ) | (2,161 | ) | |||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (54,598 | ) | (55,444 | ) | (846 | ) | |||||||||||
16 | Goldman Sachs | Sugar #11 (World Markets) Futures^ | 9/2014 | (318,768 | ) | (322,740 | ) | (3,972 | ) | |||||||||||
7 | Goldman Sachs | Wheat Futures^ | 9/2014 | (209,691 | ) | (202,125 | ) | 7,566 | ||||||||||||
215 | J.P. Morgan | 90-Day Sterling Futures | 12/2014 | (45,583,495 | ) | (45,598,327 | ) | (14,832 | ) | |||||||||||
206 | J.P. Morgan | 90-Day Sterling Futures | 3/2015 | (43,580,019 | ) | (43,585,999 | ) | (5,980 | ) | |||||||||||
207 | J.P. Morgan | 90-Day Sterling Futures | 6/2015 | (43,687,758 | ) | (43,689,089 | ) | (1,331 | ) | |||||||||||
222 | J.P. Morgan | 90-Day Sterling Futures | 9/2015 | (46,755,674 | ) | (46,745,735 | ) | 9,939 | ||||||||||||
234 | J.P. Morgan | 90-Day Sterling Futures | 12/2015 | (49,188,170 | ) | (49,162,403 | ) | 25,767 | ||||||||||||
235 | J.P. Morgan | 90-Day Sterling Futures | 3/2016 | (49,302,261 | ) | (49,276,982 | ) | 25,279 | ||||||||||||
238 | J.P. Morgan | 90-Day Sterling Futures | 6/2016 | (49,849,869 | ) | (49,814,403 | ) | 35,466 | ||||||||||||
73 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 12/2014 | (16,885,389 | ) | (16,886,017 | ) | (628 | ) | |||||||||||
49 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 3/2015 | (11,326,874 | ) | (11,329,858 | ) | (2,984 | ) | |||||||||||
71 | J.P. Morgan | Euro CHF 3-Month LIFFE Futures | 12/2014 | (20,023,778 | ) | (20,021,792 | ) | 1,986 | ||||||||||||
10 | J.P. Morgan | Euro CHF 3-Month LIFFE Futures | 3/2015 | (2,820,146 | ) | (2,819,971 | ) | 175 | ||||||||||||
|
|
|
|
|
|
|||||||||||||||
(399,211,225 | ) | (399,331,815 | ) | (120,590 | ) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$ | 453,841,427 | $ | 455,572,765 | $ | 1,731,338 | |||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
78 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $6,433,024, $1,625,921 and $2,225,029, respectively at June 30, 2014.
^ Represents positions held in the respective Subsidiary (Note 2).
Forward foreign currency exchange contracts outstanding as of June 30, 2014:
Over the Counter
PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Australian Dollar, Expiring 09/17/14 |
Credit Suisse International | AUD | 18,581,000 | $17,206,958 | $17,423,389 | $216,431 | ||||||||||||||
Australian Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | AUD | 18,581,000 | 17,207,092 | 17,423,389 | 216,297 | ||||||||||||||
Brazilian Real, Expiring 09/17/14* |
Credit Suisse International | BRL | 5,955,000 | 2,573,640 | 2,635,667 | 62,027 | ||||||||||||||
Brazilian Real, Expiring 09/17/14* |
The Royal Bank of Scotland | BRL | 5,955,000 | 2,573,642 | 2,635,666 | 62,024 | ||||||||||||||
Canadian Dollar, Expiring 09/17/14 |
Credit Suisse International | CAD | 10,961,000 | 10,132,829 | 10,252,381 | 119,552 | ||||||||||||||
Canadian Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | CAD | 10,961,000 | 10,132,925 | 10,252,381 | 119,456 | ||||||||||||||
Swiss Franc, Expiring 09/17/14 |
The Royal Bank of Scotland | CHF | 299,000 | 334,327 | 337,393 | 3,066 | ||||||||||||||
Chilean Peso, Expiring 09/17/14* |
Credit Suisse International | CLP | 30,000,000 | 53,880 | 53,804 | (76 | ) | |||||||||||||
Chilean Peso, Expiring 09/17/14* |
The Royal Bank of Scotland | CLP | 30,000,000 | 53,880 | 53,804 | (76 | ) | |||||||||||||
Columbian Peso, Expiring 09/17/14* |
Credit Suisse International | COP | 908,500,000 | 472,851 | 481,252 | 8,401 | ||||||||||||||
Columbian Peso, Expiring 09/17/14* |
The Royal Bank of Scotland | COP | 1,458,500,000 | 759,606 | 772,599 | 12,993 | ||||||||||||||
Czech Republic Koruna, Expiring 09/17/14 |
Credit Suisse International | CZK | 7,150,000 | 355,830 | 357,016 | 1,186 | ||||||||||||||
Czech Republic Koruna, Expiring 09/17/14 |
The Royal Bank of Scotland | CZK | 18,350,000 | 912,872 | 916,256 | 3,384 | ||||||||||||||
Euro, Expiring 09/17/14 |
Credit Suisse International | EUR | 14,392,998 | 19,591,290 | 19,714,130 | 122,840 | ||||||||||||||
Euro, Expiring 09/17/14 |
The Royal Bank of Scotland | EUR | 14,497,999 | 19,734,156 | 19,857,950 | 123,794 | ||||||||||||||
British Pound, Expiring 09/17/14 |
Credit Suisse International | GBP | 21,772,999 | 36,524,260 | 37,238,284 | 714,024 | ||||||||||||||
British Pound, Expiring 09/17/14 |
The Royal Bank of Scotland | GBP | 21,772,999 | 36,524,281 | 37,238,283 | 714,002 | ||||||||||||||
Hong Kong Dollar, Expiring 09/17/14 | Credit Suisse International | HKD | 29,500 | 3,806 | 3,805 | (1 | ) | |||||||||||||
Hong Kong Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | HKD | 29,500 | 3,806 | 3,805 | (1 | ) | |||||||||||||
Hungarian Forint, Expiring 09/17/14 |
Credit Suisse International | HUF | 344,500,000 | 1,536,716 | 1,518,715 | (18,001 | ) | |||||||||||||
Hungarian Forint, Expiring 09/17/14 |
The Royal Bank of Scotland | HUF | 514,500,000 | 2,296,326 | 2,268,153 | (28,173 | ) | |||||||||||||
Israeli Shekel, Expiring 09/17/14 |
Credit Suisse International | ILS | 10,320,000 | 2,984,806 | 3,006,131 | 21,325 | ||||||||||||||
Israeli Shekel, Expiring 09/17/14 |
The Royal Bank of Scotland | ILS | 10,320,000 | 2,985,046 | 3,006,131 | 21,085 | ||||||||||||||
Indian Rupee, Expiring 09/17/14* |
Credit Suisse International | INR | 161,000,000 | 2,678,016 | 2,626,099 | (51,917 | ) | |||||||||||||
Indian Rupee, Expiring 09/17/14* |
The Royal Bank of Scotland | INR | 162,000,000 | 2,694,675 | 2,642,410 | (52,265 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 79 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Japanese Yen, Expiring 09/17/14 |
Credit Suisse International | JPY | 2,236,689,500 | $22,015,863 | $22,091,271 | $75,408 | ||||||||||||||
Japanese Yen, Expiring 09/17/14 |
The Royal Bank of Scotland | JPY | 2,236,756,500 | 22,016,724 | 22,091,933 | 75,209 | ||||||||||||||
Korean Won, Expiring 09/17/14* |
Credit Suisse International | KRW | 8,292,000,001 | 8,086,064 | 8,169,568 | 83,504 | ||||||||||||||
Korean Won, Expiring 09/17/14* |
The Royal Bank of Scotland | KRW | 8,562,000,000 | 8,349,884 | 8,435,581 | 85,697 | ||||||||||||||
Mexican Peso, Expiring 09/17/14 |
Credit Suisse International | MXN | 28,875,000 | 2,219,160 | 2,213,800 | (5,360 | ) | |||||||||||||
Mexican Peso, Expiring 09/17/14 |
The Royal Bank of Scotland | MXN | 28,875,000 | 2,219,306 | 2,213,800 | (5,506 | ) | |||||||||||||
Malaysian Ringgit, Expiring 09/17/14* |
Credit Suisse International | MYR | 3,085,000 | 955,094 | 954,877 | (217 | ) | |||||||||||||
Malaysian Ringgit, Expiring 09/17/14* |
The Royal Bank of Scotland | MYR | 3,085,000 | 955,105 | 954,877 | (228 | ) | |||||||||||||
Norwegian Krone, Expiring 09/17/14 |
Credit Suisse International | NOK | 23,833,000 | 3,957,811 | 3,873,890 | (83,921 | ) | |||||||||||||
Norwegian Krone, Expiring 09/17/14 |
The Royal Bank of Scotland | NOK | 23,833,000 | 3,957,795 | 3,873,891 | (83,904 | ) | |||||||||||||
New Zealand Dollar, Expiring 09/17/14 |
Credit Suisse International | NZD | 42,411,000 | 35,938,322 | 36,860,175 | 921,853 | ||||||||||||||
New Zealand Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | NZD | 42,411,000 | 35,938,440 | 36,860,175 | 921,735 | ||||||||||||||
Philippine Peso, Expiring 09/17/14* |
Credit Suisse International | PHP | 7,000,000 | 160,404 | 160,128 | (276 | ) | |||||||||||||
Philippine Peso, Expiring 09/17/14* |
The Royal Bank of Scotland | PHP | 7,000,000 | 160,407 | 160,128 | (279 | ) | |||||||||||||
Poland Zloty, Expiring 09/17/14 |
Credit Suisse International | PLN | 18,405,001 | 6,027,072 | 6,030,922 | 3,850 | ||||||||||||||
Poland Zloty, Expiring 09/17/14 |
The Royal Bank of Scotland | PLN | 18,405,000 | 6,026,838 | 6,030,921 | 4,083 | ||||||||||||||
Russian Ruble, Expiring 09/17/14* |
Credit Suisse International | RUB | 70,800,000 | 2,011,331 | 2,046,167 | 34,836 | ||||||||||||||
Russian Ruble, Expiring 09/17/14* |
The Royal Bank of Scotland | RUB | 71,800,000 | 2,039,821 | 2,075,068 | 35,247 | ||||||||||||||
Swedish Krona, Expiring 09/17/14 |
Credit Suisse International | SEK | 25,799,500 | 3,837,513 | 3,858,219 | 20,706 | ||||||||||||||
Swedish Krona, Expiring 09/17/14 |
The Royal Bank of Scotland | SEK | 25,799,500 | 3,837,639 | 3,858,219 | 20,580 | ||||||||||||||
Singapore Dollar, Expiring 09/17/14 |
Credit Suisse International | SGD | 7,064,500 | 5,640,936 | 5,665,820 | 24,884 | ||||||||||||||
Singapore Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | SGD | 7,224,500 | 5,768,324 | 5,794,143 | 25,819 | ||||||||||||||
Turkish Lira, Expiring 09/17/14 |
Credit Suisse International | TRY | 1,769,000 | 823,261 | 821,725 | (1,536 | ) | |||||||||||||
Turkish Lira, Expiring 09/17/14 |
The Royal Bank of Scotland | TRY | 1,769,000 | 823,622 | 821,724 | (1,898 | ) | |||||||||||||
Taiwanese Dollar, Expiring 09/17/14* |
Credit Suisse International | TWD | 109,550,000 | 3,661,216 | 3,672,688 | 11,472 | ||||||||||||||
Taiwanese Dollar, Expiring 09/17/14* |
The Royal Bank of Scotland | TWD | 109,550,000 | 3,661,271 | 3,672,688 | 11,417 | ||||||||||||||
South African Rand, Expiring 09/17/14 |
Credit Suisse International | ZAR | 10,115,000 | 934,644 | 938,763 | 4,119 | ||||||||||||||
South African Rand, Expiring 09/17/14 |
The Royal Bank of Scotland | ZAR | 10,115,000 | 934,636 | 938,763 | 4,127 | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$383,286,019 | $387,858,817 | $4,572,798 | ||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
80 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Australian Dollar, Expiring 09/17/14 |
Credit Suisse International | AUD | (6,989,000 | ) | $(6,505,395 | ) | $(6,553,582 | ) | $(48,187 | ) | ||||||||||
Australian Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | AUD | (6,989,000 | ) | (6,505,335 | ) | (6,553,581 | ) | (48,246 | ) | ||||||||||
Brazilian Real, Expiring 09/17/14* |
Credit Suisse International | BRL | (20,000 | ) | (8,848 | ) | (8,852 | ) | (4 | ) | ||||||||||
Brazilian Real, Expiring 09/17/14* |
The Royal Bank of Scotland | BRL | (1,240,000 | ) | (552,036 | ) | (548,821 | ) | 3,215 | |||||||||||
Canadian Dollar, Expiring 09/17/14 |
Credit Suisse International | CAD | (5,632,500 | ) | (5,147,819 | ) | (5,268,364 | ) | (120,545 | ) | ||||||||||
Canadian Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | CAD | (5,632,500 | ) | (5,147,811 | ) | (5,268,364 | ) | (120,553 | ) | ||||||||||
Swiss Franc, Expiring 09/17/14 |
Credit Suisse International | CHF | (180,000 | ) | (201,401 | ) | (203,114 | ) | (1,713 | ) | ||||||||||
Swiss Franc, Expiring 09/17/14 |
The Royal Bank of Scotland | CHF | (224,000 | ) | (250,738 | ) | (252,764 | ) | (2,026 | ) | ||||||||||
Chilean Peso, Expiring 09/17/14* |
Credit Suisse International | CLP | (219,500,000 | ) | (394,526 | ) | (393,668 | ) | 858 | |||||||||||
Chilean Peso, Expiring 09/17/14* |
The Royal Bank of Scotland | CLP | (219,500,000 | ) | (394,527 | ) | (393,668 | ) | 859 | |||||||||||
Czech Republic Koruna, Expiring 09/17/14 |
Credit Suisse International | CZK | (53,800,000 | ) | (2,670,463 | ) | (2,686,350 | ) | (15,887 | ) | ||||||||||
Czech Republic Koruna, Expiring 09/17/14 |
The Royal Bank of Scotland | CZK | (53,800,000 | ) | (2,670,505 | ) | (2,686,350 | ) | (15,845 | ) | ||||||||||
Euro, Expiring 09/17/14 |
Credit Suisse International | EUR | (7,465,000 | ) | (10,136,115 | ) | (10,224,832 | ) | (88,717 | ) | ||||||||||
Euro, Expiring 09/17/14 |
The Royal Bank of Scotland | EUR | (7,483,000 | ) | (10,160,709 | ) | (10,249,487 | ) | (88,778 | ) | ||||||||||
British Pound, Expiring 09/17/14 |
Credit Suisse International | GBP | (2,428,500 | ) | (4,123,933 | ) | (4,153,454 | ) | (29,521 | ) | ||||||||||
British Pound, Expiring 09/17/14 |
The Royal Bank of Scotland | GBP | (2,428,500 | ) | (4,123,881 | ) | (4,153,454 | ) | (29,573 | ) | ||||||||||
Hungarian Forint, Expiring 09/17/14 |
Credit Suisse International | HUF | (287,000,000 | ) | (1,264,005 | ) | (1,265,229 | ) | (1,224 | ) | ||||||||||
Hungarian Forint, Expiring 09/17/14 |
The Royal Bank of Scotland | HUF | (467,000,000 | ) | (2,053,888 | ) | (2,058,752 | ) | (4,864 | ) | ||||||||||
Indonesian Rupiah, Expiring 09/17/14* |
Credit Suisse International | IDR | (14,605,000,000 | ) | (1,214,708 | ) | (1,213,909 | ) | 799 | |||||||||||
Indonesian Rupiah, Expiring 09/17/14* |
The Royal Bank of Scotland | IDR | (17,505,000,000 | ) | (1,456,070 | ) | (1,454,945 | ) | 1,125 | |||||||||||
Israeli Shekel, Expiring 09/17/14 |
Credit Suisse International | ILS | (45,000 | ) | (12,946 | ) | (13,108 | ) | (162 | ) | ||||||||||
Israeli Shekel, Expiring 09/17/14 |
The Royal Bank of Scotland | ILS | (45,000 | ) | (12,945 | ) | (13,108 | ) | (163 | ) | ||||||||||
Indian Rupee, Expiring 09/17/14* |
Credit Suisse International | INR | (163,500,000 | ) | (2,682,546 | ) | (2,666,878 | ) | 15,668 | |||||||||||
Indian Rupee, Expiring 09/17/14* |
The Royal Bank of Scotland | INR | (181,500,000 | ) | (2,978,519 | ) | (2,960,479 | ) | 18,040 | |||||||||||
Japanese Yen, Expiring 09/17/14 |
Credit Suisse International | JPY | (4,956,896,998 | ) | (48,448,721 | ) | (48,958,136 | ) | (509,415 | ) | ||||||||||
Japanese Yen, Expiring 09/17/14 |
The Royal Bank of Scotland | JPY | (4,956,896,998 | ) | (48,448,602 | ) | (48,958,136 | ) | (509,534 | ) | ||||||||||
Korean Won, Expiring 09/17/14* |
Credit Suisse International | KRW | (925,000,000 | ) | (908,622 | ) | (911,342 | ) | (2,720 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 81 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Korean Won, Expiring 09/17/14* |
The Royal Bank of Scotland | KRW | (925,000,000 | ) | $(908,610 | ) | $(911,342 | ) | $(2,732 | ) | ||||||||||
Mexican Peso, Expiring 09/17/14 |
Credit Suisse International | MXN | (26,800,000 | ) | (2,045,463 | ) | (2,054,714 | ) | (9,251 | ) | ||||||||||
Mexican Peso, Expiring 09/17/14 |
The Royal Bank of Scotland | MXN | (31,000,000 | ) | (2,366,607 | ) | (2,376,720 | ) | (10,113 | ) | ||||||||||
Malaysian Ringgit, Expiring 09/17/14* |
Credit Suisse International | MYR | (465,000 | ) | (142,924 | ) | (143,928 | ) | (1,004 | ) | ||||||||||
Malaysian Ringgit, Expiring 09/17/14* |
The Royal Bank of Scotland | MYR | (465,000 | ) | (142,923 | ) | (143,928 | ) | (1,005 | ) | ||||||||||
Norwegian Krone, Expiring 09/17/14 |
Credit Suisse International | NOK | (147,272,000 | ) | (24,061,594 | ) | (23,938,055 | ) | 123,539 | |||||||||||
Norwegian Krone, Expiring 09/17/14 |
The Royal Bank of Scotland | NOK | (147,272,000 | ) | (24,061,629 | ) | (23,938,055 | ) | 123,574 | |||||||||||
New Zealand Dollar, Expiring 09/17/14 |
Credit Suisse International | NZD | (6,922,500 | ) | (5,805,897 | ) | (6,016,471 | ) | (210,574 | ) | ||||||||||
New Zealand Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | NZD | (6,922,500 | ) | (5,806,082 | ) | (6,016,471 | ) | (210,389 | ) | ||||||||||
Philippine Peso, Expiring 09/17/14* |
Credit Suisse International | PHP | (9,200,000 | ) | (209,450 | ) | (210,454 | ) | (1,004 | ) | ||||||||||
Philippine Peso, Expiring 09/17/14* |
The Royal Bank of Scotland | PHP | (9,200,000 | ) | (209,451 | ) | (210,454 | ) | (1,003 | ) | ||||||||||
Poland Zloty, Expiring 09/17/14 |
Credit Suisse International | PLN | (3,895,000 | ) | (1,269,319 | ) | (1,276,307 | ) | (6,988 | ) | ||||||||||
Poland Zloty, Expiring 09/17/14 |
The Royal Bank of Scotland | PLN | (6,405,000 | ) | (2,088,535 | ) | (2,098,780 | ) | (10,245 | ) | ||||||||||
Russian Ruble, Expiring 09/17/14* |
Credit Suisse International | RUB | (5,000,000 | ) | (142,554 | ) | (144,503 | ) | (1,949 | ) | ||||||||||
Russian Ruble, Expiring 09/17/14* |
The Royal Bank of Scotland | RUB | (5,000,000 | ) | (142,551 | ) | (144,503 | ) | (1,952 | ) | ||||||||||
Swedish Krona, Expiring 09/17/14 |
Credit Suisse International | SEK | (194,656,000 | ) | (29,116,891 | ) | (29,110,077 | ) | 6,814 | |||||||||||
Swedish Krona, Expiring 09/17/14 |
The Royal Bank of Scotland | SEK | (194,656,000 | ) | (29,117,000 | ) | (29,110,077 | ) | 6,923 | |||||||||||
Singapore Dollar, Expiring 09/17/14 |
Credit Suisse International | SGD | (1,300,000 | ) | (1,039,881 | ) | (1,042,617 | ) | (2,736 | ) | ||||||||||
Singapore Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | SGD | (1,300,000 | ) | (1,039,883 | ) | (1,042,617 | ) | (2,734 | ) | ||||||||||
Turkish Lira, Expiring 09/17/14 |
Credit Suisse International | TRY | (845,000 | ) | (386,435 | ) | (392,514 | ) | (6,079 | ) | ||||||||||
Turkish Lira, Expiring 09/17/14 |
The Royal Bank of Scotland | TRY | (845,000 | ) | (386,377 | ) | (392,514 | ) | (6,137 | ) | ||||||||||
Taiwanese Dollar, Expiring 09/17/14* |
Credit Suisse International | TWD | (99,550,000 | ) | (3,323,666 | ) | (3,337,434 | ) | (13,768 | ) | ||||||||||
Taiwanese Dollar, Expiring 09/17/14* |
The Royal Bank of Scotland | TWD | (99,550,000 | ) | (3,323,646 | ) | (3,337,434 | ) | (13,788 | ) | ||||||||||
South African Rand, Expiring 09/17/14 |
Credit Suisse International | ZAR | (20,400,000 | ) | (1,874,108 | ) | (1,893,302 | ) | (19,194 | ) | ||||||||||
South African Rand, Expiring 09/17/14 |
The Royal Bank of Scotland | ZAR | (20,400,000 | ) | (1,874,097 | ) | (1,893,302 | ) | (19,205 | ) | ||||||||||
|
|
|
|
|
|
|||||||||||||||
(309,361,187 | ) | (311,249,300 | ) | (1,888,113 | ) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$73,924,832 | $76,609,517 | $2,684,685 | ||||||||||||||||||
|
|
|
|
|
|
Money Market Fund is pledged as collateral to Credit Suisse International for forward foreign currency exchange contracts in the amount of $1 at June 30, 2014. Cash held as collateral for Credit Suisse International and The Royal Bank of Scotland was $1,480,000 and $540,000, respectively, at June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
82 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MANAGED FUTURES STRATEGY HV FUND |
* | Non deliverable forward. See Note 3 in the Notes to Financial Statements. |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CLP - Chilean Peso
COP - Columbian Peso
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
IDR - Indonesian Rupiah
ILS - Israeli Shekel
INR - Indian Rupee
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
MYR - Malaysian Ringgit
NOK - Norwegian Krone
NZD - New Zealand Dollar
PHP - Philippine Peso
PLN - Poland Zloty
RUB - Russian Ruble
SEK - Swedish Krona
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwanese Dollar
USD - United States Dollar
ZAR - South African Rand
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2014 | 83 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
Total return swap contracts outstanding as of June 30, 2014:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
Deutsche Bank | Brent Crude Futures^ | 7/2014 | USD | 6,641,930 | $324,390 | |||||||||
Deutsche Bank | Brent Crude Futures^ | 7/2014 | USD | (6,691,660 | ) | (274,660 | ) | |||||||
Deutsche Bank | Brent Crude Futures^ | 8/2014 | USD | 6,978,610 | 305,940 | |||||||||
Deutsche Bank | Brent Crude Futures^ | 8/2014 | USD | (7,404,400 | ) | 119,850 | ||||||||
Deutsche Bank | Brent Crude Futures^ | 9/2014 | USD | 6,249,100 | (106,700 | ) | ||||||||
Deutsche Bank | Brent Crude Futures^ | 9/2014 | USD | (337,560 | ) | 2,520 | ||||||||
CitiBank | Cocoa Futures^ | 9/2014 | USD | 1,636,976 | 20,330 | |||||||||
CitiBank | Cocoa Futures^ | 9/2014 | USD | (122,124 | ) | (2,955 | ) | |||||||
CitiBank | Coffee C Futures^ | 9/2014 | USD | 3,285,795 | 128,627 | |||||||||
CitiBank | Coffee C Futures^ | 9/2014 | USD | (470,454 | ) | 10,815 | ||||||||
CitiBank | Corn Futures^ | 9/2014 | USD | 7,554,754 | (1,210,315 | ) | ||||||||
CitiBank | Corn Futures^ | 9/2014 | USD | (7,110,084 | ) | 765,783 | ||||||||
Deutsche Bank | Corn Futures^ | 9/2014 | USD | 25,350 | (4,413) | |||||||||
Deutsche Bank | Corn Futures^ | 9/2014 | USD | (22,250 | ) | 1,313 | ||||||||
CitiBank | Corn Futures^ | 12/2014 | USD | 5,658,351 | (300,201 | ) | ||||||||
Deutsche Bank | Corn Futures^ | 12/2014 | USD | 22,400 | (1,137 | ) | ||||||||
CitiBank | Cotton No. 2 Futures^ | 12/2014 | USD | 1,446,658 | (86,644 | ) | ||||||||
CitiBank | Cotton No. 2 Futures^ | 12/2014 | USD | (422,933 | ) | 18,611 | ||||||||
Deutsche Bank | Gas Oil Futures^ | 7/2014 | USD | 4,934,110 | 98,390 | |||||||||
Deutsche Bank | Gas Oil Futures^ | 7/2014 | USD | (4,885,800 | ) | (146,700 | ) | |||||||
Deutsche Bank | Gas Oil Futures^ | 8/2014 | USD | 4,179,475 | 138,650 | |||||||||
Deutsche Bank | Gas Oil Futures^ | 8/2014 | USD | (4,389,800 | ) | 71,675 | ||||||||
Deutsche Bank | Gas Oil Futures^ | 9/2014 | USD | 4,408,600 | (72,850 | ) | ||||||||
Deutsche Bank | Gas Oil Futures^ | 9/2014 | USD | (93,300 | ) | 1,050 | ||||||||
Deutsche Bank | Gasoline RBOB Futures^ | 7/2014 | USD | 3,884,899 | 205,296 | |||||||||
Deutsche Bank | Gasoline RBOB Futures^ | 7/2014 | USD | (3,935,916 | ) | (154,279 | ) | |||||||
Deutsche Bank | Gasoline RBOB Futures^ | 8/2014 | USD | 3,171,714 | 110,292 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
84 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
Deutsche Bank | Gasoline RBOB Futures^ | 8/2014 | USD | (887,868 | ) | $4,251 | ||||||||
Barclays Capital | Gold 100 OZ Futures^ | 8/2014 | USD | 17,713,770 | 529,711 | |||||||||
Barclays Capital | Gold 100 OZ Futures^ | 8/2014 | USD | (1,944,820 | ) | (38,171 | ) | |||||||
Deutsche Bank | Lean Hogs Futures^ | 7/2014 | USD | 627,120 | 62,660 | |||||||||
Deutsche Bank | Lean Hogs Futures^ | 7/2014 | USD | (653,280 | ) | (36,500 | ) | |||||||
Deutsche Bank | Lean Hogs Futures^ | 8/2014 | USD | 623,222 | 14,338 | |||||||||
Deutsche Bank | Lean Hogs Futures^ | 8/2014 | USD | (257,600 | ) | (8,050 | ) | |||||||
Deutsche Bank | Live Cattle Futures^ | 8/2014 | USD | 9,706,994 | 618,166 | |||||||||
CitiBank | LME Aluminum Futures^ | 9/2014 | USD | 9,829,813 | 427,506 | |||||||||
CitiBank | LME Aluminum Futures^ | 9/2014 | USD | (10,017,988 | ) | (239,331 | ) | |||||||
CitiBank | LME Aluminum Futures^ | 12/2014 | USD | 7,762,500 | (22,950 | ) | ||||||||
CitiBank | LME Aluminum Futures^ | 12/2014 | USD | (2,452,275 | ) | (32,025 | ) | |||||||
CitiBank | LME Copper Futures^ | 9/2014 | USD | 16,410,025 | 447,575 | |||||||||
CitiBank | LME Copper Futures^ | 9/2014 | USD | (16,022,500 | ) | (835,100 | ) | |||||||
CitiBank | LME Copper Futures^ | 12/2014 | USD | 13,368,000 | 644,000 | |||||||||
CitiBank | LME Copper Futures^ | 12/2014 | USD | (852,225 | ) | (23,525 | ) | |||||||
CitiBank | LME Lead Futures^ | 9/2014 | USD | 2,270,419 | 61,794 | |||||||||
CitiBank | LME Lead Futures^ | 9/2014 | USD | (2,267,613 | ) | (64,600 | ) | |||||||
CitiBank | LME Lead Futures^ | 12/2014 | USD | 1,451,200 | 24,688 | |||||||||
CitiBank | LME Lead Futures^ | 12/2014 | USD | (163,875 | ) | (113 | ) | |||||||
CitiBank | LME Nickel Futures^ | 9/2014 | USD | 2,885,610 | 312,606 | |||||||||
CitiBank | LME Nickel Futures^ | 9/2014 | USD | (3,162,120 | ) | (36,096 | ) | |||||||
CitiBank | LME Nickel Futures^ | 12/2014 | USD | 2,397,060 | 7,020 | |||||||||
CitiBank | LME Nickel Futures^ | 12/2014 | USD | (114,660 | ) | 180 | ||||||||
CitiBank | LME Zinc Futures^ | 9/2014 | USD | 4,834,088 | 382,912 | |||||||||
CitiBank | LME Zinc Futures^ | 9/2014 | USD | (4,985,075 | ) | (231,925 | ) | |||||||
CitiBank | LME Zinc Futures^ | 12/2014 | USD | 4,454,506 | 170,669 | |||||||||
CitiBank | LME Zinc Futures^ | 12/2014 | USD | (434,000 | ) | (11,800 | ) | |||||||
Deutsche Bank | Natural Gas Swap Futures^ | 7/2014 | USD | 3,960,082 | (212,842 | ) | ||||||||
Deutsche Bank | Natural Gas Swap Futures^ | 7/2014 | USD | (3,855,740 | ) | 108,500 | ||||||||
Deutsche Bank | Natural Gas Swap Futures^ | 8/2014 | USD | 3,581,020 | (162,220 | ) | ||||||||
Deutsche Bank | Heating Oil ULSD Futures^ | 7/2014 | USD | 3,402,021 | 96,932 | |||||||||
Deutsche Bank | Heating Oil ULSD Futures^ | 7/2014 | USD | (3,407,695 | ) | (91,258 | ) | |||||||
Deutsche Bank | Heating Oil ULSD Futures^ | 8/2014 | USD | 3,415,457 | 95,491 | |||||||||
Barclays Capital | Silver Futures^ | 9/2014 | USD | 10,403,500 | 19,212 | |||||||||
Barclays Capital | Silver Futures^ | 9/2014 | USD | (527,750 | ) | 1,349 | ||||||||
Deutsche Bank | Soybean Futures^ | 11/2014 | USD | 10,053,548 | (564,099) | |||||||||
Deutsche Bank | Soybean Futures^ | 11/2014 | USD | (3,609,845 | ) | 195,958 | ||||||||
CitiBank | Soybean Meal Futures^ | 12/2014 | USD | 4,155,334 | (297,337 | ) | ||||||||
CitiBank | Soybean Meal Futures^ | 12/2014 | USD | (1,326,411 | ) | 77,174 | ||||||||
Deutsche Bank | Soybean Meal Futures^ | 12/2014 | USD | 79,450 | (5,970 | ) | ||||||||
CitiBank | Soybean Oil Futures^ | 12/2014 | USD | 2,767,064 | 28,217 | |||||||||
CitiBank | Soybean Oil Futures^ | 12/2014 | USD | (677,448 | ) | 19,708 | ||||||||
Deutsche Bank | Soybean Oil Futures^ | 12/2014 | USD | 162,972 | 1,458 | |||||||||
CitiBank | Sugar #11 (World Markets) Futures^ | 9/2014 | USD | 6,417,589 | 77,499 | |||||||||
CitiBank | Sugar #11 (World Markets) Futures^ | 9/2014 | USD | (667,520 | ) | 22,031 | ||||||||
CitiBank | Wheat Futures^ | 9/2014 | USD | 5,550,272 | (958,849 | ) | ||||||||
CitiBank | Wheat Futures^ | 9/2014 | USD | (5,093,094 | ) | 501,813 | ||||||||
Deutsche Bank | Wheat Futures^ | 9/2014 | USD | 171,779 | (27,404) | |||||||||
Deutsche Bank | Wheat Futures^ | 9/2014 | USD | (155,438 | ) | 11,063 | ||||||||
CitiBank | Wheat Futures^ | 12/2014 | USD | 4,210,668 | (321,721 | ) | ||||||||
CitiBank | Wheat Futures^ | 12/2014 | USD | (511,380 | ) | 32,747 | ||||||||
Deutsche Bank | Wheat Futures^ | 12/2014 | USD | 161,250 | (11,688 | ) | ||||||||
Deutsche Bank | WTI Crude Oil Futures^ | 7/2014 | USD | 5,435,830 | 359,520 | |||||||||
Deutsche Bank | WTI Crude Oil Futures^ | 7/2014 | USD | (5,645,300 | ) | (150,050 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 85 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
Deutsche Bank | WTI Crude Oil Futures^ | 8/2014 | USD | 6,418,540 | $74,720 | |||||||||
Deutsche Bank | WTI Crude Oil Futures^ | 8/2014 | USD | (315,720 | ) | 1,530 | ||||||||
|
|
|||||||||||||
$1,012,052 | ||||||||||||||
|
|
Money Market Fund is pledged as collateral to Barclays Capital, CitiBank and Deutsche Bank for total return swap contracts in the amount of $1,441,390, $4,030,000 and $2,870,000, respectively at June 30, 2014.
^ | Represents positions held in the respective Subsidiary (Note 2). |
Open futures contracts outstanding at June 30, 2014:
Exchange Traded
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Long Contracts: | ||||||||||||||||||||
24 | Goldman Sachs | Cocoa Futures^ | 9/2014 | $742,039 | $750,480 | $8,441 | ||||||||||||||
15 | Goldman Sachs | Gas Oil Futures^ | 9/2014 | 1,408,910 | 1,383,750 | (25,160 | ) | |||||||||||||
17 | Goldman Sachs | Gold 100 OZ Futures^ | 8/2014 | 2,235,833 | 2,247,400 | 11,567 | ||||||||||||||
28 | Goldman Sachs | Lean Hogs Futures^ | 8/2014 | 1,458,856 | 1,487,640 | 28,784 | ||||||||||||||
9 | Goldman Sachs | Live Cattle Futures^ | 8/2014 | 545,478 | 540,270 | (5,208 | ) | |||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 332,063 | 330,338 | (1,725 | ) | |||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 233,135 | 236,067 | 2,932 | ||||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 92,529 | 94,515 | 1,986 | ||||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 12/2014 | 334,265 | 334,425 | 160 | ||||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 165,998 | 176,030 | 10,032 | ||||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 497,519 | 527,970 | 30,451 | ||||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 505,200 | 527,441 | 22,241 | ||||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 499,731 | 527,400 | 27,669 | ||||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 501,489 | 527,400 | 25,911 | ||||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 862,232 | 879,000 | 16,768 | ||||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 171,002 | 175,694 | 4,692 | ||||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 172,141 | 175,654 | 3,513 | ||||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 172,886 | 175,654 | 2,768 | ||||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 846,885 | 878,250 | 31,365 | ||||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 832,135 | 878,156 | 46,021 | ||||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 332,004 | 351,237 | 19,233 | ||||||||||||||
27 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 4,577,457 | 4,741,200 | 163,743 | ||||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 846,760 | 877,411 | 30,651 | ||||||||||||||
18 | J.P. Morgan | LME Copper Futures^ | 12/2014 | 3,007,925 | 3,152,700 | 144,775 | ||||||||||||||
2 | J.P. Morgan | LME Lead Futures^ | 9/2014 | 105,873 | 108,475 | 2,602 | ||||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 9/2014 | 52,921 | 54,251 | 1,330 | ||||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 12/2014 | 53,596 | 54,663 | 1,067 | ||||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | 217,870 | 227,957 | 10,087 | ||||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | 219,088 | 227,994 | 8,906 | ||||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | 117,062 | 114,041 | (3,021 | ) | |||||||||||||
3 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | 329,047 | 342,666 | 13,619 | ||||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 49,302 | 55,356 | 6,054 | ||||||||||||||
7 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 359,990 | 386,903 | 26,913 | ||||||||||||||
9 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 471,999 | 499,500 | 27,501 | ||||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 106,910 | 110,981 | 4,071 | ||||||||||||||
4 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 214,727 | 221,925 | 7,198 | ||||||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 12/2014 | 323,788 | 334,351 | 10,563 | ||||||||||||||
2 | Goldman Sachs | Heating Oil ULSD Futures^ | 9/2014 | 257,048 | 250,782 | (6,266 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
86 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
10 | Goldman Sachs | Silver Futures^ | 9/2014 | $1,052,212 | $1,052,800 | $588 | ||||||||||||||
26 | Goldman Sachs | Sugar #11 (World Markets) Futures^ | 9/2014 | 512,189 | 524,451 | 12,262 | ||||||||||||||
5 | Goldman Sachs | Wheat Futures^ | 12/2014 | 154,548 | 149,563 | (4,985 | ) | |||||||||||||
50 | Goldman Sachs | WTI Crude Oil Futures^ | 9/2014 | 5,257,774 | 5,236,500 | (21,274 | ) | |||||||||||||
|
|
|
|
|
|
|||||||||||||||
31,230,416 | 31,929,241 | 698,825 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
Short Contracts: | ||||||||||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (332,135 | ) | (330,338 | ) | 1,797 | ||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (233,108 | ) | (236,067 | ) | (2,959 | ) | |||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (92,252 | ) | (94,515 | ) | (2,263 | ) | |||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 12/2014 | (329,273 | ) | (334,425 | ) | (5,152 | ) | |||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (165,248 | ) | (176,030 | ) | (10,782 | ) | |||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (497,244 | ) | (527,970 | ) | (30,726 | ) | |||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (505,831 | ) | (527,441 | ) | (21,610 | ) | |||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (497,037 | ) | (527,400 | ) | (30,363 | ) | |||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (503,394 | ) | (527,400 | ) | (24,006 | ) | |||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (864,364 | ) | (879,000 | ) | (14,636 | ) | |||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (171,523 | ) | (175,694 | ) | (4,171 | ) | |||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (172,498 | ) | (175,654 | ) | (3,156 | ) | |||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (173,098 | ) | (175,653 | ) | (2,555 | ) | |||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (848,027 | ) | (878,250 | ) | (30,223 | ) | |||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (832,118 | ) | (878,156 | ) | (46,038 | ) | |||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (333,261 | ) | (351,238 | ) | (17,977 | ) | |||||||||||
27 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (4,515,969 | ) | (4,741,200 | ) | (225,231 | ) | |||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (847,785 | ) | (877,412 | ) | (29,627 | ) | |||||||||||
17 | J.P. Morgan | LME Copper Futures^ | 12/2014 | (2,853,590 | ) | (2,977,550 | ) | (123,960 | ) | |||||||||||
2 | J.P. Morgan | LME Lead Futures^ | 9/2014 | (101,846 | ) | (108,475 | ) | (6,629 | ) | |||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 9/2014 | (53,273) | (54,251) | (978) | ||||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | (218,912 | ) | (227,957 | ) | (9,045 | ) | |||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | (218,870 | ) | (227,995 | ) | (9,125 | ) | |||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | (115,828 | ) | (114,041 | ) | 1,787 | ||||||||||||
3 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | (336,324 | ) | (342,666 | ) | (6,342 | ) | |||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (49,379 | ) | (55,356 | ) | (5,977 | ) | |||||||||||
7 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (358,935 | ) | (386,902 | ) | (27,967 | ) | |||||||||||
9 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (460,025 | ) | (499,500 | ) | (39,475 | ) | |||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (107,046 | ) | (110,982 | ) | (3,936 | ) | |||||||||||
4 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (214,992 | ) | (221,925 | ) | (6,933 | ) | |||||||||||
|
|
|
|
|
|
|||||||||||||||
(17,003,185 | ) | (17,741,443 | ) | (738,258 | ) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$14,227,231 | $14,187,798 | $(39,433) | ||||||||||||||||||
|
|
|
|
|
|
Cash held as collateral at Goldman Sachs and J.P. Morgan for futures contracts was $905,873 and $89,641, respectively at June 30, 2014.
^ Represents positions held in the respective Subsidiary (Note 2).
USD - United States Dollar
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2014 | 87 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY FUND |
GOVERNMENT RELATED OBLIGATIONS - 16.2% | INTEREST RATE |
MATURITY DATE |
CURRENCY | PRINCIPAL AMOUNT (000s) |
VALUE (Note 3) |
|||||||||||||
Sovereign Debt - 16.2% | ||||||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 0.100% | 04/15/23 | EUR | $ | 20,556 | $ | 29,095,888 | |||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 0.750% | 04/15/18 | EUR | 11,615 | 16,744,579 | |||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.750% | 04/15/20 | EUR | 7,250 | 11,283,065 | |||||||||||||
France Government Bond OAT (France) | 0.250% | 07/25/18 | EUR | 5,422 | 7,700,848 | |||||||||||||
France Government Bond OAT (France) | 0.250% | 07/25/24 | EUR | 1,833 | 2,546,295 | |||||||||||||
France Government Bond OAT (France) | 1.100% | 07/25/22 | EUR | 4,242 | 6,399,925 | |||||||||||||
France Government Bond OAT (France) | 1.300% | 07/25/19 | EUR | 12,716 | 19,151,803 | |||||||||||||
France Government Bond OAT (France) | 2.100% | 07/25/23 | EUR | 1,871 | 3,064,456 | |||||||||||||
United Kingdom Index Linked Treasury Gilt (United Kingdom) | 0.125% | 03/22/24 | GBP | 4,219 | 7,467,330 | |||||||||||||
United Kingdom Treasury Gilt (United Kingdom) | 1.875% | 11/22/22 | GBP | 13,552 | 27,820,020 | |||||||||||||
|
|
|||||||||||||||||
TOTAL GOVERNMENT RELATED OBLIGATIONS |
131,274,209 | |||||||||||||||||
|
|
|||||||||||||||||
U.S. TREASURY OBLIGATIONS - 27.8% | ||||||||||||||||||
U.S. Treasury Inflation Protected Securities - 27.8% | ||||||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125% | 04/15/18 | USD | 50,000 | 52,969,101 | |||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125% | 01/15/22 | USD | 22,100 | 23,302,153 | |||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125% | 07/15/22 | USD | 21,000 | 21,796,259 | |||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125% | 01/15/23 | USD | 20,100 | 20,573,333 | |||||||||||||
U.S. Treasury Inflation Protected Securities | 0.375% | 07/15/23 | USD | 18,900 | 19,626,658 | |||||||||||||
U.S. Treasury Inflation Protected Securities | 1.375% | 07/15/18 | USD | 10,600 | 12,733,304 | |||||||||||||
U.S. Treasury Inflation Protected Securities | 1.625% | 01/15/18 | USD | 23,400 | 28,881,970 | |||||||||||||
U.S. Treasury Inflation Protected Securities | 2.125% | 01/15/19 | USD | 9,200 | 11,441,168 | |||||||||||||
U.S. Treasury Inflation Protected Securities | 2.625% | 07/15/17 | USD | 26,400 | 33,805,134 | |||||||||||||
|
|
|||||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
225,129,080 | |||||||||||||||||
|
|
|||||||||||||||||
MONEY MARKET FUNDS - 34.5% | SHARES | |||||||||||||||||
BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.030% (a)^ | 16,320,542 | 16,320,542 | ||||||||||||||||
Dreyfus Treasury Cash Management, Class I, 0.010% (a)^ | 65,282,167 | 65,282,167 | ||||||||||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)^ | 116,243,727 | 116,243,727 | ||||||||||||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a)^ | 81,603,553 | 81,603,553 | ||||||||||||||||
|
|
|||||||||||||||||
TOTAL MONEY MARKET FUNDS |
279,449,989 | |||||||||||||||||
|
|
|||||||||||||||||
SHORT-TERM INVESTMENTS - 15.3% | PRINCIPAL AMOUNT (000s) |
|||||||||||||||||
U.S. Treasury Bill, 0.045%, 11/28/2014 (c)^ | $ | 4,190 | 4,190,040 | |||||||||||||||
U.S. Treasury Bill, 0.052%, 12/04/2014 (c)^ | 6,719 | 6,719,542 | ||||||||||||||||
U.S. Treasury Bill, 0.060%, 07/31/2014 (c)^ | 43,599 | 43,600,171 | ||||||||||||||||
U.S. Treasury Bill, 0.062%, 08/07/2014 (c)^ | 69,476 | 69,480,453 | ||||||||||||||||
|
|
|||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
123,990,206 | |||||||||||||||||
|
|
|||||||||||||||||
TOTAL INVESTMENTS - 93.8% |
759,843,484 | |||||||||||||||||
|
|
|||||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 6.2% (d) | 50,111,087 | |||||||||||||||||
|
|
|||||||||||||||||
NET ASSETS - 100.0% |
$ | 809,954,571 | ||||||||||||||||
|
|
(a) | Represents annualized seven-day yield as of June 30, 2014. |
(b) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(c) | The rate shown is the effective yield at the date of purchase. |
(d) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ All or a portion represents positions held in the respective Subsidiary (Note 2).
The accompanying notes are an integral part of these financial statements. | (Continued) |
88 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY FUND |
All securities are Level 2 with respect to ASC 820 (See Note 5).
The following abbreviations are used in portfolio descriptions:
EUR - Euro
GBP - British Pound
USD - United States Dollar
Credit default swap contracts sell protection as of June 30, 2014:
COUNTERPARTY | REFERENCE ENTITY |
FIXED ANNUAL RATE RECEIVED BY FUND |
CURRENCY | CREDIT SPREAD |
NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||
Exchange Cleared | ||||||||||||||||||||||||||
CitiBank | iTraxx Europe Crossover Series 21.V1 | 5.000% | EUR | 2.410% | 78,975,000 | $9,610,389 | 06/20/2019 | $3,171,823 | ||||||||||||||||||
CitiBank | iTraxx Europe Crossover Series 21.V1 | 1.000% | EUR | 0.620% | 167,750,000 | 2,409,666 | 06/20/2019 | 1,878,702 | ||||||||||||||||||
CitiBank | Markit CDX Emerging Market Index Series 21 | 5.000% | USD | 2.370% | 24,125,000 | 2,042,777 | 06/20/2019 | 873,898 | ||||||||||||||||||
CitiBank | Markit CDX North America High Yield Index Series 22 | 5.000% | USD | 3.030% | 115,050,000 | 7,986,890 | 06/20/2019 | 2,088,097 | ||||||||||||||||||
CitiBank | Markit CDX North America Investment Grade Index Series 22 | 1.000% | USD | 0.580% | 233,375,000 | 3,288,795 | 06/20/2019 | 1,410,901 | ||||||||||||||||||
|
|
|
|
|||||||||||||||||||||||
$25,338,517 | $9,423,421 | |||||||||||||||||||||||||
|
|
|
|
Credit default swap contracts buy protection as of June 30, 2014:
COUNTERPARTY | REFERENCE ENTITY |
FIXED ANNUAL RATE RECEIVED BY FUND |
CURRENCY | CREDIT SPREAD |
NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||
Exchange Cleared | ||||||||||||||||||||||||||
CitiBank | Markit CDX North America High Yield Index Series 22 | 5.000% | USD | 3.030% | 1,500,000 | $(122,747) | 06/20/2019 | $(8,609) | ||||||||||||||||||
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 89 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY FUND |
Cash held as collateral for CitiBank for credit default swap contracts was $19,386,234 at June 30, 2014.
Interest rate swap contracts outstanding as of June 30, 2014:
COUNTERPARTY | PAYMENTS MADE BY THE FUND |
PAYMENTS RECEIVED BY THE FUND |
CURRENCY | NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
Exchange Cleared | ||||||||||||||||||||||||
CitiBank | 1.000% | (1) | CZK | 30,000,000 | $(6,576) | 09/18/2019 | $(15,775) | |||||||||||||||||
CitiBank | 1.500% | (1) | CZK | 40,000,000 | (18,946) | 09/18/2019 | (60,842) | |||||||||||||||||
CitiBank | 6 Month Prague Interbank Offered Rate | 1.500% | CZK | 380,000,000 | 130,598 | 09/18/2019 | 627,392 | |||||||||||||||||
CitiBank | 2.000% | (2) | HKD | 25,000,000 | 11,267 | 09/18/2019 | (28,021) | |||||||||||||||||
CitiBank | 2.000% | (2) | HKD | 26,000,000 | (33,744) | 09/18/2019 | 16,319 | |||||||||||||||||
CitiBank | 3 Month Hong Kong Interbank Offered Rate | 2.000% | HKD | 305,000,000 | (224,511) | 09/18/2019 | 428,911 | |||||||||||||||||
CitiBank | 4.000% | (3) | HUF | 700,000,000 | (67,683) | 09/18/2019 | (96,162) | |||||||||||||||||
CitiBank | 5.000% | (3) | HUF | 300,000,000 | (17,126) | 09/18/2019 | (116,089) | |||||||||||||||||
CitiBank | 6 Month Budapest Interbank Offered Rate | 5.000% | HUF | 4,700,000,000 | 245,984 | 09/18/2019 | 1,841,060 | |||||||||||||||||
CitiBank | 3.500% | (5) | PLN | 11,000,000 | (38,776) | 09/18/2019 | (49,583) | |||||||||||||||||
CitiBank | 4.000% | (5) | PLN | 14,000,000 | (38,334) | 09/18/2019 | (181,089) | |||||||||||||||||
CitiBank | 6 Month Warsaw Interbank Offered Rate | 4.000% | PLN | 129,000,000 | 383,520 | 09/18/2019 | 1,638,304 | |||||||||||||||||
CitiBank | 2.000% | (6) | SGD | 6,000,000 | (4,477) | 09/18/2019 | (50,778) | |||||||||||||||||
CitiBank | 2.000% | (6) | SGD | 10,000,000 | (113,628) | 09/18/2019 | 21,536 | |||||||||||||||||
CitiBank | 6 Month Singapore Interbank Offered Rate | 2.000% | SGD | 49,000,000 | (17,202) | 09/18/2019 | 468,452 | |||||||||||||||||
CitiBank | 6 Month Singapore Interbank Offered Rate | 2.000% | SGD | 49,000,000 | (17,397) | 09/18/2019 | 468,647 | |||||||||||||||||
CitiBank | 8.000% | (7) | ZAR | 60,000,000 | (92,306) | 09/18/2019 | 17,526 | |||||||||||||||||
CitiBank | 8.500% | (7) | ZAR | 10,000,000 | (6,567) | 09/18/2019 | (25,116) | |||||||||||||||||
CitiBank | 3 Month Johannesburg Interbank Agreed Rate | 8.500% | ZAR | 470,000,000 | 315,363 | 09/18/2019 | 1,173,717 | |||||||||||||||||
Over the Counter | ||||||||||||||||||||||||
CitiBank | 2.970% | (4) | KRW* | 10,000,000,000 | | 09/18/2019 | (72,531) | |||||||||||||||||
CitiBank | 3.028% | (4) | KRW* | 28,666,680,000 | | 03/20/2019 | (313,156) | |||||||||||||||||
CitiBank | 3.065% | (4) | KRW* | 28,666,660,000 | | 03/20/2019 | (359,814) | |||||||||||||||||
CitiBank | 3.075% | (4) | KRW* | 28,666,660,000 | | 03/20/2019 | (372,425) | |||||||||||||||||
CitiBank | 3.150% | (4) | KRW* | 7,000,000,000 | | 09/18/2019 | (108,497) | |||||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 3.098% | KRW* | 29,000,000,000 | | 09/18/2019 | 380,401 | |||||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 3.146% | KRW* | 29,000,000,000 | | 09/18/2019 | 444,173 | |||||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 3.153% | KRW* | 29,000,000,000 | | 09/18/2019 | 452,809 | |||||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 3.165% | KRW* | 6,000,000,000 | | 03/20/2019 | 101,704 | |||||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 3.173% | KRW* | 5,000,000,000 | | 03/20/2019 | 86,403 | |||||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 3.245% | KRW* | 8,000,000,000 | | 03/20/2019 | 163,758 | |||||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 3.278% | KRW* | 31,000,000,000 | | 03/20/2019 | 678,883 | |||||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 3.318% | KRW* | 31,000,000,000 | | 03/20/2019 | 733,430 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
90 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY FUND |
COUNTERPARTY | PAYMENTS MADE BY THE FUND |
PAYMENTS RECEIVED BY THE FUND |
CURRENCY | NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||||
Over the Counter (continued) | ||||||||||||||||||||||||
CitiBank | 3 Month Korean Certificate of Deposit | 3.360% | KRW* | 5,000,000,000 | $ | 03/20/2019 | $127,643 | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
$389,459 | $8,021,190 | |||||||||||||||||||||||
|
|
|
|
| Forward effective date swap. See Note 3 in the Notes to Financial Statements. |
* | Non deliverable swap. See Note 3 in the Notes to Financial Statements. |
(1) | 6 month Prague Interbank Offered Rate |
(2) | 3 month Hong Kong Interbank Offered Rate |
(3) | 6 month Budapest Interbank Offered Rate |
(4) | 3 month Korean Certificate of Deposit |
(5) | 6 month Warsaw Interbank Offered Rate |
(6) | 6 month Singapore Interbank Offered Rate |
(7) | 3 month Johannesburg Interbank Agreed Rate |
Cash collateral for positions held for CitiBank is included in the collateral for credit default swap.
Total return swap contracts outstanding as of June 30, 2014:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
Bank of America | 10-Year Canadian Bond | 9/2014 | CAD | 25,352,155 | $196,998 | |||||||||
Bank of America | 10-Year Japanese Government Bond | 9/2014 | JPY | 1,893,433,100 | 154 | |||||||||
Morgan Stanley and Co., International PLC |
Bovespa Index | 8/2014 | BRL | 23,057,025 | (350,980 | ) | ||||||||
Merrill Lynch | Brent Crude Futures^ | 7/2014 | USD | 35,998,700 | 1,978,863 | |||||||||
Merrill Lynch | Brent Crude Futures^ | 7/2014 | USD | (36,537,800 | ) | (1,439,789 | ) | |||||||
Merrill Lynch | Brent Crude Futures^ | 8/2014 | USD | 39,851,810 | 1,613,862 | |||||||||
Merrill Lynch | Brent Crude Futures^ | 8/2014 | USD | (42,031,450 | ) | 565,465 | ||||||||
Merrill Lynch | Brent Crude Futures^ | 9/2014 | USD | 36,739,050 | (554,730 | ) | ||||||||
CitiBank | Cocoa Futures^ | 9/2014 | USD | 2,872,228 | 35,882 | |||||||||
CitiBank | Coffee C Futures^ | 9/2014 | USD | 4,052,691 | 149,677 | |||||||||
CitiBank | Coffee C Futures^ | 9/2014 | USD | (130,911 | ) | (414 | ) | |||||||
CitiBank | Corn Futures^ | 9/2014 | USD | (12,617,551 | ) | 1,415,549 | ||||||||
CitiBank | Corn Futures^ | 9/2014 | USD | 13,582,619 | (2,380,317 | ) | ||||||||
CitiBank | Corn Futures^ | 12/2014 | USD | 7,384,341 | (388,590 | ) | ||||||||
CitiBank | Corn Futures^ | 12/2014 | USD | (132,233 | ) | 4,653 | ||||||||
CitiBank | Cotton No. 2 Futures^ | 12/2014 | USD | (722,468 | ) | 24,101 | ||||||||
CitiBank | Cotton No. 2 Futures^ | 12/2014 | USD | 2,581,485 | (155,514 | ) | ||||||||
Bank of America | Euro - Bund Futures | 9/2014 | EUR | 79,606,700 | 902,274 | |||||||||
Merrill Lynch | Gas Oil Futures^ | 7/2014 | USD | 15,770,275 | 307,311 | |||||||||
Merrill Lynch | Gas Oil Futures^ | 7/2014 | USD | (15,616,050 | ) | (462,429 | ) | |||||||
Merrill Lynch | Gas Oil Futures^ | 8/2014 | USD | 16,432,135 | 452,550 | |||||||||
Merrill Lynch | Gas Oil Futures^ | 8/2014 | USD | (17,114,400 | ) | 230,987 | ||||||||
Merrill Lynch | Gas Oil Futures^ | 9/2014 | USD | 16,204,910 | (267,224 | ) | ||||||||
Merrill Lynch | Gas Oil Futures^ | 9/2014 | USD | (186,650 | ) | 2,150 | ||||||||
Merrill Lynch | Gasoline RBOB Futures^ | 6/2014 | USD | 8,086,000 | 503,863 | |||||||||
Merrill Lynch | Gasoline RBOB Futures^ | 6/2014 | USD | (7,944,552 | ) | (645,308 | ) | |||||||
Merrill Lynch | Gasoline RBOB Futures^ | 7/2014 | USD | 13,493,063 | 822,536 | |||||||||
Merrill Lynch | Gasoline RBOB Futures^ | 7/2014 | USD | (13,786,416 | ) | (529,212 | ) | |||||||
Merrill Lynch | Gasoline RBOB Futures^ | 8/2014 | USD | 12,692,828 | 435,116 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 91 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
Merrill Lynch | Gasoline RBOB Futures^ | 8/2014 | USD | (4,316,302 | ) | $24,444 | ||||||||
Barclays Capital | Gold 100 OZ Futures^ | 8/2014 | USD | 26,712,930 | 520,153 | |||||||||
Barclays Capital | Gold 100 OZ Futures^ | 8/2014 | USD | (4,030,960 | ) | (199,395 | ) | |||||||
Morgan Stanley and Co., International PLC |
H-SHARES Index Futures | 7/2014 | HKD | 35,434,116 | 53,266 | |||||||||
Merrill Lynch | Lean Hogs Futures^ | 7/2014 | USD | 3,415,296 | 192,772 | |||||||||
Merrill Lynch | Lean Hogs Futures^ | 7/2014 | USD | (3,404,184 | ) | (203,883 | ) | |||||||
Merrill Lynch | Lean Hogs Futures^ | 8/2014 | USD | 3,527,988 | 84,852 | |||||||||
Merrill Lynch | Live Cattle Futures^ | 8/2014 | USD | 14,701,064 | 1,026,796 | |||||||||
CitiBank | LME Aluminum Futures^ | 9/2014 | USD | 13,033,694 | 626,975 | |||||||||
CitiBank | LME Aluminum Futures^ | 9/2014 | USD | (13,189,313 | ) | (471,356 | ) | |||||||
CitiBank | LME Aluminum Futures^ | 12/2014 | USD | 9,583,950 | 18,825 | |||||||||
CitiBank | LME Aluminum Futures^ | 12/2014 | USD | (2,204,400 | ) | 6,750 | ||||||||
CitiBank | LME Copper Futures^ | 9/2014 | USD | 25,082,813 | 554,788 | |||||||||
CitiBank | LME Copper Futures^ | 9/2014 | USD | (24,307,088 | ) | (1,330,513 | ) | |||||||
CitiBank | LME Copper Futures^ | 12/2014 | USD | 20,725,950 | 992,650 | |||||||||
CitiBank | LME Copper Futures^ | 12/2014 | USD | (3,547,850 | ) | (130,300 | ) | |||||||
CitiBank | LME Lead Futures^ | 9/2014 | USD | 1,585,275 | 41,850 | |||||||||
CitiBank | LME Lead Futures^ | 9/2014 | USD | (1,584,625 | ) | (42,500 | ) | |||||||
CitiBank | LME Lead Futures^ | 12/2014 | USD | 1,183,087 | 19,488 | |||||||||
CitiBank | LME Nickel Futures^ | 9/2014 | USD | 3,078,036 | 691,290 | |||||||||
CitiBank | LME Nickel Futures^ | 9/2014 | USD | (3,767,520 | ) | (1,806 | ) | |||||||
CitiBank | LME Nickel Futures^ | 12/2014 | USD | 3,642,336 | 21,024 | |||||||||
CitiBank | LME Nickel Futures^ | 12/2014 | USD | (229,320 | ) | 360 | ||||||||
CitiBank | LME Zinc Futures^ | 9/2014 | USD | 7,960,825 | 641,675 | |||||||||
CitiBank | LME Zinc Futures^ | 9/2014 | USD | (8,010,175 | ) | (592,325 | ) | |||||||
CitiBank | LME Zinc Futures^ | 12/2014 | USD | 5,367,400 | 205,100 | |||||||||
Morgan Stanley and Co., International PLC |
MSCI Taiwan Stock Index Futures | 7/2014 | USD | 9,660,081 | 178,959 | |||||||||
Merrill Lynch | Natural Gas Swap Futures^ | 7/2014 | USD | 9,238,260 | (638,550 | ) | ||||||||
Merrill Lynch | Natural Gas Swap Futures^ | 7/2014 | USD | (8,843,920 | ) | 244,670 | ||||||||
Merrill Lynch | Natural Gas Swap Futures^ | 8/2014 | USD | 6,975,150 | (270,750 | ) | ||||||||
Merrill Lynch | Heating Oil ULSD Futures^ | 6/2014 | USD | 11,523,561 | 310,957 | |||||||||
Merrill Lynch | Heating Oil ULSD Futures^ | 6/2014 | USD | (11,386,032 | ) | (448,483 | ) | |||||||
Merrill Lynch | Heating Oil ULSD Futures^ | 7/2014 | USD | 13,087,074 | 408,844 | |||||||||
Merrill Lynch | Heating Oil ULSD Futures^ | 7/2014 | USD | (13,128,318 | ) | (367,604 | ) | |||||||
Merrill Lynch | Heating Oil ULSD Futures^ | 8/2014 | USD | 12,187,850 | 225,859 | |||||||||
Morgan Stanley and Co., International PLC |
SGX S&P CNX Nifty Index Futures | 7/2014 | USD | 3,597,089 | 48,378 | |||||||||
Barclays Capital | Silver Futures^ | 9/2014 | USD | 12,517,070 | 11,250 | |||||||||
Merrill Lynch | Soybean Futures^ | 11/2014 | USD | 16,250,712 | (801,142 | ) | ||||||||
Merrill Lynch | Soybean Futures^ | 11/2014 | USD | (7,280,725 | ) | 394,972 | ||||||||
Deutsche Bank | Soybean Meal Futures^ | 12/2014 | USD | 5,211,697 | (398,757 | ) | ||||||||
Deutsche Bank | Soybean Meal Futures^ | 12/2014 | USD | (1,013,888 | ) | 58,648 | ||||||||
CitiBank | Soybean Oil Futures^ | 12/2014 | USD | 2,120,236 | (6,136 | ) | ||||||||
CitiBank | Sugar #11 (World Markets) Futures^ | 9/2014 | USD | 9,666,244 | 116,729 | |||||||||
CitiBank | Sugar #11 (World Markets) Futures^ | 9/2014 | USD | (1,359,103 | ) | 7,629 | ||||||||
Morgan Stanley and Co., International PLC |
Swiss Market Index Futures | 9/2014 | CHF | 5,798,669 | (80,110 | ) | ||||||||
Morgan Stanley and Co., International PLC |
Taiwan Stock Exchange Futures | 7/2014 | TWD | 5,450,608 | 4,123 | |||||||||
Bank of America | U.S. Treasury 10-Year Note Futures | 9/2014 | USD | 512,242,517 | 962,171 | |||||||||
CitiBank | Wheat Futures^ | 9/2014 | USD | 8,638,577 | (1,592,582 | ) | ||||||||
CitiBank | Wheat Futures^ | 9/2014 | USD | (7,642,302 | ) | 596,616 | ||||||||
CitiBank | Wheat Futures^ | 12/2014 | USD | 6,542,730 | (499,905 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
92 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
CitiBank | Wheat Futures^ | 12/2014 | USD | (660,364 | ) | $32,169 | ||||||||
Merrill Lynch | WTI Crude Oil Futures^ | 7/2014 | USD | 42,189,200 | 3,119,665 | |||||||||
Merrill Lynch | WTI Crude Oil Futures^ | 7/2014 | USD | (44,339,670 | ) | (969,353 | ) | |||||||
Merrill Lynch | WTI Crude Oil Futures^ | 8/2014 | USD | 49,170,980 | 785,230 | |||||||||
|
|
|||||||||||||
$6,651,961 | ||||||||||||||
|
|
Money Market Fund is pledged as collateral to Bank of America, Barclays Capital, CitiBank, Deutsche Bank, Morgan Stanley and Co., International PLC and Merrill Lynch for total return swap contracts in the amount of $2,081, $2,762,143, $5,550,000, $200,005, $9,501,566 and $16,720,150, respectively at June 30, 2014. Additional cash held as collateral for Bank of America for total return swap contracts in the amount of $1,690,000 at June 30, 2014.
^ Represents positions held in the respective Subsidiary (Note 2).
Open futures contracts outstanding at June 30, 2014:
Exchange Traded
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Long Contracts: | ||||||||||||||||||||
24 | Goldman Sachs | Lean Hogs Futures^ | 8/2014 | $1,249,699 | $1,275,120 | $25,421 | ||||||||||||||
9 | Goldman Sachs | Live Cattle Futures^ | 8/2014 | 861,805 | 957,488 | 95,683 | ||||||||||||||
72 | Barclays Capital | Amsterdam Index Futures | 7/2014 | 8,190,363 | 8,148,430 | (41,933 | ) | |||||||||||||
140 | Barclays Capital | CAC40 Index Futures | 7/2014 | 8,675,101 | 8,477,063 | (198,038 | ) | |||||||||||||
26 | Barclays Capital | DAX Index Futures | 9/2014 | 8,841,097 | 8,775,398 | (65,699 | ) | |||||||||||||
69 | Barclays Capital | E-Mini Russell 2000 Futures | 9/2014 | 7,977,832 | 8,213,070 | 235,238 | ||||||||||||||
577 | Barclays Capital | Euro Stoxx 50 Index | 9/2014 | 25,838,286 | 25,535,583 | (302,703 | ) | |||||||||||||
223 | Barclays Capital | FTSE 100 Index Futures | 9/2014 | 25,646,260 | 25,612,008 | (34,252 | ) | |||||||||||||
214 | J.P. Morgan | FTSE/JSE Top 40 Index Futures | 9/2014 | 9,268,509 | 9,270,315 | 1,806 | ||||||||||||||
10 | Barclays Capital | FTSE/MIB Index Futures | 9/2014 | 1,501,480 | 1,458,510 | (42,970 | ) | |||||||||||||
54 | Barclays Capital | Hang Seng Index Futures | 7/2014 | 7,954,312 | 8,048,720 | 94,408 | ||||||||||||||
168 | Barclays Capital | H-SHARES Index Futures | 7/2014 | 10,966,073 | 11,100,433 | 134,360 | ||||||||||||||
37 | Barclays Capital | IBEX 35 Index Futures | 7/2014 | 5,532,216 | 5,499,841 | (32,375 | ) | |||||||||||||
100 | Barclays Capital | KOSPI Index 200 Futures | 9/2014 | 13,007,180 | 12,878,039 | (129,141 | ) | |||||||||||||
88 | Barclays Capital | MSCI Taiwan Stock Index Futures | 7/2014 | 2,876,069 | 2,925,120 | 49,051 | ||||||||||||||
1,412 | Barclays Capital | S&P 500 E-Mini Futures | 9/2014 | 136,016,957 | 137,839,440 | 1,822,483 | ||||||||||||||
74 | Barclays Capital | S&P MID 400 E-Mini Futures | 9/2014 | 10,337,127 | 10,576,821 | 239,694 | ||||||||||||||
96 | Barclays Capital | S&P/Toronto Stock Exchange 60 Index Futures | 9/2014 | 15,389,618 | 15,541,015 | 151,397 | ||||||||||||||
177 | Barclays Capital | SGX S&P CNX Nifty Index Futures | 7/2014 | 2,688,253 | 2,699,781 | 11,528 | ||||||||||||||
54 | Barclays Capital | SPI 200 Index Futures | 9/2014 | 6,815,331 | 6,815,548 | 217 | ||||||||||||||
157 | Barclays Capital | TOPIX Index Futures | 9/2014 | 19,184,403 | 19,565,915 | 381,512 | ||||||||||||||
146 | J.P. Morgan | Australia 10-Year Bond Futures | 9/2014 | 16,277,197 | 16,585,508 | 308,311 | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$345,095,168 | $347,799,166 | $2,703,998 | ||||||||||||||||||
|
|
|
|
|
|
Cash held as collateral at Barclays Capital and J.P. Morgan for futures contracts was $16,411,835 and $675,033, respectively at June 30, 2014.
^ Represents positions held in the respective Subsidiary (Note 2)
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 93 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2014:
Over the Counter
PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Brazilian Real, Expiring 09/17/14* |
Credit Suisse International | BRL | 41,949,000 | $18,088,576 | $18,566,517 | $477,941 | ||||||||||||||
Brazilian Real, Expiring 09/17/14* | The Royal Bank of Scotland | BRL | 41,949,000 | 18,088,486 | 18,566,517 | 478,031 | ||||||||||||||
Canadian Dollar, Expiring 09/17/14 | The Royal Bank of Scotland | CAD | 188,000 | 172,660 | 175,845 | 3,185 | ||||||||||||||
Swiss Franc, Expiring 09/17/14 |
Credit Suisse International | CHF | 11,500 | 12,848 | 12,976 | 128 | ||||||||||||||
Swiss Franc, Expiring 09/17/14 |
The Royal Bank of Scotland | CHF | 270,500 | 301,472 | 305,233 | 3,761 | ||||||||||||||
Czech Republic Koruna, Expiring 09/17/14 | Credit Suisse International | CZK | 2,944,000 | 146,281 | 147,000 | 719 | ||||||||||||||
Czech Republic Koruna, Expiring 09/17/14 | The Royal Bank of Scotland | CZK | 2,944,000 | 146,282 | 147,000 | 718 | ||||||||||||||
Euro, Expiring 09/17/14 |
Credit Suisse International | EUR | 6,146,000 | 8,357,351 | 8,418,193 | 60,842 | ||||||||||||||
Euro, Expiring 09/17/14 |
The Royal Bank of Scotland | EUR | 19,887,387 | 27,105,980 | 27,239,809 | 133,829 | ||||||||||||||
British Pound, Expiring 09/17/14 | The Royal Bank of Scotland | GBP | 2,230,377 | 3,763,333 | 3,814,606 | 51,273 | ||||||||||||||
Hong Kong Dollar, Expiring 09/17/14 | Credit Suisse International | HKD | 789,500 | 101,849 | 101,825 | (24) | ||||||||||||||
Hong Kong Dollar, Expiring 09/17/14 | The Royal Bank of Scotland | HKD | 1,529,500 | 197,312 | 197,266 | (46) | ||||||||||||||
Israeli Shekel, Expiring 09/17/14 |
Credit Suisse International | ILS | 79,134,000 | 22,845,253 | 23,051,076 | 205,823 | ||||||||||||||
Israeli Shekel, Expiring 09/17/14 |
The Royal Bank of Scotland | ILS | 79,134,000 | 22,847,006 | 23,051,076 | 204,070 | ||||||||||||||
Japanese Yen, Expiring 09/17/14 |
The Royal Bank of Scotland | JPY | 5,215,000 | 51,019 | 51,507 | 488 | ||||||||||||||
Korean Won, Expiring 09/17/14* | Credit Suisse International | KRW | 19,950,837,000 | 19,468,993 | 19,656,263 | 187,270 | ||||||||||||||
Korean Won, Expiring 09/17/14* | The Royal Bank of Scotland | KRW | 19,950,836,999 | 19,468,875 | 19,656,263 | 187,388 | ||||||||||||||
Mexican Peso, Expiring 09/17/14 | Credit Suisse International | MXN | 298,881,000 | 22,944,893 | 22,914,728 | (30,165) | ||||||||||||||
Mexican Peso, Expiring 09/17/14 | The Royal Bank of Scotland | MXN | 298,881,000 | 22,945,030 | 22,914,728 | (30,302) | ||||||||||||||
Singapore Dollar, Expiring 09/17/14 | Credit Suisse International | SGD | 22,414,000 | 17,851,840 | 17,976,314 | 124,474 | ||||||||||||||
Singapore Dollar, Expiring 09/17/14 | The Royal Bank of Scotland | SGD | 22,414,000 | 17,851,920 | 17,976,314 | 124,394 | ||||||||||||||
Turkish Lira, Expiring 09/17/14 | Credit Suisse International | TRY | 34,667,000 | 16,141,858 | 16,103,289 | (38,569) | ||||||||||||||
Turkish Lira, Expiring 09/17/14 | The Royal Bank of Scotland | TRY | 34,667,000 | 16,141,438 | 16,103,289 | (38,149) | ||||||||||||||
Taiwanese Dollar, Expiring 09/17/14* | Credit Suisse International | TWD | 497,290,500 | 16,605,736 | 16,671,771 | 66,035 | ||||||||||||||
Taiwanese Dollar, Expiring 09/17/14* | The Royal Bank of Scotland | TWD | 497,290,500 | 16,605,717 | 16,671,770 | 66,053 | ||||||||||||||
South African Rand, Expiring 09/17/14 | Credit Suisse International | ZAR | 122,297,499 | 11,287,223 | 11,350,306 | 63,083 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
94 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY FUND |
PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
South African Rand, Expiring 09/17/14 | The Royal Bank of Scotland | ZAR | 137,777,500 | $12,726,354 | $12,786,989 | $60,635 | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$332,265,585 | $334,628,470 | $2,362,885 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Australian Dollar, Expiring 09/17/14 | Credit Suisse International | AUD | (13,500) | $(12,419) | $(12,659) | $(240) | ||||||||||||||
Australian Dollar, Expiring 09/17/14 | The Royal Bank of Scotland | AUD | (13,500) | (12,419) | (12,659) | (240) | ||||||||||||||
Brazilian Real, Expiring 09/17/14* | Credit Suisse International | BRL | (2,274,000) | (975,693) | (1,006,466) | (30,773) | ||||||||||||||
Brazilian Real, Expiring 09/17/14* | The Royal Bank of Scotland | BRL | (2,274,000) | (975,678) | (1,006,466) | (30,788) | ||||||||||||||
Canadian Dollar, Expiring 09/17/14 | Credit Suisse International | CAD | (2,500) | (2,289) | (2,338) | (49) | ||||||||||||||
Canadian Dollar, Expiring 09/17/14 | The Royal Bank of Scotland | CAD | (6,500) | (5,941) | (6,079) | (138) | ||||||||||||||
Euro, Expiring 09/17/14 | Credit Suisse International | EUR | (83,245,860) | (113,308,357) | (114,022,091) | (713,734) | ||||||||||||||
Euro, Expiring 09/17/14 | The Royal Bank of Scotland | EUR | (89,421,038) | (121,696,441) | (122,480,249) | (783,808) | ||||||||||||||
British Pound, Expiring 09/17/14 | Credit Suisse International | GBP | (10,616,095) | (17,789,458) | (18,156,670) | (367,212) | ||||||||||||||
British Pound, Expiring 09/17/14 | The Royal Bank of Scotland | GBP | (12,182,100) | (20,446,199) | (20,835,002) | (388,803) | ||||||||||||||
Hungarian Forint, Expiring 09/17/14 | Credit Suisse International | HUF | (4,053,001) | (18,079) | (17,867) | 212 | ||||||||||||||
Hungarian Forint, Expiring 09/17/14 | The Royal Bank of Scotland | HUF | (4,053,001) | (18,079) | (17,867) | 212 | ||||||||||||||
Israeli Shekel, Expiring 09/17/14 | Credit Suisse International | ILS | (8,977,500) | (2,585,304 | ) | (2,615,071) | (29,767) | |||||||||||||
Israeli Shekel, Expiring 09/17/14 | The Royal Bank of Scotland | ILS | (8,977,500) | (2,585,275) | (2,615,071) | (29,796) | ||||||||||||||
Japanese Yen, Expiring 09/17/14 | Credit Suisse International | JPY | (58,210,000) | (568,692) | (574,927) | (6,235) | ||||||||||||||
Japanese Yen, Expiring 09/17/14 | The Royal Bank of Scotland | JPY | (58,855,000) | (574,999) | (581,298) | (6,299) | ||||||||||||||
Korean Won, Expiring 09/17/14* | Credit Suisse International | KRW | (2,084,452,500) | (2,033,492) | (2,053,676) | (20,184) | ||||||||||||||
Korean Won, Expiring 09/17/14* | The Royal Bank of Scotland | KRW | (2,084,452,500) | (2,033,461) | (2,053,676) | (20,215) | ||||||||||||||
Mexican Peso, Expiring 09/17/14 | Credit Suisse International | MXN | (76,211,500) | (5,803,796) | (5,843,014) | (39,218) | ||||||||||||||
Mexican Peso, Expiring 09/17/14 | The Royal Bank of Scotland | MXN | (76,211,500) | (5,803,479) | (5,843,014) | (39,535) | ||||||||||||||
Poland Zloty, Expiring 09/17/14 | Credit Suisse International | PLN | (2,000) | (655) | (655) | | ||||||||||||||
Poland Zloty, Expiring 09/17/14 | The Royal Bank of Scotland | PLN | (2,000) | (657) | (655) | 2 | ||||||||||||||
Singapore Dollar, Expiring 09/17/14 | Credit Suisse International | SGD | (1,824,500) | (1,452,147) | (1,463,272) | (11,125) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 95 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY FUND |
SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Singapore Dollar, Expiring 09/17/14 | The Royal Bank of Scotland | SGD | (1,824,500) | $(1,452,167) | $(1,463,272) | $(11,105) | ||||||||||||||
Turkish Lira, Expiring 09/17/14 | Credit Suisse International | TRY | (6,560,500) | (3,021,773) | (3,047,440) | (25,667) | ||||||||||||||
Turkish Lira, Expiring 09/17/14 | The Royal Bank of Scotland | TRY | (6,560,500) | (3,022,310) | (3,047,440) | (25,130) | ||||||||||||||
South African Rand, Expiring 09/17/14 | Credit Suisse International | ZAR | (52,252,500) | (4,800,046) | (4,849,500) | (49,454) | ||||||||||||||
South African Rand, Expiring 09/17/14 | The Royal Bank of Scotland | ZAR | (52,252,500) | (4,800,027) | (4,849,500) | (49,473) | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
(315,799,332) | (318,477,894) | (2,678,562) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$16,466,253 | $16,150,576 | $(315,677) | ||||||||||||||||||
|
|
|
|
|
|
Money Market Fund is pledged as collateral to Credit Suisse International and The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $2 and $5,267,173, respectively at June 30, 2014. Additional cash held as collateral for Credit Suisse International for forward foreign currency exchange contracts in the amount of $330,000 at June 30, 2014.
* | Non deliverable forward. See Note 3 in the Notes to Financial Statements. |
AUD - Australian Dollar
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
CZK - Czech Republic Koruna
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
HUF - Hungarian Forint
ILS - Israeli Shekel
JPY - Japanese Yen
KRW - Korean Won
MXN - Mexican Peso
PLN - Poland Zloty
SGD - Singapore Dollar
TRY - Turkish Lira
TWD - Taiwanese Dollar
USD - United States Dollar
ZAR - South African Rand
The accompanying notes are an integral part of these financial statements. |
96 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY II MV FUND |
GOVERNMENT RELATED OBLIGATIONS - 19.5% | INTEREST RATE |
MATURITY DATE |
CURRENCY | PRINCIPAL AMOUNT (000s) |
VALUE (Note 3) |
|||||||||||||
Sovereign Debt - 19.5% | ||||||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 0.100 | % | 04/15/23 | EUR | $ | 3,011 | $ | 4,261,512 | ||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 0.750 | % | 04/15/18 | EUR | 1,705 | 2,457,925 | ||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.750 | % | 04/15/20 | EUR | 1,098 | 1,709,554 | ||||||||||||
France Government Bond OAT (France) | 0.250 | % | 07/25/18 | EUR | 834 | 1,184,744 | ||||||||||||
France Government Bond OAT (France) | 0.250 | % | 07/25/24 | EUR | 204 | 282,921 | ||||||||||||
France Government Bond OAT (France) | 1.100 | % | 07/25/22 | EUR | 653 | 984,604 | ||||||||||||
France Government Bond OAT (France) | 1.300 | % | 07/25/19 | EUR | 1,817 | 2,735,973 | ||||||||||||
France Government Bond OAT (France) | 2.100 | % | 07/25/23 | EUR | 220 | 360,525 | ||||||||||||
United Kingdom Index Linked Treasury Gilt (United Kingdom) | 0.125 | % | 03/22/24 | GBP | 633 | 1,120,099 | ||||||||||||
United Kingdom Treasury Gilt (United Kingdom) | 1.875 | % | 11/22/22 | GBP | 1,865 | 3,828,443 | ||||||||||||
|
|
|||||||||||||||||
TOTAL GOVERNMENT RELATED OBLIGATIONS |
18,926,300 | |||||||||||||||||
|
|
|||||||||||||||||
U.S. TREASURY OBLIGATIONS - 34.0% | ||||||||||||||||||
U.S. Treasury Inflation Protected Securities - 34.0% | ||||||||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125 | % | 04/15/18 | USD | 7,300 | 7,733,489 | ||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125 | % | 01/15/22 | USD | 3,200 | 3,374,067 | ||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125 | % | 07/15/22 | USD | 3,100 | 3,217,543 | ||||||||||||
U.S. Treasury Inflation Protected Securities | 0.125 | % | 01/15/23 | USD | 2,900 | 2,968,292 | ||||||||||||
U.S. Treasury Inflation Protected Securities | 0.375 | % | 07/15/23 | USD | 2,800 | 2,907,653 | ||||||||||||
U.S. Treasury Inflation Protected Securities | 1.375 | % | 07/15/18 | USD | 1,500 | 1,801,883 | ||||||||||||
U.S. Treasury Inflation Protected Securities | 1.625 | % | 01/15/18 | USD | 3,400 | 4,196,526 | ||||||||||||
U.S. Treasury Inflation Protected Securities | 2.125 | % | 01/15/19 | USD | 1,400 | 1,741,047 | ||||||||||||
U.S. Treasury Inflation Protected Securities | 2.625 | % | 07/15/17 | USD | 3,900 | 4,993,940 | ||||||||||||
|
|
|||||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
32,934,440 | |||||||||||||||||
|
|
|||||||||||||||||
MONEY MARKET FUNDS - 35.0% | SHARES | |||||||||||||||||
BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.030% (a)^ | 657,618 | 657,618 | ||||||||||||||||
Dreyfus Treasury Cash Management, Class I, 0.010% (a)^ | 2,630,471 | 2,630,471 | ||||||||||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (a)(b)^ | 27,369,623 | 27,369,623 | ||||||||||||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (a)^ | 3,288,088 | 3,288,088 | ||||||||||||||||
|
|
|||||||||||||||||
TOTAL MONEY MARKET FUNDS |
33,945,800 | |||||||||||||||||
|
|
|||||||||||||||||
SHORT-TERM INVESTMENTS - 6.4% | PRINCIPAL AMOUNT (000s) |
|||||||||||||||||
U.S. Treasury Bills, 0.060%, 07/31/2014 (c) | $ | 1,469 | 1,468,972 | |||||||||||||||
U.S. Treasury Bills, 0.060%, 07/31/2014 (c)^ | 901 | 900,783 | ||||||||||||||||
U.S. Treasury Bills, 0.062%, 08/07/2014 (c) | 2,945 | 2,944,685 | ||||||||||||||||
U.S. Treasury Bills, 0.062%, 08/07/2014 (c)^ | 901 | 900,796 | ||||||||||||||||
|
|
|||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
6,215,236 | |||||||||||||||||
|
|
|||||||||||||||||
TOTAL INVESTMENTS - 94.9% |
$ | 92,021,776 | ||||||||||||||||
|
|
|||||||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES - 5.1% (d) | 4,973,307 | |||||||||||||||||
|
|
|||||||||||||||||
NET ASSETS - 100.0% | $ | 96,995,083 | ||||||||||||||||
|
|
All securities are United States companies, unless noted otherwise in parentheses.
(a) | Represents annualized seven-day yield as of June 30, 2014. |
(b) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(c) | The rate shown is the effective yield at the date of purchase. |
(d) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures and swap contracts. |
^ All or a portion represents positions held in the respective Subsidiary (Note 2).
All securities are Level 2 with respect to ASC 820 (See Note 5).
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 97 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY II MV FUND |
The following abbreviations are used in portfolio descriptions:
EUR - Euro
GBP - British Pound
USD - United States Dollar
Total return swap contracts outstanding as of June 30, 2014:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
Bank of America | 10-Year Canadian Bond | 9/2014 | CAD | 269,695 | $2,104 | |||||||||
Goldman Sachs | Bovespa Index | 8/2014 | BRL | 3,332,876 | (50,435 | ) | ||||||||
Deutsche Bank | Brent Crude Futures^ | 9/2014 | USD | 4,885,660 | (83,420 | ) | ||||||||
Deutsche Bank | Brent Crude Futures^ | 7/2014 | USD | 4,585,630 | 245,850 | |||||||||
Deutsche Bank | Brent Crude Futures^ | 7/2014 | USD | (4,640,990 | ) | (190,490 | ) | |||||||
Deutsche Bank | Brent Crude Futures^ | 8/2014 | USD | 5,167,770 | 211,590 | |||||||||
Deutsche Bank | Brent Crude Futures^ | 8/2014 | USD | (5,472,950 | ) | 93,590 | ||||||||
CitiBank | Cocoa Futures^ | 9/2014 | USD | 339,620 | 4,350 | |||||||||
CitiBank | Coffee C Futures^ | 9/2014 | USD | 256,024 | 6,626 | |||||||||
CitiBank | Corn Futures^ | 12/2014 | USD | 360,308 | (20,108 | ) | ||||||||
CitiBank | Corn Futures^ | 9/2014 | USD | 406,089 | (71,067 | ) | ||||||||
CitiBank | Corn Futures^ | 9/2014 | USD | (358,000 | ) | 22,993 | ||||||||
CitiBank | Cotton No. 2 Futures^ | 12/2014 | USD | 156,840 | (9,820 | ) | ||||||||
Bank of America | Euro - Bund Futures | 9/2014 | EUR | 1,469,608 | 676 | |||||||||
Deutsche Bank | Gas Oil Futures^ | 9/2014 | USD | 2,157,400 | (35,650 | ) | ||||||||
Deutsche Bank | Gas Oil Futures^ | 7/2014 | USD | 1,965,875 | 47,125 | |||||||||
Deutsche Bank | Gas Oil Futures^ | 7/2014 | USD | (1,950,250 | ) | (62,750 | ) | |||||||
Deutsche Bank | Gas Oil Futures^ | 8/2014 | USD | 2,143,775 | 61,225 | |||||||||
Deutsche Bank | Gas Oil Futures^ | 8/2014 | USD | (2,236,750 | ) | 31,750 | ||||||||
Deutsche Bank | Gasoline RBOB Futures^ | 8/2014 | USD | 1,586,521 | 54,482 | |||||||||
Deutsche Bank | Gasoline RBOB Futures^ | 8/2014 | USD | (383,118 | ) | 4,425 | ||||||||
Deutsche Bank | Gasoline RBOB Futures^ | 7/2014 | USD | 1,806,319 | 110,960 | |||||||||
Deutsche Bank | Gasoline RBOB Futures^ | 7/2014 | USD | (1,843,909 | ) | (73,370 | ) | |||||||
Barclays Capital | Gold 100 OZ Futures^ | 8/2014 | USD | 1,572,130 | 14,270 | |||||||||
Goldman Sachs | H-SHARES Index Futures | 7/2014 | HKD | 10,623,460 | 16,854 | |||||||||
Deutsche Bank | Lean Hogs Futures^ | 8/2014 | USD | 364,618 | 7,292 | |||||||||
Deutsche Bank | Lean Hogs Futures^ | 7/2014 | USD | 348,420 | 23,000 | |||||||||
Deutsche Bank | Lean Hogs Futures^ | 7/2014 | USD | (351,820 | ) | (19,600 | ) | |||||||
Deutsche Bank | Live Cattle Futures^ | 8/2014 | USD | 1,773,018 | 147,942 | |||||||||
CitiBank | LME Aluminum Futures^ | 12/2014 | USD | 144,750 | (1,425 | ) | ||||||||
CitiBank | LME Aluminum Futures^ | 9/2014 | USD | 132,844 | 8,963 | |||||||||
CitiBank | LME Aluminum Futures^ | 9/2014 | USD | (143,775 | ) | 1,970 | ||||||||
CitiBank | LME Copper Futures^ | 12/2014 | USD | 668,400 | 32,200 | |||||||||
CitiBank | LME Copper Futures^ | 9/2014 | USD | 693,088 | 9,313 | |||||||||
CitiBank | LME Copper Futures^ | 9/2014 | USD | (669,000 | ) | (33,400 | ) | |||||||
CitiBank | LME Lead Futures^ | 12/2014 | USD | 53,813 | 850 | |||||||||
CitiBank | LME Lead Futures^ | 9/2014 | USD | 54,600 | (362 | ) | ||||||||
CitiBank | LME Lead Futures^ | 9/2014 | USD | (53,550 | ) | (688 | ) | |||||||
CitiBank | LME Zinc Futures^ | 9/2014 | USD | (53,375 | ) | (2,125 | ) | |||||||
CitiBank | LME Zinc Futures^ | 12/2014 | USD | 53,669 | 2,056 | |||||||||
CitiBank | LME Zinc Futures^ | 9/2014 | USD | 51,025 | 4,475 | |||||||||
Bank of America | Long Gilt Futures | 9/2014 | GBP | 110,095 | (302 | ) | ||||||||
Goldman Sachs | MSCI Taiwan Stock Index Futures | 7/2014 | USD | 1,468,632 | 27,168 | |||||||||
Deutsche Bank | Natural Gas Swap Futures^ | 8/2014 | USD | 1,021,140 | (44,340 | ) | ||||||||
Deutsche Bank | Natural Gas Swap Futures^ | 7/2014 | USD | 1,243,470 | (83,610 | ) | ||||||||
Deutsche Bank | Natural Gas Swap Futures^ | 7/2014 | USD | (1,194,020 | ) | 34,160 | ||||||||
Deutsche Bank | Heating Oil ULSD Futures^ | 8/2014 | USD | 1,601,250 | 28,833 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
98 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY II MV FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
Deutsche Bank | Heating Oil ULSD Futures^ | 7/2014 | USD | 1,697,766 | $51,710 | |||||||||
Deutsche Bank | Heating Oil ULSD Futures^ | 7/2014 | USD | (1,703,071 | ) | (46,406 | ) | |||||||
Goldman Sachs | SGX S&P CNX Nifty Index Futures | 7/2014 | USD | 527,829 | 6,026 | |||||||||
Barclays Capital | Silver Futures^ | 9/2014 | USD | 105,500 | (220 | ) | ||||||||
Deutsche Bank | Soybean Futures^ | 11/2014 | USD | 791,784 | (39,572 | ) | ||||||||
CitiBank | Soybean Meal Futures^ | 12/2014 | USD | 316,483 | (22,563 | ) | ||||||||
CitiBank | Soybean Oil Futures^ | 12/2014 | USD | 281,210 | 670 | |||||||||
CitiBank | Sugar #11 (World Markets) Futures^ | 9/2014 | USD | 160,406 | 963 | |||||||||
Goldman Sachs | Swiss Market Index Futures | 9/2014 | CHF | 518,435 | (6,231 | ) | ||||||||
Goldman Sachs | Taiwan Stock Exchange Futures | 7/2014 | TWD | 3,645,434 | 2,359 | |||||||||
Bank of America | U.S. Treasury 10-Year Note Futures | 9/2014 | USD | 33,887,963 | 33,615 | |||||||||
CitiBank | Wheat Futures^ | 12/2014 | USD | 356,287 | (27,250 | ) | ||||||||
CitiBank | Wheat Futures^ | 9/2014 | USD | 391,410 | (73,762 | ) | ||||||||
CitiBank | Wheat Futures^ | 9/2014 | USD | (343,613 | ) | 25,979 | ||||||||
Deutsche Bank | WTI Crude Oil Futures^ | 8/2014 | USD | 6,490,920 | 107,070 | |||||||||
Deutsche Bank | WTI Crude Oil Futures^ | 7/2014 | USD | 5,003,520 | 370,350 | |||||||||
Deutsche Bank | WTI Crude Oil Futures^ | 7/2014 | USD | (5,259,820 | ) | (114,050 | ) | |||||||
|
|
|||||||||||||
$742,818 | ||||||||||||||
|
|
Money Market Fund is pledged as collateral to Bank of America, CitiBank, Deutsche Bank and Goldman Sachs for total return swap contracts in the amount of $60,000, $340,000, $1,500,000, and $1,350,000, respectively at June 30, 2014. Additional cash held as collateral for total return swap contracts for Barclays Capital was $20,000 at June 30, 2014.
^ Represents positions held in the respective Subsidiary (Note 2).
Open futures contracts outstanding at June 30, 2014:
Exchange Traded
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Long Contracts: | ||||||||||||||||||||
1 | Goldman Sachs | Cocoa Futures^ | 9/2014 | $30,883 | $31,270 | $387 | ||||||||||||||
6 | Goldman Sachs | Coffee C Futures^ | 9/2014 | 388,566 | 393,975 | 5,409 | ||||||||||||||
33 | Goldman Sachs | Corn Futures^ | 12/2014 | 740,365 | 701,663 | (38,702) | ||||||||||||||
4 | Goldman Sachs | Cotton No. 2 Futures^ | 12/2014 | 154,919 | 147,020 | (7,899) | ||||||||||||||
12 | Goldman Sachs | Gold 100 OZ Futures^ | 8/2014 | 1,544,289 | 1,586,400 | 42,111 | ||||||||||||||
6 | Goldman Sachs | Lean Hogs Futures^ | 8/2014 | 312,970 | 318,780 | 5,810 | ||||||||||||||
1 | Goldman Sachs | Live Cattle Futures^ | 8/2014 | 95,416 | 106,387 | 10,971 | ||||||||||||||
4 | Goldman Sachs | Live Cattle Futures^ | 8/2014 | 242,883 | 240,120 | (2,763) | ||||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | 137,347 | 139,293 | 1,946 | ||||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | 46,782 | 46,518 | (264) | ||||||||||||||
12 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | 566,707 | 559,963 | (6,744) | ||||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | 46,127 | 46,711 | 584 | ||||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 223,261 | 233,789 | 10,528 | ||||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 88,304 | 93,680 | 5,376 | ||||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 89,804 | 93,845 | 4,041 | ||||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 133,056 | 140,943 | 7,887 | ||||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 320,015 | 329,412 | 9,397 | ||||||||||||||
8 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 368,982 | 377,088 | 8,106 | ||||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 47,441 | 47,191 | (250) | ||||||||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 186,502 | 188,854 | 2,352 | ||||||||||||||
36 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 1,662,191 | 1,701,675 | 39,484 | ||||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 94,254 | 94,539 | 285 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 99 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY II MV FUND |
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | $142,131 | $141,816 | $ (315) | ||||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 47,513 | 47,273 | (240) | ||||||||||||||
26 | J.P. Morgan | LME Aluminum Futures^ | 12/2014 | 1,227,148 | 1,242,150 | 15,002 | ||||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 839,479 | 879,172 | 39,693 | ||||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 169,360 | 175,821 | 6,461 | ||||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 166,882 | 175,800 | 8,918 | ||||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 345,750 | 351,600 | 5,850 | ||||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 171,002 | 175,694 | 4,692 | ||||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 172,296 | 175,654 | 3,358 | ||||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 338,754 | 351,300 | 12,546 | ||||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 166,002 | 175,619 | 9,617 | ||||||||||||||
16 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 2,728,745 | 2,809,600 | 80,855 | ||||||||||||||
13 | J.P. Morgan | LME Copper Futures^ | 12/2014 | 2,173,977 | 2,276,950 | 102,973 | ||||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 7/2014 | 52,204 | 53,692 | 1,488 | ||||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 7/2014 | 54,171 | 53,821 | (350) | ||||||||||||||
5 | J.P. Morgan | LME Lead Futures^ | 9/2014 | 264,836 | 271,188 | 6,352 | ||||||||||||||
3 | J.P. Morgan | LME Lead Futures^ | 12/2014 | 160,363 | 163,988 | 3,625 | ||||||||||||||
3 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | 333,696 | 341,842 | 8,146 | ||||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | 113,102 | 114,076 | 974 | ||||||||||||||
5 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | 518,549 | 571,110 | 52,561 | ||||||||||||||
4 | J.P. Morgan | LME Nickel Futures^ | 12/2014 | 442,034 | 457,920 | 15,886 | ||||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 155,369 | 165,850 | 10,481 | ||||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 8/2014 | 152,249 | 165,780 | 13,531 | ||||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 52,840 | 55,460 | 2,620 | ||||||||||||||
17 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 882,792 | 943,500 | 60,708 | ||||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 53,580 | 55,481 | 1,901 | ||||||||||||||
14 | J.P. Morgan | LME Zinc Futures^ | 12/2014 | 743,176 | 780,150 | 36,974 | ||||||||||||||
17 | Goldman Sachs | Silver Futures^ | 9/2014 | 1,787,826 | 1,789,760 | 1,934 | ||||||||||||||
8 | Goldman Sachs | Soybean Futures^ | 11/2014 | 490,700 | 462,900 | (27,800) | ||||||||||||||
8 | Goldman Sachs | Soybean Meal Futures^ | 12/2014 | 319,125 | 293,920 | (25,205) | ||||||||||||||
4 | Goldman Sachs | Soybean Oil Futures^ | 12/2014 | 95,136 | 93,960 | (1,176) | ||||||||||||||
51 | Goldman Sachs | Sugar #11 (World Markets) Futures^ | 9/2014 | 1,008,990 | 1,028,732 | 19,742 | ||||||||||||||
14 | Goldman Sachs | Wheat Futures^ | 12/2014 | 451,110 | 418,775 | (32,335) | ||||||||||||||
8 | Barclays Capital | Amsterdam Index Futures | 7/2014 | 910,002 | 905,381 | (4,621) | ||||||||||||||
23 | Barclays Capital | CAC40 Index Futures | 7/2014 | 1,422,483 | 1,392,660 | (29,823) | ||||||||||||||
4 | Barclays Capital | DAX Index Futures | 9/2014 | 1,359,895 | 1,350,061 | (9,834) | ||||||||||||||
14 | Barclays Capital | E-Mini Russell 2000 Futures | 9/2014 | 1,618,708 | 1,666,420 | 47,712 | ||||||||||||||
92 | Barclays Capital | Euro Stoxx 50 Index | 9/2014 | 4,119,308 | 4,071,531 | (47,777) | ||||||||||||||
27 | Barclays Capital | FTSE 100 Index Futures | 9/2014 | 3,104,737 | 3,101,006 | (3,731) | ||||||||||||||
24 | J.P. Morgan | FTSE/JSE Top 40 Index Futures | 9/2014 | 1,039,552 | 1,039,662 | 110 | ||||||||||||||
4 | Barclays Capital | FTSE/MIB Index Futures | 9/2014 | 600,592 | 583,404 | (17,188) | ||||||||||||||
3 | Barclays Capital | Hang Seng Index Futures | 7/2014 | 442,744 | 447,151 | 4,407 | ||||||||||||||
12 | Barclays Capital | H-SHARES Index Futures | 7/2014 | 783,291 | 792,888 | 9,597 | ||||||||||||||
5 | Barclays Capital | IBEX 35 Index Futures | 7/2014 | 747,802 | 743,222 | (4,580) | ||||||||||||||
12 | Barclays Capital | KOSPI Index 200 Futures | 9/2014 | 1,560,754 | 1,545,364 | (15,390) | ||||||||||||||
5 | Barclays Capital | MSCI Taiwan Stock Index Futures | 7/2014 | 163,480 | 166,201 | 2,721 | ||||||||||||||
199 | Barclays Capital | S&P 500 E-Mini Futures | 9/2014 | 19,163,655 | 19,426,380 | 262,725 | ||||||||||||||
14 | Barclays Capital | S&P MID 400 E-Mini Futures | 9/2014 | 1,955,672 | 2,001,020 | 45,348 | ||||||||||||||
8 | Barclays Capital | S&P/Toronto Stock Exchange 60 Index Futures | 9/2014 | 1,282,468 | 1,295,084 | 12,616 | ||||||||||||||
20 | Barclays Capital | SGX S&P CNX Nifty Index Futures | 7/2014 | 303,755 | 305,060 | 1,305 | ||||||||||||||
1 | Barclays Capital | SPI 200 Index Futures | 9/2014 | 126,243 | 126,214 | (29) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
100 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY II MV FUND |
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Long Contracts: (continued) | ||||||||||||||||||||
25 | Barclays Capital | TOPIX Index Futures | 9/2014 | $3,052,569 | $3,115,591 | $63,022 | ||||||||||||||
24 | J.P. Morgan | Australia 10-Year Bond Futures | 9/2014 | 2,674,985 | 2,726,385 | 51,400 | ||||||||||||||
29 | J.P. Morgan | Canadian 10-Year Bond Futures | 9/2014 | 3,662,203 | 3,695,628 | 33,425 | ||||||||||||||
95 | J.P. Morgan | Euro - Bund Futures | 9/2014 | 18,891,641 | 19,123,576 | 231,935 | ||||||||||||||
3 | J.P. Morgan | Long Gilt Futures | 9/2014 | 564,838 | 564,352 | (486) | ||||||||||||||
41 | J.P. Morgan | Mini Japanese 10-Year Treasury Bond | 9/2014 | 5,889,956 | 5,894,319 | 4,363 | ||||||||||||||
358 | J.P. Morgan | U.S. Treasury 10-Year Note Futures | 9/2014 | 44,783,614 | 44,811,532 | 27,918 | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
144,566,898 | 145,769,562 | 1,202,664 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
Short Contracts: | ||||||||||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | (136,644) | (139,294) | (2,650) | ||||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | (46,748) | (46,519) | 229 | ||||||||||||||
12 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | (563,375) | (559,962) | 3,413 | ||||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | (46,723) | (46,711) | 12 | ||||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (223,133) | (233,788) | (10,655) | ||||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (88,397) | (93,680) | (5,283) | ||||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (89,753) | (93,845) | (4,092) | ||||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (133,179) | (140,944) | (7,765) | ||||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (320,235) | (329,411) | (9,176) | ||||||||||||||
8 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (369,383) | (377,088) | (7,705) | ||||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (47,448) | (47,191) | 257 | ||||||||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (186,492) | (188,854) | (2,362) | ||||||||||||||
36 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (1,635,036) | (1,701,675) | (66,639) | ||||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (94,082) | (94,539) | (457) | ||||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (140,625) | (141,816) | (1,191) | ||||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (47,348) | (47,273) | 75 | ||||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 12/2014 | (238,727) | (238,875) | (148) | ||||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (841,864) | (879,172) | (37,308) | ||||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (169,123) | (175,821) | (6,698) | ||||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (167,798) | (175,800) | (8,002) | ||||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (345,746) | (351,600) | (5,854) | ||||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (171,625) | (175,694) | (4,069) | ||||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (172,498) | (175,654) | (3,156) | ||||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (340,038) | (351,300) | (11,262) | ||||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (166,434) | (175,619) | (9,185) | ||||||||||||||
16 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (2,670,491) | (2,809,600) | (139,109) | ||||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 12/2014 | (503,956) | (525,450) | (21,494) | ||||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 7/2014 | (52,273) | (53,693) | (1,420) | ||||||||||||||
1 | J.P. Morgan | LME Lead Futures^ | 7/2014 | (54,398) | (53,821) | 577 | ||||||||||||||
5 | J.P. Morgan | LME Lead Futures^ | 9/2014 | (262,164) | (271,187) | (9,023) | ||||||||||||||
3 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | (332,544) | (341,843) | (9,299) | ||||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | (114,054) | (114,077) | (23) | ||||||||||||||
5 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | (553,882) | (571,110) | (17,228) | ||||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (155,694) | (165,850) | (10,156) | ||||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 8/2014 | (151,569) | (165,780) | (14,211) | ||||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (52,498) | (55,461) | (2,963) | ||||||||||||||
17 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (879,889) | (943,500) | (63,611) | ||||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (53,748) | (55,481) | (1,733) | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
(12,619,614) | (13,108,978) | (489,364) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$131,947,284 | $132,660,584 | $713,300 | ||||||||||||||||||
|
|
|
|
|
|
Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $1,994,032, $806,182 and $906,487, respectively at June 30, 2014.
^ Represents positions held in the respective Subsidiary (Note 2).
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 101 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY II MV FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2014:
Over the Counter
PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Swiss Franc, Expiring 09/17/14 |
Credit Suisse International | CHF | 20,500 | $22,901 | $23,132 | $231 | ||||||||||||||
Swiss Franc, Expiring 09/17/14 |
The Royal Bank of Scotland | CHF | 52,500 | 58,728 | 59,241 | 513 | ||||||||||||||
Euro, Expiring 09/17/14 |
The Royal Bank of Scotland | EUR | 516,034 | 704,302 | 706,812 | 2,510 | ||||||||||||||
Hong Kong Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | HKD | 542,000 | 69,914 | 69,904 | (10) | ||||||||||||||
Japanese Yen, Expiring 09/17/14 |
The Royal Bank of Scotland | JPY | 36,000 | 356 | 356 | | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$856,201 | $859,445 | $3,244 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Euro, Expiring 09/17/14 |
Credit Suisse International | EUR | (5,018,603) | $(6,830,885) | $(6,873,994) | $(43,109) | ||||||||||||||
Euro, Expiring 09/17/14 |
The Royal Bank of Scotland | EUR | (5,630,868) | (7,662,386) | (7,712,615) | (50,229) | ||||||||||||||
British Pound, Expiring 09/17/14 |
Credit Suisse International | GBP | (1,402,633) | (2,350,401) | (2,398,919) | (48,518) | ||||||||||||||
British Pound, Expiring 09/17/14 |
The Royal Bank of Scotland | GBP | (1,512,718) | (2,534,258) | (2,587,197) | (52,939) | ||||||||||||||
Hong Kong Dollar, Expiring 09/17/14 |
Credit Suisse International | HKD | (116,000) | (14,965) | (14,961) | 4 | ||||||||||||||
Hong Kong Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | HKD | (116,000) | (14,965) | (14,961) | 4 | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
(19,407,860) | (19,602,647) | (194,787) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$(18,551,659) | $(18,743,202) | $(191,543) | ||||||||||||||||||
|
|
|
|
|
|
Money Market Fund is pledged as collateral to The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $1 at June 30, 2014.
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
TWD - Taiwanese Dollar
USD - United States Dollar
The accompanying notes are an integral part of these financial statements. |
102 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY II HV FUND |
GOVERNMENT RELATED OBLIGATIONS - 29.1% | INTEREST RATE |
MATURITY DATE |
CURRENCY | PRINCIPAL (000s) |
VALUE (Note 3) |
|||||||||||||
Sovereign Debt - 29.1% | ||||||||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 0.100% | 04/15/23 | EUR | $ | 2,180 | $ | 3,085,923 | |||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 0.750% | 04/15/18 | EUR | 1,279 | 1,843,436 | |||||||||||||
Deutsche Bundesrepublik Inflation Linked Bond (Germany) | 1.750% | 04/15/20 | EUR | 769 | 1,196,687 | |||||||||||||
France Government Bond OAT (France) | 0.250% | 07/25/18 | EUR | 626 | 888,558 | |||||||||||||
France Government Bond OAT (France) | 0.250% | 07/25/24 | EUR | 204 | 282,921 | |||||||||||||
France Government Bond OAT (France) | 1.100% | 07/25/22 | EUR | 435 | 656,403 | |||||||||||||
France Government Bond OAT (France) | 1.300% | 07/25/19 | EUR | 1,282 | 1,931,275 | |||||||||||||
France Government Bond OAT (France) | 2.100% | 07/25/23 | EUR | 220 | 360,525 | |||||||||||||
United Kingdom Index Linked Treasury Gilt (United Kingdom) | 0.125% | 03/22/24 | GBP | 422 | 746,733 | |||||||||||||
United Kingdom Treasury Gilt (United Kingdom) | 1.875% | 11/22/22 | GBP | 1,368 | 2,807,525 | |||||||||||||
|
|
|||||||||||||||||
TOTAL GOVERNMENT RELATED OBLIGATIONS |
13,799,986 | |||||||||||||||||
|
|
|||||||||||||||||
U.S. TREASURY OBLIGATIONS - 50.2% | ||||||||||||||||||
U.S. Treasury Inflation Protected Securities - 50.2% | ||||||||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 0.125% | 04/15/18 | USD | 5,300 | 5,614,725 | |||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 0.125% | 01/15/22 | USD | 2,300 | 2,425,111 | |||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 0.125% | 07/15/22 | USD | 2,200 | 2,283,418 | |||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 0.125% | 01/15/23 | USD | 2,100 | 2,149,453 | |||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 0.375% | 07/15/23 | USD | 2,000 | 2,076,895 | |||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 1.375% | 07/15/18 | USD | 1,100 | 1,321,381 | |||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 1.625% | 01/15/18 | USD | 2,500 | 3,085,680 | |||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 2.125% | 01/15/19 | USD | 1,000 | 1,243,605 | |||||||||||||
U.S. Treasury Inflation Protected Securities (a) | 2.625% | 07/15/17 | USD | 2,800 | 3,585,393 | |||||||||||||
|
|
|||||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS |
23,785,661 | |||||||||||||||||
|
|
|||||||||||||||||
MONEY MARKET FUNDS - 50.5% | SHARES | |||||||||||||||||
BlackRock Liquidity Funds TempFund Portfolio - Series I, Institutional Shares, 0.030% (b)^ | 240,006 | 240,006 | ||||||||||||||||
Dreyfus Treasury Cash Management, Class I, 0.010% (b)^ | 960,025 | 960,025 | ||||||||||||||||
J.P. Morgan U.S. Treasury Plus Money Market Fund - Institutional Shares, 0.000% (b)(c)^ | 21,488,638 | 21,488,638 | ||||||||||||||||
UBS Money Series - UBS Select Treasury Preferred Fund, Class I, 0.010% (b)^ | 1,200,031 | 1,200,031 | ||||||||||||||||
|
|
|||||||||||||||||
TOTAL MONEY MARKET FUNDS |
23,888,700 | |||||||||||||||||
|
|
|||||||||||||||||
SHORT-TERM INVESTMENTS - 12.5% | PRINCIPAL AMOUNT (000s) |
|||||||||||||||||
U.S. Treasury Bill, 0.045%, 11/28/2014 (d)^ | $ | 1,050 | 1,049,760 | |||||||||||||||
U.S. Treasury Bill, 0.052%, 12/04/2014 (d)^ | 1,050 | 1,049,772 | ||||||||||||||||
U.S. Treasury Bill, 0.060%, 07/31/2014 (d)^ | 2,543 | 2,543,552 | ||||||||||||||||
U.S. Treasury Bill, 0.062%, 08/07/2014 (d) | 1,275 | 1,274,793 | ||||||||||||||||
|
|
|||||||||||||||||
TOTAL SHORT-TERM INVESTMENTS |
5,917,877 | |||||||||||||||||
|
|
|||||||||||||||||
TOTAL INVESTMENTS - 142.3% |
67,392,224 | |||||||||||||||||
|
|
|||||||||||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS - (42.3%) (e) | (20,041,558 | ) | ||||||||||||||||
|
|
|||||||||||||||||
NET ASSETS - 100.0% | $ | 47,350,666 | ||||||||||||||||
|
|
All securities are United States companies, unless noted otherwise in parentheses.
(a) | On June 30, 2014, securities valued at $23,785,661 were pledged as collateral for reverse repurchase agreements outstanding. |
(b) | Represents annualized seven-day yield as of June 30, 2014. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 103 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY II HV FUND |
(c) | A portion of the security is pledged as collateral to the brokers for forward foreign currency exchange and swap contracts. |
(d) | The rate shown is the effective yield at the date of purchase. |
(e) | Includes appreciation/(depreciation) on forward foreign currency exchange, futures, swap contracts and reverse repurchase agreements. |
^ All or a portion represents positions held in the respective Subsidiary (Note 2).
All securities are Level 2 with respect to ASC 820 (See Note 5).
The following abbreviations are used in portfolio descriptions:
EUR - Euro
GBP - British Pound
USD - United States Dollar
Reverse repurchase agreements at June 30, 2014:
COUNTERPARTY | TRADE DATE | RATE | DUE DATE | PRINCIPAL AMOUNT OF REVERSE REPURCHASE AGREEMENT |
||||||||||||
Barclays Capital | 6/20/2014 | 0.14% | 7/16/2014 | $412,250 | ||||||||||||
Barclays Capital | 6/13/2014 | 0.15% | 7/16/2014 | 4,090,625 | ||||||||||||
BNP Paribas Corp. | 6/18/2014 | 0.15% | 7/16/2014 | 8,915,250 | ||||||||||||
BNP Paribas Corp. | 6/20/2014 | 0.15% | 7/16/2014 | 128,125 | ||||||||||||
BNP Paribas Corp. | 6/27/2014 | 0.16% | 7/16/2014 | 123,125 | ||||||||||||
CitiBank | 6/18/2014 | 0.13% | 7/16/2014 | 5,355,000 | ||||||||||||
CitiBank | 6/20/2014 | 0.13% | 7/16/2014 | 211,250 | ||||||||||||
JP Morgan Securities, Inc. | 6/18/2014 | 0.13% | 7/16/2014 | 3,840,250 | ||||||||||||
JP Morgan Securities, Inc. | 6/20/2014 | 0.13% | 7/16/2014 | 407,500 | ||||||||||||
|
|
|||||||||||||||
$23,483,375 | ||||||||||||||||
|
|
Cash held as collateral for Barclays Capital for open reverse repurchase agreements was $90,000 at June 30, 2014.
Total return swap contracts outstanding as of June 30, 2014:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
Bank of America | 10-Year Canadian Bond | 9/2014 | CAD | 405,729 | $2,054 | |||||||||
Goldman Sachs | Bovespa Index | 8/2014 | BRL | 2,221,802 | (33,572) | |||||||||
Deutsche Bank | Brent Crude Futures^ | 7/2014 | USD | 3,416,940 | 178,580 | |||||||||
Deutsche Bank | Brent Crude Futures^ | 7/2014 | USD | (3,453,760) | (141,760) | |||||||||
Deutsche Bank | Brent Crude Futures^ | 8/2014 | USD | 3,655,080 | 155,300 | |||||||||
Deutsche Bank | Brent Crude Futures^ | 8/2014 | USD | (3,871,690) | 61,310 | |||||||||
Deutsche Bank | Brent Crude Futures^ | 9/2014 | USD | 3,634,740 | (60,980) | |||||||||
CitiBank | Cocoa Futures^ | 9/2014 | USD | 247,171 | 2,989 | |||||||||
CitiBank | Coffee C Futures^ | 9/2014 | USD | 193,873 | 3,114 | |||||||||
CitiBank | Corn Futures^ | 12/2014 | USD | 622,400 | (73,766) | |||||||||
CitiBank | Corn Futures^ | 12/2014 | USD | (290,875) | 18,682 | |||||||||
CitiBank | Cotton No. 2 Futures^ | 12/2014 | USD | 117,630 | (7,358) | |||||||||
CitiBank | Cotton No. 2 Futures^ | 12/2014 | USD | (37,318) | 562 | |||||||||
Bank of America | Euro - Bund Futures | 9/2014 | EUR | 1,761,953 | 2,963 | |||||||||
Deutsche Bank | Gas Oil Futures^ | 7/2014 | USD | 1,430,505 | 33,495 | |||||||||
Deutsche Bank | Gas Oil Futures^ | 7/2014 | USD | (1,418,650) | (45,350 | ) | ||||||||
Deutsche Bank | Gas Oil Futures^ | 8/2014 | USD | 1,520,325 | 41,550 | |||||||||
Deutsche Bank | Gas Oil Futures^ | 8/2014 | USD | (1,587,800) | 25,925 | |||||||||
Deutsche Bank | Gas Oil Futures^ | 9/2014 | USD | 1,594,600 | (26,350) | |||||||||
Deutsche Bank | Gasoline RBOB Futures^ | 7/2014 | USD | 1,324,008 | 81,997 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
104 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY II HV FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
Deutsche Bank | Gasoline RBOB Futures^ | 7/2014 | USD | (1,353,038) | $(52,966) | |||||||||
Deutsche Bank | Gasoline RBOB Futures^ | 8/2014 | USD | 1,097,901 | 38,178 | |||||||||
Deutsche Bank | Gasoline RBOB Futures^ | 8/2014 | USD | (382,117) | 3,424 | |||||||||
Barclays Capital | Gold 100 OZ Futures^ | 8/2014 | USD | 1,174,120 | 15,680 | |||||||||
Goldman Sachs | H-SHARES Index Futures | 7/2014 | HKD | 4,047,032 | 6,420 | |||||||||
Deutsche Bank | Lean Hogs Futures^ | 7/2014 | USD | 301,740 | 16,620 | |||||||||
Deutsche Bank | Lean Hogs Futures^ | 7/2014 | USD | (300,920) | (17,440) | |||||||||
Deutsche Bank | Lean Hogs Futures^ | 8/2014 | USD | 311,630 | 7,150 | |||||||||
Deutsche Bank | Live Cattle Futures^ | 8/2014 | USD | 787,780 | 52,640 | |||||||||
CitiBank | LME Aluminum Futures^ | 9/2014 | USD | 177,125 | 11,950 | |||||||||
CitiBank | LME Aluminum Futures^ | 9/2014 | USD | (191,700) | 2,625 | |||||||||
CitiBank | LME Aluminum Futures^ | 12/2014 | USD | 193,000 | (1,900) | |||||||||
CitiBank | LME Copper Futures^ | 9/2014 | USD | 520,688 | 6,112 | |||||||||
CitiBank | LME Copper Futures^ | 9/2014 | USD | (501,750) | (25,050) | |||||||||
CitiBank | LME Copper Futures^ | 12/2014 | USD | 501,300 | 24,150 | |||||||||
CitiBank | LME Nickel Futures^ | 12/2014 | USD | 111,972 | 2,508 | |||||||||
CitiBank | LME Zinc Futures^ | 9/2014 | USD | 205,550 | 16,450 | |||||||||
CitiBank | LME Zinc Futures^ | 9/2014 | USD | (213,500) | (8,500) | |||||||||
CitiBank | LME Zinc Futures^ | 12/2014 | USD | 214,675 | 8,225 | |||||||||
Bank of America | Long Gilt Futures | 9/2014 | GBP | 220,191 | (603) | |||||||||
Goldman Sachs | MSCI Taiwan Stock Index Futures | 7/2014 | USD | 783,251 | 14,509 | |||||||||
Deutsche Bank | Natural Gas Swap Futures^ | 7/2014 | USD | 860,820 | (57,840) | |||||||||
Deutsche Bank | Natural Gas Swap Futures^ | 7/2014 | USD | (826,590) | 23,610 | |||||||||
Deutsche Bank | Natural Gas Swap Futures^ | 8/2014 | USD | 741,890 | (31,490) | |||||||||
Deutsche Bank | Heating Oil ULSD Futures^ | 7/2014 | USD | 1,213,187 | 36,439 | |||||||||
Deutsche Bank | Heating Oil ULSD Futures^ | 7/2014 | USD | (1,216,081) | (33,545) | |||||||||
Deutsche Bank | Heating Oil ULSD Futures^ | 8/2014 | USD | 1,235,917 | 17,993 | |||||||||
Goldman Sachs | SGX S&P CNX Nifty Index Futures | 7/2014 | USD | 331,933 | 3,633 | |||||||||
Barclays Capital | Silver Futures^ | 9/2014 | USD | 210,180 | 380 | |||||||||
Deutsche Bank | Soybean Futures^ | 11/2014 | USD | 731,039 | (36,689) | |||||||||
CitiBank | Soybean Meal Futures^ | 12/2014 | USD | 237,422 | (16,982) | |||||||||
CitiBank | Soybean Oil Futures^ | 12/2014 | USD | 232,382 | 2,518 | |||||||||
Goldman Sachs | Swiss Market Index Futures | 9/2014 | CHF | 345,624 | (4,154) | |||||||||
Goldman Sachs | Taiwan Stock Exchange Futures | 7/2014 | TWD | 9,108,501 | 6,067 | |||||||||
Bank of America | U.S. Treasury 10-Year Note Futures | 9/2014 | USD | 44,499,547 | 61,640 | |||||||||
CitiBank | Wheat Futures^ | 9/2014 | USD | 498,147 | (93,868) | |||||||||
CitiBank | Wheat Futures^ | 9/2014 | USD | (437,325) | 33,065 | |||||||||
CitiBank | Wheat Futures^ | 12/2014 | USD | 453,456 | (34,682) | |||||||||
Deutsche Bank | WTI Crude Oil Futures^ | 7/2014 | USD | 3,629,990 | 268,700 | |||||||||
Deutsche Bank | WTI Crude Oil Futures^ | 7/2014 | USD | (3,815,430) | (83,260) | |||||||||
Deutsche Bank | WTI Crude Oil Futures^ | 8/2014 | USD | 4,743,500 | 74,080 | |||||||||
|
|
|||||||||||||
$475,182 | ||||||||||||||
|
|
Money Market Fund is pledged as collateral to CitiBank, Deutsche Bank and Goldman Sachs for total return swap contracts in the amount of $280,000, $1,200,001 and 830,000, respectively at June 30, 2014. Additional cash held as collateral for Barclays Capital for total return swap contracts was $100,000 at June 30, 2014.
^ Represents positions held in the respective Subsidiary (Note 2).
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 105 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY II HV FUND |
Open futures contracts outstanding at June 30, 2014:
Exchange Traded
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
Long Contracts: | ||||||||||||||||||
1 | Goldman Sachs | Cocoa Futures^ | 9/2014 | $30,883 | $31,270 | $387 | ||||||||||||
4 | Goldman Sachs | Coffee C Futures^ | 9/2014 | 260,302 | 262,650 | 2,348 | ||||||||||||
22 | Goldman Sachs | Corn Futures^ | 12/2014 | 493,899 | 467,775 | (26,124 | ) | |||||||||||
3 | Goldman Sachs | Cotton No. 2 Futures^ | 12/2014 | 116,365 | 110,265 | (6,100 | ) | |||||||||||
9 | Goldman Sachs | Gold 100 OZ Futures^ | 8/2014 | 1,163,691 | 1,189,800 | 26,109 | ||||||||||||
4 | Goldman Sachs | Lean Hogs Futures^ | 8/2014 | 207,523 | 212,520 | 4,997 | ||||||||||||
13 | Goldman Sachs | Live Cattle Futures^ | 8/2014 | 740,373 | 780,390 | 40,017 | ||||||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | 183,130 | 185,725 | 2,595 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | 46,782 | 46,518 | (264 | ) | |||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 89,304 | 93,515 | 4,211 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 44,152 | 46,840 | 2,688 | ||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 89,804 | 93,845 | 4,041 | ||||||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 182,866 | 188,235 | 5,369 | ||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 322,859 | 329,952 | 7,093 | ||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 139,877 | 141,641 | 1,764 | ||||||||||||
23 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 1,047,048 | 1,087,181 | 40,133 | ||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 94,254 | 94,539 | 285 | ||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 94,904 | 94,543 | (361 | ) | |||||||||||
17 | J.P. Morgan | LME Aluminum Futures^ | 12/2014 | 801,636 | 812,175 | 10,539 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 166,079 | 176,010 | 9,931 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 166,882 | 175,800 | 8,918 | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 345,750 | 351,600 | 5,850 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 171,002 | 175,694 | 4,692 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 172,296 | 175,654 | 3,358 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 169,377 | 175,650 | 6,273 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 166,002 | 175,619 | 9,617 | ||||||||||||
12 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 2,052,106 | 2,107,200 | 55,094 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 167,625 | 175,483 | 7,858 | ||||||||||||
10 | J.P. Morgan | LME Copper Futures^ | 12/2014 | 1,670,459 | 1,751,500 | 81,041 | ||||||||||||
2 | J.P. Morgan | LME Lead Futures^ | 9/2014 | 105,873 | 108,475 | 2,602 | ||||||||||||
2 | J.P. Morgan | LME Lead Futures^ | 12/2014 | 106,973 | 109,325 | 2,352 | ||||||||||||
3 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | 281,634 | 342,666 | 61,032 | ||||||||||||
3 | J.P. Morgan | LME Nickel Futures^ | 12/2014 | 330,972 | 343,440 | 12,468 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2014 | 50,750 | 55,260 | 4,510 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2014 | 51,079 | 55,280 | 4,201 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 52,840 | 55,460 | 2,620 | ||||||||||||
10 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 520,002 | 555,000 | 34,998 | ||||||||||||
7 | J.P. Morgan | LME Zinc Futures^ | 12/2014 | 370,614 | 390,076 | 19,462 | ||||||||||||
10 | Goldman Sachs | Silver Futures^ | 9/2014 | 1,049,919 | 1,052,800 | 2,881 | ||||||||||||
4 | Goldman Sachs | Soybean Futures^ | 11/2014 | 244,766 | 231,450 | (13,316 | ) | |||||||||||
5 | Goldman Sachs | Soybean Meal Futures^ | 12/2014 | 199,154 | 183,700 | (15,454 | ) | |||||||||||
1 | Goldman Sachs | Soybean Oil Futures^ | 12/2014 | 24,369 | 23,490 | (879 | ) | |||||||||||
43 | Goldman Sachs | Sugar #11 (World Markets) Futures^ | 9/2014 | 851,968 | 867,361 | 15,393 | ||||||||||||
4 | Goldman Sachs | Wheat Futures^ | 12/2014 | 128,609 | 119,650 | (8,959 | ) | |||||||||||
6 | Barclays Capital | Amsterdam Index Futures | 7/2014 | 682,502 | 679,036 | (3,466 | ) | |||||||||||
16 | Barclays Capital | CAC40 Index Futures | 7/2014 | 990,921 | 968,807 | (22,114 | ) | |||||||||||
3 | Barclays Capital | DAX Index Futures | 9/2014 | 1,018,771 | 1,012,546 | (6,225 | ) | |||||||||||
10 | Barclays Capital | E-Mini Russell 2000 Futures | 9/2014 | 1,156,220 | 1,190,300 | 34,080 | ||||||||||||
67 | Barclays Capital | Euro Stoxx 50 Index | 9/2014 | 3,000,701 | 2,965,137 | (35,564 | ) | |||||||||||
21 | Barclays Capital | FTSE 100 Index Futures | 9/2014 | 2,416,224 | 2,411,893 | (4,331 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
106 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY II HV FUND |
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
Long Contracts: (continued) | ||||||||||||||||||
18 | J.P. Morgan | FTSE/JSE Top 40 Index Futures | 9/2014 | $779,698 | $779,746 | $48 | ||||||||||||
3 | Barclays Capital | FTSE/MIB Index Futures | 9/2014 | 452,011 | 437,553 | (14,458 | ) | |||||||||||
3 | Barclays Capital | Hang Seng Index Futures | 7/2014 | 442,744 | 447,151 | 4,407 | ||||||||||||
16 | Barclays Capital | H-SHARES Index Futures | 7/2014 | 1,044,714 | 1,057,184 | 12,470 | ||||||||||||
3 | Barclays Capital | IBEX 35 Index Futures | 7/2014 | 448,819 | 445,933 | (2,886 | ) | |||||||||||
9 | Barclays Capital | KOSPI Index 200 Futures | 9/2014 | 1,170,566 | 1,159,024 | (11,542 | ) | |||||||||||
6 | Barclays Capital | MSCI Taiwan Stock Index Futures | 7/2014 | 195,822 | 199,440 | 3,618 | ||||||||||||
145 | Barclays Capital | S&P 500 E-Mini Futures | 9/2014 | 13,965,056 | 14,154,900 | 189,844 | ||||||||||||
10 | Barclays Capital | S&P MID 400 E-Mini Futures | 9/2014 | 1,396,909 | 1,429,300 | 32,391 | ||||||||||||
5 | Barclays Capital | S&P/Toronto Stock Exchange 60 Index Futures | 9/2014 | 801,828 | 809,428 | 7,600 | ||||||||||||
19 | Barclays Capital | SGX S&P CNX Nifty Index Futures | 7/2014 | 288,508 | 289,807 | 1,299 | ||||||||||||
1 | Barclays Capital | SPI 200 Index Futures | 9/2014 | 126,088 | 126,214 | 126 | ||||||||||||
18 | Barclays Capital | TOPIX Index Futures | 9/2014 | 2,194,038 | 2,243,226 | 49,188 | ||||||||||||
18 | J.P. Morgan | Australia 10-Year Bond Futures | 9/2014 | 2,007,440 | 2,044,789 | 37,349 | ||||||||||||
20 | J.P. Morgan | Canadian 10-Year Bond Futures | 9/2014 | 2,526,506 | 2,548,710 | 22,204 | ||||||||||||
64 | J.P. Morgan | Euro - Bund Futures | 9/2014 | 12,720,194 | 12,883,251 | 163,057 | ||||||||||||
1 | J.P. Morgan | Long Gilt Futures | 9/2014 | 188,279 | 188,117 | (162 | ) | |||||||||||
30 | J.P. Morgan | Mini Japanese 10-Year Treasury Bond | 9/2014 | 4,309,371 | 4,312,916 | 3,545 | ||||||||||||
103 | J.P. Morgan | U.S. Treasury 10-Year Note Futures | 9/2014 | 12,878,225 | 12,892,703 | 14,478 | ||||||||||||
|
|
|
|
|
|
|||||||||||||
82,968,907 | 83,880,133 | 911,226 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||
Short Contracts: | ||||||||||||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | (182,192 | ) | (185,725 | ) | (3,533 | ) | |||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | (46,748 | ) | (46,519 | ) | 229 | ||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (89,253 | ) | (93,515 | ) | (4,262 | ) | |||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (44,198 | ) | (46,839 | ) | (2,641 | ) | |||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (89,753 | ) | (93,845 | ) | (4,092 | ) | |||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (182,992 | ) | (188,235 | ) | (5,243 | ) | |||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (323,210 | ) | (329,952 | ) | (6,742 | ) | |||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (139,869 | ) | (141,641 | ) | (1,772 | ) | |||||||||
23 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (1,041,939 | ) | (1,087,181 | ) | (45,242 | ) | |||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (94,082 | ) | (94,539 | ) | (457 | ) | |||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (94,684 | ) | (94,544 | ) | 140 | ||||||||||
4 | J.P. Morgan | LME Aluminum Futures^ | 12/2014 | (190,992 | ) | (191,100 | ) | (108 | ) | |||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (166,073 | ) | (176,010 | ) | (9,937 | ) | |||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (167,798 | ) | (175,800 | ) | (8,002 | ) | |||||||||
2 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (345,746 | ) | (351,600 | ) | (5,854 | ) | |||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (171,625 | ) | (175,694 | ) | (4,069 | ) | |||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (172,498 | ) | (175,654 | ) | (3,156 | ) | |||||||||
1 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (170,019 | ) | (175,650 | ) | (5,631 | ) | |||||||||
1 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (166,434 | ) | (175,619 | ) | (9,185 | ) | |||||||||
12 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (1,997,325 | ) | (2,107,200 | ) | (109,875 | ) | |||||||||
1 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (167,998 | ) | (175,482 | ) | (7,484 | ) | |||||||||
2 | J.P. Morgan | LME Copper Futures^ | 12/2014 | (334,883 | ) | (350,300 | ) | (15,417 | ) | |||||||||
2 | J.P. Morgan | LME Lead Futures^ | 9/2014 | (106,296 | ) | (108,475 | ) | (2,179 | ) | |||||||||
3 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | (330,024 | ) | (342,666 | ) | (12,642 | ) | |||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2014 | (50,523 | ) | (55,260 | ) | (4,737 | ) | |||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 8/2014 | (50,748 | ) | (55,280 | ) | (4,532 | ) | |||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (52,498 | ) | (55,461 | ) | (2,963 | ) | |||||||||
10 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (514,141 | ) | (555,000 | ) | (40,859 | ) | |||||||||
|
|
|
|
|
|
|||||||||||||
(7,484,541 | ) | (7,804,786 | ) | (320,245 | ) | |||||||||||||
|
|
|
|
|
|
|||||||||||||
$75,484,366 | $76,075,347 | $590,981 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 107 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR RISK PARITY II HV FUND |
Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $1,502,747, $488,504 and $403,356, respectively at June 30, 2014.
^ Represents positions held in the respective Subsidiary (Note 2).
Forward foreign currency exchange contracts outstanding as of June 30, 2014:
Over the Counter
PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Swiss Franc, Expiring 09/17/14 | Credit Suisse International | CHF | 17,500 | $19,550 | $19,747 | $197 | ||||||||||||||
Swiss Franc, Expiring 09/17/14 | The Royal Bank of Scotland | CHF | 52,500 | 58,740 | 59,241 | 501 | ||||||||||||||
Euro, Expiring 09/17/14 | The Royal Bank of Scotland | EUR | 241,211 | 329,439 | 330,387 | 948 | ||||||||||||||
Hong Kong Dollar, Expiring 09/17/14 | The Royal Bank of Scotland | HKD | 210,000 | 27,089 | 27,085 | (4) | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$434,818 | $436,460 | $1,642 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Euro, Expiring 09/17/14 | Credit Suisse International | EUR | (3,673,931) | $(5,000,634) | $(5,032,194) | $(31,560) | ||||||||||||||
Euro, Expiring 09/17/14 | The Royal Bank of Scotland | EUR | (4,005,355) | (5,450,848) | (5,486,146) | (35,298) | ||||||||||||||
British Pound, Expiring 09/17/14 | Credit Suisse International | GBP | (1,037,771) | (1,738,999) | (1,774,896) | (35,897) | ||||||||||||||
British Pound, Expiring 09/17/14 | The Royal Bank of Scotland | GBP | (1,037,771) | (1,738,994) | (1,774,895) | (35,901) | ||||||||||||||
Hong Kong Dollar, Expiring 09/17/14 | Credit Suisse International | HKD | (91,500) | (11,804) | (11,801) | 3 | ||||||||||||||
Hong Kong Dollar, Expiring 09/17/14 | The Royal Bank of Scotland | HKD | (91,500) | (11,804) | (11,801) | 3 | ||||||||||||||
Japanese Yen, Expiring 09/17/14 | Credit Suisse International | JPY | (6,000) | (59) | (60) | (1) | ||||||||||||||
Japanese Yen, Expiring 09/17/14 | The Royal Bank of Scotland | JPY | (5,999) | (59) | (59) | | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
(13,953,201) | (14,091,852) | (138,651) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$(13,518,383) | $(13,655,392) | $(137,009) | ||||||||||||||||||
|
|
|
|
|
|
Money Market Fund is pledged as collateral to The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $10,001 at June 30, 2014.
BRL - Brazilian Real
CAD - Canadian Dollar
CHF - Swiss Franc
EUR - Euro
GBP - British Pound
HKD - Hong Kong Dollar
JPY - Japanese Yen
TWD - Taiwanese Dollar
USD - United States Dollar
The accompanying notes are an integral part of these financial statements. |
108 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 109 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
110 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 111 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
112 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 113 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
114 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
CONVERTIBLE PREFERRED STOCKS - 2.1% | SHARES | VALUE (Note 3) |
||||||||||||||
United States - 2.1% | ||||||||||||||||
Bunge Ltd., Perpetual Preferred Stock, $100.00 par, 4.875% 12/31/49 (1)(a)(c) |
30,900 | $ | 3,212,055 | |||||||||||||
Chesapeake Energy Corp., Perpetual Preferred Stock 144A, $1,000.00 par, 5.750% 05/17/15 (a)(c)(d) |
400 | 512,000 | ||||||||||||||
Dominion Resources, Inc., $50.00 par, 6.375% 07/01/17 (1) | 19,150 | 1,007,769 | ||||||||||||||
Dominion Resources, Inc., Series A, $49.00 par, 6.125% 04/01/16 (1)(a) |
101,200 | 5,834,180 | ||||||||||||||
Dominion Resources, Inc., Series B, $49.00 par, 6.000% 07/01/16 (1)(a) |
70,400 | 4,084,608 | ||||||||||||||
Exelon Corp., $50.00 par, 6.500% 06/01/17 (a) | 18,475 | 996,663 | ||||||||||||||
McDermott International, Inc., $25.00 par, 6.250% 04/01/17 (a) | 17,575 | 483,365 | ||||||||||||||
NextEra Energy, Inc., $50.00 par, 5.599% 06/01/15 (1)(a) | 139,250 | 9,239,948 | ||||||||||||||
NextEra Energy, Inc., $50.00 par, 5.799% 09/01/16 (1)(a) | 72,550 | 4,140,429 | ||||||||||||||
Omnicare Capital Trust II, Series B, $50.00 par, 4.000% 06/15/33 (1) |
4,950 | 403,623 | ||||||||||||||
Post Holdings, Inc., Perpetual Preferred Stock 144A, $100.00 par, 2.500% 02/15/19 (a)(c)(d) |
22,177 | 2,249,579 | ||||||||||||||
|
|
|||||||||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS |
32,164,219 | |||||||||||||||
|
|
|||||||||||||||
CORPORATE BONDS - 3.9% | INTEREST RATE |
MATURITY DATE |
PRINCIPAL (000s) |
|||||||||||||
Canada - 0.1% | ||||||||||||||||
National Money Mart Co. (a) | 10.375% | 12/15/16 | $ | 1,925 | 2,028,469 | |||||||||||
|
|
|||||||||||||||
United Kingdom - 0.2% | ||||||||||||||||
Virgin Media Finance PLC (a) | 4.875% | 02/15/22 | 3,125 | 2,945,312 | ||||||||||||
|
|
|||||||||||||||
United States - 3.6% | ||||||||||||||||
American Airlines, Inc. 144A (3)(a)(d)(i) | 7.500% | 03/15/16 | 2,542 | 2,640,502 | ||||||||||||
Beam Suntory, Inc. (a) | 3.250% | 05/15/22 | 3,100 | 3,064,679 | ||||||||||||
Beam Suntory, Inc. (a) | 3.250% | 06/15/23 | 1,575 | 1,548,994 | ||||||||||||
Biomet, Inc. (a) | 6.500% | 08/01/20 | 12,225 | 13,172,437 | ||||||||||||
Copano Energy LLC/Copano Energy Finance Corp. | 7.125% | 04/01/21 | 81 | 91,793 | ||||||||||||
Edgen Murray Corp. 144A (3)(a)(d)(i) | 8.750% | 11/01/20 | 5,012 | 5,726,210 | ||||||||||||
EPL Oil & Gas, Inc. | 8.250% | 02/15/18 | 7,200 | 7,704,000 | ||||||||||||
Forest Oil Corp. (a) | 7.250% | 06/15/19 | 10,200 | 10,098,000 | ||||||||||||
Nuveen Investments, Inc. 144A (a)(d) | 9.500% | 10/15/20 | 3,405 | 4,034,925 | ||||||||||||
Plains Exploration & Production Co. | 6.875% | 02/15/23 | 1,025 | 1,199,250 | ||||||||||||
Texas Industries, Inc. (a) | 9.250% | 08/15/20 | 1,550 | 1,755,375 | ||||||||||||
US Foods, Inc. (a) | 8.500% | 06/30/19 | 5,290 | 5,662,945 | ||||||||||||
|
|
|||||||||||||||
56,699,110 | ||||||||||||||||
|
|
|||||||||||||||
TOTAL CORPORATE BONDS |
61,672,891 | |||||||||||||||
|
|
|||||||||||||||
CONVERTIBLE BONDS - 28.8% | ||||||||||||||||
Canada - 0.0% (b) | ||||||||||||||||
Element Financial Corp. 144A (d) | 5.125% | 06/30/19 | CAD | 950 | 958,413 | |||||||||||
|
|
|||||||||||||||
Cayman Islands - 0.2% | ||||||||||||||||
Herbalife Ltd. 144A (a)(d) | 2.000% | 08/15/19 | $ | 3,000 | 2,790,000 | |||||||||||
|
|
|||||||||||||||
India - 0.0% (b) | ||||||||||||||||
Sterlite Industries India Ltd. (3)(a)(i) | 4.000% | 10/30/14 | 225 | 225,000 | ||||||||||||
|
|
|||||||||||||||
Malta - 0.1% | ||||||||||||||||
Lufthansa Malta Blues LP, Series JBLU 144A (d) | 0.750% | 04/05/17 | 475 | 1,085,157 | ||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 115 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000s) |
VALUE (Note 3) |
|||||||||||||||
Mexico - 0.8% | ||||||||||||||||||
Cemex SAB de CV (a) | 3.750% | 03/15/18 | $ | 350 | $ | 530,906 | ||||||||||||
Cemex SAB de CV (a) | 3.250% | 03/15/16 | 8,325 | 12,086,860 | ||||||||||||||
|
|
|||||||||||||||||
12,617,766 | ||||||||||||||||||
|
|
|||||||||||||||||
Monaco - 0.0% (b) | ||||||||||||||||||
Scorpio Tankers, Inc. 144A (d) | 2.375% | 07/01/19 | 400 | 400,000 | ||||||||||||||
|
|
|||||||||||||||||
Netherlands - 0.2% | ||||||||||||||||||
Volkswagen International Finance NV 144A (d) | 5.500% | 11/09/15 | 2,000 | 3,211,830 | ||||||||||||||
|
|
|||||||||||||||||
United States - 27.5% | ||||||||||||||||||
Acorda Therapeutics, Inc. (a) | 1.750% | 06/15/21 | 275 | 285,141 | ||||||||||||||
Alpha Natural Resources, Inc. (a) | 3.750% | 12/15/17 | 1,100 | 950,125 | ||||||||||||||
Alpha Natural Resources, Inc. (a) | 4.875% | 12/15/20 | 200 | 154,875 | ||||||||||||||
American Realty Capital Properties, Inc. (a) | 3.750% | 12/15/20 | 525 | 547,641 | ||||||||||||||
American Realty Capital Properties, Inc. (a) | 3.000% | 08/01/18 | 3,250 | 3,300,781 | ||||||||||||||
Annaly Capital Management, Inc. (a) | 5.000% | 05/15/15 | 2,650 | 2,709,625 | ||||||||||||||
Ares Capital Corp. 144A (a)(d) | 5.750% | 02/01/16 | 525 | 557,812 | ||||||||||||||
Avis Budget Group, Inc. (a) | 3.500% | 10/01/14 | 7,375 | 27,167,656 | ||||||||||||||
Ciena Corp. (a) | 4.000% | 12/15/20 | 1,166 | 1,615,639 | ||||||||||||||
Ciena Corp. 144A (a)(d) | 3.750% | 10/15/18 | 2,125 | 2,917,891 | ||||||||||||||
DDR Corp. (a) | 1.750% | 11/15/40 | 1,670 | 2,002,956 | ||||||||||||||
Equinix, Inc. | 4.750% | 06/15/16 | 4,450 | 11,358,625 | ||||||||||||||
Exelixis, Inc. (a) | 4.250% | 08/15/19 | 525 | 443,625 | ||||||||||||||
General Cable Corp. (a)(e) | 4.500% | 11/15/29 | 1,620 | 1,603,800 | ||||||||||||||
Health Care REIT, Inc. (a) | 3.000% | 12/01/29 | 4,550 | 5,616,406 | ||||||||||||||
Illumina, Inc. (a) | 0.250% | 03/15/16 | 1,675 | 3,600,203 | ||||||||||||||
Illumina, Inc. 144A (a)(d) | 0.000% | 06/15/19 | 950 | 975,531 | ||||||||||||||
j2 Global, Inc. (a) | 3.250% | 06/15/29 | 4,075 | 4,133,578 | ||||||||||||||
Lennar Corp. 144A (a)(d) | 2.750% | 12/15/20 | 2,650 | 5,059,844 | ||||||||||||||
Lennar Corp. 144A (a)(d) | 3.250% | 11/15/21 | 4,400 | 8,101,500 | ||||||||||||||
MGIC Investment Corp. (a) | 5.000% | 05/01/17 | 3,250 | 3,770,000 | ||||||||||||||
MGIC Investment Corp. (a) | 2.000% | 04/01/20 | 10,000 | 14,887,500 | ||||||||||||||
MGM Resorts International (a) | 4.250% | 04/15/15 | 5,000 | 7,340,625 | ||||||||||||||
Microchip Technology, Inc. | 2.125% | 12/15/37 | 20,400 | 38,976,750 | ||||||||||||||
Micron Technology, Inc. | 2.375% | 05/01/32 | 9,875 | 33,982,344 | ||||||||||||||
Micron Technology, Inc. | 3.125% | 05/01/32 | 2,275 | 7,661,063 | ||||||||||||||
Micron Technology, Inc., Series F | 2.125% | 02/15/33 | 1,300 | 3,946,312 | ||||||||||||||
Navistar International Corp. (a) | 3.000% | 10/15/14 | 50 | 50,500 | ||||||||||||||
NorthStar Realty Finance LP 144A (a)(d) | 5.375% | 06/15/33 | 100 | 182,000 | ||||||||||||||
Novellus Systems, Inc. (a) | 2.625% | 05/15/41 | 8,400 | 16,999,500 | ||||||||||||||
NRG Yield, Inc. 144A (a)(d) | 3.500% | 02/01/19 | 2,925 | 3,471,609 | ||||||||||||||
Palo Alto Networks, Inc. 144A (d) | 0.000% | 07/01/19 | 500 | 515,938 | ||||||||||||||
PHH Corp. | 6.000% | 06/15/17 | 14,402 | 28,119,905 | ||||||||||||||
PHH Corp. (a) | 4.000% | 09/01/14 | 600 | 603,000 | ||||||||||||||
Prospect Capital Corp. 144A (a)(d) | 4.750% | 04/15/20 | 1,100 | 1,085,563 | ||||||||||||||
Radian Group, Inc. | 3.000% | 11/15/17 | 6,425 | 9,292,156 | ||||||||||||||
Radian Group, Inc. | 2.250% | 03/01/19 | 6,525 | 9,779,344 | ||||||||||||||
Regeneron Pharmaceuticals, Inc. | 1.875% | 10/01/16 | 6,550 | 21,987,531 | ||||||||||||||
Ryman Hospitality Properties, Inc. 144A (d) | 3.750% | 10/01/14 | 4,550 | 10,453,625 | ||||||||||||||
SanDisk Corp. (a) | 1.500% | 08/15/17 | 11,190 | 22,764,656 | ||||||||||||||
Sirius XM Radio, Inc. 144A (d) | 7.000% | 12/01/14 | 2,775 | 5,270,766 | ||||||||||||||
SL Green Operating Partnership LP 144A (a)(d) | 3.000% | 10/15/17 | 5,325 | 7,328,531 | ||||||||||||||
Spirit Realty Capital, Inc. (a) | 2.875% | 05/15/19 | 2,050 | 2,050,000 | ||||||||||||||
Spirit Realty Capital, Inc. (a) | 3.750% | 05/15/21 | 2,550 | 2,561,156 | ||||||||||||||
Standard Pacific Corp. (a) | 1.250% | 08/01/32 | 2,175 | 2,733,703 | ||||||||||||||
Stillwater Mining Co. (a) | 1.750% | 10/15/32 | 2,100 | 3,055,500 | ||||||||||||||
SunEdison, Inc. 144A (a)(d) | 0.250% | 01/15/20 | 950 | 1,017,094 | ||||||||||||||
SunEdison, Inc. 144A (a)(d) | 2.000% | 10/01/18 | 6,450 | 10,977,094 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
116 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
INTEREST RATE |
MATURITY DATE |
PRINCIPAL AMOUNT (000s) |
VALUE (Note 3) |
|||||||||||||||
United States - 27.5% (continued) | ||||||||||||||||||
SunEdison, Inc. 144A (a)(d) | 2.750% | 01/01/21 | $ | 5,575 | $ | 9,623,844 | ||||||||||||
SunPower Corp. | 4.500% | 03/15/15 | 1,300 | 2,387,125 | ||||||||||||||
Take-Two Interactive Software, Inc. (a) | 1.750% | 12/01/16 | 2,450 | 3,206,438 | ||||||||||||||
Tesla Motors, Inc. | 1.500% | 06/01/18 | 4,350 | 8,808,750 | ||||||||||||||
Theravance, Inc. (a) | 2.125% | 01/15/23 | 325 | 468,609 | ||||||||||||||
UTi Worldwide, Inc. 144A (a)(d) | 4.500% | 03/01/19 | 2,400 | 2,553,000 | ||||||||||||||
VeriSign, Inc. | 3.250% | 08/15/37 | 19,969 | 30,290,477 | ||||||||||||||
Vishay Intertechnology, Inc. 144A (a)(d) | 2.250% | 11/15/40 | 1,175 | 1,416,609 | ||||||||||||||
Web.com Group, Inc. (a) | 1.000% | 08/15/18 | 1,975 | 2,119,422 | ||||||||||||||
WebMD Health Corp. 144A (a)(d) | 1.500% | 12/01/20 | 1,775 | 1,975,797 | ||||||||||||||
WellPoint, Inc. (a) | 2.750% | 10/15/42 | 5,925 | 9,076,359 | ||||||||||||||
Yahoo!, Inc. 144A (a)(d) | 0.000% | 12/01/18 | 5,150 | 5,124,250 | ||||||||||||||
|
|
|||||||||||||||||
431,017,699 | ||||||||||||||||||
|
|
|||||||||||||||||
TOTAL CONVERTIBLE BONDS |
452,305,865 | |||||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 117 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
118 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 119 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
120 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 121 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
Credit default swap contracts buy protection as of June 30, 2014:
COUNTERPARTY | REFERENCE ENTITY |
FIXED ANNUAL RATE RECEIVED BY FUND |
CURRENCY | CREDIT SPREAD |
NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||
Exchange Cleared | ||||||||||||||||||||||||||
CitiBank | Markit CDX North America Investment Grade Index Series 22 | 1.000% | USD | 0.580% | 9,200,000 | $(127,172) | 06/20/2019 | $(58,097) | ||||||||||||||||||
|
|
|
|
Credit default swap contracts sell protection as of June 30, 2014:
COUNTERPARTY | REFERENCE ENTITY | FIXED ANNUAL RATE RECEIVED BY FUND |
CURRENCY | CREDIT SPREAD |
NOTIONAL AMOUNT |
UPFRONT PREMIUM (RECEIVED) PAID |
TERMINATION DATE |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||||||
Exchange Cleared | ||||||||||||||||||||||||||
CitiBank | Markit CDX North America High Yield Index Series 22 | 5.000% | USD | 3.030% | 40,475,000 | $2,851,672 | 06/20/2019 | $692,743 | ||||||||||||||||||
|
|
|
|
Cash held as collateral for CitiBank for credit default swap contracts was $908,240.
Total return swap contracts outstanding as of June 30, 2014:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
Bank of America | 10-Year Canadian Bond | 9/2014 | CAD | 42,677,191 | $272,041 | |||||||||
Bank of America | 10-Year Japanese Government Bond | 9/2014 | JPY | (2,758,087,500 | ) | (90,845 | ) | |||||||
Bank of America | 30-Year Euro Buxl Bond | 9/2014 | EUR | 8,057,804 | 213,440 | |||||||||
Morgan Stanley and Co., International PLC | Bovespa Index | 8/2014 | BRL | 3,601,044 | (50,514 | ) | ||||||||
Deutsche Bank | Brent Crude Futures^ | 7/2014 | USD | 41,819,690 | 1,551,270 | |||||||||
Deutsche Bank | Brent Crude Futures^ | 7/2014 | USD | (43,392,080 | ) | 21,120 | ||||||||
Deutsche Bank | Brent Crude Futures^ | 8/2014 | USD | 32,480,040 | (428,020 | ) | ||||||||
Deutsche Bank | Brent Crude Futures^ | 8/2014 | USD | (791,280 | ) | 6,790 | ||||||||
CitiBank | Cocoa Futures^ | 9/2014 | GBP | 32,657 | (49 | ) | ||||||||
CitiBank | Corn Futures^ | 8/2014 | USD | (21,449,087 | ) | 909,400 | ||||||||
Bank of America | Euro - Bobl Futures | 9/2014 | EUR | 46,264,096 | 337,911 | |||||||||
Bank of America | Euro - Bund Futures | 9/2014 | EUR | 119,578,185 | 1,725,861 | |||||||||
Bank of America | Euro - SCHATZ Futures | 9/2014 | EUR | 66,037,970 | 35,412 | |||||||||
Deutsche Bank | Gas Oil Futures^ | 7/2014 | USD | 8,051,230 | 770 | |||||||||
Deutsche Bank | Gas Oil Futures^ | 7/2014 | USD | (8,017,000 | ) | (35,000 | ) | |||||||
Deutsche Bank | Gas Oil Futures^ | 8/2014 | USD | 5,410,050 | (81,300 | ) | ||||||||
Deutsche Bank | Gasoline RBOB Futures^ | 7/2014 | USD | 12,260,702 | 137,702 | |||||||||
Merrill Lynch | Gold 100 OZ Futures^ | 8/2014 | USD | 8,892,850 | 336,967 | |||||||||
Merrill Lynch | Gold 100 OZ Futures^ | 8/2014 | USD | (9,796,400 | ) | (224,560 | ) | |||||||
Bank of America | Hang Seng Index Futures | 7/2014 | HKD | 33,017,567 | 62,338 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
122 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
Morgan Stanley and Co., International PLC | H-SHARES Index Futures | 7/2014 | HKD | 18,729,461 | $28,155 | |||||||||
Merrill Lynch | Lean Hogs Futures^ | 7/2014 | USD | 8,443,284 | 470,766 | |||||||||
Merrill Lynch | Lean Hogs Futures^ | 7/2014 | USD | (8,381,204 | ) | (532,842 | ) | |||||||
Merrill Lynch | Lean Hogs Futures^ | 8/2014 | USD | 6,693,380 | 160,366 | |||||||||
Merrill Lynch | Lean Hogs Futures^ | 8/2014 | USD | (4,788,720 | ) | (152,347 | ) | |||||||
CitiBank | LME Aluminum Futures^ | 9/2014 | USD | 835,087 | 15,750 | |||||||||
CitiBank | LME Aluminum Futures^ | 9/2014 | USD | (859,050 | ) | 8,212 | ||||||||
CitiBank | LME Copper Futures^ | 9/2014 | USD | (333,675 | ) | (17,525 | ) | |||||||
CitiBank | LME Copper Futures^ | 9/2014 | USD | (864,019 | ) | (16,943 | ) | |||||||
Bank of America | Long Gilt Futures | 9/2014 | GBP | (50,931,921 | ) | (123,127 | ) | |||||||
Morgan Stanley and Co., International PLC | MSCI Taiwan Stock Index Futures | 7/2014 | USD | 5,352,207 | 99,153 | |||||||||
Deutsche Bank | Natural Gas Swap Futures^ | 7/2014 | USD | 12,106,580 | (552,590 | ) | ||||||||
Deutsche Bank | Natural Gas Swap Futures^ | 7/2014 | USD | (3,289,830 | ) | 77,910 | ||||||||
Deutsche Bank | Heating Oil ULSD Futures^ | 7/2014 | USD | 12,459,602 | (213,267 | ) | ||||||||
Deutsche Bank | Heating Oil ULSD Futures^ | 7/2014 | USD | (4,645,477 | ) | (103,102 | ) | |||||||
Morgan Stanley and Co., International PLC | SGX S&P CNX Nifty Index Futures | 7/2014 | USD | (7,017,834 | ) | (105,317 | ) | |||||||
Merrill Lynch | Silver Futures^ | 9/2014 | USD | 526,500 | (3,624 | ) | ||||||||
Merrill Lynch | Silver Futures^ | 9/2014 | USD | (523,350 | ) | 475 | ||||||||
Merrill Lynch | Soybean Futures^ | 11/2014 | USD | 35,548,587 | (1,756,242 | ) | ||||||||
Merrill Lynch | Soybean Futures^ | 11/2014 | USD | (22,207,580 | ) | 1,087,368 | ||||||||
Deutsche Bank | Soybean Meal Futures^ | 12/2014 | USD | 2,900,975 | (218,955 | ) | ||||||||
CitiBank | Soybean Oil Futures^ | 12/2014 | USD | (7,952,020 | ) | (81,560 | ) | |||||||
Morgan Stanley and Co., International PLC | Swiss Market Index Futures | 9/2014 | CHF | (119,651,607 | ) | 1,320,338 | ||||||||
Morgan Stanley and Co., International PLC | Taiwan Stock Exchange Futures | 7/2014 | TWD | 123,546,698 | 93,461 | |||||||||
Bank of America | Tel Aviv 25 Index Futures | 7/2014 | ILS | 20,102,654 | (69,975 | ) | ||||||||
Bank of America | U.S. Treasury 10-Year Note Futures | 9/2014 | USD | 251,284,387 | 436,253 | |||||||||
Bank of America | U.S. Treasury 2-Year Note Futures | 9/2014 | USD | 20,211,905 | (9,280 | ) | ||||||||
Bank of America | U.S. Treasury 5-Year Note Futures | 9/2014 | USD | 8,597,074 | 4,114 | |||||||||
Bank of America | U.S. Treasury Long Bond Futures | 9/2014 | USD | 10,792,894 | 44,918 | |||||||||
CitiBank | Wheat Futures^ | 9/2014 | USD | 3,328,458 | (123,294 | ) | ||||||||
CitiBank | Wheat Futures^ | 9/2014 | USD | (15,893,131 | ) | 560,332 | ||||||||
Goldman Sachs | WIG20 Index Futures | 9/2014 | PLN | 10,770,484 | (84,473 | ) | ||||||||
Deutsche Bank | WTI Crude Oil Futures^ | 7/2014 | USD | 36,602,180 | 593,430 | |||||||||
Deutsche Bank | WTI Crude Oil Futures^ | 7/2014 | USD | (10,092,687 | ) | (22,833 | ) | |||||||
|
|
|||||||||||||
$5,514,439 | ||||||||||||||
|
|
Money Market Fund is pledged as collateral to Bank of America, Barclays Capital, CitiBank, Deutsche Bank, Goldman Sachs, Merrill Lynch and Morgan Stanley and Co., International PLC for total return swap contracts in the amount of $199, $10,006, $3,870,000, $ 12,400,019, $ 960,000, $ 4,650,000 and $ 30,208,619 respectively at June 30, 2014. Cash held as collateral for Bank of America for total return swap contracts was $1,590,000 at June 30, 2014.
^ Represents positions held in the respective Subsidiary (Note 2).
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 123 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
Open futures contracts outstanding at June 30, 2014:
Exchange Traded
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
Long Contracts: | ||||||||||||||||||
305 | Goldman Sachs | Cocoa Futures^ | 9/2014 | $9,792,141 | $9,872,377 | $80,236 | ||||||||||||
11 | Goldman Sachs | Coffee C Futures^ | 9/2014 | 718,187 | 722,287 | 4,100 | ||||||||||||
130 | Goldman Sachs | Gold 100 OZ Futures^ | 8/2014 | 17,133,469 | 17,186,000 | 52,531 | ||||||||||||
12 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | 544,334 | 557,025 | 12,691 | ||||||||||||
18 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | 824,084 | 835,763 | 11,679 | ||||||||||||
35 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | 1,607,657 | 1,626,844 | 19,187 | ||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | 137,573 | 139,481 | 1,908 | ||||||||||||
9 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | 421,040 | 418,669 | (2,371 | ) | |||||||||||
9 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | 426,734 | 418,781 | (7,953 | ) | |||||||||||
8 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | 376,603 | 372,550 | (4,053 | ) | |||||||||||
12 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | 558,951 | 558,975 | 24 | ||||||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | 92,558 | 93,188 | 630 | ||||||||||||
9 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | 422,785 | 419,760 | (3,025 | ) | |||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | 47,385 | 46,652 | (733 | ) | |||||||||||
22 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 981,971 | 1,028,671 | 46,700 | ||||||||||||
16 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 714,033 | 749,064 | 35,031 | ||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 132,726 | 140,485 | 7,759 | ||||||||||||
18 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 794,462 | 843,120 | 48,658 | ||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 221,823 | 234,436 | 12,613 | ||||||||||||
11 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 488,148 | 516,665 | 28,517 | ||||||||||||
12 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 530,575 | 563,775 | 33,200 | ||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 219,760 | 234,906 | 15,146 | ||||||||||||
20 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 887,792 | 939,625 | 51,833 | ||||||||||||
18 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 828,603 | 846,855 | 18,252 | ||||||||||||
24 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | 1,101,888 | 1,129,410 | 27,522 | ||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 231,083 | 235,515 | 4,432 | ||||||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 324,337 | 329,798 | 5,461 | ||||||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 228,207 | 235,625 | 7,418 | ||||||||||||
26 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 1,199,778 | 1,225,536 | 25,758 | ||||||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 141,885 | 141,540 | (345 | ) | |||||||||||
6 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 284,645 | 283,148 | (1,497 | ) | |||||||||||
9 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 425,880 | 424,823 | (1,057 | ) | |||||||||||
11 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 512,293 | 519,349 | 7,056 | ||||||||||||
74 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 3,442,235 | 3,497,887 | 55,652 | ||||||||||||
6 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 282,565 | 283,632 | 1,067 | ||||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | 47,704 | 47,273 | (431 | ) | |||||||||||
15 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 2,486,469 | 2,639,850 | 153,381 | ||||||||||||
8 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 1,334,767 | 1,407,600 | 72,833 | ||||||||||||
7 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 1,161,481 | 1,231,475 | 69,994 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 164,225 | 175,900 | 11,675 | ||||||||||||
19 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 3,144,779 | 3,341,116 | 196,337 | ||||||||||||
9 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 1,500,231 | 1,582,571 | 82,340 | ||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 503,074 | 527,503 | 24,429 | ||||||||||||
15 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 2,540,392 | 2,637,311 | 96,919 | ||||||||||||
6 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 995,061 | 1,054,800 | 59,739 | ||||||||||||
6 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 1,002,222 | 1,054,800 | 52,578 | ||||||||||||
8 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 1,374,807 | 1,406,400 | 31,593 | ||||||||||||
11 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 1,893,102 | 1,933,800 | 40,698 | ||||||||||||
22 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 3,789,732 | 3,867,600 | 77,868 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 173,284 | 175,737 | 2,453 | ||||||||||||
13 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 2,262,822 | 2,283,518 | 20,696 | ||||||||||||
28 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 4,822,188 | 4,918,319 | 96,131 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
124 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
Long Contracts: (continued) | ||||||||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 9/2014 | $172,469 | $175,654 | $3,185 | ||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 862,813 | 878,260 | 15,447 | ||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 681,241 | 702,604 | 21,363 | ||||||||||||
14 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 2,331,456 | 2,458,663 | 127,207 | ||||||||||||
65 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 11,087,823 | 11,414,000 | 326,177 | ||||||||||||
6 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 1,008,120 | 1,052,893 | 44,773 | ||||||||||||
21 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 3,611,701 | 3,684,376 | 72,675 | ||||||||||||
4 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 689,028 | 701,714 | 12,686 | ||||||||||||
8 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 1,390,291 | 1,403,286 | 12,995 | ||||||||||||
3 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 520,097 | 526,125 | 6,028 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | 98,575 | 113,853 | 15,278 | ||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | 197,409 | 227,718 | 30,309 | ||||||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | 219,057 | 227,994 | 8,937 | ||||||||||||
3 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | 333,893 | 342,085 | 8,192 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | 111,452 | 114,034 | 2,582 | ||||||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | 115,551 | 114,041 | (1,510 | ) | |||||||||||
28 | J.P. Morgan | LME Nickel Futures^ | 9/2014 | 3,217,108 | 3,198,216 | (18,892 | ) | |||||||||||
11 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 559,187 | 608,644 | 49,457 | ||||||||||||
8 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 411,602 | 442,600 | 30,998 | ||||||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 307,218 | 331,913 | 24,695 | ||||||||||||
9 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 462,147 | 497,813 | 35,666 | ||||||||||||
12 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 616,850 | 663,675 | 46,825 | ||||||||||||
16 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 830,012 | 884,652 | 54,640 | ||||||||||||
7 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 365,600 | 387,009 | 21,409 | ||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 103,764 | 110,566 | 6,802 | ||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 258,321 | 276,378 | 18,057 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 51,229 | 55,272 | 4,043 | ||||||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | 153,651 | 165,803 | 12,152 | ||||||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 265,225 | 277,183 | 11,958 | ||||||||||||
7 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 372,215 | 388,114 | 15,899 | ||||||||||||
9 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 480,108 | 499,075 | 18,967 | ||||||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 105,680 | 110,921 | 5,241 | ||||||||||||
57 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 3,036,444 | 3,163,500 | 127,056 | ||||||||||||
7 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 378,370 | 388,369 | 9,999 | ||||||||||||
8 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 436,887 | 443,700 | 6,813 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 54,547 | 55,453 | 906 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 54,658 | 55,444 | 786 | ||||||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | 54,834 | 55,425 | 591 | ||||||||||||
13 | Goldman Sachs | Platinum Futures^ | 10/2014 | 962,286 | 963,885 | 1,599 | ||||||||||||
65 | Goldman Sachs | Silver Futures^ | 9/2014 | 6,843,460 | 6,843,200 | (260 | ) | |||||||||||
71 | Goldman Sachs | Soybean Meal Futures^ | 12/2014 | 2,838,008 | 2,608,540 | (229,468 | ) | |||||||||||
51 | Barclays Capital | DAX Index Futures | 9/2014 | 17,328,641 | 17,213,282 | (115,359 | ) | |||||||||||
218 | Barclays Capital | DJIA Mini E-CBOT Futures | 9/2014 | 18,192,512 | 18,246,600 | 54,088 | ||||||||||||
3,116 | Barclays Capital | Euro Stoxx 50 Index | 9/2014 | 139,638,631 | 137,900,999 | (1,737,632 | ) | |||||||||||
828 | Barclays Capital | FTSE 100 Index Futures | 9/2014 | 95,221,927 | 95,097,499 | (124,428 | ) | |||||||||||
668 | J.P. Morgan | FTSE/JSE Top 40 Index Futures | 9/2014 | 28,931,690 | 28,937,245 | 5,555 | ||||||||||||
151 | Barclays Capital | FTSE/MIB Index Futures | 9/2014 | 22,591,805 | 22,023,499 | (568,306 | ) | |||||||||||
3 | Barclays Capital | Hang Seng Index Futures | 7/2014 | 442,744 | 447,151 | 4,407 | ||||||||||||
129 | Barclays Capital | IBEX 35 Index Futures | 7/2014 | 19,287,493 | 19,175,123 | (112,370 | ) | |||||||||||
75 | Barclays Capital | MSCI Singapore Index Futures | 7/2014 | 4,465,980 | 4,457,053 | (8,927 | ) | |||||||||||
231 | Barclays Capital | MSCI Taiwan Stock Index Futures | 7/2014 | 7,551,131 | 7,678,440 | 127,309 | ||||||||||||
219 | Barclays Capital | NASDAQ 100 E-Mini Futures | 9/2014 | 16,536,360 | 16,821,390 | 285,030 | ||||||||||||
84 | Barclays Capital | S&P MID 400 E-Mini Futures | 9/2014 | 11,770,672 | 12,006,120 | 235,448 | ||||||||||||
143 | Barclays Capital | S&P/Toronto Stock Exchange 60 Index Futures | 9/2014 | 22,924,404 | 23,149,636 | 225,232 | ||||||||||||
7 | Barclays Capital | TOPIX Index Futures | 9/2014 | 871,137 | 872,366 | 1,229 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 125 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
Long Contracts: (continued) | ||||||||||||||||||
310 | J.P. Morgan | 3-Month Euro Euribor Futures | 9/2015 | $105,841,250 | $105,919,121 | $77,871 | ||||||||||||
391 | J.P. Morgan | 3-Month Euro Euribor Futures | 12/2015 | 133,432,241 | 133,561,300 | 129,059 | ||||||||||||
406 | J.P. Morgan | 3-Month Euro Euribor Futures | 3/2016 | 138,465,967 | 138,636,491 | 170,524 | ||||||||||||
386 | J.P. Morgan | 3-Month Euro Euribor Futures | 6/2016 | 131,670,771 | 131,741,039 | 70,268 | ||||||||||||
788 | J.P. Morgan | 90-Day EURODollar Futures | 12/2014 | 196,358,168 | 196,458,250 | 100,082 | ||||||||||||
94 | J.P. Morgan | 90-Day EURODollar Futures | 3/2015 | 23,418,402 | 23,416,575 | (1,827 | ) | |||||||||||
38 | J.P. Morgan | 90-Day EURODollar Futures | 9/2015 | 9,432,110 | 9,432,550 | 440 | ||||||||||||
63 | J.P. Morgan | 90-Day EURODollar Futures | 12/2015 | 15,599,949 | 15,602,737 | 2,788 | ||||||||||||
84 | J.P. Morgan | 90-Day EURODollar Futures | 3/2016 | 20,747,281 | 20,753,250 | 5,969 | ||||||||||||
110 | J.P. Morgan | 90-Day EURODollar Futures | 6/2016 | 27,094,475 | 27,104,000 | 9,525 | ||||||||||||
694 | J.P. Morgan | 90-Day Sterling Futures | 12/2014 | 147,389,770 | 147,187,158 | (202,612 | ) | |||||||||||
906 | J.P. Morgan | 90-Day Sterling Futures | 3/2015 | 192,045,742 | 191,693,763 | (351,979 | ) | |||||||||||
659 | J.P. Morgan | 90-Day Sterling Futures | 6/2015 | 139,375,425 | 139,087,487 | (287,938 | ) | |||||||||||
412 | J.P. Morgan | Australia 3-Year Bond Futures | 9/2014 | 42,361,524 | 42,532,017 | 170,493 | ||||||||||||
|
|
|
|
|
|
|||||||||||||
1,851,913,119 | 1,852,722,581 | 809,462 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||
Short Contracts: | ||||||||||||||||||
1,218 | Goldman Sachs | Corn Futures^ | 9/2014 | (26,738,269 | ) | (25,501,875 | ) | 1,236,394 | ||||||||||
145 | Goldman Sachs | Cotton No. 2 Futures^ | 12/2014 | (5,598,179 | ) | (5,329,475 | ) | 268,704 | ||||||||||
12 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | (544,475 | ) | (557,025 | ) | (12,550 | ) | |||||||||
18 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | (823,575 | ) | (835,762 | ) | (12,187 | ) | |||||||||
35 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | (1,607,927 | ) | (1,626,844 | ) | (18,917 | ) | |||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | (137,244 | ) | (139,481 | ) | (2,237 | ) | |||||||||
9 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | (421,013 | ) | (418,669 | ) | 2,344 | ||||||||||
9 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | (423,881 | ) | (418,781 | ) | 5,100 | ||||||||||
8 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | (375,183 | ) | (372,550 | ) | 2,633 | ||||||||||
12 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | (556,475 | ) | (558,975 | ) | (2,500 | ) | |||||||||
2 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | (93,546 | ) | (93,188 | ) | 358 | ||||||||||
9 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | (424,388 | ) | (419,760 | ) | 4,628 | ||||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 7/2014 | (46,948 | ) | (46,652 | ) | 296 | ||||||||||
22 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (980,305 | ) | (1,028,671 | ) | (48,366 | ) | |||||||||
16 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (715,116 | ) | (749,064 | ) | (33,948 | ) | |||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (133,521 | ) | (140,485 | ) | (6,964 | ) | |||||||||
18 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (795,760 | ) | (843,120 | ) | (47,360 | ) | |||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (221,351 | ) | (234,436 | ) | (13,085 | ) | |||||||||
11 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (488,019 | ) | (516,664 | ) | (28,645 | ) | |||||||||
12 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (531,507 | ) | (563,775 | ) | (32,268 | ) | |||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (219,900 | ) | (234,907 | ) | (15,007 | ) | |||||||||
20 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (887,858 | ) | (939,625 | ) | (51,767 | ) | |||||||||
18 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (827,963 | ) | (846,855 | ) | (18,892 | ) | |||||||||
24 | J.P. Morgan | LME Aluminum Futures^ | 8/2014 | (1,100,306 | ) | (1,129,410 | ) | (29,104 | ) | |||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (231,865 | ) | (235,515 | ) | (3,650 | ) | |||||||||
7 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (321,985 | ) | (329,798 | ) | (7,813 | ) | |||||||||
5 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (227,490 | ) | (235,625 | ) | (8,135 | ) | |||||||||
26 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (1,196,571 | ) | (1,225,536 | ) | (28,965 | ) | |||||||||
3 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (142,494 | ) | (141,541 | ) | 953 | ||||||||||
6 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (284,388 | ) | (283,148 | ) | 1,240 | ||||||||||
9 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (421,856 | ) | (424,822 | ) | (2,966 | ) | |||||||||
11 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (508,377 | ) | (519,348 | ) | (10,971 | ) | |||||||||
65 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (2,990,515 | ) | (3,072,469 | ) | (81,954 | ) | |||||||||
6 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (283,488 | ) | (283,632 | ) | (144 | ) | |||||||||
1 | J.P. Morgan | LME Aluminum Futures^ | 9/2014 | (47,752 | ) | (47,273 | ) | 479 | ||||||||||
15 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (2,487,553 | ) | (2,639,850 | ) | (152,297 | ) | |||||||||
8 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (1,332,383 | ) | (1,407,600 | ) | (75,217 | ) | |||||||||
7 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (1,144,485 | ) | (1,231,475 | ) | (86,990 | ) | |||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (166,373 | ) | (175,900 | ) | (9,527 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
126 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
Short Contracts: (continued) | ||||||||||||||||||
19 | J.P. Morgan | LME Copper Futures^ | 7/2014 | $(3,147,310 | ) | $(3,341,116 | ) | $(193,806 | ) | |||||||||
9 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (1,492,856 | ) | (1,582,571 | ) | (89,715 | ) | |||||||||
3 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (503,769 | ) | (527,504 | ) | (23,735 | ) | |||||||||
15 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (2,536,094 | ) | (2,637,311 | ) | (101,217 | ) | |||||||||
6 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (991,188 | ) | (1,054,800 | ) | (63,612 | ) | |||||||||
6 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (1,006,488 | ) | (1,054,800 | ) | (48,312 | ) | |||||||||
8 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (1,373,983 | ) | (1,406,400 | ) | (32,417 | ) | |||||||||
11 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (1,898,852 | ) | (1,933,800 | ) | (34,948 | ) | |||||||||
22 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (3,827,529 | ) | (3,867,600 | ) | (40,071 | ) | |||||||||
1 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (171,498 | ) | (175,738 | ) | (4,240 | ) | |||||||||
13 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (2,265,223 | ) | (2,283,518 | ) | (18,295 | ) | |||||||||
28 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (4,807,942 | ) | (4,918,319 | ) | (110,377 | ) | |||||||||
1 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (172,998 | ) | (175,653 | ) | (2,655 | ) | |||||||||
5 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (858,740 | ) | (878,260 | ) | (19,520 | ) | |||||||||
4 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (677,492 | ) | (702,604 | ) | (25,112 | ) | |||||||||
14 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (2,331,321 | ) | (2,458,663 | ) | (127,342 | ) | |||||||||
10 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (1,716,979 | ) | (1,756,000 | ) | (39,021 | ) | |||||||||
6 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (1,007,613 | ) | (1,052,894 | ) | (45,281 | ) | |||||||||
21 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (3,610,644 | ) | (3,684,377 | ) | (73,733 | ) | |||||||||
4 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (687,942 | ) | (701,714 | ) | (13,772 | ) | |||||||||
8 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (1,388,871 | ) | (1,403,286 | ) | (14,415 | ) | |||||||||
10 | Goldman Sachs | LME Copper Futures^ | 9/2014 | (785,306 | ) | (800,875 | ) | (15,569 | ) | |||||||||
3 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (520,119 | ) | (526,125 | ) | (6,006 | ) | |||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | (98,506 | ) | (113,853 | ) | (15,347 | ) | |||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 7/2014 | (196,916 | ) | (227,718 | ) | (30,802 | ) | |||||||||
2 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | (218,756 | ) | (227,995 | ) | (9,239 | ) | |||||||||
3 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | (333,201 | ) | (342,085 | ) | (8,884 | ) | |||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | (111,388 | ) | (114,035 | ) | (2,647 | ) | |||||||||
1 | J.P. Morgan | LME Nickel Futures^ | 8/2014 | (116,716 | ) | (114,041 | ) | 2,675 | ||||||||||
11 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (559,946 | ) | (608,644 | ) | (48,698 | ) | |||||||||
8 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (410,583 | ) | (442,600 | ) | (32,017 | ) | |||||||||
6 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (307,488 | ) | (331,913 | ) | (24,425 | ) | |||||||||
9 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (460,781 | ) | (497,812 | ) | (37,031 | ) | |||||||||
12 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (620,975 | ) | (663,675 | ) | (42,700 | ) | |||||||||
16 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (835,167 | ) | (884,652 | ) | (49,485 | ) | |||||||||
7 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (362,804 | ) | (387,009 | ) | (24,205 | ) | |||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (103,721 | ) | (110,567 | ) | (6,846 | ) | |||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (258,240 | ) | (276,378 | ) | (18,138 | ) | |||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (51,448 | ) | (55,272 | ) | (3,824 | ) | |||||||||
3 | J.P. Morgan | LME Zinc Futures^ | 7/2014 | (153,819 | ) | (165,803 | ) | (11,984 | ) | |||||||||
5 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (266,240 | ) | (277,184 | ) | (10,944 | ) | |||||||||
7 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (370,110 | ) | (388,113 | ) | (18,003 | ) | |||||||||
9 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (474,956 | ) | (499,074 | ) | (24,118 | ) | |||||||||
2 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (105,496 | ) | (110,921 | ) | (5,425 | ) | |||||||||
7 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (378,585 | ) | (388,368 | ) | (9,783 | ) | |||||||||
8 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (438,583 | ) | (443,700 | ) | (5,117 | ) | |||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (54,373 | ) | (55,453 | ) | (1,080 | ) | |||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (54,798 | ) | (55,444 | ) | (646 | ) | |||||||||
1 | J.P. Morgan | LME Zinc Futures^ | 9/2014 | (54,748 | ) | (55,425 | ) | (677 | ) | |||||||||
176 | Goldman Sachs | Soybean Futures^ | 11/2014 | (10,751,160 | ) | (10,183,800 | ) | 567,360 | ||||||||||
322 | Goldman Sachs | Sugar #11 (World Markets) Futures^ | 9/2014 | (6,348,288 | ) | (6,495,126 | ) | (146,838 | ) | |||||||||
248 | Goldman Sachs | Wheat Futures^ | 9/2014 | (7,736,499 | ) | (7,424,912 | ) | 311,587 | ||||||||||
231 | Barclays Capital | Amsterdam Index Futures | 7/2014 | (26,219,002 | ) | (26,142,881 | ) | 76,121 | ||||||||||
563 | J.P. Morgan | BIST National 30 Index Futures | 8/2014 | (2,593,252 | ) | (2,600,945 | ) | (7,693 | ) | |||||||||
109 | Barclays Capital | CAC40 Index Futures | 7/2014 | (6,730,789 | ) | (6,599,998 | ) | 130,791 | ||||||||||
557 | Barclays Capital | E-Mini Russell 2000 Futures | 9/2014 | (64,876,995 | ) | (66,299,710 | ) | (1,422,715 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 127 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
Short Contracts: (continued) | ||||||||||||||||||
53 | Barclays Capital | FTSE Bursa Malaysia KLCI Index Futures | 7/2014 | $(1,561,238 | ) | $(1,554,430 | ) | $6,808 | ||||||||||
55 | Barclays Capital | H-SHARES Index Futures | 7/2014 | (3,600,002 | ) | (3,634,070 | ) | (34,068 | ) | |||||||||
81 | Barclays Capital | KOSPI Index 200 Futures | 9/2014 | (10,402,049 | ) | (10,431,212 | ) | (29,163 | ) | |||||||||
1,788 | Barclays Capital | MSCI Emerging Markets E-Mini Futures | 9/2014 | (92,687,310 | ) | (93,038,580 | ) | (351,270 | ) | |||||||||
2,049 | Barclays Capital | S&P 500 E-Mini Futures | 9/2014 | (198,138,106 | ) | (200,023,381 | ) | (1,885,275 | ) | |||||||||
685 | Barclays Capital | SET50 Index Futures | 9/2014 | (4,129,579 | ) | (4,183,238 | ) | (53,659 | ) | |||||||||
80 | Barclays Capital | SGX S&P CNX Nifty Index Futures | 7/2014 | (1,215,129 | ) | (1,220,240 | ) | (5,111 | ) | |||||||||
64 | Barclays Capital | SPI 200 Index Futures | 9/2014 | (8,180,868 | ) | (8,077,687 | ) | 103,181 | ||||||||||
31 | J.P. Morgan | 10-Year Japanese Government Bond | 9/2014 | (44,432,842 | ) | (44,569,863 | ) | (137,021 | ) | |||||||||
1,235 | J.P. Morgan | 3-Month Euro Euribor Futures | 12/2014 | (421,678,803 | ) | (422,094,942 | ) | (416,139 | ) | |||||||||
1,049 | J.P. Morgan | 3-Month Euro Euribor Futures | 3/2015 | (358,069,970 | ) | (358,506,412 | ) | (436,442 | ) | |||||||||
739 | J.P. Morgan | 3-Month Euro Euribor Futures | 6/2015 | (252,485,806 | ) | (252,535,463 | ) | (49,657 | ) | |||||||||
256 | J.P. Morgan | 90-Day EURODollar Futures | 6/2015 | (63,635,196 | ) | (63,670,400 | ) | (35,204 | ) | |||||||||
353 | J.P. Morgan | 90-Day Sterling Futures | 9/2015 | (74,338,416 | ) | (74,329,930 | ) | 8,486 | ||||||||||
372 | J.P. Morgan | 90-Day Sterling Futures | 12/2015 | (78,179,770 | ) | (78,155,615 | ) | 24,155 | ||||||||||
373 | J.P. Morgan | 90-Day Sterling Futures | 3/2016 | (78,231,751 | ) | (78,214,102 | ) | 17,649 | ||||||||||
380 | J.P. Morgan | 90-Day Sterling Futures | 6/2016 | (79,599,616 | ) | (79,535,603 | ) | 64,013 | ||||||||||
2,415 | J.P. Morgan | Australia 10-Year Bond Futures | 9/2014 | (269,208,086 | ) | (274,342,482 | ) | (5,134,396 | ) | |||||||||
893 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 12/2014 | (206,596,776 | ) | (206,564,571 | ) | 32,205 | ||||||||||
628 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 3/2015 | (145,210,105 | ) | (145,207,160 | ) | 2,945 | ||||||||||
932 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 6/2015 | (215,390,983 | ) | (215,367,509 | ) | 23,474 | ||||||||||
103 | J.P. Morgan | Euro CHF 3-Month LIFFE Futures | 12/2014 | (29,047,949 | ) | (29,045,698 | ) | 2,251 | ||||||||||
14 | J.P. Morgan | Euro CHF 3-Month LIFFE Futures | 3/2015 | (3,948,213 | ) | (3,947,959 | ) | 254 | ||||||||||
12 | J.P. Morgan | Mini Japanese 10-Year Treasury Bond | 9/2014 | (1,719,670 | ) | (1,725,167 | ) | (5,497 | ) | |||||||||
6 | J.P. Morgan | U.S. Treasury 2-Year Note Futures | 9/2014 | (1,318,302 | ) | (1,317,563 | ) | 739 | ||||||||||
7 | J.P. Morgan | U.S. Treasury 5-Year Note Futures | 9/2014 | (837,312 | ) | (836,227 | ) | 1,085 | ||||||||||
|
|
|
|
|
|
|||||||||||||
(2,870,759,217 | ) | (2,880,438,119 | ) | (9,678,902 | ) | |||||||||||||
|
|
|
|
|
|
|||||||||||||
$(1,018,846,098 | ) | $(1,027,715,538 | ) | $(8,869,440 | ) | |||||||||||||
|
|
|
|
|
|
Cash held as collateral at Barclays Capital, Deutsche Bank, Goldman Sachs and J.P. Morgan for futures contracts was $48,837,328, $2,079, $10,272,190 and $17,334,917, respectively at June 30, 2014.
^ Represents positions held in the respective Subsidiary (Note 2).
The accompanying notes are an integral part of these financial statements. | (Continued) |
128 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2014:
Over the Counter
PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Australian Dollar, Expiring 09/17/14 |
Credit Suisse International | AUD | 109,126,500 | $100,794,226 | $102,327,841 | $1,533,615 | ||||||||||||||
Australian Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | AUD | 109,126,500 | 100,794,391 | 102,327,841 | 1,533,450 | ||||||||||||||
Brazilian Real, Expiring 09/17/14* |
Credit Suisse International | BRL | 107,937,500 | 46,678,040 | 47,772,853 | 1,094,813 | ||||||||||||||
Brazilian Real, Expiring 09/17/14* |
The Royal Bank of Scotland | BRL | 107,937,500 | 46,678,027 | 47,772,853 | 1,094,826 | ||||||||||||||
Canadian Dollar, Expiring 09/17/14 |
Credit Suisse International | CAD | 18,035,500 | 16,620,808 | 16,869,520 | 248,712 | ||||||||||||||
Canadian Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | CAD | 18,035,500 | 16,620,841 | 16,869,520 | 248,679 | ||||||||||||||
Swiss Franc, Expiring 09/17/14 |
Credit Suisse International | CHF | 1,306,000 | 1,461,424 | 1,473,698 | 12,274 | ||||||||||||||
Swiss Franc, Expiring 09/17/14 |
The Royal Bank of Scotland | CHF | 1,306,000 | 1,461,421 | 1,473,698 | 12,277 | ||||||||||||||
Chilean Peso, Expiring 09/17/14* |
Credit Suisse International | CLP | 200,000,000 | 359,487 | 358,695 | (792 | ) | |||||||||||||
Chilean Peso, Expiring 09/17/14* |
The Royal Bank of Scotland | CLP | 200,000,000 | 359,491 | 358,695 | (796 | ) | |||||||||||||
Columbian Peso, Expiring 09/17/14* |
Credit Suisse International | COP | 1,493,000,000 | 781,060 | 790,873 | 9,813 | ||||||||||||||
Columbian Peso, Expiring 09/17/14* |
The Royal Bank of Scotland | COP | 1,493,000,000 | 781,063 | 790,873 | 9,810 | ||||||||||||||
Czech Republic Koruna, Expiring 09/17/14 |
Credit Suisse International | CZK | 5,500,000 | 273,344 | 274,626 | 1,282 | ||||||||||||||
Czech Republic Koruna, Expiring 09/17/14 |
The Royal Bank of Scotland | CZK | 5,500,000 | 273,329 | 274,626 | 1,297 | ||||||||||||||
Danish Krone, Expiring 09/17/14 |
Credit Suisse International | DKK | 1,313,500 | 239,828 | 241,346 | 1,518 | ||||||||||||||
Danish Krone, Expiring 09/17/14 |
The Royal Bank of Scotland | DKK | 1,313,500 | 239,828 | 241,346 | 1,518 | ||||||||||||||
Euro, Expiring 09/17/14 |
Credit Suisse International | EUR | 40,093,500 | 54,567,471 | 54,916,179 | 348,708 | ||||||||||||||
Euro, Expiring 09/17/14 |
The Royal Bank of Scotland | EUR | 42,052,500 | 57,227,346 | 57,599,427 | 372,081 | ||||||||||||||
British Pound, Expiring 09/17/14 |
Credit Suisse International | GBP | 53,983,498 | 91,015,892 | 92,327,786 | 1,311,894 | ||||||||||||||
British Pound, Expiring 09/17/14 |
The Royal Bank of Scotland | GBP | 53,983,498 | 91,016,166 | 92,327,786 | 1,311,620 | ||||||||||||||
Hungarian Forint, Expiring 09/17/14 |
Credit Suisse International | HUF | 2,891,199,999 | 12,896,831 | 12,745,745 | (151,086 | ) | |||||||||||||
Hungarian Forint, Expiring 09/17/14 |
The Royal Bank of Scotland | HUF | 2,891,199,999 | 12,896,754 | 12,745,745 | (151,009 | ) | |||||||||||||
Israeli Shekel, Expiring 09/17/14 |
Credit Suisse International | ILS | 4,000,000 | 1,163,337 | 1,165,168 | 1,831 | ||||||||||||||
Israeli Shekel, Expiring 09/17/14 |
The Royal Bank of Scotland | ILS | 4,000,000 | 1,163,715 | 1,165,168 | 1,453 | ||||||||||||||
Indian Rupee, Expiring 09/17/14* |
Credit Suisse International | INR | 928,230,000 | 15,442,578 | 15,140,527 | (302,051 | ) | |||||||||||||
Indian Rupee, Expiring 09/17/14* |
The Royal Bank of Scotland | INR | 928,230,000 | 15,442,487 | 15,140,527 | (301,960 | ) | |||||||||||||
Japanese Yen, Expiring 09/17/14 |
Credit Suisse International | JPY | 4,280,558,500 | 42,078,924 | 42,278,096 | 199,172 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 129 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Japanese Yen, Expiring 09/17/14 |
The Royal Bank of Scotland | JPY | 5,297,276,500 | $52,058,883 | $52,319,987 | $261,104 | ||||||||||||||
Korean Won, Expiring 09/17/14* |
Credit Suisse International | KRW | 46,765,584,504 | 45,600,673 | 46,075,092 | 474,419 | ||||||||||||||
Korean Won, Expiring 09/17/14* |
The Royal Bank of Scotland | KRW | 47,465,584,503 | 46,286,409 | 46,764,758 | 478,349 | ||||||||||||||
Mexican Peso, Expiring 09/17/14 |
Credit Suisse International | MXN | 10,000,000 | 770,452 | 766,685 | (3,767 | ) | |||||||||||||
Mexican Peso, Expiring 09/17/14 |
The Royal Bank of Scotland | MXN | 10,000,000 | 770,451 | 766,685 | (3,766 | ) | |||||||||||||
Malaysian Ringgit, Expiring 09/17/14* |
Credit Suisse International | MYR | 36,891,500 | 11,349,364 | 11,418,776 | 69,412 | ||||||||||||||
Malaysian Ringgit, Expiring 09/17/14* |
The Royal Bank of Scotland | MYR | 36,891,500 | 11,349,325 | 11,418,776 | 69,451 | ||||||||||||||
Norwegian Krone, Expiring 09/17/14 |
Credit Suisse International | NOK | 100,598,002 | 16,705,736 | 16,351,516 | (354,220 | ) | |||||||||||||
Norwegian Krone, Expiring 09/17/14 |
The Royal Bank of Scotland | NOK | 100,598,000 | 16,705,668 | 16,351,515 | (354,153 | ) | |||||||||||||
New Zealand Dollar, Expiring 09/17/14 |
Credit Suisse International | NZD | 219,160,500 | 184,778,965 | 190,476,394 | 5,697,429 | ||||||||||||||
New Zealand Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | NZD | 219,160,498 | 184,778,556 | 190,476,391 | 5,697,835 | ||||||||||||||
Philippine Peso, Expiring 09/17/14* |
Credit Suisse International | PHP | 10,000,000 | 229,149 | 228,755 | (394 | ) | |||||||||||||
Philippine Peso, Expiring 09/17/14* |
The Royal Bank of Scotland | PHP | 10,000,000 | 229,152 | 228,755 | (397 | ) | |||||||||||||
Poland Zloty, Expiring 09/17/14 |
Credit Suisse International | PLN | 66,646,500 | 21,851,699 | 21,838,618 | (13,081 | ) | |||||||||||||
Poland Zloty, Expiring 09/17/14 |
The Royal Bank of Scotland | PLN | 66,646,499 | 21,851,517 | 21,838,619 | (12,898 | ) | |||||||||||||
Russian Ruble, Expiring 09/17/14* |
Credit Suisse International | RUB | 1,448,267,000 | 40,998,869 | 41,855,891 | 857,022 | ||||||||||||||
Russian Ruble, Expiring 09/17/14* |
The Royal Bank of Scotland | RUB | 1,468,267,000 | 41,569,430 | 42,433,904 | 864,474 | ||||||||||||||
Swedish Krona, Expiring 09/17/14 |
Credit Suisse International | SEK | 69,709,500 | 10,487,789 | 10,424,795 | (62,994 | ) | |||||||||||||
Swedish Krona, Expiring 09/17/14 |
The Royal Bank of Scotland | SEK | 69,709,500 | 10,487,897 | 10,424,795 | (63,102 | ) | |||||||||||||
Singapore Dollar, Expiring 09/17/14 |
Credit Suisse International | SGD | 6,350,000 | 5,079,288 | 5,092,780 | 13,492 | ||||||||||||||
Singapore Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | SGD | 6,350,000 | 5,079,206 | 5,092,780 | 13,574 | ||||||||||||||
Turkish Lira, Expiring 09/17/14 |
Credit Suisse International | TRY | 56,159,500 | 26,157,873 | 26,086,847 | (71,026 | ) | |||||||||||||
Turkish Lira, Expiring 09/17/14 |
The Royal Bank of Scotland | TRY | 56,159,500 | 26,157,716 | 26,086,847 | (70,869 | ) | |||||||||||||
Taiwanese Dollar, Expiring 09/17/14* |
Credit Suisse International | TWD | 330,927,999 | 11,053,508 | 11,094,434 | 40,926 | ||||||||||||||
Taiwanese Dollar, Expiring 09/17/14* |
The Royal Bank of Scotland | TWD | 330,927,998 | 11,053,597 | 11,094,434 | 40,837 | ||||||||||||||
South African Rand, Expiring 09/17/14 |
Credit Suisse International | ZAR | 26,413,500 | 2,436,849 | 2,451,410 | 14,561 | ||||||||||||||
South African Rand, Expiring 09/17/14 |
The Royal Bank of Scotland | ZAR | 26,413,499 | 2,436,837 | 2,451,410 | 14,573 | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$1,537,642,967 | $1,559,682,707 | $22,039,740 | ||||||||||||||||||
|
|
|
|
|
|
The accompanying notes are an integral part of these financial statements. | (Continued) |
130 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Australian Dollar, Expiring 09/17/14 |
Credit Suisse International | AUD | (16,790,000) | $(15,699,458) | $(15,743,972) | $(44,514) | ||||||||||||||
Australian Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | AUD | (16,790,000) | (15,699,329) | (15,743,972) | (44,643) | ||||||||||||||
Brazilian Real, Expiring 09/17/14* |
Credit Suisse International | BRL | (39,550,000) | (17,001,304) | (17,504,726) | (503,422) | ||||||||||||||
Brazilian Real, Expiring 09/17/14* |
The Royal Bank of Scotland | BRL | (39,550,000) | (17,001,037) | (17,504,726) | (503,689) | ||||||||||||||
Canadian Dollar, Expiring 09/17/14 |
Credit Suisse International | CAD | (26,531,499) | (24,337,357) | (24,816,261) | (478,904) | ||||||||||||||
Canadian Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | CAD | (26,894,498) | (24,670,633) | (25,155,792) | (485,159) | ||||||||||||||
Swiss Franc, Expiring 09/17/14 |
Credit Suisse International | CHF | (29,408,500) | (32,856,586) | (33,184,716) | (328,130) | ||||||||||||||
Swiss Franc, Expiring 09/17/14 |
The Royal Bank of Scotland | CHF | (35,565,500) | (39,721,320) | (40,132,309) | (410,989) | ||||||||||||||
Chilean Peso, Expiring 09/17/14* |
Credit Suisse International | CLP | (8,161,958,500) | (14,670,182) | (14,638,261) | 31,921 | ||||||||||||||
Chilean Peso, Expiring 09/17/14* |
The Royal Bank of Scotland | CLP | (8,161,958,500) | (14,670,248) | (14,638,261) | 31,987 | ||||||||||||||
Czech Republic Koruna, Expiring 09/17/14 |
Credit Suisse International | CZK | (134,973,000) | (6,705,223) | (6,739,495) | (34,272) | ||||||||||||||
Czech Republic Koruna, Expiring 09/17/14 |
The Royal Bank of Scotland | CZK | (134,973,000) | (6,705,259) | (6,739,495) | (34,236) | ||||||||||||||
Danish Krone, Expiring 09/17/14 |
The Royal Bank of Scotland | DKK | (7,968,000) | (1,453,253) | (1,464,059) | (10,806) | ||||||||||||||
Euro, Expiring 09/17/14 |
Credit Suisse International | EUR | (56,247,774) | (76,531,734) | (77,042,735) | (511,001) | ||||||||||||||
Euro, Expiring 09/17/14 |
The Royal Bank of Scotland | EUR | (57,010,773) | (77,567,019) | (78,087,816) | (520,797) | ||||||||||||||
Euro, Expiring 04/07/15 |
The Royal Bank of Scotland | EUR | (3,562) | (4,716) | (4,884) | (168) | ||||||||||||||
Euro, Expiring 06/09/15 |
The Royal Bank of Scotland | EUR | (110,000) | (141,776) | (150,891) | (9,115) | ||||||||||||||
Euro, Expiring 11/09/15 |
The Royal Bank of Scotland | EUR | (46,110) | (59,499) | (63,436) | (3,937) | ||||||||||||||
Euro, Expiring 04/05/16 |
The Royal Bank of Scotland | EUR | (3,562) | (4,730) | (4,915) | (185) | ||||||||||||||
Euro, Expiring 04/05/17 |
The Royal Bank of Scotland | EUR | (3,562) | (4,751) | (4,995) | (244) | ||||||||||||||
British Pound, Expiring 09/17/14 |
Credit Suisse International | GBP | (5,318,000) | (8,891,660) | (9,095,356) | (203,696) | ||||||||||||||
British Pound, Expiring 09/17/14 |
The Royal Bank of Scotland | GBP | (6,157,000) | (10,293,681) | (10,530,295) | (236,614) | ||||||||||||||
Hong Kong Dollar, Expiring 09/17/14 |
Credit Suisse International | HKD | (82,798,500) | (10,681,361) | (10,678,831) | 2,530 | ||||||||||||||
Hong Kong Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | HKD | (82,798,500) | (10,681,403) | (10,678,831) | 2,572 | ||||||||||||||
Hungarian Forint, Expiring 09/17/14 |
Credit Suisse International | HUF | (1,270,000,000) | (5,591,848) | (5,598,748) | (6,900) | ||||||||||||||
Hungarian Forint, Expiring 09/17/14 | The Royal Bank of Scotland | HUF | (1,270,000,000) | (5,591,250) | (5,598,748) | (7,498) | ||||||||||||||
Indonesian Rupiah, Expiring 09/17/14* |
Credit Suisse International | IDR | (38,748,640,496) | (3,220,534) | (3,220,632) | (98) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 131 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Indonesian Rupiah, Expiring 09/17/14* |
The Royal Bank of Scotland | IDR | (38,748,640,498) | $(3,220,513) | $(3,220,632) | $(119) | ||||||||||||||
Israeli Shekel, Expiring 09/17/14 |
Credit Suisse International | ILS | (63,712,501) | (18,380,450) | (18,558,923) | (178,473) | ||||||||||||||
Israeli Shekel, Expiring 09/17/14 |
The Royal Bank of Scotland | ILS | (63,712,500) | (18,380,314) | (18,558,922) | (178,608) | ||||||||||||||
Indian Rupee, Expiring 09/17/14* |
Credit Suisse International | INR | (245,000,000) | (4,018,325) | (3,996,240) | 22,085 | ||||||||||||||
Indian Rupee, Expiring 09/17/14* |
The Royal Bank of Scotland | INR | (245,000,000) | (4,018,313) | (3,996,240) | 22,073 | ||||||||||||||
Japanese Yen, Expiring 09/17/14 |
Credit Suisse International | JPY | (10,949,698,499) | (107,001,567) | (108,147,665) | (1,146,098) | ||||||||||||||
Japanese Yen, Expiring 09/17/14 |
The Royal Bank of Scotland | JPY | (11,678,032,497) | (114,096,887) | (115,341,254) | (1,244,367) | ||||||||||||||
Korean Won, Expiring 09/17/14* |
Credit Suisse International | KRW | (1,150,000,000) | (1,125,303) | (1,133,021) | (7,718) | ||||||||||||||
Korean Won, Expiring 09/17/14* |
The Royal Bank of Scotland | KRW | (1,450,000,000) | (1,417,977) | (1,428,592) | (10,615) | ||||||||||||||
Mexican Peso, Expiring 09/17/14 |
Credit Suisse International | MXN | (982,393,001) | (75,296,364) | (75,318,496) | (22,132) | ||||||||||||||
Mexican Peso, Expiring 09/17/14 |
The Royal Bank of Scotland | MXN | (982,393,001) | (75,294,733) | (75,318,496) | (23,763) | ||||||||||||||
Norwegian Krone, Expiring 09/17/14 |
Credit Suisse International | NOK | (424,679,000) | (69,892,669) | (69,028,660) | 864,009 | ||||||||||||||
Norwegian Krone, Expiring 09/17/14 |
The Royal Bank of Scotland | NOK | (435,528,000) | (71,675,626) | (70,792,091) | 883,535 | ||||||||||||||
New Zealand Dollar, Expiring 09/17/14 |
Credit Suisse International | NZD | (16,473,500) | (13,828,014) | (14,317,420) | (489,406) | ||||||||||||||
New Zealand Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | NZD | (16,473,500) | (13,828,490) | (14,317,420) | (488,930) | ||||||||||||||
Peru Nuevo Sol, Expiring 09/17/14* |
Credit Suisse International | PEN | (360,000) | (128,617) | (127,568) | 1,049 | ||||||||||||||
Peru Nuevo Sol, Expiring 09/17/14* |
The Royal Bank of Scotland | PEN | (360,000) | (128,617) | (127,568) | 1,049 | ||||||||||||||
Philippine Peso, Expiring 09/17/14* |
Credit Suisse International | PHP | (32,400,000) | (737,628) | (741,165) | (3,537) | ||||||||||||||
Philippine Peso, Expiring 09/17/14* |
The Royal Bank of Scotland | PHP | (32,400,000) | (737,632) | (741,165) | (3,533) | ||||||||||||||
Poland Zloty, Expiring 09/17/14 |
Credit Suisse International | PLN | (4,700,000) | (1,530,373) | (1,540,089) | (9,716) | ||||||||||||||
Poland Zloty, Expiring 09/17/14 |
The Royal Bank of Scotland | PLN | (4,700,000) | (1,530,440) | (1,540,089) | (9,649) | ||||||||||||||
Russian Ruble, Expiring 09/17/14* |
Credit Suisse International | RUB | (10,000,000) | (288,142) | (289,006) | (864) | ||||||||||||||
Russian Ruble, Expiring 09/17/14* |
The Royal Bank of Scotland | RUB | (10,000,000) | (288,138) | (289,006) | (868) | ||||||||||||||
Swedish Krona, Expiring 09/17/14 |
Credit Suisse International | SEK | (972,455,000) | (145,482,524) | (145,427,008) | 55,516 | ||||||||||||||
Swedish Krona, Expiring 09/17/14 |
The Royal Bank of Scotland | SEK | (990,177,999) | (148,135,841) | (148,077,416) | 58,425 | ||||||||||||||
Singapore Dollar, Expiring 09/17/14 |
Credit Suisse International | SGD | (106,084,000) | (84,423,601) | (85,080,718) | (657,117) | ||||||||||||||
Singapore Dollar, Expiring 09/17/14 |
The Royal Bank of Scotland | SGD | (106,084,000) | (84,424,050) | (85,080,719) | (656,669) | ||||||||||||||
Thailand Baht, Expiring 09/17/14 |
Credit Suisse International | THB | (53,760,500) | (1,634,421) | (1,650,531) | (16,110) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
132 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
SALES CONTRACTS | COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Thailand Baht, Expiring 09/17/14 |
The Royal Bank of Scotland | THB | (53,760,500) | $(1,634,430) | $(1,650,531) | $(16,101) | ||||||||||||||
Turkish Lira, Expiring 09/17/14 |
Credit Suisse International | TRY | (57,800,000) | (26,751,266) | (26,848,881) | (97,615) | ||||||||||||||
Turkish Lira, Expiring 09/17/14 |
The Royal Bank of Scotland | TRY | (57,800,000) | (26,750,393) | (26,848,881) | (98,488) | ||||||||||||||
South African Rand, Expiring 09/17/14 |
Credit Suisse International | ZAR | (92,500,000) | (8,547,834) | (8,584,827) | (36,993) | ||||||||||||||
South African Rand, Expiring 09/17/14 |
The Royal Bank of Scotland | ZAR | (92,500,000) | (8,547,931) | (8,584,827) | (36,896) | ||||||||||||||
|
|
|
|
|
|
|||||||||||||||
(1,573,634,574) | (1,581,471,225) | (7,836,651) | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$(35,991,607) | $(21,788,518) | $14,203,089 | ||||||||||||||||||
|
|
|
|
|
|
Money Market Fund is pledged as collateral to The Royal Bank of Scotland for forward foreign currency exchange contracts in the amount of $8,401 at June 30, 2014. Cash held as collateral for Credit Suisse International and The Royal Bank of Scotland for forward foreign currency exchange contracts were $9,180,000 and $3,480,000, respectively at June 30, 2014.
* | Non deliverable forward. See Note 3 in the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 133 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
Total Return Basket Swaps* Outstanding at June 30, 2014
Over the Counter
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** | VALUE (Note 3) |
|||||
Bank of America | The Fund receives or pays the total return on a portfolio of short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 5.5 years maturity 08/12/2019 |
$(94,408) | |||||
|
|
* | See the accompanying Additional Information Total Return Basket Swaps for further details. |
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap positions. |
Additional Information Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swaps as of June 30, 2014.
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Deutsche Bank | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (LIBOR) plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | 24 months maturity 12/22/2014 | $1,107,463 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
134 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 135 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Deutsche Bank | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 24 months maturity 12/22/2014 |
$6,126,216 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
136 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 137 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Deutsche Bank | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 24 months maturity 12/22/2014 |
$(316,650 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
138 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Deutsche Bank | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | 24 months maturity 12/22/2014 |
$(1,310,780 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 139 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Deutsche Bank | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the AUD/USD Overnight Forward FX Swap Rate plus or minus a specified spread, which is denominated in AUD based on the local currencies of the positions within the swap. | 12 months maturity 10/16/2014 |
$(122,543 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
140 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Deutsche Bank | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 12 months maturity 05/11/2015 |
$(8,885 | ) | ||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Morgan Stanley Capital Services, Inc. | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate, which is denominated in USD based on the local currencies of the positions within the swap. | 1 to 24 months maturity ranging from 07/24/2014 - 07/23/2015 |
$61,079,913 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 141 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
142 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 143 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
144 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 145 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
146 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 147 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
148 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 149 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
150 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 151 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
152 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 153 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Morgan Stanley Capital Services, Inc. | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Federal Funds Effective Rate plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 1 to 24 months maturity ranging from 07/24/2014 - 07/23/2015 |
$(1,144,450) | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
154 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
Written Options
NUMBER OF CONTRACTS |
ISSUER | EXPIRATION DATE | PROCEEDS | VALUE AT 2014 |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||||||||
(2,200 | ) | Allergan, Inc. (Exercise price $160) |
July 9, 2014 | (25,080 | ) | $ | (25,740 | ) | $ | (660 | ) | |||||||||
(129,800 | ) | Fusion-io, Inc. (Exercise price $11) |
September 20, 2014 | (71,390 | ) | (45,430 | ) | 25,960 | ||||||||||||
(2,200 | ) | Allergan, Inc. (Exercise price $165) |
July 9, 2014 | (19,140 | ) | (16,280 | ) | 2,860 | ||||||||||||
(2,900 | ) | Time Warner Cable, Inc. (Exercise price $130) |
January 17, 2015 | (27,956 | ) | (55,390 | ) | (27,434 | ) | |||||||||||
(2,200 | ) | Allergan, Inc. (Exercise price $155) |
July 9, 2014 | (31,764 | ) | (31,680 | ) | 84 | ||||||||||||
|
|
|||||||||||||||||||
Total of Written Options | 810 | |||||||||||||||||||
|
|
|||||||||||||||||||
Total of Long and Short Equity Positions and Written Options | (3,236,890 | ) | ||||||||||||||||||
|
|
|||||||||||||||||||
Net Cash and Other Receivables/ Payables (b) | 2,092,440 | |||||||||||||||||||
|
|
|||||||||||||||||||
Swaps, at Value | $ | (1,144,450 | ) | |||||||||||||||||
|
|
(a) | Notional value represents the market value (including any fees or commissions) of the long and short positions when they are established. |
(b) | Cash and other receivables/(payables) includes the gains (or losses) realized within the swap when the swap resets. |
Collateral for this position pledged to Morgan Stanley Capital Services, Inc. is included in the collateral noted in the previous Morgan Stanley total return basket swap.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 155 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Morgan Stanley Capital Services, Inc. | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the USD Discount Rate plus or minus a specified spread, which is denominated in CAD based on the local currencies of the positions within the swap. | 1 to 20 months maturity ranging from 07/30/2014 - 10/20/2015 | $553,632 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
156 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Morgan Stanley Capital Services, Inc. | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Effective Overnight Index Average plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 24 months maturity 04/05/2016 | $1,193,026 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 157 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Morgan Stanley Capital, Services, Inc. | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Bank of Japan Estimate Unsecured Overnight Call Rate plus or minus a specified spread, which is denominated in JPY based on the local currencies of the positions within the swap. | 24 months maturity 10/14/2015 |
$4,633,719 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Morgan Stanley Capital, Services, Inc. | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Swiss Franc Tom/Next Index Swap Rate plus or minus a specified spread, which is denominated in CHF based on the local currencies of the positions within the swap. | 4 months maturity 07/15/2014 |
$115,879 | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information Total Return Basket Swaps
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. |
158 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 159 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
160 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 161 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
162 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 163 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
Total return swap contracts outstanding as of June 30, 2014:
Over the Counter
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
Barclays Capital | 10-Year Canadian Bond | 9/2014 | CAD | 111,025,910 | $823,055 | |||||||||
Barclays Capital | 10-Year Japanese Government Bond | 9/2014 | JPY | (12,768,571,200 | ) | (476,628 | ) | |||||||
Bank of America | 30-Year Euro Buxl Bond | 9/2014 | EUR | (14,127,306 | ) | (383,743 | ) | |||||||
Bank of America | Bovespa Index | 8/2014 | BRL | (3,762,894 | ) | 2,206 | ||||||||
CitiBank | Corn Futures^ | 9/2014 | USD | (13,074,535 | ) | 574,847 | ||||||||
Bank of America | Euro - Bobl Futures | 9/2014 | EUR | 15,166,467 | 110,775 | |||||||||
Bank of America | Euro - Bund Futures | 9/2014 | EUR | (10,895,773 | ) | (177,448 | ) | |||||||
Bank of America | Euro - SCHATZ Futures | 9/2014 | EUR | 88,589,238 | 67,131 | |||||||||
Barclays Capital | Gold 100 OZ Futures^ | 8/2014 | USD | (17,017,440 | ) | (432,960 | ) | |||||||
Bank of America | Hang Seng Index Futures | 7/2014 | HKD | 143,455,067 | 270,920 | |||||||||
Barclays Capital | Long Gilt Futures | 9/2014 | GBP | 13,558,685 | (63,240 | ) | ||||||||
Bank of America | MSCI Taiwan Stock Index Futures | 7/2014 | USD | 8,586,543 | 155,577 |
The accompanying notes are an integral part of these financial statements. | (Continued) |
164 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT |
TERMINATION DATE |
CURRENCY | NOTIONAL VALUE |
UNREALIZED APPRECIATION (DEPRECIATION) |
|||||||||
Deutsche Bank | Soybean Futures^ | 11/2014 | USD | 33,383,162 | $(1,558,787 | ) | ||||||||
Deutsche Bank | Soybean Futures^ | 11/2014 | USD | (15,092,814 | ) | 858,639 | ||||||||
Bank of America | Swiss Market Index Futures | 9/2014 | CHF | (83,408,172 | ) | 1,126,579 | ||||||||
Bank of America | Taiwan Stock Exchange Futures | 7/2014 | TWD | 217,152,716 | 132,020 | |||||||||
Bank of America | Tel Aviv 25 Index Futures | 7/2014 | ILS | 8,012,946 | (27,892 | ) | ||||||||
Bank of America | U.S. Treasury 10-Year Note Futures | 9/2014 | USD | (90,987,697 | ) | (137,428 | ) | |||||||
Bank of America | U.S. Treasury 2-Year Note Futures | 9/2014 | USD | 107,218,285 | (56,535 | ) | ||||||||
Bank of America | U.S. Treasury 5-Year Note Futures | 9/2014 | USD | 9,567,640 | (10,765 | ) | ||||||||
Bank of America | U.S. Treasury Long Bond Futures | 9/2014 | USD | (25,322,449 | ) | (194,426 | ) | |||||||
Goldman Sachs | WIG20 Index Futures | 9/2014 | PLN | 9,603,962 | (74,640 | ) | ||||||||
|
|
|||||||||||||
$527,257 | ||||||||||||||
|
|
Money Market Fund is pledged as collateral to Bank of America, Barclays Capital and Goldman Sachs for total return swap contracts in the amounts of $8,150,033, $450,000 and $81,860,000, respectively at June 30, 2014. Cash held as collateral for Barclays Capital for total return swap contracts was $200,000 at June 30, 2014. Cash held as collateral at CitiBank for total return swap contracts was $1,270,000 at June 30, 2014.
^ Represents positions held in the respective Subsidiary (Note 2).
Open futures contracts outstanding at June 30, 2014:
Exchange Traded
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
Long Contracts: | ||||||||||||||||||
1 | Goldman Sachs | Brent Crude Futures^ | 8/2014 | $112,893 | $112,070 | $(823) | ||||||||||||
8 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 1,324,017 | 1,408,240 | 84,223 | ||||||||||||
62 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 10,297,554 | 10,912,620 | 615,066 | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 165,765 | 175,990 | 10,225 | ||||||||||||
32 | J.P. Morgan | LME Copper Futures^ | 7/2014 | 5,373,667 | 5,626,704 | 253,037 | ||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 8/2014 | 861,885 | 878,271 | 16,386 | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 333,065 | 351,237 | 18,172 | ||||||||||||
28 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 4,807,008 | 4,916,800 | 109,792 | ||||||||||||
26 | J.P. Morgan | LME Copper Futures^ | 9/2014 | 4,471,630 | 4,561,609 | 89,979 | ||||||||||||
613 | Goldman Sachs | Natural Gas Futures^ | 8/2014 | 28,718,547 | 27,345,930 | (1,372,617) | ||||||||||||
83 | Goldman Sachs | Silver Futures^ | 9/2014 | 8,735,662 | 8,738,239 | 2,577 | ||||||||||||
82 | Barclays Capital | Amsterdam Index Futures | 7/2014 | 9,327,866 | 9,280,157 | (47,709) | ||||||||||||
518 | Barclays Capital | CAC40 Index Futures | 7/2014 | 32,111,649 | 31,365,131 | (746,518) | ||||||||||||
83 | Barclays Capital | DAX Index Futures | 9/2014 | 28,200,570 | 28,013,773 | (186,797) | ||||||||||||
1,124 | Barclays Capital | Euro Stoxx 50 Index | 9/2014 | 50,508,805 | 49,743,493 | (765,312) | ||||||||||||
475 | Barclays Capital | FTSE/JSE Top 40 Index Futures | 9/2014 | 20,528,346 | 20,576,634 | 48,288 | ||||||||||||
582 | Barclays Capital | Hang Seng Index Futures | 7/2014 | 85,731,274 | 86,747,316 | 1,016,042 | ||||||||||||
121 | Barclays Capital | IBEX 35 Index Futures | 7/2014 | 18,091,562 | 17,985,968 | (105,594) | ||||||||||||
228 | Barclays Capital | MSCI Taiwan Stock Index Futures | 7/2014 | 7,454,047 | 7,578,720 | 124,673 | ||||||||||||
523 | Barclays Capital | S&P/Toronto Stock Exchange 60 Index Futures | 9/2014 | 83,841,643 | 84,666,154 | 824,511 | ||||||||||||
254 | Barclays Capital | SET50 Index Futures | 9/2014 | 1,560,677 | 1,551,157 | (9,520) | ||||||||||||
230 | J.P. Morgan | 3-Month Euro Euribor Futures | 3/2015 | 78,588,578 | 78,604,838 | 16,260 | ||||||||||||
820 | J.P. Morgan | 3-Month Euro Euribor Futures | 6/2015 | 280,207,082 | 280,215,265 | 8,183 | ||||||||||||
3,084 | J.P. Morgan | 90-Day EURODollar Futures | 12/2014 | 768,496,311 | 768,879,750 | 383,439 | ||||||||||||
3,286 | J.P. Morgan | 90-Day EURODollar Futures | 3/2015 | 818,285,353 | 818,583,675 | 298,322 | ||||||||||||
2,731 | J.P. Morgan | 90-Day EURODollar Futures | 6/2015 | 679,385,507 | 679,233,837 | (151,670) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 165 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
NUMBER OF CONTRACTS |
COUNTERPARTY | DESCRIPTION | EXPIRATION DATE | VALUE AT TRADE DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
Long Contracts: (continued) | ||||||||||||||||||
2,148 | J.P. Morgan | Australia 3-Year Bond Futures | 9/2014 | $220,596,486 | $221,744,594 | $1,148,108 | ||||||||||||
492 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 12/2014 | 113,757,080 | 113,807,132 | 50,052 | ||||||||||||
|
|
|
|
|
|
|||||||||||||
3,361,874,529 | 3,363,605,304 | 1,730,775 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||
Short Contracts: | ||||||||||||||||||
866 | Goldman Sachs | Corn Futures^ | 9/2014 | (19,040,154) | (18,131,875) | 908,279 | ||||||||||||
146 | Goldman Sachs | Gold 100 OZ Futures^ | 8/2014 | (18,885,398) | (19,301,201) | (415,803) | ||||||||||||
8 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (1,329,041) | (1,408,240) | (79,199) | ||||||||||||
62 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (10,267,233) | (10,912,620) | (645,387) | ||||||||||||
1 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (165,837) | (175,990) | (10,153) | ||||||||||||
32 | J.P. Morgan | LME Copper Futures^ | 7/2014 | (5,382,591) | (5,626,704) | (244,113) | ||||||||||||
5 | J.P. Morgan | LME Copper Futures^ | 8/2014 | (861,025) | (878,271) | (17,246) | ||||||||||||
2 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (333,046) | (351,238) | (18,192) | ||||||||||||
22 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (3,777,354) | (3,863,200) | (85,846) | ||||||||||||
26 | J.P. Morgan | LME Copper Futures^ | 9/2014 | (4,470,321) | (4,561,609) | (91,288) | ||||||||||||
83 | Goldman Sachs | WTI Crude Futures^ | 8/2014 | (8,787,394) | (8,745,710) | 41,684 | ||||||||||||
177 | Barclays Capital | FTSE 100 Index Futures | 9/2014 | (20,469,792) | (20,328,813) | 140,979 | ||||||||||||
58 | Barclays Capital | FTSE Bursa Malaysia KLCI Index Futures | 7/2014 | (1,708,715) | (1,701,075) | 7,640 | ||||||||||||
246 | Barclays Capital | FTSE/MIB Index Futures | 9/2014 | (36,780,476) | (35,879,343) | 901,133 | ||||||||||||
65 | Barclays Capital | H-SHARES Index Futures | 7/2014 | (4,270,163) | (4,294,810) | (24,647) | ||||||||||||
132 | Barclays Capital | KOSPI Index 200 Futures | 9/2014 | (17,004,946) | (16,999,012) | 5,934 | ||||||||||||
70 | Barclays Capital | MSCI Singapore Index Futures | 7/2014 | (4,160,291) | (4,159,917) | 374 | ||||||||||||
1,343 | Barclays Capital | OMXS30 Index Futures | 7/2014 | (27,937,515) | (27,728,124) | 209,391 | ||||||||||||
397 | Barclays Capital | S&P 500 E-Mini Futures | 9/2014 | (38,449,689) | (38,755,140) | (305,451) | ||||||||||||
596 | Barclays Capital | SGX S&P CNX Nifty Index Futures | 7/2014 | (9,052,023) | (9,090,788) | (38,765) | ||||||||||||
174 | Barclays Capital | SPI 200 Index Futures | 9/2014 | (22,204,524) | (21,961,210) | 243,314 | ||||||||||||
412 | Barclays Capital | TOPIX Index Futures | 9/2014 | (50,133,250) | (51,344,948) | (1,211,698) | ||||||||||||
1,794 | J.P. Morgan | 90-Day Sterling Futures | 12/2014 | (380,630,673) | (380,480,925) | 149,748 | ||||||||||||
2,024 | J.P. Morgan | 90-Day Sterling Futures | 3/2015 | (428,978,653) | (428,243,018) | 735,635 | ||||||||||||
2,825 | J.P. Morgan | 90-Day Sterling Futures | 6/2015 | (597,348,284) | (596,239,987) | 1,108,297 | ||||||||||||
1,282 | J.P. Morgan | Australia 10-Year Bond Futures | 9/2014 | (142,933,099) | (145,634,394) | (2,701,295) | ||||||||||||
5 | J.P. Morgan | Canadian 3-Month Bank Acceptance Futures | 3/2015 | (1,156,295) | (1,156,108) | 187 | ||||||||||||
|
|
|
|
|
|
|||||||||||||
(1,856,517,782) | (1,857,954,270) | (1,436,488) | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||
$1,505,356,747 | $1,505,651,034 | $294,287 | ||||||||||||||||
|
|
|
|
|
|
Cash held as collateral at Barclays Capital, Goldman Sachs and J.P. Morgan for futures contracts was $32,941,111, $6,074,889 and $5,679,443, respectively at June 30, 2014.
^ Represents positions held in the respective Subsidiary (Note 2).
The accompanying notes are an integral part of these financial statements. | (Continued) |
166 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
Forward foreign currency exchange contracts outstanding as of June 30, 2014:
Over the Counter
PURCHASE CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT PURCHASED |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Australian Dollar, Expiring 09/17/14 | Credit Suisse International | AUD | 44,429,000 | $41,325,341 | $41,661,042 | $335,701 | ||||||||||||||
Brazilian Real, Expiring 09/17/14* | Credit Suisse International | BRL | 60,200,000 | 26,275,745 | 26,644,362 | 368,617 | ||||||||||||||
Canadian Dollar, Expiring 09/17/14 | Credit Suisse International | CAD | 25,194,999 | 23,069,912 | 23,566,164 | 496,252 | ||||||||||||||
Swiss Franc, Expiring 09/17/14 | Credit Suisse International | CHF | 51,000 | 57,071 | 57,549 | 478 | ||||||||||||||
Euro, Expiring 09/17/14 | Credit Suisse International | EUR | 73,773,000 | 100,417,374 | 101,047,088 | 629,714 | ||||||||||||||
British Pound, Expiring 09/17/14 | Credit Suisse International | GBP | 24,622,999 | 41,267,447 | 42,112,629 | 845,182 | ||||||||||||||
Hungarian Forint, Expiring 09/17/14 | Credit Suisse International | HUF | 6,320,000,000 | 28,192,066 | 27,861,481 | (330,585 | ) | |||||||||||||
Indian Rupee, Expiring 09/17/14* | Credit Suisse International | INR | 2,694,000,000 | 44,818,438 | 43,942,318 | (876,120 | ) | |||||||||||||
Japanese Yen, Expiring 09/17/14 | Credit Suisse International | JPY | 1,236,324,000 | 12,112,212 | 12,210,888 | 98,676 | ||||||||||||||
Korean Won, Expiring 09/17/14* | Credit Suisse International | KRW | 2,540,000,000 | 2,478,283 | 2,502,497 | 24,214 | ||||||||||||||
Mexican Peso, Expiring 09/17/14 | Credit Suisse International | MXN | 110,000,000 | 8,434,848 | 8,433,524 | (1,324 | ) | |||||||||||||
New Zealand Dollar, Expiring 09/17/14 | Credit Suisse International | NZD | 123,709,000 | 104,048,388 | 107,517,751 | 3,469,363 | ||||||||||||||
Poland Zloty, Expiring 09/17/14 | Credit Suisse International | PLN | 178,400,000 | 58,505,239 | 58,457,825 | (47,414 | ) | |||||||||||||
Russian Ruble, Expiring 09/17/14* | Credit Suisse International | RUB | 1,482,000,000 | 42,392,108 | 42,830,800 | 438,692 | ||||||||||||||
Swedish Krona, Expiring 09/17/14 | Credit Suisse International | SEK | 6,161,000 | 923,725 | 921,354 | (2,371 | ) | |||||||||||||
Singapore Dollar, Expiring 09/17/14 | Credit Suisse International | SGD | 8,800,000 | 7,035,222 | 7,057,712 | 22,490 | ||||||||||||||
Turkish Lira, Expiring 09/17/14 | Credit Suisse International | TRY | 98,500,000 | 45,859,822 | 45,754,579 | (105,243 | ) | |||||||||||||
Taiwanese Dollar, Expiring 09/17/14* | Credit Suisse International | TWD | 514,000,000 | 17,160,868 | 17,231,959 | 71,091 | ||||||||||||||
South African Rand, Expiring 09/17/14 | Credit Suisse International | ZAR | 7,000,000 | 650,661 | 649,663 | (998 | ) | |||||||||||||
|
|
|
|
|
|
|||||||||||||||
$605,024,770 | $610,461,185 | $5,436,415 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||
SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Australian Dollar, Expiring 09/17/14 | Credit Suisse International | AUD | (54,761,000 | ) | $(50,399,726 | ) | $(51,349,352 | ) | $(949,626 | ) | ||||||||||
Brazilian Real, Expiring 09/17/14* | Credit Suisse International | BRL | (48,480,000 | ) | (20,868,998 | ) | (21,457,120 | ) | (588,122 | ) | ||||||||||
Canadian Dollar, Expiring 09/17/14 | Credit Suisse International | CAD | (6,833,000 | ) | (6,360,092 | ) | (6,391,252 | ) | (31,160 | ) |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 167 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
SALES CONTRACTS |
COUNTERPARTY | CURRENCY | CURRENCY AMOUNT SOLD |
VALUE AT SETTLEMENT DATE |
VALUE AT JUNE 30, 2014 |
UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||||
Swiss Franc, Expiring 09/17/14 | Credit Suisse International | CHF | (80,953,000 | ) | $(90,438,866 | ) | $(91,347,820 | ) | $(908,954 | ) | ||||||||||
Danish Krone, Expiring 09/17/14 | Credit Suisse International | DKK | (17,980,000 | ) | (3,282,909 | ) | (3,303,689 | ) | (20,780 | ) | ||||||||||
Euro, Expiring 09/17/14 | Credit Suisse International | EUR | (4,186,000 | ) | (5,679,560 | ) | (5,733,576 | ) | (54,016 | ) | ||||||||||
British Pound, Expiring 09/17/14 | Credit Suisse International | GBP | (1,894,000 | ) | (3,210,937 | ) | (3,239,301 | ) | (28,364 | ) | ||||||||||
Hungarian Forint, Expiring 09/17/14 | Credit Suisse International | HUF | (3,770,000,000 | ) | (16,635,016 | ) | (16,619,902 | ) | 15,114 | |||||||||||
Israeli Shekel, Expiring 09/17/14 | Credit Suisse International | ILS | (60,800,000 | ) | (17,540,796 | ) | (17,710,534 | ) | (169,738 | ) | ||||||||||
Indian Rupee, Expiring 09/17/14* | Credit Suisse International | INR | (661,000,000 | ) | (10,845,562 | ) | (10,781,689 | ) | 63,873 | |||||||||||
Japanese Yen, Expiring 09/17/14 | Credit Suisse International | JPY | (10,015,349,999 | ) | (97,849,478 | ) | (98,919,317 | ) | (1,069,839 | ) | ||||||||||
Mexican Peso, Expiring 09/17/14 | Credit Suisse International | MXN | (854,000,000 | ) | (65,482,769 | ) | (65,474,812 | ) | 7,957 | |||||||||||
Norwegian Krone, Expiring 09/17/14 | Credit Suisse International | NOK | (425,659,999 | ) | (70,587,309 | ) | (69,188,115 | ) | 1,399,194 | |||||||||||
New Zealand Dollar, Expiring 09/17/14 | Credit Suisse International | NZD | (6,016,000 | ) | (5,195,405 | ) | (5,228,615 | ) | (33,210 | ) | ||||||||||
Poland Zloty, Expiring 09/17/14 | Credit Suisse International | PLN | (34,300,000 | ) | (11,217,253 | ) | (11,239,367 | ) | (22,114 | ) | ||||||||||
Russian Ruble, Expiring 09/17/14* | Credit Suisse International | RUB | (973,797,000 | ) | (27,544,748 | ) | (28,143,392 | ) | (598,644 | ) | ||||||||||
Swedish Krona, Expiring 09/17/14 | Credit Suisse International | SEK | (575,522,999 | ) | (86,060,215 | ) | (86,067,313 | ) | (7,098 | ) | ||||||||||
Singapore Dollar, Expiring 09/17/14 | Credit Suisse International | SGD | (110,680,000 | ) | (88,080,391 | ) | (88,766,769 | ) | (686,378 | ) | ||||||||||
Turkish Lira, Expiring 09/17/14 | Credit Suisse International | TRY | (32,200,000 | ) | (15,030,499 | ) | (14,957,337 | ) | 73,162 | |||||||||||
Taiwanese Dollar, Expiring 09/17/14* | Credit Suisse International | TWD | (172,000,000 | ) | (5,750,252 | ) | (5,766,336 | ) | (16,084 | ) | ||||||||||
South African Rand, Expiring 09/17/14 | Credit Suisse International | ZAR | (103,600,000 | ) | (9,564,351 | ) | (9,615,011 | ) | (50,660 | ) | ||||||||||
|
|
|
|
|
|
|||||||||||||||
(707,625,132 | ) | (711,300,619 | ) | (3,675,487 | ) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||
$(102,600,362 | ) | $(100,839,434 | ) | $1,760,928 | ||||||||||||||||
|
|
|
|
|
|
Cash held as collateral for Credit Suisse International for forward foreign currency exchange contracts was $2,940,000 at June 30, 2014.
* | Non deliverable forward. See Note 3 in the Notes to Financial Statements. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
168 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
Total Return Basket Swaps* Outstanding at June 30, 2014
Over the Counter
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Goldman Sachs | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the London Interbank Offered Rate (LIBOR) plus or minus a specified spread, which is denominated in USD based on the local currencies of the positions within the swap. | 13 months maturity 02/20/2015 |
$25,493,969 | |||||
|
|
* | See the accompanying Additional Information Total Return Basket Swap for further details. |
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 169 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
170 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 171 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
172 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 173 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
174 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 175 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
176 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 177 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
The accompanying notes are an integral part of these financial statements. | (Continued) |
178 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investments | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Goldman Sachs | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the LIBOR plus or minus a specified spread, which is denominated in GBP based on the local currencies of the positions within the swap. | 13 months maturity ranging from |
$(1,129,519) | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
Additional Information Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. | (Continued) |
AQR Funds | Semi-Annual Report | June 2014 | 179 | |||||||||||||
Consolidated Schedule of Investment | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE** |
VALUE (Note 3) |
|||||
Goldman Sachs | The Fund receives or pays the total return on a portfolio of long and short positions and pays or receives the Euro Interbank Offered Rate plus or minus a specified spread, which is denominated in EUR based on the local currencies of the positions within the swap. | 13 months maturity ranging from 07/22/2014 - 02/20/2015 |
$(1,020,429) | |||||
|
|
** | The maturity dates are measured from the commencement of investment in each underlying portfolio swap position. |
The accompanying notes are an integral part of these financial statements. | (Continued) |
180 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Consolidated Schedule of Investment | June 30, 2014 (Unaudited) |
AQR STYLE PREMIA ALTERNATIVE FUND |
Additional Information Total Return Basket Swap
The following table represents the individual long and short positions and related values within the total return basket swap as of June 30, 2014.
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2014 | 181 | |||||||||||||
Statements of Assets and Liabilities | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED ARBITRAGE FUND |
AQR LONG-SHORT FUND |
AQR GLOBAL FUND** |
||||||||||
ASSETS: | ||||||||||||
Investments in securities, at cost |
$3,661,990,760 | $13,795,275 | $23,197,978 | |||||||||
Investments in securities, at value |
$3,773,524,871 | $13,795,275 | $23,197,978 | |||||||||
Cash |
35,069,785 | | | |||||||||
Foreign currency, at value |
6,033,503 | 35,854 | 1 | |||||||||
Due from brokers |
620,268,973 | 231,405 | 3,153,791 | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts |
| 32,840 | 7,256 | |||||||||
Swaps, at value |
558,287 | 623,091 | 86,300 | |||||||||
Unrealized appreciation on futures contracts |
262,388 | 46,604 | 96,835 | |||||||||
Receivables: | ||||||||||||
Securities sold |
86,535,111 | | | |||||||||
Foreign tax reclaim |
45,376 | | | |||||||||
Dividends and interest |
17,377,815 | | | |||||||||
Capital shares sold |
2,898,160 | 32,917 | | |||||||||
Due from Investment Advisor |
| 1,926 | | |||||||||
Prepaid expenses |
206,680 | 24,264 | 57,688 | |||||||||
Total Assets | 4,542,780,949 | 14,824,176 | 26,599,849 | |||||||||
LIABILITIES: | ||||||||||||
Securities sold short, at value (proceeds $1,491,225,592, $ and $, respectively) |
1,575,234,564 | | | |||||||||
Options written, at value (proceeds $2,636,010, $ and $, respectively) |
1,247,165 | | | |||||||||
Due to custodian |
| | 3,000 | |||||||||
Due to brokers |
| | 3,460 | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts |
301,850 | | | |||||||||
Swaps, at value |
27,175,051 | | 57,250 | |||||||||
Unrealized depreciation on futures contracts |
5,818,725 | | 600,596 | |||||||||
Payables: | ||||||||||||
Securities purchased |
134,083,308 | | | |||||||||
Accrued Investment advisory fees |
2,315,030 | | 5,192 | |||||||||
Accrued Distribution feesClass N |
157,775 | 212 | 202 | |||||||||
Capital shares redeemed |
8,336,010 | | | |||||||||
Dividends and interest payable on securities sold short |
1,470,808 | | | |||||||||
Other accrued expenses and liabilities |
1,197,873 | 26,858 | 45,484 | |||||||||
Total Liabilities | 1,757,338,159 | 27,070 | 715,184 | |||||||||
Net Assets | $2,785,442,790 | $14,797,106 | $25,884,665 | |||||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) |
$2,749,375,372 | $13,979,604 | $26,787,130 | |||||||||
Undistributed (accumulated) net investment income (loss) |
31,903,581 | (326,046) | (84,345) | |||||||||
Undistributed (accumulated) net realized gain (loss) |
(13,219,691) | 435,120 | (312,560) | |||||||||
Net unrealized appreciation (depreciation) |
17,383,528 | 708,428 | (505,560) | |||||||||
Net Assets | $2,785,442,790 | $14,797,106 | $25,884,665 | |||||||||
NET ASSETS: | ||||||||||||
Class I |
$2,015,822,334 | $13,742,700 | $24,891,526 | |||||||||
Class N |
769,620,456 | 1,054,406 | 993,139 | |||||||||
SHARES OUTSTANDING: | ||||||||||||
Class I |
182,546,200 | 1,284,862 | 2,579,017 | |||||||||
Class N |
70,027,913 | 98,704 | 102,956 | |||||||||
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
Class I |
$11.04 | $10.70 | $9.65 | |||||||||
Class N |
$10.99 | $10.68 | $9.65 |
Foreign currency at cost of $6,012,134, $35,253 and $1, respectively. |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
182 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Statements of Assets and Liabilities | June 30, 2014 (Unaudited) |
AQR MANAGED |
AQR MANAGED FUTURES STRATEGY HV FUND** |
AQR RISK- BALANCED COMMODITIES STRATEGY FUND** |
||||||||||
ASSETS: | ||||||||||||
Investments in securities, at cost |
$5,751,124,208 | $143,054,074 | $63,931,607 | |||||||||
Investments in securities, at value |
$5,751,178,943 | $143,054,514 | $63,931,614 | |||||||||
Cash |
52,664,000 | | 2,000 | |||||||||
Foreign currency, at value |
4,731,523 | 13,333 | | |||||||||
Due from brokers |
282,823,504 | 10,376,732 | 1,665,861 | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts |
61,983,826 | 2,684,685 | | |||||||||
Swaps, at value |
7,676,385 | 570,762 | 1,505,234 | |||||||||
Unrealized appreciation on futures contracts |
50,074,154 | 1,980,011 | | |||||||||
Receivables: | ||||||||||||
Securities sold |
426,448 | 25,361 | | |||||||||
Dividends and interest |
21,393 | | 222 | |||||||||
Capital shares sold |
7,941,531 | 118,728 | 207,319 | |||||||||
Prepaid expenses |
336,219 | 27,163 | 40,888 | |||||||||
Total Assets | 6,219,857,926 | 158,851,289 | 67,353,138 | |||||||||
LIABILITIES: | ||||||||||||
Due to custodian |
| 160,000 | | |||||||||
Due to brokers |
57,925,746 | 2,638,996 | 179,871 | |||||||||
Swaps, at value |
15,995,269 | 994,664 | 493,182 | |||||||||
Unrealized depreciation on futures contracts |
| 248,673 | 39,433 | |||||||||
Payables: | ||||||||||||
Securities purchased |
427,234 | 25,367 | | |||||||||
Accrued Investment advisory fees |
5,311,240 | 196,372 | 31,793 | |||||||||
Accrued Distribution feesClass N |
294,453 | 1,303 | 2,300 | |||||||||
Capital shares redeemed |
7,336,979 | 24,833 | 4,064 | |||||||||
Other accrued expenses and liabilities |
2,143,502 | 140,771 | 94,485 | |||||||||
Total Liabilities | 89,434,423 | 4,430,979 | 845,128 | |||||||||
Net Assets | $6,130,423,503 | $154,420,310 | $66,508,010 | |||||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) |
$6,103,557,146 | $153,593,420 | $62,295,474 | |||||||||
Undistributed (accumulated) net investment income (loss) |
(38,210,433) | (734,877) | (217,573) | |||||||||
Undistributed (accumulated) net realized gain (loss) |
(38,846,231) | (2,433,455) | 3,457,483 | |||||||||
Net unrealized appreciation (depreciation) |
103,923,021 | 3,995,222 | 972,626 | |||||||||
Net Assets | $6,130,423,503 | $154,420,310 | $66,508,010 | |||||||||
NET ASSETS: | ||||||||||||
Class I |
$4,683,599,734 | $147,844,272 | $54,859,142 | |||||||||
Class N |
1,446,823,769 | 6,576,038 | 11,648,868 | |||||||||
SHARES OUTSTANDING: | ||||||||||||
Class I |
466,644,224 | 14,827,108 | 5,780,195 | |||||||||
Class N |
145,462,766 | 660,995 | 1,233,082 | |||||||||
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
Class I |
$10.04 | $9.97 | $9.49 | |||||||||
Class N |
$9.95 | $9.95 | $9.45 |
Foreign currency at cost of $4,681,592, $13,233 and $, respectively. |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2014 | 183 | |||||||||||||
Statements of Assets and Liabilities | June 30, 2014 (Unaudited) |
AQR RISK PARITY FUND** |
AQR RISK PARITY II MV FUND** |
AQR RISK PARITY II HV FUND** |
||||||||||
ASSETS: | ||||||||||||
Investments in securities, at cost |
$748,815,752 | $91,070,369 | $66,576,052 | |||||||||
Investments in securities, at value |
$759,843,484 | $92,021,776 | $67,392,224 | |||||||||
Cash |
889,602 | 6,995 | 5,000 | |||||||||
Foreign currency, at value |
2,231,405 | 56,870 | 54,347 | |||||||||
Due from brokers |
18,253,842 | 3,798,784 | 2,535,476 | |||||||||
Swaps, at value |
50,179,665 | 888,239 | 611,435 | |||||||||
Unrealized appreciation on futures contracts |
2,703,998 | 762,816 | 590,981 | |||||||||
Receivables: | ||||||||||||
Securities sold |
45,950 | 2,544 | | |||||||||
Dividends and interest |
1,276,912 | 186,520 | 135,868 | |||||||||
Capital shares sold |
350,563 | 1,000 | 2,124 | |||||||||
Prepaid expenses |
74,518 | 24,441 | 14,372 | |||||||||
Total Assets | 835,849,939 | 97,749,985 | 71,341,827 | |||||||||
LIABILITIES: | ||||||||||||
Reverse repurchase agreements, at value |
| | 23,483,375 | |||||||||
Due to brokers |
21,480,308 | 61,269 | 90,673 | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts |
315,677 | 191,543 | 137,009 | |||||||||
Swaps, at value |
486,473 | 145,421 | 136,253 | |||||||||
Unrealized depreciation on futures contracts |
| 49,516 | | |||||||||
Payables: | ||||||||||||
Securities purchased |
2,199,492 | 155,016 | | |||||||||
Accrued Investment advisory fees |
495,857 | 52,033 | 24,883 | |||||||||
Accrued Distribution feesClass N |
11,899 | 1,607 | 2,298 | |||||||||
Capital shares redeemed |
471,228 | 1,461 | 14,684 | |||||||||
Interest payable for reverse repurchase agreements |
| | 1,186 | |||||||||
Other accrued expenses and liabilities |
434,434 | 97,036 | 100,800 | |||||||||
Total Liabilities | 25,895,368 | 754,902 | 23,991,161 | |||||||||
Net Assets | $809,954,571 | $96,995,083 | $47,350,666 | |||||||||
NET ASSETS CONSIST OF: | ||||||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) |
$721,249,255 | $91,014,940 | $41,906,463 | |||||||||
Undistributed (accumulated) net investment income (loss) |
(5,885,882) | 102,248 | 121,379 | |||||||||
Undistributed (accumulated) net realized gain (loss) |
56,621,220 | 3,660,121 | 3,576,136 | |||||||||
Net unrealized appreciation (depreciation) |
37,969,978 | 2,217,774 | 1,746,688 | |||||||||
Net Assets | $809,954,571 | $96,995,083 | $47,350,666 | |||||||||
NET ASSETS: | ||||||||||||
Class I |
$752,308,123 | $89,046,709 | $35,950,583 | |||||||||
Class N |
57,646,448 | 7,948,374 | 11,400,083 | |||||||||
SHARES OUTSTANDING: | ||||||||||||
Class I |
62,985,826 | 8,110,380 | 3,170,943 | |||||||||
Class N |
4,837,140 | 726,474 | 1,007,525 | |||||||||
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||||||
Class I |
$11 .94 | $10 .98 | $11 .34 | |||||||||
Class N |
$11 .92 | $10 .94 | $11 .31 |
Foreign currency at cost of $1,963,621, $55,896 and $53,622, respectively. |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
184 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Statements of Assets and Liabilities | June 30, 2014 (Unaudited) |
AQR MULTI- |
AQR STYLE |
|||||||
ASSETS: | ||||||||
Investments in securities, at cost |
$1,716,254,726 | $805,252,373 | ||||||
Investments in securities, at value |
$1,979,793,717 | $830,776,731 | ||||||
Cash |
2,543,103 | 22,993 | ||||||
Foreign currency, at value |
9,143,988 | 2,066,758 | ||||||
Due from brokers |
552,709,806 | 46,181,541 | ||||||
Unrealized appreciation on forward foreign currency exchange contracts |
14,203,089 | 1,760,928 | ||||||
Swaps, at value |
81,383,863 | 24,721,199 | ||||||
Unrealized appreciation on futures contracts |
2,130,376 | 1,130,990 | ||||||
Receivables: | ||||||||
Securities sold |
2,858,636 | 797,467 | ||||||
Foreign tax reclaim |
816,148 | 206,191 | ||||||
Dividends and interest |
2,963,372 | 83,150 | ||||||
Capital shares sold |
1,901,064 | 190,980 | ||||||
Prepaid expenses |
101,479 | 37,734 | ||||||
Total Assets | 2,650,548,641 | 907,976,662 | ||||||
LIABILITIES: | ||||||||
Securities sold short, at value (proceeds $912,622,733 and $259,661,650, respectively) |
1,048,364,465 | 273,324,662 | ||||||
Due to brokers |
16,904,273 | 3,226,842 | ||||||
Swaps, at value |
698,146 | 849,921 | ||||||
Unrealized depreciation on futures contracts |
10,999,816 | 836,703 | ||||||
Payables: | ||||||||
Securities purchased |
1,893,470 | 793,114 | ||||||
Accrued Investment advisory fees |
2,335,293 | 721,606 | ||||||
Accrued Distribution feesClass N |
18,272 | 4,660 | ||||||
Capital shares redeemed |
614,840 | 54,971 | ||||||
Dividends and interest payable on securities sold short |
657,425 | 415,385 | ||||||
Other accrued expenses and liabilities |
765,719 | 196,239 | ||||||
Total Liabilities | 1,083,251,719 | 280,424,103 | ||||||
Net Assets | $1,567,296,922 | $627,552,559 | ||||||
NET ASSETS CONSIST OF: | ||||||||
Paid-in capital ($0.001 par value common stock, unlimited authorized shares) |
$1,598,792,949 | $607,660,729 | ||||||
Undistributed (accumulated) net investment income (loss) |
(52,828,486) | (3,609,542) | ||||||
Undistributed (accumulated) net realized gain (loss) |
(190,226,522) | (14,249,108) | ||||||
Net unrealized appreciation (depreciation) |
211,558,981 | 37,750,480 | ||||||
Net Assets | $1,567,296,922 | $627,552,559 | ||||||
NET ASSETS: | ||||||||
Class I |
$1,477,653,717 | $603,748,426 | ||||||
Class N |
89,643,205 | 23,804,133 | ||||||
SHARES OUTSTANDING: | ||||||||
Class I |
151,658,406 | 58,333,890 | ||||||
Class N |
9,229,782 | 2,302,117 | ||||||
NET ASSET VALUE AND PUBLIC OFFERING PRICE PER SHARE: | ||||||||
Class I |
$9 .74 | $10 .35 | ||||||
Class N |
$9 .71 | $10 .34 |
Foreign currency at cost of $9,051,515 and $2,053,742, respectively. |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2014 | 185 | |||||||||||||
Statements of Operations | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED |
AQR LONG-SHORT |
AQR GLOBAL MACRO FUND** |
||||||||||
FOR THE SIX JUNE 30, 2014 |
FOR THE SIX JUNE 30, 2014 |
FOR THE PERIOD 4/08/14*-6/30/14 |
||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income |
$48,447,317 | $ | $ | |||||||||
Interest income |
20,183,717 | 84 | 218 | |||||||||
Total Income | 68,631,034 | 84 | 218 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees |
13,613,089 | 60,364 | 72,450 | |||||||||
Custody, administration & accounting fees |
503,186 | 4,266 | 2,980 | |||||||||
Legal fees |
62,824 | 24,140 | 5,115 | |||||||||
Audit & tax fees |
116,815 | 18,788 | 35,826 | |||||||||
Shareholder reporting fees |
106,661 | 3,262 | 1,275 | |||||||||
Transfer agent fees |
1,553,480 | 8,678 | 9,304 | |||||||||
Trustee fees |
63,094 | 106 | 327 | |||||||||
Organization and offering costs |
| 21,956 | 7,771 | |||||||||
Distribution feesClass N |
965,119 | 1,187 | 561 | |||||||||
Dividends and interest on securities sold short |
5,386,223 | | | |||||||||
Recoupment of waiver |
87,780 | | | |||||||||
Pricing fee |
76,965 | 1,044 | 136 | |||||||||
Blue Sky fee |
33,403 | 21,008 | 8,186 | |||||||||
Other fees |
85,101 | 2,236 | 1,773 | |||||||||
Total Expenses | 22,653,740 | 167,035 | 145,704 | |||||||||
Less fee waivers and/or reimbursements |
| (93,747) | (61,141) | |||||||||
Net Expenses | 22,653,740 | 73,288 | 84,563 | |||||||||
Net Investment Income (Loss) | 45,977,294 | (73,204) | (84,345) | |||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments in securities |
66,574,008 | | 16 | |||||||||
Foreign currency and foreign currency transactions |
(787,910) | (2,601) | (543) | |||||||||
Forward foreign currency exchange contracts |
420,718 | 8,450 | (65,037) | |||||||||
Futures contracts |
(39,085,952) | 309,461 | (223,184) | |||||||||
Securities sold short |
(55,950,794) | | | |||||||||
Swap contracts |
18,780,287 | 79,342 | (23,812) | |||||||||
Written options |
1,358,334 | | | |||||||||
Net realized gain (loss) | (8,691,309) | 394,652 | (312,560) | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments in securities |
19,850,742 | | | |||||||||
Foreign currency and foreign currency translations |
19,238 | 7,043 | (1,918) | |||||||||
Forward foreign currency exchange contracts |
294,535 | 33,287 | 7,256 | |||||||||
Futures contracts |
6,012,210 | (34,875) | (503,761) | |||||||||
Securities sold short |
(2,668,339) | | | |||||||||
Swap contracts |
(29,041,492) | 358,546 | (7,137) | |||||||||
Written options |
1,452,160 | | | |||||||||
Net change in unrealized appreciation (depreciation) | (4,080,946) | 364,001 | (505,560) | |||||||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | (12,772,255) | 758,653 | (818,120) | |||||||||
Net increase (decrease) in net assets resulting from operations | $33,205,039 | $685,449 | $(902,465) | |||||||||
Net of foreign taxes withheld of |
$133,890 | $ | $ |
* | Commencement of operations |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
186 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Statements of Operations | June 30, 2014 (Unaudited) |
AQR MANAGED |
AQR MANAGED HV FUND** |
AQR RISK-BALANCED |
||||||||||
FOR THE SIX JUNE 30, 2014 |
FOR THE SIX 2014 |
FOR THE SIX JUNE 30, 2014 |
||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income |
$144,630 | $12 | $1,135 | |||||||||
Interest income |
330,416 | 2,024 | 1,643 | |||||||||
Total Income | 475,046 | 2,036 | 2,778 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees |
31,716,184 | 641,558 | 142,665 | |||||||||
Shareholder servicing fees |
| | 28,540 | |||||||||
Custody, administration & accounting fees |
1,223,612 | 18,279 | 12,385 | |||||||||
Legal fees |
61,396 | 36,879 | 2,630 | |||||||||
Audit & tax fees |
57,966 | 56,002 | 56,705 | |||||||||
Shareholder reporting fees |
286,612 | 4,590 | 1,876 | |||||||||
Transfer agent fees |
2,942,211 | 35,342 | 28,596 | |||||||||
Trustee fees |
126,585 | 1,216 | 1,017 | |||||||||
Organization and offering costs |
| 14,227 | | |||||||||
Distribution feesClass N |
1,736,705 | 6,521 | 7,403 | |||||||||
Recoupment of waiver |
145,839 | | | |||||||||
Other fees |
341,692 | 28,179 | 18,938 | |||||||||
Total Expenses | 38,638,802 | 842,793 | 300,755 | |||||||||
Less fee waivers and/or reimbursements |
| (105,880) | (80,404) | |||||||||
Net Expenses | 38,638,802 | 736,913 | 220,351 | |||||||||
Net Investment Income (Loss) | (38,163,756) | (734,877) | (217,573) | |||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments in securities |
8,270 | (169) | (779) | |||||||||
Foreign currency and foreign currency transactions |
313,840 | (8,353) | | |||||||||
Forward foreign currency exchange contracts |
(125,612,876) | (3,193,347) | | |||||||||
Futures contracts |
(31,882,866) | 593,545 | 671,029 | |||||||||
Swap contracts |
19,529,675 | (864,314) | 2,799,283 | |||||||||
Net realized gain (loss) | (137,643,957) | (3,472,638) | 3,469,533 | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments in securities |
(23,835) | 164 | (148) | |||||||||
Foreign currency and foreign currency translations |
(325,941) | 50 | | |||||||||
Forward foreign currency exchange contracts |
(50,768,526) | 1,664,549 | | |||||||||
Futures contracts |
(72,616,894) | 650,601 | 126,266 | |||||||||
Swap contracts |
(28,285,411) | (397,893) | 1,584,279 | |||||||||
Net change in unrealized appreciation (depreciation) | (152,020,607) | 1,917,471 | 1,710,397 | |||||||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | (289,664,564) | (1,555,167) | 5,179,930 | |||||||||
Net increase (decrease) in net assets resulting from operations | $(327,828,320) | $(2,290,044) | $4,962,357 | |||||||||
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2014 | 187 | |||||||||||||
Statements of Operations | June 30, 2014 (Unaudited) |
AQR RISK PARITY FUND** |
AQR RISK PARITY II MV FUND** |
AQR RISK PARITY II HV FUND** |
||||||||||
FOR THE SIX 2014 |
FOR THE SIX JUNE 30, 2014 |
FOR THE SIX JUNE 30, 2014 |
||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income |
$10,435 | $412 | $ | |||||||||
Interest income |
3,936,732 | 467,565 | 378,249 | |||||||||
Total Income | 3,947,167 | 467,977 | 378,249 | |||||||||
EXPENSES: | ||||||||||||
Investment advisory fees |
3,176,393 | 202,008 | 156,114 | |||||||||
Shareholder servicing fees |
| 42,606 | 30,273 | |||||||||
Custody, administration & accounting fees |
190,601 | 22,244 | 21,512 | |||||||||
Legal fees |
24,416 | 6,571 | 6,595 | |||||||||
Audit & tax fees |
71,545 | 56,705 | 56,705 | |||||||||
Shareholder reporting fees |
35,217 | 3,079 | 1,709 | |||||||||
Transfer agent fees |
249,129 | 22,581 | 18,723 | |||||||||
Trustee fees |
22,043 | 1,401 | 845 | |||||||||
Distribution feesClass N |
81,068 | 10,391 | 12,510 | |||||||||
Interest expense on reverse repurchase agreements |
| | 10,006 | |||||||||
Pricing fee |
6,557 | 5 | 5 | |||||||||
Other fees |
44,921 | 16,260 | 16,068 | |||||||||
Total Expenses | 3,901,890 | 383,851 | 331,065 | |||||||||
Less fee waivers and/or reimbursements |
(793) | (63,126) | (82,527) | |||||||||
Net Expenses | 3,901,097 | 320,725 | 248,538 | |||||||||
Net Investment Income (Loss) | 46,070 | 147,252 | 129,711 | |||||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||||||
Net realized gain (loss) from: | ||||||||||||
Investments in securities |
772,778 | 43,360 | 20,117 | |||||||||
Foreign currency and foreign currency transactions |
89,569 | 1,164 | (649) | |||||||||
Forward foreign currency exchange contracts |
5,724,664 | 124,874 | 16,340 | |||||||||
Futures contracts |
29,664,673 | 3,526,334 | 3,390,788 | |||||||||
Swap contracts |
25,727,088 | 850,608 | 926,138 | |||||||||
Net realized gain (loss) | 61,978,772 | 4,546,340 | 4,352,734 | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||
Investments in securities |
10,476,472 | 1,021,860 | 857,851 | |||||||||
Foreign currency and foreign currency translations |
124,953 | 736 | 834 | |||||||||
Forward foreign currency exchange contracts |
1,192,856 | (142,646) | (104,578) | |||||||||
Futures contracts |
(4,382,308) | 529,984 | 180,923 | |||||||||
Swap contracts |
17,684,318 | 500,543 | 436,666 | |||||||||
Net change in unrealized appreciation (depreciation) | 25,096,291 | 1,910,477 | 1,371,696 | |||||||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 87,075,063 | 6,456,817 | 5,724,430 | |||||||||
Net increase (decrease) in net assets resulting from operations | $87,121,133 | $6,604,069 | $5,854,141 | |||||||||
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
188 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Statements of Operations | June 30, 2014 (Unaudited) |
AQR MULTI- STRATEGY ALTERNATIVE FUND** |
AQR STYLE PREMIA ALTERNATIVE FUND** |
|||||||
FOR THE
SIX 2014 |
FOR THE
SIX 2014 |
|||||||
INVESTMENT INCOME: | ||||||||
Dividend income |
$13,483,269 | $5,877,838 | ||||||
Interest income |
1,811,472 | | ||||||
Total Income | 15,294,741 | 5,877,838 | ||||||
EXPENSES: | ||||||||
Investment advisory fees |
13,884,060 | 3,929,319 | ||||||
Custody, administration & accounting fees |
410,573 | 107,242 | ||||||
Legal fees |
25,717 | 22,004 | ||||||
Audit & tax fees |
107,801 | 46,889 | ||||||
Shareholder reporting fees |
65,123 | 24,728 | ||||||
Transfer agent fees |
558,749 | 24,891 | ||||||
Trustee fees |
33,527 | 10,054 | ||||||
Organization and offering costs |
| 12,003 | ||||||
Distribution feesClass N |
92,819 | 23,839 | ||||||
Dividends and interest on securities sold short |
15,570,811 | 4,149,199 | ||||||
Recoupment of waiver |
| 115,604 | ||||||
Pricing fee |
13,391 | 3,821 | ||||||
Other fees |
99,113 | 80,311 | ||||||
Total Expenses | 30,861,684 | 8,549,904 | ||||||
Less fee waivers and/or reimbursements |
(98,096) | (5,837) | ||||||
Net Expenses | 30,763,588 | 8,544,067 | ||||||
Net Investment Income (Loss) | (15,468,847) | (2,666,229) | ||||||
REALIZED GAIN (LOSS) AND CHANGE IN UNREALIZED APPRECIATION (DEPRECIATION): | ||||||||
Net realized gain (loss) from: | ||||||||
Investments in securities |
64,238,411 | (542,894) | ||||||
Foreign currency and foreign currency transactions |
(602,613) | 241,356 | ||||||
Forward foreign currency exchange contracts |
8,581,380 | 1,584,255 | ||||||
Futures contracts |
(42,537,798) | (1,811,594) | ||||||
Securities sold short |
(81,192,191) | (5,279,110) | ||||||
Swap contracts |
(36,818,395) | (13,572,675) | ||||||
Written options |
259,320 | | ||||||
Net realized gain (loss) | (88,071,886) | (19,380,662) | ||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investments in securities |
27,652,018 | 19,099,570 | ||||||
Foreign currency and foreign currency translations |
31,631 | (3,937) | ||||||
Forward foreign currency exchange contracts |
9,674,924 | 1,386,168 | ||||||
Futures contracts |
(5,970,641) | (3,397,173) | ||||||
Securities sold short |
17,940,408 | (6,227,932) | ||||||
Swap contracts |
47,988,738 | 26,616,195 | ||||||
Written options |
(8,805) | | ||||||
Net change in unrealized appreciation (depreciation) | 97,308,273 | 37,472,891 | ||||||
Net realized gain (loss) and change in unrealized appreciation (depreciation) | 9,236,387 | 18,092,229 | ||||||
Net increase (decrease) in net assets resulting from operations | $(6,232,460) | $15,426,000 | ||||||
Net of foreign taxes withheld of |
$1,931,241 | $933,706 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2014 | 189 | |||||||||||||
Statements of Changes in Net Assets | June 30, 2014 |
AQR DIVERSIFIED ARBITRAGE FUND |
AQR LONG-SHORT EQUITY FUND | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2014 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2013 |
FOR THE SIX MONTHS ENDED JUNE 30, 2014 (Unaudited) |
FOR THE PERIOD 7/16/13*-12/31/13 |
|||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) |
$45,977,294 | $38,088,437 | $(73,204) | $(33,862) | ||||||||||||
Net realized gain (loss) |
(8,691,309) | (17,054,593) | 394,652 | 285,657 | ||||||||||||
Net change in unrealized appreciation (depreciation) |
(4,080,946) | 22,579,937 | 364,001 | 344,427 | ||||||||||||
Net increase (decrease) in net assets resulting from operations |
33,205,039 | 43,613,781 | 685,449 | 596,222 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I |
| (29,570,772) | | (316,646) | ||||||||||||
Class N |
| (10,955,754) | | (52,907) | ||||||||||||
Total |
| (40,526,526) | | (369,553) | ||||||||||||
Net realized gain: | ||||||||||||||||
Class I |
| (12,468,588) | | (107,112) | ||||||||||||
Class N |
| (5,475,329) | | (18,230) | ||||||||||||
Total |
| (17,943,917) | | (125,342) | ||||||||||||
Return of capital: | ||||||||||||||||
Class I |
| (15,100,534) | | | ||||||||||||
Class N |
| (6,624,075) | | | ||||||||||||
Total |
| (21,724,609) | | | ||||||||||||
Total distributions |
| (80,195,052) | | (494,895) | ||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold |
442,293,903 | 853,020,321 | 8,498,387 | 4,751,453 | ||||||||||||
Reinvestment of distributions |
| 47,464,198 | | 423,758 | ||||||||||||
Cost of shares redeemed |
(327,031,484) | (751,220,427) | (642,324) | (11,827) | ||||||||||||
Net increase (decrease) from capital transactions |
115,262,419 | 149,264,092 | 7,856,063 | 5,163,384 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold |
111,422,660 | 298,155,480 | 112,660 | 1,087,057 | ||||||||||||
Reinvestment of distributions |
| 20,315,353 | | 71,137 | ||||||||||||
Cost of shares redeemed |
(187,282,679) | (232,413,627) | (13,263) | (266,708) | ||||||||||||
Net increase (decrease) from capital transactions |
(75,860,019) | 86,057,206 | 99,397 | 891,486 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 39,402,400 | 235,321,298 | 7,955,460 | 6,054,870 | ||||||||||||
Total increase (decrease) in net assets |
72,607,439 | 198,740,027 | 8,640,909 | 6,156,197 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period |
2,712,835,351 | 2,514,095,324 | 6,156,197 | | ||||||||||||
End of period |
$2,785,442,790 | $2,712,835,351 | $14,797,106 | $6,156,197 | ||||||||||||
Undistributed accumulated net investment income (loss) |
$31,903,581 | $(14,073,713) | $(326,046) | $(252,842) | ||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period |
172,057,279 | 158,688,997 | 513,771 | | ||||||||||||
Shares sold |
40,215,840 | 76,411,318 | 833,130 | 473,112 | ||||||||||||
Shares issued on reinvestment of distributions |
| 4,354,773 | | 41,832 | ||||||||||||
Shares redeemed |
(29,726,919) | (67,397,809) | (62,039) | (1,173) | ||||||||||||
Shares outstanding, end of period |
182,546,200 | 172,057,279 | 1,284,862 | 513,771 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period |
76,969,086 | 69,181,212 | 89,144 | | ||||||||||||
Shares sold |
10,174,924 | 26,829,009 | 10,874 | 108,364 | ||||||||||||
Shares issued on reinvestment of distributions |
| 1,870,652 | | 7,022 | ||||||||||||
Shares redeemed |
(17,116,097) | (20,911,787) | (1,314) | (26,242) | ||||||||||||
Shares outstanding, end of period |
70,027,913 | 76,969,086 | 98,704 | 89,144 |
* | Commencement of operations. |
The accompanying notes are an integral part of these financial statements. |
190 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Statements of Changes in Net Assets | June 30, 2014 |
AQR GLOBAL MACRO FUND** |
AQR MANAGED FUTURES |
|||||||||||
FOR THE
PERIOD 4/08/14*-6/30/14 (Unaudited) |
FOR THE SIX MONTHS ENDED JUNE 30, 2014 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2013 |
||||||||||
OPERATIONS: | ||||||||||||
Net investment income (loss) |
$(84,345) | $(38,163,756) | $(51,865,139) | |||||||||
Net realized gain (loss) |
(312,560) | (137,643,957) | 254,277,194 | |||||||||
Net change in unrealized appreciation (depreciation) |
(505,560) | (152,020,607) | 179,213,487 | |||||||||
Net increase (decrease) in net assets resulting from operations |
(902,465) | (327,828,320) | 381,625,542 | |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||
Net realized gain: | ||||||||||||
Class I |
| | (44,703,867) | |||||||||
Class N |
| | (13,828,173) | |||||||||
Total distributions |
(58,532,040) | |||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||
CLASS I | ||||||||||||
Proceeds from shares sold |
33,658,435 | 1,367,236,127 | 2,963,680,604 | |||||||||
Reinvestment of distributions |
| | 35,641,387 | |||||||||
Cost of shares redeemed |
(7,900,000) | (938,610,880) | (888,754,364) | |||||||||
Net increase (decrease) from capital transactions |
25,758,435 | 428,625,247 | 2,110,567,627 | |||||||||
CLASS N | ||||||||||||
Proceeds from shares sold |
1,031,195 | 335,986,619 | 1,012,924,117 | |||||||||
Reinvestment of distributions |
| | 13,776,405 | |||||||||
Cost of shares redeemed |
(2,500) | (220,626,352) | (210,372,539) | |||||||||
Net increase (decrease) from capital transactions |
1,028,695 | 115,360,267 | 816,327,983 | |||||||||
Net increase (decrease) in net assets resulting from capital transactions |
26,787,130 | 543,985,514 | 2,926,895,610 | |||||||||
Total increase (decrease) in net assets |
25,884,665 | 216,157,194 | 3,249,989,112 | |||||||||
NET ASSETS: | ||||||||||||
Beginning of period |
| 5,914,266,309 | 2,664,277,197 | |||||||||
End of period |
$25,884,665 | $6,130,423,503 | $5,914,266,309 | |||||||||
Undistributed accumulated net investment income (loss) |
$(84,345) | $(38,210,433) | $(46,677) | |||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||
CLASS I | ||||||||||||
Shares outstanding, beginning of period |
| 425,328,151 | 218,555,645 | |||||||||
Shares sold |
3,381,048 | 135,521,182 | 290,847,133 | |||||||||
Shares issued on reinvestment of distributions |
| | 3,427,066 | |||||||||
Shares redeemed |
(802,031) | (94,205,109) | (87,501,693) | |||||||||
Shares outstanding, end of period |
2,579,017 | 466,644,224 | 425,328,151 | |||||||||
CLASS N | ||||||||||||
Shares outstanding, beginning of period |
| 133,922,115 | 54,190,271 | |||||||||
Shares sold |
103,210 | 33,629,707 | 99,221,038 | |||||||||
Shares issued on reinvestment of distributions |
| | 1,334,923 | |||||||||
Shares redeemed |
(254) | (22,089,056) | (20,824,117) | |||||||||
Shares outstanding, end of period |
102,956 | 145,462,766 | 133,922,115 |
* | Commencement of operations. |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2014 | 191 | |||||||||||||
Statements of Changes in Net Assets | June 30, 2014 |
AQR MANAGED FUTURES STRATEGY HV FUND** |
||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2014 (Unaudited) |
FOR THE PERIOD 7/16/13*-12/31/13 |
|||||||
OPERATIONS: | ||||||||
Net investment income (loss) |
$(734,877) | $(224,405) | ||||||
Net realized gain (loss) |
(3,472,638) | 761,930 | ||||||
Net change in unrealized appreciation (depreciation) |
1,917,471 | 2,077,751 | ||||||
Net increase (decrease) in net assets resulting from operations |
(2,290,044) | 2,615,276 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net realized gain: | ||||||||
Class I |
| (37,471) | ||||||
Class N |
| (2,323) | ||||||
Total distributions |
| (39,794) | ||||||
CAPITAL TRANSACTIONS: | ||||||||
CLASS I | ||||||||
Proceeds from shares sold |
158,103,218 | 37,265,431 | ||||||
Reinvestment of distributions |
| 37,471 | ||||||
Cost of shares redeemed |
(45,416,695) | (2,656,317) | ||||||
Net increase (decrease) from capital transactions |
112,686,523 | 34,646,585 | ||||||
CLASS N | ||||||||
Proceeds from shares sold |
5,783,471 | 2,502,670 | ||||||
Reinvestment of distributions |
| 2,323 | ||||||
Cost of shares redeemed |
(481,045) | (1,005,655) | ||||||
Net increase (decrease) from capital transactions |
5,302,426 | 1,499,338 | ||||||
Net increase (decrease) in net assets resulting from capital transactions |
117,988,949 | 36,145,923 | ||||||
Total increase (decrease) in net assets |
115,698,905 | 38,721,405 | ||||||
NET ASSETS: | ||||||||
Beginning of period |
38,721,405 | | ||||||
End of period |
$154,420,310 | $38,721,405 | ||||||
Undistributed accumulated net investment income (loss) |
$(734,877) | $ | ||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||
CLASS I | ||||||||
Shares outstanding, beginning of period |
3,432,251 | | ||||||
Shares sold |
16,001,556 | 3,683,449 | ||||||
Shares issued on reinvestment of distributions |
| 3,562 | ||||||
Shares redeemed |
(4,606,699) | (254,760) | ||||||
Shares outstanding, end of period |
14,827,108 | 3,432,251 | ||||||
CLASS N | ||||||||
Shares outstanding, beginning of period |
152,311 | | ||||||
Shares sold |
556,245 | 246,459 | ||||||
Shares issued on reinvestment of distributions |
| 221 | ||||||
Shares redeemed |
(47,561) | (94,369) | ||||||
Shares outstanding, end of period |
660,995 | 152,311 |
* | Commencement of operations. |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
192 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Statements of Changes in Net Assets | June 30, 2014 |
AQR RISK-BALANCED COMMODITIES STRATEGY FUND** |
||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2014 (Unaudited) |
FOR THE YEAR ENDED |
|||||||
OPERATIONS: | ||||||||
Net investment income (loss) |
$(217,573) | $(645,518) | ||||||
Net realized gain (loss) |
3,469,533 | (11,750,402) | ||||||
Net change in unrealized appreciation (depreciation) |
1,710,397 | 693,419 | ||||||
Net increase (decrease) in net assets resulting from operations |
4,962,357 | (11,702,501) | ||||||
CAPITAL TRANSACTIONS: | ||||||||
CLASS I | ||||||||
Proceeds from shares sold |
25,249,315 | 23,425,236 | ||||||
Cost of shares redeemed |
(3,170,031) | (47,521,978) | ||||||
Net increase (decrease) from capital transactions |
22,079,284 | (24,096,742) | ||||||
CLASS N | ||||||||
Proceeds from shares sold |
9,014,771 | 5,602,455 | ||||||
Cost of shares redeemed |
(1,784,992) | (3,103,737) | ||||||
Net increase (decrease) from capital transactions |
7,229,779 | 2,498,718 | ||||||
Net increase (decrease) in net assets resulting from capital transactions |
29,309,063 | (21,598,024) | ||||||
Total increase (decrease) in net assets |
34,271,420 | (33,300,525) | ||||||
NET ASSETS: | ||||||||
Beginning of period |
32,236,590 | 65,537,115 | ||||||
End of period |
$66,508,010 | $32,236,590 | ||||||
Undistributed accumulated net investment income (loss) |
$(217,573) | $ | ||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||
CLASS I | ||||||||
Shares outstanding, beginning of period |
3,422,135 | 6,413,854 | ||||||
Shares sold |
2,720,629 | 2,602,548 | ||||||
Shares redeemed |
(362,569) | (5,594,267) | ||||||
Shares outstanding, end of period |
5,780,195 | 3,422,135 | ||||||
CLASS N | ||||||||
Shares outstanding, beginning of period |
467,151 | 223,691 | ||||||
Shares sold |
959,710 | 606,741 | ||||||
Shares redeemed |
(193,779) | (363,281) | ||||||
Shares outstanding, end of period |
1,233,082 | 467,151 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2014 | 193 | |||||||||||||
Statements of Changes in Net Assets | June 30, 2014 |
AQR RISK PARITY FUND** | AQR RISK PARITY II MV FUND** | |||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2014 (Unaudited) |
FOR THE YEAR ENDED DECEMBER 31, 2013 |
FOR THE SIX MONTHS ENDED |
FOR THE YEAR ENDED DECEMBER 31, 2013 |
|||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) |
$46,070 | $(7,831,929) | $147,252 | $(452,972) | ||||||||||||
Net realized gain (loss) |
61,978,772 | (7,757,826) | 4,546,340 | (4,178,303) | ||||||||||||
Net change in unrealized appreciation (depreciation) |
25,096,291 | (1,399,213) | 1,910,477 | 242,828 | ||||||||||||
Net increase (decrease) in net assets resulting from operations |
87,121,133 | (16,988,968) | 6,604,069 | (4,388,447) | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I |
| (21,096,377) | | (51,310) | ||||||||||||
Class N |
| (1,568,986) | | (12,869) | ||||||||||||
Total |
| (22,665,363) | | (64,179) | ||||||||||||
Net realized gain: | ||||||||||||||||
Class I |
| (35,650,580) | | (8,622) | ||||||||||||
Class N |
| (3,239,083) | | (2,163) | ||||||||||||
Total |
| (38,889,663) | | (10,785) | ||||||||||||
Total distributions |
| (61,555,026) | | (74,964) | ||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold |
73,335,458 | 522,146,729 | 59,318,310 | 93,026,269 | ||||||||||||
Reinvestment of distributions |
| 48,021,450 | | 42,081 | ||||||||||||
Cost of shares redeemed |
(256,888,001) | (514,099,505) | (13,982,342) | (81,847,252) | ||||||||||||
Net increase (decrease) from capital transactions |
(183,552,543) | 56,068,674 | 45,335,968 | 11,221,098 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold |
3,984,712 | 37,388,598 | 1,404,103 | 29,862,796 | ||||||||||||
Reinvestment of distributions |
| 4,729,810 | | 14,991 | ||||||||||||
Cost of shares redeemed |
(31,649,022) | (125,206,912) | (3,594,180) | (21,642,916) | ||||||||||||
Net increase (decrease) from capital transactions |
(27,664,310) | (83,088,504) | (2,190,077) | 8,234,871 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | (211,216,853) | (27,019,830) | 43,145,891 | 19,455,969 | ||||||||||||
Total increase (decrease) in net assets |
(124,095,720) | (105,563,824) | 49,749,960 | 14,992,558 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period |
934,050,291 | 1,039,614,115 | 47,245,123 | 32,252,565 | ||||||||||||
End of period |
$809,954,571 | $934,050,291 | $96,995,083 | $47,245,123 | ||||||||||||
Undistributed accumulated net investment income (loss) |
$(5,885,882) | $(5,931,952) | $102,248 | $(45,004) | ||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period |
79,392,512 | 75,596,068 | 3,779,116 | 2,950,196 | ||||||||||||
Shares sold |
6,601,217 | 44,822,715 | 5,690,428 | 9,091,173 | ||||||||||||
Shares issued on reinvestment of distributions |
| 4,471,363 | | 4,212 | ||||||||||||
Shares redeemed |
(23,007,903) | (45,497,634) | (1,359,164) | (8,266,465) | ||||||||||||
Shares outstanding, end of period |
62,985,826 | 79,392,512 | 8,110,380 | 3,779,116 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period |
7,343,876 | 14,906,004 | 940,172 | 221,957 | ||||||||||||
Shares sold |
363,620 | 3,211,181 | 138,485 | 2,885,341 | ||||||||||||
Shares issued on reinvestment of distributions |
| 440,803 | | 1,504 | ||||||||||||
Shares redeemed |
(2,870,356) | (11,214,112) | (352,183) | (2,168,630) | ||||||||||||
Shares outstanding, end of period |
4,837,140 | 7,343,876 | 726,474 | 940,172 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
194 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Statements of Changes in Net Assets | June 30, 2014 |
AQR RISK PARITY II HV FUND** | AQR MULTI-STRATEGY ALTERNATIVE FUND** |
|||||||||||||||
FOR THE SIX MONTHS ENDED |
FOR THE YEAR ENDED 2013 |
FOR THE SIX MONTHS ENDED JUNE 30, 2014 (Unaudited) |
FOR THE YEAR ENDED |
|||||||||||||
OPERATIONS: | ||||||||||||||||
Net investment income (loss) |
$129,711 | $(253,403) | $(15,468,847) | $(21,316,846) | ||||||||||||
Net realized gain (loss) |
4,352,734 | (3,507,474) | (88,071,886) | (1,726,073) | ||||||||||||
Net change in unrealized appreciation (depreciation) |
1,371,696 | 364,376 | 97,308,273 | 78,979,221 | ||||||||||||
Net increase (decrease) in net assets resulting from operations |
5,854,141 | (3,396,501) | (6,232,460) | 55,936,302 | ||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Net investment income: | ||||||||||||||||
Class I |
| (49,264) | | (63,777,345) | ||||||||||||
Class N |
| (24,033) | | (3,214,925) | ||||||||||||
Total |
| (73,297) | | (66,992,270) | ||||||||||||
Net realized gain: | ||||||||||||||||
Class I |
| (41,465) | | (17,108,033) | ||||||||||||
Class N |
| (20,229) | | (901,984) | ||||||||||||
Total |
| (61,694) | | (18,010,017) | ||||||||||||
Total distributions |
| (134,991) | | (85,002,287) | ||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
CLASS I | ||||||||||||||||
Proceeds from shares sold |
15,396,905 | 57,186,061 | 321,117,232 | 924,993,719 | ||||||||||||
Reinvestment of distributions |
| 89,047 | | 66,445,405 | ||||||||||||
Cost of shares redeemed |
(1,464,976) | (54,453,441) | (291,552,366) | (318,011,140) | ||||||||||||
Net increase (decrease) from capital transactions |
13,931,929 | 2,821,667 | 29,564,866 | 673,427,984 | ||||||||||||
CLASS N | ||||||||||||||||
Proceeds from shares sold |
2,037,558 | 24,623,879 | 34,966,678 | 53,142,617 | ||||||||||||
Reinvestment of distributions |
| 44,262 | | 4,089,028 | ||||||||||||
Cost of shares redeemed |
(702,000) | (19,787,752) | (19,620,128) | (24,341,705) | ||||||||||||
Net increase (decrease) from capital transactions |
1,335,558 | 4,880,389 | 15,346,550 | 32,889,940 | ||||||||||||
Net increase (decrease) in net assets resulting from capital transactions | 15,267,487 | 7,702,056 | 44,911,416 | 706,317,924 | ||||||||||||
Total increase (decrease) in net assets |
21,121,628 | 4,170,564 | 38,678,956 | 677,251,939 | ||||||||||||
NET ASSETS: | ||||||||||||||||
Beginning of period |
26,229,038 | 22,058,474 | 1,528,617,966 | 851,366,027 | ||||||||||||
End of period |
$47,350,666 | $26,229,038 | $1,567,296,922 | $1,528,617,966 | ||||||||||||
Undistributed accumulated net investment income (loss) |
$121,379 | $(8,332) | $(52,828,486) | $(37,359,639) | ||||||||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||||||||||
CLASS I | ||||||||||||||||
Shares outstanding, beginning of period |
1,780,470 | 1,591,812 | 148,651,004 | 81,626,174 | ||||||||||||
Shares sold |
1,535,536 | 5,572,364 | 33,149,007 | 91,941,333 | ||||||||||||
Shares issued on reinvestment of distributions |
| 9,058 | | 6,814,913 | ||||||||||||
Shares redeemed |
(145,063) | (5,392,764) | (30,141,605) | (31,731,416) | ||||||||||||
Shares outstanding, end of period |
3,170,943 | 1,780,470 | 151,658,406 | 148,651,004 | ||||||||||||
CLASS N | ||||||||||||||||
Shares outstanding, beginning of period |
877,168 | 567,306 | 7,646,878 | 4,359,055 | ||||||||||||
Shares sold |
196,509 | 2,325,030 | 3,612,479 | 5,303,536 | ||||||||||||
Shares issued on reinvestment of distributions |
| 4,503 | | 420,250 | ||||||||||||
Shares redeemed |
(66,152) | (2,019,671) | (2,029,575) | (2,435,963) | ||||||||||||
Shares outstanding, end of period |
1,007,525 | 877,168 | 9,229,782 | 7,646,878 |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2014 | 195 | |||||||||||||
Statements of Changes in Net Assets | June 30, 2014 |
AQR STYLE PREMIA ALTERNATIVE FUND** |
||||||||
FOR THE SIX MONTHS ENDED JUNE 30, 2014 (Unaudited) |
FOR THE PERIOD 10/30/13*-12/31/13 |
|||||||
OPERATIONS: | ||||||||
Net investment income (loss) |
$(2,666,229) | $(1,032,370) | ||||||
Net realized gain (loss) |
(19,380,662) | 14,118,343 | ||||||
Net change in unrealized appreciation (depreciation) |
37,472,891 | 277,589 | ||||||
Net increase (decrease) in net assets resulting from operations |
15,426,000 | 13,363,562 | ||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Net investment income: | ||||||||
Class I |
| (6,574,253) | ||||||
Class N |
| (253,100) | ||||||
Total |
| (6,827,353) | ||||||
Net realized gain: | ||||||||
Class I |
| (992,985) | ||||||
Class N |
| (38,950) | ||||||
Total |
| (1,031,935) | ||||||
Total distributions |
| (7,859,288) | ||||||
CAPITAL TRANSACTIONS: | ||||||||
CLASS I | ||||||||
Proceeds from shares sold |
282,398,279 | 390,642,419 | ||||||
Reinvestment of distributions |
| 7,567,238 | ||||||
Cost of shares redeemed |
(96,867,879) | (318,591) | ||||||
Net increase (decrease) from capital transactions |
185,530,400 | 397,891,066 | ||||||
CLASS N | ||||||||
Proceeds from shares sold |
11,225,356 | 15,941,402 | ||||||
Reinvestment of distributions |
| 292,050 | ||||||
Cost of shares redeemed |
(3,844,166) | (413,823) | ||||||
Net increase (decrease) from capital transactions |
7,381,190 | 15,819,629 | ||||||
Net increase (decrease) in net assets resulting from capital transactions |
192,911,590 | 413,710,695 | ||||||
Total increase (decrease) in net assets | 208,337,590 | 419,214,969 | ||||||
NET ASSETS: | ||||||||
Beginning of period |
419,214,969 | | ||||||
End of period |
$627,552,559 | $419,214,969 | ||||||
Undistributed accumulated net investment income (loss) |
$(3,609,542) | $(943,313) | ||||||
CHANGES IN SHARES OUTSTANDING: | ||||||||
CLASS I | ||||||||
Shares outstanding, beginning of period |
39,620,574 | | ||||||
Shares sold |
28,049,879 | 38,910,297 | ||||||
Shares issued on reinvestment of distributions |
| 741,160 | ||||||
Shares redeemed |
(9,336,563) | (30,883) | ||||||
Shares outstanding, end of period |
58,333,890 | 39,620,574 | ||||||
CLASS N | ||||||||
Shares outstanding, beginning of period |
1,568,834 | | ||||||
Shares sold |
1,109,751 | 1,580,201 | ||||||
Shares issued on reinvestment of distributions |
| 28,604 | ||||||
Shares redeemed |
(376,468) | (39,971) | ||||||
Shares outstanding, end of period |
2,302,117 | 1,568,834 |
* | Commencement of operations. |
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
196 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Statements of Cash Flows | June 30, 2014 (Unaudited) |
AQR DIVERSIFIED FUND |
AQR RISK FUND** |
AQR MULTI- FUND** |
AQR STYLE PREMIA ALTERNATIVE FUND** |
|||||||||||||
CASH FLOWS FROM OPERATING ACTIVITIES: | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations |
$ | 33,205,039 | $ | 5,854,141 | $ | (6,232,460) | $ | 15,426,000 | ||||||||
Adjustments to reconcile net increase (decrease) in net assets resulting from operations to net cash provided by (used in) operating activities: | ||||||||||||||||
Payments to purchase securities |
(4,019,690,492) | (25,146,672) | (518,275,993) | (153,957,445) | ||||||||||||
Payments to cover short securities |
(856,882,994) | | (396,341,907) | (55,512,627) | ||||||||||||
Proceeds from sale of securities |
2,665,631,181 | 3,904,627 | 550,581,503 | 34,130,795 | ||||||||||||
Proceeds from securities sold short |
1,774,989,585 | | 402,962,267 | 151,315,405 | ||||||||||||
Proceeds from written options |
1,483,249 | | 249,083 | | ||||||||||||
(Purchases) sales of short-term investments, net |
311,647,263 | (10,863,445) | (3,546,973) | (204,322,881) | ||||||||||||
Realized (gain) loss on investments in securities |
(66,574,008) | (20,117) | (64,238,411) | 542,894 | ||||||||||||
Realized loss on securities sold short |
55,950,794 | | 81,192,191 | 5,279,110 | ||||||||||||
Realized gain on written options |
(1,358,334) | | (259,320) | | ||||||||||||
Realized gain on paydowns |
(38,684) | | (3,214) | | ||||||||||||
Change in unrealized appreciation on investments in securities |
(19,850,742) | (857,851) | (27,652,018) | (19,099,570) | ||||||||||||
Change in unrealized (appreciation) depreciation on securities sold short |
2,668,339 | | (17,940,408) | 6,227,932 | ||||||||||||
Change in unrealized (appreciation) depreciation on written options |
(1,452,160) | | 8,805 | | ||||||||||||
Amortization of bond premium |
3,051,933 | (158,953) | 3,549,928 | | ||||||||||||
Increases (decreases) in operating assets: | ||||||||||||||||
Repurchase agreements, at value |
| 191,000 | | | ||||||||||||
Due from brokers |
15,116,380 | (1,229,344) | 28,778,912 | (9,482,694) | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts |
| | (9,674,924) | (1,386,168) | ||||||||||||
Swaps, at value |
33,314,240 | (300,601) | (42,519,566) | (22,508,936) | ||||||||||||
Unrealized appreciation on futures contracts |
552,392 | 105,375 | 1,474,625 | 2,560,470 | ||||||||||||
Receivable for securities sold |
10,883,375 | | 18,727,922 | (738,365) | ||||||||||||
Foreign tax reclaim |
27,158 | | (202,639) | (200,893) | ||||||||||||
Dividends and interest |
(2,903,814) | (75,279) | (845,513) | (16,949) | ||||||||||||
Prepaid expenses |
(53,632) | 557 | (49,901) | (22,105) | ||||||||||||
Increases (decreases) in operating liabilities: | ||||||||||||||||
Due to broker |
(302,591) | 62,260 | 10,009,738 | 1,648,201 | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts |
(294,535) | 104,578 | | | ||||||||||||
Swaps, at value |
4,682,615 | (136,065) | (7,495,669) | (4,107,259) | ||||||||||||
Unrealized depreciation on futures contracts |
(6,564,602) | (286,298) | 4,496,016 | 836,703 | ||||||||||||
Payable for securities purchased |
53,191,730 | | (47,936,838) | 793,017 | ||||||||||||
Accrued Shareholder servicing fees |
| (5,671) | | | ||||||||||||
Accrued Investment advisory fees |
(135,744) | 15,179 | (47,558) | 366,779 | ||||||||||||
Accrued Distribution feesClass N |
(19,828) | 321 | 1,750 | 1,747 | ||||||||||||
Dividends and interest payable on securities sold short and reverse repurchase agreements |
1,279,924 | (547) | 190,078 | 230,514 | ||||||||||||
Other accrued expenses and liabilities |
(31,989) | 3,585 | 100,212 | (1,087) | ||||||||||||
Net cash used in operating activities |
$ | (8,478,952) | $ | (28,839,220) | $ | (40,940,282) | $ | (251,997,412) | ||||||||
CASH FLOWS FROM FINANCING ACTIVITIES | ||||||||||||||||
Proceeds from shares sold |
555,370,901 | 17,440,925 | 356,886,191 | 335,040,345 | ||||||||||||
Net change in reverse repurchase agreements |
| 13,546,125 | | | ||||||||||||
Payments on shares redeemed |
(511,583,879) | (2,153,890) | (313,115,490) | (100,664,865) | ||||||||||||
Due to custodian |
| | (1,025,978) | | ||||||||||||
Net cash provided by financing activities |
$ | 43,787,022 | $ | 28,833,160 | $ | 42,744,723 | $ | 234,375,480 | ||||||||
Net change in cash | 35,308,070 | (6,060) | 1,804,441 | (17,621,932) | ||||||||||||
Cash, beginning of period |
5,795,218 | 65,407 | 9,882,650 | 19,711,683 | ||||||||||||
Cash, end of period |
$ | 41,103,288 | $ | 59,347 | $ | 11,687,091 | $ | 2,089,751 |
Supplemental disclosure of cash flow information:
Cash paid during the period for interest in the amount of $1,126,067, $10,006, $5,043,167 and $707,164 respectively.
** | Consolidated financial statement, see Note 2 in the Notes to Financial Statements for additional information. |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2014 | 197 | |||||||||||||
Financial Highlights | June 30, 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 |
Return of Capital |
Total Distributions |
|||||||||||||||||||||||||
AQR DIVERSIFIED ARBITRAGE FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5 | $10.91 | 0.19 | (0.06) | 0.13 | | | | | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20135 | $11.05 | 0.17 | 0.02 | 0.19 | (0.18) | (0.06) | (0.09) | (0.33) | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $10.89 | 0.10 | 6 | 0.24 | 0.34 | (0.13) | (0.05) | | (0.18) | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20115 | $11.15 | 0.13 | (0.02) | 0.11 | (0.09) | (0.28) | | (0.37) | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010 | $10.80 | 0.06 | 0.46 | 0.52 | (0.04) | (0.13) | | (0.17) | ||||||||||||||||||||||||
FOR THE PERIOD 1/15/09812/31/09,5 | $10.00 | 0.13 | 0.79 | 0.92 | (0.03) | (0.09) | | (0.12) | ||||||||||||||||||||||||
AQR DIVERSIFIED ARBITRAGE FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5 | $10.87 | 0.17 | (0.05) | 0.12 | | | | | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20135 | $11.01 | 0.13 | 0.04 | 0.17 | (0.16) | (0.06) | (0.09) | (0.31) | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $10.85 | 0.06 | 6 | 0.24 | 0.30 | (0.09) | (0.05) | | (0.14) | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011,5 | $11.12 | 0.10 | (0.02) | 0.08 | (0.07) | (0.28) | | (0.35) | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2010 | $10.78 | 0.05 | 0.43 | 0.48 | (0.01) | (0.13) | | (0.14) | ||||||||||||||||||||||||
FOR THE PERIOD 1/15/09812/31/09,5 | $10.00 | 0.10 | 0.79 | 0.89 | (0.02) | (0.09) | | (0.11) | ||||||||||||||||||||||||
AQR LONG-SHORT EQUITY FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5 | $10.21 | (0.07) | 0.56 | 0.49 | | | | | ||||||||||||||||||||||||
FOR THE PERIOD 7/16/13812/31/135 | $10.00 | (0.06) | 1.17 | 1.11 | (0.67) | (0.23) | | (0.90) | ||||||||||||||||||||||||
AQR LONG-SHORT EQUITY FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5 | $10.21 | (0.10) | 0.57 | 0.47 | | | | | ||||||||||||||||||||||||
FOR THE PERIOD 7/16/13812/31/135 | $10.00 | (0.07) | 1.17 | 1.10 | (0.66) | (0.23) | | (0.89) | ||||||||||||||||||||||||
AQR GLOBAL MACRO FUND CLASS I | ||||||||||||||||||||||||||||||||
FOR THE PERIOD 4/08/1486/30/14 (Unaudited)5 | $10.00 | (0.03) | (0.32) | (0.35) | | | | | ||||||||||||||||||||||||
AQR GLOBAL MACRO FUND CLASS N | ||||||||||||||||||||||||||||||||
FOR THE PERIOD 4/08/1486/30/14 (Unaudited)5 | $10.00 | (0.04) | (0.31) | (0.35) | | | | | ||||||||||||||||||||||||
AQR MANAGED FUTURES STRATEGY FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5 | $10.59 | (0.06) | (0.49) | (0.55) | | | | | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20135 | $9.78 | (0.12) | 1.04 | 0.92 | | (0.11) | | (0.11) | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $9.57 | (0.12) | 0.40 | 0.28 | (0.07) | | | (0.07) | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011,5 | $10.30 | (0.12) | (0.53) | (0.65) | (0.04) | (0.04) | | (0.08) | ||||||||||||||||||||||||
FOR THE PERIOD 1/06/10812/31/10,5 | $10.00 | (0.12) | 0.66 | 0.54 | (0.09) | (0.15) | | (0.24) | ||||||||||||||||||||||||
AQR MANAGED FUTURES STRATEGY FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5 | $10.51 | (0.07) | (0.49) | (0.56) | | | | | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20135 | $9.73 | (0.15) | 1.04 | 0.89 | | (0.11) | | (0.11) | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $9.55 | (0.14) | 0.39 | 0.25 | (0.07) | | | (0.07) | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011,5 | $10.28 | (0.15) | (0.52) | (0.67) | (0.02) | (0.04) | | (0.06) | ||||||||||||||||||||||||
FOR THE PERIOD 1/06/10812/31/10,5 | $10.00 | (0.15) | 0.66 | 0.51 | (0.08) | (0.15) | | (0.23) | ||||||||||||||||||||||||
AQR MANAGED FUTURES STRATEGY HV FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5 | $10.80 | (0.08) | (0.75) | 10 | (0.83) | | | | | |||||||||||||||||||||||
FOR THE PERIOD 7/16/13812/31/135 | $10.00 | (0.08) | 0.89 | 0.81 | | (0.01) | | (0.01) | ||||||||||||||||||||||||
AQR MANAGED FUTURES STRATEGY HV FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5 | $10.79 | (0.09) | (0.75) | 10 | (0.84) | | | | | |||||||||||||||||||||||
FOR THE PERIOD 7/16/13812/31/135 | $10.00 | (0.09) | 0.89 | 0.80 | | (0.01) | | (0.01) | ||||||||||||||||||||||||
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5 | $8.29 | (0.05) | 1.25 | 1.20 | | | | | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20135 | $9.87 | (0.09) | (1.49) | (1.58) | | | | | ||||||||||||||||||||||||
FOR THE PERIOD 7/09/12812/31/125 | $10.00 | (0.05) | (0.08) | (0.13) | | | | | ||||||||||||||||||||||||
AQR RISK-BALANCED COMMODITIES STRATEGY FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5 | $8.27 | (0.06) | 1.24 | 1.18 | | | | | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20135 | $9.86 | (0.11) | (1.48) | (1.59) | | | | | ||||||||||||||||||||||||
FOR THE PERIOD 7/09/12812/31/125 | $10.00 | (0.06) | (0.08) | (0.14) | | | | |
The accompanying notes are an integral part of these financial statements. |
198 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Financial Highlights | June 30, 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 |
Net Investment Income (Loss) |
Portfolio Turnover Rate4 |
|||||||||||||||||||||||||
$11.04 | 1.19 | % | $2,015,822,334 | 1.60 | % | 1.20 | % | 1.60 | % | 3.44 | % | 189 | % | |||||||||||||||||||
$10.91 | 1.75 | % | $1,876,480,736 | 1.64 | % | 1.20 | % | 1.64 | % | 1.52 | % | 349 | % | |||||||||||||||||||
$11.05 | 3.13 | % | $1,752,723,858 | 2.30 | % | 1.21 | % | 2.32 | % | 0.88 | %6 | 312 | % | |||||||||||||||||||
$10.89 | 0.99 | % | $1,456,748,122 | 2.75 | % | 1.20 | % | 2.84 | % | 1.18 | % | 298 | % | |||||||||||||||||||
$11.15 | 4.81 | %7 | $824,237,659 | 2.59 | % | 1.20 | % | 2.62 | % | 1.13 | % | 361 | % | |||||||||||||||||||
$10.80 | 9.24 | % | $160,026,814 | 2.46 | % | 1.20 | % | 3.25 | % | 1.30 | % | 482 | % | |||||||||||||||||||
$10.99 | 1.10 | % | $769,620,456 | 1.83 | % | 1.43 | % | 1.83 | % | 3.21 | % | 189 | % | |||||||||||||||||||
$10.87 | 1.51 | % | $836,354,615 | 1.88 | % | 1.44 | % | 1.88 | % | 1.21 | % | 349 | % | |||||||||||||||||||
$11.01 | 2.83 | % | $761,371,466 | 2.62 | % | 1.52 | % | 2.62 | % | 0.57 | %6 | 312 | % | |||||||||||||||||||
$10.85 | 0.68 | % | $651,790,519 | 3.05 | % | 1.50 | % | 3.08 | % | 0.89 | % | 298 | % | |||||||||||||||||||
$11.12 | 4.52 | %7 | $382,758,131 | 2.89 | % | 1.50 | % | 2.92 | % | 0.85 | % | 361 | % | |||||||||||||||||||
$10.78 | 8.88 | % | $79,054,890 | 2.69 | % | 1.50 | % | 3.42 | % | 0.98 | % | 482 | % | |||||||||||||||||||
$10.70 | 4.80 | % | $13,742,700 | 1.31 | % | 1.30 | % | 2.77 | %9 | (1.28 | )% | 0 | % | |||||||||||||||||||
$10.21 | 11.17 | % | $5,245,981 | 1.30 | % | 1.30 | % | 3.56 | %9 | (1.29 | )% | 0 | % | |||||||||||||||||||
$10.68 | 4.60 | % | $1,054,406 | 1.56 | % | 1.55 | % | 3.55 | %9 | (1.93 | )% | 0 | % | |||||||||||||||||||
$10.21 | 11.04 | % | $910,216 | 1.55 | % | 1.55 | % | 5.49 | %9 | (1.54 | )% | 0 | % | |||||||||||||||||||
$9.65 | (3.50 | )% | $24,891,526 | 1.45 | % | 1.45 | % | 1.91 | %9 | (1.45 | )% | 0 | % | |||||||||||||||||||
$9.65 | (3.50 | )% | $993,139 | 1.70 | % | 1.70 | % | 2.16 | %9 | (1.70 | )% | 0 | % | |||||||||||||||||||
$10.04 | (5.19 | )% | $4,683,599,734 | 1.21 | % | 1.21 | % | 1.21 | % | (1.20 | )% | 0 | % | |||||||||||||||||||
$10.59 | 9.40 | % | $4,506,180,876 | 1.23 | % | 1.23 | % | 1.23 | % | (1.22 | )% | 0 | % | |||||||||||||||||||
$9.78 | 2.99 | % | $2,136,959,054 | 1.25 | % | 1.25 | % | 1.25 | % | (1.24 | )% | 0 | % | |||||||||||||||||||
$9.57 | (6.37 | )% | $1,078,662,373 | 1.25 | % | 1.25 | % | 1.30 | % | (1.22 | )% | 0 | % | |||||||||||||||||||
$10.30 | 5.41 | % | $657,237,349 | 1.25 | % | 1.25 | % | 1.28 | % | (1.27 | )% | 0 | % | |||||||||||||||||||
$9.95 | (5.33 | )% | $1,446,823,769 | 1.50 | % | 1.50 | % | 1.50 | % | (1.49 | )% | 0 | % | |||||||||||||||||||
$10.51 | 9.14 | % | $1,408,085,433 | 1.50 | % | 1.50 | % | 1.50 | % | (1.48 | )% | 0 | % | |||||||||||||||||||
$9.73 | 2.68 | % | $527,318,143 | 1.50 | % | 1.50 | % | 1.52 | % | (1.48 | )% | 0 | % | |||||||||||||||||||
$9.55 | (6.59 | )% | $476,854,001 | 1.50 | % | 1.50 | % | 1.57 | % | (1.47 | )% | 0 | % | |||||||||||||||||||
$10.28 | 5.12 | % | $271,043,038 | 1.50 | % | 1.50 | % | 1.56 | % | (1.54 | )% | 0 | % | |||||||||||||||||||
$9.97 | (7.69 | )% | $147,844,272 | 1.65 | % | 1.65 | % | 1.86 | %9 | (1.65 | )% | 0 | % | |||||||||||||||||||
$10.80 | 8.14 | % | $37,077,791 | 1.68 | % | 1.65 | % | 2.51 | %9 | (1.66 | )% | 0 | % | |||||||||||||||||||
$9.95 | (7.78 | )% | $6,576,038 | 1.90 | % | 1.90 | % | 2.29 | %9 | (1.90 | )% | 0 | % | |||||||||||||||||||
$10.79 | 8.04 | % | $1,643,614 | 1.93 | % | 1.90 | % | 4.03 | %9 | (1.92 | )% | 0 | % | |||||||||||||||||||
$9.49 | 14.48 | % | $54,859,142 | 1.03 | % | 1.03 | % | 1.41 | % | (1.02 | )% | 0 | % | |||||||||||||||||||
$8.29 | (16.01 | )% | $28,375,483 | 1.05 | % | 1.05 | % | 1.32 | % | (1.05 | )% | 0 | % | |||||||||||||||||||
$9.87 | (1.30 | )% | $63,330,812 | 1.05 | % | 1.05 | % | 1.72 | % | (1.04 | )% | 0 | % | |||||||||||||||||||
$9.45 | 14.27 | % | $11,648,868 | 1.27 | % | 1.27 | % | 1.68 | % | (1.26 | )% | 0 | % | |||||||||||||||||||
$8.27 | (16.13 | )% | $3,861,107 | 1.30 | % | 1.30 | % | 1.70 | % | (1.28 | )% | 0 | % | |||||||||||||||||||
$9.86 | (1.40 | )% | $2,206,303 | 1.30 | % | 1.30 | % | 4.00 | % | (1.30 | )% | 0 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2014 | 199 | |||||||||||||
Financial Highlights | June 30, 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 |
Return of Capital |
Total Distributions |
|||||||||||||||||||||||||
AQR RISK PARITY FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5 | $10.77 | (0.00) | 11 | 1.17 | 1.17 | | | | | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20135 | $11.49 | (0.07) | 0.08 | 10 | 0.01 | (0.27) | (0.46) | | (0.73) | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $10.62 | | 1.49 | 1.49 | (0.14) | (0.48) | | (0.62) | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011,5 | $10.28 | 0.04 | 0.51 | 0.55 | (0.21) | (0.00) | 11 | | (0.21) | |||||||||||||||||||||||
FOR THE PERIOD 9/30/10812/31/10 | $10.00 | 0.02 | 0.38 | 0.40 | (0.12) | | | (0.12) | ||||||||||||||||||||||||
AQR RISK PARITY FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5 | $10.76 | (0.02) | 1.18 | 1.16 | | | | | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20135 | $11.47 | (0.11) | 0.08 | 10 | (0.03) | (0.22) | (0.46) | | (0.68) | |||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $10.59 | (0.03) | 1.50 | 1.47 | (0.11) | (0.48) | | (0.59) | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 2011,5 | $10.27 | 0.03 | 0.49 | 0.52 | (0.20) | (0.00) | 11 | | (0.20) | |||||||||||||||||||||||
FOR THE PERIOD 9/30/10812/31/10 | $10.00 | 0.01 | 0.38 | 0.39 | (0.12) | | | (0.12) | ||||||||||||||||||||||||
AQR RISK PARITY II MV FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5 | $10.02 | 0.03 | 0.93 | 0.96 | | | | | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20135 | $10.17 | (0.06) | (0.08) | (0.14) | (0.01) | (0.00) | 11 | | (0.01) | |||||||||||||||||||||||
FOR THE PERIOD 11/05/12812/31/125 | $10.00 | | 0.19 | 0.19 | (0.02) | | | (0.02) | ||||||||||||||||||||||||
AQR RISK PARITY II MV FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5 | $9.99 | (0.01) | 0.96 | 0.95 | | | | | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20135 | $10.18 | (0.07) | (0.11) | (0.18) | (0.01) | (0.00) | 11 | | (0.01) | |||||||||||||||||||||||
FOR THE PERIOD 11/05/12812/31/125 | $10.00 | | 0.18 | 0.18 | | | | | ||||||||||||||||||||||||
AQR RISK PARITY II HV FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5 | $9.87 | 0.04 | 1.43 | 1.47 | | | | | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20135 | $10.21 | (0.06) | (0.23) | (0.29) | (0.03) | (0.02) | | (0.05) | ||||||||||||||||||||||||
FOR THE PERIOD 11/05/12812/31/125 | $10.00 | 0.01 | 0.23 | 0.24 | (0.03) | | | (0.03) | ||||||||||||||||||||||||
AQR RISK PARITY II HV FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5 | $9.86 | 0.02 | 1.43 | 1.45 | | | | | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20135 | $10.23 | (0.09) | (0.23) | (0.32) | (0.03) | (0.02) | | (0.05) | ||||||||||||||||||||||||
FOR THE PERIOD 11/05/12812/31/125 | $10.00 | (0.01) | 0.25 | 0.24 | (0.01) | | | (0.01) | ||||||||||||||||||||||||
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5 | $9.78 | (0.10) | 0.06 | (0.04) | | | | | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20135 | $9.90 | (0.17) | 0.61 | 0.44 | (0.44) | (0.12) | | (0.56) | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $9.70 | (0.17) | 0.40 | 0.23 | (0.01) | (0.02) | | (0.03) | ||||||||||||||||||||||||
FOR THE PERIOD 7/18/11812/31/115 | $10.00 | (0.05) | (0.21) | (0.26) | (0.04) | | | (0.04) | ||||||||||||||||||||||||
AQR MULTI-STRATEGY ALTERNATIVE FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5 | $9.76 | (0.11) | 0.06 | (0.05) | | | | | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20135 | $9.89 | (0.20) | 0.61 | 0.41 | (0.42) | (0.12) | | (0.54) | ||||||||||||||||||||||||
FOR THE YEAR ENDED DECEMBER 31, 20125 | $9.69 | (0.23) | 0.45 | 0.22 | | (0.02) | | (0.02) | ||||||||||||||||||||||||
FOR THE PERIOD 7/18/11812/31/115 | $10.00 | (0.06) | (0.21) | (0.27) | (0.04) | | | (0.04) | ||||||||||||||||||||||||
AQR STYLE PREMIA ALTERNATIVE FUND CLASS I | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5 | $10.18 | (0.05) | 0.22 | 0.17 | | | | | ||||||||||||||||||||||||
FOR THE PERIOD 10/30/13812/31/135 | $10.00 | (0.03) | 0.44 | 0.41 | (0.20) | (0.03) | | (0.23) | ||||||||||||||||||||||||
AQR STYLE PREMIA ALTERNATIVE FUND CLASS N | ||||||||||||||||||||||||||||||||
SIX MONTHS ENDED JUNE 30, 2014 (Unaudited)5 | $10.18 | (0.06) | 0.22 | 0.16 | | | | | ||||||||||||||||||||||||
FOR THE PERIOD 10/30/13812/31/135 | $10.00 | (0.04) | 0.45 | 0.41 | (0.20) | (0.03) | | (0.23) |
The accompanying notes are an integral part of these financial statements. |
200 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Financial Highlights | June 30, 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 |
Net Investment Income (Loss) |
Portfolio Turnover Rate4 |
|||||||||||||||||||||||||
$11.94 | 10.86 | % | $752,308,123 | 0.90 | % | 0.90 | % | 0.90 | % | 0.04 | % | 44 | % | |||||||||||||||||||
$10.77 | 0.12 | % | $855,024,124 | 0.89 | % | 0.88 | % | 0.89 | % | (0.64 | )% | 167 | % | |||||||||||||||||||
$11.49 | 14.05 | % | $868,660,662 | 0.95 | % | 0.95 | % | 0.95 | % | (0.03 | )% | 72 | % | |||||||||||||||||||
$10.62 | 5.45 | %12 | $337,526,380 | 0.95 | % | 0.95 | % | 1.06 | % | 0.41 | % | 66 | % | |||||||||||||||||||
$10.28 | 3.98 | % | $12,747,565 | 0.95 | % | 0.95 | % | 3.80 | % | 0.44 | % | 19 | % | |||||||||||||||||||
$11.92 | 10.78 | % | $57,646,448 | 1.20 | % | 1.20 | % | 1.20 | % | (0.38 | )% | 44 | % | |||||||||||||||||||
$10.76 | (0.23 | )% | $79,026,167 | 1.20 | % | 1.20 | % | 1.20 | % | (0.92 | )% | 167 | % | |||||||||||||||||||
$11.47 | 13.89 | % | $170,953,453 | 1.20 | % | 1.20 | % | 1.23 | % | (0.26 | )% | 72 | % | |||||||||||||||||||
$10.59 | 5.12 | %12 | $51,560,342 | 1.20 | % | 1.20 | % | 1.42 | % | 0.30 | % | 66 | % | |||||||||||||||||||
$10.27 | 3.88 | % | $11,234,980 | 1.20 | % | 1.20 | % | 3.96 | % | 0.22 | % | 19 | % | |||||||||||||||||||
$10.98 | 9.58 | % | $89,046,709 | 0.95 | % | 0.95 | % | 1.13 | % | 0.55 | % | 26 | % | |||||||||||||||||||
$10.02 | (1.32 | )% | $37,848,351 | 0.95 | % | 0.95 | % | 1.18 | % | (0.61 | )% | 234 | % | |||||||||||||||||||
$10.17 | 1.87 | % | $29,993,223 | 0.95 | % | 0.95 | % | 2.07 | % | 0.18 | % | 0 | % | |||||||||||||||||||
$10.94 | 9.51 | % | $7,948,374 | 1.20 | % | 1.20 | % | 1.49 | % | (0.20 | )% | 26 | % | |||||||||||||||||||
$9.99 | (1.71 | )% | $9,396,772 | 1.20 | % | 1.20 | % | 1.59 | % | (0.71 | )% | 234 | % | |||||||||||||||||||
$10.18 | 1.80 | % | $2,259,342 | 1.20 | % | 1.20 | % | 2.81 | % | (0.29 | )% | 0 | % | |||||||||||||||||||
$11.34 | 14.89 | % | $35,950,583 | 1.20 | % | 1.15 | % | 1.60 | % | 0.77 | % | 14 | % | |||||||||||||||||||
$9.87 | (2.83 | )% | $17,577,063 | 1.23 | % | 1.15 | % | 1.85 | % | (0.62 | )% | 257 | % | |||||||||||||||||||
$10.21 | 2.44 | % | $16,253,630 | 1.28 | % | 1.15 | % | 2.26 | % | 0.53 | % | 0 | % | |||||||||||||||||||
$11.31 | 14.71 | % | $11,400,083 | 1.45 | % | 1.40 | % | 1.92 | % | 0.35 | % | 14 | % | |||||||||||||||||||
$9.86 | (3.12 | )% | $8,651,975 | 1.48 | % | 1.40 | % | 2.22 | % | (0.84 | )% | 257 | % | |||||||||||||||||||
$10.23 | 2.38 | % | $5,804,844 | 1.53 | % | 1.40 | % | 3.44 | % | (0.62 | )% | 0 | % | |||||||||||||||||||
$9.74 | (0.41 | )% | $1,477,653,717 | 4.02 | % | 1.98 | % | 4.04 | % | (2.02 | )% | 68 | % | |||||||||||||||||||
$9.78 | 4.46 | % | $1,453,976,567 | 3.34 | % | 1.98 | % | 3.37 | % | (1.67 | )% | 137 | % | |||||||||||||||||||
$9.90 | 2.36 | % | $808,261,775 | 3.52 | % | 1.98 | % | 3.60 | % | (1.73 | )% | 208 | % | |||||||||||||||||||
$9.70 | (2.57 | )%13 | $257,168,435 | 2.23 | % | 1.98 | % | 2.59 | % | (1.09 | )% | 133 | % | |||||||||||||||||||
$9.71 | (0.51 | )% | $89,643,205 | 4.27 | % | 2.23 | % | 4.32 | % | (2.26 | )% | 68 | % | |||||||||||||||||||
$9.76 | 4.16 | % | $74,641,399 | 3.59 | % | 2.23 | % | 3.66 | % | (1.95 | )% | 137 | % | |||||||||||||||||||
$9.89 | 2.22 | % | $43,104,252 | 3.76 | % | 2.23 | % | 3.93 | % | (2.32 | )% | 208 | % | |||||||||||||||||||
$9.69 | (2.73 | )%13 | $44,676,329 | 2.48 | % | 2.23 | % | 2.85 | % | (1.37 | )% | 133 | % | |||||||||||||||||||
$10.35 | 1.67 | % | $603,748,426 | 2.93 | % | 1.50 | % | 2.92 | %9 | (0.91 | )% | 62 | % | |||||||||||||||||||
$10.18 | 4.08 | % | $403,242,880 | 2.07 | % | 1.50 | % | 2.11 | %9 | (1.77 | )% | 133 | % | |||||||||||||||||||
$10.34 | 1.57 | % | $23,804,133 | 3.18 | % | 1.75 | % | 3.24 | %9 | (1.16 | )% | 62 | % | |||||||||||||||||||
$10.18 | 4.05 | % | $15,972,089 | 2.44 | % | 1.75 | % | 2.70 | %9 | (2.05 | )% | 133 | % |
The accompanying notes are an integral part of these financial statements. |
AQR Funds | Semi-Annual Report | June 2014 | 201 | |||||||||||||
Financial Highlights | June 30, 2014 |
* | Annualized for periods less than one year. |
| Redemption fees of less than $0.005 per share were incurred by the share class. |
1 | Total investment return is calculated assuming an initial investment made at the net asset value at the beginning of the period, reinvestment of all dividends and distributions at net asset value during the period and redemption on the last day of the period and is not annualized. |
2 | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
3 | Ratios do not include the impact of the expenses of the underlying funds in which the Fund invests. |
4 | Portfolio turnover is not annualized. |
5 | Per share net investment income (loss) and net realized and unrealized gain (loss) are based on average shares outstanding. |
6 | 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 Diversified Arbitrage FundClass I |
$ | 0.08 | 0.73 | % | ||||
AQR Diversified Arbitrage FundClass N |
0.04 | 0.42 |
7 | For the year ended December 31, 2010, the Advisor contributed $544,199 into the Fund to compensate the Fund for a loss incurred due to trade processing errors. The impact of the Advisors contribution increased the total return by 0.08%. |
8 | Commencement of operations. |
9 | Certain expenses incurred by the Fund were not annualized for the period. |
10 | The amount shown for a share outstanding throughout the period is not indicative of the aggregate net realized and unrealized gain (loss) for that period because of the timing of sales and repurchases of the Fund shares in relation to fluctuating market value of the investments in the Fund. |
11 | Amount is less than $.005 per share. |
12 | For the year ended December 31, 2011, a service provider contributed $354,026 into the Fund to compensate the Fund for a loss incurred due to a valuation error. The impact of this contribution increased the Funds total return by 0.21%. |
13 | For the year ended December 31, 2011, the Adviser contributed $208,438 into the Fund to compensate the Fund for a loss incurred due to a trade processing error. The impact of the Advisers contribution increased the Funds total return by 0.14%. |
The accompanying notes are an integral part of these financial statements. |
202 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 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 June 30, 2014, the Trust consists of twenty-seven active series, eleven of which are presented in this book (collectively, the Funds and each individually a Fund): AQR Diversified Arbitrage Fund, AQR Long-Short Equity Fund, AQR Global Macro Fund, AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II MV Fund, AQR Risk Parity II HV Fund, AQR Multi-Strategy Alternative Fund and AQR Style Premia Alternative Fund. The remaining sixteen active series are reported in a separate book. AQR Capital Management, LLC (the Advisor) serves as the investment Advisor of each Fund. The Advisor has retained CNH Partners, LLC (the Sub-Advisor), an affiliate of the Advisor, to serve as an investment sub-advisor to the AQR Diversified Arbitrage Fund and certain strategies of the AQR Multi-Strategy Alternative Fund.
The AQR Global Macro Fund commenced operations on April 8, 2014.
The investment objective of the AQR Diversified Arbitrage Fund, the AQR Global Macro Fund, the AQR Managed Futures Strategy Fund, the AQR Managed Futures Strategy HV Fund, the AQR Multi-Strategy Alternative Fund and the AQR Style Premia Alternative Fund is to seek positive absolute returns. The investment objective of the AQR Risk-Balanced Commodities Strategy Fund, the AQR Risk Parity Fund, the AQR Risk Parity II MV Fund and the AQR Risk Parity II HV Fund is to seek total return. The investment objective of the AQR Long-Short Equity Fund is to seek capital appreciation. Each of these funds offer Class I and Class N shares.
2. Consolidation of Subsidiaries
The consolidated Schedules of Investments, Statements of Assets and Liabilities, of Operations, of Changes in Net Assets, of Cash Flows and the Financial Highlights of the AQR Global Macro Fund, AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV Fund, AQR Risk-Balanced Commodities Strategy Fund, AQR Risk Parity Fund, AQR Risk Parity II MV Fund, AQR Risk Parity II HV Fund, AQR Multi-Strategy Alternative Fund and AQR Style Premia Alternative Fund (CFC Funds) include the accounts of AQR Global Macro Offshore Fund Ltd., AQR Managed Futures Strategy Offshore Fund Ltd., AQR Managed Futures Strategy HV Offshore Fund Ltd., AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd., AQR Risk Parity Offshore Fund Ltd., AQR Risk Parity II MV Offshore Fund Ltd., AQR Risk Parity II HV Offshore Fund Ltd., AQR Multi-Strategy Alternative Offshore Fund Ltd., and AQR Style Premia Alternative Offshore Fund Ltd., respectively, wholly-owned and controlled subsidiaries (the Subsidiaries). All inter-company accounts and transactions have been eliminated in consolidation for the CFC Funds.
For Federal tax purposes, taxable income for each CFC Fund and its Subsidiary are calculated separately. The Subsidiaries are classified as controlled foreign corporations under the Internal Revenue Code of 1986 (the Code) and each Subsidiarys taxable income is included in the calculation of the relevant CFC Funds taxable income. Net losses of the Subsidiaries are not deductible by the CFC Funds either in the current period or future periods. Each of the Subsidiaries has a fiscal year end of December 31st for financial statement consolidation purposes and a nonconforming tax year end of November 30th.
The CFC Funds may each invest up to 25% of their total assets in its respective Subsidiary, each of which acts as an investment vehicle in order to effect certain investments consistent with the CFC Funds investment objectives and policies. The CFC Funds expect that they will achieve a significant portion of their exposure to commodities and commodities-related investments through investment in the Subsidiaries. Unlike the CFC Funds, the Subsidiaries may invest without limitation in commodities and commodities-related investments.
AQR Funds | Semi-Annual Report | June 2014 | 203 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
INCEPTION DATE OF SUBSIDIARY |
SUBSIDIARY NET ASSETS AT JUNE 30, 2014 |
% OF TOTAL NET ASSETS AT JUNE 30, 2014 |
NET REALIZED GAIN/LOSS ON INVESTMENTS HELD IN SUBSIDIARY |
|||||||||||||
AQR Global Macro Offshore Fund Ltd. |
April 8, 2014 | $ | 6,021,119 | 22.9 | % | $ | 113,686 | |||||||||
AQR Managed Futures Strategy Offshore Fund Ltd. |
January 6, 2010 | 1,412,491,500 | 23.0 | % | (74,954,145 | ) | ||||||||||
AQR Managed Futures Strategy HV Offshore Fund Ltd. |
July 16, 2013 | 35,628,337 | 23.1 | % | (2,265,984 | ) | ||||||||||
AQR Risk-Balanced Commodities Strategy Offshore Fund Ltd. |
July 9, 2012 | 14,379,241 | 21.6 | % | 3,499,379 | |||||||||||
AQR Risk Parity Offshore Fund Ltd. |
September 30, 2010 | 160,358,378 | 19.8 | % | 6,598,072 | |||||||||||
AQR Risk Parity II MV Offshore Fund Ltd. |
November 5, 2012 | 14,466,703 | 14.9 | % | 48,064 | |||||||||||
AQR Risk Parity II HV Offshore Fund Ltd. |
November 5, 2012 | 10,565,974 | 22.3 | % | 594,034 | |||||||||||
AQR Multi-Strategy Alternative Offshore Fund Ltd. |
July 18, 2011 | 249,375,204 | 15.9 | % | (6,282,493 | ) | ||||||||||
AQR Style Premia Alternative Offshore Fund Ltd. |
October 30, 2013 | 143,869,766 | 22.9 | % | 8,626,330 |
3. Significant Accounting Policies
The following summarizes the significant accounting policies of the Funds:
Use of Estimates: The preparation of the financial statements in conformity with accounting principles generally accepted in the United States of America (GAAP) requires 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.
Valuation of Investments: Each Funds 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 Funds 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 companys
204 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
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 securitys 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.
Loan Participations and Assignments: Certain Funds invest in loan participations and assignments. When the Fund purchases a loan participation, the Fund typically enters into a contractual relationship with the lender or a third party selling such participations (Selling Participant), but not the borrower. In this case, the Fund assumes the credit risk of the borrower and the Selling Participant and any other persons inter-positioned between the Fund and the borrower (Intermediate Participants). In contrast, when the Fund purchases an assignment, the contractual relationship is with the borrower and the credit risk assumed by the Fund is only with the borrower. Although certain loan participations or assignments are secured by collateral, the Fund could experience delays or limitations in realizing on such collateral or have its interest subordinated to other indebtedness of the obligor. The Fund may also enter into unfunded loan commitments, which are contractual obligations for future funding. These unfunded commitments represent a future obligation in full, even though a percentage of the loan may not be utilized by the borrower. These types of investments may include standby financing commitments, such as revolving credit facilities, which obligate the Fund to supply additional cash to the borrower on demand. The value of the unfunded portion of the investment is determined using a pro-rata allocation, based on its par value relative to the par value of the entire investment. The unrealized appreciation (depreciation) from unfunded commitments is reported in the Statements of Assets and Liabilities. In addition, loan participations and assignments are vulnerable to market conditions such that economic conditions or other events may reduce the demand for loan participations and assignments and certain loan participations and assignments which were liquid, when purchased, may become illiquid.
Convertible Securities: Certain Funds invest in preferred stocks and fixed-income securities which are convertible into common stock. Convertible securities may be converted either at a stated price or rate within a specified period of time into a specified number of shares of common stock. By investing in a convertible security, the Funds may participate in any capital appreciation or depreciation of a companys stock, but to a lesser degree than if it had invested in that companys common stock. Convertible securities rank senior to common stock in a corporations capital structure and, therefore, entail less risk than the corporations common stock. The Funds may attempt to hedge some of their investments in convertible debt securities by selling short the issuers common stock.
Short Sales: Certain Funds sell securities it does not own as a hedge against some of its long positions and/or in anticipation of a decline in the market value of that security (short sale). When the Fund makes a short sale, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. The Fund may have to pay a fee to borrow the particular security and may be obligated to remit any interest or dividends received on such borrowed securities. Dividends declared on short positions open are recorded on the ex-date as an expense. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in magnitude, will be recognized upon the termination of a short sale if the market price at termination is less than or greater than, respectively, the proceeds originally received. The Fund is also subject to the risk that they may be unable to reacquire a security to terminate a short position except at a price substantially in excess of the last quoted price.
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Notes to Financial Statements (Unaudited) | June 30, 2014 |
The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms. Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as unrealized gain or loss on the Statement of Operations.
The Funds are required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash deposited with broker for collateral for securities sold short is recorded as an asset on the Statements of Assets and Liabilities and securities segregated as collateral are denoted in the Schedules of Investments. The Funds may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the brokers fee on the borrowed securities; and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. This income or fee is calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on the availability of the security.
The net amount of fees incurred are included in the dividend and interest on securities sold short in the Statements of Operations and are as follows:
FUND | ||||
AQR Diversified Arbitrage Fund |
$ | 993,981 | ||
AQR Multi-Strategy Alternative Fund |
1,942,848 | |||
AQR Style Premia Alternative Fund |
268,719 |
Master Agreements: Certain Funds are parties to master netting arrangements with counterparties (Master Agreements). Master Agreements are contracts that govern the terms of certain like transactions, and reduce the counterparty risk associated with relevant transactions by specifying payment netting mechanisms across multiple transactions. Since different types of transactions have different mechanics and are sometimes traded by different legal entities of a particular counterparty organization, each type of transaction may be covered by a different Master Agreement, resulting in the need for multiple Master Agreements with a counterparty and its affiliates.
Customer Account Agreements and related addendums govern cleared derivatives transactions and exchange traded futures transactions. Cleared derivative transactions require posting of initial margin as determined by each relevant clearing organization. Futures transactions require initial margin to be posted as required by each futures exchange. Such collateral is segregated at an account held at a broker registered with the Commodity Futures Trading Commission (CFTC), or other applicable regulator.
Master Repurchase Agreements govern repurchase, or reverse repurchase transactions, relating to government bonds between certain Funds and select counterparties. Master Repurchase Agreements maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral.
Prime Broker Arrangements may be entered into to facilitate execution and/or clearing of equities, bonds, equity option transactions or short sales of securities between certain Funds and selected counterparties. These arrangements provide financing arrangements for such transactions and include guidelines surrounding the rights, obligations, and other events, including, but not limited to, margin, execution, and settlement. These agreements maintain provisions for, among other things, payments, maintenance of collateral, events of default, and termination. Margin and other assets delivered as collateral are typically in the possession of the prime broker and would offset any obligations due to the prime broker.
International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes (ISDA Master Agreements) govern over-the-counter (OTC) derivative transactions entered into between certain Funds and a Swap Dealer. ISDA Master Agreements maintain provisions for general obligations, representations, netting of settlement payments, agreements to deliver supporting documents, collateral transfer and events of default or termination.
ISDA Master Agreements contain termination events applicable to the Fund or the counterparty. Such events may include a decline in the Funds net assets below a specified threshold over a certain period of time or a decline in
206 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
the counterpartys long-term and short-term credit ratings below a specified level, respectively. In each case, upon occurrence, the other party may elect to terminate early and cause settlement of all OTC swap 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 a party to elect early termination could impact a Funds future derivative activity.
Collateral and margin requirements differ according to the terms of each type of Master Agreement. For futures, listed options and cleared derivatives, margin requirements are established by the exchange for futures/listed options and the clearing house centrally cleared derivatives. Such margin is transferred by the Fund pursuant to the governing Master Agreements for those investment types. Collateral is routinely transferred if the total net exposure (net of existing collateral already in place (initial margin)) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold. Collateral can be in the form of cash, debt securities issued by the U.S. Government and other securities or money market funds as agreed to by the Fund and the applicable counterparty or as permitted by the clearing house or exchange.
Collateral pledged by the Fund pursuant to a Master Agreement is segregated by the Funds custodian and identified as an asset in the Funds Statement of Assets and Liabilities either as a component of Investments in securities, at value (securities) or in due from brokers (cash). Segregation of funds collateral in the custodian account helps mitigate counterparty risk.
Collateral posted for the benefit of a Fund pursuant to a Master Agreement is held by a custodian of the Funds custodian and, with respect to those amounts which can be invested or repledged, are presented in the Funds Schedule of Investments. Collateral received is reflected as a liability in the Statement of Assets and Liabilities in due to brokers.
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. 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 Funds 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
AQR Funds | Semi-Annual Report | June 2014 | 207 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
Funds record a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed. The Funds could be exposed to risk if the value of the currency changes unfavorably, if the counterparties to the contracts are unable to meet the terms of their contracts or if the Fund is unable to enter into a closing position. Risks may exceed amounts recognized on the Statements of Assets and Liabilities. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars without the delivery of foreign currency. Forward foreign currency exchange contracts outstanding at period end, if any, are listed after each Funds Schedule of Investments.
Swap Contracts: Certain Funds engage in various swap transactions to manage risks within their portfolios or as alternatives to direct investments. Swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing (centrally cleared swaps). These swaps are executed through a derivatives clearing member (DCM), acting in an agency capacity, and submitted to a central counterparty (CCP), in which case all payments are settled with the CCP through the DCM. For credit default and interest rate contracts, an up-front payment received by a Fund is recorded as a liability on the Funds Statement of Assets and Liabilities. An up-front payment made by a Fund is recorded as an asset on the Funds Statement of Assets and Liabilities. Up-front payments are amortized over the term of the contract. Periodic payments received or paid by a Fund are recorded as realized gains or losses. Certain OTC and centrally cleared interest rate swaps may include forward effective dates, which are contracts that do not go effective until a later date. The amortization of the upfront premiums (if applicable) and payments related to these swap contracts are accrued based on the effective date of the contract.
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 Funds risk of loss consists of the net amount of payments that such Fund is contractually entitled to receive, if any. The use of long Total Return Swap Contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities. The use of short Total Return Swaps subjects the Funds to unlimited loss. 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 Funds Schedule of Investments.
Total Return Basket Swaps: Certain Funds may enter into an equity basket swap agreement to obtain exposure to a portfolio of long and short securities. Under the terms of the agreement, the swap is designed to function as a portfolio of direct investments in long and short equity or fixed income positions. This means that the Fund has the ability to trade in and out of long and short positions within the swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions, and dividends and interest received and paid, all of which are reflected in the swap value. The swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within the swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as financing costs. Positions within the swap are reset periodically, and financing costs are reset monthly. During a reset, any unrealized gains (losses) on positions and accrued financing costs become available for cash settlement between the Fund and the swap counterparty. Cash settlement in and out of the swap may occur at a reset date or any other date, at the discretion of the Fund and the counterparty, over the life of the agreement, and is generally determined based on limits and thresholds established as part of the Master Agreement between the Fund and the counterparty.
The value of the swap is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing prices on the principal exchange on which the securities are traded; (ii) financing costs; (iii) the value of dividends or accrued interest; (iv) cash balances within the swap; and (v) other factors, as applicable. The value of the swap is reflected on the Statements of Assets and Liabilities as swaps, at value.
208 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
Changes in the swap are recognized as changes in unrealized gains or losses in the Statements of Operations. Cash settlements between the Fund and the counterparty are recognized as realized gains or losses in the Statements of Operations. Total return basket swap contracts outstanding at period end, if any, are listed after each Funds Schedule of Investments.
The swap involves additional risks than if the Fund has invested in the underlying positions directly, including: the risk that changes in the swap may not correlate perfectly with the underlying long and short securities; credit risk related to the counterpartys failure to perform under contract terms; and liquidity risk related to the lack of a liquid market for the swap contract, which may limit the ability of the Fund to close out its position(s).
Credit Default Swap Contracts: Certain Funds enter into credit default swap contracts to provide a measure of protection against risk of loss following a default, or other credit event in respect of issuers within an underlying index or a single issuer, or to gain credit exposure to an underlying index or issuer. In a credit default contract, the protection buyer typically makes an up-front payment and a periodic stream of payments to a counterparty, the protection seller, in exchange for the right to receive a contingent payment upon the occurrence of a credit event on the reference obligation or all other equally ranked obligations of the reference entity. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. The credit default contracts are marked to market daily based upon quotations from an independent pricing service or market makers and the change, if any, is recorded as an unrealized gain or loss. Upon entering into a centrally cleared swap, the Funds are required to deposit with the Futures Commission Merchant (FCM) cash or securities, which is referred to as the initial margin deposit. Securities deposited as initial margin are designated on the Schedule of Investments and cash deposited is recorded on the Statements of Assets and Liabilities. Subsequent payments, known as variation margin, are made or received by the Fund, depending on fluctuations in the value of the underlying referenced debt obligation. Such variation margin is accounted for as unrealized appreciation or depreciation until the contract is closed, at which time the gains or losses are realized. Upon the occurrence of a credit event, the difference between the par value and market value of the reference obligation, net of any proportional amount of the up-front payment, is recorded as a realized gain or loss.
In addition to bearing the risk that the credit event will occur, a Fund could be exposed to market risk due to unfavorable changes in interest rates or in the price of the underlying security or index or the possibility that the Fund may be unable to close out its position at the same time or at the same price as if it had purchased the underlying reference obligations. In certain circumstances, a Fund may enter into offsetting credit default contracts which would mitigate its risk of loss. Risks of loss may exceed amounts recognized on the Statements of Assets and Liabilities. The Funds maximum risk of loss from counterparty risk, either as the protection seller or as the protection buyer, is the fair value of the contract. This risk may be mitigated by having a master netting arrangement between the Fund and the counterparty. The central clearing house acts as the counterparty to each centrally cleared swap transaction, therefore credit risk is limited to the failure of the clearing house. Where a Fund is a seller of protection, the maximum potential amount of future payments the Fund may be required to make is equal to the notional amount of the relevant credit default contract. The Funds risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Credit default contracts outstanding, including their respective notional amounts at period end, if any, are listed after the Funds Schedule of Investments.
Implied credit spreads are an indication of the sellers performance risk, related to the likelihood of a credit event occurring that would require a seller to make payment to a buyer. Implied credit spreads are used to determine the value of swap contracts and reflect the cost of buying/selling protection, which may include up-front payments made to enter into the contract. Therefore, higher spreads would indicate a greater likelihood that a seller will be obligated to perform (i.e., make payment) under the swap contract. Increasing values, in absolute terms and relative to notional amounts, are also indicative of greater performance risk. Implied credit spreads for credit default swaps on credit indexes are linked to the weighted average spread across the underlying reference obligations included in a particular index.
Interest Rate Swaps: Certain Funds enter into interest rate swaps as part of its investment strategy. Interest rate swaps generally involve agreements to exchange fixed and floating payment obligations, without the exchange of the underlying notional amounts. Interest rate swap agreements are privately negotiated in the OTC market or may
AQR Funds | Semi-Annual Report | June 2014 | 209 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
be executed in a multilateral or other trade facility platform, such as a registered exchange (centrally cleared swaps). Interest rate swaps are marked to market daily based on quotations as provided by an independent pricing service and the change is recorded as unrealized gain or loss. The Funds risk of loss associated with these instruments may exceed their value, as recorded in the Statements of Assets and Liabilities. Interest rate contracts outstanding, including their respective notional amounts at period end, if any, are listed after the Funds Schedule of Investments. Non-deliverable interest rate swaps are settled with the counterparty in U.S. dollars without the delivery of foreign currency.
High Yield Securities: Certain Funds invest in lower-quality debt securities. Investments in lower-rated securities or unrated securities of comparable quality tend to be more sensitive to economic conditions than higher rated securities causing greater price volatility. These instruments involve a greater risk of loss due to default by the issuer because such securities are generally unsecured and are often subordinated to other creditors claims.
Repurchase Agreements: Certain Funds may enter into repurchase agreements. In a repurchase agreement, a Fund takes possession of an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and a Fund to resell, the obligation at an agreed-upon price and time. Under the terms of a master repurchase agreement, the underlying securities for all repurchase agreements are held in safekeeping at the Funds custodian or designated sub-custodians under tri-party repurchase agreements. Master repurchase agreements govern transactions between a Fund and select counterparties. The master repurchase agreements maintain provisions for, among other things, initiation, income payments, events of default, maintenance of collateral for repurchase agreements and the disposition of such collateral following an event of default. The market value of the collateral must be equal to or exceed the total amount of the repurchase obligations, including interest. Securities purchased under repurchase agreements are reflected as an asset on the Statements of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statements of Operations. In periods of increased demand for collateral, a Fund may pay a fee for receipt of collateral, which may result in interest expense to the Fund. Generally, in the event of counterparty default, a Fund has the right to use the collateral to offset losses incurred. If the counterparty should default, a Fund may seek to sell the securities which it holds as collateral. This could involve procedural costs or delays in addition to a loss on the securities if their value should fall below their repurchase price.
Reverse Repurchase Agreements: Certain Funds may enter into, under the terms of the Master Repurchase Agreement, reverse repurchase agreements. The Fund sells to a counterparty a security that it holds with a contemporaneous agreement to repurchase the same security at an agreed-upon price and date. Reverse repurchase agreements are valued based on the amount of cash received plus accrued interest, which represents fair value.
Reverse repurchase agreements are reflected as a liability on the Statements of Assets and Liabilities. Interest payments made are recorded as a component of interest expense on the Statements of Operations. In periods of increased demand for the security, the Fund may receive a fee for use of the security by the counterparty, which may result in interest income to the Fund. The Fund monitors collateral market value for the reverse repurchase agreement, including accrued interest, throughout the lives of the agreements, and when necessary, delivers or receives cash or securities in order to manage credit exposure and liquidity. If the counterparty defaults or enters insolvency proceeding, realization or return of the collateral to the Fund may be delayed or limited.
Options: Certain Funds may write and purchase put and call options from time to time. When a Fund writes an option, an amount equal to the premium received by the Fund is reflected as an asset and an equivalent liability. The amount of the liability is subsequently marked to market to reflect the current market value of the option written. When a security is purchased or sold through an exercise of an option, the related premium paid (or received) is added to (or deducted from) the basis of the security acquired or deducted from (or added to) the proceeds of the security sold. When an option expires, the Fund realizes a gain or loss on the option to the extent of the premiums received or paid. When a Fund enters into a closing transaction, the Fund realizes a gain or loss to the extent the cost of the closing transaction exceeds the premiums paid or received. Written uncovered call options subject the Funds to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Put options written subject the Funds to risk of loss if the value of the security declines below the exercise price minus the put premium. The Fund, as writer of an option, bears the market risk of
210 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
an unfavorable change in the price of the security underlying the written option. Written and purchased options are non-income producing investments.
Transactions in call and put options written during the period ended June 30, 2014 for AQR Diversified Arbitrage Fund and the AQR Multi-Strategy Alternative Fund were as follows:
CALL OPTIONS | ||||||||
AQR DIVERSIFIED ARBITRAGE FUND | NUMBER OF CONTRACTS SUBJECT TO CALL |
PREMIUM | ||||||
Options outstanding, December 31, 2013 |
(10,229 | ) | $ | (2,511,095 | ) | |||
Options written |
(16,312 | ) | (1,483,251 | ) | ||||
Options expired |
13,991 | 535,746 | ||||||
Options exercised |
3,371 | 822,590 | ||||||
Options outstanding, June 30, 2014 |
(9,179 | ) | $ | (2,636,010 | ) | |||
CALL OPTIONS | ||||||||
AQR MULTI-STRATEGY ALTERNATIVE FUND | NUMBER OF CONTRACTS SUBJECT TO CALL |
PREMIUM | ||||||
Options outstanding, December 31, 2013 |
(1,432 | ) | $ | (10,237 | ) | |||
Options written |
(2,594 | ) | (249,083 | ) | ||||
Options expired |
1,432 | 10,237 | ||||||
Options exercised |
2,594 | 249,083 | ||||||
Options outstanding, June 30, 2014 |
| $ | |
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: Income, non-class specific expenses, realized and unrealized gains and losses are allocated daily to each class of shares based upon the proportion of relative net assets 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.
The Funds may be subject to foreign taxes on income, capital gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.
Organization and Offering Costs: Organizational costs incurred by the relevant funds, including professional and incorporation fees, are fully expensed by the end of the fiscal period. Offering costs, including professional fees,
AQR Funds | Semi-Annual Report | June 2014 | 211 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
printing fees and the offering of the initial registration, are amortized over a period not longer than twelve months from the date the Funds commenced operations.
Foreign Currency Translation: The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and the other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
Although the net assets of the Funds are presented at the foreign exchange rates and market values at the close of the period, the Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held or sold during the period. Accordingly, such foreign currency gains (losses) are included in the reported net realized and unrealized gains (losses) on investment transactions.
Reported realized foreign currency gains or losses arise from the disposition of foreign currency and forward foreign currency exchange contracts, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Funds 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 June 30, 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.
212 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
Indemnification: In the normal course of business, the Funds may enter into various agreements that provide for general indemnifications. The Funds maximum exposure under these arrangements is unknown as any potential exposure involves future claims that may be made against the Funds. However, based on experience, the Funds expect the risk of loss to be remote.
4. Federal Income Tax Matters
At June 30, 2014, the cost of long security positions and aggregate gross unrealized appreciation (depreciation) of investments for federal income tax purposes were as follows:
FUND | COST OF INVESTMENTS |
GROSS UNREALIZED APPRECIATION |
GROSS UNREALIZED DEPRECIATION |
NET UNREALIZED APPRECIATION (DEPRECIATION) |
||||||||||||
AQR Diversified Arbitrage Fund |
$ | 3,666,201,452 | $ | 204,400,301 | $ | (97,076,882 | ) | $ | 107,323,419 | |||||||
AQR Long-Short Equity Fund |
13,795,275 | | | | ||||||||||||
AQR Global Macro Fund |
23,197,978 | | | | ||||||||||||
AQR Managed Futures Strategy Fund |
5,784,359,538 | | (33,180,595 | ) | (33,180,595 | ) | ||||||||||
AQR Managed Futures Strategy HV Fund |
144,052,601 | | (998,087 | ) | (998,087 | ) | ||||||||||
AQR Risk-Balanced Commodities Strategy Fund |
69,154,652 | | (5,223,038 | ) | (5,223,038 | ) | ||||||||||
AQR Risk Parity Fund |
759,329,502 | 514,156 | (174 | ) | 513,982 | |||||||||||
AQR Risk Parity II MV Fund |
92,388,996 | | (367,220 | ) | (367,220 | ) | ||||||||||
AQR Risk Parity II HV Fund |
67,717,743 | | (325,519 | ) | (325,519 | ) | ||||||||||
AQR Multi-Strategy Alternative Fund |
1,718,997,106 | 270,154,040 | (9,357,429 | ) | 260,796,611 | |||||||||||
AQR Style Premia Alternative Fund |
805,295,472 | 29,886,762 | (4,405,503 | ) | 25,481,259 |
The differences between book basis and tax basis appreciation (depreciation) on investments is primarily attributable to wash sale loss deferrals.
As of December 31, 2013, for federal income tax purposes, the following Funds have capital loss carryforwards available to offset capital gains, if any, to the extent provided by the U.S. Treasury regulations.
FUND | SHORT-TERM | LONG TERM | ||||||
AQR Risk Parity II MV Fund |
$ | 149,623 | $ | | ||||
AQR Risk Parity II HV Fund |
149,828 | | ||||||
AQR Multi-Strategy Alternative Fund |
6,331,656 | 19,274,287 |
Under the Regulated Investment Company Modernization Act of 2010, the Funds are permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. Post-enactment capital loss carryforwards retain their character as either short-term or long-term capital losses rather than being considered short-term as under previous law. Any post-enactment capital losses generated will be required to be utilized prior to the losses incurred in pre-enactment tax years.
5. Fair Value Measurements
The Funds utilize various inputs in determining the value of each Funds 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 Funds own assumptions in determining the fair value of investments)
AQR Funds | Semi-Annual Report | June 2014 | 213 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
Valuation methodology and inputs
An investment assets or liabilitys 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 of the Western Hemisphere 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.
Credit default swaps are carried at their estimated fair value, as determined in good faith by pricing services approved by the Board of Trustees. In addition to credit quality, the Funds monitor a variety of factors including cash flow assumptions, market activity, market sentiment and valuation as part of their ongoing process of assessing payment and performance risk. As payment and performance risk increases, the value of a credit default swap contract increases, resulting in recognition of unrealized gains for long positions and unrealized losses for
214 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
short positions. Conversely, as payment and performance risk decreases, unrealized gains are recognized for short positions and unrealized losses are recognized for long positions. The change in value is recorded within unrealized appreciation/(depreciation) until the occurrence of a credit event or the termination of the swap, at which time a realized gain/(loss) is recorded. Those OTC derivatives that have less liquidity or for which inputs are unobservable are classified within Level 3. While the valuations of these less liquid OTC derivatives may utilize some Level 1 and/or Level 2 inputs, they also include other unobservable inputs which are considered significant to the fair value determination. At each measurement date, the Funds update the Level 1 and Level 2 inputs to reflect observable inputs, though the resulting gains and losses are reflected within Level 3 due to the significance of the unobservable inputs.
Securities, for which market quotations or independent pricing service quotations are not readily available, are not readily marketable, or model priced and all other assets of the Funds are valued at fair value using valuation procedures for the Funds, which have been approved by the Board of Trustees. The Advisor has established a Valuation Committee (the VC) which is responsible for overseeing the pricing and valuation of all securities held in the Funds. The VC operates under the valuation procedures approved by the Funds Board of Trustees. The VC meets quarterly and on an as-needed basis. The VC is responsible for valuing any securities or other assets for which prices or valuations are not readily determinable by the Funds pricing services. The VC considers time-sensitive valuation issues, including those relating to market closures, changes in illiquid security values, model prices and other events that may have a potentially material impact on security values. On a quarterly basis the VC meets to review the results of back test reports generated by the Advisors internal risk department. The VC prepares for the Funds Board of Trustees an analysis relating to Level 3 positions. On a daily basis, the Trusts fund accounting agent compares trade execution prices to the prior nights 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 June 30, 2014 in valuing the Funds assets carried at fair value:
AQR DIVERSIFIED ARBITRAGE FUND | QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS |
SIGNIFICANT UNOBSERVABLE INPUTS |
TOTALS | ||||||||||||
ASSETS |
||||||||||||||||
Common Stocks |
$ | 1,424,528,592 | $ | 120,494,853 | $ | 8,649,556 | $ | 1,553,673,001 | ||||||||
Convertible Preferred Stocks |
111,703,194 | 92,424,525 | 23,676,350 | 227,804,069 | ||||||||||||
Corporate Bonds |
| 319,007,061 | 101,487,753 | 420,494,814 | ||||||||||||
Convertible Bonds |
| 1,124,688,183 | 5,769,826 | 1,130,458,009 | ||||||||||||
Closed End Funds |
123,803,355 | 8,624,990 | | 132,428,345 | ||||||||||||
Loan Participations |
| 18,504,721 | 3,005,640 | 21,510,361 | ||||||||||||
Preferred Stocks |
4,382,234 | 4,754,861 | 898,796 | 10,035,891 | ||||||||||||
Rights |
160,707 | 607,824 | 2,835 | 771,366 | ||||||||||||
Warrants |
8,753,651 | 4,309,302 | 1,104,243 | 14,167,196 | ||||||||||||
Money Market Funds |
| 256,664,344 | | 256,664,344 | ||||||||||||
Purchased Options |
5,517,475 | | | 5,517,475 | ||||||||||||
Futures Contracts* |
262,388 | | | 262,388 | ||||||||||||
Total Return Basket Swaps Contracts* |
| 121,487 | | 121,487 | ||||||||||||
Total Assets |
$ | 1,679,111,596 | $ | 1,950,202,151 | $ | 144,594,999 | $ | 3,773,908,746 |
AQR Funds | Semi-Annual Report | June 2014 | 215 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
AQR DIVERSIFIED ARBITRAGE FUND | QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS |
SIGNIFICANT UNOBSERVABLE INPUTS |
TOTALS | ||||||||||||
LIABILITIES |
||||||||||||||||
Common Stocks (Sold Short) |
$ | (1,524,910,896 | ) | $ | (4,869,770 | ) | $ | | $ | (1,529,780,666 | ) | |||||
Convertible Bonds (Sold Short) |
| (26,508,547 | ) | | (26,508,547 | ) | ||||||||||
Exchange-Traded Funds (Sold Short) |
(124,266 | ) | | | (124,266 | ) | ||||||||||
Preferred Stocks (Sold Short) |
| (15,943,388 | ) | | (15,943,388 | ) | ||||||||||
U.S. Treasury Obligations (Sold Short) |
| (2,877,697 | ) | | (2,877,697 | ) | ||||||||||
Futures Contracts* |
(5,818,725 | ) | | | (5,818,725 | ) | ||||||||||
Forward Foreign Currency Exchange Contracts* |
| (301,850 | ) | | (301,850 | ) | ||||||||||
Written Options* |
(1,182,950 | ) | (64,215 | ) | | (1,247,165 | ) | |||||||||
Credit Default Swap Contracts* |
| (26,738,251 | ) | | (26,738,251 | ) | ||||||||||
Total Liabilities |
$ | (1,532,036,837 | ) | $ | (77,303,718 | ) | $ | | $ | (1,609,340,555 | ) |
Quantitative Information about Level 3 Fair Value Measurements*
RANGE | ||||||||||||
FAIR VALUE AT 6/30/2014 |
VALUATION TECHNIQUE(S) |
UNOBSERVABLE INPUT(S) |
RANGE | RANGE WEIGHTED AVG. | ||||||||
Common Stocks | $696,171 | Enterprise Value Waterfall | Volatility | 45.6%65.6% | 59.3% | |||||||
$387,409 | Black Scholes Model | Volatility | 79.8% | N/A | ||||||||
$521,334 | Liquidation Analysis | Volatility | 71.3% | N/A | ||||||||
$124,715 | Options Pricing Model | Discount for lack of marketability** |
7.1% | N/A | ||||||||
Volatility | 53.1% | N/A | ||||||||||
$1,472,060 | As Converted Equivalent | Discount for lack |
19.7% |
N/A | ||||||||
Volatility | 36.2% | N/A | ||||||||||
Preferred Stock | $898,796 | Enterprise Value Waterfall | Discount for lack of marketability** |
6.3% | N/A | |||||||
Volatility | 38.6% | N/A | ||||||||||
Convertible Preferred Stocks | $5,106 | As Converted Equivalent | Discount for lack |
16.4% |
N/A | |||||||
Volatility | 50.7% | N/A | ||||||||||
Corporate Bonds | $104,546 | Liquidation Analysis | Volatility | 54.4% | N/A | |||||||
Convertible Bonds | $239,510 | Liquidation Analysis | Volatility | 54.4% | N/A | |||||||
$1,796 | Recovery Value | Volatility | 58.1% | N/A | ||||||||
Warrants | $40,681 | Black Scholes Model | Discount for lack |
29.0%45.1% |
32.6% | |||||||
Volatility | 52.9%73.0% | 66.77% |
* | The table above does not include Level 3 securities that are valued by pricing vendors or brokers. At June 30, 2014, the value of these securities was $140,102,874. The inputs for these securities are not readily available or cannot be reasonably estimated and are generally those inputs described in Note 5. The appropriateness of fair values for these securities is monitored on an ongoing basis which may include results of back testing, results of pricing vendor and/or broker due diligence, unchanged price review and consideration of macro or security specific events. |
** | Represents amounts used when the reporting entity has determined that market participants would take into account discounts, as applicable, when pricing the investments. |
216 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
Level 3 values are based on significant unobservable inputs that reflect the Advisors determination of assumptions that market participants might reasonably use in valuing the securities. Changes in significant unobservable inputs could cause significant changes in valuation to individual securities and in aggregate. Fair value determinations and valuation of investments that are not actively trading involve judgment and may differ materially from valuations that would have been used had greater market activity occurred.
The significant unobservable inputs used in the fair value measurement of the Funds investments in common stocks, corporate bonds, convertible bonds, convertible preferred stocks and warrants potentially include credit spread, liquidity discount and volatility. Significant increases in the credit spread or liquidity discount inputs in isolation would potentially result in a significantly lower fair value measurement, whereas an increase in volatility generally results in a higher fair value measurement. Generally, a change in the assumption used for the credit spread would be accompanied by a directionally-similar change in the assumptions used for the volatility and liquidity discount. Investments in common stocks potentially include liquidity discount, theoretical value, book to value analysis and/or broker quotes. Significant changes in any of these inputs would significantly change the fair value measurement of the position.
The following is a reconciliation of assets and liabilities in which significant unobservable inputs (Level 3) were used in determining fair value:
AQR DIVERSIFIED ARBITRAGE FUND |
COMMON STOCKS |
CONVERTIBLE PREFERRED STOCKS |
LOAN PARTICIPATIONS/ CORPORATE BONDS |
CONVERTIBLE BONDS |
PREFERRED STOCKS |
RIGHTS | WARRANTS | |||||||||||||||||||||
Balance as of December 31, 2013 |
$14,041,304 | $24,735,848 | $74,581,303 | $7,850,420 | $20,828,897 | $2,835 | $9,194,739 | |||||||||||||||||||||
Accrued discounts/ (premiums) |
| | (692,596 | ) | 920 | | | | ||||||||||||||||||||
Realized gain/(loss) |
(4 | ) | (56,989 | ) | 147,031 | 446,879 | 343,509 | | (471,699 | ) | ||||||||||||||||||
Change in unrealized appreciation/(depreciation) |
635,827 | 102,196 | (3,983,848 | ) | (350,386 | ) | (139,288 | ) | | (5,586,206 | ) | |||||||||||||||||
Purchases 1 |
928,441 | | 39,949,501 | 5,416,118 | | | | |||||||||||||||||||||
Sales 2 |
| (1,104,705 | ) | (43,105,084 | ) | (7,594,125 | ) | (20,134,322 | ) | | (2,045,390 | ) | ||||||||||||||||
Transfers in to Level 3 |
5,399,146 | | 45,816,525 | | | | 255,610 | |||||||||||||||||||||
Transfers out of Level 3 |
(12,355,158 | ) | | (8,219,439 | ) | | | | (242,811 | ) | ||||||||||||||||||
Balance as of June 30, 2014 |
$8,649,556 | $23,676,350 | $104,493,393 | $5,769,826 | $898,796 | $2,835 | $1,104,243 | |||||||||||||||||||||
Change in Unrealized appreciation/(depreciation) for securities still held at June 30, 2014 |
$635,829 | $4,292 | $(5,968,307) | $(157,966) | $31,975 | $ | $498,543 |
1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in a corporate action. |
AQR Funds | Semi-Annual Report | June 2014 | 217 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
AQR LONG-SHORT EQUITY FUND | QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT (LEVEL 2) |
SIGNIFICANT (LEVEL 3) |
TOTALS | ||||||||||||
ASSETS |
||||||||||||||||
Money Market Funds |
$ | | $ | 13,795,275 | $ | | $ | 13,795,275 | ||||||||
Forward Foreign Currency Exchange Contracts* |
| 32,840 | | 32,840 | ||||||||||||
Futures Contracts* |
46,604 | | | 46,604 | ||||||||||||
Total Return Basket Swaps Contracts* |
| 626,207 | | 626,207 | ||||||||||||
Total Assets |
$ | 46,604 | $ | 14,454,322 | $ | | $ | 14,500,926 | ||||||||
LIABILITIES |
||||||||||||||||
Total Return Swap Contracts* |
$ | | $ | (3,116 | ) | $ | | $ | (3,116 | ) | ||||||
Total Liabilities |
$ | | $ | (3,116 | ) | $ | | $ | (3,116 | ) | ||||||
AQR GLOBAL MACRO FUND | QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT OBSERVABLE INPUTS (LEVEL 2) |
SIGNIFICANT (LEVEL 3) |
TOTALS | ||||||||||||
ASSETS |
||||||||||||||||
Money Market Funds |
$ | | $ | 23,197,978 | $ | | $ | 23,197,978 | ||||||||
Futures Contracts* |
96,835 | | | 96,835 | ||||||||||||
Forward Foreign Currency Exchange Contracts* |
| 7,256 | | 7,256 | ||||||||||||
Total Return Swap Contracts* |
| 86,300 | | 86,300 | ||||||||||||
Total Assets |
$ | 96,835 | $ | 23,291,534 | $ | | $ | 23,388,369 | ||||||||
LIABILITIES |
||||||||||||||||
Futures Contracts* |
$ | (600,596 | ) | $ | | $ | | $ | (600,596 | ) | ||||||
Interest Rate Swap Contracts* |
| (57,250 | ) | | (57,250 | ) | ||||||||||
Total Liabilities |
$ | (600,596 | ) | $ | (57,250 | ) | $ | | $ | (657,846 | ) | |||||
AQR MANAGED FUTURES STRATEGY FUND |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT (LEVEL 2) |
SIGNIFICANT (LEVEL 3) |
TOTALS | ||||||||||||
ASSETS |
||||||||||||||||
Short-Term Investments |
$ | | $ | 4,263,064,561 | $ | | $ | 4,263,064,561 | ||||||||
Money Market Funds |
| 1,488,114,382 | | 1,488,114,382 | ||||||||||||
Futures Contracts* |
50,074,154 | | | 50,074,154 | ||||||||||||
Forward Foreign Currency Exchange Contracts* |
| 61,983,826 | | 61,983,826 | ||||||||||||
Total Return Swap Contracts* |
| 7,676,385 | | 7,676,385 | ||||||||||||
Total Assets |
$ | 50,074,154 | $ | 5,820,839,154 | $ | | $ | 5,870,913,308 | ||||||||
LIABILITIES |
||||||||||||||||
Total Return Swap Contracts* |
$ | | $ | (15,995,269 | ) | $ | | $ | (15,995,269 | ) | ||||||
Total Liabilities |
$ | | $ | (15,995,269 | ) | $ | | $ | (15,995,269 | ) |
218 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
AQR MANAGED FUTURES STRATEGY HV FUND |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT (LEVEL 2) |
SIGNIFICANT (LEVEL 3) |
TOTALS | ||||||||||||
ASSETS |
||||||||||||||||
Short-Term Investments |
$ | | $ | 82,698,291 | $ | | $ | 82,698,291 | ||||||||
Money Market Funds |
| 60,356,223 | | 60,356,223 | ||||||||||||
Futures Contracts* |
1,980,011 | | | 1,980,011 | ||||||||||||
Forward Foreign Currency Exchange Contracts* |
| 2,684,685 | | 2,684,685 | ||||||||||||
Total Return Swap Contracts* |
| 570,762 | | 570,762 | ||||||||||||
Total Assets |
$ | 1,980,011 | $ | 146,309,961 | $ | | $ | 148,289,972 | ||||||||
LIABILITIES |
||||||||||||||||
Futures Contracts* |
$ | (248,673 | ) | $ | | $ | | $ | (248,673 | ) | ||||||
Total Return Swap Contracts* |
| (994,664 | ) | | (994,664 | ) | ||||||||||
Total Liabilities |
$ | (248,673 | ) | $ | (994,664 | ) | $ | | $ | (1,243,337 | ) | |||||
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT (LEVEL 2) |
SIGNIFICANT (LEVEL 3) |
TOTALS | ||||||||||||
ASSETS |
||||||||||||||||
Short-Term Investments |
$ | | $ | 749,837 | $ | | $ | 749,837 | ||||||||
Money Market Funds |
| 63,181,777 | | 63,181,777 | ||||||||||||
Total Return Swap Contracts* |
| 1,505,234 | | 1,505,234 | ||||||||||||
Total Assets |
$ | | $ | 65,436,848 | $ | | $ | 65,436,848 | ||||||||
LIABILITIES |
||||||||||||||||
Futures Contracts* |
$ | (39,433 | ) | $ | | $ | | $ | (39,433 | ) | ||||||
Total Return Swap Contracts* |
| (493,182 | ) | | (493,182 | ) | ||||||||||
Total Liabilities |
$ | (39,433 | ) | $ | (493,182 | ) | $ | | $ | (532,615 | ) | |||||
AQR RISK PARITY FUND | QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT (LEVEL 2) |
SIGNIFICANT (LEVEL 3) |
TOTALS | ||||||||||||
ASSETS |
||||||||||||||||
Government Related Obligations |
$ | | $ | 131,274,209 | $ | | $ | 131,274,209 | ||||||||
Short-Term Investments |
| 123,990,206 | | 123,990,206 | ||||||||||||
U.S. Treasury Obligations |
| 225,129,080 | | 225,129,080 | ||||||||||||
Money Market Funds |
| 279,449,989 | | 279,449,989 | ||||||||||||
Futures Contracts* |
2,703,998 | | | 2,703,998 | ||||||||||||
Interest Rate Swap Contracts* |
| 8,410,649 | | 8,410,649 | ||||||||||||
Credit Default Swap Contracts* |
| 34,630,582 | | 34,630,582 | ||||||||||||
Total Return Swap Contracts* |
| 8,526,912 | | 8,526,912 | ||||||||||||
Total Assets |
$ | 2,703,998 | $ | 811,411,627 | $ | | $ | 814,115,625 | ||||||||
LIABILITIES |
||||||||||||||||
Forward Foreign Currency Exchange Contracts* |
$ | | $ | (315,677 | ) | $ | | $ | (315,677 | ) | ||||||
Total Return Swap Contracts* |
| (1,874,951 | ) | | (1,874,951 | ) | ||||||||||
Total Liabilities |
$ | | $ | (2,190,628 | ) | $ | | $ | (2,190,628 | ) |
AQR Funds | Semi-Annual Report | June 2014 | 219 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
AQR RISK PARITY II MV FUND | QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT (LEVEL 2) |
SIGNIFICANT (LEVEL 3) |
TOTALS | ||||||||||||
ASSETS |
||||||||||||||||
Government Related Obligations |
$ | | $ | 18,926,300 | $ | | $ | 18,926,300 | ||||||||
Short-Term Investments |
| 6,215,236 | | 6,215,236 | ||||||||||||
U.S. Treasury Obligations |
| 32,934,440 | | 32,934,440 | ||||||||||||
Money Market Funds |
| 33,945,800 | | 33,945,800 | ||||||||||||
Futures Contracts* |
762,816 | | | 762,816 | ||||||||||||
Total Return Swap Contracts* |
| 888,239 | | 888,239 | ||||||||||||
Total Assets |
$ | 762,816 | $ | 92,910,015 | $ | | $ | 93,672,831 | ||||||||
LIABILITIES |
||||||||||||||||
Futures Contracts* |
$ | (49,516 | ) | $ | | $ | | $ | (49,516 | ) | ||||||
Forward Foreign Currency Exchange Contracts* |
| (191,543 | ) | | (191,543 | ) | ||||||||||
Total Return Swap Contracts* |
| (145,421 | ) | | (145,421 | ) | ||||||||||
Total Liabilities |
$ | (49,516 | ) | $ | (336,964 | ) | $ | | $ | (386,480 | ) |
AQR RISK PARITY II HV FUND | QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT (LEVEL 2) |
SIGNIFICANT (LEVEL 3) |
TOTALS | ||||||||||||
ASSETS |
||||||||||||||||
Government Related Obligations |
$ | | $ | 13,799,986 | $ | | $ | 13,799,986 | ||||||||
Short-Term Investments |
| 5,917,877 | | 5,917,877 | ||||||||||||
U.S. Treasury Obligations |
| 23,785,661 | | 23,785,661 | ||||||||||||
Money Market Funds |
| 23,888,700 | | 23,888,700 | ||||||||||||
Futures Contracts* |
590,981 | | | 590,981 | ||||||||||||
Total Return Swap Contracts* |
| 611,435 | | 611,435 | ||||||||||||
Total Assets |
$ | 590,981 | $ | 68,003,659 | $ | | $ | 68,594,640 | ||||||||
LIABILITIES |
||||||||||||||||
Reverse Repurchase Agreements (Sold Short) |
$ | | $ | (23,483,375 | ) | $ | | $ | (23,483,375 | ) | ||||||
Forward Foreign Currency Exchange Contracts* |
| (137,009 | ) | | (137,009 | ) | ||||||||||
Total Return Swap Contracts* |
| (136,253 | ) | | (136,253 | ) | ||||||||||
Total Liabilities |
$ | | $ | (23,756,637 | ) | $ | | $ | (23,756,637 | ) |
220 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT (LEVEL 2) |
SIGNIFICANT (LEVEL 3) |
TOTALS | ||||||||||||
ASSETS |
||||||||||||||||
Common Stocks |
$ | 87,491,037 | $ | 757,167,830 | $ | | $ | 844,658,867 | ||||||||
Convertible Preferred Stocks |
28,919,274 | 3,244,945 | | 32,164,219 | ||||||||||||
Corporate Bonds |
| 53,306,179 | 8,366,712 | 61,672,891 | ||||||||||||
Convertible Bonds |
| 452,080,865 | 225,000 | 452,305,865 | ||||||||||||
Preferred Stocks |
1,136,003 | 4,960,275 | | 6,096,278 | ||||||||||||
Rights |
| 261,505 | | 261,505 | ||||||||||||
Short-Term Investments |
| 64,360,719 | | 64,360,719 | ||||||||||||
Money Market Funds |
| 518,273,373 | | 518,273,373 | ||||||||||||
Futures Contracts* |
2,130,376 | | | 2,130,376 | ||||||||||||
Forward Foreign Currency Exchange Contracts* |
| 14,203,089 | | 14,203,089 | ||||||||||||
Credit Default Swap Contracts* |
| 3,359,146 | | 3,359,146 | ||||||||||||
Total Return Basket Swaps Contracts |
| 71,906,540 | | 71,906,540 | ||||||||||||
Total Return Swap Contracts* |
| 6,212,585 | | 6,212,585 | ||||||||||||
Total Assets |
$ | 119,676,690 | $ | 1,949,337,051 | $ | 8,591,712 | $ | 2,077,605,453 | ||||||||
LIABILITIES |
||||||||||||||||
Common Stocks (Sold Short) |
$ | (415,601,729 | ) | $ | (625,719,834 | ) | $ | | $ | (1,041,321,563 | ) | |||||
Preferred Stocks (Sold Short) |
| (5,316,284 | ) | | (5,316,284 | ) | ||||||||||
U.S. Treasury Obligations (Sold Short) |
| (1,726,618 | ) | | (1,726,618 | ) | ||||||||||
Futures Contracts* |
(10,999,816 | ) | | | (10,999,816 | ) | ||||||||||
Total Return Basket Swaps Contracts |
| (94,408 | ) | | (94,408 | ) | ||||||||||
Total Return Swap Contracts* |
| (698,146 | ) | | (698,146 | ) | ||||||||||
Total Liabilities |
$ | (426,601,545 | ) | $ | (633,555,290 | ) | $ | | $ | (1,060,156,835 | ) |
AQR MULTI-STRATEGY ALTERNATIVE FUND | COMMON STOCK |
CORPORATE BOND |
CONVERTIBLE BOND |
|||||||||
Balance as of December 31, 2013 | $ | | $ | | $ | 1,089,000 | ||||||
Accrued discounts/(premiums) |
| (223,007 | ) | 934 | ||||||||
Realized gain/(loss) |
209,843 | (217,903 | ) | | ||||||||
Change in unrealized appreciation/(depreciation) |
596,469 | 274,874 | 8,961 | |||||||||
Purchases |
8,297,891 | | | |||||||||
Sales |
(2,858,948 | ) | (3,214,690 | ) | (1,096,786 | ) | ||||||
Transfers in to Level 3 |
| 11,747,438 | 222,891 | |||||||||
Transfers out of Level 3 |
| | | |||||||||
Balance as of June 30, 2014 | $ | 6,245,255 | $ | 8,366,712 | $ | 225,000 | ||||||
Change in Unrealized appreciation/(depreciation) for securities still held at June 30, 2014 | $ | 596,469 | $ | 274,874 | $ | 1,143 |
AQR Funds | Semi-Annual Report | June 2014 | 221 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
AQR STYLE PREMIA ALTERNATIVE FUND |
QUOTED PRICES (LEVEL 1) |
OTHER SIGNIFICANT (LEVEL 2) |
SIGNIFICANT (LEVEL 3) |
TOTALS | ||||||||||||
ASSETS |
||||||||||||||||
Common Stocks |
$ | | $ | 326,140,069 | $ | | $ | 326,140,069 | ||||||||
Preferred Stocks |
| 10,309,562 | | 10,309,562 | ||||||||||||
Rights |
| 61,595 | | 61,595 | ||||||||||||
Money Market Funds |
| 494,265,505 | | 494,265,505 | ||||||||||||
Futures Contracts* |
1,130,990 | | | 1,130,990 | ||||||||||||
Forward Foreign Currency Exchange Contracts* |
| 1,760,928 | | 1,760,928 | ||||||||||||
Total Return Basket Swaps Contracts |
| 23,344,021 | | 23,344,021 | ||||||||||||
Total Return Swap Contracts* |
| 1,451,818 | | 1,451,818 | ||||||||||||
Total Assets |
$ | 1,130,990 | $ | 857,333,498 | $ | | $ | 858,464,488 | ||||||||
LIABILITIES |
||||||||||||||||
Common Stocks (Sold Short) |
$ | | $ | (273,314,018 | ) | $ | | $ | (273,314,018 | ) | ||||||
Rights (Sold Short) |
| (10,644 | ) | | (10,644 | ) | ||||||||||
Futures Contracts* |
(836,703 | ) | | | (836,703 | ) | ||||||||||
Total Return Swap Contracts* |
| (924,561 | ) | | (924,561 | ) | ||||||||||
Total Liabilities |
$ | (836,703 | ) | $ | (274,249,223 | ) | $ | | $ | (275,085,926 | ) |
* | Derivative instruments, including futures, total return swap, total return basket swap and forward foreign currency exchange contracts, are valued at the unrealized appreciation (depreciation) of the instrument. Credit default swap, interest rate swap and option contracts are reported at market value. |
| 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 for any of the Funds. There were no Level 3 securities held at period end, except where noted in AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund.
6. Investment Transactions
During the period ended June 30, 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 | SECURITIES SOLD SHORT |
COVERS ON SECURITIES SOLD SHORT |
||||||||||||
AQR Diversified Arbitrage Fund |
$ | 3,825,478,446 | $ | 2,456,291,967 | $ | 1,780,148,729 | $ | 703,016,617 | ||||||||
AQR Long-Short Equity Fund |
| | | | ||||||||||||
AQR Global Macro Fund |
| | | | ||||||||||||
AQR Managed Futures Strategy Fund |
| | | | ||||||||||||
AQR Managed Futures Strategy HV Fund |
| | | | ||||||||||||
AQR Risk-Balanced Commodities Strategy Fund |
| | | | ||||||||||||
AQR Risk Parity Fund |
156,127,148 | 153,649,229 | | | ||||||||||||
AQR Risk Parity II MV Fund |
38,768,865 | 9,101,184 | | | ||||||||||||
AQR Risk Parity II HV Fund |
24,952,712 | 3,989,971 | | | ||||||||||||
AQR Multi-Strategy Alternative Fund |
504,861,408 | 525,210,118 | 402,962,267 | 394,040,325 | ||||||||||||
AQR Style Premia Alternative Fund |
153,957,442 | 33,887,066 | 151,315,384 | 55,295,531 |
222 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
During the period ended June 30, 2014, the Funds had purchases and sales of long-term U.S. Government obligations as follows:
FUND | PURCHASES | SALES | ||||||
AQR Diversified Arbitrage Fund |
$ | 34,327,792 | $ | 39,290,680 | ||||
AQR Risk Parity Fund |
90,968,520 | 76,377,849 | ||||||
AQR Risk Parity II MV Fund |
23,275,522 | 3,526,052 | ||||||
AQR Risk Parity II HV Fund |
14,869,813 | 1,300,173 | ||||||
AQR Multi-Strategy Alternative Fund |
5,129,454 | 4,736,360 |
7. Derivative Instruments and Hedging Activities
Certain Funds use derivative instruments as part of their principal investment strategy to achieve their investment objectives. The Funds derivative contracts held at June 30, 2014, are not accounted for as hedging instruments under GAAP. The values of such derivative instruments reflected in the Statements of Assets and Liabilities at June 30, 2014 are as follows:
ASSETS | LIABILITIES | |||||||||||||||||||||||||||
FUND | UNREALIZED APPRECIATION ON FUTURES CONTRACTS |
SWAPS AT VALUE |
UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS |
UNREALIZED DEPRECIATION ON FUTURES CONTRACTS |
SWAPS AT VALUE |
UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS |
WRITTEN AT MARKET |
|||||||||||||||||||||
Equity Risk Exposure: | ||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | $ | | $ | 613,974 | $ | | $ | 5,635,392 | $ | 492,487 | $ | | $ | 1,247,165 | ||||||||||||||
AQR Long-Short Equity Fund | 57,534 | 638,084 | | 10,930 | 14,993 | | | |||||||||||||||||||||
AQR Global Macro Fund | 61,377 | 50,027 | | 128,886 | 1,362 | | | |||||||||||||||||||||
AQR Managed Futures Strategy Fund | 23,058,428 | 3,927,721 | | 13,687,266 | 3,273,161 | | | |||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | 967,910 | 118,654 | | 522,089 | 119,605 | | | |||||||||||||||||||||
AQR Risk Parity Fund | 3,121,694 | 284,726 | | 847,111 | 431,090 | | | |||||||||||||||||||||
AQR Risk Parity II MV Fund | 449,563 | 52,407 | | 132,973 | 56,666 | | | |||||||||||||||||||||
AQR Risk Parity II HV Fund | 335,071 | 30,629 | | 100,586 | 37,726 | | | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | 1,255,199 | 76,413,293 | | 6,455,976 | 3,307,995 | | | |||||||||||||||||||||
AQR Style Premia Alternative Fund | 3,522,279 | 27,181,271 | | 3,442,011 | 2,252,480 | | | |||||||||||||||||||||
Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | | | 504,074 | | | 805,924 | | |||||||||||||||||||||
AQR Long-Short Equity Fund | | | 37,319 | | | 4,479 | | |||||||||||||||||||||
AQR Global Macro Fund | | | 339,689 | | | 332,433 | | |||||||||||||||||||||
AQR Managed Futures Strategy Fund | | | 142,309,285 | | | 80,325,459 | | |||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | | | 5,207,847 | | | 2,523,162 | | |||||||||||||||||||||
AQR Risk Parity Fund | | | 2,500,566 | | | 2,816,243 | | |||||||||||||||||||||
AQR Risk Parity II MV Fund | | | 3,262 | | | 194,805 | | |||||||||||||||||||||
AQR Risk Parity II HV Fund | | | 1,652 | | | 138,661 | | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | | | 25,934,852 | | | 11,731,763 | | |||||||||||||||||||||
AQR Style Premia Alternative Fund | | | 8,359,770 | | | 6,598,842 | |
AQR Funds | Semi-Annual Report | June 2014 | 223 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
ASSETS | LIABILITIES | |||||||||||||||||||||||||||
FUND | UNREALIZED APPRECIATION ON FUTURES CONTRACTS |
SWAPS AT VALUE |
UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS |
UNREALIZED DEPRECIATION ON FUTURES CONTRACTS |
SWAPS AT VALUE |
UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS |
WRITTEN AT MARKET |
|||||||||||||||||||||
Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | 262,388 | | | 183,333 | | | | |||||||||||||||||||||
AQR Global Macro Fund | 15,477 | 1,922,999 | | 548,948 | 1,947,630 | | | |||||||||||||||||||||
AQR Managed Futures Strategy Fund | 40,701,550 | 6,146,857 | | 737,967 | 691,717 | | | |||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | 1,536,316 | 99,872 | | 32,374 | 26,230 | | | |||||||||||||||||||||
AQR Risk Parity Fund | 308,311 | 12,693,639 | | | 2,221,393 | | | |||||||||||||||||||||
AQR Risk Parity II MV Fund | 349,041 | 36,395 | | 486 | 302 | | | |||||||||||||||||||||
AQR Risk Parity II HV Fund | 240,633 | 66,657 | | 162 | 603 | | | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | 914,275 | 3,069,950 | | 7,058,712 | 223,252 | | | |||||||||||||||||||||
AQR Style Premia Alternative Fund | 3,898,231 | 1,000,961 | | 2,852,965 | 1,500,213 | | | |||||||||||||||||||||
Credit Risk Exposure: | ||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | | 2,305,293 | | | 29,043,544 | | | |||||||||||||||||||||
AQR Risk Parity Fund | | 34,761,938 | | | 131,356 | | | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | | 3,544,415 | | | 185,269 | | | |||||||||||||||||||||
Commodity Risk Exposure: | ||||||||||||||||||||||||||||
AQR Global Macro Fund | 224,301 | 5,016 | | 127,082 | | | | |||||||||||||||||||||
AQR Managed Futures Strategy Fund | 39,144,915 | 37,206,669 | | 38,405,506 | 51,635,253 | | | |||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | 781,327 | 1,772,484 | | 999,752 | 2,269,077 | | | |||||||||||||||||||||
AQR Risk-Balanced Commodities Strategy Fund | 770,048 | 7,756,530 | | 809,481 | 6,744,478 | | | |||||||||||||||||||||
AQR Risk Parity Fund | 121,104 | 20,525,595 | | | 15,788,867 | | | |||||||||||||||||||||
AQR Risk Parity II MV Fund | 686,125 | 1,767,032 | | 637,970 | 1,056,048 | | | |||||||||||||||||||||
AQR Risk Parity II HV Fund | 508,096 | 1,266,001 | | 392,071 | 849,776 | | | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | 5,321,869 | 5,938,628 | | 2,846,095 | 4,564,053 | | | |||||||||||||||||||||
AQR Style Premia Alternative Fund |
2,149,420 | 1,433,486 | | 2,980,667 | 1,991,747 | | | |||||||||||||||||||||
Netting: | ||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | (262,388 | ) | (2,919,267 | ) | (504,074 | ) | (262,388 | ) | (2,919,267 | ) | (504,074 | ) | | |||||||||||||||
AQR Long-Short Equity Fund | (10,930 | ) | (14,993 | ) | (4,479 | ) | (10,930 | ) | (14,993 | ) | (4,479 | ) | | |||||||||||||||
AQR Global Macro Fund | (301,155 | ) | (1,948,992 | ) | (332,433 | ) | (301,155 | ) | (1,948,992 | ) | (332,433 | ) | | |||||||||||||||
AQR Managed Futures Strategy Fund | (52,830,739 | ) | (47,281,247 | ) | (80,325,459 | ) | (52,830,739 | ) | (47,281,247 | ) | (80,325,459 | ) | | |||||||||||||||
AQR Managed Futures Strategy HV Fund | (1,554,215 | ) | (1,991,010 | ) | (2,523,162 | ) | (1,554,215 | ) | (1,991,010 | ) | (2,523,162 | ) | | |||||||||||||||
AQR Risk-Balanced Commodities Strategy Fund | (770,048 | ) | (6,744,478 | ) | | (770,048 | ) | (6,744,478 | ) | | | |||||||||||||||||
AQR Risk Parity Fund | (847,111 | ) | (18,572,706 | ) | (2,500,566 | ) | (847,111 | ) | (18,572,706 | ) | (2,500,566 | ) | | |||||||||||||||
AQR Risk Parity II MV Fund | (771,429 | ) | (1,113,016 | ) | (3,262 | ) | (771,429 | ) | (1,113,016 | ) | (3,262 | ) | | |||||||||||||||
AQR Risk Parity II HV Fund | (492,819 | ) | (888,105 | ) | (1,652 | ) | (492,819 | ) | (888,105 | ) | (1,652 | ) | | |||||||||||||||
AQR Multi-Strategy Alternative Fund | (7,491,343 | ) | (8,280,569 | ) | (11,731,763 | ) | (7,491,343 | ) | (8,280,569 | ) | (11,731,763 | ) | | |||||||||||||||
AQR Style Premia Alternative Fund |
(9,275,643 | ) | (5,744,440 | ) | (6,598,842 | ) | (9,275,643 | ) | (5,744,440 | ) | (6,598,842 | ) | |
224 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
ASSETS | LIABILITIES | |||||||||||||||||||||||||||
FUND | |
UNREALIZED APPRECIATION ON FUTURES CONTRACTS |
|
|
SWAPS AT VALUE |
|
|
UNREALIZED APPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS |
|
|
UNREALIZED DEPRECIATION ON FUTURES CONTRACTS |
|
|
SWAPS AT VALUE |
|
|
UNREALIZED DEPRECIATION ON FORWARD CURRENCY EXCHANGE CONTRACTS |
|
|
WRITTEN OPTIONS AT MARKET |
| |||||||
Net Fair Value of Derivative Contracts: | ||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | $ | | $ | | $ | | $ | 5,556,337 | $ | 26,616,764 | $ | 301,850 | $ | 1,247,165 | ||||||||||||||
AQR Long-Short Equity Fund | 46,604 | 623,091 | 32,840 | | | | | |||||||||||||||||||||
AQR Global Macro Fund | | 29,050 | 7,256 | 503,761 | | | | |||||||||||||||||||||
AQR Managed Futures Strategy Fund | 50,074,154 | | 61,983,826 | | 8,318,884 | | | |||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | 1,731,338 | | 2,684,685 | | 423,902 | | | |||||||||||||||||||||
AQR Risk-Balanced Commodities Strategy Fund | | 1,012,052 | | 39,433 | | | | |||||||||||||||||||||
AQR Risk Parity Fund | 2,703,998 | 49,693,192 | | | | 315,677 | | |||||||||||||||||||||
AQR Risk Parity II MV Fund | 713,300 | 742,818 | | | | 191,543 | | |||||||||||||||||||||
AQR Risk Parity II HV Fund | 590,981 | 475,182 | | | | 137,009 | | |||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | | 80,685,717 | 14,203,089 | 8,869,440 | | | | |||||||||||||||||||||
AQR Style Premia Alternative Fund | 294,287 | 23,871,278 | 1,760,928 | | | | |
The following is the effect of Derivative Instruments on the Statements of Operations for the period ended June 30, 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 CURRENCY EXCHANGE CONTRACTS |
|
|
WRITTEN OPTIONS |
|
|
FUTURES CONTRACTS |
|
|
SWAP CONTRACTS |
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS |
|
|
WRITTEN OPTIONS |
| ||||||||
Equity Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | $ | (36,268,100 | ) | $ | (3,808,377 | ) | $ | | $ | 1,358,334 | $ | 7,056,222 | $ | 111,135,945 | $ | | $ | 1,452,160 | ||||||||||||||
AQR Long-Short Equity Fund | 309,461 | 79,342 | | | (34,875 | ) | 358,546 | | | |||||||||||||||||||||||
AQR Global Macro Fund | 62,498 | (144,795 | ) | | | (67,509 | ) | 48,665 | | | ||||||||||||||||||||||
AQR Managed Futures Strategy Fund | 129,919,426 | 27,021,047 | | | (99,868,816 | ) | (2,666,970 | ) | | | ||||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | 2,735,340 | 553,547 | | | (510,956 | ) | (28,849 | ) | | | ||||||||||||||||||||||
AQR Risk Parity Fund | 22,092,756 | 590,485 | | | (11,616,672 | ) | (1,456,862 | ) | | | ||||||||||||||||||||||
AQR Risk Parity II MV Fund | 2,202,813 | 169,234 | | | (584,191 | ) | (88,543 | ) | | | ||||||||||||||||||||||
AQR Risk Parity II HV Fund | 2,136,661 | 93,817 | | | (482,375 | ) | (74,906 | ) | | | ||||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | (20,865,452 | ) | (36,653,880 | ) | | 259,320 | (1,674,652 | ) | 38,960,186 | | (8,805 | ) | ||||||||||||||||||||
AQR Style Premia Alternative Fund | (472,701 | ) | (15,412,062 | ) | | | (1,303,541 | ) | 25,788,428 | | |
AQR Funds | Semi-Annual Report | June 2014 | 225 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 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 CURRENCY EXCHANGE CONTRACTS |
|
|
WRITTEN OPTIONS |
|
|
FUTURES CONTRACTS |
|
|
SWAP CONTRACTS |
|
|
FORWARD CURRENCY EXCHANGE CONTRACTS |
|
|
WRITTEN OPTIONS |
| ||||||||
Foreign Exchange Rate Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | $ | | $ | | $ | 420,718 | $ | | $ | | $ | | $ | 294,535 | $ | | ||||||||||||||||
AQR Long-Short Equity Fund | | | 8,450 | | | | 33,287 | | ||||||||||||||||||||||||
AQR Global Macro Fund | | | (65,037 | ) | | | | 7,256 | | |||||||||||||||||||||||
AQR Managed Futures Strategy Fund | | | (125,612,876 | ) | | | | (50,768,526 | ) | | ||||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | | | (3,193,347 | ) | | | | 1,664,549 | | |||||||||||||||||||||||
AQR Risk Parity Fund | | | 5,724,664 | | | | 1,192,856 | | ||||||||||||||||||||||||
AQR Risk Parity II MV Fund | | | 124,874 | | | | (142,646 | ) | | |||||||||||||||||||||||
AQR Risk Parity II HV Fund | | | 16,340 | | | | (104,578 | ) | | |||||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | | | 8,581,380 | | | | 9,674,924 | | ||||||||||||||||||||||||
AQR Style Premia Alternative Fund | | | 1,584,255 | | | | 1,386,168 | | ||||||||||||||||||||||||
Interest Rate Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | (2,817,852 | ) | 31,261,749 | | | (1,044,012 | ) | (142,472,536 | ) | | | |||||||||||||||||||||
AQR Global Macro Fund | (386,150 | ) | 111,087 | | | (533,471 | ) | (60,818 | ) | | | |||||||||||||||||||||
AQR Managed Futures Strategy Fund | (90,682,977 | ) | (10,990,307 | ) | | | 29,219,209 | 9,433,138 | | | ||||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | (1,083,404 | ) | (765,858 | ) | | | 1,404,709 | 103,160 | | | ||||||||||||||||||||||
AQR Risk Parity Fund | 2,578,087 | (1,556,381 | ) | | | 5,361,094 | 22,819,907 | | | |||||||||||||||||||||||
AQR Risk Parity II MV Fund | 1,388,725 | 214,781 | | | 947,085 | 66,983 | | | ||||||||||||||||||||||||
AQR Risk Parity II HV Fund | 833,781 | 350,517 | | | 499,519 | 266,597 | | | ||||||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | (17,027,154 | ) | 2,127,545 | | | (4,300,005 | ) | 6,119,751 | | | ||||||||||||||||||||||
AQR Style Premia Alternative Fund | (5,776,855 | ) | (2,195,748 | ) | | | 1,765,274 | 2,236,123 | | | ||||||||||||||||||||||
Credit Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Diversified Arbitrage Fund | | (8,673,085 | ) | | | | 2,295,099 | | | |||||||||||||||||||||||
AQR Global Macro Fund | | (4,883 | ) | | | | | | | |||||||||||||||||||||||
AQR Risk Parity Fund | | 20,423,327 | | | | (5,436,204 | ) | | | |||||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | | 459,094 | | | | (55,841 | ) | | | |||||||||||||||||||||||
Commodity Risk Exposure: | ||||||||||||||||||||||||||||||||
AQR Global Macro Fund | 100,468 | 14,779 | | | 97,219 | 5,016 | | | ||||||||||||||||||||||||
AQR Managed Futures Strategy Fund | (71,119,315 | ) | 3,498,935 | | | (1,967,287 | ) | (35,051,579 | ) | | | |||||||||||||||||||||
AQR Managed Futures Strategy HV Fund | (1,058,391 | ) | (652,003 | ) | | | (243,152 | ) | (472,204 | ) | | | ||||||||||||||||||||
AQR Risk-Balanced Commodities Strategy Fund | 671,029 | 2,799,283 | | | 126,266 | 1,584,279 | | | ||||||||||||||||||||||||
AQR Risk Parity Fund | 4,993,830 | 6,269,657 | | | 1,873,270 | 1,757,477 | | | ||||||||||||||||||||||||
AQR Risk Parity II MV Fund | (65,204 | ) | 466,593 | | | 167,090 | 522,103 | | | |||||||||||||||||||||||
AQR Risk Parity II HV Fund | 420,346 | 481,804 | | | 163,779 | 244,975 | | | ||||||||||||||||||||||||
AQR Multi-Strategy Alternative Fund | (4,645,192 | ) | (2,751,154 | ) | | | 4,016 | 2,964,642 | | | ||||||||||||||||||||||
AQR Style Premia Alternative Fund | 4,437,962 | 4,035,135 | | | (3,858,906 | ) | (1,408,356 | ) | | |
226 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
For financial reporting purposes, the Funds do not offset financial assets financial liabilities across derivatives types that are subject to master netting arrangements or similar agreements on the Statements of Assets and Liabilities. All financial instruments held by the Funds were subject to a master netting agreement or similar arrangement. There were no financial instruments subject to a netting agreement for which the Funds are not currently netting.
The following tables present, by counterparty and contract type, the Funds derivative assets and liabilities as of June 30, 2014.
AQR DIVERSIFIED ARBITRAGE FUND
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED |
|
|
NET AMOUNT |
| |||||||
Bank of America | Total Return Basket Swaps Contracts | $ | 20,724 | $ | | $ | 20,724 | $ | | $ | | $ | 20,724 | |||||||||||||
CitiBank | Credit Default Swap Contracts | 2,305,293 | (2,305,293 | ) | | | | | ||||||||||||||||||
Credit Suisse | Forward Foreign Currency Exchange Contracts | 28,369 | (28,369 | ) | | | | | ||||||||||||||||||
Deutsche Bank | Total Return Basket Swaps Contracts | 55,687 | (55,687 | ) | | | | | ||||||||||||||||||
J.P. Morgan | Futures Contracts | 262,388 | | 262,388 | | | 262,388 | |||||||||||||||||||
Total Return Basket Swaps Contracts | 537,563 | | 537,563 | | | 537,563 | ||||||||||||||||||||
Total J.P. Morgan | 799,951 | | 799,951 | | | 799,951 | ||||||||||||||||||||
The Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
475,705 | (475,705 | ) | | | | | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 3,685,729 | (2,865,054 | ) | 820,675 | | | 820,675 | |||||||||||||||||||
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT |
|
||||||||||||||||||||||||
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 | $ | 5,818,725 | $ | | $ | 5,818,725 | $ | | $ | (5,818,725 | ) | $ | | ||||||||||||
CitiBank | Credit Default Swap Contracts | 29,043,544 | (2,305,293 | ) | 26,738,251 | | (26,738,251 | ) | | |||||||||||||||||
Credit Suisse | Forward Foreign Currency Exchange Contracts | 54,842 | (28,369 | ) | 26,473 | | (2 | ) | 26,471 | |||||||||||||||||
Deutsche Bank | Total Return Basket Swaps Contracts | 492,487 | (55,687 | ) | 436,800 | | (436,800 | ) | | |||||||||||||||||
J.P. Morgan | Written Options | 1,247,165 | | 1,247,165 | (1,247,165 | ) | | | ||||||||||||||||||
The Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
751,082 | (475,705 | ) | 275,377 | | (129,438 | ) | 145,939 | |||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 37,407,845 | (2,865,054 | ) | 34,542,791 | (1,247,165 | ) | (33,123,216 | ) | 172,410 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $118,172,945. |
AQR Funds | Semi-Annual Report | June 2014 | 227 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
AQR LONG SHORT EQUITY FUND
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT |
|
||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED |
|
|
NET AMOUNT |
| |||||||
Barclays Capital | Futures Contracts | $ | 57,534 | $ | (10,930 | ) | $ | 46,604 | $ | $ | $ | 46,604 | ||||||||||||||
Credit Suisse | Forward Foreign Currency Exchange Contracts | 18,660 | (318 | ) | 18,342 | | | 18,342 | ||||||||||||||||||
Deutsche Bank | Total Return Basket Swaps Contracts | 293,098 | (11,877 | ) | 281,221 | | | 281,221 | ||||||||||||||||||
Goldman Sachs | Total Return Basket Swaps Contracts | 344,986 | (3,116 | ) | 341,870 | | | 341,870 | ||||||||||||||||||
The Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
18,659 | (4,161 | ) | 14,498 | | | 14,498 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 732,937 | (30,402 | ) | 702,535 | | | 702,535 | |||||||||||||||||||
|
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 | $ | 10,930 | $ | (10,930 | ) | $ | $ | $ | $ | ||||||||||||||||
Credit Suisse | Forward Foreign Currency Exchange Contracts | 318 | (318 | ) | | | | | ||||||||||||||||||
Deutsche Bank | Total Return Basket Swaps Contracts | 11,877 | (11,877 | ) | | | | | ||||||||||||||||||
Goldman Sachs | Total Return Swap Contracts | 3,116 | (3,116 | ) | | | | | ||||||||||||||||||
The Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
4,161 | (4,161 | ) | | | | | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 30,402 | (30,402 | ) | | | | |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $3,871,406. |
228 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
AQR GLOBAL MACRO FUND
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED |
|
|
NET AMOUNT |
| |||||||
Bank of America | Total Return Swap Contracts | $ | 85,113 | $ | (3,829 | ) | $ | 81,284 | $ | $ | | $ | 81,284 | |||||||||||||
Barclays Capital | Futures Contracts | 61,377 | (61,377 | ) | | | | | ||||||||||||||||||
CitiBank | Interest Rate Swap Contracts | 1,887,915 | (1,887,915 | ) | | | | | ||||||||||||||||||
Total Return Swap Contracts | 3,182 | | 3,182 | | | 3,182 | ||||||||||||||||||||
Total CitiBank | 1,891,097 | (1,887,915 | ) | 3,182 | | | 3,182 | |||||||||||||||||||
Credit Suisse | Forward Foreign Currency Exchange Contracts | 339,689 | (332,433 | ) | 7,256 | | | 7,256 | ||||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 1,834 | | 1,834 | | | 1,834 | |||||||||||||||||||
Goldman Sachs | Futures Contracts | 102,453 | (5,618 | ) | 96,835 | | | 96,835 | ||||||||||||||||||
J.P. Morgan | Futures Contracts | 137,325 | (137,325 | ) | | | | | ||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 2,618,888 | (2,428,497 | ) | 190,391 | | | 190,391 | |||||||||||||||||||
|
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 |
| |||||||
Bank of America | Total Return Swap Contracts | $ | 3,829 | $ | (3,829 | ) | $ | | $ | $ | | $ | | |||||||||||||
Barclays Capital | Futures Contracts | 128,791 | (61,377 | ) | 67,414 | | (67,414 | ) | | |||||||||||||||||
CitiBank | Interest Rate Swap Contracts | 1,945,165 | (1,887,915 | ) | 57,250 | | (57,250 | ) | | |||||||||||||||||
Credit Suisse | Forward Foreign Currency Exchange Contracts | 332,433 | (332,433 | ) | | | | | ||||||||||||||||||
Goldman Sachs | Futures Contracts | 5,618 | (5,618 | ) | | | | | ||||||||||||||||||
J.P. Morgan | Futures Contracts | 670,507 | (137,325 | ) | 533,182 | | (533,182 | ) | | |||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 3,086,343 | (2,428,497 | ) | 657,846 | | (657,846 | ) | |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $2,697,753. |
AQR Funds | Semi-Annual Report | June 2014 | 229 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
AQR MANAGED FUTURES STRATEGY FUND
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED (a |
) |
|
NET AMOUNT |
| |||||||
Bank of America | Total Return Swap Contracts | $ | 10,074,578 | $ | (3,964,878 | ) | $ | 6,109,700 | $ | $ | | $ | 6,109,700 | |||||||||||||
Barclays Capital | Futures Contracts | 23,033,879 | (13,687,266 | ) | 9,346,613 | | | 9,346,613 | ||||||||||||||||||
Total Return Swap Contracts | 5,010,811 | (5,010,811 | ) | | | | | |||||||||||||||||||
Total Barclays Capital | 28,044,690 | (18,698,077 | ) | 9,346,613 | | | 9,346,613 | |||||||||||||||||||
CitiBank | Total Return Swap Contracts | 20,740,795 | (19,174,110 | ) | 1,566,685 | | | 1,566,685 | ||||||||||||||||||
Credit Suisse | Forward Foreign Currency Exchange Contracts | 71,013,980 | (40,152,821 | ) | 30,861,159 | | (30,861,159 | ) | | |||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 2,721,610 | (2,721,610 | ) | | | | | ||||||||||||||||||
Goldman Sachs | Futures Contracts | 14,792,861 | (14,392,700 | ) | 400,161 | | | 400,161 | ||||||||||||||||||
J.P. Morgan | Futures Contracts | 65,078,153 | (24,750,773 | ) | 40,327,380 | | | 40,327,380 | ||||||||||||||||||
Merrill Lynch | Total Return Swap Contracts | 8,733,453 | (8,733,453 | ) | | | | | ||||||||||||||||||
The Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
71,295,305 | (40,172,638 | ) | 31,122,667 | | (13,210,000 | ) | 17,912,667 | |||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 292,495,425 | (172,761,060 | ) | 119,734,365 | | (44,071,159 | ) | 75,663,206 | ||||||||||||||||||
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED LIABILITIES |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL PLEDGED (b |
) |
|
NET AMOUNT |
| |||||||
Bank of America | Total Return Swap Contracts | $ | 3,964,878 | $ | (3,964,878 | ) | $ | | $ | $ | | $ | ||||||||||||||
Barclays Capital | Futures Contracts | 13,687,266 | (13,687,266 | ) | | | | | ||||||||||||||||||
Total Return Swap Contracts | 17,250,064 | (5,010,811 | ) | 12,239,253 | | (12,239,253 | ) | | ||||||||||||||||||
Total Barclays Capital | 30,937,330 | (18,698,077 | ) | 12,239,253 | | (12,239,253 | ) | | ||||||||||||||||||
CitiBank | Total Return Swap Contracts | 19,174,110 | (19,174,110 | ) | | | | | ||||||||||||||||||
Credit Suisse | Forward Foreign Currency Exchange Contracts | 40,152,821 | (40,152,821 | ) | | | | | ||||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 5,625,885 | (2,721,610 | ) | 2,904,275 | | (2,904,275 | ) | | |||||||||||||||||
Goldman Sachs | Futures Contracts | 14,392,700 | (14,392,700 | ) | | | | | ||||||||||||||||||
J.P. Morgan | Futures Contracts | 24,750,773 | (24,750,773 | ) | | | | | ||||||||||||||||||
Merrill Lynch | Total Return Swap Contracts | 9,585,194 | (8,733,453 | ) | 851,741 | | (851,741 | ) | | |||||||||||||||||
The Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
40,172,638 | (40,172,638 | ) | | | | | ||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 188,756,329 | (172,761,060 | ) | 15,995,269 | | (15,995,269 | ) | |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $2,578,841. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $409,427,985. |
230 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
AQR MANAGED FUTURES STRATEGY HV FUND
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED (a |
) |
|
NET AMOUNT |
| |||||||
Bank of America | Total Return Swap Contracts | $ | 218,526 | $ | (145,835 | ) | $ | 72,691 | $ | $ | | $ | 72,691 | |||||||||||||
Barclays Capital | Futures Contracts | 967,083 | (522,089 | ) | 444,994 | | | 444,994 | ||||||||||||||||||
Total Return Swap Contracts | 521,181 | (521,181 | ) | | | | | |||||||||||||||||||
Total Barclays Capital | 1,488,264 | (1,043,270 | ) | 444,994 | | | 444,994 | |||||||||||||||||||
CitiBank | Total Return Swap Contracts | 835,382 | (337,311 | ) | 498,071 | | | 498,071 | ||||||||||||||||||
Credit Suisse | Forward Foreign Currency Exchange Contracts | 2,594,096 | (1,251,947 | ) | 1,342,149 | | (1,342,149 | ) | | |||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 415,921 | (415,921 | ) | | | | | ||||||||||||||||||
Goldman Sachs | Futures Contracts | 277,220 | (277,220 | ) | | | | | ||||||||||||||||||
J.P. Morgan | Futures Contracts | 2,041,250 | (506,233 | ) | 1,535,017 | | | 1,535,017 | ||||||||||||||||||
The Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
2,613,751 | (1,271,215 | ) | 1,342,536 | | (540,000 | ) | 802,536 | |||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 10,484,410 | (5,248,952 | ) | 5,235,458 | | (1,882,149 | ) | 3,353,309 | ||||||||||||||||||
|
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 & |
|
|
NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL PLEDGED (b |
) |
|
NET AMOUNT |
| |||||||
Bank of America | Total Return Swap Contracts | $ | 145,835 | $ | (145,835 | ) | $ | | $ | $ | | $ | ||||||||||||||
Barclays Capital | Futures Contracts | 522,089 | (522,089 | ) | | | | | ||||||||||||||||||
Total Return Swap Contracts | 1,169,265 | (521,181 | ) | 648,084 | | (648,084 | ) | | ||||||||||||||||||
Total Barclays Capital | 1,691,354 | (1,043,270 | ) | 648,084 | | (648,084 | ) | | ||||||||||||||||||
CitiBank | Total Return Swap Contracts | 337,311 | (337,311 | ) | | | | | ||||||||||||||||||
Credit Suisse | Forward Foreign Currency Exchange Contracts | 1,251,947 | (1,251,947 | ) | | | | | ||||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 762,501 | (415,921 | ) | 346,580 | | (346,580 | ) | | |||||||||||||||||
Goldman Sachs | Futures Contracts | 525,893 | (277,220 | ) | 248,673 | | (248,673 | ) | | |||||||||||||||||
J.P. Morgan | Futures Contracts | 506,233 | (506,233 | ) | | | | | ||||||||||||||||||
The Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
1,271,215 | (1,271,215 | ) | | | | | ||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 6,492,289 | (5,248,952 | ) | 1,243,337 | | (1,243,337 | ) | |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $137,851. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $15,490,642. |
AQR Funds | Semi-Annual Report | June 2014 | 231 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
AQR RISK BALANCED COMMODITIES STRATEGY FUND
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED |
|
|
NET AMOUNT |
| |||||||
Barclays Capital | Total Return Swap Contracts | $ | 550,272 | $ | (38,171 | ) | $ | 512,101 | $ | $ | $ | 512,101 | ||||||||||||||
CitiBank | Total Return Swap Contracts | 4,182,305 | (4,182,305 | ) | | | | | ||||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 3,023,953 | (2,030,820 | ) | 993,133 | | | 993,133 | ||||||||||||||||||
Goldman Sachs | Futures Contracts | 61,642 | (61,642 | ) | | | | | ||||||||||||||||||
J.P. Morgan | Futures Contracts | 708,406 | (708,406 | ) | | | | | ||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 8,526,578 | (7,021,344 | ) | 1,505,234 | | | 1,505,234 | |||||||||||||||||||
|
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 | Total Return Swap Contracts | $ | 38,171 | $ | (38,171 | ) | $ | | $ | $ | | $ | | |||||||||||||
CitiBank | Total Return Swap Contracts | 4,675,487 | (4,182,305 | ) | 493,182 | | (493,182 | ) | | |||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 2,030,820 | (2,030,820 | ) | | | | | ||||||||||||||||||
Goldman Sachs | Futures Contracts | 62,893 | (61,642 | ) | 1,251 | | (1,251 | ) | | |||||||||||||||||
J.P. Morgan | Futures Contracts | 746,588 | (708,406 | ) | 38,182 | | (38,182 | ) | | |||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 7,553,959 | (7,021,344 | ) | 532,615 | | (532,615 | ) | |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $8,804,289. |
232 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
AQR RISK PARITY FUND
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED (a |
) |
|
NET AMOUNT |
| |||||||
Bank of America | Total Return Swap Contracts | $ | 2,061,597 | $ | | $ | 2,061,597 | $ | $ | (1,690,000 | ) | $ | 371,597 | |||||||||||||
Barclays Capital | Futures Contracts | 3,119,888 | $ | (847,111 | ) | 2,272,777 | | | 2,272,777 | |||||||||||||||||
Total Return Swap Contracts | 531,403 | (199,395 | ) | 332,008 | | | 332,008 | |||||||||||||||||||
CitiBank | Credit Default Swap Contracts | 34,761,938 | (131,356 | ) | 34,630,582 | |||||||||||||||||||||
Interest Rate Swap Contracts | 10,632,042 | (2,221,393 | ) | 8,410,649 | ||||||||||||||||||||||
Total Credit Default and Interest Rate Swap Contracts | 45,393,980 | (2,352,749 | ) | 43,041,231 | (19,386,234 | ) | 23,654,997 | |||||||||||||||||||
Total Return Swap Contracts | 6,203,780 | (7,592,258 | ) | (1,388,478 | ) | | (1,388,478 | ) | ||||||||||||||||||
Total CitiBank | 51,597,760 | (9,945,007 | ) | 41,652,753 | | (19,386,234 | ) | 22,266,519 | ||||||||||||||||||
Credit Suisse | Forward Foreign Currency Exchange Contracts | 1,186,527 | (1,186,527 | ) | | | | | ||||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 58,648 | (58,648 | ) | | | | | ||||||||||||||||||
Goldman Sachs | Futures Contracts | 121,104 | | 121,104 | | | 121,104 | |||||||||||||||||||
J.P. Morgan | Futures Contracts | 310,117 | | 310,117 | | | 310,117 | |||||||||||||||||||
Merrill Lynch | Total Return Swap Contracts | 13,731,764 | (7,598,457 | ) | 6,133,307 | | | 6,133,307 | ||||||||||||||||||
Morgan Stanley and Co., International PLC |
Total Return Swap Contracts |
284,726 | (284,726 | ) | | | | | ||||||||||||||||||
The Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
1,314,039 | (1,314,039 | ) | | | | | ||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 74,317,573 | (21,433,910 | ) | 52,883,663 | | (21,076,234 | ) | 31,807,429 |
AQR Funds | Semi-Annual Report | June 2014 | 233 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT |
|
||||||||||||||||||||||||
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 | $ | 847,111 | $ | (847,111 | ) | $ | | $ | $ | | $ | | |||||||||||||
Total Return Swap Contracts | 199,395 | (199,395 | ) | | | | | |||||||||||||||||||
CitiBank | Credit Default Swap Contracts | 131,356 | (131,356 | ) | ||||||||||||||||||||||
Interest Rate Swap Contracts | 2,221,393 | (2,221,393 | ) | |||||||||||||||||||||||
Total Return Swap Contracts | 7,592,258 | (7,592,258 | ) | |||||||||||||||||||||||
Total CitiBank | 9,945,007 | (9,945,007 | ) | | | | | |||||||||||||||||||
Credit Suisse | Forward Foreign Currency Exchange Contracts | 1,362,416 | (1,186,527 | ) | 175,889 | | (2 | ) | 175,887 | |||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 398,757 | (58,648 | ) | 340,109 | | (200,000 | ) | 140,109 | |||||||||||||||||
Merrill Lynch | Total Return Swap Contracts | 7,598,457 | (7,598,457 | ) | | | | | ||||||||||||||||||
Morgan Stanley and Co., International PLC |
Total Return Swap Contracts |
431,090 | (284,726 | ) | 146,364 | | (146,364 | ) | | |||||||||||||||||
The Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts |
1,453,827 | (1,314,039 | ) | 139,788 | | (139,788 | ) | | |||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 22,236,060 | (21,433,910 | ) | 802,150 | | (486,154 | ) | 315,996 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $330,000. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $56,603,834. |
234 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
AQR RISK PARITY II MV FUND
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED (a |
) |
|
NET AMOUNT |
| |||||||
Bank of America | Total Return Swap Contracts | $ | 36,395 | $ | (302 | ) | $ | 36,093 | $ | $ | | $ | 36,093 | |||||||||||||
Barclays Capital | Futures Contracts | 449,453 | (132,973 | ) | 316,480 | | | 316,480 | ||||||||||||||||||
Total Return Swap Contracts | 14,270 | (220 | ) | 14,050 | | (14,050 | ) | | ||||||||||||||||||
Total Barclays Capital | 463,723 | (133,193 | ) | 330,530 | | (14,050 | ) | 316,480 | ||||||||||||||||||
CitiBank | Total Return Swap Contracts | 121,408 | (121,408 | ) | | | | | ||||||||||||||||||
Credit Suisse | Forward Foreign Currency Exchange Contracts | 235 | (235 | ) | | | | | ||||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 1,631,354 | (793,258 | ) | 838,096 | | | 838,096 | ||||||||||||||||||
Goldman Sachs | Futures Contracts | 86,364 | (86,364 | ) | | | | | ||||||||||||||||||
Total Return Swap Contracts | 52,407 | (52,407 | ) | | | | | |||||||||||||||||||
Total Goldman Sachs | 138,771 | (138,771 | ) | | | | | |||||||||||||||||||
J.P. Morgan | Futures Contracts | 948,912 | (502,576 | ) | 446,336 | | | 446,336 | ||||||||||||||||||
The Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 3,027 | (3,027 | ) | | | | | ||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 3,343,825 | (1,692,770 | ) | 1,651,055 | | (14,050 | ) | 1,637,005 | ||||||||||||||||||
|
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 & |
|
|
NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL PLEDGED (b |
) |
|
NET AMOUNT |
| |||||||
Bank of America | Total Return Swap Contracts | $ | 302 | $ | (302 | ) | $ | | $ | $ | | $ | | |||||||||||||
Barclays Capital | Futures Contracts | 132,973 | (132,973 | ) | | | | | ||||||||||||||||||
Total Return Swap Contracts | 220 | (220 | ) | | | | | |||||||||||||||||||
Total Barclays Capital | 133,193 | (133,193 | ) | | | | | |||||||||||||||||||
CitBank | Total Return Swap Contracts | 262,570 | (121,408 | ) | 141,162 | | (141,162 | ) | | |||||||||||||||||
Credit Suisse | Forward Foreign Currency Exchange Contracts | 91,627 | (235 | ) | 91,392 | | | 91,392 | ||||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 793,258 | (793,258 | ) | | | | | ||||||||||||||||||
Goldman Sachs | Futures Contracts | 135,880 | (86,364 | ) | 49,516 | | (49,516 | ) | | |||||||||||||||||
Total Return Swap Contracts | 56,666 | (52,407 | ) | 4,259 | | (4,259 | ) | | ||||||||||||||||||
Total Goldman Sachs | 192,546 | (138,771 | ) | 53,775 | | (53,775 | ) | | ||||||||||||||||||
J.P. Morgan | Futures Contracts | 502,576 | (502,576 | ) | | | | | ||||||||||||||||||
The Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 103,178 | (3,027 | ) | 100,151 | | (1 | ) | 100,150 | |||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 2,079,250 | (1,692,770 | ) | 386,480 | | (194,938 | ) | 191,542 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $5,950. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $6,761,764. |
AQR Funds | Semi-Annual Report | June 2014 | 235 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
AQR RISK PARITY II HV FUND
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED (a |
) |
|
NET AMOUNT |
| |||||||
Bank of America | Total Return Swap Contracts | $ | 66,657 | $ | (603 | ) | $ | 66,054 | $ | $ | | $ | 66,054 | |||||||||||||
Barclays Capital | Futures Contracts | 335,023 | (100,586 | ) | 234,437 | | | 234,437 | ||||||||||||||||||
Total Return Swap Contracts | 16,060 | | 16,060 | | (16,060 | ) | | |||||||||||||||||||
Total Barclays Capital | 351,083 | (100,586 | ) | 250,497 | | (16,060 | ) | 234,437 | ||||||||||||||||||
CitiBank | Total Return Swap Contracts | 132,950 | (132,950 | ) | | | | | ||||||||||||||||||
Credit Suisse International | Forward Foreign Currency Exchange Contracts | 200 | (200 | ) | | | | | ||||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 1,116,991 | (587,670 | ) | 529,321 | | | 529,321 | ||||||||||||||||||
Goldman Sachs | Futures Contracts | 92,132 | (70,832 | ) | 21,300 | | | 21,300 | ||||||||||||||||||
Total Return Swap Contracts | 30,629 | (30,629 | ) | | | | | |||||||||||||||||||
Total Goldman Sachs | 122,761 | (101,461 | ) | 21,300 | | | 21,300 | |||||||||||||||||||
J.P. Morgan | Futures Contracts | 656,645 | (321,401 | ) | 335,244 | | | 335,244 | ||||||||||||||||||
The Royal Bank of Scotland |
Forward Foreign Currency Exchange Contracts |
1,452 | (1,452 | ) | | | | | ||||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 2,448,739 | (1,246,323 | ) | 1,202,416 | | (16,060 | ) | 1,186,356 |
236 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT |
|
||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED LIABILITIES |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL PLEDGED (b |
) |
|
NET AMOUNT |
| |||||||
Bank of America | Total Return Swap Contracts | $ | 603 | $ | (603 | ) | $ | | $ | | $ | | $ | | ||||||||||||
Barclays Capital | Futures Contracts | 100,586 | (100,586 | ) | | | | | ||||||||||||||||||
Reverse Repurchase Agreements | 4,502,875 | | 4,502,875 | (4,412,875 | ) | (90,000 | ) | | ||||||||||||||||||
Total Barclays Capital | 4,603,461 | (100,586 | ) | 4,502,875 | (4,412,875 | ) | (90,000 | ) | | |||||||||||||||||
BNP Paribas Corp. | Reverse Repurchase Agreements | 9,166,500 | | 9,166,500 | (9,166,500 | ) | | | ||||||||||||||||||
CitiBank | Total Return Swap Contracts | 262,106 | (132,950 | ) | 129,156 | | (129,156 | ) | | |||||||||||||||||
Reverse Repurchase Agreements | 5,566,250 | | 5,566,250 | (5,566,250 | ) | | | |||||||||||||||||||
Total CitBank | 5,828,356 | (132,950 | ) | 5,695,406 | (5,566,250 | ) | (129,156 | ) | | |||||||||||||||||
Credit Suisse International | Forward Foreign Currency Exchange Contracts | 67,458 | (200 | ) | 67,258 | | | 67,258 | ||||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 587,670 | (587,670 | ) | | | | | ||||||||||||||||||
Goldman Sachs | Futures Contracts | 70,832 | (70,832 | ) | | | | | ||||||||||||||||||
Total Return Swap Contracts | 37,726 | (30,629 | ) | 7,097 | | (7,097 | ) | | ||||||||||||||||||
Total Goldman Sachs | 108,558 | (101,461 | ) | 7,097 | | (7,097 | ) | | ||||||||||||||||||
J.P. Morgan | Futures Contracts | 321,401 | (321,401 | ) | | | | | ||||||||||||||||||
Reverse Repurchase Agreements | 4,247,750 | | 4,247,750 | (4,247,750 | ) | | | |||||||||||||||||||
Total J.P. Morgan | 4,569,151 | (321,401 | ) | 4,247,750 | (4,247,750 | ) | | | ||||||||||||||||||
The Royal Bank of Scotland | Forward Foreign Currency Exchange Contracts | 71,203 | (1,452 | ) | 69,751 | | (10,001 | ) | 59,750 | |||||||||||||||||
Total financial instruments subject to a master netting agreement or similar arrangement | 25,002,960 | (1,246,323 | ) | 23,756,637 | (23,393,375 | ) | (236,254 | ) | 127,008 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $83,940. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $4,568,355. |
AQR Funds | Semi-Annual Report | June 2014 | 237 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
AQR MULTI-STRATEGY ALTERNATIVE FUND
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT |
|
||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED (a |
) |
|
NET AMOUNT |
| |||||||
Bank of America | Total Return Swap Contracts | $ | 3,132,288 | (387,635 | ) | $ | 2,744,653 | $ | $ | (1,590,000 | ) | $ | 1,154,653 | |||||||||||||
Barclays Capital | Futures Contracts | 1,249,644 | (1,249,644 | ) | | | | | ||||||||||||||||||
CitiBank | Credit Default Swap Contracts | 3,544,415 | (185,269 | ) | 3,359,146 | | (908,240 | ) | 2,450,906 | |||||||||||||||||
Total Return Swap Contracts | 1,493,694 | (239,371 | ) | 1,254,323 | | | 1,254,323 | |||||||||||||||||||
Total CitiBank | 5,038,109 | (424,640 | ) | 4,613,469 | | (908,240 | ) | 3,705,229 | ||||||||||||||||||
Credit Suisse | Forward Foreign Currency Exchange Contracts | 12,908,003 | (5,736,127 | ) | 7,171,876 | | (7,171,876 | ) | | |||||||||||||||||
Deutsche Bank | Total Return Basket Swaps Contracts | 7,233,679 | ||||||||||||||||||||||||
Total Return Swap Contracts | 2,388,992 | |||||||||||||||||||||||||
Total Deutsche Bank | 9,622,671 | (3,413,925 | ) | 6,208,746 | | | 6,208,746 | |||||||||||||||||||
Goldman Sachs | Futures Contracts | 2,522,511 | (392,135 | ) | 2,130,376 | | | 2,130,376 | ||||||||||||||||||
J.P. Morgan | Futures Contracts | 3,719,188 | (3,719,188 | ) | | | | | ||||||||||||||||||
Merrill Lynch | Total Return Swap Contracts | 2,055,942 | (2,055,942 | ) | | | | | ||||||||||||||||||
Morgan Stanley and Co., International PLC |
Total Return Swap Contracts |
1,541,107 | (155,831 | ) | 1,385,276 | | | 1,385,276 | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
Total Return Basket Swaps Contracts |
67,576,169 | (1,144,450 | ) | 66,431,719 | | | 66,431,719 | ||||||||||||||||||
The Royal Bank of Scotland |
Forward Foreign Currency Exchange Contracts |
13,026,849 | (5,995,636 | ) | 7,031,213 | | (3,480,000 | ) | 3,551,213 | |||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 122,392,481 | (24,675,153 | ) | 97,717,328 | | (13,150,116 | ) | 84,567,212 |
238 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 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 |
| |||||||
Bank of America | Total Return Basket Swaps Contracts | 94,408 | ||||||||||||||||||||||||
Total Return Swap Contracts | 293,227 | |||||||||||||||||||||||||
Total Bank of America | $ | 387,635 | $ | (387,635 | ) | $ | | $ | $ | | $ | |||||||||||||||
Barclays Capital | Futures Contracts | 6,448,283 | (1,249,644 | ) | 5,198,639 | | (5,198,639 | ) | | |||||||||||||||||
CitiBank | Credit Default Swap Contracts | 185,269 | (185,269 | ) | | | | | ||||||||||||||||||
Total Return Swap Contracts | 239,371 | (239,371 | ) | | | | | |||||||||||||||||||
Total CitiBank | 424,640 | (424,640 | ) | | | | | |||||||||||||||||||
Credit Suisse | Forward Foreign Currency Exchange Contracts | 5,736,127 | (5,736,127 | ) | | | | | ||||||||||||||||||
Deutsche Bank | Total Return Basket Swaps Contracts | 1,758,858 | ||||||||||||||||||||||||
Total Return Swap Contracts | 1,655,067 | |||||||||||||||||||||||||
Total Deutsche Bank | 3,413,925 | (3,413,925 | ) | | | | | |||||||||||||||||||
Goldman Sachs | Futures Contracts | 392,135 | (392,135 | ) | | | | | ||||||||||||||||||
Total Return Swap Contracts | 84,473 | | 84,473 | | (84,473 | ) | | |||||||||||||||||||
Total Goldman Sachs | 476,608 | (392,135 | ) | 84,473 | | (84,473 | ) | | ||||||||||||||||||
J.P. Morgan | Futures Contracts | 9,520,365 | (3,719,188 | ) | 5,801,177 | | (5,801,177 | ) | | |||||||||||||||||
Merrill Lynch | Total Return Swap Contracts | 2,669,615 | (2,055,942 | ) | 613,673 | | (613,673 | ) | | |||||||||||||||||
Morgan Stanley and Co., International PLC |
Total Return Swap Contracts |
155,831 | (155,831 | ) | | | | | ||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
Total Return Basket Swaps Contracts |
1,144,450 | (1,144,450 | ) | | | | | ||||||||||||||||||
The Royal Bank of Scotland |
Forward Foreign Currency Exchange Contracts |
5,995,636 | (5,995,636 | ) | | | | | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 36,373,115 | (24,675,153 | ) | 11,697,962 | | (11,697,962 | ) | |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $2,008,124. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $339,198,089. |
AQR Funds | Semi-Annual Report | June 2014 | 239 | |||||||||||||
AQR STYLE PREMIA ALTERNATIVE FUND
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT |
|
||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED ASSETS |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF ASSETS PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL RECEIVED (a |
) |
|
NET AMOUNT |
| |||||||
Bank of America | Total Return Swap Contracts | $ | 1,865,208 | $ | (988,237 | ) | $ | 876,971 | $ | $ | | $ | 876,971 | |||||||||||||
Barclays Capital | Futures Contracts | 3,522,279 | (3,442,011 | ) | 80,268 | | | 80,268 | ||||||||||||||||||
Total Return Swap Contracts | 823,055 | (823,055 | ) | | | | | |||||||||||||||||||
Total Barclays Capital | 4,345,334 | (4,265,066 | ) | 80,268 | | | 80,268 | |||||||||||||||||||
CitiBank | Total Return Swap Contracts | 574,847 | | 574,847 | | | 574,847 | |||||||||||||||||||
Credit Suisse | Forward Foreign Currency Exchange Contracts | 8,359,770 | (6,598,842 | ) | 1,760,928 | | (1,760,928 | ) | | |||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 858,639 | (858,639 | ) | | | | | ||||||||||||||||||
Goldman Sachs | Futures Contracts | 952,540 | (952,540 | ) | | | | | ||||||||||||||||||
Total Return Basket Swaps Contracts | 25,493,969 | (2,224,588 | ) | 23,269,381 | | | 23,269,381 | |||||||||||||||||||
Total Goldman Sachs | 26,446,509 | (3,177,128 | ) | 23,269,381 | | | 23,269,381 | |||||||||||||||||||
J.P. Morgan | Futures Contracts | 5,095,111 | (4,044,389 | ) | 1,050,722 | | | 1,050,722 | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 47,545,418 | (19,932,301 | ) | 27,613,117 | | (1,760,928 | ) | 25,852,189 | ||||||||||||||||||
|
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
||||||||||||||||||||||||
COUNTERPARTY | INVESTMENT TYPE | |
GROSS AMOUNTS OF RECOGNIZED LIABILITIES |
|
|
GROSS AMOUNTS OFFSET IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
NET AMOUNTS OF LIABILITIES PRESENTED IN THE STATEMENT OF ASSETS & LIABILITIES |
|
|
FINANCIAL INSTRUMENTS |
|
|
COLLATERAL PLEDGED (b |
) |
|
NET AMOUNT |
| |||||||
Bank of America | Total Return Swap Contracts | $ | 988,237 | $ | (988,237 | ) | $ | | $ | $ | | $ | | |||||||||||||
Barclays Capital | Futures Contracts | 3,442,011 | (3,442,011 | ) | | | | | ||||||||||||||||||
Total Return Swap Contracts | 972,828 | (823,055 | ) | 149,773 | | (149,773 | ) | | ||||||||||||||||||
Total Barclays Capital | 4,414,839 | (4,265,066 | ) | 149,773 | | (149,773 | ) | | ||||||||||||||||||
Credit Suisse | Forward Foreign Currency Exchange Contracts | 6,598,842 | (6,598,842 | ) | | | | | ||||||||||||||||||
Deutsche Bank | Total Return Swap Contracts | 1,558,787 | (858,639 | ) | 700,148 | | | 700,148 | ||||||||||||||||||
Goldman Sachs | Futures Contracts | 1,789,243 | (952,540 | ) | 836,703 | | (836,703 | ) | | |||||||||||||||||
Total Return Basket Swaps Contracts | 2,149,948 | |||||||||||||||||||||||||
Total Return Swap Contracts | 74,640 | |||||||||||||||||||||||||
Total Swap Contracts | 2,224,588 | (2,224,588 | ) | | | | | |||||||||||||||||||
Total Goldman Sachs | 4,013,831 | (3,177,128 | ) | 836,703 | | (836,703 | ) | | ||||||||||||||||||
J.P. Morgan | Futures Contracts | 4,044,389 | (4,044,389 | ) | | | | | ||||||||||||||||||
Total financial instruments subject to a master netting arrangement or similar arrangement | 21,618,925 | (19,932,301 | ) | 1,686,624 | | (986,476 | ) | 700,148 |
(a) | Per GAAP disclosure requirements, the table above does not include the additional collateral received from the counterparty. Total additional collateral received was $1,379,072. |
(b) | Per GAAP disclosure requirements, the table above does not include the additional collateral pledged to the counterparty. Total additional collateral pledged was $135,439,000. |
240 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
For the period ended June 30, 2014, the quarterly average values of the derivatives held by the Funds were as follows:
Derivatives Volume Disclosure
AQR DIVERSIFIED ARBITRAGE FUND |
AQR LONG- SHORT EQUITY FUND |
AQR GLOBAL MACRO FUND |
AQR MANAGED FUTURES STRATEGY FUND |
AQR MANAGED FUTURES FUND |
AQR RISK- BALANCED COMMODITIES STRATEGY FUND |
|||||||||||||||||||
Futures Contracts: | ||||||||||||||||||||||||
Average Notional Balance Long | $ | | $ | 4,477,339 | $ | 122,471,680 | $ | 17,706,940,696 | $ | 413,336,827 | $ | 23,061,502 | ||||||||||||
Average Notional Balance Short | 806,623,651 | 230,902 | 297,426,611 | 12,785,424,312 | 248,980,040 | 13,787,668 | ||||||||||||||||||
Ending Notional Balance Long | | 6,295,270 | 122,471,680 | 23,026,660,249 | 854,904,580 | 31,929,241 | ||||||||||||||||||
Ending Notional Balance Short | 919,063,787 | 265,535 | 297,426,611 | 10,920,351,552 | 399,331,815 | 17,741,443 | ||||||||||||||||||
Forward Foreign Currency Exchange Contracts: | ||||||||||||||||||||||||
Average Settlement Value Purchased | 29,129,889 | 2,261,017 | 23,198,750 | 10,246,800,387 | 219,205,365 | | ||||||||||||||||||
Average Settlement Value Sold | 107,555,401 | 162,916 | 23,381,088 | 9,779,252,340 | 193,179,050 | | ||||||||||||||||||
Ending Value Purchased | 26,330,147 | 2,952,678 | 23,198,750 | 9,945,946,208 | 383,286,019 | | ||||||||||||||||||
Ending Value Sold | 86,435,143 | 314,513 | 23,381,088 | 8,047,882,360 | 309,361,187 | | ||||||||||||||||||
Exchange-Traded Options: | ||||||||||||||||||||||||
Average Number of Contracts Written | 8,973 | | | | | | ||||||||||||||||||
Ending Number of Contracts Written | 9,179 | | | | | | ||||||||||||||||||
Credit Default Swaps: | ||||||||||||||||||||||||
Average Notional BalanceBuy Protection | 334,733,333 | | | | | | ||||||||||||||||||
Average Notional BalanceSell Protection | 116,037,500 | | | | | | ||||||||||||||||||
Ending Notional BalanceBuy Protection | 337,800,000 | | | | | | ||||||||||||||||||
Ending Notional BalanceSell Protection | 26,325,000 | | | | | | ||||||||||||||||||
Total Return Swaps: | ||||||||||||||||||||||||
Average Notional Balance Long | | 247,399 | 8,570,356 | 3,591,997,327 | 101,382,417 | 153,630,958 | ||||||||||||||||||
Average Notional Balance Short | | | 4,249,310 | 1,879,832,879 | 49,777,408 | 85,481,527 | ||||||||||||||||||
Ending Notional Balance Long | | 292,290 | 8,570,356 | 5,033,426,846 | 225,882,886 | 224,089,510 | ||||||||||||||||||
Ending Notional Balance Short | | | 4,249,310 | 1,433,445,731 | 73,744,204 | 105,895,519 | ||||||||||||||||||
Interest Rate-Related Swaps (Interest Rate Swaps): | ||||||||||||||||||||||||
Average Notional BalancePays Fixed rate | | | 205,113,930 | | | | ||||||||||||||||||
Average Notional BalanceReceives Fixed rate | | | 230,688,153 | | | | ||||||||||||||||||
Ending Notional BalancePays Fixed Rate | | | 205,113,930 | | | | ||||||||||||||||||
Ending Notional BalanceReceives Fixed Rate | | | 230,688,153 | | | | ||||||||||||||||||
Total Return Basket Swaps: | ||||||||||||||||||||||||
Average Notional of Underlying PositionsLong | 880,131,086 | 20,202,665 | | | | | ||||||||||||||||||
Average Notional of Underlying PositionsShort | 669,115,474 | 18,720,528 | | | | | ||||||||||||||||||
Ending Notional BalanceLong | 192,501,804 | 26,374,799 | | | | | ||||||||||||||||||
Ending Notional BalanceShort | 63,136,474 | 24,542,996 | | | | |
AQR Funds | Semi-Annual Report | June 2014 | 241 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
AQR RISK PARITY FUND |
AQR RISK PARITY II MV FUND |
AQR RISK PARITY II HV FUND |
AQR MULTI- STRATEGY ALTERNATIVE FUND |
AQR STYLE PREMIA ALTERNATIVE FUND |
||||||||||||||||
Futures Contracts: | ||||||||||||||||||||
Average Notional Balance Long | $ | 533,564,087 | $ | 97,307,110 | $ | 68,052,268 | $ | 1,870,259,128 | $ | 2,714,643,718 | ||||||||||
Average Notional Balance Short | 78,540,888 | 8,736,513 | 6,002,131 | 2,812,394,881 | 1,886,552,005 | |||||||||||||||
Ending Notional Balance Long | 347,799,166 | 145,769,562 | 83,880,133 | 1,852,722,581 | 3,363,605,304 | |||||||||||||||
Ending Notional Balance Short | | 13,108,978 | 7,804,786 | 2,880,438,119 | 1,857,954,270 | |||||||||||||||
Forward Foreign Currency Exchange Contracts: |
||||||||||||||||||||
Average Settlement Value Purchased | 270,783,460 | 1,406,269 | 738,200 | 1,481,692,072 | 446,047,688 | |||||||||||||||
Average Settlement Value Sold | 297,567,928 | 13,997,569 | 11,606,339 | 1,612,285,176 | 532,184,835 | |||||||||||||||
Ending Value Purchased | 332,265,585 | 856,201 | 434,818 | 1,537,642,967 | 605,024,770 | |||||||||||||||
Ending Value Sold | 315,799,332 | 19,407,860 | 13,953,201 | 1,573,634,574 | 707,625,132 | |||||||||||||||
Exchange-Traded Options: | ||||||||||||||||||||
Average Number of Contracts Written | | | | 1,432 | | |||||||||||||||
Ending Number of Contracts Written | | | | | | |||||||||||||||
Credit Default Swaps: | ||||||||||||||||||||
Average Notional BalanceBuy Protection |
84,040,251 | | | 35,012,500 | | |||||||||||||||
Average Notional BalanceSell Protection |
778,608,051 | | | 31,708,333 | | |||||||||||||||
Ending Notional BalanceBuy Protection |
1,500,000 | | | 9,200,000 | | |||||||||||||||
Ending Notional BalanceSell Protection |
710,390,544 | | | 40,475,000 | | |||||||||||||||
Total Return Swaps: | ||||||||||||||||||||
Average Notional Balance Long | 1,043,260,917 | 55,721,503 | 62,362,460 | 761,244,619 | 528,446,499 | |||||||||||||||
Average Notional Balance Short | 459,109,254 | 21,705,170 | 17,385,194 | 516,887,635 | 348,536,685 | |||||||||||||||
Ending Notional Balance Long | 1,268,761,353 | 93,079,646 | 89,097,664 | 915,024,419 | 459,610,206 | |||||||||||||||
Ending Notional Balance Short | 311,066,537 | 26,658,010 | 19,898,543 | 419,619,722 | 417,556,357 | |||||||||||||||
Interest Rate-Related Swaps (Interest Rate Swaps): |
||||||||||||||||||||
Average Notional BalancePays Fixed rate |
363,369,564 | | | | | |||||||||||||||
Average Notional BalanceReceives Fixed rate |
659,397,730 | | | | | |||||||||||||||
Ending Notional BalancePays Fixed Rate |
143,938,678 | | | | | |||||||||||||||
Ending Notional BalanceReceives Fixed Rate |
415,339,968 | | | | | |||||||||||||||
Total Return Basket Swaps: | ||||||||||||||||||||
Average Notional of Underlying PositionsLong |
| | | 1,960,551,540 | 630,375,552 | |||||||||||||||
Average Notional of Underlying PositionsShort |
| | | 1,486,755,399 | 506,762,214 | |||||||||||||||
Ending Notional BalanceLong | | | | 1,991,258,356 | 731,992,216 | |||||||||||||||
Ending Notional BalanceShort | | | | 1,618,954,068 | 592,603,301 |
8. Investment Advisory and Other Agreements
The Advisor serves as the investment advisor to each of the Funds pursuant to an Investment Advisory Agreement, dated December 4, 2008, as amended, or an Investment Management Agreement, dated June 10, 2010, as amended, entered into by the Trust, on behalf of the Funds (together, the Advisory Agreement). Under the Advisory Agreement, the Advisor furnishes a continuous investment program for each Funds 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
242 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
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 Diversified Arbitrage Fund |
1.00 | % | ||
AQR Long-Short Equity Fund |
1.10 | |||
AQR Global Macro Fund |
1.25 | |||
AQR Managed Futures Strategy Fund |
1.05 | |||
AQR Managed Futures Strategy HV Fund |
1.45 | |||
AQR Risk-Balanced Commodities Strategy Fund |
0.80 | * | ||
AQR Risk Parity Fund |
0.75 | ** | ||
AQR Risk Parity II MV Fund |
0.75 | *** | ||
AQR Risk Parity II HV Fund |
0.95 | **** | ||
AQR Multi-Strategy Alternative Fund |
1.80 | ***** | ||
AQR Style Premia Alternative Fund |
1.35 |
** | The AQR Risk Parity Fund Advisory Fee is based on the following two tier structure. The first tier charges 0.75% on the first $1 billion of net assets and the second tier charges 0.70% on net assets in excess of $1 billion. |
*** | The AQR Risk Parity II MV Fund Advisory Fee is based on the following three tier structure. The first tier charges 0.75% of the first $1 billion of net assets; the second tier charges 0.725% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.70% on net assets in excess of $3 billion. |
**** | The AQR Risk Parity II HV Fund Advisory Fee is based on three tier structure. The first tier charges 0.95% of the first $1 billion of net assets; the second tier charges 0.925% on net assets in excess of the $1 billion, up to $3 billion; and the third tier charges 0.90% on net assets in excess of $3 billion. |
Prior to May 1, 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 Risk-Balanced Commodities Strategy Fund Advisory Fee was based on the following three tier structure. The first tier charges 0.60% on the first $1 billion of net assets; the second tier charges 0.575% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.55% on net assets in excess of $3 billion. |
*** | The AQR Risk Parity II MV Fund Advisory Fee was based on the following three tier structure. The first tier charges 0.50% on the first $1 billion of net assets; the second tier charges 0.475% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.45% on net assets in excess of $3 billion. |
**** | The AQR Risk Parity II HV Fund Advisory Fee was based on the following three tier structure. The first tier charges 0.70% on the first $1 billion of net assets; the second tier charges 0.675% on net assets in excess of $1 billion, up to $3 billion; and the third tier charges 0.65% on net assets in excess of $3 billion. |
***** | The AQR Multi-Strategy Alternative Fund Advisory Fee was based on the following two tier structure. The first tier charges 1.85% on the first $1 billion of net assets and the second tier charges 1.80% on net assets in excess of $1 billion. |
AQR Funds | Semi-Annual Report | June 2014 | 243 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
The Trust and the Advisor have entered into a Fee Waiver and Expense Reimbursement Agreement whereby the Advisor has agreed to waive its fee and/or reimburse each Fund at least through April 30, 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 (including the consolidated expenses of the Subsidiaries), exclusive of interest, taxes, borrowing costs, acquired fund fees and expenses, dividend and interest expense related to short sales, and extraordinary expenses exceed the following ratios:
FUND | CLASS I | CLASS N | ||||||
AQR Diversified Arbitrage Fund |
1.20 | % | 1.50 | % | ||||
AQR Long-Short Equity Fund |
1.30 | 1.55 | ||||||
AQR Global Macro Fund* |
1.45 | 1.70 | ||||||
AQR Managed Futures Strategy Fund |
1.25 | 1.50 | ||||||
AQR Managed Futures Strategy HV Fund |
1.65 | 1.90 | ||||||
AQR Risk-Balanced Commodities Strategy Fund |
1.00 | 1.25 | ||||||
AQR Risk Parity Fund |
0.95 | 1.20 | ||||||
AQR Risk Parity II MV Fund |
0.95 | 1.20 | ||||||
AQR Risk Parity II HV Fund |
1.15 | 1.40 | ||||||
AQR Multi-Strategy Alternative Fund |
1.98 | 2.23 | ||||||
AQR Style Premia Alternative Fund |
1.50 | 1.75 |
* | This arrangement will continue at least through April 30, 2016 for Class I and Class N. |
Prior to May 1, 2014, the Fee Waiver and Expense Reimbursement Agreement for the AQR Risk-Balanced Commodities Strategy Fund was as follows:
FUND | CLASS I | CLASS N | ||||||
AQR Risk-Balanced Commodities Strategy Fund |
1.05 | % | 1.30 | % |
For the period ended June 30, 2014 the Funds Advisor waived fees and/or reimbursed expenses for each of the Funds as follows:
AQR LONG SHORT EQUITY FUND |
AQR GLOBAL MACRO FUND |
AQR MANAGED FUTURES STRATEGY HV FUND |
AQR RISK FUND |
|||||||||||||
Waivers and reimbursements: |
||||||||||||||||
Investment advisory fees and shareholder servicing fees waived |
$ | 60,364 | $ | 59,796 | $ | 100,783 | $ | 80,404 | ||||||||
Expense reimbursements |
33,383 | 1,345 | 5,097 | | ||||||||||||
Total |
$ | 93,747 | $ | 61,141 | $ | 105,880 | $ | 80,404 | ||||||||
AQR RISK PARITY FUND |
AQR RISK PARITY II MV FUND |
AQR RISK PARITY II HV FUND |
AQR MULTI-STRATEGY ALTERNATIVE FUND |
|||||||||||||
Waivers and reimbursements: |
||||||||||||||||
Investment advisory fees and shareholder servicing fees waived |
$ | | $ | 63,126 | $ | 82,527 | $ | 84,795 | ||||||||
Expense reimbursements |
793 | | | 13,301 | ||||||||||||
Total |
$ | 793 | $ | 63,126 | $ | 82,527 | $ | 98,096 |
244 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
AQR STYLE PREMIA ALTERNATIVE FUND |
||||
Waivers and reimbursements: |
||||
Investment advisory fees and shareholder servicing fees waived |
$ | | ||
Expense reimbursements |
5,837 | |||
Total |
$ | 5,837 |
The Trust, in turn, agreed that the Funds will repay the fee waiver/expense reimbursement to the Advisor. Such repayment shall be made only out of the class of the Fund for which the applicable fee waiver and expense reimbursement was made. Repayments with respect to a Fund must be limited to amounts that do not cause the aggregate operating expenses of the Fund attributable to a share class during a year in which such repayment is made to exceed the applicable ratios when the waiver was generated. A repayment shall be payable only to the extent it can be made during the thirty-six months following the applicable period during which the Advisor waived fees or reimbursed the applicable Fund for its operating expenses under the Agreement.
For the period ended June 30, 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 June 30, 2014 are as follows:
FEES WAIVED/ JUNE 30, |
TOTAL JUNE 30, |
POTENTIAL RECOUPMENT AMOUNTS EXPIRING |
||||||||||||||||||||||
2014 | 2015 | 2016 | 2017 | |||||||||||||||||||||
AQR DIVERSIFIED ARBITRAGE FUND |
||||||||||||||||||||||||
Class I |
$ | | $ | 1,139,574 | $ | 911,984 | $ | 227,590 | $ | | $ | | ||||||||||||
Class N |
| | | | | | ||||||||||||||||||
Totals |
$ | | $ | 1,139,574 | $ | 911,984 | $ | 227,590 | $ | | $ | | ||||||||||||
AQR LONG-SHORT EQUITY FUND |
||||||||||||||||||||||||
Class I |
$ | 83,434 | $ | 165,087 | $ | | $ | | $ | 81,653 | $ | 83,434 | ||||||||||||
Class N |
10,313 | 32,094 | | | 21,781 | 10,313 | ||||||||||||||||||
Totals |
$ | 93,747 | $ | 197,181 | $ | | $ | | $ | 103,434 | $ | 93,747 | ||||||||||||
AQR GLOBAL MACRO FUND |
||||||||||||||||||||||||
Class I |
$ | 58,772 | $ | 58,772 | $ | | $ | | $ | | $ | 58,772 | ||||||||||||
Class N |
2,369 | 2,369 | | | | 2,369 | ||||||||||||||||||
Totals |
$ | 61,141 | $ | 61,141 | $ | | $ | | $ | | $ | 61,141 | ||||||||||||
AQR MANAGED FUTURES STRATEGY FUND |
||||||||||||||||||||||||
Class I |
$ | | $ | | $ | | $ | | $ | | $ | | ||||||||||||
Class N |
| 241,294 | 161,636 | 77,598 | 2,060 | | ||||||||||||||||||
Totals |
$ | | $ | 241,294 | $ | 161,636 | $ | 77,598 | $ | 2,060 | $ | |
AQR Funds | Semi-Annual Report | June 2014 | 245 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
FEES WAIVED/ JUNE 30, |
TOTAL JUNE 30, |
POTENTIAL RECOUPMENT AMOUNTS EXPIRING |
||||||||||||||||||||||
2014 | 2015 | 2016 | 2017 | |||||||||||||||||||||
AQR MANAGED FUTURES STRATEGY HV FUND |
||||||||||||||||||||||||
Class I |
$ | 95,229 | $ | 275,599 | $ | | $ | | $ | 180,370 | $ | 95,229 | ||||||||||||
Class N |
10,651 | 27,360 | | | 16,709 | 10,651 | ||||||||||||||||||
Totals |
$ | 105,880 | $ | 302,959 | $ | | $ | | $ | 197,079 | $ | 105,880 | ||||||||||||
AQR RISK-BALANCED COMMODITIES STRATEGY FUND |
||||||||||||||||||||||||
Class I |
$ | 68,346 | $ | 400,540 | $ | | $ | 181,810 | $ | 150,384 | $ | 68,346 | ||||||||||||
Class N |
12,058 | 48,753 | | 19,100 | 17,595 | 12,058 | ||||||||||||||||||
Totals |
$ | 80,404 | $ | 449,293 | $ | | $ | 200,910 | $ | 167,979 | $ | 80,404 | ||||||||||||
AQR RISK PARITY FUND |
||||||||||||||||||||||||
Class I |
$ | | $ | | $ | | $ | | $ | | $ | | ||||||||||||
Class N |
793 | 132,290 | 96,564 | 34,933 | | 793 | ||||||||||||||||||
Totals |
$ | 793 | $ | 132,290 | $ | 96,564 | $ | 34,933 | $ | | $ | 793 | ||||||||||||
AQR RISK PARITY II MV FUND |
||||||||||||||||||||||||
Class I |
$ | 50,928 | $ | 284,119 | $ | | $ | 102,338 | $ | 130,853 | $ | 50,928 | ||||||||||||
Class N |
12,198 | 84,158 | | 13,557 | 58,403 | 12,198 | ||||||||||||||||||
Totals |
$ | 63,126 | $ | 368,277 | $ | | $ | 115,895 | $ | 189,256 | $ | 63,126 | ||||||||||||
AQR RISK PARITY II HV FUND |
||||||||||||||||||||||||
Class I |
$ | 58,857 | $ | 280,188 | $ | | $ | 79,653 | $ | 141,678 | $ | 58,857 | ||||||||||||
Class N |
23,670 | 155,685 | | 36,272 | 95,743 | 23,670 | ||||||||||||||||||
Totals |
$ | 82,527 | $ | 435,873 | $ | | $ | 115,925 | $ | 237,421 | $ | 82,527 | ||||||||||||
AQR MULTI-STRATEGY ALTERNATIVE FUND |
||||||||||||||||||||||||
Class I |
$ | 80,711 | $ | 1,117,621 | $ | 322,982 | $ | 449,951 | $ | 263,977 | $ | 80,711 | ||||||||||||
Class N |
17,385 | 172,243 | 59,491 | 55,557 | 39,810 | 17,385 | ||||||||||||||||||
Totals |
$ | 98,096 | $ | 1,289,864 | $ | 382,473 | $ | 505,508 | $ | 303,787 | $ | 98,096 | ||||||||||||
AQR STYLE PREMIA ALTERNATIVE FUND |
||||||||||||||||||||||||
Class I |
$ | | $ | | $ | | $ | | $ | | $ | | ||||||||||||
Class N |
5,837 | 15,509 | | | 9,672 | 5,837 | ||||||||||||||||||
Totals |
$ | 5,837 | $ | 15,509 | $ | | $ | | $ | 9,672 | $ | 5,837 |
During the period ended June 30, 2014, the Funds recouped amounts as follows:
FUND | CLASS I | CLASS N | ||||||
AQR Diversified Arbitrage Fund |
$ | 87,780 | $ | | ||||
AQR Managed Futures Strategy Fund |
| 145,839 | ||||||
AQR Style Premia Alternative Fund |
$ | 115,604 | $ | |
246 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
Pursuant to the Sub-Advisory Agreements between the Sub-Advisor, the Advisor and the Trust, the Advisor will pay the Sub-Advisor an annual fee, payable monthly, at the annual rate of 1.00% and 0.35% of the average daily nets assets for the AQR Diversified Arbitrage Fund and AQR Multi-Strategy Alternative Fund, respectively.
J.P. Morgan Chase Bank, N.A, serves as the Funds Administrator, Accounting Agent and Custodian.
State Street Bank and Trust Company, together with JPMorgan Chase Bank, N.A., serve as Custodian of the AQR Diversified Arbitrage Fund and the AQR Style Premia Alternative Fund.
ALPS Fund Services, Inc. serves as the Funds Transfer Agent, and ALPS Distributors, Inc. serves as the Funds Distributor.
During the period ended June 30, 2014, the Advisor contributed $194,737 into the AQR Risk-Balanced Commodities Strategy Fund for a loss incurred due to a trade processing error. During the period ended June 30, 2014, the Advisor will contribute $2,459 and $1,630 into the AQR Diversified Arbitrage Fund and AQR Risk Parity Fund respectively, for the losses incurred due to the trade processing errors. The impact of the Advisors contributions on the Funds total return was immaterial. This amount has been included in realized gain (loss) on investments on the Statement of Operations.
9. Distribution Plan
The Trust has adopted a Plan of Distribution (the Plan) pursuant to Rule 12b-1 under the 1940 Act with respect to the Class N shares of the Funds, as applicable. The Plan allows for the payment of services related to the distribution and servicing of these shares at a rate of up to 0.25% per annum of the average daily net asset value of the Class N shares of the Funds, as applicable.
10. Shareholder Servicing Agreements
Prior to May 1, 2014, pursuant to a Shareholder Services Agreement between the Trust (excluding the AQR Diversified Arbitrage Fund, AQR Long-Short Equity Fund, AQR Global Macro Fund, AQR Managed Futures Strategy Fund, AQR Managed Futures Strategy HV Fund, AQR Risk Parity Fund, AQR Multi-Strategy Alternative Fund and AQR Style Premia Alternative Fund) and the Advisor, the Advisor provided a wide range of services to the Funds and their shareholders. These services included, among others, access to performance information reporting, analysis and explanations of Fund reports as well as electronic access to Fund information. Under this agreement the Advisor received an annual fee, payable monthly, calculated on the average daily net assets of each Class at the following rates:
FUND | CLASS I | CLASS N | ||||||
AQR Risk-Balanced Commodities Strategy Fund |
0.25 | % | 0.25 | % | ||||
AQR Risk Parity II MV Fund |
0.25 | 0.25 | ||||||
AQR Risk Parity II HV Fund |
0.25 | 0.25 |
In addition, the Advisor may, from time to time, have compensated third parties (including financial intermediaries) from the fees the Advisor receives under the Shareholder Services Agreement for non-distribution shareholder services such third parties provide to clients or customers that are shareholders of the Funds. Fees incurred by the Funds under the Plan and/or the shareholder services agreement for the period ended June 30, 2014, were as follows:
FUND | CLASS I | CLASS N | ||||||
AQR Risk-Balanced Commodities Strategy Fund |
$ | 25,097 | $ | 3,443 | ||||
AQR Risk Parity II MV Fund |
35,487 | 7,119 | ||||||
AQR Risk Parity II HV Fund |
22,288 | 7,985 |
Effective May 1, 2014, the AQR Risk-Balanced Commodities Strategy, the AQR Risk Parity II MV, and the AQR Risk Parity II HV Funds contractual advisory fee and shareholder servicing fee were bundled into one contractual management fee.
AQR Funds | Semi-Annual Report | June 2014 | 247 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 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 the Funds best interest to do so.
The counterparties to the Funds with respect to the following transactions: securities sold short, currency forward, futures, option and swap contracts and reverse repurchase agreements, include 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 counterpartys credit risk, the risk that derivative counterparties may not perform in accordance with the contractual provisions offset by the value of any collateral received. The Funds exposure to credit risk associated with counterparty non-performance is limited to the unrealized gains inherent in such transactions that are recognized in the Statements of Assets and Liabilities. The Funds minimize counterparty credit risk through credit limits and approvals, credit monitoring procedures, executing master netting arrangements and managing margin and collateral requirements, as appropriate.
The Funds may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year. Such concentrations may subject the Funds to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. companies.
Swap agreements involve, to varying degrees, elements of market risk (generally equity price risk related to equity index swap agreements, interest rate risk related to bond swap agreements and commodity risk related to synthetic swap agreements utilizing futures) and exposure to loss in excess of the amount reflected on the Statements of Assets and Liabilities. The notional amounts, which are disclosed as of period end in the swap tables included in the Schedules of Investments, reflect the current investment exposure each Fund has under the swap agreement which may exceed the net asset value of the Fund.
The Funds are not limited in the percentage of its assets that may be invested in convertible securities. Convertible securities generally offer lower interest or dividend yields than non-convertible securities of similar quality. The market values of convertible securities tend to decline as interest rates increase and, conversely, to increase as interest rates decline. However, the convertible securitys market value tends to reflect the market price of the common stock of the issuing company when that stock price is greater than the convertibles 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).
248 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 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 Funds 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 Funds net asset value per share to experience significant increases or declines in value over short periods of time.
Securities sold short represent obligations of the Fund to deliver specified securities at a future date and thereby create a liability to repurchase the securities at prevailing future market prices. Accordingly, these transactions result in off- balance-sheet risk as the Funds ultimate obligation to satisfy the sale of securities sold short may exceed the amount recognized in the Statement of Assets and Liabilities.
As of June 30, 2014, the AQR Diversified Arbitrage Fund and the AQR Style Premia Alternative Fund pledged a substantial portion of their assets for securities sold short to State Street Bank and Trust Company, and AQR Multi-Strategy Alternative Fund pledged a substantial portion of its assets for securities sold short to JPMorgan Chase Bank, N.A.
12. Line of Credit
Effective 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. For the period ended June 30, 2014, the funds did not have any outstanding borrowings under this agreement.
13. Principal Ownership
As of June 30, 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 Long-Short Equity Fund* |
4 | 41.09 | % | |||||
AQR Global Global Macro Fund* |
4 | 89.49 | % | |||||
AQR Risk Parity II MV Fund |
1 | 43.34 | % | |||||
AQR Risk Parity II HV Fund* |
3 | 36.55 | % | |||||
AQR Style Premia Alternative Fund |
1 | 70.50 | % |
* | A majority of the percentage shown is owned by the Advisor and its affiliates. |
AQR Funds | Semi-Annual Report | June 2014 | 249 | |||||||||||||
Notes to Financial Statements (Unaudited) | June 30, 2014 |
Significant shareholder transactions by these shareholders, if any, may impact the Funds Performance.
14. New Accounting Pronouncements
In June 2014, the FASB issued ASU No. 2014-11, Balance Sheet (Topic) 860: Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (ASU 2014-11), which improves the existing accounting and disclosure guidance on repurchase agreements and other transactions involving a transfer and a forward agreement to repurchase the transferred assets at a fixed price from the transferee to address application issues and changes in the marketplace and to ensure that investors obtain useful information about these transactions. The Funds are required to apply ASU 2014-11 for annual reporting periods beginning on or after December 15, 2014, and interim periods within those periods. Management is currently assessing the impact of ASU 2014-11 but does not believe the adoption will have a material impact on the Funds financial statements.
15. Subsequent Events
On July 25, 2014, one shareholder redeemed their investment in the AQR Style Premia Alternative Fund. The redemption represented 70.5% of the Funds net assets and was paid partially in cash and in-kind. The amount of redemption proceeds paid in-kind was $52,771,157. The realized gain (loss) associated with the portion redeemed in-kind was $19,331,459.
The Funds have evaluated subsequent events through the date of issuance of this report and have determined that, other than the items listed above, there are no material events that would require accrual or disclosure.
250 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
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 Ending 6/30/14 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 Funds actual expense ratio and an assumed annual rate of return of 5% before expenses, which is not the Funds actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds by comparing this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The Fund will indirectly bear its pro rata share of the expenses incurred by the underlying investments in which the Fund invests. These expenses are not included in the table.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs. Therefore, the hypothetical example is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
BEGINNING ACCOUNT DATE VALUE |
ENDING ACCOUNT VALUE 6/30/14 |
ANNUALIZED EXPENSE RATIO FOR THE PERIOD |
EXPENSES PAID FOR THE PERIOD ENDING 6/30/14 |
|||||||||||||
AQR Diversified Arbitrage Fund |
||||||||||||||||
Class I |
||||||||||||||||
Actual Return |
$1,000.00 | $1,011.90 | 1.20 | % | $5.99 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,018.84 | 1.20 | % | $6.01 | |||||||||||
Class N |
||||||||||||||||
Actual Return |
$1,000.00 | $1,011.00 | 1.43 | % | $7.13 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,017.70 | 1.43 | % | $7.15 | |||||||||||
AQR Long-Short Equity Fund |
||||||||||||||||
Class I |
||||||||||||||||
Actual Return |
$1,000.00 | $1,048.00 | 1.30 | % | $6.60 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,018.35 | 1.30 | % | $6.51 | |||||||||||
Class N |
||||||||||||||||
Actual Return |
$1,000.00 | $1,046.00 | 1.55 | % | $7.86 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,017.11 | 1.55 | % | $7.75 |
AQR Funds | Semi-Annual Report | June 2014 | 251 | |||||||||||||
Fund Expense Examples (Unaudited) |
BEGINNING ACCOUNT DATE VALUE |
ENDING ACCOUNT VALUE 6/30/14 |
ANNUALIZED EXPENSE RATIO FOR THE PERIOD |
EXPENSES PAID FOR THE PERIOD ENDING 6/30/14 |
|||||||||||||
AQR Global Macro Fund |
||||||||||||||||
Class I (1) |
||||||||||||||||
Actual Return |
$1,000.00 | $965.00 | 1.45 | % | $3.24 | (a) | ||||||||||
Hypothetical Return |
$1,000.00 | $1,017.60 | 1.45 | % | $7.25 | |||||||||||
Class N (1) |
||||||||||||||||
Actual Return |
$1,000.00 | $965.00 | 1.70 | % | $3.80 | (a) | ||||||||||
Hypothetical Return |
$1,000.00 | $1,016.36 | 1.70 | % | $8.50 | |||||||||||
AQR Managed Futures Strategy Fund |
||||||||||||||||
Class I |
||||||||||||||||
Actual Return |
$1,000.00 | $948.10 | 1.21 | % | $5.84 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,018.79 | 1.21 | % | $6.06 | |||||||||||
Class N |
||||||||||||||||
Actual Return |
$1,000.00 | $946.70 | 1.50 | % | $7.24 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,017.36 | 1.50 | % | $7.50 | |||||||||||
AQR Managed Futures Strategy HV Fund |
||||||||||||||||
Class I |
||||||||||||||||
Actual Return |
$1,000.00 | $923.10 | 1.65 | % | $7.87 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,016.61 | 1.65 | % | $8.25 | |||||||||||
Class N |
||||||||||||||||
Actual Return |
$1,000.00 | $922.20 | 1.90 | % | $9.06 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,015.37 | 1.90 | % | $9.49 | |||||||||||
AQR Risk-Balanced Commodities Strategy Fund (b) |
||||||||||||||||
Class I |
||||||||||||||||
Actual Return |
$1,000.00 | $1,144.80 | 1.03 | % | $5.48 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,019.69 | 1.03 | % | $5.16 | |||||||||||
Class N |
||||||||||||||||
Actual Return |
$1,000.00 | $1,142.70 | 1.27 | % | $6.75 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,018.50 | 1.27 | % | $6.36 | |||||||||||
AQR Risk Parity Fund |
||||||||||||||||
Class I |
||||||||||||||||
Actual Return |
$1,000.00 | $1,108.60 | 0.90 | % | $4.71 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,020.33 | 0.90 | % | $4.51 | |||||||||||
Class N |
||||||||||||||||
Actual Return |
$1,000.00 | $1,107.80 | 1.20 | % | $6.27 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,018.84 | 1.20 | % | $6.01 | |||||||||||
AQR Risk Parity II MV Fund |
||||||||||||||||
Class I |
||||||||||||||||
Actual Return |
$1,000.00 | $1,095.80 | 0.95 | % | $4.94 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,020.08 | 0.95 | % | $4.76 | |||||||||||
Class N |
||||||||||||||||
Actual Return |
$1,000.00 | $1,095.10 | 1.20 | % | $6.23 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,018.84 | 1.20 | % | $6.01 |
252 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Fund Expense Examples (Unaudited) |
BEGINNING ACCOUNT DATE VALUE |
ENDING ACCOUNT VALUE 6/30/14 |
ANNUALIZED EXPENSE RATIO FOR THE PERIOD |
EXPENSES PAID FOR THE PERIOD ENDING 6/30/14 |
|||||||||||||
AQR Risk Parity II HV Fund |
||||||||||||||||
Class I |
||||||||||||||||
Actual Return |
$1,000.00 | $1,148.90 | 1.15 | % | $6.13 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,019.09 | 1.15 | % | $5.76 | |||||||||||
Class N |
||||||||||||||||
Actual Return |
$1,000.00 | $1,147.10 | 1.40 | % | $7.45 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,017.85 | 1.40 | % | $7.00 | |||||||||||
AQR Multi-Strategy Alternative Fund |
||||||||||||||||
Class I |
||||||||||||||||
Actual Return |
$1,000.00 | $995.90 | 1.98 | % | $9.80 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,014.98 | 1.98 | % | $9.89 | |||||||||||
Class N |
||||||||||||||||
Actual Return |
$1,000.00 | $994.90 | 2.23 | % | $11.03 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,013.74 | 2.23 | % | $11.13 | |||||||||||
AQR Style Premia Alternative Fund |
||||||||||||||||
Class I |
||||||||||||||||
Actual Return |
$1,000.00 | $1,016.70 | 1.50 | % | $7.50 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,017.36 | 1.50 | % | $7.50 | |||||||||||
Class N |
||||||||||||||||
Actual Return |
$1,000.00 | $1,015.70 | 1.75 | % | $8.70 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,016.17 | 1.75 | % | $8.70 |
Expenses are calculated using each Class annualized expense ratio, multiplied by the average account value for the period, multiplied by 181/365 (to reflect the one-half year period unless stated otherwise). |
(1) | Commencment of operations was April 8, 2014. |
(a) | Expenses are calculated using each Class annualized expense ratio, multiplied by the average account value for the period, multiplied by 80/365 (to reflect the one-half year period unless stated otherwise). |
(b) | Effective May1, 2014, the expense caps were changed for the Fund. Had these expense rates been in effect throughout the entire most recent fiscal half-year, the corresponding table above would have read as follows: |
BEGINNING ACCOUNT DATE VALUE |
ENDING ACCOUNT VALUE 6/30/14 |
ANNUALIZED EXPENSE RATIO FOR THE PERIOD |
EXPENSES PAID FOR THE PERIOD ENDING 6/30/14 |
|||||||||||||
AQR Risk-Balanced Commodities Strategy Fund |
||||||||||||||||
Class I |
||||||||||||||||
Actual Return |
$1,000.00 | $1,144.80 | 1.05 | % | $5.58 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,019.59 | 1.05 | % | $5.26 | |||||||||||
Class N |
||||||||||||||||
Actual Return |
$1,000.00 | $1,142.70 | 1.30 | % | $6.91 | |||||||||||
Hypothetical Return |
$1,000.00 | $1,018.35 | 1.30 | % | $6.51 |
AQR Funds | Semi-Annual Report | June 2014 | 253 | |||||||||||||
Board Approval of Investment Advisory Agreements (Unaudited) |
AQR Global Macro Fund |
The Board of Trustees (the Board, and the members of which are referred to as Board Members) of the AQR Funds (the Trust) met in person on February 20-21, 2014, to consider the approval of the Investment Management Agreement between the Trust, on behalf of the AQR Global Macro Fund (the Fund), and AQR Capital Management, LLC (AQR) (the Investment Management Agreement). In addition, the Board Members who are not interested persons as defined in the Investment Company Act of 1940, as amended (the 1940 Act) (the Independent Board Members), held a separate call in advance of the in person meeting held on February 20-21, 2014 with independent legal counsel to review the materials provided and the relevant legal considerations (together with the in person meeting held on February 20-21, 2014, 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 Boards consideration of whether to approve the Investment Management Agreement. These materials included: (1) memoranda and materials provided by AQR, describing the personnel and services to be provided to the Fund; (2) performance information for strategies and model portfolios relevant to the consideration of the Investment Management Agreement; (3) information independently compiled and prepared by Morningstar Associates, LLC (Morningstar) relating to the Funds proposed fees and expenses; (4) a discussion of the financial information of AQR; and (5) a discussion of the compliance program and the regulatory exam history of AQR. AQR is referred to herein as the Adviser, as applicable.
At the in person meeting held on February 20-21, 2014, the Board, including the Independent Board Members, unanimously approved the Investment Management Agreement for an initial two-year period. The Board considered all factors it believed to be relevant with respect to the Fund, including, among other factors: (a) the nature, extent and quality of the services to be provided by the Adviser; (b) the investment performance of the Adviser and the Advisers 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 Fund; (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 Fund and advice from independent legal counsel with respect to the review process and materials submitted for the Boards 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 Boards discussion and views regarding the factors it considered in evaluating the Investment Management Agreement:
The Nature, Extent and Quality of the Services to be Provided by the Adviser. The Board Members reviewed the services that the Adviser would provide to the Fund under the Investment Management Agreement. The Board considered the size and experience of the Advisers staff, its use of technology, and the Funds stated investment objectives, strategies and processes. The Board reviewed the overall qualifications of the Adviser as an investment adviser. In connection with the investment advisory services to be provided to the Fund, the Board Members took into account discussions they had with officers of the Adviser regarding the management of the Funds investments in accordance with the Funds stated investment objectives and policies and the types of transactions that would be entered into on behalf of the Fund. During these discussions, the Board Members asked questions of, and received answers from, the officers of the Adviser regarding the formulation and proposed implementation of the Funds investment strategies, their efficacy and potential risks.
In addition to the investment advisory services to be provided to the Fund, the Board Members considered that the Adviser also will provide shareholder and administrative services, oversight of Fund accounting, marketing services, and assistance in meeting legal and regulatory requirements and other services necessary for the operation of the Fund. In particular, the Board Members reviewed the compliance, shareholder and administrative services to be provided to the Fund by the Adviser.
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 Investment Management Agreement. Based on the presentations and materials at the Meetings, the Board concluded that the services to be provided to the Fund by the Adviser pursuant to the Investment Management Agreement were expected to be of a high quality and would benefit the Fund.
254 | AQR Funds | Semi-Annual Report | June 2014 | |||||||||||||
Board Approval of Investment Advisory Agreements (Unaudited) |
Investment Performance and the Advisers Portfolio Management. Because the Fund is newly formed, the Board did not consider the investment performance of the Fund. The Board based its review of the Advisers performance primarily on the experience of the Adviser in managing other registered investment companies and private funds, noting that other funds the Adviser manages might have investment objectives, policies or restrictions different from those of the Fund. The Board also considered the experience, resources and strengths of the Adviser with respect to the investment strategies proposed for the Fund. Based on these factors, the Board Members determined that the Adviser would be an appropriate investment adviser for the Fund.
The Advisory Fee and the Cost of the Services and Profits to be Realized by the Adviser from the Relationship with the Fund. The Board, including the Independent Board Members, received and reviewed information regarding the management fees to be paid by the Fund to the Adviser pursuant to the Investment Management Agreement. The Board examined this information in order to determine the reasonableness of the fees in light of the nature and quality of services to be provided to the Fund.
To assist in this analysis, the Board received a report independently prepared by Morningstar. The report showed comparative fee information for the Funds Morningstar category, including expense comparisons of contractual investment advisory fees and actual net expenses.
The Board also received and reviewed information regarding the expected profitability of the Adviser with respect to Fund-related activities at an assumed asset level. The Board also reviewed the Advisers 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.
The Board reviewed the Advisers 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 Fund and attract and retain high quality employees.
Based on their review of the materials presented at the Meetings, the Board concluded that the proposed management fees are reasonable.
Economies of Scale. Because the Fund is newly formed and had not commenced operations as of February 20-21, 2014, and the eventual aggregate amount of the Funds assets was uncertain, the Adviser was not able to provide the Board Members with specific information concerning the extent to which economies of scale would be realized as the Fund grows and whether fee levels would reflect such economies of scale, if any. The Adviser presented information to show that the fees were set at a level that is competitive relative to comparable funds of an anticipated size. The Board considered that the funds in the AQR fund complex share some common resources and, as a result, an increase in the overall size of the complex could permit the Fund to incur lower expenses than it would otherwise as a stand-alone entity. The Board also considered the Advisers 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 Fund, both tangible and intangible. The Board also received information regarding the Advisers brokerage and soft dollar practices. The Board considered that the Adviser is responsible for decisions to buy and sell securities for the Fund, selection of broker-dealers and best execution, and aggregation and allocation of trade orders among the firms various advisory clients. The Board noted that the Adviser does not presently intend to make use of soft dollars to acquire third-party research.
Conclusion. Counsel advised the Board concerning the statutory and regulatory requirements for approval and disclosure of advisory agreements. No single factor was determinative to the decision of the Board. Based on the foregoing and such other matters as were deemed relevant, all of the Board Members, including all of the Independent Board Members, concluded that the proposed advisory fee rates, management fee rate and projected total expense ratios are reasonable in relation to the services to be provided by the Adviser to the Fund, as well as the costs incurred and benefits to be gained by the Adviser in providing such services, including the investment advisory and administrative components. The Board also found the proposed investment management fees to be reasonable in comparison to the fees charged by advisers to other comparable funds of an anticipated size. As a result, all of the Board Members, including the Independent Board Members, approved the Investment Management Agreement with respect to the Fund. The Independent Board Members were represented by independent legal counsel who assisted them in their deliberations.
AQR Funds | Semi-Annual Report | June 2014 | 255 | |||||||||||||
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
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
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 SECs website at www.SEC.gov. Such reports may be reviewed and copied at the SECs 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 SECs website, at www.SEC.Gov. It may also be reviewed and copied at the SECs 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.
AQR Funds
P.O. Box 2248, Denver, CO 80201-2248
p: +1.866.290.2688 | w: aqrfunds.com
Item 2. Code of Ethics.
Disclosure required in Registrants annual Form N-CSR filing.
Item 3. Audit Committee Financial Expert.
Disclosure required in Registrants annual Form N-CSR filing.
Item 4. Principal Accountant Fees and Services.
Disclosure required in Registrants annual Form N-CSR filing.
Item 5. Audit Committee of Listed Registrants.
Disclosure required in Registrants 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 Registrants principal executive officer and principal financial officer have concluded, based on their evaluation of the Registrants 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 Commissions rules and forms. |
(b) | There have not been any changes in registrants 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 registrants 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 | ||
August 29, 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 | ||
Date: |
August 29, 2014 |
By: | /s/ Heather Bonner | |
Heather Bonner, | ||
Principal Financial Officer | ||
Date: |
August 29, 2014 |
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940
AND SECTION 302 OF THE SARBANES OXLEY ACT OF 2002
I, Marco Hanig, certify that:
1. | I have reviewed this report on Form N-CSR of the AQR Funds; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: August 29, 2014 | By: | /s/ Marco Hanig | ||
Marco Hanig | ||||
Principal Executive Officer |
CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940
AND SECTION 302 OF THE SARBANES OXLEY ACT OF 2002
I, Heather Bonner, certify that:
1. | I have reviewed this report on Form N-CSR of the AQR Funds; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented in this report; |
4. | The registrants other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the registrants disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
d) | Disclosed in this report any change in the registrants internal control over financial reporting that occurred during the registrants second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer(s) and I have disclosed to the registrants auditors and the audit committee of the registrants board of directors (or persons performing the equivalent functions): |
a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrants ability to record, process, summarize, and report financial information; and |
b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrants internal control over financial reporting. |
Date: August 29, 2014 | By: | /s/ Heather Bonner | ||
Heather Bonner | ||||
Principal Financial Officer |
Certification Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 (subsections (a) and (b) of
section 1350, chapter 63 of title 18, United States Code)
In connection with the attached Report of the AQR Funds (the Fund) on Form N-CSR to be filed with the Securities and Exchange Commission (the Report), each of the undersigned officers of the Fund does hereby certify that, to the best of such officers knowledge:
1. | The Report fully complies with the requirements of 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Fund as of, and for, the periods presented in the Report. |
Dated: August 29, 2014
By: | /s/ Marco Hanig | |
Marco Hanig | ||
Principal Executive Officer | ||
By: | /s/ Heather Bonner | |
Heather Bonner | ||
Principal Financial Officer |
A signed original of this written statement required by Section 906 has been provided to the Fund and will be retained by the Fund and furnished to the Securities and Exchange Commission or its staff upon request.
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